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UNITED STATES
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SECURITIES AND EXCHANGE COMMISSION
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Washington, D.C. 20549
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FORM N-CSR
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CERTIFIED SHAREHOLDER REPORT OF REGISTERED
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MANAGEMENT INVESTMENT COMPANIES
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Investment Company Act file number: (811- 05452)
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Exact name of registrant as specified in charter:
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Putnam Premier Income Trust
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Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
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Name and address of agent for service:
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Beth S. Mazor, Vice President
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One Post Office Square
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Boston, Massachusetts 02109
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Copy to:
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John W. Gerstmayr, Esq.
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Ropes & Gray LLP
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One International Place
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Boston, Massachusetts 02110
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Registrant’s telephone number, including area code:
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(617) 292-1000
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Date of fiscal year end: July 31, 2008
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Date of reporting period: August 1, 2007— January 31, 2008
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Item 1. Report to Stockholders:
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:
What makes Putnam different?
In 1830, Massachusetts Supreme Judicial Court Justice Samuel Putnam established The Prudent Man Rule, a legal foundation for responsible money management.
THE PRUDENT MAN RULE
All that can be required of a trustee to invest is that he shall conduct himself faithfully and exercise a sound discretion. He is to observe how men of prudence, discretion, and intelligence manage their own affairs, not in regard to speculation, but in regard to the permanent disposition of their funds, considering the probable income, as well as the probable safety of the capital to be invested.
A time-honored tradition in money management
Since 1937, our values have been rooted in a profound sense of responsibility for the money entrusted to us.
A prudent approach to investing
We use a research-driven team approach to seek consistent, dependable, superior investment results over time, although there is no guarantee a fund will meet its objectives.
Funds for every investment goal
We offer a broad range of mutual funds and other financial products so investors and their financial representatives can build diversified portfolios.
A commitment to doing what’s right for investors
With a focus on investment performance and in-depth information about our funds, we put the interests of investors first and seek to set the standard for integrity and service.
Industry-leading service
We help investors, along with their financial representatives, make informed investment decisions with confidence.
Putnam
Premier Income
Trust
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31
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08
Semiannual Report
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Message from the Trustees
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2
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About the fund
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4
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Performance snapshot
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6
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Interview with your fund’s Portfolio Leader
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7
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Performance in depth
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12
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Your fund’s management
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14
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Terms and definitions
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16
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Trustee approval of management contract
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17
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Other information for shareholders
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22
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Financial statements
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23
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Shareholder meeting results
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91
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Cover photograph: © Richard H. Johnson
Message from the Trustees
Dear Fellow Shareholder:
In early 2008, financial markets face clear challenges. What began as a rise in defaults for a limited segment of the U.S. mortgage market has spread across the global financial sector and produced a significant tightening of credit conditions. Forecasts for global growth have been reduced as a result, and markets have reacted by sending stock prices lower. In the United States, the economy weakened sharply in late 2007, raising the chance of a recession this year. Fortunately, policymakers have taken action to stimulate growth: The Federal Reserve Board cut interest rates, and federal lawmakers, working with the president, approved a $168 billion fiscal stimulus plan.
As investors, it is natural to feel discouraged by disappointing short-term results. During these challenging times, it is important to remember the value of a long-term perspective and the counsel of your financial representative. The normal condition of the economy and corporate earnings is one of growth, albeit with occasional interruptions. As in the past, after a period of weakness the economy is likely to regain its momentum and produce the growth and corporate earnings that investors expect.
Starting this month, we have changed the portfolio manager’s commentary in this report to a question-and-answer format. We feel that this makes the information more readable and accessible, and we hope you think so as well.
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Lastly, we note that Putnam Investments celebrated its 70th anniversary in November. From modest beginnings in Boston, Massachusetts, the company has grown into a global asset manager that serves millions of investors worldwide. Although the mutual fund industry has undergone many changes since George Putnam introduced his innovative balanced fund in 1937, Putnam’s guiding principles have not. As we celebrate this 70-year milestone, we look forward to Putnam continuing its long tradition of prudent money management. Thank you for your support of the Putnam funds.
Putnam Premier Income Trust: Seeking broad
diversification across global bond markets
When Putnam Premier Income Trust was launched in 1988, its three-pronged focus on U.S. investment-grade bonds, high-yield corporate bonds, and non-U.S. bonds was considered
innovative. Lower-rated, higher-yielding corporate bonds were relatively new, having just been established in the late 1970s. And, at the time of the fund’s launch, few investors were venturing outside the United States for fixed-income opportunities.
The bond investment landscape has undergone a transformation in the two decades since the fund’s launch. New sectors such as mortgage- and asset-backed securities now make up over one third of the U.S. investment-grade market. The high-yield corporate bond sector has also grown significantly. Outside the United
States, the advent of the euro has resulted in a large market of European bonds. And there are also growing opportunities to invest in the debt of emerging-market countries.
The fund’s original investment focus has been enhanced to keep pace with this market expansion. To process the market’s increasing complexity, Putnam’s 100-member fixed-income group aligns teams of specialists with the varied investment opportunities. Each team identifies what it considers to be compelling strategies within its area of expertise. Your fund’s management team selects from among these strategies, systematically building a diversified portfolio that seeks to carefully balance risk and return.
We believe the fund’s multi-strategy approach is well suited to the expanding opportunities of today’s global bond marketplace. As different factors drive the performance of the various fixed-income sectors, the fund’s diversified
strategy can take advantage of changing market leadership in pursuit of high current income.
International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Lower-rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Mutual funds that invest in bonds are subject to certain risks, including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. The fund’s shares trade on a stock exchange at market prices, which may be higher or lower than the fund’s NAV.
How do closed-end funds differ from open-end funds?
More assets at work
While open-end funds need to maintain a cash position to meet redemptions, closed-end funds are not subject to redemptions and can keep more of their assets invested in the market.
Traded like stocks
Closed-end fund shares are traded on stock exchanges, and their market prices fluctuate in response to supply and demand, among other factors.
Market price vs. net asset value
Like an open-end fund’s net asset value (NAV) per share, the NAV of a closed-end fund share is equal to the current value of the fund’s assets, minus its liabilities, divided by the number of shares outstanding. However, when buying or selling closed-end fund shares, the price you pay or receive is the market price. Market price reflects current market supply and demand and may be higher or lower than the NAV.
Balancing risk and return across multiple sectors
Putnam believes that building a diversified portfolio with multiple income-generating strategies
is the best way to pursue your fund’s objectives. The fund’s portfolio is composed of bonds from
across the credit quality spectrum.
Performance snapshot
Putnam Premier
Income Trust
Data is historical. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and net asset value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart are at NAV. See pages 7 and 12–13 for additional performance
information, including fund returns at market price. Index and Lipper results should be compared to fund performance at NAV. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund's monthly reinvestment NAV.
* Returns for the six-month period are not annualized, but cumulative.
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The period in review
Bill, thank you for taking the time today to talk about Premier Income Trust’s most recent semiannual period. How did the fund perform?
The past six months represented the most volatile period for fixed-income credits that I’ve experienced during my 20 years as a money manager. Despite this challenge, the fund produced positive performance for the period. Because of the multiple problems affecting the credit markets over the past six months —subprime mortgage defaults, a “credit
crunch” throughout the global financial system, spiking yields for money market instruments, a weakening U.S. housing market, and heightened recession fears —the “flight-to-quality” trade into Treasury securities dominated the marketplace. Many investors abandoned even the highest-quality credit instruments, especially mortgages. That is why, despite our cautious stance on duration (a measure of a portfolio’s interest-rate risk) and credit risk, the fund significantly underperformed its benchmark, which
Broad market index and fund performance
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 1/31/08. See page 6 and pages 12–13 for additional fund performance information. Index descriptions can be found on page 16.
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contains only government securities. The fund also underperformed its small peer group of closed-end funds.
Let’s talk about some of the major events that took place during the period within the fixed-income marketplace.
The months of August, November, and January were particularly difficult. Events during those months added up to a significant “liquidity scare” in the credit markets. In August, we received economic data that seemed to indicate that the housing market would be slowing significantly. This prompted fears of more fallout from defaulting subprime mortgages throughout the economy and the financial markets. Also, merger-and-acquisition (M&A)
activity had significantly slowed by then, and big banks that had garnered easy profits from making billions of dollars in “bridge loans” to finance large leveraged buyouts (LBOs) in the M&A market now found themselves with a large volume of nonperforming loans. LBO-related bond issues —which normally would have refunded those loans and provided the banks with substantial profits — had all but dried up.
Early in the fall of 2007, the markets settled down and yields began to stabilize. In November, however, we had another wave of weak housing statistics and more problems in the bank loan market. Then, a new issue emerged within the money markets, as certain
Top holdings
This table shows the fund’s top holdings and the percentage of the fund’s net assets, and are net of TBA sales positions outstanding, that each represented as of 1/31/08. Holdings will vary over time.
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HOLDING
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COUPON (%) and
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(percent of fund’s net assets)
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MATURITY DATE
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Securitized sector
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Federal National Mortgage Association Pass-Through Certificates (17.8%)
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5.5%, 2038
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Federal National Mortgage Association Pass-Through Certificates (7.6%)
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5.0%, 2038
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Credit Suisse Mortgage Capital Certificates (2.0%)
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5.69%, 2040
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Credit sector
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Echostar DBS Corp. (0.4%)
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6.625%, 2014
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Ford Motor Credit Co., LLC (0.4%)
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9.75%, 2010
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Kinder Morgan, Inc. (0.4%)
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6.5%, 2012
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Government sector
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Japan (Government of) CPI Linked Bonds (6.8%)
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1.0%, 2016
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U.S. Treasury Bonds (5.5%)
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6.25%, 2030
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U.S. Treasury Bonds (3.2%)
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7.5%, 2016
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structured investment vehicles (SIVs), which provide funds for mortgages, credit cards, and student loans, began to feel the credit crunch. Although none were held in the fund’s portfolio, the SIV crisis affected the market for all fixed-income securities. As rates for commercial paper spiked, short-term investors began to fear that some SIVs would become insolvent, and a great deal of market liquidity froze, affecting the wider credit markets. In addition, fixed-income markets endured year-end 2007 selling pressure as corporations and financial institutions attempted to clean up their balance sheets by divesting themselves of what they perceived to be weaker credits.
For some time, the consumer has been the bulwark of the U.S. economy, but in
January the markets faced the additional challenge of weaker consumer spending, and the unemployment figure was the highest we had seen for many years. Also, service sector data pointed to a much weaker economy. The market was now affected by a widespread concern that U.S. growth might be in decline, and that global growth might also be significantly affected.
What response did the tightening liquidity squeeze and economic slowdown prompt from the government?
Initially, the Federal Reserve (“the Fed”) took a cautious approach because of its ongoing inflation concerns, using some nontraditional methods to boost liquidity in the financial markets.
Comparison of top sector weightings*
This chart shows how the fund’s top weightings have changed over the past six months. Weightings are shown as a percentage of net assets, and are net of TBA sales positions outstanding. Holdings will vary over time.
*May include exposure to derivative investments.
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The European Central Bank also sought to reassure investors by providing significant amounts of cash to money markets. Eventually, the extreme pressure on global liquidity forced the Fed to act decisively, and it cut the federal funds rate by a total of 2.25% over five FOMC meetings between September 2007 and January 2008. Congress has approved a large fiscal stimulus package to try to bolster consumer spending. Another potential positive is the weaker U.S. dollar, which should continue to bolster exports.
The fund employs a number of strategies to generate returns. Which strategies helped performance during the period?
The strategy that helped performance most and enabled us to generate a positive return for the fund in a difficult environment was the fund’s “steepener” strategy, in which we overweight shorter-term securities and underweight longer-term issues. This strategy is based on our view that the yield curve will steepen as global central banks continue to cut short-term rates and longer-term rates trend higher on inflation concerns. Also, the fund’s non-U.S.-dollar positions in Europe, Japan, Canada, and Australia contributed significantly, based in part on the weaker dollar.
Which strategies detracted from the fund’s returns?
When interest rates declined at certain points during the period, our conservative duration position
prevented the fund from performing as well as some competitors. But the biggest detractors came from the fund’s positions within credit instruments, particularly high-yield bonds and AAA-rated securitized mortgages. Our high-yield position, although much smaller than in previous years, nevertheless hurt performance because of the credit squeeze and recession fears affecting that market. And although we have confidence in the high-quality mortgage security positions held by the fund, the entire market has been hurt in the short run by the subprime issue.
Bill, given all of the uncertainty that you’ve just outlined, what is your outlook for the economy? And what areas within the fund’s investment universe do you plan to emphasize going forward?
Thanks to the number of measures the government is taking to prevent a sustained and deep recession, we think one of the biggest risks is, in fact, that the economy will not be as slow in six months as many are now predicting. With a great flood of economic stimulus entering the pipeline, one significant risk is that we could see markedly higher inflation for a sustained period. That is one reason we are maintaining the fund’s “steepener” strategy, and we will also continue to invest in “inflation-linked” securities that benefit from inflation increases. We also see attractive value within many high-quality mortgage and mortgage-backed securities and are
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investing in these areas with a two- to five-year horizon in mind. This shift from government bonds to securitized instruments can be seen in the chart on page 9. Overall, we plan to continue to diversify the portfolio across a broad range of fixed-income sectors and securities.
Thanks again, Bill, for sharing your insight and time with us.
The views expressed in this report are exclusively those of Putnam Management. They are not meant as investment advice.
International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. Lower-rated bonds may offer higher yields in return for more risk. Mutual funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Mutual funds that invest in bonds are subject to certain risks, including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. The fund’s shares trade on a stock exchange at market prices, which may be higher or lower than the fund’s NAV.
I N V E S T M E N T I N S I G H T
The credit crunch that has rocked the financial system
over the past six months has had an enormously negative impact on bank lending. The challenges investors have experienced with pricing collateralized debt obligations, structured investment vehicles (SIVs), and bank loan securities have combined to make the balance sheets of major banks vulnerable, forcing many to curtail their lending operations. Although large corporations still have access to needed funds through banks and the capital markets, small and midsize businesses will probably face a credit squeeze for a significant time period. Many market watchers believe that this phenomenon should take 6 to 18 months to be completely resolved, and could hinder economic activity over that period.
Of special interest
We are pleased to report that effective January 2008, your fund’s dividend was increased from $0.0300 to $0.0330 per share. This dividend increase was possible due to the higher yield premium offered in bonds from all sectors outside of Treasury bonds, and our increased exposure to these areas.
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Your fund’s performance
This section shows your fund’s performance for periods ended January 31, 2008, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance as of the most recent calendar quarter-end. Performance should always be considered in light of a fund’s investment strategy. Data represents past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return, net asset value, and market price will fluctuate, and you may have a gain or a loss when you sell your shares.
Total return and comparative index results
For periods ended 1/31/08
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Lehman
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Lipper Flexible
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Government
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Income Funds
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Market
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Bond
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(closed-end)
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NAV
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price
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Index
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category average*
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Annual average
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Life of fund
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(since 2/29/88)
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7.99%
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7.04%
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7.32%
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7.05%
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10 years
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74.84
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60.92
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79.33
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60.77
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Annual average
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5.75
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4.87
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6.01
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4.82
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5 years
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50.97
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34.21
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25.49
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51.35
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Annual average
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8.59
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6.06
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4.65
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8.51
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3 years
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15.49
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14.13
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17.44
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15.02
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Annual average
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4.92
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4.50
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5.51
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4.76
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1 year
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3.30
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3.35
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11.40
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3.04
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6 months
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1.49
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4.60
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8.50
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2.60
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Performance assumes reinvestment of distributions and does not account for taxes.
Index and Lipper results should be compared to fund performance at net asset value. Lipper calculates performance differently than the closed-end funds it ranks, due to varying methods for determining a fund’s monthly reinvestment NAV.
* Over the 6-month, 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 1/31/08, there were 7, 7, 7, 6, 6, and 2 funds, respectively, in this Lipper category.
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Fund price and distribution information
For the six-month period ended 1/31/08
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Distributions
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Number
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6
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Income
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$0.183
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Capital gains
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—
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Total
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$0.183
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Share value:
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NAV
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Market price
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7/31/07
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$7.10
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$6.21
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1/31/08
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7.00
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6.31
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Current yield (end of period)
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Current dividend rate*
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5.66%
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6.28%
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The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms. * Most recent distribution, excluding capital gains, annualized and divided by NAV or market price at end of period.
Fund performance as of most recent calendar quarter
Total return for periods ended 12/31/07
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NAV
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Market price
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Annual average
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Life of fund (since 2/29/88)
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8.13%
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6.95%
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10 years
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79.97
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60.67
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Annual average
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6.05
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4.86
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5 years
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56.59
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41.16
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Annual average
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9.38
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7.14
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3 years
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18.20
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13.39
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Annual average
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5.73
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4.28
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1 year
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5.14
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1.95
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6 months
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2.74
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–3.35
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Your fund’s management
Your fund is managed by the members of the Putnam Core Fixed-Income and Core Fixed-Income High Yield teams. D. William Kohli is the Portfolio Leader, and Michael Atkin, Rob Bloemker, Kevin Murphy, and Paul Scanlon are Portfolio Members of your fund. The Portfolio Leader and Portfolio Members coordinate the teams’ management of the fund.
For a complete listing of the members of the Putnam Core Fixed-Income and Core Fixed-Income High-Yield teams, including those who are not Portfolio Leaders or Portfolio Members of your fund, visit Putnam’s Individual Investors Web site at www.putnam.com.
Investment team fund ownership
The table below shows how much the fund’s current Portfolio Leader and Portfolio Members have invested in the fund and in all Putnam mutual funds (in dollar ranges). Information shown is as of January 31, 2008, and January 31, 2007.
N/A indicates the individual was not a Portfolio Leader or Portfolio Member as of 1/31/07.
Trustee and Putnam employee fund ownership
As of January 31, 2008, 12 of the 13 Trustees of the Putnam funds owned fund shares. The table below shows the approximate value of investments in the fund and all Putnam funds as of that date by the Trustees and Putnam employees. These amounts include investments by the Trustees’ and employees’ immediate family members and investments through retirement and deferred compensation plans.
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Total assets in
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Assets in the fund
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all Putnam funds
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Trustees
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$55,000
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$ 90,000,000
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Putnam employees
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$ 6,000
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$669,000,000
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Other Putnam funds managed by the Portfolio Leader and Portfolio Members
D. William Kohli is also a Portfolio Leader of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Master Intermediate Income Trust.
Michael Atkin is also a Portfolio Member of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Master Intermediate Income Trust.
Rob Bloemker is also a Portfolio Leader of Putnam U.S. Government Income Trust and Putnam American Government Income Fund, and a Portfolio Member of Putnam Diversified Income Trust, Putnam Global Income Trust, and Putnam Master Intermediate Income Trust.
Kevin Murphy is also a Portfolio Member of Putnam Income Fund, Putnam Diversified Income Trust, Putnam Master Intermediate Income Trust, and Putnam Utilities Growth and Income Fund.
Paul Scanlon is also a Portfolio Leader of Putnam High Yield Trust, Putnam High Yield Advantage Fund, and Putnam Floating Rate Income Fund, and a Portfolio Member of Putnam Diversified Income Trust and Putnam Master Intermediate Income Trust.
D. William Kohli, Michael Atkin, Rob Bloemker, Kevin Murphy, and Paul Scanlon may also manage other accounts and variable trust funds advised by Putnam Management or an affiliate.
Changes in your fund’s Portfolio Leader and Portfolio Members
During the reporting period ended January 31, 2008, Michael Atkin became a Portfolio Member of your fund, and Portfolio Member Jeffrey Kaufman left your fund’s management team.
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Terms and definitions
Important terms
Total return
shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Net asset value (NAV)
is the value of all your fund’s assets, minus any liabilities, divided by the number of outstanding shares.
Market price
is the current trading price of one share of the fund. Market prices are set by transactions between buyers and sellers on exchanges such as the New York Stock Exchange.
Comparative indexes
Lehman Aggregate Bond Index
is an unmanaged index of U.S. investment-grade fixed-income securities.
Lehman Government Bond Index
is an unmanaged index of U.S. Treasury and agency securities.
Merrill Lynch 91-Day Treasury Bill Index
is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
S&P 500 Index
is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
Lipper
is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
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Trustee approval of management contract
General conclusions
The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management (“Putnam Management”) and the sub-management contract between Putnam Management’s affiliate, Putnam Investments Limited (“PIL”), and Putnam Management. In this regard, the Board of Trustees, with the assistance of its Contract Committee consisting solely of Trustees who are not “interested persons” (as such term is defined in the Investment Company Act of 1940, as amended) of the Putnam funds (the “Independent Trustees”), requests and evaluates all information it deems reasonably necessary under the circumstances. Over the course of several months ending in June 2007, the Contract Committee met several times to consider the information provided by Putnam Management and other information developed with the assistance of the Board’s independent counsel and independent staff. The Contract Committee reviewed and discussed key aspects of this information with all of the Independent Trustees. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management contract and sub-management contract, effective July 1, 2007. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not evaluated PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)
In addition, in anticipation of the sale of Putnam Investments to Great-West Lifeco, at a series of meetings ending in March 2007, the Trustees reviewed and approved new management and distribution arrangements to take effect upon the change of control. Shareholders of all funds approved the management contracts in May 2007, and the change of control transaction was completed on August 3, 2007. Upon the change of control, the management contracts that were approved by the Trustees in June 2007 automatically terminated and were replaced by new contracts that had been approved by shareholders. In connection with their review for the June 2007 continuance of the Putnam funds’ management contracts, the Trustees did not identify any facts or circumstances that would alter the substance of the conclusions and recommendations they made in their review of the contracts to take effect upon the change of control.
The Independent Trustees’ approval was based on the following conclusions:
•
That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds and the costs incurred by Putnam Management in providing such services, and
•
That this fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.
17
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the fee arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that certain aspects of such arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of these same arrangements in prior years.
Management fee schedules and categories; total expenses
The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints, and the assignment of funds to particular fee categories. In reviewing fees and expenses, the Trustees generally focused their attention on material changes in circumstances — for example, changes in a fund’s size or investment style, changes in Putnam Management’s operating costs or responsibilities, or changes in practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund, which had been carefully developed over the years, re-examined on many occasions and adjusted where appropriate. The Trustees focused on two areas of particular interest, as discussed further below:
• Competitiveness.
The Trustees reviewed comparative fee and expense information for competitive funds, which indicated that, in a custom peer group of competitive funds selected by Lipper Inc., your fund ranked in the 67th percentile in management fees and in the 67th percentile in total expenses as of December 31, 2006 (the first percentile being the least expensive funds and the 100th percentile being the most expensive funds). The Trustees expressed their intention to monitor this information closely to ensure that fees and expenses of your fund continue to meet evolving competitive standards.
•
Economies of scale.
Your fund currently has the benefit of breakpoints in its management fee that provide shareholders with significant economies of scale, which means that the effective management fee rate of a fund (as a percentage of fund assets) declines as a fund grows in size and crosses specified asset thresholds. Conversely, as a fund shrinks in size — as has been the case for many Putnam funds in recent years — these breakpoints result in increasing fee levels. In recent years, the Trustees have examined the operation of the existing breakpoint structure during periods of both growth and decline in asset levels. The Trustees concluded that the fee schedules in effect for the funds represented an appropriate sharing of economies of scale at current asset levels. In reaching this conclusion, the Trustees considered the Contract Committee’s stated intent to continue to work with Putnam Management to
18
plan for an eventual resumption in the growth of assets, and to consider the potential economies that might be produced under various growth assumptions.
In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services to be provided and profits to be realized by Putnam Management and its affiliates from the relationship with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability with respect to the funds’ management contracts, allocated on a fund-by-fund basis.
Investment performance
The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the Investment Process Committee of the Trustees and the Investment Oversight Committees of the Trustees, which had met on a regular monthly basis with the funds’ portfolio teams throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — as measured by the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to such personnel, and in general the ability of Putnam Management to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period. The Trustees considered the investment performance of each fund over multiple time periods and considered information comparing each fund’s performance with various benchmarks and with the performance of competitive funds.
The Trustees noted the satisfactory investment performance of many Putnam funds. They also noted the disappointing investment performance of certain funds in recent years and discussed with senior management of Putnam Management the factors contributing to such underperformance and actions being taken to improve performance. The Trustees recognized that, in recent years, Putnam Management has made significant changes in its investment personnel and processes and in the fund product line to address areas of underperformance. In particular, they noted the important contributions of Putnam Management’s leadership in attracting, retaining and supporting high-quality investment professionals and in systematically implementing an investment process that seeks to merge the best features of fundamental and quantitative analysis. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these changes and to evaluate whether additional changes to address areas of underperformance are warranted.
19
In the case of your fund, the Trustees considered that your fund’s common share cumulative total return performance at net asset value was in the following percentiles of its Lipper Inc. peer group (Lipper Flexible Income Funds (closed-end)) for the one-, three- and five-year periods ended March 31, 2007 (the first percentile being the best-performing funds and the 100th percentile being the worst-performing funds):
|
|
|
|
|
One-year period
|
Three-year period
|
Five-year period
|
|
|
38th
|
38th
|
38th
|
(Because of the passage of time, these performance results may differ from the performance results for more recent periods shown elsewhere in this report. Over the one-, three- and five-year periods ended March 31, 2007, there were 7, 7 and 7 funds, respectively, in your fund’s Lipper peer group.* Past performance is no guarantee of future returns.)
As a general matter, the Trustees concluded that cooperative efforts between the Trustees and Putnam Management represent the most effective way to address investment performance problems. The Trustees noted that investors in the Putnam funds have, in effect, placed their trust in the Putnam organization, under the oversight of the funds’ Trustees, to make appropriate decisions regarding the management of the funds. Based on the responsiveness of Putnam Management in the recent past to Trustee concerns about investment performance, the Trustees concluded that it is preferable to seek change within Putnam Management to address performance shortcomings. In the Trustees’ view, the alternative of terminating a management contract and engaging a new investment adviser for an underperforming fund would entail significant disruptions and would not provide any greater assurance of improved investment performance.
Brokerage and soft-dollar allocations; other benefits
The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage and soft-dollar allocations, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that may be useful to Putnam Management in managing the assets of the fund and of other clients. The Trustees indicated their continued intent to monitor the potential benefits associated with the allocation of fund brokerage to ensure that the principle of seeking “best price and execution” remains paramount in the portfolio trading process.
* The percentile rankings for your fund’s class A share annualized total return performance in the Lipper Flexible Income Funds (closed-end) category for the one-, five-, and ten-year periods ended December 31, 2007, were 38%, 43%, and 29%, respectively. Over the one-, five-, and ten-year periods ended December 31, 2007, the fund ranked 3rd out of 7, 3rd out of 6, and 2nd out of 6 funds, respectively. Note that this more recent information was not available when the Trustees approved the continuance of your fund’s management contract.
20
The Trustees’ annual review of your fund’s management contract also included the review of your fund’s custodian agreement and investor servicing agreement with Putnam Fiduciary Trust Company (“PFTC”), which provide benefits to affiliates of Putnam Management. In the case of the custodian agreement, the Trustees considered that, effective January 1, 2007, the Putnam funds had engaged State Street Bank and Trust Company as custodian and began to transition the responsibility for providing custody services away from PFTC.
Comparison of retail and institutional fee schedules
The information examined by the Trustees as part of their annual contract review has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, etc. This information included comparison of such fees with fees charged to the funds, as well as a detailed assessment of the differences in the services provided to these two types of clients. The Trustees observed, in this regard, that the differences in fee rates between institutional clients and the funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients reflect to a substantial degree historical competitive forces operating in separate market places. The Trustees considered the fact that fee rates across all asset sectors are higher on average for funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to institutional clients of the firm, but did not rely on such comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
21
Other information for shareholders
Important notice regarding share repurchase program
In September 2007, the Trustees of your fund approved the renewal of a share repurchase program that had been in effect since 2005. This renewal will allow your fund to repurchase, in the 12 months beginning October 8, 2007, up to 10% of the fund’s common shares outstanding as of October 5, 2007.
Important notice regarding delivery of shareholder documents
In accordance with SEC regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2007, are available on the Putnam Individual Investors Web site, www.putnam.com/individual, and on the SEC’s Web site, www.sec.gov. If you have questions about finding forms on the SEC’s Web site, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s Web site at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s Web site or the operation of the Public Reference Room.
22
Financial statements
A guide to financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio
lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities
shows how the fund’s net assets and share price are determined. All investment and noninvestment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations
shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets
shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights
provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlight table also includes the current reporting period.
23
The fund’s portfolio
1/31/08 (Unaudited)
|
|
|
|
|
|
|
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (53.6%)*
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
U.S. Government Guaranteed Mortgage Obligations (—%)
|
|
|
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
Pass-Through Certificates
|
|
|
|
|
|
6 1/2s, with due dates from July 20, 2037
|
|
|
|
|
|
to November 20, 2037
|
$
|
6,043,934
|
$
|
6,280,025
|
|
|
|
|
U.S. Government Agency Mortgage Obligations (53.0%)
|
|
|
|
|
|
Federal Home Loan Mortgage Corporation
|
|
|
|
|
|
Pass-Through Certificates
|
|
|
|
|
|
6s, with due dates from September 1, 2021 to October 1, 2021
|
|
835,386
|
|
863,482
|
|
Federal National Mortgage Association
|
|
|
|
|
|
Pass-Through Certificates
|
|
|
|
|
|
7 1/2s, January 1, 2030
|
|
55,516
|
|
60,856
|
|
6 1/2s, with due dates from September 1, 2036
|
|
|
|
|
|
to November 1, 2037
|
|
1,863,817
|
|
1,935,166
|
|
6 1/2s, April 1, 2016
|
|
39,869
|
|
41,749
|
|
6 1/2s, TBA, March 1, 2038
|
|
1,000,000
|
|
1,035,703
|
|
6 1/2s, TBA, February 1, 2038
|
|
1,000,000
|
|
1,037,266
|
|
6s, July 1, 2021
|
|
5,711,930
|
|
5,909,394
|
|
5 1/2s, with due dates from April 1, 2037
|
|
|
|
|
|
to December 1, 2037
|
|
6,372,322
|
|
6,459,194
|
|
5 1/2s, with due dates from December 1, 2011
|
|
|
|
|
|
to August 1, 2021
|
|
2,336,412
|
|
2,396,384
|
|
5 1/2s, TBA, March 1, 2038
|
|
189,000,000
|
|
191,096,728
|
|
5 1/2s, TBA, February 1, 2038
|
|
189,000,000
|
|
191,436,323
|
|
5s, July 1, 2021
|
|
190,166
|
|
192,818
|
|
5s, TBA, March 1, 2038
|
|
82,000,000
|
|
81,455,471
|
|
5s, TBA, February 1, 2038
|
|
82,000,000
|
|
81,602,808
|
|
4 1/2s, with due dates from August 1, 2033 to June 1, 2034
|
|
5,275,435
|
|
5,122,644
|
|
|
|
|
|
570,645,986
|
|
|
|
|
Total U.S. government and agency mortgage obligations (cost $574,559,001)
|
$
|
576,926,011
|
|
|
|
|
|
|
|
U.S. TREASURY OBLIGATIONS (11.2%)*
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
U.S. Treasury Bonds
|
|
|
|
|
|
7 1/2s, November 15, 2016
|
$
|
27,040,000
|
$
|
34,900,612
|
|
6 1/4s, May 15, 2030
|
|
46,303,000
|
|
58,710,759
|
|
U.S. Treasury Inflation Index Notes 2 3/8s, January 15, 2017
|
|
8,128,692
|
|
8,916,794
|
|
U.S. Treasury Notes
|
|
|
|
|
|
4 1/4s, August 15, 2013
|
|
4,883,000
|
|
5,211,458
|
|
4s, November 15, 2012
|
|
3,000
|
|
3,166
|
|
U.S. Treasury Strip zero %, November 15, 2024
|
|
28,450,000
|
|
13,360,937
|
|
|
Total U.S. treasury obligations (cost $108,163,190)
|
|
|
$
|
121,103,726
|
24
|
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS (26.9%)*
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Asset Backed Funding Certificates 144A FRB
|
|
|
|
|
|
|
Ser. 06-OPT3, Class B, 5.876s, 2036
|
|
$
|
117,000
|
$
|
10,302
|
|
Banc of America Commercial Mortgage, Inc.
|
|
|
|
|
|
|
Ser. 07-5, Class XW, IO (Interest only), 7 1/4s, 2051
|
|
|
219,190,737
|
|
6,066,761
|
|
FRB Ser. 07-3, Class A3, 5.838s, 2049
|
|
|
343,000
|
|
352,498
|
|
Ser. 07-2, Class A2, 5.634s, 2049 (F)
|
|
|
977,000
|
|
989,193
|
|
Banc of America Commercial Mortgage, Inc. 144A
|
|
|
|
|
|
|
Ser. 01-1, Class J, 6 1/8s, 2036
|
|
|
318,946
|
|
297,275
|
|
Ser. 01-1, Class K, 6 1/8s, 2036
|
|
|
718,000
|
|
572,685
|
|
Banc of America Funding Corp. Ser. 07-4, Class 4A2,
|
|
|
|
|
|
|
IO, 5 1/2s, 2034
|
|
|
5,007,289
|
|
942,291
|
|
Banc of America Large Loan 144A FRB Ser. 05-MIB1,
|
|
|
|
|
|
|
Class K, 6.236s, 2022
|
|
|
1,187,000
|
|
1,151,243
|
|
Bayview Commercial Asset Trust 144A
|
|
|
|
|
|
|
Ser. 07-5A, IO, 1.55s, 2037
|
|
|
2,854,935
|
|
410,825
|
|
Ser. 07-1, Class S, IO, 1.211s, 2037
|
|
|
7,964,426
|
|
855,379
|
|
Bear Stearns Commercial Mortgage Securities, Inc.
|
|
|
|
|
|
|
FRB Ser. 00-WF2, Class F, 8.449s, 2032
|
|
|
481,000
|
|
511,924
|
|
Ser. 07-PW17, Class A3, 5.736s, 2050
|
|
|
4,243,000
|
|
4,125,384
|
|
Bear Stearns Commercial Mortgage Securities, Inc.
|
|
|
|
|
|
|
144A Ser. 07-PW18, Class X1, IO, 0.065s, 2050
|
|
|
121,664,966
|
|
1,105,764
|
|
Broadgate Financing PLC sec. FRB Ser. D, 6.626s,
|
|
|
|
|
|
|
2023 (United Kingdom)
|
GBP
|
|
800,125
|
|
1,386,550
|
|
Citigroup Mortgage Loan Trust, Inc. IFB Ser. 07-6,
|
|
|
|
|
|
|
Class 2A5, IO, 3.274s, 2037
|
|
$
|
3,729,678
|
|
254,991
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust
|
|
|
|
|
|
|
Ser. 06-CD3, Class A4, 5.658s, 2048
|
|
|
217,000
|
|
222,675
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust
|
|
|
|
|
|
|
144A Ser. 07-CD5, Class XS, IO, 0.062s, 2044
|
|
|
71,429,344
|
|
711,508
|
|
Commercial Mortgage Acceptance Corp. Ser. 97-ML1,
|
|
|
|
|
|
|
IO, 0.969s, 2017
|
|
|
1,510,069
|
|
60,226
|
|
Commercial Mortgage Pass-Through Certificates 144A
|
|
|
|
|
|
|
FRB Ser. 05-F10A, Class A1, 4.336s, 2017
|
|
|
496,801
|
|
496,165
|
|
Countrywide Home Loans Ser. 05-2, Class 2X, IO,
|
|
|
|
|
|
|
1.16s, 2035
|
|
|
6,245,703
|
|
146,042
|
|
Countrywide Home Loans 144A IFB Ser. 05-R1,
|
|
|
|
|
|
|
Class 1AS, IO, 1.236s, 2035
|
|
|
6,070,931
|
|
451,477
|
|
Credit Suisse Mortgage Capital Certificates
|
|
|
|
|
|
|
FRB Ser. 07-C4, Class A2, 6.005s, 2039
|
|
|
1,632,000
|
|
1,651,682
|
|
Ser. 07-C5, Class A3, 5.694s, 2040
|
|
|
21,660,000
|
|
21,230,742
|
|
CRESI Finance Limited Partnership 144A
|
|
|
|
|
|
|
FRB Ser. 06-A, Class D, 4.176s, 2017
|
|
|
167,000
|
|
157,142
|
|
FRB Ser. 06-A, Class C, 3.976s, 2017
|
|
|
495,000
|
|
469,663
|
|
Criimi Mae Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 98-C1, Class B, 7s, 2033
|
|
|
3,957,000
|
|
3,963,727
|
|
CS First Boston Mortgage Securities Corp. 144A
|
|
|
|
|
|
|
Ser. 98-C2, Class F, 6 3/4s, 2030
|
|
|
3,176,400
|
|
3,408,291
|
|
FRB Ser. 05-TFLA, Class L, 6.086s, 2020
|
|
|
1,356,000
|
|
1,308,540
|
|
Ser. 98-C1, Class F, 6s, 2040
|
|
|
1,880,000
|
|
1,540,318
|
|
FRB Ser. 05-TFLA, Class K, 5.536s, 2020
|
|
|
758,000
|
|
735,260
|
|
Ser. 02-CP5, Class M, 5 1/4s, 2035
|
|
|
691,000
|
|
345,500
|
25
|
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS (26.9%)*
continued
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Deutsche Mortgage & Asset Receiving Corp.
|
|
|
|
|
|
|
Ser. 98-C1, Class X, IO, 0.559s, 2031
|
|
$
|
17,255,147
|
$
|
484,627
|
|
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4,
|
|
|
|
|
|
|
6.04s, 2031
|
|
|
552,708
|
|
506,071
|
|
DLJ Commercial Mortgage Corp. 144A Ser. 98-CF2,
|
|
|
|
|
|
|
Class B5, 5.95s, 2031
|
|
|
1,771,365
|
|
1,484,067
|
|
European Loan Conduit 144A FRB Ser. 22A, Class D,
|
|
|
|
|
|
|
6.428s, 2014 (Ireland)
|
GBP
|
|
995,000
|
|
1,755,138
|
|
European Prime Real Estate PLC 144A FRB Ser. 1-A,
|
|
|
|
|
|
|
Class D, 6.434s, 2014 (United Kingdom)
|
GBP
|
|
553,762
|
|
933,950
|
|
Fannie Mae
|
|
|
|
|
|
|
IFB Ser. 06-70, Class SM, 26.127s, 2036
|
|
$
|
477,426
|
|
630,045
|
|
IFB Ser. 06-62, Class PS, 19.643s, 2036
|
|
|
1,359,946
|
|
1,844,666
|
|
IFB Ser. 06-76, Class QB, 19.343s, 2036
|
|
|
3,396,631
|
|
4,623,519
|
|
IFB Ser. 06-63, Class SP, 19.043s, 2036
|
|
|
3,707,204
|
|
4,981,089
|
|
IFB Ser. 07-W7, Class 1A4, 18.923s, 2037
|
|
|
1,159,580
|
|
1,535,575
|
|
IFB Ser. 06-104, Class GS, 17.116s, 2036
|
|
|
705,263
|
|
919,554
|
|
IFB Ser. 06-60, Class TK, 15.095s, 2036
|
|
|
1,042,049
|
|
1,296,352
|
|
IFB Ser. 05-74, Class CP, 12.37s, 2035
|
|
|
978,521
|
|
1,191,117
|
|
IFB Ser. 05-115, Class NQ, 12.277s, 2036
|
|
|
556,925
|
|
651,553
|
|
IFB Ser. 06-27, Class SP, 12.187s, 2036
|
|
|
1,553,000
|
|
1,884,558
|
|
IFB Ser. 06-8, Class HP, 12.187s, 2036
|
|
|
1,644,812
|
|
1,996,663
|
|
IFB Ser. 06-8, Class WK, 12.187s, 2036
|
|
|
2,617,395
|
|
3,149,915
|
|
IFB Ser. 05-106, Class US, 12.187s, 2035
|
|
|
2,372,759
|
|
2,888,947
|
|
IFB Ser. 05-99, Class SA, 12.187s, 2035
|
|
|
1,157,612
|
|
1,362,730
|
|
IFB Ser. 06-60, Class CS, 11.71s, 2036
|
|
|
1,690,032
|
|
1,928,557
|
|
IFB Ser. 06-62, Class NS, 11.659s, 2036
|
|
|
484,260
|
|
498,788
|
|
IFB Ser. 05-74, Class CS, 10.735s, 2035
|
|
|
1,115,544
|
|
1,296,334
|
|
IFB Ser. 05-114, Class SP, 10.295s, 2036
|
|
|
697,009
|
|
770,131
|
|
IFB Ser. 05-95, Class OP, 9.927s, 2035
|
|
|
686,029
|
|
768,400
|
|
IFB Ser. 05-95, Class CP, 9.848s, 2035
|
|
|
175,378
|
|
201,139
|
|
IFB Ser. 05-83, Class QP, 8.616s, 2034
|
|
|
394,488
|
|
426,174
|
|
Ser. 04-T2, Class 1A4, 7 1/2s, 2043
|
|
|
516,649
|
|
566,490
|
|
Ser. 02-T19, Class A3, 7 1/2s, 2042
|
|
|
433,749
|
|
476,558
|
|
Ser. 02-14, Class A2, 7 1/2s, 2042
|
|
|
2,989
|
|
3,229
|
|
Ser. 01-T10, Class A2, 7 1/2s, 2041
|
|
|
411,841
|
|
446,215
|
|
Ser. 02-T4, Class A3, 7 1/2s, 2041
|
|
|
1,741
|
|
1,873
|
|
Ser. 01-T3, Class A1, 7 1/2s, 2040
|
|
|
269,160
|
|
289,623
|
|
Ser. 01-T1, Class A1, 7 1/2s, 2040
|
|
|
819,200
|
|
891,604
|
|
Ser. 99-T2, Class A1, 7 1/2s, 2039
|
|
|
326,267
|
|
360,998
|
|
Ser. 00-T6, Class A1, 7 1/2s, 2030
|
|
|
158,844
|
|
169,823
|
|
Ser. 01-T4, Class A1, 7 1/2s, 2028
|
|
|
773,567
|
|
852,361
|
|
Ser. 04-W12, Class 1A3, 7s, 2044
|
|
|
676,266
|
|
734,947
|
|
Ser. 01-T10, Class A1, 7s, 2041
|
|
|
1,648,107
|
|
1,758,949
|
|
Ser. 380, Class 2, IO, 6 1/2s, 2037 ##
|
|
|
12,952,069
|
|
2,225,387
|
|
Ser. 371, Class 2, IO, 6 1/2s, 2036
|
|
|
31,274,884
|
|
5,763,470
|
|
IFB Ser. 07-W6, Class 6A2, IO, 4.424s, 2037
|
|
|
2,434,050
|
|
287,682
|
|
IFB Ser. 06-90, Class SE, IO, 4.424s, 2036
|
|
|
4,308,644
|
|
594,236
|
|
IFB Ser. 03-66, Class SA, IO, 4.274s, 2033
|
|
|
1,927,210
|
|
210,071
|
|
IFB Ser. 07-W6, Class 5A2, IO, 3.914s, 2037
|
|
|
3,229,451
|
|
364,599
|
26
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS (26.9%)*
continued
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Fannie Mae
|
|
|
|
|
|
IFB Ser. 07-W2, Class 3A2, IO, 3.904s, 2037
|
$
|
3,154,319
|
$
|
342,841
|
|
IFB Ser. 06-115, Class BI, IO, 3.884s, 2036
|
|
2,786,261
|
|
231,253
|
|
IFB Ser. 05-113, Class AI, IO, 3.854s, 2036
|
|
1,403,427
|
|
165,999
|
|
IFB Ser. 05-113, Class DI, IO, 3.854s, 2036
|
|
1,284,600
|
|
123,403
|
|
IFB Ser. 06-60, Class SI, IO, 3.774s, 2036
|
|
3,122,485
|
|
359,860
|
|
IFB Ser. 06-60, Class UI, IO, 3.774s, 2036
|
|
1,273,716
|
|
151,949
|
|
IFB Ser. 07-W7, Class 3A2, IO, 3.754s, 2037
|
|
3,755,618
|
|
386,994
|
|
IFB Ser. 06-74, Class SN, IO, 3.724s, 2036
|
|
2,754,723
|
|
186,490
|
|
IFB Ser. 06-60, Class DI, IO, 3.694s, 2035
|
|
4,015,740
|
|
356,336
|
|
IFB Ser. 07-54, Class CI, IO, 3.384s, 2037
|
|
2,535,141
|
|
261,645
|
|
IFB Ser. 07-39, Class PI, IO, 3.384s, 2037
|
|
1,993,101
|
|
196,455
|
|
IFB Ser. 07-30, Class WI, IO, 3.384s, 2037
|
|
11,780,326
|
|
1,054,912
|
|
IFB Ser. 07-22, Class S, IO, 3.374s, 2037
|
|
17,688,790
|
|
1,694,998
|
|
IFB Ser. 06-128, Class SH, IO, 3.374s, 2037
|
|
2,147,226
|
|
199,485
|
|
IFB Ser. 06-56, Class SM, IO, 3.374s, 2036
|
|
2,937,521
|
|
283,635
|
|
IFB Ser. 06-12, Class SD, IO, 3.374s, 2035
|
|
7,458,731
|
|
872,043
|
|
IFB Ser. 07-W5, Class 2A2, IO, 3.364s, 2037
|
|
987,961
|
|
89,906
|
|
IFB Ser. 07-30, Class IE, IO, 3.364s, 2037
|
|
5,750,455
|
|
688,076
|
|
IFB Ser. 06-123, Class CI, IO, 3.364s, 2037
|
|
4,508,362
|
|
447,304
|
|
IFB Ser. 06-123, Class UI, IO, 3.364s, 2037
|
|
2,123,506
|
|
210,342
|
|
IFB Ser. 07-15, Class BI, IO, 3.324s, 2037
|
|
3,544,456
|
|
355,255
|
|
IFB Ser. 06-16, Class SM, IO, 3.324s, 2036
|
|
2,333,722
|
|
243,542
|
|
IFB Ser. 05-95, Class CI, IO, 3.324s, 2035
|
|
2,529,794
|
|
271,692
|
|
IFB Ser. 05-84, Class SG, IO, 3.324s, 2035
|
|
4,207,075
|
|
454,226
|
|
IFB Ser. 05-57, Class NI, IO, 3.324s, 2035
|
|
1,103,091
|
|
113,325
|
|
IFB Ser. 05-104, Class NI, IO, 3.324s, 2035
|
|
2,908,151
|
|
320,328
|
|
IFB Ser. 05-83, Class QI, IO, 3.314s, 2035
|
|
673,109
|
|
78,388
|
|
IFB Ser. 06-128, Class GS, IO, 3.304s, 2037
|
|
2,873,430
|
|
290,663
|
|
IFB Ser. 05-83, Class SL, IO, 3.294s, 2035
|
|
7,241,460
|
|
618,816
|
|
IFB Ser. 06-114, Class IS, IO, 3.274s, 2036
|
|
2,448,963
|
|
216,426
|
|
IFB Ser. 06-115, Class IE, IO, 3.264s, 2036
|
|
1,879,073
|
|
209,699
|
|
IFB Ser. 06-117, Class SA, IO, 3.264s, 2036
|
|
2,854,016
|
|
254,157
|
|
IFB Ser. 06-109, Class SH, IO, 3.244s, 2036
|
|
2,244,215
|
|
259,598
|
|
IFB Ser. 07-W6, Class 4A2, IO, 3.224s, 2037
|
|
13,057,620
|
|
1,211,605
|
|
IFB Ser. 06-128, Class SC, IO, 3.224s, 2037
|
|
2,408,317
|
|
220,753
|
|
IFB Ser. 06-8, Class JH, IO, 3.224s, 2036
|
|
8,545,066
|
|
907,489
|
|
IFB Ser. 05-122, Class SG, IO, 3.224s, 2035
|
|
2,354,780
|
|
254,482
|
|
IFB Ser. 05-95, Class OI, IO, 3.214s, 2035
|
|
376,398
|
|
45,883
|
|
IFB Ser. 06-92, Class LI, IO, 3.204s, 2036
|
|
2,766,591
|
|
254,595
|
|
IFB Ser. 06-99, Class AS, IO, 3.204s, 2036
|
|
361,202
|
|
34,172
|
|
IFB Ser. 06-98, Class SQ, IO, 3.194s, 2036
|
|
12,645,350
|
|
1,152,114
|
|
IFB Ser. 06-85, Class TS, IO, 3.184s, 2036
|
|
4,798,851
|
|
419,694
|
|
IFB Ser. 07-75, Class PI, IO, 3.164s, 2037
|
|
2,995,288
|
|
274,251
|
|
IFB Ser. 07-90, Class S, IO, 3.134s, 2037
|
|
4,794,347
|
|
277,284
|
|
IFB Ser. 07-103, Class AI, IO, 3.124s, 2037
|
|
12,738,228
|
|
1,137,724
|
|
IFB Ser. 07-15, Class NI, IO, 3.124s, 2022
|
|
4,758,271
|
|
380,921
|
|
IFB Ser. 07-109, Class XI, IO, 3.074s, 2037
|
|
1,783,386
|
|
166,734
|
|
IFB Ser. 07-109, Class YI, IO, 3.074s, 2037
|
|
2,922,997
|
|
252,468
|
|
IFB Ser. 07-W8, Class 2A2, IO, 3.074s, 2037
|
|
4,707,065
|
|
438,961
|
27
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS (26.9%)*
continued
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Fannie Mae
|
|
|
|
|
|
IFB Ser. 07-54, Class KI, IO, 3.064s, 2037
|
$
|
1,516,147
|
$
|
131,098
|
|
IFB Ser. 07-30, Class JS, IO, 3.064s, 2037
|
|
5,007,040
|
|
459,943
|
|
IFB Ser. 07-30, Class LI, IO, 3.064s, 2037
|
|
3,624,263
|
|
336,949
|
|
IFB Ser. 07-W2, Class 1A2, IO, 3.054s, 2037
|
|
2,077,035
|
|
177,719
|
|
IFB Ser. 07-106, Class SN, IO, 3.034s, 2037
|
|
2,929,679
|
|
236,205
|
|
IFB Ser. 07-54, Class IA, IO, 3.034s, 2037
|
|
2,636,007
|
|
242,610
|
|
IFB Ser. 07-54, Class IB, IO, 3.034s, 2037
|
|
2,636,007
|
|
242,610
|
|
IFB Ser. 07-54, Class IC, IO, 3.034s, 2037
|
|
2,636,007
|
|
242,610
|
|
IFB Ser. 07-54, Class ID, IO, 3.034s, 2037
|
|
2,636,007
|
|
242,610
|
|
IFB Ser. 07-54, Class IE, IO, 3.034s, 2037
|
|
2,636,007
|
|
242,610
|
|
IFB Ser. 07-54, Class IF, IO, 3.034s, 2037
|
|
3,921,589
|
|
360,931
|
|
IFB Ser. 07-54, Class UI, IO, 3.034s, 2037
|
|
3,863,625
|
|
385,947
|
|
IFB Ser. 07-91, Class AS, IO, 3.024s, 2037
|
|
1,962,306
|
|
166,024
|
|
IFB Ser. 07-91, Class HS, IO, 3.024s, 2037
|
|
2,089,573
|
|
185,004
|
|
IFB Ser. 07-15, Class CI, IO, 3.004s, 2037
|
|
8,328,925
|
|
755,093
|
|
IFB Ser. 06-123, Class BI, IO, 3.004s, 2037
|
|
10,952,667
|
|
953,716
|
|
IFB Ser. 06-115, Class JI, IO, 3.004s, 2036
|
|
6,071,620
|
|
547,181
|
|
IFB Ser. 06-123, Class LI, IO, 2.944s, 2037
|
|
4,057,526
|
|
346,092
|
|
IFB Ser. 07-39, Class AI, IO, 2.744s, 2037
|
|
4,494,622
|
|
358,535
|
|
IFB Ser. 07-32, Class SD, IO, 2.734s, 2037
|
|
3,130,422
|
|
254,080
|
|
IFB Ser. 07-30, Class UI, IO, 2.724s, 2037
|
|
2,557,318
|
|
218,734
|
|
IFB Ser. 07-32, Class SC, IO, 2.724s, 2037
|
|
4,142,144
|
|
341,317
|
|
IFB Ser. 07-1, Class CI, IO, 2.724s, 2037
|
|
2,998,335
|
|
247,550
|
|
IFB Ser. 05-74, Class SE, IO, 2.724s, 2035
|
|
5,785,846
|
|
409,645
|
|
IFB Ser. 07-75, Class ID, IO, 2.494s, 2037
|
|
3,147,811
|
|
252,180
|
|
Ser. 08-10, Class CI, 2.28s, 2038 ##
|
|
14,243,000
|
|
870,148
|
|
IFB Ser. 08-1, Class NI, IO, 2 1/4s, 2037
|
|
5,454,000
|
|
388,559
|
|
FRB Ser. 03-W17, Class 12, IO, 1.151s, 2033
|
|
4,371,064
|
|
153,437
|
|
Ser. 03-W10, Class 3A, IO, 0.797s, 2043
|
|
7,346,444
|
|
105,812
|
|
Ser. 03-W10, Class 1A, IO, 0.767s, 2043
|
|
6,107,640
|
|
74,933
|
|
Ser. 00-T6, IO, 0.761s, 2030
|
|
6,739,472
|
|
103,669
|
|
Ser. 02-T18, IO, 0.514s, 2042
|
|
11,950,394
|
|
167,692
|
|
Ser. 06-84, Class OP, PO (Principal only), zero %, 2036
|
|
37,252
|
|
37,087
|
|
Ser. 372, Class 1, PO, zero %, 2036
|
|
9,122,236
|
|
7,804,364
|
|
Ser. 06-56, Class XF, zero %, 2036
|
|
157,564
|
|
157,094
|
|
Ser. 04-38, Class AO, PO, zero %, 2034
|
|
931,943
|
|
706,083
|
|
Ser. 04-61, Class CO, PO, zero %, 2031
|
|
894,010
|
|
803,492
|
|
Ser. 99-51, Class N, PO, zero %, 2029
|
|
119,015
|
|
102,372
|
|
Ser. 07-31, Class TS, IO, zero %, 2009
|
|
6,601,168
|
|
216,096
|
|
Ser. 07-15, Class IM, IO, zero %, 2009
|
|
2,553,955
|
|
76,316
|
|
Ser. 07-16, Class TS, IO, zero %, 2009
|
|
10,444,508
|
|
275,507
|
|
Federal Home Loan Mortgage Corp. Structured Pass
|
|
|
|
|
|
Through Securities IFB Ser. T-56, Class 2ASI, IO, 4.724s, 2043
|
|
1,481,021
|
|
179,574
|
|
Federal Home Loan Mortgage Corp.
|
|
|
|
|
|
Structured Pass-Through Securities
|
|
|
|
|
|
Ser. T-58, Class 4A, 7 1/2s, 2043
|
|
9,201
|
|
10,038
|
|
Ser. T-60, Class 1A2, 7s, 2044
|
|
3,048,888
|
|
3,311,132
|
|
Ser. T-57, Class 1AX, IO, 0.45s, 2043
|
|
3,831,866
|
|
46,701
|
|
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X,
|
|
|
|
|
|
IO, 1.341s, 2020
|
|
9,977,034
|
|
528,703
|
28
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS (26.9%)*
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
First Chicago Lennar Trust 144A Ser. 97-CHL1,
|
|
|
|
|
|
Class E, 8s, 2039
|
$
|
947,003
|
$
|
948,423
|
|
First Union Commercial Mortgage Trust 144A
|
|
|
|
|
|
Ser. 99-C1, Class G, 5.35s, 2035
|
|
891,000
|
|
659,660
|
|
First Union-Lehman Brothers Commercial Mortgage
|
|
|
|
|
|
Trust II Ser. 97-C2, Class G, 7 1/2s, 2029
|
|
1,219,000
|
|
1,334,698
|
|
Freddie Mac
|
|
|
|
|
|
IFB Ser. 3182, Class PS, 11.655s, 2032
|
|
381,678
|
|
495,291
|
|
IFB Ser. 3081, Class DC, 10.097s, 2035
|
|
938,562
|
|
1,152,481
|
|
IFB Ser. 3114, Class GK, 9.455s, 2036
|
|
648,839
|
|
792,170
|
|
IFB Ser. 2979, Class AS, 8.74s, 2034
|
|
418,491
|
|
480,619
|
|
IFB Ser. 3149, Class SU, 8.013s, 2036
|
|
803,476
|
|
886,774
|
|
IFB Ser. 3065, Class DC, 7.151s, 2035
|
|
1,503,509
|
|
1,666,067
|
|
IFB Ser. 3184, Class SP, IO, 3.114s, 2033
|
|
3,990,601
|
|
422,118
|
|
IFB Ser. 3203, Class SH, IO, 2.904s, 2036
|
|
2,272,730
|
|
268,130
|
|
IFB Ser. 2828, Class TI, IO, 2.814s, 2030
|
|
1,325,264
|
|
134,300
|
|
IFB Ser. 3297, Class BI, IO, 2.524s, 2037
|
|
7,889,798
|
|
826,075
|
|
IFB Ser. 3284, Class IV, IO, 2.514s, 2037
|
|
2,045,475
|
|
217,958
|
|
IFB Ser. 3287, Class SD, IO, 2.514s, 2037
|
|
2,943,002
|
|
281,528
|
|
IFB Ser. 3281, Class BI, IO, 2.514s, 2037
|
|
1,526,922
|
|
149,897
|
|
IFB Ser. 3249, Class SI, IO, 2.514s, 2036
|
|
1,327,209
|
|
149,973
|
|
IFB Ser. 3028, Class ES, IO, 2.514s, 2035
|
|
7,003,960
|
|
777,897
|
|
IFB Ser. 3042, Class SP, IO, 2.514s, 2035
|
|
1,614,052
|
|
175,684
|
|
IFB Ser. 3045, Class DI, IO, 2.494s, 2035
|
|
13,178,804
|
|
1,128,502
|
|
IFB Ser. 3054, Class CS, IO, 2.464s, 2035
|
|
1,497,015
|
|
114,460
|
|
IFB Ser. 3107, Class DC, IO, 2.464s, 2035
|
|
7,591,334
|
|
876,235
|
|
IFB Ser. 3066, Class SI, IO, 2.464s, 2035
|
|
4,785,949
|
|
544,279
|
|
IFB Ser. 2950, Class SM, IO, 2.464s, 2016
|
|
1,138,285
|
|
110,841
|
|
IFB Ser. 3256, Class S, IO, 2.454s, 2036
|
|
4,387,708
|
|
442,821
|
|
IFB Ser. 3031, Class BI, IO, 2.454s, 2035
|
|
1,338,417
|
|
158,841
|
|
IFB Ser. 3244, Class SB, IO, 2.424s, 2036
|
|
2,208,371
|
|
207,935
|
|
IFB Ser. 3244, Class SG, IO, 2.424s, 2036
|
|
2,521,944
|
|
256,257
|
|
IFB Ser. 3236, Class IS, IO, 2.414s, 2036
|
|
4,085,388
|
|
366,697
|
|
IFB Ser. 3114, Class TS, IO, 2.414s, 2030
|
|
8,219,078
|
|
467,992
|
|
IFB Ser. 3240, Class S, IO, 2.384s, 2036
|
|
7,054,245
|
|
651,245
|
|
IFB Ser. 3153, Class JI, IO, 2.384s, 2036
|
|
3,469,649
|
|
299,200
|
|
IFB Ser. 3065, Class DI, IO, 2.384s, 2035
|
|
1,047,440
|
|
124,302
|
|
IFB Ser. 3218, Class AS, IO, 2.344s, 2036
|
|
2,461,564
|
|
205,604
|
|
IFB Ser. 3221, Class SI, IO, 2.344s, 2036
|
|
3,316,435
|
|
288,180
|
|
IFB Ser. 3153, Class UI, IO, 2.334s, 2036
|
|
515,234
|
|
61,741
|
|
IFB Ser. 3202, Class PI, IO, 2.304s, 2036
|
|
8,996,084
|
|
816,844
|
|
IFB Ser. 3355, Class MI, IO, 2.264s, 2037
|
|
2,094,715
|
|
186,068
|
|
IFB Ser. 3355, Class LI, IO, 2.264s, 2037
|
|
2,549,706
|
|
149,160
|
|
IFB Ser. 3201, Class SG, IO, 2.264s, 2036
|
|
4,159,082
|
|
380,223
|
|
IFB Ser. 3203, Class SE, IO, 2.264s, 2036
|
|
3,760,917
|
|
329,712
|
|
IFB Ser. 3171, Class PS, IO, 2.249s, 2036
|
|
3,122,794
|
|
305,753
|
|
IFB Ser. 3152, Class SY, IO, 2.244s, 2036
|
|
6,263,915
|
|
642,873
|
|
IFB Ser. 3284, Class BI, IO, 2.214s, 2037
|
|
2,509,664
|
|
217,560
|
|
IFB Ser. 3260, Class SA, IO, 2.214s, 2037
|
|
2,353,870
|
|
159,938
|
|
IFB Ser. 3199, Class S, IO, 2.214s, 2036
|
|
5,375,726
|
|
492,332
|
29
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS (26.9%)*
continued
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Freddie Mac
|
|
|
|
|
|
IFB Ser. 3284, Class LI, IO, 2.204s, 2037
|
$
|
5,121,681
|
$
|
458,308
|
|
IFB Ser. 3281, Class AI, IO, 2.194s, 2037
|
|
8,437,291
|
|
767,913
|
|
IFB Ser. 3311, Class IA, IO, 2.174s, 2037
|
|
3,719,905
|
|
354,812
|
|
IFB Ser. 3311, Class IB, IO, 2.174s, 2037
|
|
3,719,905
|
|
354,812
|
|
IFB Ser. 3311, Class IC, IO, 2.174s, 2037
|
|
3,719,905
|
|
354,812
|
|
IFB Ser. 3311, Class ID, IO, 2.174s, 2037
|
|
3,719,905
|
|
354,812
|
|
IFB Ser. 3311, Class IE, IO, 2.174s, 2037
|
|
5,735,921
|
|
547,104
|
|
IFB Ser. 3240, Class GS, IO, 2.144s, 2036
|
|
4,264,374
|
|
380,310
|
|
IFB Ser. 3339, Class TI, IO, 1.904s, 2037
|
|
4,906,772
|
|
425,242
|
|
IFB Ser. 3284, Class CI, IO, 1.884s, 2037
|
|
9,965,737
|
|
832,641
|
|
IFB Ser. 3016, Class SQ, IO, 1.874s, 2035
|
|
2,965,902
|
|
183,397
|
|
IFB Ser. 3284, Class WI, IO, 1.864s, 2037
|
|
16,552,429
|
|
1,330,270
|
|
Ser. 246, PO, zero %, 2037
|
|
10,338,714
|
|
8,932,121
|
|
Ser. 3300, PO, zero %, 2037
|
|
1,810,008
|
|
1,566,686
|
|
Ser. 236, PO, zero %, 2036
|
|
808,650
|
|
691,352
|
|
FRB Ser. 3326, Class XF, zero %, 2037
|
|
378,154
|
|
367,021
|
|
FRB Ser. 3326, Class WF, zero %, 2035
|
|
342,913
|
|
332,715
|
|
GE Capital Commercial Mortgage Corp. 144A
|
|
|
|
|
|
Ser. 00-1, Class F, 7.787s, 2033
|
|
251,000
|
|
262,768
|
|
Ser. 00-1, Class G, 6.131s, 2033
|
|
1,159,000
|
|
998,003
|
|
GMAC Commercial Mortgage Securities, Inc. 144A
|
|
|
|
|
|
Ser. 99-C3, Class G, 6.974s, 2036
|
|
1,022,427
|
|
1,015,805
|
|
Government National Mortgage Association
|
|
|
|
|
|
IFB Ser. 07-51, Class SP, 15.728s, 2037
|
|
221,206
|
|
278,816
|
|
IFB Ser. 07-64, Class AM, 12.956s, 2037
|
|
95,273
|
|
112,241
|
|
IFB Ser. 05-66, Class SP, 7.229s, 2035
|
|
912,169
|
|
991,029
|
|
IFB Ser. 06-62, Class SI, IO, 3.421s, 2036
|
|
3,179,177
|
|
252,227
|
|
IFB Ser. 07-1, Class SL, IO, 3.401s, 2037
|
|
1,376,435
|
|
121,231
|
|
IFB Ser. 07-1, Class SM, IO, 3.391s, 2037
|
|
1,377,301
|
|
121,007
|
|
IFB Ser. 04-59, Class SC, IO, 3.119s, 2034
|
|
1,582,373
|
|
166,326
|
|
IFB Ser. 07-26, Class SG, IO, 2.891s, 2037
|
|
4,226,781
|
|
385,759
|
|
IFB Ser. 07-9, Class BI, IO, 2.861s, 2037
|
|
8,466,785
|
|
618,153
|
|
IFB Ser. 07-31, Class CI, IO, 2.851s, 2037
|
|
2,532,090
|
|
194,344
|
|
IFB Ser. 07-25, Class SA, IO, 2.841s, 2037
|
|
3,330,747
|
|
245,944
|
|
IFB Ser. 07-25, Class SB, IO, 2.841s, 2037
|
|
6,525,744
|
|
481,864
|
|
IFB Ser. 07-22, Class S, IO, 2.841s, 2037
|
|
2,275,658
|
|
234,030
|
|
IFB Ser. 07-11, Class SA, IO, 2.841s, 2037
|
|
2,055,542
|
|
182,379
|
|
IFB Ser. 07-14, Class SB, IO, 2.841s, 2037
|
|
1,961,241
|
|
166,682
|
|
IFB Ser. 07-51, Class SJ, IO, 2.791s, 2037
|
|
2,357,031
|
|
262,447
|
|
IFB Ser. 07-26, Class SD, IO, 2.719s, 2037
|
|
4,637,029
|
|
385,421
|
|
IFB Ser. 07-59, Class PS, IO, 2.711s, 2037
|
|
1,837,118
|
|
170,329
|
|
IFB Ser. 07-59, Class SP, IO, 2.711s, 2037
|
|
573,355
|
|
53,119
|
|
IFB Ser. 06-38, Class SG, IO, 2.691s, 2033
|
|
9,680,498
|
|
549,947
|
|
IFB Ser. 07-53, Class SG, IO, 2.641s, 2037
|
|
1,616,011
|
|
115,093
|
|
IFB Ser. 07-79, Class SY, IO, 2.591s, 2037
|
|
9,836,835
|
|
646,409
|
|
IFB Ser. 07-64, Class AI, IO, 2.591s, 2037
|
|
857,454
|
|
56,527
|
|
IFB Ser. 07-53, Class ES, IO, 2.591s, 2037
|
|
2,636,412
|
|
166,228
|
|
IFB Ser. 07-48, Class SB, IO, 2.569s, 2037
|
|
3,572,706
|
|
249,263
|
|
IFB Ser. 07-9, Class DI, IO, 2.551s, 2037
|
|
4,269,299
|
|
285,345
|
30
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS (26.9%)*
continued
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
IFB Ser. 07-57, Class QA, IO, 2.541s, 2037
|
$
|
5,669,302
|
$
|
364,084
|
|
IFB Ser. 07-58, Class SC, IO, 2.541s, 2037
|
|
4,808,355
|
|
287,957
|
|
IFB Ser. 07-61, Class SA, IO, 2.541s, 2037
|
|
3,004,700
|
|
190,960
|
|
IFB Ser. 07-53, Class SC, IO, 2.541s, 2037
|
|
2,867,273
|
|
173,346
|
|
IFB Ser. 07-58, Class SD, IO, 2.531s, 2037
|
|
4,607,152
|
|
286,324
|
|
IFB Ser. 07-59, Class SD, IO, 2.511s, 2037
|
|
1,105,823
|
|
68,503
|
|
IFB Ser. 07-17, Class AI, IO, 2.469s, 2037
|
|
10,171,254
|
|
863,924
|
|
IFB Ser. 07-78, Class SA, IO, 2.449s, 2037
|
|
14,685,373
|
|
1,211,543
|
|
IFB Ser. 07-9, Class AI, IO, 2.419s, 2037
|
|
4,865,109
|
|
374,550
|
|
IFB Ser. 05-65, Class SI, IO, 2.391s, 2035
|
|
3,114,678
|
|
237,112
|
|
IFB Ser. 07-17, Class IB, IO, 2.291s, 2037
|
|
1,958,568
|
|
146,920
|
|
IFB Ser. 06-14, Class S, IO, 2.291s, 2036
|
|
3,062,236
|
|
211,313
|
|
IFB Ser. 06-11, Class ST, IO, 2.281s, 2036
|
|
1,907,082
|
|
133,881
|
|
IFB Ser. 07-27, Class SD, IO, 2.241s, 2037
|
|
2,387,390
|
|
145,145
|
|
IFB Ser. 07-19, Class SJ, IO, 2.241s, 2037
|
|
4,031,114
|
|
232,748
|
|
IFB Ser. 07-23, Class ST, IO, 2.241s, 2037
|
|
4,413,724
|
|
233,648
|
|
IFB Ser. 07-9, Class CI, IO, 2.241s, 2037
|
|
5,546,050
|
|
326,101
|
|
IFB Ser. 07-7, Class EI, IO, 2.241s, 2037
|
|
2,376,887
|
|
142,482
|
|
IFB Ser. 07-7, Class JI, IO, 2.241s, 2037
|
|
5,469,229
|
|
373,807
|
|
IFB Ser. 07-1, Class S, IO, 2.241s, 2037
|
|
5,314,008
|
|
302,627
|
|
IFB Ser. 07-3, Class SA, IO, 2.241s, 2037
|
|
5,069,505
|
|
288,422
|
|
IFB Ser. 07-31, Class AI, IO, 2.099s, 2037
|
|
2,392,278
|
|
266,089
|
|
IFB Ser. 07-73, Class MI, IO, 2.041s, 2037
|
|
1,402,923
|
|
76,820
|
|
IFB Ser. 07-43, Class SC, IO, 2.019s, 2037
|
|
3,701,834
|
|
228,626
|
|
IFB Ser. 08-3, Class SA, IO, 2.01s, 2038 (F)
|
|
5,491,000
|
|
328,960
|
|
IFB Ser. 08-4, Class SA, IO, 2.001s, 2038
|
|
27,883,000
|
|
1,853,784
|
|
Ser. 07-73, Class MO, PO, zero %, 2037
|
|
108,368
|
|
89,176
|
|
FRB Ser. 07-73, Class KI, IO, zero %, 2037
|
|
1,078,796
|
|
18,491
|
|
FRB Ser. 07-73, Class KM, zero %, 2037
|
|
107,391
|
|
109,181
|
|
FRB Ser. 98-2, Class EA, PO, zero %, 2028
|
|
117,602
|
|
101,300
|
|
GS Mortgage Securities Corp. II
|
|
|
|
|
|
FRB Ser. 07-GG10, Class A3, 5.993s, 2045
|
|
679,000
|
|
673,365
|
|
Ser. 06-GG6, Class A2, 5.506s, 2038 (F)
|
|
2,446,000
|
|
2,484,995
|
|
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,
|
|
|
|
|
|
2035 (Cayman Islands)
|
|
278,079
|
|
83,424
|
|
IMPAC Secured Assets Corp. FRB Ser. 07-2,
|
|
|
|
|
|
Class 1A1A, 3.486s, 2037
|
|
800,859
|
|
751,806
|
|
JPMorgan Chase Commercial Mortgage Securities Corp.
|
|
|
|
|
|
FRB Ser. 07-LD12, Class AM, 6.261s, 2051
|
|
1,032,000
|
|
1,047,996
|
|
FRB Ser. 07-LD12, Class A3, 6.189s, 2051
|
|
4,928,000
|
|
4,984,179
|
|
FRB Ser. 07-LD11, Class A3, 6.007s, 2049
|
|
847,000
|
|
819,329
|
|
Ser. 07-CB20, Class A3, 5.863s, 2051
|
|
1,698,000
|
|
1,683,907
|
|
Ser. 07-CB20, Class A4, 5.794s, 2051
|
|
1,107,000
|
|
1,134,675
|
|
JPMorgan Chase Commercial Mortgage Securities Corp.
|
|
|
|
|
|
144A Ser. 07-CB20, Class X1, IO, 0.059s, 2051
|
|
125,211,735
|
|
1,603,962
|
|
LB Commercial Conduit Mortgage Trust 144A
|
|
|
|
|
|
Ser. 99-C1, Class G, 6.41s, 2031
|
|
492,082
|
|
509,831
|
|
Ser. 98-C4, Class J, 5.6s, 2035
|
|
965,000
|
|
835,572
|
31
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS (26.9%)*
continued
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
LB-UBS Commercial Mortgage Trust
|
|
|
|
|
|
Ser. 07-C6, Class A2, 5.845s, 2012
|
$
|
1,535,000
|
$
|
1,585,761
|
|
Ser. 07-C7, Class XW, IO, 0.526s, 2045
|
|
119,476,449
|
|
3,084,882
|
|
LB-UBS Commercial Mortgage Trust 144A Ser. 07-C7,
|
|
|
|
|
|
Class XCL, IO, 0.086s, 2045
|
|
50,437,968
|
|
606,264
|
|
Lehman Mortgage Trust
|
|
|
|
|
|
IFB Ser. 07-5, Class 4A3, 19.823s, 2036
|
|
1,585,630
|
|
2,034,537
|
|
IFB Ser. 07-5, Class 8A2, IO, 4.344s, 2036
|
|
2,912,653
|
|
247,008
|
|
IFB Ser. 07-4, Class 3A2, IO, 3.824s, 2037
|
|
2,032,933
|
|
180,565
|
|
IFB Ser. 06-5, Class 2A2, IO, 3.774s, 2036
|
|
5,332,028
|
|
378,006
|
|
IFB Ser. 07-2, Class 2A13, IO, 3.314s, 2037
|
|
4,083,416
|
|
325,038
|
|
IFB Ser. 06-9, Class 2A2, IO, 3.244s, 2037
|
|
4,802,366
|
|
438,949
|
|
IFB Ser. 06-7, Class 2A4, IO, 3.174s, 2036
|
|
8,336,636
|
|
511,814
|
|
IFB Ser. 06-7, Class 2A5, IO, 3.174s, 2036
|
|
7,588,436
|
|
633,283
|
|
IFB Ser. 06-6, Class 1A2, IO, 3.124s, 2036
|
|
3,020,433
|
|
185,443
|
|
IFB Ser. 06-6, Class 1A3, IO, 3.124s, 2036
|
|
4,255,708
|
|
307,721
|
|
IFB Ser. 06-5, Class 1A3, IO, 2.024s, 2036
|
|
1,415,984
|
|
25,187
|
|
IFB Ser. 06-4, Class 1A3, IO, 2.024s, 2036
|
|
2,040,080
|
|
54,053
|
|
IFB Ser. 06-7, Class 1A3, IO, 1.974s, 2036
|
|
3,572,315
|
|
64,119
|
|
Local Insight Media Finance, LLC Ser. 07-1W, Class A1, 5.53s, 2012
|
3,423,000
|
|
3,320,721
|
|
Mach One Commercial Mortgage Trust 144A
|
|
|
|
|
|
Ser. 04-1A, Class J, 5.45s, 2040 (Canada) (F)
|
|
1,154,000
|
|
734,513
|
|
Ser. 04-1A, Class K, 5.45s, 2040 (Canada) (F)
|
|
411,000
|
|
236,734
|
|
Ser. 04-1A, Class L, 5.45s, 2040 (Canada) (F)
|
|
187,000
|
|
94,478
|
|
MASTR Adjustable Rate Mortgages Trust FRB
|
|
|
|
|
|
Ser. 04-13, Class 3A6, 3.786s, 2034
|
|
554,000
|
|
553,592
|
|
Merrill Lynch Capital Funding Corp. Ser. 06-4,
|
|
|
|
|
|
Class XC, IO, 0.062s, 2049
|
|
111,209,032
|
|
1,616,006
|
|
Merrill Lynch Mortgage Investors, Inc.
|
|
|
|
|
|
FRB Ser. 05-A9, Class 3A1, 5.278s, 2035
|
|
908,542
|
|
917,192
|
|
Ser. 96-C2, Class JS, IO, 2.265s, 2028 (F)
|
|
2,114,303
|
|
168,808
|
|
Merrill Lynch Mortgage Trust FRB Ser. 07-C1,
|
|
|
|
|
|
Class A3, 6.023s, 2050
|
|
451,000
|
|
460,705
|
|
Merrill Lynch/Countrywide Commercial Mortgage Trust
|
|
|
|
|
|
FRB Ser. 07-8, Class A2, 6.119s, 2049
|
|
821,000
|
|
833,669
|
|
Mezz Cap Commercial Mortgage Trust Ser. 07-C5,
|
|
|
|
|
|
Class X, 4.867s, 2017
|
|
4,865,000
|
|
1,279,063
|
|
Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1,
|
|
|
|
|
|
Class X, IO, 8.008s, 2037
|
|
1,376,552
|
|
394,898
|
|
Morgan Stanley Capital I
|
|
|
|
|
|
Ser. 98-CF1, Class E, 7.35s, 2032
|
|
2,455,000
|
|
2,388,413
|
|
FRB Ser. 07-IQ14, Class AM, 5.877s, 2049
|
|
507,000
|
|
490,823
|
|
Morgan Stanley Capital I 144A
|
|
|
|
|
|
FRB Ser. 04-RR, Class F7, 6s, 2039 (F)
|
|
3,360,000
|
|
1,765,345
|
|
Ser. 07-HQ13, Class X1, IO, 0.824s, 2044
|
|
110,615,431
|
|
3,577,303
|
|
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,
|
|
|
|
|
|
Class 2A1, 5.289s, 2035
|
|
2,570,349
|
|
2,554,311
|
|
Mortgage Capital Funding, Inc.
|
|
|
|
|
|
FRB Ser. 98-MC2, Class E, 7.26s, 2030
|
|
459,501
|
|
466,386
|
|
Ser. 97-MC2, Class X, IO, 2.557s, 2012
|
|
87,155
|
|
370
|
32
|
|
|
|
|
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS (26.9%)*
continued
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Permanent Financing PLC FRB Ser. 8, Class 2C,
|
|
|
|
|
|
|
5.546s, 2042 (United Kingdom)
|
|
$
|
1,112,000
|
$
|
1,106,027
|
|
Permanent Financing PLC 144A FRB Ser. 9A, Class 3A,
|
|
|
|
|
|
|
5.246s, 2033 (United Kingdom)
|
|
|
5,880,000
|
|
5,600,818
|
|
Permanent Master Issuer PLC FRB Ser. 07-1, Class 4A,
|
|
|
|
|
|
|
4.338s, 2033 (United Kingdom)
|
|
|
7,142,000
|
|
6,892,173
|
|
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1,
|
|
|
|
|
|
|
Class J, 6 5/8s, 2010
|
|
|
285,000
|
|
258,065
|
|
Residential Asset Securitization Trust
|
|
|
|
|
|
|
IFB Ser. 07-A3, Class 2A2, IO, 3.314s, 2037
|
|
|
9,482,626
|
|
768,847
|
|
IFB Ser. 06-A7CB, Class 1A6, IO, 2.174s, 2036
|
|
|
878,302
|
|
30,912
|
|
Residential Mortgage Securities 144A FRB Ser. 20A,
|
|
|
|
|
|
|
Class B1A, 7.018s, 2038 (United Kingdom)
|
GBP
|
|
250,000
|
|
440,840
|
|
SBA CMBS Trust 144A Ser. 05-1A, Class E, 6.706s, 2035
|
|
$
|
595,000
|
|
595,290
|
|
STRIPS 144A
|
|
|
|
|
|
|
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)
|
|
|
316,000
|
|
269,229
|
|
Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)
|
|
|
376,000
|
|
304,310
|
|
Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)
|
|
|
345,000
|
|
310,338
|
|
Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)
|
|
|
325,000
|
|
274,397
|
|
Structured Asset Securities Corp.
|
|
|
|
|
|
|
IFB Ser. 07-4, Class 1A3, IO, 2.965s, 2037
|
|
|
7,762,735
|
|
580,408
|
|
Ser. 07-4, Class 1A4, IO, 1s, 2037
|
|
|
8,296,991
|
|
216,866
|
|
Structured Asset Securities Corp. 144A Ser. 07-RF1,
|
|
|
|
|
|
|
Class 1A, IO, 0.936s, 2037
|
|
|
10,025,673
|
|
533,500
|
|
Titan Europe PLC 144A
|
|
|
|
|
|
|
FRB Ser. 05-CT2A, Class E, 7.095s, 2014 (Ireland)
|
GBP
|
|
444,138
|
|
860,012
|
|
FRB Ser. 05-CT1A, Class D, 7.095s, 2014 (Ireland)
|
GBP
|
|
907,390
|
|
1,618,014
|
|
URSUS EPC 144A FRB Ser. 1-A, Class D, 6.938s,
|
|
|
|
|
|
|
2012 (Ireland)
|
GBP
|
|
468,096
|
|
874,950
|
|
Wachovia Bank Commercial Mortgage Trust
|
|
|
|
|
|
|
Ser. 07-C30, Class A3, 5.246s, 2043
|
|
$
|
1,553,000
|
|
1,533,774
|
|
Ser. 07-C34, IO, 0.521s, 2046
|
|
|
33,084,882
|
|
849,951
|
|
Wachovia Bank Commercial Mortgage Trust 144A FRB
|
|
|
|
|
|
|
Ser. 05-WL5A, Class L, 7.536s, 2018
|
|
|
917,000
|
|
852,810
|
|
Wells Fargo Mortgage Backed Securities Trust
|
|
|
|
|
|
|
Ser. 05-AR16, Class 2A1, 4.942s, 2035
|
|
|
28,788
|
|
28,756
|
|
Ser. 05-AR13, Class 1A4, IO, 0.742s, 2035
|
|
|
22,247,508
|
|
177,720
|
|
|
Total collateralized mortgage obligations (cost $253,539,663)
|
|
|
|
$
|
289,398,004
|
|
|
|
|
|
|
|
FOREIGN GOVERNMENT BONDS AND NOTES (23.0%)*
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Argentina (Republic of ) bonds 7s, 2013
|
|
$
|
1,380,000
|
$
|
1,224,328
|
|
Argentina (Republic of ) bonds Ser. $V, 10 1/2s, 2012
|
ARS
|
|
9,085,000
|
|
2,328,031
|
|
Argentina (Republic of ) FRB 3.092s, 2012
|
|
$
|
15,087,500
|
|
13,239,475
|
|
Argentina (Republic of ) notes Ser. $dis, 8.28s, 2033
|
|
|
2,514,269
|
|
2,325,699
|
|
Austria (Republic of ) 144A notes Ser. EMTN, 3.8s, 2013
|
EUR
|
|
8,000,000
|
|
11,937,692
|
|
Brazil (Federal Republic of ) bonds 6s, 2017
|
|
$
|
2,935,000
|
|
2,983,428
|
|
Brazil (Federal Republic of ) notes zero %, 2017
|
BRL
|
|
659,000
|
|
3,216,531
|
33
|
|
|
|
|
|
|
|
FOREIGN GOVERNMENT BONDS AND NOTES (23.0%)*
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Canada (Government of ) bonds Ser. WL43, 5 3/4s, 2029
|
CAD
|
|
1,340,000
|
$
|
1,622,230
|
|
Colombia (Republic of ) 7 3/8s, 2037
|
|
$
|
1,000,000
|
|
1,062,500
|
|
Colombia (Republic of ) 7 3/8s, 2017
|
|
|
665,000
|
|
726,513
|
|
Colombia (Republic of ) notes 10s, 2012
|
|
|
3,765,000
|
|
4,405,050
|
|
Ecuador (Republic of ) bonds, Ser. REGS,12s, 2012
|
|
|
310,080
|
|
312,871
|
|
Ecuador (Republic of ) regs notes 9 3/8s, 2015
|
|
|
245,000
|
|
248,063
|
|
France (Government of ) bonds 5 3/4s, 2032
|
EUR
|
|
2,605,000
|
|
4,572,734
|
|
France (Government of ) bonds 5 1/2s, 2010
|
EUR
|
|
6,300,000
|
|
9,850,783
|
|
France (Government of ) bonds 4s, 2013
|
EUR
|
|
7,700,000
|
|
11,624,047
|
|
France (Government of ) bonds 4s, 2009
|
EUR
|
|
1,520,000
|
|
2,280,146
|
|
Ghana (Republic of ) bonds 8 1/2s, 2017
|
|
$
|
555,000
|
|
583,444
|
|
Indonesia (Republic of ) bonds 14.275s, 2013
|
IDR
|
|
5,011,000,000
|
|
661,339
|
|
Indonesia (Republic of ) bonds 14 1/4s, 2013
|
IDR
|
14,881,000,000
|
|
1,945,670
|
|
Indonesia (Republic of ) 144A bonds 6 5/8s, 2037
|
|
$
|
1,875,000
|
|
1,753,125
|
|
Ireland (Republic of ) bonds 5s, 2013
|
EUR
|
|
14,800,000
|
|
23,322,057
|
|
Japan (Government of ) 30 yr bonds Ser. 23, 2 1/2s, 2036
|
JPY
|
|
313,000,000
|
|
3,022,666
|
|
Japan (Government of ) CPI Linked bonds Ser. 12, 1.2s, 2017
|
JPY
|
|
738,460,800
|
|
6,989,041
|
|
Japan (Government of ) CPI Linked bonds Ser. 8, 1s, 2016
|
JPY
|
|
7,821,771,800
|
|
73,280,321
|
|
Mexican (Government of ) 6.05s, 2040
|
|
$
|
4,010,000
|
|
3,952,858
|
|
Mexican (Government of ) bonds Ser. M 10, 8s, 2015
|
MXN
|
|
34,400,000
|
|
3,246,233
|
|
Peru (Republic of ) bonds 8 3/4s, 2033
|
|
$
|
935,000
|
|
1,241,213
|
|
Russia (Federation of ) unsub. 5s, 2030
|
|
|
3,501,630
|
|
4,035,629
|
|
Russia (Federation of ) 144A unsub. unsec. bonds 5s, 2030
|
|
|
5,556,573
|
|
6,403,950
|
|
Russia (Ministry of Finance) debs. Ser. V, 3s, 2008
|
|
|
4,040,000
|
|
4,014,952
|
|
South Africa (Republic of ) notes 5 7/8s, 2022
|
|
|
880,000
|
|
851,400
|
|
Spain (Kingdom of ) bonds 5s, 2012
|
EUR
|
|
4,600,000
|
|
7,208,442
|
|
Sweden (Government of ) debs. Ser. 1041, 6 3/4s, 2014
|
SEK
|
|
59,875,000
|
|
10,937,325
|
|
Turkey (Republic of ) notes 6 7/8s, 2036 (S)
|
|
$
|
6,870,000
|
|
6,732,600
|
|
Ukraine (Government of ) 144A bonds 6 3/4s, 2017
|
|
|
1,565,000
|
|
1,543,481
|
|
Ukraine (Government of ) 144A sr. unsub. 6.58s, 2016 (S)
|
|
|
1,185,000
|
|
1,186,778
|
|
United Mexican States bonds Ser. MTN, 8.3s, 2031
|
|
|
4,545,000
|
|
5,778,968
|
|
Venezuela (Republic of ) notes 10 3/4s, 2013
|
|
|
3,270,000
|
|
3,569,205
|
|
Venezuela (Republic of ) unsub. bonds 5 3/8s, 2010
|
|
|
1,295,000
|
|
1,246,438
|
|
|
Total foreign government bonds and notes (cost $221,678,638)
|
|
|
|
$247,467,256
|
|
|
|
|
|
|
|
CORPORATE BONDS AND NOTES (18.2%)*
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Basic Materials (1.4%)
|
|
|
|
|
|
|
Algoma Acquisition Corp. 144A unsec. notes 9 7/8s,
|
|
|
|
|
|
|
2015 (Canada)
|
|
$
|
280,000
|
$
|
224,000
|
|
Builders FirstSource, Inc. company guaranty FRN 9.119s, 2012
|
|
530,000
|
|
431,288
|
|
Clondalkin Acquisition BV 144A sec. FRN 6.991s,
|
|
|
|
|
|
|
2013 (Netherlands)
|
|
|
360,000
|
|
313,200
|
|
Compass Minerals International, Inc. sr. disc.
|
|
|
|
|
|
|
notes stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 ††
|
|
|
555,000
|
|
573,038
|
|
Domtar Corp. company guaranty Ser. *, 7 7/8s, 2011 (Canada)
|
|
485,000
|
|
492,275
|
|
Freeport-McMoRan Copper & Gold, Inc. sr. unsec.
|
|
|
|
|
|
|
bonds 8 3/8s, 2017
|
|
|
1,657,000
|
|
1,752,278
|
34
|
|
|
|
|
|
|
|
CORPORATE BONDS AND NOTES (18.2%)*
continued
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Basic Materials
continued
|
|
|
|
|
|
|
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. FRN
|
|
|
|
|
|
|
8.394s, 2015
|
|
$
|
295,000
|
$
|
285,044
|
|
Freeport-McMoRan Copper & Gold, Inc. sr. unsec.
|
|
|
|
|
|
|
notes 8 1/4s, 2015
|
|
|
830,000
|
|
871,500
|
|
Georgia-Pacific Corp. debs. 9 1/2s, 2011
|
|
|
99,000
|
|
102,960
|
|
Georgia-Pacific Corp. notes 8 1/8s, 2011
|
|
|
110,000
|
|
110,000
|
|
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada)
|
|
|
691,000
|
|
727,278
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia
|
|
|
|
|
|
|
Finance, ULC company guaranty 9 3/4s, 2014
|
|
|
1,195,000
|
|
1,287,613
|
|
Momentive Performance Materials, Inc. company
|
|
|
|
|
|
|
guaranty sr. unsec. notes 9 3/4s, 2014
|
|
|
520,000
|
|
470,600
|
|
Mosaic Co. (The) 144A sr. notes 7 5/8s, 2016
|
|
|
446,000
|
|
481,680
|
|
Mosaic Co. (The) 144A sr. notes 7 3/8s, 2014
|
|
|
269,000
|
|
290,520
|
|
NewPage Corp. company guaranty 10s, 2012
|
|
|
116,000
|
|
115,420
|
|
NewPage Corp. sec. notes 10s, 2012
|
|
|
260,000
|
|
258,700
|
|
NewPage Holding Corp. sr. notes FRN 11.818s, 2013 ‡‡
|
|
|
154,160
|
|
134,119
|
|
Norske Skog Canada, Ltd. company guaranty Ser. D,
|
|
|
|
|
|
|
8 5/8s, 2011 (Canada)
|
|
|
30,000
|
|
25,350
|
|
Novelis, Inc. company guaranty 7 1/4s, 2015
|
|
|
221,000
|
|
203,873
|
|
Rhodia SA 144A company guaranty unsec.
|
|
|
|
|
|
|
sr. notes 7.326s, 2013 (France)
|
|
|
2,545,000
|
|
3,445,207
|
|
Rockwood Specialties Group, Inc. company
|
|
|
|
|
|
|
guaranty 7 5/8s, 2014
|
EUR
|
|
405,000
|
|
521,445
|
|
Steel Dynamics, Inc. company guaranty sr. unsec.
|
|
|
|
|
|
|
unsub. notes 6 3/4s, 2015
|
|
$
|
1,588,000
|
|
1,536,390
|
|
Steel Dynamics, Inc. 144A sr. notes 7 3/8s, 2012
|
|
|
10,000
|
|
9,975
|
|
Stone Container Corp. sr. notes 8 3/8s, 2012
|
|
|
399,000
|
|
386,033
|
|
Stone Container Finance company guaranty 7 3/8s,
|
|
|
|
|
|
|
2014 (Canada)
|
|
|
490,000
|
|
448,350
|
|
|
|
|
|
|
15,498,136
|
|
|
|
|
Capital Goods (1.4%)
|
|
|
|
|
|
|
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016
|
|
|
907,000
|
|
875,255
|
|
Bombardier, Inc. 144A notes 6 3/4s, 2012 (Canada)
|
|
|
3,155,000
|
|
3,202,325
|
|
Bombardier, Inc. 144A sr. notes 8s, 2014 (Canada)
|
|
|
620,000
|
|
647,900
|
|
Bombardier, Inc. 144A sr. unsec. FRN 7.631s, 2013 (Canada)
|
|
EUR
|
330,000
|
|
463,908
|
|
BPC Holding Corp. sec. notes 8 7/8s, 2014
|
|
|
524,000
|
|
465,050
|
|
Crown Americas, LLC/Crown Americas Capital Corp.
|
|
|
|
|
|
|
sr. notes 7 5/8s, 2013
|
|
$
|
1,281,000
|
|
1,290,608
|
|
General Cable Corp. company guaranty FRN 7.104s, 2015
|
|
|
375,000
|
|
333,750
|
|
Hawker Beechcraft Acquisition Co., LLC 144A
|
|
|
|
|
|
|
sr. notes 8 1/2s, 2015
|
|
|
664,000
|
|
659,020
|
|
Hexcel Corp. sr. sub. notes 6 3/4s, 2015
|
|
|
132,000
|
|
127,380
|
|
L-3 Communications Corp. company guaranty 6 1/8s, 2013
|
|
|
1,298,000
|
|
1,281,775
|
|
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015
|
|
|
1,019,000
|
|
990,978
|
|
Legrand SA debs. 8 1/2s, 2025 (France)
|
|
|
1,573,000
|
|
1,831,140
|
|
Milacron Escrow Corp. sec. notes 11 1/2s, 2011
|
|
|
28,000
|
|
21,560
|
|
Owens-Illinois, Inc. debs. 7 1/2s, 2010
|
|
|
207,000
|
|
208,553
|
|
RBS Global, Inc. / Rexnord Corp. company
|
|
|
|
|
|
|
guaranty 9 1/2s, 2014
|
|
|
1,395,000
|
|
1,258,988
|
35
|
|
|
|
|
|
|
CORPORATE BONDS AND NOTES (18.2%)*
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Capital Goods
continued
|
|
|
|
|
|
Ryerson Tull, Inc. 144A sec. notes 12s, 2015
|
$
|
225,000
|
$
|
211,500
|
|
SPX Corp. sr. notes 7 5/8s, 2014
|
|
305,000
|
|
312,625
|
|
TD Funding Corp. company guaranty 7 3/4s, 2014
|
|
205,000
|
|
206,025
|
|
Tekni-Plex, Inc. sec. notes 10 7/8s, 2012
|
|
265,000
|
|
280,900
|
|
Terex Corp. sr. sub. notes 8s, 2017
|
|
595,000
|
|
583,100
|
|
|
|
|
|
15,252,340
|
|
|
|
|
Communication Services (1.3%)
|
|
|
|
|
|
American Tower Corp. 144A sr. notes 7s, 2017
|
|
770,000
|
|
762,300
|
|
Cincinnati Bell, Inc. company guaranty 7s, 2015
|
|
1,040,000
|
|
972,400
|
|
Cricket Communications, Inc. 144A company
|
|
|
|
|
|
guaranty 9 3/8s, 2014
|
|
860,000
|
|
782,600
|
|
Digicel Group, Ltd. 144A sr. notes 8 7/8s, 2015 (Jamaica)
|
|
745,000
|
|
657,463
|
|
Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)
|
|
420,000
|
|
425,775
|
|
Inmarsat Finance PLC company guaranty stepped-coupon
|
|
|
|
|
|
zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) ††
|
|
1,503,000
|
|
1,465,425
|
|
iPCS, Inc. sec. FRN 5.364s, 2013
|
|
280,000
|
|
249,200
|
|
MetroPCS Wireless, Inc. company guaranty sr. unsec.
|
|
|
|
|
|
notes 9 1/4s, 2014
|
|
180,000
|
|
165,600
|
|
PAETEC Holding Corp. 144A sr. notes 9 1/2s, 2015
|
|
295,000
|
|
275,088
|
|
Qwest Communications International, Inc. company
|
|
|
|
|
|
guaranty 7 1/2s, 2014
|
|
699,000
|
|
692,010
|
|
Qwest Corp. debs. 7 1/4s, 2025
|
|
382,000
|
|
359,080
|
|
Qwest Corp. notes 8 7/8s, 2012
|
|
2,424,000
|
|
2,560,350
|
|
Qwest Corp. sr. unsec. notes 7 1/2s, 2014
|
|
145,000
|
|
145,725
|
|
Rural Cellular Corp. FRN sr. sub. notes 8.124s, 2013
|
|
385,000
|
|
390,775
|
|
West Corp. company guaranty 9 1/2s, 2014
|
|
255,000
|
|
237,150
|
|
Wind Aquisition Fin. SA notes 9 3/4s, 2015 (Luxembourg)
|
EUR
|
2,325,000
|
|
3,527,843
|
|
|
|
|
|
13,668,784
|
|
|
|
|
Consumer Cyclicals (2.8%)
|
|
|
|
|
|
Allison Transmission 144A company guaranty 11s, 2015
|
$
|
150,000
|
|
126,000
|
|
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s, 2014
|
|
310,000
|
|
212,350
|
|
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012
|
|
315,000
|
|
296,888
|
|
Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014
|
|
265,000
|
|
230,550
|
|
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)
|
|
663,075
|
|
628,264
|
|
D.R. Horton, Inc. sr. notes 7 7/8s, 2011
|
|
1,495,000
|
|
1,431,705
|
|
FelCor Lodging LP company guaranty 8 1/2s, 2008 (R)
|
|
1,012,000
|
|
1,012,000
|
|
Ford Motor Co. notes 7.45s, 2031
|
|
510,000
|
|
376,125
|
|
Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011
|
|
1,389,000
|
|
1,332,104
|
|
Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s, 2010
|
|
3,983,000
|
|
3,864,173
|
|
Ford Motor Credit Co., LLC unsec. notes 7 3/8s, 2009
|
|
382,000
|
|
367,871
|
|
Ford Motor Credit Co., LLC sr. unsec. FRN 7.127s, 2012
|
|
250,000
|
|
209,990
|
|
General Motors Corp. debs. 9.4s, 2021
|
|
170,000
|
|
148,325
|
|
Goodman Global Holding Co., Inc. company
|
|
|
|
|
|
guaranty FRN Ser. B, 7.991s, 2012
|
|
70,000
|
|
70,700
|
|
Hanesbrands, Inc. company guaranty FRN Ser. B,
|
|
|
|
|
|
8.204s, 2014
|
|
620,000
|
|
561,100
|
|
Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)
|
|
1,460,000
|
|
1,449,050
|
36
|
|
|
|
|
|
|
CORPORATE BONDS AND NOTES (18.2%)*
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Consumer Cyclicals
continued
|
|
|
|
|
|
Jostens IH Corp. company guaranty 7 5/8s, 2012
|
$
|
1,164,000
|
$
|
1,149,450
|
|
Lamar Media Corp. sr. unsec. sub. notes Ser. C, 6 5/8s, 2015
|
|
325,000
|
|
307,938
|
|
Levi Strauss & Co. sr. notes 9 3/4s, 2015
|
|
1,275,000
|
|
1,239,938
|
|
Levi Strauss & Co. sr. notes 8 7/8s, 2016
|
|
560,000
|
|
532,000
|
|
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s, 2015
|
|
760,000
|
|
722,000
|
|
Meritage Homes Corp. company guaranty 6 1/4s, 2015 (S)
|
|
692,000
|
|
484,400
|
|
Meritage Homes Corp. sr. notes 7s, 2014
|
|
90,000
|
|
65,700
|
|
Meritor Automotive, Inc. notes 6.8s, 2009
|
|
135,000
|
|
130,275
|
|
MGM Mirage, Inc. company guaranty 8 1/2s, 2010
|
|
885,000
|
|
920,400
|
|
MGM Mirage, Inc. company guaranty 6s, 2009
|
|
1,929,000
|
|
1,919,355
|
|
NTK Holdings, Inc. sr. disc. notes zero %, 2014
|
|
207,000
|
|
115,920
|
|
Oxford Industries, Inc. sr. notes 8 7/8s, 2011
|
|
880,000
|
|
860,200
|
|
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012
|
|
665,000
|
|
638,400
|
|
Pinnacle Entertainment, Inc. 144A
|
|
|
|
|
|
sr. sub. notes 7 1/2s, 2015
|
|
625,000
|
|
496,875
|
|
Pulte Homes, Inc. company guaranty 7 7/8s, 2011
|
|
1,422,000
|
|
1,374,008
|
|
Quebecor Media notes 7 3/4s, 2016 (Canada)
|
|
140,000
|
|
129,850
|
|
Scientific Games Corp. company guaranty 6 1/4s, 2012
|
|
1,226,000
|
|
1,106,465
|
|
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014
|
|
145,000
|
|
125,425
|
|
Standard Pacific Corp. sr. notes 6 1/2s, 2008
|
|
395,000
|
|
349,575
|
|
Station Casinos, Inc. sr. notes 6s, 2012
|
|
614,000
|
|
535,715
|
|
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014
|
|
81,000
|
|
78,165
|
|
Tenneco, Inc. 144A sr. unsec. notes 8 1/8s, 2015
|
|
730,000
|
|
726,350
|
|
Texas Industries, Inc. sr. unsec. notes 7 1/4s, 2013
|
|
713,000
|
|
684,480
|
|
THL Buildco, Inc. (Nortek Holdings, Inc.)
|
|
|
|
|
|
sr. sub. notes 8 1/2s, 2014
|
|
510,000
|
|
397,800
|
|
Tropicana Entertainment, LLC sr. sub. notes 9 5/8s, 2014
|
|
910,000
|
|
550,550
|
|
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015
|
|
686,000
|
|
493,920
|
|
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009
|
|
1,305,000
|
|
600,300
|
|
Vertis, Inc. 144A sub. notes 13 1/2s, 2009
|
|
335,000
|
|
50,669
|
|
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st
|
|
|
|
|
|
mtge. 6 5/8s, 2014 (S)
|
|
1,087,000
|
|
1,047,596
|
|
|
|
|
|
30,150,914
|
|
|
|
|
Consumer Staples (2.0%)
|
|
|
|
|
|
Affinity Group, Inc. sr. sub. notes 9s, 2012
|
|
1,055,000
|
|
938,950
|
|
AMC Entertainment, Inc. company guaranty 11s, 2016
|
|
485,000
|
|
480,150
|
|
AMC Entertainment, Inc. sr. sub. notes 8s, 2014
|
|
399,000
|
|
350,123
|
|
Archibald Candy Corp. company guaranty 10s,
|
|
|
|
|
|
2008 (In default) (F) †
|
|
173,688
|
|
2,551
|
|
Avis Budget Car Rental, LLC company guaranty 7 3/4s, 2016
|
|
560,000
|
|
498,400
|
|
CCH I Holdings, LLC company guaranty 12 1/8s, 2015
|
|
47,000
|
|
25,145
|
|
CCH I, LLC sec. notes 11s, 2015
|
|
745,000
|
|
533,606
|
|
CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010
|
|
2,154,000
|
|
2,030,145
|
|
CCH II, LLC sr. unsec. notes 10 1/4s, 2010
|
|
166,000
|
|
157,285
|
|
Church & Dwight Co., Inc. company guaranty 6s, 2012
|
|
865,000
|
|
843,375
|
|
Cinemark, Inc. sr. disc. notes stepped-coupon zero %
|
|
|
|
|
|
(9 3/4s, 3/15/09), 2014 ††
|
|
990,000
|
|
905,850
|
|
CSC Holdings, Inc. sr. notes 6 3/4s, 2012
|
|
1,063,000
|
|
1,007,193
|
37
|
|
|
|
|
|
|
CORPORATE BONDS AND NOTES (18.2%)*
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Consumer Staples
continued
|
|
|
|
|
|
Dean Foods Co. company guaranty 7s, 2016
|
$
|
272,000
|
$
|
247,520
|
|
Del Monte Corp. company guaranty 6 3/4s, 2015
|
|
640,000
|
|
595,200
|
|
Del Monte Corp. sr. sub. notes 8 5/8s, 2012
|
|
1,085,000
|
|
1,095,850
|
|
DirecTV Holdings, LLC company guaranty 6 3/8s, 2015
|
|
1,416,000
|
|
1,331,040
|
|
Echostar DBS Corp. company guaranty 6 5/8s, 2014
|
|
4,144,000
|
|
4,045,580
|
|
Hertz Corp. company guaranty 8 7/8s, 2014
|
|
1,075,000
|
|
1,037,375
|
|
Liberty Media, LLC sr. notes 5.7s, 2013
|
|
122,000
|
|
113,022
|
|
Liberty Media, LLC sr. unsec. notes 7 7/8s, 2009
|
|
329,000
|
|
338,431
|
|
Nielsen Finance LLC/Nielsen Finance Co. company
|
|
|
|
|
|
guaranty 10s, 2014
|
|
365,000
|
|
368,650
|
|
Nielsen Finance LLC/Nielsen Finance Co. company
|
|
|
|
|
|
guaranty stepped-coupon zero % (12 1/2s, 8/1/11), 2016 ††
|
|
700,000
|
|
490,000
|
|
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012
|
|
724,000
|
|
718,570
|
|
Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012
|
|
750,000
|
|
758,438
|
|
Rental Services Corp. company guaranty 9 1/2s, 2014
|
|
174,000
|
|
147,465
|
|
Rite Aid Corp. company guaranty 9 3/8s, 2015
|
|
645,000
|
|
488,588
|
|
Rite Aid Corp. sec. notes 7 1/2s, 2017
|
|
620,000
|
|
531,650
|
|
Sara Lee Corp. notes 6 1/4s, 2011
|
|
580,000
|
|
617,425
|
|
United Rentals NA, Inc. sr. sub. notes 7s, 2014
|
|
294,000
|
|
235,935
|
|
Young Broadcasting, Inc. company guaranty 10s, 2011
|
|
469,000
|
|
349,405
|
|
Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014
|
|
160,000
|
|
109,600
|
|
|
|
|
|
21,392,517
|
|
|
|
|
Energy (2.6%)
|
|
|
|
|
|
Arch Western Finance, LLC sr. notes 6 3/4s, 2013
|
|
2,598,000
|
|
2,513,565
|
|
Chaparral Energy, Inc. 144A sr. notes 8 7/8s, 2017
|
|
630,000
|
|
526,050
|
|
CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada)
|
|
1,577,000
|
|
1,454,783
|
|
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013
|
|
1,991,000
|
|
2,035,798
|
|
Complete Production Services, Inc. company
|
|
|
|
|
|
guaranty 8s, 2016
|
|
1,020,000
|
|
989,400
|
|
Comstock Resources, Inc. sr. notes 6 7/8s, 2012
|
|
995,000
|
|
940,275
|
|
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,
|
|
|
|
|
|
2015 (Canada)
|
|
410,000
|
|
405,900
|
|
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015
|
|
625,000
|
|
625,000
|
|
EXCO Resources, Inc. company guaranty 7 1/4s, 2011
|
|
830,000
|
|
792,650
|
|
Forest Oil Corp. sr. notes 8s, 2011
|
|
1,465,000
|
|
1,519,938
|
|
Gaz Capital for Gazprom 144A sr. unsec.
|
|
|
|
|
|
notes 7.288s, 2037 (Luxembourg)
|
|
575,000
|
|
565,685
|
|
Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada)
|
|
1,140,000
|
|
1,031,700
|
|
Helix Energy Solutions Group, Inc. sr. unsec.
|
|
|
|
|
|
9 1/2s, 2016
|
|
755,000
|
|
766,325
|
|
Hornbeck Offshore Services, Inc. sr. notes Ser. B,
|
|
|
|
|
|
6 1/8s, 2014
|
|
1,013,000
|
|
942,090
|
|
Key Energy Services, Inc. 144A sr. notes 8 3/8s, 2014
|
|
355,000
|
|
355,888
|
|
Lukoil International Finance 144A company
|
|
|
|
|
|
guaranty 6.656s, 2022 (Netherlands)
|
|
500,000
|
|
461,250
|
|
Lukoil International Finance 144A company
|
|
|
|
|
|
guaranty 6.356s, 2017 (Netherlands)
|
|
1,200,000
|
|
1,143,000
|
|
Massey Energy Co. sr. notes 6 5/8s, 2010
|
|
523,000
|
|
515,155
|
38
|
|
|
|
|
|
|
|
CORPORATE BONDS AND NOTES (18.2%)*
continued
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Energy
continued
|
|
|
|
|
|
|
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014
|
|
$
|
698,000
|
$
|
687,530
|
|
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013
|
|
|
910,000
|
|
875,875
|
|
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011
|
|
|
676,043
|
|
721,202
|
|
Pacific Energy Partners/Pacific Energy Finance Corp.
|
|
|
|
|
|
|
sr. notes 7 1/8s, 2014
|
|
|
695,000
|
|
734,040
|
|
Peabody Energy Corp. company guaranty 7 3/8s, 2016
|
|
|
1,470,000
|
|
1,503,075
|
|
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013
|
|
|
607,000
|
|
626,728
|
|
Petroleum Co. of Trinidad & Tobago Ltd. 144A
|
|
|
|
|
|
|
sr. unsec. notes 6s, 2022 (Trinidad)
|
|
|
1,745,000
|
|
1,774,944
|
|
Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014 (Bermuda)
|
700,000
|
|
640,500
|
|
Plains Exploration & Production Co. company guaranty
|
|
|
|
|
|
|
7 3/4s, 2015
|
|
|
140,000
|
|
140,175
|
|
Plains Exploration & Production Co. company guaranty 7s, 2017
|
|
|
150,000
|
|
142,500
|
|
Pride International, Inc. sr. notes 7 3/8s, 2014
|
|
|
1,619,000
|
|
1,667,570
|
|
Transocean, Inc. sr. unsec. notes 6s, 2018
|
|
|
435,000
|
|
446,036
|
|
|
|
|
|
|
27,544,627
|
|
|
|
|
Financial (3.5%)
|
|
|
|
|
|
|
Banco Do Brasil 144A sr. unsec. 5.532s, 2017 (Cayman Islands)
|
|
|
1,055,000
|
|
531,150
|
|
Bear Stearns Cos., Inc. (The) notes Ser. MTN, 6.95s, 2012
|
|
|
2,375,000
|
|
2,458,016
|
|
Bosphorus Financial Services, Ltd. 144A sec.
|
|
|
|
|
|
|
sr. notes FRN 6.669s, 2012 (Cayman Islands)
|
|
|
2,828,000
|
|
2,804,579
|
|
Finova Group, Inc. notes 7 1/2s, 2009
|
|
|
803,510
|
|
128,562
|
|
GMAC LLC FRN 7.324s, 2014
|
|
|
670,000
|
|
525,815
|
|
GMAC LLC notes 7 3/4s, 2010
|
|
|
176,000
|
|
168,366
|
|
GMAC LLC notes 7s, 2012
|
|
|
185,000
|
|
159,271
|
|
GMAC LLC notes 6 7/8s, 2012
|
|
|
1,292,000
|
|
1,096,971
|
|
GMAC LLC notes 6 7/8s, 2011
|
|
|
165,000
|
|
144,256
|
|
GMAC LLC notes 6 3/4s, 2014
|
|
|
2,509,000
|
|
2,067,632
|
|
GMAC LLC sr. unsub. notes 5.85s, 2009
|
|
|
209,000
|
|
203,284
|
|
GMAC LLC unsub. notes 6 5/8s, 2012
|
|
|
1,345,000
|
|
1,141,252
|
|
Goldman Sachs Group, Inc (The) sub. notes 6 3/4s, 2037
|
|
|
655,000
|
|
640,551
|
|
HUB International Holdings, Inc. 144A sr. notes 9s, 2014
|
|
|
135,000
|
|
108,000
|
|
HUB International Holdings, Inc. 144A
|
|
|
|
|
|
|
sr. sub. notes 10 1/4s, 2015
|
|
|
185,000
|
|
140,600
|
|
JPMorgan Chase & Co. 144A unsec. unsub. notes 8s, 2012
|
INR
|
|
37,500,000
|
|
1,066,802
|
|
JPMorgan Chase & Co. 144A sr. unsec. FRN 6.46s, 2017
|
|
$
|
600,000
|
|
579,174
|
|
Lehman Brothers Holdings, Inc. sr. unsec.
|
|
|
|
|
|
|
notes Ser. I, 6.2s, 2014
|
|
|
2,375,000
|
|
2,444,250
|
|
Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015
|
|
|
205,000
|
|
203,975
|
|
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017
|
|
|
495,000
|
|
466,538
|
|
Liberty Mutual Insurance 144A notes 7.697s, 2097
|
|
|
1,330,000
|
|
1,249,756
|
|
Merrill Lynch & Co., Inc. notes 5.45s, 2013
|
|
|
2,375,000
|
|
2,376,149
|
|
Morgan Stanley sr. unsec. bonds 5.776s, 2017
|
BRL
|
|
3,655,000
|
|
1,850,515
|
|
Nuveen Investments, Inc. 144A sr. notes 10 1/2s, 2015
|
|
$
|
379,000
|
|
367,630
|
|
Realogy Corp. 144A sr. notes 10 1/2s, 2014
|
|
|
1,365,000
|
|
975,975
|
|
RSHB Capital SA for OJSC Russian Agricultural Bank
|
|
|
|
|
|
|
notes 6.299s, 2017 (Luxembourg)
|
|
|
1,330,000
|
|
1,260,175
|
|
UBS Luxembourg SA for Sberbank unsec. sub. notes
|
|
|
|
|
|
|
stepped-coupon 6.23s (7.429s, 2/11/10), 2015 (Luxembourg) ††
|
2,730,000
|
|
2,731,856
|
39
|
|
|
|
|
|
|
CORPORATE BONDS AND NOTES (18.2%)*
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Financial
continued
|
|
|
|
|
|
USI Holdings Corp. 144A sr. notes FRN 8.744s, 2014
|
$
|
120,000
|
$
|
100,200
|
|
VTB Capital SA bonds 6 1/4s, 2035 (Luxembourg)
|
|
1,724,000
|
|
1,661,591
|
|
VTB Capital SA sr. notes 6 1/4s, 2035 (Luxembourg)
|
|
1,065,000
|
|
1,026,447
|
|
VTB Capital SA 144A notes 7 1/2s, 2011 (Luxembourg)
|
|
2,595,000
|
|
2,676,224
|
|
VTB Capital SA 144A sec. notes 6.609s, 2012 (Luxembourg)
|
|
3,815,000
|
|
3,769,334
|
|
|
|
|
|
37,124,896
|
|
|
|
|
Government (0.1%)
|
|
|
|
|
|
Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)
|
|
687,750
|
|
711,298
|
|
Pemex Project Funding Master Trust 144A company
|
|
|
|
|
|
guaranty 6 5/8s, 2035
|
|
340,000
|
|
349,180
|
|
Pemex Project Funding Master Trust 144A company
|
|
|
|
|
|
guaranty 5 3/4s, 2018
|
|
425,000
|
|
432,013
|
|
|
|
|
|
1,492,491
|
|
|
|
|
Health Care (1.2%)
|
|
|
|
|
|
Community Health Systems, Inc. company guaranty 8 7/8s, 2015
|
|
1,310,000
|
|
1,318,188
|
|
DaVita, Inc. company guaranty 6 5/8s, 2013
|
|
291,000
|
|
286,635
|
|
Elan Finance PLC/Elan Finance Corp. company
|
|
|
|
|
|
guaranty 7 3/4s, 2011 (Ireland)
|
|
395,000
|
|
371,300
|
|
HCA, Inc. company guaranty sr. sec. notes 9 5/8s, 2016 ‡‡ (S)
|
|
1,095,000
|
|
1,152,488
|
|
HCA, Inc. sec. notes 9 1/4s, 2016
|
|
1,275,000
|
|
1,337,156
|
|
Omnicare, Inc. company guaranty 6 3/4s, 2013
|
|
385,000
|
|
352,275
|
|
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013
|
|
1,065,000
|
|
958,500
|
|
Service Corporation International debs. 7 7/8s, 2013
|
|
112,000
|
|
111,590
|
|
Service Corporation International sr. notes 7s, 2017
|
|
333,000
|
|
326,340
|
|
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013
|
|
1,412,000
|
|
1,320,220
|
|
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017
|
|
600,000
|
|
510,000
|
|
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015 ‡‡
|
|
200,000
|
|
170,000
|
|
Tenet Healthcare Corp. notes 7 3/8s, 2013
|
|
750,000
|
|
660,000
|
|
Tenet Healthcare Corp. sr. notes 6 3/8s, 2011
|
|
938,000
|
|
860,615
|
|
US Oncology, Inc. company guaranty 9s, 2012
|
|
965,000
|
|
945,700
|
|
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014
|
|
973,000
|
|
921,918
|
|
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R)
|
|
590,000
|
|
641,625
|
|
Ventas Realty LP/Capital Corp. company guaranty 6 3/4s, 2010 (R)
|
|
392,000
|
|
398,860
|
|
Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R)
|
|
337,000
|
|
339,528
|
|
|
|
|
|
12,982,938
|
|
|
|
|
Technology (0.6%)
|
|
|
|
|
|
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012
|
|
649,000
|
|
532,180
|
|
Ceridian Corp. 144A sr. unsec. notes 11 1/4s, 2015
|
|
541,000
|
|
458,498
|
|
Compucom Systems, Inc. sr. sub. notes 12 1/2s, 2015
|
|
305,000
|
|
292,800
|
|
Freescale Semiconductor, Inc. company
|
|
|
|
|
|
guaranty sr. unsec. notes 9 1/8s, 2014 ‡‡
|
|
753,000
|
|
570,398
|
|
Freescale Semiconductor, Inc. company
|
|
|
|
|
|
guaranty sr. unsec. notes 8 7/8s, 2014
|
|
1,082,000
|
|
879,125
|
|
Freescale Semiconductor, Inc. sr. sec. notes 10 1/8s, 2016 (S)
|
|
757,000
|
|
539,363
|
|
Iron Mountain, Inc. company guaranty 8 5/8s, 2013
|
|
435,000
|
|
439,350
|
|
Iron Mountain, Inc. sr. sub. notes 8 1/4s, 2011
|
|
770,000
|
|
766,150
|
40
|
|
|
|
|
|
|
CORPORATE BONDS AND NOTES (18.2%)*
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Technology
continued
|
|
|
|
|
|
New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011
|
|
|
|
|
|
(Cayman Islands)
|
$
|
25,000
|
$
|
19,875
|
|
Nortel Networks, Ltd. company guaranty sr. unsec.
|
|
|
|
|
|
FRN 8.508s, 2011 (Canada)
|
|
460,000
|
|
427,800
|
|
Nortel Networks, Ltd. company guaranty sr. unsec.
|
|
|
|
|
|
notes 10 3/4s, 2016 (Canada)
|
|
425,000
|
|
429,250
|
|
SunGard Data Systems, Inc. company guaranty 9 1/8s, 2013
|
|
660,000
|
|
669,900
|
|
Travelport LLC company guaranty 9 7/8s, 2014
|
|
325,000
|
|
312,000
|
|
|
|
|
|
6,336,689
|
|
|
|
|
Utilities & Power (1.3%)
|
|
|
|
|
|
AES Corp. (The) sr. notes 8 7/8s, 2011
|
|
107,000
|
|
110,745
|
|
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017
|
|
255,000
|
|
260,100
|
|
AES Corp. (The) 144A sec. notes 8 3/4s, 2013
|
|
558,000
|
|
581,715
|
|
CMS Energy Corp. sr. notes 7 3/4s, 2010
|
|
350,000
|
|
368,008
|
|
Colorado Interstate Gas Co. debs. 6.85s, 2037
|
|
615,000
|
|
610,927
|
|
Colorado Interstate Gas Co. sr. notes 5.95s, 2015
|
|
55,000
|
|
55,357
|
|
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016
|
|
289,000
|
|
294,780
|
|
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013
|
|
338,000
|
|
345,605
|
|
Edison Mission Energy sr. unsec. notes 7.2s, 2019
|
|
545,000
|
|
531,375
|
|
Edison Mission Energy sr. unsec. notes 7s, 2017
|
|
380,000
|
|
369,550
|
|
El Paso Natural Gas Co. debs. 8 5/8s, 2022
|
|
370,000
|
|
424,680
|
|
Ferrellgas LP/Finance sr. notes 6 3/4s, 2014
|
|
1,010,000
|
|
979,700
|
|
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012
|
|
3,850,000
|
|
3,801,875
|
|
NRG Energy, Inc. sr. notes 7 3/8s, 2016
|
|
465,000
|
|
449,306
|
|
Orion Power Holdings, Inc. sr. notes 12s, 2010
|
|
1,115,000
|
|
1,212,563
|
|
Teco Finance, Inc. unsec. notes 7s, 2012
|
|
550,000
|
|
590,258
|
|
Teco Finance, Inc. unsub. notes 7.2s, 2011
|
|
350,000
|
|
378,624
|
|
Teco Finance, Inc. unsub. notes 6 3/4s, 2015
|
|
63,000
|
|
65,786
|
|
Tennessee Gas Pipeline Co. debs. 7s, 2028
|
|
145,000
|
|
146,533
|
|
Tennessee Gas Pipeline Co. unsec. notes 7 1/2s, 2017
|
|
291,000
|
|
321,676
|
|
Transcontinental Gas Pipeline Corp. debs. 7 1/4s, 2026
|
|
875,000
|
|
916,563
|
|
Utilicorp United, Inc. sr. notes 9.95s, 2011
|
|
36,000
|
|
39,317
|
|
Williams Cos., Inc. (The) notes 8 1/8s, 2012
|
|
290,000
|
|
316,825
|
|
Williams Cos., Inc. (The) notes 7 5/8s, 2019
|
|
736,000
|
|
793,040
|
|
Williams Partners LP/ Williams Partners
|
|
|
|
|
|
Finance Corp. company guaranty 7 1/4s, 2017
|
|
280,000
|
|
289,800
|
|
|
|
|
|
14,254,708
|
|
|
Total corporate bonds and notes (cost $205,190,044)
|
|
|
$
|
195,699,040
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES (12.3%)*
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Accredited Mortgage Loan Trust
|
|
|
|
|
|
FRB Ser. 05-1, Class M2, 4.066s, 2035
|
$
|
310,000
|
$
|
251,100
|
|
FRB Ser. 05-4, Class A2C, 3.586s, 2035
|
|
68,000
|
|
61,975
|
|
Ace Securities Corp.
|
|
|
|
|
|
FRB Ser. 06-OP2, Class A2C, 3.526s, 2036
|
|
217,000
|
|
154,070
|
|
FRB Ser. 06-HE3, Class A2C, 3.526s, 2036
|
|
191,000
|
|
164,752
|
41
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES (12.3%)*
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Ameriquest Mortgage Securities, Inc. FRB Ser. 03-8,
|
|
|
|
|
|
Class M2, 5.126s, 2033
|
$
|
476,309
|
$
|
119,077
|
|
Arcap REIT, Inc. 144A
|
|
|
|
|
|
Ser. 03-1A, Class E, 7.11s, 2038
|
|
743,000
|
|
733,978
|
|
Ser. 04-1A, Class E, 6.42s, 2039
|
|
420,000
|
|
385,306
|
|
Argent Securities, Inc.
|
|
|
|
|
|
FRB Ser. 03-W3, Class M3, 6.785s, 2033
|
|
52,699
|
|
9,486
|
|
FRB Ser. 06-W4, Class A2C, 3.536s, 2036
|
|
340,000
|
|
282,200
|
|
Asset Backed Funding Certificates FRB Ser. 04-OPT2,
|
|
|
|
|
|
Class M2, 4.376s, 2033
|
|
491,000
|
|
382,980
|
|
Asset Backed Securities Corp. Home Equity Loan Trust
|
|
|
|
|
|
FRB Ser. 06-HE2, Class A3, 3.566s, 2036
|
|
90,434
|
|
82,670
|
|
FRB Ser. 06-HE4, Class A5, 3.536s, 2036
|
|
241,000
|
|
194,245
|
|
Asset Backed Securities Corp. Home Equity Loan Trust
|
|
|
|
|
|
144A FRB Ser. 06-HE2, Class M10, 5.876s, 2036
|
|
1,001,000
|
|
30,030
|
|
Aviation Capital Group Trust 144A FRB Ser. 03-2A,
|
|
|
|
|
|
Class G1, 4.634s, 2033
|
|
503,056
|
|
487,964
|
|
Bank One Issuance Trust FRB Ser. 03-C4, Class C4,
|
|
|
|
|
|
5.266s, 2011 (F)
|
|
740,000
|
|
734,953
|
|
Bear Stearns Asset Backed Securities, Inc.
|
|
|
|
|
|
FRB Ser. 04-FR3, Class M6, 6.626s, 2034
|
|
507,000
|
|
340,324
|
|
FRB Ser. 06-PC1, Class M9, 5.126s, 2035
|
|
364,000
|
|
51,415
|
|
FRB Ser. 05-HE1, Class M3, 4.306s, 2035
|
|
435,000
|
|
330,600
|
|
Bear Stearns Asset Backed Securities, Inc. 144A FRB
|
|
|
|
|
|
Ser. 06-HE2, Class M10, 5.626s, 2036
|
|
552,000
|
|
77,970
|
|
Bombardier Capital Mortgage Securitization Corp.
|
|
|
|
|
|
Ser. 00-A, Class A4, 8.29s, 2030
|
|
1,506,882
|
|
1,031,508
|
|
Ser. 00-A, Class A2, 7.575s, 2030
|
|
2,681,708
|
|
1,783,350
|
|
Ser. 99-B, Class A4, 7.3s, 2016
|
|
1,311,764
|
|
789,752
|
|
Ser. 99-B, Class A3, 7.18s, 2015
|
|
2,242,070
|
|
1,397,090
|
|
FRB Ser. 00-A, Class A1, 4.396s, 2030
|
|
288,535
|
|
152,923
|
|
Capital Auto Receivables Asset Trust 144A Ser. 06-1,
|
|
|
|
|
|
Class D, 7.16s, 2013
|
|
500,000
|
|
507,207
|
|
Chase Credit Card Master Trust FRB Ser. 03-3,
|
|
|
|
|
|
Class C, 5.316s, 2010
|
|
860,000
|
|
855,560
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
|
|
FRB Ser. 05-HE4, Class M11, 5.876s, 2035
|
|
599,000
|
|
107,820
|
|
FRB Ser. 05-HE4, Class M12, 5.426s, 2035
|
|
899,000
|
|
116,870
|
|
FRB Ser. 05-OPT1, Class M1, 3.796s, 2035
|
|
106,000
|
|
82,989
|
|
Conseco Finance Securitizations Corp.
|
|
|
|
|
|
Ser. 00-2, Class A5, 8.85s, 2030
|
|
2,768,160
|
|
2,451,230
|
|
Ser. 00-4, Class A6, 8.31s, 2032
|
|
6,813,185
|
|
5,654,943
|
|
Ser. 00-5, Class A7, 8.2s, 2032
|
|
1,053,000
|
|
904,245
|
|
Ser. 00-1, Class A5, 8.06s, 2031
|
|
1,975,965
|
|
1,589,107
|
|
Ser. 00-4, Class A5, 7.97s, 2032
|
|
389,248
|
|
320,250
|
|
Ser. 00-5, Class A6, 7.96s, 2032
|
|
1,631,000
|
|
1,394,140
|
|
Ser. 02-1, Class M1F, 7.954s, 2033
|
|
85,000
|
|
83,853
|
|
Ser. 01-3, Class M2, 7.44s, 2033
|
|
143,816
|
|
9,348
|
|
Ser. 01-4, Class A4, 7.36s, 2033
|
|
433,695
|
|
449,253
|
42
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES (12.3%)*
continued
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Conseco Finance Securitizations Corp.
|
|
|
|
|
|
|
Ser. 00-6, Class A5, 7.27s, 2031
|
|
$
|
158,410
|
$
|
151,227
|
|
Ser. 01-1, Class A5, 6.99s, 2032
|
|
|
9,007,549
|
|
8,795,870
|
|
Ser. 01-3, Class A4, 6.91s, 2033
|
|
|
6,051,226
|
|
5,969,589
|
|
Ser. 02-1, Class A, 6.681s, 2033
|
|
|
1,951,398
|
|
2,055,139
|
|
FRB Ser. 02-1, Class M1A, 6.681s, 2033
|
|
|
4,326,000
|
|
4,017,643
|
|
FRB Ser. 01-4, Class M1, 6.381s, 2033
|
|
|
573,000
|
|
285,222
|
|
Countrywide Asset Backed Certificates
|
|
|
|
|
|
|
FRB Ser. 05-BC3, Class M1, 3.896s, 2035
|
|
|
96,000
|
|
81,600
|
|
FRB Ser. 05-14, Class 3A2, 3.616s, 2036
|
|
|
67,872
|
|
63,684
|
|
Countrywide Asset Backed NIM Certificates 144A
|
|
|
|
|
|
|
Ser. 04-BC1N, Class Note, 5 1/2s, 2035 (F)
|
|
|
374
|
|
75
|
|
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)
|
838,000
|
|
603,360
|
|
DB Master Finance, LLC 144A Ser. 06-1, Class M1, 8.285s, 2031
|
545,000
|
|
533,608
|
|
Equifirst Mortgage Loan Trust FRB Ser. 05-1,
|
|
|
|
|
|
|
Class M5, 4.046s, 2035
|
|
|
179,000
|
|
136,040
|
|
First Franklin Mortgage Loan Asset Backed
|
|
|
|
|
|
|
Certificates FRB Ser. 06-FF7, Class 2A3, 3.526s, 2036
|
|
|
356,000
|
|
300,613
|
|
Fremont Home Loan Trust
|
|
|
|
|
|
|
FRB Ser. 05-E, Class 2A4, 3.706s, 2036
|
|
|
498,000
|
|
418,529
|
|
FRB Ser. 06-2, Class 2A3, 3.546s, 2036
|
|
|
589,000
|
|
484,924
|
|
Fremont NIM Trust 144A
|
|
|
|
|
|
|
Ser. 04-3, Class B, 7 1/2s, 2034 (In default) †
|
|
|
81,238
|
|
203
|
|
Ser. 04-3, Class A, 4 1/2s, 2034 (In default) †
|
|
|
3,186
|
|
16
|
|
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,
|
|
|
|
|
|
|
8.22s, 2012
|
|
|
1,347,000
|
|
1,304,228
|
|
Granite Mortgages PLC
|
|
|
|
|
|
|
FRB Ser. 03-2, Class 3C, 7.589s, 2043 (United Kingdom)
|
GBP
|
|
1,697,623
|
|
3,281,660
|
|
FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)
|
EUR
|
|
2,785,000
|
|
4,111,894
|
|
Green Tree Financial Corp.
|
|
|
|
|
|
|
Ser. 94-6, Class B2, 9s, 2020
|
|
$
|
1,686,394
|
|
1,712,461
|
|
Ser. 94-4, Class B2, 8.6s, 2019
|
|
|
537,204
|
|
392,429
|
|
Ser. 93-1, Class B, 8.45s, 2018
|
|
|
875,449
|
|
804,069
|
|
Ser. 99-5, Class A5, 7.86s, 2030
|
|
|
8,173,729
|
|
7,356,357
|
|
Ser. 96-8, Class M1, 7.85s, 2027
|
|
|
754,000
|
|
703,202
|
|
Ser. 95-8, Class B1, 7.3s, 2026
|
|
|
704,416
|
|
656,054
|
|
Ser. 95-4, Class B1, 7.3s, 2025
|
|
|
726,329
|
|
749,124
|
|
Ser. 97-6, Class M1, 7.21s, 2029
|
|
|
1,325,000
|
|
1,277,366
|
|
Ser. 95-F, Class B2, 7.1s, 2021
|
|
|
74,565
|
|
52,195
|
|
Ser. 98-2, Class A6, 6.81s, 2027
|
|
|
866,508
|
|
887,919
|
|
Ser. 99-3, Class A7, 6.74s, 2031
|
|
|
1,438,000
|
|
1,432,907
|
|
FRN 6.53s, 2030
|
|
|
382,033
|
|
366,948
|
|
Ser. 98-4, Class A5, 6.18s, 2030
|
|
|
962,067
|
|
956,375
|
|
Ser. 99-1, Class A5, 6.11s, 2023
|
|
|
662,106
|
|
666,043
|
|
Greenpoint Manufactured Housing
|
|
|
|
|
|
|
Ser. 00-3, Class IA, 8.45s, 2031
|
|
|
3,395,948
|
|
3,217,293
|
|
Ser. 99-5, Class M1A, 8.3s, 2026
|
|
|
312,000
|
|
235,797
|
|
Ser. 99-5, Class A4, 7.59s, 2028
|
|
|
69,296
|
|
68,634
|
|
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011
|
|
|
712,336
|
|
712,948
|
|
GSAMP Trust FRB Ser. 06-HE5, Class A2C, 3.526s, 2036
|
|
|
877,000
|
|
647,832
|
43
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES (12.3%)*
continued
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Guggenheim Structured Real Estate Funding, Ltd. 144A
|
|
|
|
|
|
|
FRB Ser. 05-2A, Class E, 5.376s, 2030 (Cayman Islands)
|
|
$
|
729,000
|
$
|
529,327
|
|
FRB Ser. 05-1A, Class E, 5.176s, 2030 (Cayman Islands)
|
|
|
162,911
|
|
122,183
|
|
Home Equity Asset Trust FRB Ser. 06-1, Class 2A4, 3.706s, 2036
|
248,000
|
|
186,000
|
|
JPMorgan Mortgage Acquisition Corp. FRB
|
|
|
|
|
|
|
Ser. 06-FRE1, Class A4, 3.666s, 2035
|
|
|
211,000
|
|
183,827
|
|
Lehman ABS Manufactured Housing Contract Ser. 01-B,
|
|
|
|
|
|
|
Class A4, 5.27s, 2018
|
|
|
2,426,963
|
|
2,360,047
|
|
Lehman XS Trust FRB Ser. 07-6, Class 2A1, 3.586s, 2037
|
|
|
2,736,004
|
|
2,409,380
|
|
LNR CDO, Ltd. 144A
|
|
|
|
|
|
|
FRB Ser. 03-1A, Class EFL, 6.903s, 2036 (Cayman Islands)
|
|
|
1,485,000
|
|
1,138,809
|
|
FRB Ser. 02-1A, Class FFL, 6.524s, 2037 (Cayman Islands)
|
|
|
2,440,000
|
|
1,663,836
|
|
Long Beach Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 05-2, Class M4, 3.996s, 2035
|
|
|
497,000
|
|
298,200
|
|
FRB Ser. 06-4, Class 2A4, 3.636s, 2036
|
|
|
240,000
|
|
154,180
|
|
FRB Ser. 06-1, Class 2A3, 3.566s, 2036
|
|
|
269,000
|
|
242,100
|
|
Lothian Mortgages PLC 144A FRB Ser. 3A, Class D,
|
|
|
|
|
|
|
6.328s, 2039 (United Kingdom)
|
GBP
|
|
1,700,000
|
|
3,196,614
|
|
Madison Avenue Manufactured Housing Contract FRB
|
|
|
|
|
|
|
Ser. 02-A, Class B1, 6.626s, 2032
|
|
$
|
2,025,781
|
|
1,539,594
|
|
MASTR Asset Backed Securities Trust FRB
|
|
|
|
|
|
|
Ser. 06-FRE2, Class A4, 3.526s, 2036
|
|
|
126,000
|
|
100,937
|
|
MBNA Credit Card Master Note Trust FRB Ser. 03-C5,
|
|
|
|
|
|
|
Class C5, 5.416s, 2010
|
|
|
860,000
|
|
857,129
|
|
Mid-State Trust Ser. 11, Class B, 8.221s, 2038
|
|
|
231,872
|
|
212,430
|
|
Morgan Stanley ABS Capital I
|
|
|
|
|
|
|
FRB Ser. 04-HE8, Class B3, 6.576s, 2034
|
|
|
458,000
|
|
229,000
|
|
FRB Ser. 05-HE2, Class M5, 4.056s, 2035
|
|
|
310,000
|
|
170,500
|
|
FRB Ser. 05-HE1, Class M3, 3.896s, 2034
|
|
|
310,000
|
|
251,100
|
|
FRB Ser. 06-NC4, Class M2, 3.676s, 2036
|
|
|
435,000
|
|
226,200
|
|
N-Star Real Estate CDO, Ltd. 144A FRB Ser. 04-2A,
|
|
|
|
|
|
|
Class C1, 5.244s, 2039 (Cayman Islands)
|
|
|
500,000
|
|
405,250
|
|
Navistar Financial Corp. Owner Trust
|
|
|
|
|
|
|
Ser. 05-A, Class C, 4.84s, 2014
|
|
|
255,593
|
|
245,040
|
|
Ser. 04-B, Class C, 3.93s, 2012
|
|
|
116,359
|
|
108,249
|
|
New Century Home Equity Loan Trust FRB Ser. 03-4,
|
|
|
|
|
|
|
Class M3, 5.426s, 2033
|
|
|
30,211
|
|
8,761
|
|
Novastar Home Equity Loan
|
|
|
|
|
|
|
FRB Ser. 06-1, Class A2C, 3.536s, 2036
|
|
|
298,000
|
|
259,624
|
|
FRB Ser. 06-2, Class A2C, 3.526s, 2036
|
|
|
298,000
|
|
248,584
|
|
Oakwood Mortgage Investors, Inc.
|
|
|
|
|
|
|
Ser. 96-C, Class B1, 7.96s, 2027
|
|
|
2,066,558
|
|
1,367,601
|
|
Ser. 99-D, Class A1, 7.84s, 2029
|
|
|
1,865,361
|
|
1,606,609
|
|
Ser. 00-A, Class A2, 7.765s, 2017
|
|
|
267,405
|
|
228,199
|
|
Ser. 95-B, Class B1, 7.55s, 2021
|
|
|
542,000
|
|
346,880
|
|
Ser. 00-D, Class A4, 7.4s, 2030
|
|
|
1,945,000
|
|
1,340,161
|
|
Ser. 02-B, Class A4, 7.09s, 2032
|
|
|
772,488
|
|
736,568
|
|
Ser. 99-B, Class A4, 6.99s, 2026
|
|
|
1,980,310
|
|
1,851,590
|
|
Ser. 00-D, Class A3, 6.99s, 2022
|
|
|
835,646
|
|
794,884
|
44
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES (12.3%)*
continued
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Oakwood Mortgage Investors, Inc.
|
|
|
|
|
|
|
Ser. 01-D, Class A4, 6.93s, 2031
|
|
$
|
1,418,540
|
$
|
1,062,039
|
|
Ser. 01-E, Class A4, 6.81s, 2031
|
|
|
1,876,297
|
|
1,638,360
|
|
Ser. 01-C, Class A2, 5.92s, 2017
|
|
|
2,144,338
|
|
963,428
|
|
Ser. 02-C, Class A1, 5.41s, 2032
|
|
|
2,392,096
|
|
2,166,653
|
|
Ser. 01-D, Class A2, 5.26s, 2019
|
|
|
283,729
|
|
197,162
|
|
Ser. 01-E, Class A2, 5.05s, 2019
|
|
|
1,862,265
|
|
1,415,321
|
|
Ser. 02-A, Class A2, 5.01s, 2020
|
|
|
526,365
|
|
474,471
|
|
Oakwood Mortgage Investors, Inc. 144A
|
|
|
|
|
|
|
Ser. 01-B, Class A4, 7.21s, 2030
|
|
|
478,204
|
|
423,213
|
|
FRB Ser. 01-B, Class A2, 4.611s, 2018
|
|
|
106,056
|
|
91,553
|
|
Ocean Star PLC 144A
|
|
|
|
|
|
|
FRB Ser. 04-A, Class E, 11.379s, 2018 (Ireland)
|
|
|
1,695,000
|
|
1,491,600
|
|
FRB Ser. 05-A, Class E, 9.479s, 2012 (Ireland)
|
|
|
466,000
|
|
424,200
|
|
Option One Mortgage Loan Trust FRB Ser. 05-4,
|
|
|
|
|
|
|
Class M11, 5.876s, 2035
|
|
|
783,000
|
|
156,600
|
|
Park Place Securities, Inc.
|
|
|
|
|
|
|
FRB Ser. 05-WCH1, Class M4, 4.206s, 2036
|
|
|
202,000
|
|
142,410
|
|
FRB Ser. 04-MCW1, Class A2, 3.756s, 2034
|
|
|
214,657
|
|
185,108
|
|
Park Place Securities, Inc. 144A FRB Ser. 04-MHQ1,
|
|
|
|
|
|
|
Class M10, 5.876s, 2034
|
|
|
146,885
|
|
14,689
|
|
People’s Choice Net Interest Margin Note 144A
|
|
|
|
|
|
|
Ser. 04-2, Class B, 5s, 2034 (In default) †
|
|
|
12,732
|
|
127
|
|
People’s Financial Realty Mortgage Securities Trust
|
|
|
|
|
|
|
FRB Ser. 06-1, Class 1A2, 3.506s, 2036
|
|
|
455,000
|
|
417,635
|
|
Permanent Financing PLC
|
|
|
|
|
|
|
FRB Ser. 6, Class 3C, 7.576s, 2042 (United Kingdom)
|
GBP
|
|
1,731,000
|
|
3,401,978
|
|
FRB Ser. 3, Class 3C, 6.296s, 2042 (United Kingdom)
|
|
$
|
680,000
|
|
670,650
|
|
Residential Asset Mortgage Products, Inc.
|
|
|
|
|
|
|
FRB Ser. 06-NC3, Class A2, 3.566s, 2036
|
|
|
323,000
|
|
301,117
|
|
FRB Ser. 07-RZ1, Class A2, 3.536s, 2037
|
|
|
293,000
|
|
251,395
|
|
Residential Asset Securities Corp.
|
|
|
|
|
|
|
Ser. 01-KS3, Class AII, 5.325s, 2031
|
|
|
3,283,439
|
|
3,069,194
|
|
FRB Ser. 05-EMX1, Class M2, 4.106s, 2035
|
|
|
705,000
|
|
497,025
|
|
Residential Asset Securities Corp. 144A FRB
|
|
|
|
|
|
|
Ser. 05-KS10, Class B, 6.126s, 2035
|
|
|
778,000
|
|
77,800
|
|
Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026
|
|
|
13,041
|
|
13,353
|
|
SAIL Net Interest Margin Notes 144A
|
|
|
|
|
|
|
Ser. 03-3, Class A, 7 3/4s, 2033
|
|
|
|
|
|
|
(Cayman Islands) (In default) †
|
|
|
33,837
|
|
34
|
|
Ser. 03-BC2A, Class A, 7 3/4s, 2033
|
|
|
|
|
|
|
(Cayman Islands) (In default) †
|
|
|
145,799
|
|
4,374
|
|
Ser. 03-10A, Class A, 7 1/2s, 2033
|
|
|
|
|
|
|
(Cayman Islands) (In default) †
|
|
|
96,609
|
|
10
|
|
Ser. 03-5, Class A, 7.35s, 2033
|
|
|
|
|
|
|
(Cayman Islands) (In default) †
|
|
|
23,808
|
|
476
|
|
Ser. 03-8A, Class A, 7s, 2033
|
|
|
|
|
|
|
(Cayman Islands) (In default) †
|
|
|
14,179
|
|
43
|
|
Ser. 03-9A, Class A, 7s, 2033
|
|
|
|
|
|
|
(Cayman Islands) (In default) †
|
|
|
19,982
|
|
20
|
45
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES (12.3%)*
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
SAIL Net Interest Margin Notes 144A
|
|
|
|
|
|
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands) (In default) †
|
$
|
6,641
|
$
|
66
|
|
Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands) (In default) †
|
|
40,481
|
|
81
|
|
Sasco Net Interest Margin Trust 144A Ser. 03-BC1,
|
|
|
|
|
|
Class B, zero %, 2033 (Cayman Islands) (In default) †
|
|
530,404
|
|
53
|
|
Securitized Asset Backed Receivables, LLC
|
|
|
|
|
|
FRB Ser. 05-HE1, Class M2, 4.026s, 2035
|
|
310,000
|
|
159,650
|
|
FRB Ser. 07-NC2, Class A2B, 3.516s, 2037
|
|
275,000
|
|
233,750
|
|
SG Mortgage Securities Trust
|
|
|
|
|
|
FRB Ser. 06-OPT2, Class A3D, PO, 3.586s, 2036
|
|
507,000
|
|
370,729
|
|
FRB Ser. 06-FRE1, Class A2B, 3.556s, 2036
|
|
231,000
|
|
181,072
|
|
Soundview Home Equity Loan Trust
|
|
|
|
|
|
FRB Ser. 06-OPT3, Class 2A3, 3.546s, 2036
|
|
240,000
|
|
207,778
|
|
FRB Ser. 06-3, Class A3, 3.536s, 2036
|
|
882,000
|
|
728,065
|
|
Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,
|
|
|
|
|
|
Class M10, 5.876s, 2036
|
|
463,000
|
|
27,780
|
|
South Coast Funding 144A FRB Ser. 3A, Class A2,
|
|
|
|
|
|
6.087s, 2038 (Cayman Islands)
|
|
200,000
|
|
30,000
|
|
Structured Asset Investment Loan Trust FRB
|
|
|
|
|
|
Ser. 06-BNC2, Class A6, 3.636s, 2036
|
|
240,000
|
|
151,275
|
|
Structured Asset Investment Loan Trust 144A FRB
|
|
|
|
|
|
Ser. 05-HE3, Class M11, 5.831s, 2035
|
|
858,000
|
|
42,900
|
|
Structured Asset Receivables Trust 144A FRB
|
|
|
|
|
|
Ser. 05-1, 5.87s, 2015
|
|
3,453,921
|
|
3,367,573
|
|
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,
|
|
|
|
|
|
2038 (Cayman Islands)
|
|
904,000
|
|
701,929
|
|
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A,
|
|
|
|
|
|
Class IV, 6.84s, 2037 (Cayman Islands)
|
|
756,000
|
|
533,373
|
|
Wells Fargo Home Equity Trust FRB Ser. 07-1,
|
|
|
|
|
|
Class A3, 3.696s, 2037
|
|
106,000
|
|
62,862
|
|
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,
|
|
|
|
|
|
Class B3, 4.231s, 2044 (United Kingdom)
|
|
722,440
|
|
577,952
|
|
|
Total asset-backed securities (cost $143,541,297)
|
|
|
$
|
132,595,929
|
|
|
|
|
|
|
|
SENIOR LOANS (7.7%)* (c)
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Basic Materials (0.7%)
|
|
|
|
|
|
Aleris International, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. B, 6s, 2013
|
$
|
521,053
|
$
|
433,342
|
|
Celanese Corp. bank term loan FRN Ser. B, 6.479s,
|
|
|
|
|
|
2014
|
|
595,500
|
|
558,943
|
|
Domtar Corp. bank term loan FRN 5.364s, 2014 (Canada)
|
|
638,535
|
|
599,724
|
|
Georgia-Pacific Corp. bank term loan FRN Ser. B,
|
|
|
|
|
|
6.866s, 2013
|
|
1,617,000
|
|
1,489,951
|
|
Georgia-Pacific Corp. bank term loan FRN Ser. B2,
|
|
|
|
|
|
6.906s, 2012
|
|
595,500
|
|
548,711
|
|
Hexion Specialty Chemicals, Inc. bank term loan FRN 7.188s, 2013
|
|
493,750
|
|
462,616
|
46
|
|
|
|
|
|
|
SENIOR LOANS (7.7%)* (c)
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Basic Materials
continued
|
|
|
|
|
|
Hexion Specialty Chemicals, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. C, 7 1/8s, 2013
|
$
|
39,800
|
$
|
37,290
|
|
Momentive Performance Materials, Inc. bank term loan
|
|
|
|
|
|
FRN 7 1/8s, 2013
|
|
346,500
|
|
316,985
|
|
NewPage Holding Corp. bank term loan FRN 8.688s, 2014
|
|
175,000
|
|
169,458
|
|
Novelis, Inc. bank term loan FRN Ser. B, 6.83s, 2014
|
|
457,078
|
|
418,512
|
|
Novelis, Inc. bank term loan FRN Ser. B, 6.83s, 2014
|
|
1,005,572
|
|
920,727
|
|
Rockwood Specialties Group, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. E, 6.46s, 2012
|
|
2,271,720
|
|
2,150,562
|
|
Smurfit-Stone Container Corp. bank term loan FRN
|
|
|
|
|
|
5.22s, 2010
|
|
43,665
|
|
41,579
|
|
Smurfit-Stone Container Corp. bank term loan FRN
|
|
|
|
|
|
Ser. B, 7.058s, 2011
|
|
49,200
|
|
46,849
|
|
Smurfit-Stone Container Corp. bank term loan FRN
|
|
|
|
|
|
Ser. C, 7.023s, 2011
|
|
57,325
|
|
54,566
|
|
|
|
|
|
8,249,815
|
|
|
|
|
Capital Goods (0.2%)
|
|
|
|
|
|
BPC Holding Corp. bank term loan FRN 7.16s, 2015
|
|
297,750
|
|
256,102
|
|
Graham Packaging Co., LP bank term loan FRN 7.253s, 2011
|
|
198,500
|
|
183,116
|
|
Hawker Beechcraft Acquisition Co., LLC bank term
|
|
|
|
|
|
loan FRN 4.73s, 2014
|
|
18,026
|
|
16,472
|
|
Hawker Beechcraft Acquisition Co., LLC bank term
|
|
|
|
|
|
loan FRN Ser. B, 6.83s, 2014
|
|
211,441
|
|
193,204
|
|
Hexcel Corp. bank term loan FRN Ser. B, 6.464s, 2012
|
|
345,442
|
|
338,533
|
|
Mueller Water Products, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. B, 6.727s, 2014
|
|
699,806
|
|
659,567
|
|
Polypore, Inc. bank term loan FRN Ser. B, 7.1s, 2014
|
|
203,955
|
|
190,698
|
|
Sequa Corp. bank term loan FRN 8.08s, 2014
|
|
330,000
|
|
313,775
|
|
Terex Corp. bank term loan FRN Ser. D, 6.58s, 2013
|
|
98,500
|
|
97,515
|
|
Transdigm, Inc. bank term loan FRN 6.858s, 2013
|
|
450,000
|
|
430,313
|
|
|
|
|
|
2,679,295
|
|
|
|
|
Communication Services (0.4%)
|
|
|
|
|
|
Fairpoint Communications, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. B, 6 5/8s, 2012
|
|
541,884
|
|
531,859
|
|
Hawaiian Telcom Communications, Inc. bank term loan
|
|
|
|
|
|
FRN Ser. C, 7.08s, 2014
|
|
653,781
|
|
573,693
|
|
Intelsat, Ltd. bank term loan FRN Ser. B, 6.35s, 2013 (Bermuda)
|
|
1,185,000
|
|
1,103,235
|
|
MetroPCS Wireless, Inc. bank term loan FRN 7.165s, 2013
|
|
444,375
|
|
414,071
|
|
PAETEC Holding Corp. bank term loan FRN Ser. B1, 7.203s, 2013
|
|
145,000
|
|
136,360
|
|
PanAmSat Corp. bank term loan FRN Ser. B, 6.6s, 2013
|
|
1,185,000
|
|
1,030,104
|
|
Time Warner Telecom, Inc. bank term loan FRN Ser. B,
|
|
|
|
|
|
6.85s, 2013
|
|
217,340
|
|
205,386
|
|
|
|
|
|
3,994,708
|
|
|
|
|
Consumer Cyclicals (1.5%)
|
|
|
|
|
|
Adesa, Inc. bank term loan FRN 7.08s, 2013
|
|
670,815
|
|
584,926
|
|
Allison Transmission bank term loan FRN Ser. B, 7.43s, 2014
|
|
468,825
|
|
408,966
|
|
CCM Merger, Inc. bank term loan FRN Ser. B, 6.997s, 2012
|
|
129,362
|
|
120,307
|
47
|
|
|
|
|
|
|
SENIOR LOANS (7.7%)* (c)
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Consumer Cyclicals
continued
|
|
|
|
|
|
Cenveo, Inc. bank term loan FRN Ser. B, 6.66s, 2014
|
$
|
470,807
|
$
|
433,731
|
|
Cenveo, Inc. bank term loan FRN Ser. DD, 6.66s, 2014
|
|
15,688
|
|
14,452
|
|
Claire’s Stores, Inc. bank term loan FRN 7.59s, 2014
|
|
729,200
|
|
592,840
|
|
Cooper-Standard Automotive, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. B, 7 3/8s, 2012
|
|
446,886
|
|
422,308
|
|
Cooper-Standard Automotive, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. C, 7 3/8s, 2012
|
|
1,116,871
|
|
1,055,443
|
|
Dex Media West, LLC bank term loan FRN Ser. B1, 6.378s, 2010
|
|
722,753
|
|
698,962
|
|
GateHouse Media, Inc. bank term loan FRN Ser. B, 7.41s, 2014
|
|
430,000
|
|
346,150
|
|
GateHouse Media, Inc. bank term loan FRN Ser. B, 7.07s, 2014
|
|
1,012,283
|
|
793,630
|
|
GateHouse Media, Inc. bank term loan FRN Ser. DD, 6 1/2s, 2014
|
|
377,717
|
|
296,130
|
|
Golden Nugget, Inc. bank term loan FRN Ser. B, 5.655s, 2014
|
|
200,455
|
|
178,405
|
|
Golden Nugget, Inc. bank term loan FRN Ser. DD,
|
|
|
|
|
|
7 1/2s, 2014 (U)
|
|
114,545
|
|
101,945
|
|
Goodyear Tire & Rubber Co. (The) bank term loan FRN
|
|
|
|
|
|
6.43s, 2010
|
|
3,050,000
|
|
2,775,500
|
|
Isle of Capri Casinos, Inc. bank term loan FRN 6.58s, 2014
|
|
411,657
|
|
356,769
|
|
Isle of Capri Casinos, Inc. bank term loan FRN Ser. A, 5.035s, 2014
|
|
124,118
|
|
107,569
|
|
Isle of Capri Casinos, Inc. bank term loan FRN Ser. B, 6.58s, 2014
|
|
164,663
|
|
142,708
|
|
Landsource, Inc. bank term loan FRN 7.761s, 2013
|
|
165,975
|
|
127,445
|
|
Lear Corp bank term loan FRN 7.347s, 2013
|
|
1,006,952
|
|
955,503
|
|
Michaels Stores, Inc. bank term loan FRN Ser. B, 7.583s, 2013
|
|
645,101
|
|
548,922
|
|
Neiman Marcus Group, Inc. bank term loan FRN Ser. B,
|
|
|
|
|
|
6.686s, 2013
|
|
852,873
|
|
781,089
|
|
Nortek Holdings, Inc. bank term loan FRN Ser. B, 7.1s, 2011
|
|
299,865
|
|
274,377
|
|
Reader’s Digest Association, Inc. (The) bank term
|
|
|
|
|
|
loan FRN 7.187s, 2014
|
|
818,813
|
|
707,591
|
|
Standard-Pacific Corp. bank term loan FRN Ser. B, 6.655s, 2013
|
|
179,999
|
|
128,100
|
|
Tribune Co. bank term loan FRN Ser. B, 7.91s, 2014
|
|
1,875,575
|
|
1,396,131
|
|
TRW Automotive, Inc. bank term loan FRN Ser. B, 6.688s, 2014
|
|
368,150
|
|
355,111
|
|
United Components, Inc. bank term loan FRN Ser. D, 6.865s, 2012
|
|
804,444
|
|
764,222
|
|
Visant Holding Corp. bank term loan FRN Ser. C, 6.718s, 2010
|
|
466,809
|
|
455,917
|
|
|
|
|
|
15,925,149
|
|
|
|
|
Consumer Staples (2.3%)
|
|
|
|
|
|
Affinion Group, Inc. bank term loan FRN Ser. B, 7.443s, 2013
|
|
1,575,844
|
|
1,468,162
|
|
Cablevision Systems Corp. bank term loan FRN 6.896s, 2013
|
|
2,112,375
|
|
1,938,670
|
|
Cebridge Connections, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. B, 6.668s, 2013
|
|
1,339,875
|
|
1,160,667
|
|
Charter Communications, Inc. bank term loan FRN 7.343s, 2014
|
|
400,000
|
|
300,000
|
|
Charter Communications, Inc. bank term loan FRN 5.26s, 2014
|
|
3,560,417
|
|
3,098,246
|
|
Cinemark, Inc. bank term loan FRN 6.505s, 2013
|
|
586,235
|
|
533,565
|
|
Citadel Communications bank term loan FRN Ser. B, 6.465s, 2014
|
|
835,000
|
|
711,838
|
|
Dean Foods Co. bank term loan FRN Ser. B, 6.58s, 2014
|
|
1,488,750
|
|
1,384,538
|
|
Gray Television, Inc. bank term loan FRN Ser. B, 6.21s, 2014
|
|
350,000
|
|
312,813
|
|
Idearc, Inc. bank term loan FRN Ser. B, 6.83s, 2014
|
|
2,323,266
|
|
2,112,060
|
|
Insight Midwest, LP bank term loan FRN 6.48s, 2014
|
|
243,776
|
|
222,175
|
|
Jarden Corp. bank term loan FRN Ser. B1, 6.58s, 2012
|
|
520,973
|
|
485,952
|
|
Jarden Corp. bank term loan FRN Ser. B2, 6.58s, 2012
|
|
248,092
|
|
231,414
|
48
|
|
|
|
|
|
|
SENIOR LOANS (7.7%)* (c)
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Consumer Staples
continued
|
|
|
|
|
|
Mediacom Communications Corp. bank term loan FRN
|
|
|
|
|
|
Ser. C, 5.468s, 2015
|
$
|
977,625
|
$
|
861,357
|
|
Mediacom Communications Corp. bank term loan FRN
|
|
|
|
|
|
Ser. DD, 5.467s, 2015
|
|
237,600
|
|
209,173
|
|
MGM Studios, Inc. bank term loan FRN Ser. B, 8.108s, 2011
|
|
1,197,680
|
|
1,059,947
|
|
Pinnacle Foods Holding Corp. bank term loan FRN
|
|
|
|
|
|
Ser. B, 7.483s, 2014
|
|
597,000
|
|
535,061
|
|
Prestige Brands, Inc. bank term loan FRN Ser. B, 6.978s, 2011
|
|
823,735
|
|
796,449
|
|
R.H. Donnelley, Inc. bank term loan FRN 6.514s, 2011
|
|
1,641,346
|
|
1,553,534
|
|
R.H. Donnelley, Inc. bank term loan FRN Ser. D1, 6.435s, 2011
|
|
615,568
|
|
583,558
|
|
Rental Service Corp. bank term loan FRN 8.15s, 2013
|
|
890,000
|
|
753,534
|
|
Six Flags Theme Parks bank term loan FRN 7 1/4s, 2015
|
|
1,273,600
|
|
1,095,296
|
|
Spanish Broadcasting Systems, Inc. bank term loan
|
|
|
|
|
|
FRN 6.58s, 2012
|
|
779,950
|
|
700,655
|
|
Spectrum Brands, Inc. bank term loan FRN 4.45s, 2013
|
|
34,048
|
|
31,483
|
|
Spectrum Brands, Inc. bank term loan FRN Ser. B1, 8.651s, 2013
|
|
670,019
|
|
619,097
|
|
Universal City Development Partners bank term loan
|
|
|
|
|
|
FRN Ser. B, 6.451s, 2011
|
|
1,136,666
|
|
1,112,512
|
|
Warner Music Group bank term loan FRN Ser. B, 6.727s, 2011
|
|
457,956
|
|
425,900
|
|
Young Broadcasting, Inc. bank term loan FRN Ser. B, 7.155s, 2012
|
|
472,476
|
|
422,866
|
|
|
|
|
|
24,720,522
|
|
|
|
|
Energy (0.4%)
|
|
|
|
|
|
CR Gas Storage bank term loan FRN 7.323s, 2013
|
|
101,684
|
|
95,583
|
|
CR Gas Storage bank term loan FRN 6.741s, 2013
|
|
107,682
|
|
101,221
|
|
CR Gas Storage bank term loan FRN Ser. B, 7.323s, 2013
|
|
627,018
|
|
589,396
|
|
Enterprise GP Holdings, LP bank term loan FRN 6.751s, 2014
|
|
430,000
|
|
424,625
|
|
EPCO Holding, Inc. bank term loan FRN Ser. A, 5.739s, 2012
|
|
440,000
|
|
425,700
|
|
Hercules Offshore, Inc. bank term loan FRN Ser. B, 6.58s, 2013
|
|
129,350
|
|
123,594
|
|
Meg Energy Corp. bank term loan FRN 6.83s, 2013 (Canada)
|
|
221,063
|
|
209,015
|
|
Meg Energy Corp. bank term loan FRN Ser. DD, 6.991s,
|
|
|
|
|
|
2013 (Canada) (U)
|
|
224,904
|
|
206,536
|
|
Niska Gas Storage bank term loan FRN Ser. DD, 6.808s, 2013
|
|
68,880
|
|
64,747
|
|
Petroleum Geo-Services ASA bank term loan FRN 6.58s,
|
|
|
|
|
|
2015 (Norway)
|
|
293,525
|
|
276,892
|
|
Targa Resources, Inc. bank term loan FRN 6.903s, 2012
|
|
420,841
|
|
401,693
|
|
Targa Resources, Inc. bank term loan FRN 4.705s, 2012
|
|
236,129
|
|
225,385
|
|
Western Refining, Inc. bank term loan FRN 6.595s, 2014
|
|
1,385,893
|
|
1,262,317
|
|
|
|
|
|
4,406,704
|
|
|
|
|
Financial (0.2%)
|
|
|
|
|
|
Hub International, Ltd. bank term loan FRN Ser. B, 7.33s, 2014
|
|
280,454
|
|
249,604
|
|
Hub International, Ltd. bank term loan FRN Ser. DD,
|
|
|
|
|
|
7.337s, 2014 (U)
|
|
62,965
|
|
56,039
|
|
Nuveen Investments, Inc. bank term loan FRN Ser. B, 7.29s, 2014
|
|
705,000
|
|
681,427
|
|
Realogy Corp. bank term loan FRN 5.32s, 2013
|
|
406,292
|
|
339,761
|
|
Realogy Corp. bank term loan FRN Ser. B, 7.505s, 2013
|
|
1,509,083
|
|
1,261,971
|
|
|
|
|
|
2,588,802
|
49
|
|
|
|
|
|
|
SENIOR LOANS (7.7%)* (c)
continued
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Health Care (0.7%)
|
|
|
|
|
|
Carestream Health, Inc. bank term loan FRN 6.996s, 2013
|
$
|
772,003
|
$
|
679,363
|
|
Community Health Systems, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. B, 7.331s, 2014
|
|
1,176,392
|
|
1,082,055
|
|
Community Health Systems, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. DD, 7 3/4s, 2014 (U)
|
|
59,836
|
|
55,037
|
|
Davita, Inc. bank term loan FRN Ser. B, 6.277s, 2012
|
|
550,000
|
|
519,625
|
|
Health Management Associates, Inc. bank term loan
|
|
|
|
|
|
FRN 6.58s, 2014
|
|
2,409,790
|
|
2,111,578
|
|
Healthsouth Corp. bank term loan FRN Ser. B, 6.922s, 2013
|
|
949,135
|
|
884,277
|
|
IASIS Healthcare, LLC/ IASIS Capital Corp. bank term
|
|
|
|
|
|
loan FRN Ser. DD, 7.151s, 2014 (U)
|
|
131,161
|
|
118,919
|
|
IASIS Healthcare, LLC/IASIS Capital Corp. bank term
|
|
|
|
|
|
loan FRN 8.494s, 2014
|
|
703,785
|
|
643,963
|
|
IASIS Healthcare, LLC/IASIS Capital Corp. bank term
|
|
|
|
|
|
loan FRN 7.62s, 2014
|
|
34,976
|
|
31,712
|
|
IASIS Healthcare, LLC/IASIS Capital Corp. bank term
|
|
|
|
|
|
loan FRN Ser. B, 5.248s, 2014
|
|
380,984
|
|
345,426
|
|
LifePoint, Inc. bank term loan FRN Ser. B, 6.715s, 2012
|
|
142,618
|
|
132,635
|
|
Mylan, Inc. bank term loan FRN Ser. B, 7.212s, 2014
|
|
280,000
|
|
273,150
|
|
Psychiatric Solutions, Inc. bank term loan FRN Ser. B, 6.792s, 2012
|
|
410,178
|
|
394,284
|
|
|
|
|
|
7,272,024
|
|
|
|
|
Technology (0.5%)
|
|
|
|
|
|
Activant Solutions Holdings, Inc. bank term loan FRN
|
|
|
|
|
|
Ser. B, 6.771s, 2013
|
|
350,000
|
|
319,375
|
|
Affiliated Computer Services, Inc. bank term loan
|
|
|
|
|
|
FRN Ser. B2, 6.628s, 2013
|
|
98,500
|
|
94,083
|
|
AMI Semiconductor, Inc. bank term loan FRN 6.83s, 2012
|
|
623,348
|
|
617,115
|
|
Aspect Software, Inc. bank term loan FRN 7.938s, 2011
|
|
44,203
|
|
42,213
|
|
Compucom Systems, Inc. bank term loan FRN 8.35s, 2014
|
|
389,025
|
|
352,068
|
|
First Data Corp. bank term loan FRN Ser. B1, 7.63s, 2014
|
|
364,088
|
|
327,844
|
|
First Data Corp. bank term loan FRN Ser. B3, 7.63s, 2014
|
|
364,088
|
|
328,506
|
|
Flextronics International, Ltd. bank term loan FRN
|
|
|
|
|
|
Ser. B, 7.455s, 2014 (Singapore)
|
|
342,891
|
|
332,175
|
|
Flextronics International, Ltd. bank term loan FRN
|
|
|
|
|
|
Ser. B, 7.394s, 2014 (Singapore)
|
|
1,193,259
|
|
1,155,970
|
|
JDA Software Group, Inc. bank term loan FRN Ser. B, 6.931s, 2013
|
|
85,339
|
|
83,633
|
|
Sabre Holdings Corp. bank term loan FRN 7.21s, 2014
|
|
534,494
|
|
437,083
|
|
SunGard Data Systems, Inc. bank term loan FRN 6.898s, 2014
|
|
1,163,251
|
|
1,075,644
|
|
Travelport bank term loan FRN 7.33s, 2013
|
|
12,491
|
|
11,468
|
|
Travelport bank term loan FRN Ser. B, 7.08s, 2013
|
|
62,253
|
|
57,156
|
|
|
|
|
|
5,234,333
|
|
|
|
|
Transportation (0.2%)
|
|
|
|
|
|
Delta Airlines, Inc. bank term loan FRN 6.832s, 2012
|
|
141,750
|
|
129,878
|
|
Navistar Financial Corp. bank term loan FRN 5.957s, 2012
|
|
314,667
|
|
283,200
|
|
Navistar International Corp. bank term loan FRN 6.501s, 2012
|
|
865,333
|
|
778,800
|
|
United Airlines Corp. bank term loan FRN Ser. B, 6.784s, 2014
|
|
1,075,833
|
|
963,880
|
|
|
|
|
|
2,155,758
|
50
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SENIOR LOANS (7.7%)* (c)
continued
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount
|
|
Value
|
|
|
Utilities & Power (0.6%)
|
|
|
|
|
|
|
Dynegy Holdings, Inc. bank term loan FRN 6.355s, 2013
|
$
|
1,505,000
|
$
|
1,379,333
|
|
Energy Future Holdings bank term loan FRN Ser. B2, 8.396s, 2014
|
|
942,638
|
|
865,084
|
|
Energy Future Holdings bank term loan FRN Ser. B3, 8.396s, 2014
|
|
1,251,863
|
|
1,153,563
|
|
Mirant North America, LLC. bank term loan FRN 6.595s, 2013
|
|
120,280
|
|
114,517
|
|
NRG Energy, Inc. bank term loan FRN 8s, 2014 (U)
|
|
355,000
|
|
351,302
|
|
NRG Energy, Inc. bank term loan FRN 6.58s, 2014
|
|
434,871
|
|
398,233
|
|
NRG Energy, Inc. bank term loan FRN 6.58s, 2014
|
|
941,899
|
|
862,544
|
|
Reliant Energy, Inc. bank term loan FRN 4.501s, 2014
|
|
890,000
|
|
805,450
|
|
|
|
|
|
|
5,930,026
|
|
|
|
|
Total senior loans (cost $91,535,058)
|
|
|
|
$
|
83,157,136
|
|
|
|
|
|
|
|
PURCHASED OPTIONS OUTSTANDING (2.1%)*
|
|
|
|
|
|
|
|
|
Expiration date/
|
|
Contract
|
|
|
|
|
strike price
|
|
|
amount
|
|
Value
|
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
with Lehman Brothers Special
|
|
|
|
|
|
|
Financing, Inc. for the right to receive
|
|
|
|
|
|
|
a fixed rate of 5.37% versus the
|
|
|
|
|
|
|
three month USD-LIBOR-BBA maturing
|
|
|
|
|
|
|
November 12, 2019.
|
Nov-09/5.370
|
$
|
40,437,000
|
$
|
2,778,426
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
with JPMorgan Chase Bank, N.A. for the
|
|
|
|
|
|
|
right to receive a fixed rate of 5.355%
|
|
|
|
|
|
|
versus the three month USD-LIBOR-BBA
|
|
|
|
|
|
|
maturing on November 12, 2019.
|
Nov-09/5.355
|
|
40,437,000
|
|
2,747,694
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
with Goldman Sachs International for
|
|
|
|
|
|
|
the right to receive a fixed rate
|
|
|
|
|
|
|
of 5.355% versus the three month
|
|
|
|
|
|
|
USD-LIBOR-BBA maturing
|
|
|
|
|
|
|
November 12, 2019.
|
Nov-09/5.355
|
|
40,437,000
|
|
2,747,694
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
with Goldman Sachs International for the
|
|
|
|
|
|
|
right to pay a fixed rate of 5.355%
|
|
|
|
|
|
|
versus the three month USD-LIBOR-BBA
|
|
|
|
|
|
|
maturing on November 12, 2019.
|
Nov-09/5.355
|
|
40,437,000
|
|
955,931
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
with Lehman Brothers Special
|
|
|
|
|
|
|
Financing, Inc. for the right to pay a
|
|
|
|
|
|
|
fixed rate of 5.37% versus the three
|
|
|
|
|
|
|
month USD-LIBOR-BBA maturing
|
|
|
|
|
|
|
November 12, 2019.
|
Nov-09/5.370
|
|
40,437,000
|
|
940,565
|
51
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PURCHASED OPTIONS OUTSTANDING (2.1%)*
continued
|
|
|
|
|
|
|
|
|
|
Expiration date/
|
Contract
|
|
|
|
|
strike price
|
|
|
|
amount
|
|
Value
|
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
|
with Citibank, N.A. London for the right
|
|
|
|
|
|
|
|
to receive a fixed rate of 4.0625%
|
|
|
|
|
|
|
|
versus the six month EUR-EURIBOR-Telerate
|
|
|
|
|
|
|
|
maturing March 25, 2011.
|
Mar-09/4.063
|
EUR
|
|
17,330,000
|
$
|
203,663
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
|
with Citibank for the right to pay a
|
|
|
|
|
|
|
|
fixed rate of 4.16% versus the six-month
|
|
|
|
|
|
|
|
EUR-EURIBOR-Telerate maturing on
|
|
|
|
|
|
|
|
March 26, 2014.
|
Mar-12/4.160
|
EUR
|
|
12,120,000
|
|
195,081
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
|
with Citibank, N.A. London for the right
|
|
|
|
|
|
|
|
to receive a fixed rate of 4.16% versus
|
|
|
|
|
|
|
|
the six month EUR-EURIBOR-Telerate
|
|
|
|
|
|
|
|
maturing March 26, 2014.
|
Mar-12/4.160
|
EUR
|
|
12,120,000
|
|
123,504
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
|
with Citibank for the right to pay a
|
|
|
|
|
|
|
|
fixed rate of 4.0625% versus the
|
|
|
|
|
|
|
|
six-month EUR-EURIBOR-Telerate
|
|
|
|
|
|
|
|
maturing on March 25, 2011.
|
Mar-09/4.063
|
EUR
|
|
17,330,000
|
|
111,628
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
|
with JPMorgan Chase Bank, N.A. for
|
|
|
|
|
|
|
|
the right to pay a fixed rate of 5.355%
|
|
|
|
|
|
|
|
versus the three month USD-LIBOR-BBA
|
|
|
|
|
|
|
|
maturing November 12, 2019.
|
Nov-09/5.355
|
|
$
|
40,437,000
|
|
955,931
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
|
with JPMorgan Chase Bank, N.A. for
|
|
|
|
|
|
|
|
the right to receive a fixed rate of 5.45%
|
|
|
|
|
|
|
|
versus the three month USD-LIBOR-BBA
|
|
|
|
|
|
|
|
maturing on May 28, 2018.
|
May-08/5.450
|
|
|
58,857,000
|
|
5,439,564
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
|
with Goldman Sachs International for the
|
|
|
|
|
|
|
|
right to receive a fixed rate of 5.1975%
|
|
|
|
|
|
|
|
versus the three month USD-LIBOR-BBA
|
|
|
|
|
|
|
|
maturing on May 14, 2018.
|
May-08/5.198
|
|
|
49,355,000
|
|
3,639,931
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
|
with Goldman Sachs International for
|
|
|
|
|
|
|
|
the right to receive a fixed rate
|
|
|
|
|
|
|
|
of 5.16% versus the three month
|
|
|
|
|
|
|
|
USD-LIBOR-BBA maturing April 28, 2018.
|
Apr-08/5.160
|
|
|
16,675,000
|
|
1,188,594
|
|
Option on an interest rate swap with
|
|
|
|
|
|
|
|
Goldman Sachs International for the
|
|
|
|
|
|
|
|
right to pay a fixed rate of 5.1975%
|
|
|
|
|
|
|
|
versus the three month USD-LIBOR-BBA
|
|
|
|
|
|
|
|
maturing on May 14, 2018.
|
May-08/5.198
|
|
|
49,355,000
|
|
120,426
|
52
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PURCHASED OPTIONS OUTSTANDING (2.1%)*
continued
|
|
|
|
|
|
|
|
|
Expiration date/
|
|
Contract
|
|
|
|
|
strike price
|
|
|
amount
|
|
Value
|
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
with JPMorgan Chase Bank, N.A. for the
|
|
|
|
|
|
|
right to pay a fixed rate of 5.45% versus
|
|
|
|
|
|
|
the three month USD-LIBOR-BBA
|
|
|
|
|
|
|
maturing on May 28, 2018.
|
May-08/5.450
|
$
|
58,857,000
|
$
|
82,400
|
|
Option on an interest rate swap
|
|
|
|
|
|
|
with Goldman Sachs International for
|
|
|
|
|
|
|
the right to pay a fixed rate of 5.16%
|
|
|
|
|
|
|
versus the three month USD-LIBOR-BBA
|
|
|
|
|
|
|
maturing April 28, 2018.
|
Apr-08/5.160
|
|
16,675,000
|
|
32,850
|
|
|
|
|
Total purchased options outstanding (cost $14,108,468)
|
|
|
$
|
22,263,882
|
|
|
|
|
|
|
|
COMMON STOCKS (—%)*
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
Value
|
|
|
AboveNet, Inc. †
|
|
|
466
|
$
|
35,300
|
|
Bohai Bay Litigation, LLC (Units) (F)
|
|
|
1,327
|
|
18,783
|
|
Contifinancial Corp. Liquidating Trust Units (F) †
|
|
5,373,919
|
|
537
|
|
Mediq, Inc. (F) †
|
|
|
2,781
|
|
1,688
|
|
VFB LLC (acquired various dates from 06/22/99
|
|
|
|
|
|
through 12/08/03, cost $1,311,474) (F) ‡ †
|
|
|
1,795,382
|
|
37,139
|
|
XCL Warranty Escrow (F)
|
|
|
1,327
|
|
94,737
|
|
|
Total common stocks (cost $4,180,954)
|
|
|
|
$
|
188,184
|
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCKS (—%)* (cost $221,464)
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
Value
|
|
|
Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.
|
|
4,826
|
$
|
161,671
|
|
|
|
|
|
|
|
|
WARRANTS (—%)* †
|
|
|
|
|
|
|
|
|
|
Expiration
|
Strike
|
|
|
|
|
|
date
|
price
|
Warrants
|
|
Value
|
|
|
|
|
AboveNet, Inc.
|
9/08/10
|
$24.00
|
230
|
$
|
13,570
|
|
AboveNet, Inc.
|
9/08/08
|
20.00
|
196
|
|
10,780
|
|
Dayton Superior Corp. 144A (F)
|
6/15/09
|
.01
|
1,980
|
|
6,107
|
|
New ASAT Finance, Ltd.
|
|
|
|
|
|
|
(Cayman Islands) (F)
|
2/01/11
|
.01
|
6,500
|
|
155
|
|
Smurfit Kappa Group PLC
|
|
|
|
|
|
|
144A (Ireland)
|
10/01/13
|
EUR .001
|
960
|
|
67,028
|
|
|
Total warrants (cost $73,048)
|
|
|
|
$
|
97,640
|
53
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS (3.1%)*
|
|
|
|
|
|
|
|
|
|
|
|
Principal amount/shares
|
|
Value
|
|
|
Putnam Prime Money Market Fund (e)
|
|
|
14,454,239
|
$
|
14,454,239
|
|
Short-term investments held as collateral for loaned
|
|
|
|
|
|
|
securities with yields ranging from 2.60% to 5.25%
|
|
|
|
|
|
|
and due dates ranging from February 1, 2008
|
|
|
|
|
|
|
to March 24, 2008 (d)
|
|
$
|
6,213,389
|
|
6,204,430
|
|
U.S. Treasury Bills with yields ranging from 2.90%
|
|
|
|
|
|
|
to 4.01%, March 27, 2008 #
|
|
|
7,078,000
|
|
7,038,125
|
|
Egypt Treasury Bill for an effective yield of 7.09%,
|
|
|
|
|
|
|
June 3, 2008
|
EGP
|
|
31,400,000
|
|
5,534,906
|
|
|
Total short-term investments (cost $33,249,417)
|
|
|
|
$
|
33,231,700
|
|
|
|
|
|
TOTAL INVESTMENTS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments (cost $1,650,040,242)
|
|
|
|
$
|
1,702,290,179
|
|
|
|
|
Key to holding’s currency abbreviations
|
|
ARS
|
Argentine Peso
|
|
BRL
|
Brazilian Real
|
|
CAD
|
Canadian Dollar
|
|
EGP
|
Egyptian Pound
|
|
EUR
|
Euro
|
|
GBP
|
British Pound
|
|
IDR
|
Indonesian Rupiah
|
|
INR
|
Indian Rupee
|
|
JPY
|
Japanese Yen
|
|
MXN
|
Mexican Peso
|
|
SEK
|
Swedish Krona
|
* Percentages indicated are based on net assets of $1,076,864,056.
† Non-income-producing security.
†
†
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.
‡ Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at January 31, 2008 was $37,139 or less than 0.1% of net assets.
‡‡ Income may be received in cash or additional securities at the discretion of the issuer.
# This security was pledged and segregated with the custodian to cover margin requirements for futures contracts at January 31, 2008.
## Forward commitments, in part or in entirety (Note 1).
(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 January 31, 2008. 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 (Notes 1 and 6).
(d) See Note 1 to the financial statements.
(e) See Note 5 to the financial statements regarding investments in Putnam Prime Money Market Fund.
(F) Is valued at fair value following procedures approved by the Trustees.
(R) Real Estate Investment Trust.
(S) Securities on loan, in part or in entirety, at January 31, 2008.
(U) A portion of the position represents unfunded loan commitments (Note 7).
54
At January 31, 2008, liquid assets totaling $818,633,640 have been designated as collateral for open forward commitments, swap contracts, forward contracts and futures contracts.
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.
TBA after the name of a security represents to be announced securities (Note 1).
The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at January 31, 2008.
The dates shown on debt obligations are the original maturity dates.
Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at January 31, 2008.
DIVERSIFICATION BY COUNTRY
Distribution of investments by country of issue at January 31, 2008 (as a percentage of Portfolio Value):
|
|
|
|
|
Argentina
|
1.1%
|
|
|
Austria
|
0.7
|
|
|
Canada
|
0.9
|
|
|
Cayman Islands
|
0.7
|
|
|
France
|
2.0
|
|
|
Ireland
|
1.8
|
|
|
Japan
|
4.9
|
|
|
Luxembourg
|
1.0
|
|
|
Mexico
|
0.8
|
|
|
Russia
|
0.9
|
|
|
Sweden
|
0.6
|
|
|
United Kingdom
|
1.6
|
|
|
United States
|
79.7
|
|
|
Other
|
3.3
|
|
|
|
|
|
|
Total
|
100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
FORWARD CURRENCY CONTRACTS TO BUY at 1/31/08 (aggregate face value $184,037,488) (Unaudited)
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
Aggregate
|
|
Delivery
|
appreciation/
|
|
|
Value
|
face value
|
|
date
|
(depreciation)
|
|
|
Australian Dollar
|
$43,551,672
|
$42,954,347
|
|
4/16/08
|
$ 597,325
|
|
British Pound
|
44,107,499
|
43,743,503
|
|
3/19/08
|
363,996
|
|
Canadian Dollar
|
5,494,815
|
5,523,858
|
|
4/16/08
|
(29,043)
|
|
Danish Krone
|
2,778,445
|
2,735,049
|
|
3/19/08
|
43,396
|
|
Euro
|
5,644,082
|
5,622,235
|
|
3/19/08
|
21,847
|
|
Indian Rupee
|
3,625,041
|
3,613,118
|
|
2/20/08
|
11,923
|
|
Japanese Yen
|
3,130,795
|
3,107,750
|
|
2/20/08
|
23,045
|
|
Malaysian Ringgit
|
3,759,170
|
3,665,139
|
|
2/20/08
|
94,031
|
|
Mexican Peso
|
6,505,908
|
6,442,574
|
|
4/16/08
|
63,334
|
|
Norwegian Krone
|
53,259,586
|
52,632,854
|
|
3/19/08
|
626,732
|
|
Polish Zloty
|
8,629,755
|
8,539,384
|
|
3/19/08
|
90,371
|
|
Swedish Krona
|
94,250
|
92,242
|
|
3/19/08
|
2,008
|
|
Swiss Franc
|
5,460,846
|
5,365,435
|
|
3/19/08
|
95,411
|
|
|
Total
|
|
|
|
|
$2,004,376
|
55
|
|
|
|
|
|
|
|
FORWARD CURRENCY CONTRACTS TO SELL at 1/31/08 (aggregate face value $264,049,273) (Unaudited)
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
|
Aggregate
|
|
Delivery
|
appreciation/
|
|
|
Value
|
face value
|
|
date
|
(depreciation)
|
|
|
Australian Dollar
|
$ 6,523,673
|
$ 6,424,160
|
|
4/16/08
|
$ (99,513)
|
|
British Pound
|
26,919,844
|
27,725,906
|
|
3/19/08
|
806,062
|
|
Canadian Dollar
|
25,505,913
|
25,642,769
|
|
4/16/08
|
136,856
|
|
Euro
|
69,290,420
|
68,624,045
|
|
3/19/08
|
(666,375)
|
|
Hungarian Forint
|
7,172,276
|
7,192,322
|
|
3/19/08
|
20,046
|
|
Japanese Yen
|
60,716,071
|
57,160,881
|
|
2/20/08
|
(3,555,190)
|
|
Norwegian Krone
|
9,908,956
|
9,894,568
|
|
3/19/08
|
(14,388)
|
|
South African Rand
|
5,355,274
|
5,808,997
|
|
4/16/08
|
453,723
|
|
Swedish Krona
|
39,809,041
|
39,518,602
|
|
3/19/08
|
(290,439)
|
|
Swiss Franc
|
16,595,747
|
16,032,778
|
|
3/19/08
|
(562,969)
|
|
Taiwan Dollar
|
24,209
|
24,245
|
|
2/20/08
|
36
|
|
|
Total
|
|
|
|
|
$(3,772,151)
|
|
|
|
|
|
|
|
FUTURES CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
|
|
Number of
|
|
|
Expiration
|
appreciation/
|
|
|
contracts
|
Value
|
|
date
|
(depreciation)
|
|
|
Australian Government Treasury Bond
|
|
|
|
|
|
|
10 yr (Short)
|
397
|
$250,815,215
|
|
Mar-08
|
$ (362,201)
|
|
Canadian Government Bond 10 yr (Long)
|
20
|
2,314,206
|
|
Mar-08
|
19,735
|
|
Euro-Bobl 5 yr (Short)
|
120
|
19,740,750
|
|
Mar-08
|
(232,365)
|
|
Euro-Bund 10 yr (Short)
|
228
|
39,578,074
|
|
Mar-08
|
(161,569)
|
|
Euro-Dollar 90 day (Long)
|
1,597
|
386,853,288
|
|
Sep-09
|
6,609,444
|
|
Euro-Dollar 90 day (Short)
|
2,408
|
587,010,200
|
|
Jun-08
|
(13,441,960)
|
|
Euro-Dollar 90 day (Short)
|
1,597
|
389,488,338
|
|
Sep-08
|
(8,809,232)
|
|
Euro-Schatz 2 yr (Long)
|
1,537
|
238,955,970
|
|
Mar-08
|
919,015
|
|
Japanese Government Bond 10 yr (Long)
|
118
|
152,753,501
|
|
Mar-08
|
1,817,282
|
|
U.K. Gilt 10 yr (Long)
|
52
|
11,440,634
|
|
Mar-08
|
46,423
|
|
U.S. Treasury Bond 20 yr (Long)
|
737
|
87,933,313
|
|
Mar-08
|
1,711,974
|
|
U.S. Treasury Note 2 yr (Short)
|
572
|
121,961,125
|
|
Mar-08
|
(1,443,263)
|
|
U.S. Treasury Note 5 yr (Long)
|
557
|
62,941,000
|
|
Mar-08
|
1,665,890
|
|
U.S. Treasury Note 10 yr (Long)
|
141
|
16,457,344
|
|
Mar-08
|
(30,749)
|
|
|
Total
|
|
|
|
|
$(11,691,576)
|
|
|
|
|
|
|
|
|
|
|
|
WRITTEN OPTIONS OUTSTANDING at 1/31/08 (premiums received $18,091,687) (Unaudited)
|
|
|
|
|
|
Contract
|
|
Expiration date/
|
|
|
|
amount
|
|
strike price
|
Value
|
|
|
Option on an interest rate swap with Merrill Lynch
|
|
|
|
|
|
Capital Services, Inc. for the obligation to pay a
|
|
|
|
|
|
fixed rate of 5.83% versus the three month
|
|
|
|
|
|
USD-LIBOR-BBA maturing on July 16, 2018.
|
$68,738,000
|
|
Jul-08/5.830
|
$8,084,276
|
|
Option on an interest rate swap with Merrill Lynch
|
|
|
|
|
|
Capital Services, Inc. for the obligation to receive
|
|
|
|
|
|
a fixed rate of 5.83% versus the three month
|
|
|
|
|
|
USD-LIBOR-BBA maturing on July 16, 2018.
|
68,738,000
|
|
Jul-08/5.830
|
69,425
|
56
|
|
|
|
|
|
|
|
WRITTEN OPTIONS OUTSTANDING at 1/31/08 (premiums received $18,091,687) (Unaudited)
continued
|
|
|
|
|
|
Contract
|
|
Expiration date/
|
|
|
|
|
amount
|
|
strike price
|
Value
|
|
|
Option on an interest rate swap with Citibank for
|
|
|
|
|
|
|
the obligation to receive a fixed rate of 4.40% versus
|
|
|
|
|
|
|
the six-month EUR-EURIBOR-Telerate
|
|
|
|
|
|
|
maturing on March 26, 2022.
|
EUR
|
2,820,000
|
|
Mar-12/4.400
|
$
210,129
|
|
Option on an interest rate swap with Citibank for
|
|
|
|
|
|
|
the obligation to receive a fixed rate of 4.56% versus
|
|
|
|
|
|
|
the six-month EUR-EURIBOR-Telerate
|
|
|
|
|
|
|
maturing on March 24, 2027.
|
EUR
|
2,540,000
|
|
Mar-17/4.560
|
200,941
|
|
Option on an interest rate swap with Citibank for
|
|
|
|
|
|
|
the obligation to pay a fixed rate of 4.56% versus
|
|
|
|
|
|
|
the six-month EUR-EURIBOR-Telerate maturing
|
|
|
|
|
|
|
on March 24, 2027.
|
EUR
|
2,540,000
|
|
Mar-17/4.560
|
85,130
|
|
Option on an interest rate swap with Citibank for
|
|
|
|
|
|
|
the obligation to pay a fixed rate of 4.40% versus
|
|
|
|
|
|
|
the six-month EUR-EURIBOR-Telerate maturing
|
|
|
|
|
|
|
on March 28, 2022.
|
EUR
|
2,820,000
|
|
Mar-12/4.400
|
82,390
|
|
Option on an interest rate swap with JPMorgan
|
|
|
|
|
|
|
Chase Bank, N.A. for the obligation to pay a
|
|
|
|
|
|
|
fixed rate of 4.775% versus the three month
|
|
|
|
|
|
|
USD-LIBOR-BBA maturing on March 14, 2018.
|
$150,842,000
|
|
Mar-08/4.775
|
6,498,273
|
|
Option on an interest rate swap with JPMorgan
|
|
|
|
|
|
|
Chase Bank, N.A. for the obligation to pay a
|
|
|
|
|
|
|
fixed rate of 5.00% versus the three month
|
|
|
|
|
|
|
USD-LIBOR-BBA maturing on December 19, 2018.
|
|
9,815,000
|
|
Dec-08/5.000
|
548,757
|
|
Option on an interest rate swap with JPMorgan
|
|
|
|
|
|
|
Chase Bank, N.A. for the obligation to receive a
|
|
|
|
|
|
|
fixed rate of 4.775% versus the three month
|
|
|
|
|
|
|
USD-LIBOR-BBA maturing on March 14, 2018.
|
150,842,000
|
|
Mar-08/4.775
|
393,698
|
|
Option on an interest rate swap with JPMorgan
|
|
|
|
|
|
|
Chase Bank, N.A. for the obligation to receive a
|
|
|
|
|
|
|
fixed rate of 5.00% versus the three month
|
|
|
|
|
|
|
USD-LIBOR-BBA maturing on December 19, 2018.
|
|
9,815,000
|
|
Dec-08/5.000
|
166,757
|
|
Option on an interest rate swap with Lehman
|
|
|
|
|
|
|
Brothers Special Financing, Inc. for the obligation to
|
|
|
|
|
|
|
pay a fixed rate of 4.405% versus the three month
|
|
|
|
|
|
|
USD-LIBOR-BBA maturing April 16, 2018.
|
|
97,009,000
|
|
Apr-08/4.405
|
2,534,166
|
|
Option on an interest rate swap with Lehman
|
|
|
|
|
|
|
Brothers Special Financing, Inc. for the obligation to
|
|
|
|
|
|
|
receive a fixed rate of 4.405% versus the three
|
|
|
|
|
|
|
month USD-LIBOR-BBA maturing April 16, 2018.
|
|
97,009,000
|
|
Apr-08/4.405
|
1,568,636
|
|
Option on an interest rate swap with Lehman
|
|
|
|
|
|
|
Brothers Special Financing, Inc. for the obligation to
|
|
|
|
|
|
|
pay a fixed rate of 5.515% versus the three month
|
|
|
|
|
|
|
USD-LIBOR-BBA maturing on May 14, 2022.
|
|
32,011,000
|
|
May-12/5.515
|
1,957,153
|
57
|
|
|
|
|
|
|
WRITTEN OPTIONS OUTSTANDING at 1/31/08 (premiums received $18,091,687) (Unaudited)
continued
|
|
|
|
|
Contract
|
|
Expiration date/
|
|
|
|
amount
|
|
strike price
|
Value
|
|
|
Option on an interest rate swap with Lehman
|
|
|
|
|
|
Brothers Special Financing, Inc. for the obligation
|
|
|
|
|
|
to receive a fixed rate of 5.515% versus the
|
|
|
|
|
|
three month USD-LIBOR-BBA maturing on
|
|
|
|
|
|
May 14, 2022.
|
$32,011,000
|
|
May-12/5.515
|
$ 1,402,082
|
|
Option on an interest rate swap with JPMorgan
|
|
|
|
|
|
Chase Bank, N.A. for the obligation to pay a
|
|
|
|
|
|
fixed rate of 5.51% versus the three month
|
|
|
|
|
|
USD-LIBOR-BBA maturing on May 14, 2022.
|
19,551,000
|
|
May-12/5.510
|
1,201,221
|
|
Option on an interest rate swap with JPMorgan
|
|
|
|
|
|
Chase Bank, N.A. for the obligation to receive a
|
|
|
|
|
|
fixed rate of 5.51% versus the three month
|
|
|
|
|
|
USD-LIBOR-BBA maturing on May 14, 2022.
|
19,551,000
|
|
May-12/5.510
|
879,038
|
|
Option on an interest rate swap with Lehman
|
|
|
|
|
|
Brothers Special Financing, Inc. for the obligation to
|
|
|
|
|
|
pay a fixed rate of 5.52% versus the three month
|
|
|
|
|
|
USD-LIBOR-BBA maturing on May 14, 2022.
|
12,805,000
|
|
May-12/5.520
|
783,794
|
|
Option on an interest rate swap with Lehman
|
|
|
|
|
|
Brothers Special Financing, Inc. for the obligation to
|
|
|
|
|
|
receive a fixed rate of 5.52% versus the three month
|
|
|
|
|
|
USD-LIBOR-BBA maturing on May 14, 2022.
|
12,805,000
|
|
May-12/5.520
|
582,346
|
|
|
|
|
Total
|
|
|
|
$27,248,212
|
|
|
|
|
|
|
|
|
|
|
|
TBA SALE COMMITMENTS OUTSTANDING at 1/31/08 (proceeds receivable $282,571,250) (Unaudited)
|
|
|
|
|
Principal
|
|
Settlement
|
|
|
|
amount
|
|
date
|
Value
|
|
|
FNMA, 6 1/2s, February 1, 2038
|
$ 1,000,000
|
|
2/12/08
|
$ 1,037,266
|
|
FNMA, 5 1/2s, March 1, 2038
|
9,000,000
|
|
3/12/08
|
9,099,844
|
|
FNMA, 5 1/2s, February 1, 2038
|
189,000,000
|
|
2/12/08
|
191,436,323
|
|
FNMA, 5s, February 1, 2038
|
82,000,000
|
|
2/12/08
|
81,602,808
|
|
|
Total
|
|
|
|
$283,176,241
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
|
|
|
|
|
|
|
|
|
Payments
|
Payments
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
made by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
fund per annum
|
(depreciation)
|
|
|
Bank of America, N.A.
|
|
|
|
|
|
|
$
|
900,000
|
|
9/1/15
|
3 month USD-LIBOR-BBA
|
4.53%
|
$ 39,886
|
|
|
|
105,277,000
|
|
9/24/09
|
3 month USD-LIBOR-BBA
|
4.7375%
|
4,242,886
|
|
|
|
32,700,000
|
|
3/30/09
|
3.075%
|
3 month USD-LIBOR-BBA
|
(250,577)
|
|
|
|
6,900,000
|
|
1/27/14
|
4.35%
|
3 month USD-LIBOR-BBA
|
(227,783)
|
|
|
Citibank, N.A.
|
|
|
|
|
|
|
AUD
|
20,500,000
|
|
12/11/17
|
6 month AUD-BBR-BBSW
|
7.04%
|
120,618
|
|
|
$
|
7,510,000
|
(E)
|
1/19/38
|
5.34%
|
3 month USD-LIBOR-BBA
|
28,914
|
|
|
EUR
|
5,090,000
|
(E)
|
1/18/38
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.9875%
|
(15,371)
|
|
58
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
Payments
|
Payments
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
made by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
fund per annum
|
(depreciation)
|
|
|
Citibank, N.A.
continued
|
|
|
|
|
|
|
AUD
|
8,050,000
|
|
1/4/10
|
7.405%
|
3 month AUD-BBR-BBSW
|
$ (18,765)
|
|
|
AUD
|
2,130,000
|
|
1/4/18
|
6.985%
|
6 month AUD-BBR-BBSW
|
(7,377)
|
|
|
AUD
|
7,230,000
|
|
1/4/13
|
6 month AUD-BBR-BBSW
|
7.37%
|
33,620
|
|
|
AUD
|
20,500,000
|
|
12/14/17
|
6 month AUD-BBR-BBSW
|
7.0875%
|
172,534
|
|
|
$
|
46,380,000
|
|
7/27/09
|
5.504%
|
3 month USD-LIBOR-BBA
|
(1,847,698)
|
|
|
|
23,700,000
|
|
9/29/13
|
5.078%
|
3 month USD-LIBOR-BBA
|
(1,956,352)
|
|
|
JPY
|
2,230,000,000
|
|
9/11/16
|
1.8675%
|
6 month JPY-LIBOR-BBA
|
(761,858)
|
|
|
$
|
10,000,000
|
|
9/17/09
|
3 month USD-LIBOR-BBA
|
4.765%
|
406,095
|
|
|
|
74,193,000
|
|
11/23/17
|
4.885%
|
3 month USD-LIBOR-BBA
|
(3,741,986)
|
|
|
|
105,170,000
|
|
10/26/12
|
4.6275%
|
3 month USD-LIBOR-BBA
|
(6,456,496)
|
|
|
|
30,982,000
|
|
11/9/17
|
5.0825%
|
3 month USD-LIBOR-BBA
|
(2,106,225)
|
|
|
|
30,150,000
|
|
11/9/09
|
4.387%
|
3 month USD-LIBOR-BBA
|
(764,243)
|
|
|
Citibank, N.A., London
|
|
|
|
|
|
|
EUR
|
25,680,000
|
|
8/2/17
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Telerate
|
4.7476%
|
1,232,119
|
|
|
JPY
|
2,600,000,000
|
|
2/10/16
|
6 month JPY-LIBOR-BBA
|
1.755%
|
776,980
|
|
|
JPY
|
25,769,748,000
|
|
4/3/08
|
1.165%
|
6 month JPY-LIBOR-BBA
|
(57,393)
|
|
|
Credit Suisse First Boston International
|
|
|
|
|
$
|
11,257,600
|
|
7/9/14
|
4.945%
|
3 month USD-LIBOR-BBA
|
(705,957)
|
|
|
Credit Suisse International
|
|
|
|
|
|
|
7,960,000
|
(E,F)
|
2/1/38
|
5.2975%
|
3 month USD-LIBOR-BBA
|
47,200
|
|
|
EUR
|
5,090,000
|
(E,F)
|
2/1/38
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
5.011%
|
2,983
|
|
|
GBP
|
6,640,000
|
|
1/16/18
|
6 month GBP-LIBOR-BBA
|
4.8975%
|
(90,371)
|
|
|
GBP
|
23,720,000
|
|
1/14/13
|
4.8825%
|
6 month GBP-LIBOR-BBA
|
198,574
|
|
|
GBP
|
27,660,000
|
|
1/14/10
|
6 month GBP-LIBOR-BBA
|
4.9125%
|
(56,833)
|
|
|
EUR
|
5,090,000
|
(E)
|
2/1/38
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
5.085%
|
44,371
|
|
|
$
|
7,960,000
|
(E)
|
2/1/38
|
5.3625%
|
3 month USD-LIBOR-BBA
|
16,159
|
|
|
EUR
|
56,330,000
|
|
7/4/15
|
3.93163%
|
6 month
|
|
|
|
|
|
|
|
EUR-EURIBOR-Telerate
|
82,891
|
|
|
GBP
|
2,910,000
|
|
4/3/36
|
7,330,962 GBP at maturity
|
6 month GBP-LIBOR-BBA
|
722,569
|
|
|
$
|
1,153,000
|
|
8/29/12
|
5.04556%
|
3 month USD-LIBOR-BBA
|
(90,435)
|
|
|
|
2,070,000
|
|
10/16/17
|
3 month USD-LIBOR-BBA
|
5.297%
|
201,902
|
|
|
|
14,923,740
|
|
11/6/17
|
4.97021%
|
3 month USD-LIBOR-BBA
|
(880,025)
|
|
|
Deutsche Bank AG
|
|
|
|
|
|
|
ZAR
|
23,880,000
|
|
7/6/11
|
3 month ZAR-JIBAR-SAFEX
|
9.16%
|
(86,673)
|
|
|
$
|
3,250,000
|
|
11/7/17
|
3 month USD-LIBOR-BBA
|
5.056%
|
214,602
|
|
|
|
4,723,000
|
|
10/16/17
|
3 month USD-LIBOR-BBA
|
5.297%
|
460,669
|
|
|
Goldman Sachs International
|
|
|
|
|
|
GBP
|
3,880,000
|
|
1/25/38
|
4.41%
|
6 month GBP-LIBOR-BBA
|
(22,544)
|
|
|
EUR
|
23,610,000
|
|
2/4/13
|
4.0525%
|
6 month EUR-EURIBOR-Reuters
|
—
|
|
|
CHF
|
36,400,000
|
|
2/4/13
|
6 month CHF-LIBOR-BBA
|
2.8125%
|
—
|
|
|
AUD
|
10,280,000
|
|
1/4/18
|
7.015%
|
6 month AUD-BBR-BBSW
|
(34,003)
|
|
|
AUD
|
35,550,000
|
|
1/4/13
|
6 month AUD-BBR-BBSW
|
7.37%
|
118,352
|
|
|
GBP
|
3,880,000
|
|
1/7/38
|
4.33625%
|
6 month GBP-LIBOR-BBA
|
423,688
|
|
59
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
Payments
|
Payments
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
made by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
fund per annum
|
(depreciation)
|
|
|
Goldman Sachs International
continued
|
|
|
|
|
$
|
7,960,000
|
(E)
|
1/25/38
|
5.175%
|
3 month USD-LIBOR-BBA
|
$ 133,250
|
|
|
EUR
|
5,090,000
|
(E)
|
1/25/38
|
6 month EUR-EURIBOR-Reuters5.045%
|
19,838
|
|
|
AUD
|
26,350,000
|
|
12/21/09
|
7.385%
|
3 month AUD-BBR-BBSW
|
(34,806)
|
|
|
AUD
|
5,910,000
|
|
12/21/17
|
7.10%
|
6 month AUD-BBR-BBSW
|
(46,295)
|
|
|
AUD
|
23,700,000
|
|
12/21/12
|
6 month AUD-BBR-BBSW
|
7.42%
|
104,479
|
|
|
AUD
|
39,670,000
|
|
1/4/10
|
7.37%
|
3 month AUD-BBR-BBSW
|
(50,925)
|
|
|
JPY
|
1,465,300,000
|
|
6/10/16
|
1.953%
|
6 month JPY-LIBOR-BBA
|
(583,126)
|
|
|
$
|
144,500,000
|
(E)
|
3/10/10
|
4.779%
|
3 month USD-LIBOR-BBA
|
(5,375,400)
|
|
|
|
158,900,000
|
(E)
|
3/8/12
|
3 month USD-LIBOR-BBA
|
4.99%
|
3,150,987
|
|
|
|
51,830,600
|
|
9/21/17
|
5.149%
|
3 month USD-LIBOR-BBA
|
(4,369,075)
|
|
|
|
185,880,600
|
|
9/21/09
|
3 month USD-LIBOR-BBA
|
4.60%
|
6,952,451
|
|
|
|
2,070,000
|
|
9/14/17
|
5.0625%
|
3 month USD-LIBOR-BBA
|
(159,973)
|
|
|
|
4,243,000
|
|
9/14/14
|
4.906%
|
3 month USD-LIBOR-BBA
|
(306,413)
|
|
|
|
3,190,000
|
|
9/14/09
|
3 month USD-LIBOR-BBA
|
4.717%
|
126,027
|
|
|
|
700,000
|
|
7/25/09
|
5.327%
|
3 month USD-LIBOR-BBA
|
(26,061)
|
|
|
|
96,335,000
|
|
9/19/09
|
3 month USD-LIBOR-BBA
|
4.763%
|
3,929,989
|
|
|
JPMorgan Chase Bank, N.A.
|
|
|
|
|
|
|
58,161,000
|
|
12/11/17
|
3 month USD-LIBOR-BBA
|
4.65%
|
1,730,934
|
|
|
|
13,000,000
|
|
5/10/35
|
5.062%
|
3 month USD-LIBOR-BBA
|
(502,423)
|
|
|
|
30,500,000
|
|
8/4/16
|
3 month USD-LIBOR-BBA
|
5.5195%
|
3,584,608
|
|
|
|
139,343,000
|
|
5/4/08
|
3 month USD-LIBOR-BBA
|
5.37%
|
914,754
|
|
|
|
45,120,000
|
|
5/4/16
|
5.62375%
|
3 month USD-LIBOR-BBA
|
(5,017,874)
|
|
|
|
56,000,000
|
|
8/4/08
|
3 month USD-LIBOR-BBA
|
5.40%
|
1,479,924
|
|
|
JPY
|
11,230,000,000
|
|
6/6/13
|
1.83%
|
6 month JPY-LIBOR-BBA
|
(3,995,221)
|
|
|
JPY
|
2,368,570,000
|
|
1/31/2018
|
1.60%
|
6 month JPY-LIBOR-BBA
|
(7,031)
|
|
|
JPY
|
971,670,000
|
|
2/1/2038
|
6 month JPY-LIBOR-BBA
|
2.44%
|
18,826
|
|
|
$
|
105,544,000
|
|
1/31/2018
|
3 month USD-LIBOR-BBA
|
4.25%
|
(92,039)
|
|
|
JPY
|
2,368,570,000
|
|
1/31/2018
|
1.645%
|
6 month JPY-LIBOR-BBA
|
(100,147)
|
|
|
JPY
|
971,670,000
|
|
1/31/2038
|
6 month JPY-LIBOR-BBA
|
2.4625%
|
63,842
|
|
|
$
|
20,430,000
|
|
10/10/13
|
5.09%
|
3 month USD-LIBOR-BBA
|
(1,697,756)
|
|
|
|
66,000,000
|
|
3/6/16
|
3 month USD-LIBOR-BBA
|
5.176%
|
5,908,558
|
|
|
|
297,249,000
|
|
4/27/09
|
5.034%
|
3 month USD-LIBOR-BBA
|
(11,935,811)
|
|
|
|
30,000,000
|
|
5/10/15
|
3 month USD-LIBOR-BBA
|
4.687%
|
1,395,063
|
|
|
|
14,680,000
|
|
10/10/13
|
5.054%
|
3 month USD-LIBOR-BBA
|
(1,188,054)
|
|
|
|
13,200,000
|
|
8/13/12
|
3 month USD-LIBOR-BBA
|
5.2%
|
1,143,168
|
|
|
|
1,640,000
|
|
11/7/17
|
3 month USD-LIBOR-BBA
|
5.05771%
|
108,528
|
|
|
|
114,678,000
|
|
10/30/12
|
4.68375%
|
3 month USD-LIBOR-BBA
|
(7,325,499)
|
|
|
|
5,641,000
|
|
8/29/17
|
5.2925%
|
3 month USD-LIBOR-BBA
|
(549,474)
|
|
|
|
165,391,000
|
|
11/30/17
|
4.705%
|
3 month USD-LIBOR-BBA
|
(5,826,754)
|
|
|
|
2,577,000
|
|
8/29/17
|
5.263%
|
3 month USD-LIBOR-BBA
|
(245,157)
|
|
|
|
41,913,000
|
|
9/11/27
|
5.27%
|
3 month USD-LIBOR-BBA
|
(3,364,318)
|
|
|
|
100,000
|
|
7/25/17
|
3 month USD-LIBOR-BBA
|
5.652%
|
11,402
|
|
|
|
30,982,000
|
|
11/9/17
|
5.0895%
|
3 month USD-LIBOR-BBA
|
(2,124,069)
|
|
|
|
30,150,000
|
|
11/9/09
|
4.3975%
|
3 month USD-LIBOR-BBA
|
(770,391)
|
|
|
|
3,134,000
|
|
9/27/17
|
5.2335%
|
3 month USD-LIBOR-BBA
|
(286,256)
|
|
60
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
Payments
|
Payments
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
made by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
fund per annum
|
(depreciation)
|
|
|
JPMorgan Chase Bank, N.A.
continued
|
|
|
|
|
$
|
51,830,600
|
|
9/21/17
|
5.15%
|
3 month USD-LIBOR-BBA
|
$(4,373,408)
|
|
|
|
185,880,600
|
|
9/21/09
|
3 month USD-LIBOR-BBA
|
4.6125%
|
6,998,017
|
|
|
Lehman Brothers Special Financing, Inc.
|
|
|
|
|
EUR
|
99,420,000
|
|
12/18/09
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.662%
|
1,466,725
|
|
|
$
|
109,767,000
|
|
12/11/17
|
3 month USD-LIBOR-BBA
|
4.839%
|
4,990,609
|
|
|
|
7,510,000
|
(E)
|
1/4/38
|
5.3%
|
3 month USD-LIBOR-BBA
|
53,021
|
|
|
GBP
|
1,620,000
|
|
12/28/37
|
4.755%
|
6 month GBP-LIBOR-BBA
|
(32,306)
|
|
|
GBP
|
6,540,000
|
|
12/27/17
|
6 month GBP-LIBOR-BBA
|
5.11%
|
98,369
|
|
|
EUR
|
5,090,000
|
(E)
|
1/4/38
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.94%
|
(44,901)
|
|
|
GBP
|
5,810,000
|
|
12/27/12
|
5.1825%
|
6 month GBP-LIBOR-BBA
|
(80,694)
|
|
|
$
|
25,921,000
|
|
1/16/18
|
4.375%
|
3 month USD-LIBOR-BBA
|
(204,275)
|
|
|
EUR
|
5,090,000
|
(E)
|
1/8/38
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.95%
|
(38,692)
|
|
|
$
|
7,510,000
|
(E)
|
1/8/38
|
5.365%
|
3 month USD-LIBOR-BBA
|
14,569
|
|
|
EUR
|
23,800,000
|
|
12/18/17
|
4.712%
|
6 month EUR-EURIBOR-Reuters
|
(906,170)
|
|
|
JPY
|
4,600,000,000
|
|
10/21/15
|
1.61%
|
6 month JPY-LIBOR-BBA
|
(844,086)
|
|
|
$
|
1,789,000
|
|
8/3/16
|
5.5675%
|
3 month USD-LIBOR-BBA
|
(217,659)
|
|
|
|
108,143,000
|
|
8/3/08
|
3 month USD-LIBOR-BBA
|
5.425%
|
2,934,010
|
|
|
|
18,882,000
|
|
8/3/11
|
3 month USD-LIBOR-BBA
|
5.445%
|
1,675,772
|
|
|
GBP
|
2,685,000
|
|
3/15/36
|
6,499,937.50 GBP at
|
|
|
|
|
|
|
|
maturity
|
6 month GBP-LIBOR-BBA
|
782,893
|
|
|
$
|
80,954,000
|
|
6/14/17
|
3 month USD-LIBOR-BBA
|
5.8725%
|
10,508,886
|
|
|
EUR
|
13,330,000
|
|
8/1/17
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Telerate
|
4.719%
|
592,981
|
|
|
$
|
66,339,000
|
|
3/15/09
|
4.9298%
|
3 month USD-LIBOR-BBA
|
(2,259,035)
|
|
|
JPY
|
2,655,800,000
|
|
6/10/16
|
1.7775%
|
6 month JPY-LIBOR-BBA
|
(702,830)
|
|
|
$
|
7,000,000
|
|
9/17/17
|
3 month USD-LIBOR-BBA
|
5.131%
|
581,083
|
|
|
|
5,285,000
|
|
9/11/17
|
5.0525%
|
3 month USD-LIBOR-BBA
|
(403,844)
|
|
|
|
760,000
|
|
11/7/17
|
3 month USD-LIBOR-BBA
|
5.05521%
|
50,137
|
|
|
|
182,914,000
|
|
8/31/09
|
3 month USD-LIBOR-BBA
|
4.89%
|
7,848,592
|
|
|
|
1,310,000
|
|
9/14/17
|
3 month USD-LIBOR-BBA
|
5.055%
|
100,416
|
|
|
|
105,170,000
|
|
10/26/12
|
4.61375%
|
3 month USD-LIBOR-BBA
|
(6,389,578)
|
|
|
|
51,830,600
|
|
9/24/17
|
5.285%
|
3 month USD-LIBOR-BBA
|
(4,962,965)
|
|
|
|
182,914,000
|
|
9/4/09
|
3 month USD-LIBOR-BBA
|
4.836%
|
7,612,415
|
|
|
|
38,636,000
|
|
9/4/27
|
5.4475%
|
3 month USD-LIBOR-BBA
|
(4,038,405)
|
|
|
|
198,421,000
|
|
9/11/09
|
3 month USD-LIBOR-BBA
|
4.6525%
|
7,545,494
|
|
|
|
38,636,000
|
|
8/31/27
|
5.4925%
|
3 month USD-LIBOR-BBA
|
(4,311,615)
|
|
|
|
30,150,000
|
|
11/9/09
|
4.403%
|
3 month USD-LIBOR-BBA
|
(773,482)
|
|
|
|
30,982,000
|
|
11/9/17
|
5.067%
|
3 month USD-LIBOR-BBA
|
(2,066,094)
|
|
|
|
134,070,000
|
|
6/12/17
|
3 month USD-LIBOR-BBA
|
5.717%
|
15,734,513
|
|
|
|
64,223,300
|
|
9/19/09
|
3 month USD-LIBOR-BBA
|
4.755%
|
2,609,758
|
|
|
|
185,880,600
|
|
9/24/09
|
3 month USD-LIBOR-BBA
|
4.695%
|
7,337,114
|
|
|
Merrill Lynch Capital Services, Inc.
|
|
|
|
|
JPY
|
1,465,300,000
|
|
6/10/16
|
1.99625%
|
6 month JPY-LIBOR-BBA
|
(631,332)
|
|
|
$
|
105,170,000
|
|
10/26/12
|
4.6165%
|
3 month USD-LIBOR-BBA
|
(6,402,961)
|
|
61
|
|
|
|
|
|
|
|
|
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
Payments
|
Payments
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
made by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
fund per annum
|
(depreciation)
|
|
|
Merrill Lynch Derivative Products AG
|
|
|
|
|
JPY
|
732,600,000
|
|
6/11/17
|
2.05625%
|
6 month JPY-LIBOR-BBA
|
$
(322,253)
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
|
|
|
EUR
|
6,700,000
|
(E)
|
3/3/38
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.785%
|
151,796
|
|
|
EUR
|
13,390,000
|
(E)
|
3/5/18
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.5375%
|
(267,113)
|
|
|
EUR
|
24,060,000
|
(E)
|
3/4/13
|
4.315%
|
6 month EUR-EURIBOR-Reuters
|
(431,289)
|
|
|
EUR
|
56,500,000
|
(E)
|
3/3/10
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.265%
|
575,163
|
|
|
$
|
881,000
|
|
8/29/17
|
5.26021%
|
3 month USD-LIBOR-BBA
|
(83,599)
|
|
|
EUR
|
6,700,000
|
(E)
|
2/12/38
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.71%
|
31,794
|
|
|
EUR
|
56,500,000
|
(E)
|
2/12/10
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.305%
|
605,293
|
|
|
EUR
|
13,390,000
|
(E)
|
2/12/18
|
4.525%
|
6 month EUR-EURIBOR-Reuters
|
(248,987)
|
|
|
EUR
|
24,060,000
|
(E)
|
2/12/13
|
4.355%
|
6 month EUR-EURIBOR-Reuters
|
(488,198)
|
|
|
EUR
|
13,390,000
|
(E)
|
2/12/18
|
4.54%
|
6 month EUR-EURIBOR-Reuters
|
(273,089)
|
|
|
EUR
|
6,700,000
|
(E)
|
2/11/38
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.70%
|
15,847
|
|
|
EUR
|
24,060,000
|
(E)
|
2/11/13
|
4.38%
|
6 month EUR-EURIBOR-Reuters
|
(527,927)
|
|
|
EUR
|
56,500,000
|
(E)
|
2/11/10
|
6 month EUR-EURIBOR-
|
|
|
|
|
|
|
|
Reuters
|
4.37%
|
676,598
|
|
|
Total
|
|
|
|
|
|
$
3,470,005
|
(E) See Note 1 to the financial statements regarding extended effective dates.
(F) Is valued at fair value following procedures approved by the Trustees.
|
|
|
|
|
|
|
|
|
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed payments
|
Total return
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
received (paid) by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
or paid by fund
|
(depreciation)
|
|
|
Bank of America, N.A.
|
|
|
|
|
|
|
$11,830,000
|
(F)
|
5/2/08
|
10 bp plus
|
The spread
|
$ (928,560)
|
|
|
|
|
|
change in spread
|
return of Banc
|
|
|
|
|
|
|
of Banc
|
of America
|
|
|
|
|
|
|
of America
|
Securities- CMBS
|
|
|
|
|
|
|
Securities AAA
|
AAA 10 year Index
|
|
|
|
|
10 yr Index
|
|
|
|
|
|
multiplied by
|
|
|
|
|
|
the modified
|
|
|
|
|
|
|
|
duration factor
|
|
|
|
|
|
21,540,000
|
(F)
|
3/3/08
|
(Banc
|
The spread
|
1,062,073
|
|
|
|
|
|
of America
|
return of Banc
|
|
|
|
|
|
|
Securities AAA
|
of America
|
|
|
|
|
|
|
10 yr Index
|
Securities- CMBS
|
|
|
|
|
|
|
multiplied by
|
AAA 10 year Index
|
|
|
|
|
the modified
|
|
|
|
|
|
duration factor
|
|
|
|
|
|
|
|
minus 250 bp)
|
|
|
|
|
|
|
62
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed payments
|
Total return
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
received (paid) by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
or paid by fund
|
(depreciation)
|
|
|
Bank of America, N.A.
continued
|
|
|
|
|
|
|
|
|
$44,000,000
|
(F)
|
5/2/08
|
Banc of America
|
The spread
|
$(2,620,772)
|
|
|
|
|
|
Securities AAA
|
return of Banc
|
|
|
|
|
|
|
10 yr Index
|
of America
|
|
|
|
|
|
|
multiplied by
|
Securities- CMBS
|
|
|
|
|
|
|
the modified
|
AAA 10 year Index
|
|
|
|
|
|
|
duration factor
|
|
|
|
|
Citibank, N.A.
|
|
|
|
|
|
|
|
11,110,000
|
(F)
|
5/2/08
|
12.5 bp plus
|
The spread
|
(869,450)
|
|
|
|
|
|
change in spread
|
return of Banc
|
|
|
|
|
|
|
of Banc
|
of America
|
|
|
|
|
|
|
of America
|
Securities- CMBS
|
|
|
|
|
|
|
Securities AAA
|
AAA 10 year Index
|
|
|
|
10 yr Index
|
|
|
|
|
multiplied by
|
|
|
|
|
the modified
|
|
|
|
|
duration factor
|
|
|
|
|
Credit Suisse International
|
|
|
|
|
|
GBP
|
2,910,000
|
|
4/3/36
|
4,409,746 GBP at
|
GBP Non-revised
|
(746,811)
|
|
|
|
|
|
maturity
|
Retail Price
|
|
|
|
|
|
|
|
Index
|
|
|
|
Deutsche Bank AG
|
|
|
|
|
|
|
|
$13,216,000
|
|
2/1/08
|
(75 bp minus
|
The spread
|
961,808
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index)
|
|
|
|
|
|
34,000
|
|
2/1/08
|
50 bp plus
|
The spread
|
(2,301)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
|
|
13,216,000
|
|
2/1/08
|
30 bp plus
|
The spread
|
(897,752)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
|
Goldman Sachs International
|
|
|
|
|
|
GBP
|
2,794,000
|
|
1/24/38
|
3.6665%
|
GBP Non-revised
|
(3,110)
|
|
|
|
|
|
|
UK Retail Price
|
|
|
|
|
|
|
|
Index excluding
|
|
|
|
|
|
|
|
tobacco
|
|
|
|
GBP
|
3,723,000
|
|
1/24/18
|
(3.26%)
|
GBP Non-revised
|
(8,522)
|
|
|
|
|
|
|
UK Retail Price
|
|
|
|
|
|
|
|
Index excluding
|
|
|
|
|
|
|
|
tobacco
|
|
|
63
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed payments
|
Total return
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
received (paid) by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
or paid by fund
|
(depreciation)
|
|
|
Goldman Sachs International
continued
|
|
|
|
|
|
|
|
GBP
|
3,723,000
|
|
1/7/18
|
(3.11%)
|
GBP Non-revised
|
$ 87,141
|
|
|
|
|
|
|
UK Retail Price
|
|
|
|
|
|
|
|
Index excluding
|
|
|
|
|
|
|
|
tobacco
|
|
|
|
GBP
|
2,794,000
|
|
1/7/38
|
3.485%
|
GBP Non-revised
|
(3,553)
|
|
|
|
|
|
|
UK Retail Price
|
|
|
|
|
|
|
|
Index excluding
|
|
|
|
|
|
|
|
tobacco
|
|
|
|
|
$
5,630,000
|
(F)
|
5/1/08
|
10 bp plus change
|
The spread
|
(251,796)
|
|
|
|
|
|
in spread of
|
return of Banc
|
|
|
|
|
|
|
Banc of America
|
of America
|
|
|
|
|
|
|
Securities AAA
|
Securities- CMBS
|
|
|
|
|
|
|
10 yr Index
|
AAA 10 year Index
|
|
|
|
multiplied by
|
|
|
|
|
the modified
|
|
|
|
|
|
|
|
duration factor
|
|
|
|
|
EUR
|
17,720,000
|
|
12/14/12
|
2.3775%
|
Eurostat
|
24,558
|
|
|
|
|
|
|
Eurozone HICP
|
|
|
|
|
|
|
|
excluding tobacco
|
|
|
|
|
$
2,644,000
|
(F)
|
9/15/11
|
678 bp (1 month
|
Ford Credit Auto
|
29,118
|
|
|
|
|
|
USD-LIBOR-BBA)
|
Owner Trust
|
|
|
|
|
|
|
|
Series 2005-B
|
|
|
|
|
|
|
|
Class D
|
|
|
|
EUR
|
17,720,000
|
|
11/23/12
|
2.365%
|
Eurostat
|
(12,105)
|
|
|
|
|
|
|
Eurozone HICP
|
|
|
|
|
|
|
|
excluding tobacco
|
|
|
|
GBP
|
8,860,000
|
|
10/16/12
|
3.09%
|
GBP Non-revised
|
55,126
|
|
|
|
|
|
|
UK Retail Price
|
|
|
|
|
|
|
|
Index excluding
|
|
|
|
|
|
|
|
tobacco
|
|
|
|
GBP
|
8,860,000
|
|
9/20/12
|
3.170%
|
GBP Non-revised
|
75,201
|
|
|
|
|
|
|
UK Retail Price
|
|
|
|
|
|
|
|
Index excluding
|
|
|
|
|
|
|
|
tobacco
|
|
|
|
GBP
|
8,860,000
|
|
9/13/12
|
3.110%
|
GBP Non-revised
|
27,527
|
|
|
|
|
|
|
UK Retail Price
|
|
|
|
|
|
|
|
Index excluding
|
|
|
|
|
|
|
|
tobacco
|
|
|
|
$77,700,000
|
|
2/1/08
|
125 bp plus
|
The spread
|
(5,660,204)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
|
JPMorgan Chase Bank, N.A.
|
|
|
|
|
|
|
14,218,000
|
(F)
|
4/30/08
|
110 bp plus Banc
|
The spread
|
(639,483)
|
|
|
|
|
|
of America
|
return of Banc
|
|
|
|
|
|
|
Securities AAA
|
of America
|
|
|
|
|
|
|
10 yr Index
|
Securities- CMBS
|
|
|
|
|
|
|
multiplied by
|
AAA 10 year Index
|
|
|
|
the modified
|
|
|
|
|
duration factor
|
|
|
|
|
|
|
|
|
|
|
64
|
|
|
|
|
|
|
|
|
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed payments
|
Total return
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
received (paid) by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
or paid by fund
|
(depreciation)
|
|
|
JPMorgan Chase Bank, N.A.
continued
|
|
|
|
|
|
|
|
|
|
$41,500,000
|
(F)
|
4/30/08
|
Change in spread
|
The spread
|
$ (2,388,615)
|
|
|
|
|
|
of Banc
|
return of Banc
|
|
|
|
|
|
|
of America
|
of America
|
|
|
|
|
|
|
Securities AAA
|
Securities- CMBS
|
|
|
|
|
|
|
10 yr Index
|
AAA 10 year Index
|
|
|
|
|
multiplied by
|
|
|
|
|
|
the modified
|
|
|
|
|
|
|
|
duration factor
|
|
|
|
|
|
minus 47.5 bp
|
|
|
|
|
|
10,228,000
|
(F)
|
3/1/08
|
(Beginning
|
The spread
|
830,698
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
minus 115 bp)
|
|
|
|
|
|
3,862,000
|
(F)
|
2/1/08
|
(Beginning
|
The spread
|
278,327
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
minus 50 bp)
|
|
|
|
|
|
3,862,000
|
(F)
|
2/1/08
|
25 bp plus
|
The spread
|
(267,266)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
|
|
15,225,000
|
(F)
|
8/1/08
|
Change in spread
|
The spread
|
(1,446,954)
|
|
|
|
|
|
of Lehman
|
return of Lehman
|
|
|
|
|
|
|
Brothers AAA
|
Brothers AAA
|
|
|
|
|
|
|
8.5+ Commercial
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Mortgage Backed
|
adjusted by
|
|
|
|
|
|
|
Securities Index
|
modified
|
|
|
|
|
|
|
minus 17.5 bp
|
duration factor
|
|
|
|
Lehman Brothers Special Financing, Inc.
|
|
|
|
|
|
|
21,012,000
|
|
6/2/08
|
(Beginning
|
The spread
|
1,574,009
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
minus 175 bp)
|
|
|
|
|
|
30,125,000
|
|
6/1/08
|
(Beginning
|
The spread
|
2,171,446
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
minus 500 bp)
|
|
|
|
65
|
|
|
|
|
|
|
|
|
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
Fixed payments
|
Total return
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
received (paid) by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
or paid by fund
|
(depreciation)
|
|
|
Lehman Brothers Special Financing, Inc.
continued
|
|
|
|
|
|
|
|
$36,380,000
|
(F)
|
6/2/08
|
(Beginning
|
The spread
|
$ 2,145,147
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
|
|
minus 300 bp)
|
|
|
|
|
|
|
|
17,700,000
|
|
5/1/08
|
195 bp plus
|
The spread
|
(1,187,130)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
|
|
7,280,000
|
|
6/1/08
|
(20 bp plus
|
The spread
|
413,307
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index)
|
|
|
|
|
|
14,520,000
|
|
5/1/08
|
(Beginning
|
The spread
|
981,025
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
|
|
minus 175 bp)
|
|
|
|
|
|
65,470,000
|
|
5/1/08
|
(Beginning
|
The spread
|
4,302,538
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
|
|
minus 218.75 bp)
|
|
|
|
|
EUR
|
17,720,000
|
|
11/12/12
|
(2,187,147 EUR
|
Eurostat
|
(36,904)
|
|
|
|
|
|
at maturity)
|
Eurozone HICP
|
|
|
|
|
|
|
|
excluding tobacco
|
|
|
|
EUR
|
17,720,000
|
|
11/9/12
|
(2,211,471 EUR
|
Eurostat
|
(13,180)
|
|
|
|
|
|
at maturity)
|
Eurozone HICP
|
|
|
|
|
|
|
|
excluding tobacco
|
|
|
|
|
$168,950,000
|
|
5/1/08
|
15 bp plus
|
The spread
|
(14,410,421)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
66
|
|
|
|
|
|
|
|
|
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed payments
|
Total return
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
received (paid) by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
or paid by fund
|
(depreciation)
|
|
|
Lehman Brothers Special Financing, Inc.
continued
|
|
|
|
|
|
|
|
|
$16,009,000
|
|
5/1/08
|
50 bp plus
|
The spread
|
$(1,504,252)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
|
|
7,621,000
|
|
4/1/08
|
Beginning
|
The spread
|
(738,851)
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
minus 10 bp
|
|
|
|
|
|
8,745,000
|
|
3/1/08
|
(2.5 bp plus
|
The spread
|
762,659
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index)
|
|
|
|
|
|
33,927,000
|
|
3/1/08
|
Beginning
|
The spread
|
(2,771,724)
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
minus 70 bp
|
|
|
|
|
|
7,672,000
|
|
3/1/08
|
(Beginning
|
The spread
|
639,730
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
minus 120 bp)
|
|
|
|
|
|
15,102,000
|
|
2/1/08
|
(Beginning
|
The spread
|
1,084,843
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
minus 45 bp)
|
|
|
|
|
|
15,102,000
|
|
2/1/08
|
30 bp plus
|
The spread
|
(1,041,511)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
67
|
|
|
|
|
|
|
|
|
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
Fixed payments
|
Total return
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
received (paid) by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
or paid by fund
|
(depreciation)
|
|
|
Lehman Brothers Special Financing, Inc.
continued
|
|
|
|
|
|
|
$13,212,000
|
|
2/1/08
|
Beginning
|
The spread
|
$ (944,316)
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
minus 50 bp
|
|
|
|
|
26,289,000
|
|
2/1/08
|
57.5 bp plus
|
The spread
|
(1,958,520)
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
of period nominal
|
Brothers AAA
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
Securities Index
|
|
|
|
|
GBP
|
2,685,000
|
|
3/15/36
|
4,063,876 GBP
|
GBP Non-revised
|
(664,087)
|
|
|
|
|
at maturity
|
Retail Price
|
|
|
|
|
|
|
Index
|
|
|
|
$62,776,000
|
|
2/1/08
|
Beginning
|
The spread
|
(4,688,670)
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
spread of Lehman
|
Brothers Aaa
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
minus 50 bp
|
|
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
|
|
|
|
EUR
|
17,720,000
|
|
12/20/12
|
2.395%
|
Eurostat
|
(66,304)
|
|
|
|
|
|
Eurozone HICP
|
|
|
|
|
|
|
excluding tobacco
|
|
|
|
$10,780,000
|
(F)
|
4/30/08
|
120 bp plus Banc
|
The spread
|
(480,324)
|
|
|
|
|
of America
|
return of Banc
|
|
|
|
|
|
Securities AAA
|
of America
|
|
|
|
|
|
10 yr Index
|
Securities- CMBS
|
|
|
|
|
|
multiplied by
|
AAA 10 year Index
|
|
|
|
the modified
|
|
|
|
|
|
|
duration factor
|
|
|
|
|
5,911,000
|
(F)
|
5/2/08
|
10 bp plus Banc
|
The spread
|
(336,413)
|
|
|
|
|
of America
|
return of Banc
|
|
|
|
|
|
Securities AAA
|
of America
|
|
|
|
|
|
10 yr Index
|
Securities- CMBS
|
|
|
|
|
|
multiplied by
|
AAA 10 year Index
|
|
|
|
the modified
|
|
|
|
|
|
|
duration factor
|
|
|
|
|
40,190,000
|
(F)
|
4/30/08
|
Change in spread
|
The spread
|
(2,454,685)
|
|
|
|
|
of Banc
|
return of Banc
|
|
|
|
|
|
of America
|
of America
|
|
|
|
|
|
Securities AAA
|
Securities- CMBS
|
|
|
|
|
|
10 yr Index
|
AAA 10 year Index
|
|
|
|
multiplied by
|
|
|
|
|
the modified
|
|
|
|
|
|
|
duration factor
|
|
|
|
|
minus 15 bp
|
|
|
|
68
|
|
|
|
|
|
|
|
|
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed payments
|
Total return
|
Unrealized
|
|
Swap counterparty /
|
|
Termination
|
received (paid) by
|
received by
|
appreciation/
|
|
Notional amount
|
|
date
|
fund per annum
|
or paid by fund
|
(depreciation)
|
|
|
Morgan Stanley Capital Services, Inc.
continued
|
|
|
|
|
|
|
|
|
$210,950,000
|
|
1/31/08
|
(Beginning
|
The spread
|
$14,916,022
|
|
|
|
|
|
of period nominal
|
return of Lehman
|
|
|
|
|
|
|
spread of Lehman
|
Brothers AAA
|
|
|
|
|
|
|
Brothers AAA
|
8.5+ CMBS Index
|
|
|
|
|
|
|
8.5+ Commercial
|
adjusted by
|
|
|
|
|
|
|
Mortgage Backed
|
modified
|
|
|
|
|
|
|
Securities Index
|
duration factor
|
|
|
|
|
minus 25 bp)
|
|
|
|
|
|
11,294,500
|
(F)
|
1/31/08
|
Change in spread
|
The spread
|
(670,374)
|
|
|
|
|
|
of Banc
|
return of Banc
|
|
|
|
|
|
|
of America
|
of America
|
|
|
|
|
|
|
Securities AAA
|
Securities- CMBS
|
|
|
|
|
|
|
10 yr Index
|
AAA 10 year Index
|
|
|
|
|
multiplied by
|
|
|
|
|
|
the modified
|
|
|
|
|
|
|
|
duration factor
|
|
|
|
|
|
minus 80 bp
|
|
|
|
|
|
3,500,000
|
|
2/1/08
|
100 bp plus
|
The spread
|
(258,973)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers Aaa
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
|
|
11,294,500
|
|
1/31/08
|
Change in spread
|
The spread
|
(846,797)
|
|
|
|
|
|
of Lehman
|
return of Lehman
|
|
|
|
|
|
|
Brothers AAA
|
Brothers AAA
|
|
|
|
|
|
|
8.5+ Commercial
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Mortgage Backed
|
adjusted by
|
|
|
|
|
|
|
Securities Index
|
modified
|
|
|
|
|
|
|
minus 70 bp
|
duration factor
|
|
|
|
|
81,843,000
|
|
1/31/08
|
40 bp plus
|
The spread
|
(6,402,291)
|
|
|
|
|
|
beginning
|
return of Lehman
|
|
|
|
|
|
|
of period nominal
|
Brothers Aaa
|
|
|
|
|
|
|
spread of Lehman
|
8.5+ CMBS Index
|
|
|
|
|
|
|
Brothers AAA
|
adjusted by
|
|
|
|
|
|
|
8.5+ Commercial
|
modified
|
|
|
|
|
|
|
Mortgage Backed
|
duration factor
|
|
|
|
|
|
|
Securities Index
|
|
|
|
|
Total
|
|
|
|
|
($25,800,678)
|
(F) Is valued at fair value following procedures approved by the Trustees.
69
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
|
|
|
|
|
|
|
|
Upfront
|
|
|
|
Fixed payments
|
Unrealized
|
|
Swap counterparty /
|
|
premium
|
Notional
|
|
Termination
|
received (paid) by
|
appreciation/
|
|
Referenced debt*
|
|
received (paid)**
|
amount
|
|
date
|
fund per annum
|
(depreciation)
|
|
|
Bank of America, N.A.
|
|
|
|
|
|
|
|
|
Abitibibowater Inc.,
|
|
|
|
|
|
|
|
|
6 1/2%, 6/15/13
|
|
$
—
|
$ 245,000
|
|
12/20/08
|
550 bp
|
$ (8,239)
|
|
|
DJ ABX NA CMBX BBB Index
|
|
267
|
389,000
|
|
10/12/52
|
(134 bp)
|
121,539
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
20,048
|
10,692,000
|
|
12/20/12
|
(375 bp)
|
878,303
|
|
|
Financial Security
|
|
|
|
|
|
|
|
|
Assurance Inc.
|
|
—
|
1,075,000
|
(F)
|
12/20/12
|
95 bp
|
(42,139)
|
|
|
Ford Motor Co., 7.45%,
|
|
|
|
|
|
|
|
|
7/16/31
|
|
—
|
935,000
|
|
3/20/12
|
(525 bp)
|
81,653
|
|
|
Ford Motor Credit Co.,
|
|
|
|
|
|
|
|
|
7%, 10/1/13
|
|
—
|
2,805,000
|
|
3/20/12
|
285 bp
|
(366,744)
|
|
|
Idearc, Inc, T/L B
|
|
—
|
1,150,000
|
|
6/20/12
|
(152 bp)
|
61,898
|
|
|
Kinder Morgan, Inc.,
|
|
|
|
|
|
|
|
|
6 1/2%, 9/1/12
|
|
—
|
3,850,000
|
|
6/20/12
|
(89 bp)
|
209,890
|
|
|
L-3 Communications
|
|
|
|
|
|
|
|
|
Corp. 7 5/8%, 6/15/12
|
|
—
|
460,000
|
|
6/20/11
|
(101 bp)
|
2,307
|
|
|
Nalco, Co.
|
|
|
|
|
|
|
|
|
7.75%,11/15/11
|
|
—
|
175,000
|
|
9/20/12
|
350 bp
|
(4,221)
|
|
|
Bear Stearns Credit Products, Inc.
|
|
|
|
|
|
|
|
Claire’s Stores,
|
|
|
|
|
|
|
|
|
9 5/8%, 6/1/15
|
|
—
|
140,000
|
|
6/20/12
|
230 bp
|
(25,875)
|
|
|
Bear Stearns International, Ltd.
|
|
|
|
|
|
|
|
|
DJ ABX NA CMBX BBB Index
|
|
2,262
|
467,070
|
|
10/12/52
|
(134 bp)
|
157,693
|
|
|
Citibank, N.A.
|
|
|
|
|
|
|
|
|
Abitibibowater Inc.,
|
|
|
|
|
|
|
|
|
6 1/2%, 6/15/13
|
|
—
|
245,000
|
|
12/20/08
|
825 bp
|
(1,026)
|
|
|
Abitibibowater Inc.,
|
|
|
|
|
|
|
|
|
6 1/2%, 6/15/13
|
|
—
|
245,000
|
|
12/20/08
|
725 bp
|
(4,182)
|
|
|
Abitibibowater Inc.,
|
|
|
|
|
|
|
|
|
6 1/2%, 6/15/13
|
|
—
|
245,000
|
|
12/20/08
|
800 bp
|
(2,444)
|
|
|
Advanced Micro Devices
|
|
|
|
|
|
|
|
|
Inc., 7.75%, 11/1/12
|
|
—
|
4,125,000
|
|
3/20/09
|
575 bp
|
(23,999)
|
|
|
DJ ABX HE A Index
|
|
478,185
|
673,500
|
|
1/25/38
|
369 bp
|
(4,647)
|
|
|
DJ ABX HE AAA Index
|
|
1,485,000
|
5,500,000
|
|
1/25/38
|
76 bp
|
(132,000)
|
|
|
DJ ABX HE AAA Index
|
|
117,189
|
404,100
|
|
1/25/38
|
76 bp
|
(1,616)
|
|
|
Freescale
|
|
|
|
|
|
|
|
|
Semiconductor, 8 7/8%,
|
|
|
|
|
|
|
|
|
12/15/14
|
|
—
|
430,000
|
|
9/20/12
|
495 bp
|
(70,528)
|
|
|
Rhodia SA, 7.326%,
|
|
|
|
|
|
|
|
|
10/15/13
|
|
—
|
985,000
|
|
3/20/13
|
(245 bp)
|
34,514
|
|
|
Rhodia SA, 7.326%,
|
|
|
|
|
|
|
|
|
10/15/13
|
|
—
|
590,000
|
|
3/20/13
|
(240 bp)
|
22,545
|
|
|
Sanmina-Sci Corp.,
|
|
|
|
|
|
|
|
|
8 1/8%, 3/1/16
|
|
—
|
105,000
|
|
3/20/09
|
275 bp
|
107
|
|
|
Sara Lee Corp., 6 1/8%,
|
|
|
|
|
|
|
|
|
11/1/32
|
|
—
|
580,000
|
|
9/20/11
|
(43 bp)
|
2,514
|
|
|
Wind Acquisition
|
|
|
|
|
|
|
|
|
9 3/4%, 12/1/15
|
|
—
|
471,000
|
|
3/20/13
|
(495 bp)
|
8,000
|
|
70
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
Upfront
|
|
|
|
Fixed payments
|
Unrealized
|
|
Swap counterparty /
|
premium
|
Notional
|
|
Termination
|
received (paid) by
|
appreciation/
|
|
Referenced debt*
|
|
received (paid)**
|
amount
|
|
date
|
fund per annum
|
(depreciation)
|
|
|
Credit Suisse First Boston International
|
|
|
|
|
|
|
Ukraine Government,
|
|
|
|
|
|
|
|
|
7.65%, 6/11/13
|
|
$
—
|
$2,175,000
|
|
10/20/11
|
194 bp
|
$ (15,265)
|
|
|
Credit Suisse International
|
|
|
|
|
|
|
|
|
Advanced Micro Devices,
|
|
|
|
|
|
|
|
|
7 3/4%, 11/1/12
|
|
—
|
420,000
|
|
6/20/09
|
165 bp
|
(29,333)
|
|
|
Dynegy Holdings Inc.,
|
|
|
|
|
|
|
|
|
6 7/8%, 4/1/11
|
|
—
|
295,000
|
|
6/20/17
|
297 bp
|
(33,982)
|
|
|
Freeport-McMoRan Copper
|
|
|
|
|
|
|
|
|
& Gold, Inc.
|
|
—
|
1,180,200
|
|
3/20/12
|
(82 bp)
|
(10,727)
|
|
|
Freeport-McMoRan Copper
|
|
|
|
|
|
|
|
|
& Gold, Inc.
|
|
—
|
1,180,000
|
|
3/20/12
|
41 bp
|
(8,072)
|
|
|
Harrahs Operating Co.
|
|
|
|
|
|
|
|
|
Inc., 5 5/8%, 6/1/15
|
|
—
|
320,000
|
|
3/20/09
|
600 bp
|
—
|
|
|
Hertz Corp., 8 7/8%,
|
|
|
|
|
|
|
|
|
1/1/14
|
|
—
|
1,075,000
|
|
3/20/14
|
(465 bp)
|
17,161
|
|
|
Neiman Marcus Group,
|
|
|
|
|
|
|
|
|
Inc., 9%, 10/15/15
|
|
—
|
700,000
|
(F)
|
3/20/12
|
(64 bp)
|
50,754
|
|
|
Republic of Peru,
|
|
|
|
|
|
|
|
|
8 3/4%, 11/21/33
|
|
—
|
1,205,000
|
|
4/20/17
|
125 bp
|
(43,020)
|
|
|
Deutsche Bank AG
|
|
|
|
|
|
|
|
|
DJ ABX HE A Index
|
3,630,000
|
5,500,000
|
|
1/25/38
|
369 bp
|
(319,503)
|
|
|
DJ ABX NA CMBX AAA Index
|
129,970
|
2,280,000
|
|
2/17/51
|
35 bp
|
(13,992)
|
|
|
DJ LCDX NA Series 9.1
|
|
|
|
|
|
|
|
|
Index 15-100% tranche
|
|
—
|
5,650,000
|
(F)
|
12/20/12
|
61.56 bp
|
(142,655)
|
|
|
Ford Motor Credit Co.
|
|
|
|
|
|
|
|
|
LLC., 7.25%, 10/25/11
|
|
—
|
3,015,000
|
|
9/20/10
|
(587 bp)
|
68,265
|
|
|
India Government Bond,
|
|
|
|
|
|
|
|
|
5.87%, 1/2/10
|
|
—
|
11,165,000
|
(F)
|
1/11/10
|
170 bp
|
(120)
|
|
|
Korea Monetary STAB
|
|
|
|
|
|
|
|
|
Bond, 5.04%, 1/24/09
|
|
—
|
2,150,000
|
(F)
|
2/2/09
|
130 bp
|
7,044
|
|
|
Korea Monetary STAB
|
|
|
|
|
|
|
|
|
Bond, 5.45%, 1/23/10
|
|
—
|
1,670,000
|
(F)
|
2/1/10
|
110 bp
|
3,161
|
|
|
Nalco, Co. 7.75%,
|
|
|
|
|
|
|
|
|
11/15/11
|
|
—
|
160,000
|
|
12/20/12
|
363 bp
|
(3,567)
|
|
|
Republic of Argentina,
|
|
|
|
|
|
|
|
|
8.28%, 12/31/33
|
|
—
|
1,375,000
|
|
8/20/12
|
(380 bp)
|
19,143
|
|
|
Republic of Indonesia,
|
|
|
|
|
|
|
|
|
6.75%, 2014
|
|
—
|
1,125,000
|
|
9/20/16
|
292 bp
|
33,503
|
|
|
Republic of Peru,
|
|
|
|
|
|
|
|
|
8 3/4%, 11/21/33
|
|
—
|
1,205,000
|
|
4/20/17
|
126 bp
|
(40,188)
|
|
|
Republic of Turkey,
|
|
|
|
|
|
|
|
|
11 7/8%, 1/15/30
|
|
—
|
1,810,000
|
|
6/20/14
|
195 bp
|
(29,595)
|
|
|
Republic of Venezuela,
|
|
|
|
|
|
|
|
|
9 1/4%, 9/15/27
|
|
—
|
1,175,000
|
|
6/20/14
|
220 bp
|
(151,082)
|
|
|
Russian Federation,
|
|
|
|
|
|
|
|
|
7 1/2%, 3/31/30
|
|
—
|
2,210,000
|
|
6/20/17
|
61 bp
|
(122,724)
|
|
|
Russian Federation,
|
|
|
|
|
|
|
|
|
7.5%, 3/31/30
|
|
—
|
1,500,000
|
|
8/20/17
|
86 bp
|
(51,878)
|
|
|
United Mexican States,
|
|
|
|
|
|
|
|
|
7.5%, 4/8/33
|
|
—
|
1,080,000
|
|
4/20/17
|
66 bp
|
(50,253)
|
|
71
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
Upfront
|
|
|
|
Fixed payments
|
Unrealized
|
|
Swap counterparty /
|
|
premium
|
Notional
|
|
Termination
|
received (paid) by
|
appreciation/
|
|
Referenced debt*
|
|
received (paid)**
|
amount
|
|
date
|
fund per annum
|
(depreciation)
|
|
|
Deutsche Bank AG
continued
|
|
|
|
|
|
|
|
|
United Mexican States,
|
|
|
|
|
|
|
|
|
7.5%, 4/8/33
|
|
$
—
|
$2,945,000
|
|
3/20/14
|
56 bp
|
$ (91,826)
|
|
|
Republic of Brazil, 12 1/4%,
|
|
|
|
|
|
|
|
|
3/6/30
|
|
—
|
1,500,000
|
|
10/20/17
|
105 bp
|
(70,954)
|
|
|
Rhodia SA, 7.326%, 10/15/13
|
|
—
|
970,000
|
|
3/20/13
|
(235 bp)
|
40,237
|
|
|
Goldman Sachs International
|
|
|
|
|
|
|
|
|
Advanced Micro Devices,
|
|
|
|
|
|
|
|
|
7 3/4%, 11/1/12
|
|
—
|
710,000
|
|
3/20/09
|
515 bp
|
(3,802)
|
|
|
Any one of the
|
|
|
|
|
|
|
|
|
underlying securities
|
|
|
|
|
|
|
|
|
in the basket of BB
|
|
|
|
|
|
|
|
|
CMBS securities
|
|
—
|
7,487,000
|
(a)
|
|
2.461%
|
(518,774)
|
|
|
DJ ABX HE A Index
|
|
972,989
|
1,452,000
|
|
1/25/38
|
369 bp
|
(66,925)
|
|
|
DJ ABX HE AAA Index
|
|
341,251
|
1,452,000
|
|
1/25/38
|
76 bp
|
(94,165)
|
|
|
DJ CDX NA CMBX AAA Index
|
109,727
|
3,000,000
|
|
3/15/49
|
7 bp
|
(93,807)
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
2,107,394
|
43,790,000
|
|
12/20/12
|
375 bp
|
(1,471,526)
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
863,200
|
21,580,000
|
|
12/20/12
|
375 bp
|
(869,045)
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index 25-35% tranche
|
|
—
|
5,580,000
|
|
12/20/10
|
108.65 bp
|
(244,863)
|
|
|
DJ CDX NA IG Series 8
|
|
|
|
|
|
|
|
|
Index
|
|
220,877
|
14,690,000
|
|
6/20/12
|
35 bp
|
(264,509)
|
|
|
DJ CDX NA IG Series 8
|
|
|
|
|
|
|
|
|
Index 30-100% tranche
|
|
—
|
47,479,000
|
|
6/20/12
|
(2.75 bp)
|
417,179
|
|
|
General Motors Corp.,
|
|
|
|
|
|
|
|
|
7 1/8%, 7/15/13
|
|
—
|
2,720,000
|
|
9/20/08
|
620 bp
|
50,335
|
|
|
General Motors Corp.,
|
|
|
|
|
|
|
|
|
7 1/8%, 7/15/13
|
|
—
|
580,000
|
|
9/20/08
|
620 bp
|
10,733
|
|
|
Lehman Brothers
|
|
|
|
|
|
|
|
|
Holdings, 6 5/8%,
|
|
|
|
|
|
|
|
|
1/18/12
|
|
—
|
2,375,000
|
|
9/20/17
|
(67.8 bp)
|
101,009
|
|
|
Merrill Lynch & Co.,
|
|
|
|
|
|
|
|
|
5%, 1/15/15
|
|
—
|
2,375,000
|
|
9/20/17
|
(59.8 bp)
|
94,236
|
|
|
Wind Acquisition
|
|
|
|
|
|
|
|
|
9 3/4%, 12/1/15
|
|
—
|
1,070,000
|
|
12/20/10
|
(340 bp)
|
45,103
|
|
|
JPMorgan Chase Bank, N.A.
|
|
|
|
|
|
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index 25-35% tranche
|
|
—
|
5,722,000
|
|
12/20/10
|
105.5 bp
|
(256,230)
|
|
|
DJ CDX NA IG Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
—
|
18,460,000
|
(F)
|
12/20/12
|
(13.55 bp)
|
118,276
|
|
|
DJ CDX NA IG Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
(46,279)
|
2,280,000
|
|
12/20/17
|
(80 bp)
|
277
|
|
|
DJ CDX NA IG Series 9
|
|
|
|
|
|
|
|
|
Index 30-100% tranche
|
|
—
|
16,780,000
|
(F)
|
12/20/12
|
(5.8 bp)
|
158,013
|
|
|
Freeport-McMoRan Copper
|
|
|
|
|
|
|
|
|
& Gold, Inc.
|
|
—
|
2,360,300
|
|
3/20/12
|
(85 bp)
|
(24,206)
|
|
|
Idearc, Inc T/L B L
|
|
—
|
1,150,000
|
|
6/20/12
|
79 bp
|
(90,006)
|
|
|
Republic of Argentina,
|
|
|
|
|
|
|
|
|
8.28%, 12/31/33
|
|
—
|
1,385,000
|
|
6/20/14
|
235 bp
|
(189,389)
|
|
|
Republic of Indonesia,
|
|
|
|
|
|
|
|
|
6.75%, 3/10/14
|
|
—
|
1,870,000
|
|
6/20/17
|
171.5 bp
|
(99,580)
|
|
72
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
Upfront
|
|
|
|
Fixed payments
|
Unrealized
|
|
Swap counterparty /
|
|
premium
|
Notional
|
|
Termination
|
received (paid) by
|
appreciation/
|
|
Referenced debt*
|
received (paid)**
|
amount
|
|
date
|
fund per annum
|
(depreciation)
|
|
|
JPMorgan Chase Bank, N.A.
continued
|
|
|
|
|
|
|
Republic of Turkey,
|
|
|
|
|
|
|
|
|
11 7/8%, 1/15/30
|
|
$
—
|
$1,945,000
|
|
5/20/17
|
230 bp
|
$ (41,363)
|
|
|
Republic of Turkey,
|
|
|
|
|
|
|
|
|
11 7/8%, 1/15/30
|
|
—
|
1,435,000
|
|
5/20/17
|
244 bp
|
(16,018)
|
|
|
Russian Federation,
|
|
|
|
|
|
|
|
|
7 1/2%, 3/31/30
|
|
—
|
1,580,000
|
|
5/20/17
|
60 bp
|
(87,332)
|
|
|
Russian Federation,
|
|
|
|
|
|
|
|
|
7.5%, 3/31/30
|
|
—
|
1,500,000
|
|
8/20/17
|
85 bp
|
(53,077)
|
|
|
Russian Federation,
|
|
|
|
|
|
|
|
|
7.5%, 3/31/30
|
|
—
|
2,250,000
|
|
8/20/12
|
65 bp
|
(38,525)
|
|
|
Lehman Brothers Special Financing, Inc.
|
|
|
|
|
|
|
Advanced Micro Devices,
|
|
|
|
|
|
|
|
|
7 3/4%, 11/1/12
|
|
—
|
1,420,000
|
|
3/20/09
|
525 bp
|
(13,739)
|
|
|
Bear Stearns Co. Inc.,
|
|
|
|
|
|
|
|
|
5.3%, 10/30/15
|
|
—
|
2,375,000
|
|
9/20/17
|
(77 bp)
|
222,372
|
|
|
Community Health
|
|
|
|
|
|
|
|
|
Systems, 8 7/8%, 7/15/15
|
|
—
|
380,000
|
|
12/20/12
|
360 bp
|
(12,741)
|
|
|
DJ ABX HE A Index
|
|
1,011,225
|
1,455,000
|
|
1/25/38
|
369 bp
|
(30,940)
|
|
|
DJ ABX HE A Index
|
|
972,989
|
1,452,000
|
|
1/25/38
|
369 bp
|
(66,925)
|
|
|
DJ ABX HE AAA Index
|
|
78,126
|
269,400
|
|
1/25/38
|
76 bp
|
(695)
|
|
|
DJ ABX HE AAA Index
|
|
407,400
|
1,455,000
|
|
1/25/38
|
76 bp
|
(18,188)
|
|
|
DJ ABX HE AAA Index
|
|
341,251
|
1,452,000
|
|
1/25/38
|
76 bp
|
(83,262)
|
|
|
DJ CDX NA CMBX AA Index
|
|
(2,155)
|
68,000
|
(F)
|
3/15/49
|
(15 bp)
|
11,391
|
|
|
DJ CDX NA HY Series 8
|
|
|
|
|
|
|
|
|
Index 35-60% tranche
|
|
—
|
9,049,000
|
|
6/20/12
|
104 bp
|
(622,236)
|
|
|
DJ CDX NA HY Series 8
|
|
|
|
|
|
|
|
|
Index 35-60% tranche
|
|
—
|
86,378,000
|
|
6/20/12
|
95 bp
|
(6,265,292)
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index 25-35% tranche
|
|
—
|
32,440,000
|
|
12/20/10
|
212 bp
|
(500,765)
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index 25-35% tranche
|
|
—
|
32,440,000
|
|
12/20/10
|
203 bp
|
(577,027)
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index 25-35% tranche
|
|
—
|
53,900,000
|
|
12/20/10
|
171 bp
|
(1,403,960)
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index 25-35% tranche
|
|
—
|
22,600,000
|
|
12/20/10
|
90 bp
|
(1,112,259)
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index 25-35% tranche
|
|
—
|
22,600,000
|
|
12/20/10
|
104.5 bp
|
(1,018,623)
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index, 25-35% tranche
|
|
—
|
20,510,000
|
|
12/20/10
|
163 bp
|
(575,539)
|
|
|
DJ CDX NA IG Series 8
|
|
|
|
|
|
|
|
|
Index
|
|
17,878
|
1,144,000
|
|
6/20/12
|
35 bp
|
(19,922)
|
|
|
DJ CDX NA IG Series 8
|
|
|
|
|
|
|
|
|
Index 30-100% tranche
|
|
—
|
17,768,850
|
|
6/20/12
|
(3.125 bp)
|
159,205
|
|
|
DJ CDX NA IG Series 8
|
|
|
|
|
|
|
|
|
Index 30-100% tranche
|
|
—
|
86,339,150
|
|
6/20/12
|
(8 bp)
|
587,145
|
|
|
DJ CDX NA IG Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
(204,744)
|
5,902,500
|
|
12/20/17
|
(80 bp)
|
(83,565)
|
|
|
DJ CDX NA IG Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
(267,339)
|
11,805,000
|
|
12/20/17
|
(80 bp)
|
(26,294)
|
|
|
DJ CDX NA IG Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
(40,724)
|
8,230,000
|
|
12/20/12
|
(60 bp)
|
(202,553)
|
|
73
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
Upfront
|
|
|
|
Fixed payments
|
Unrealized
|
|
Swap counterparty /
|
|
premium
|
Notional
|
|
Termination
|
received (paid) by
|
appreciation/
|
|
Referenced debt*
|
|
received (paid)**
|
amount
|
|
date
|
fund per annum
|
(depreciation)
|
|
|
Lehman Brothers Special Financing, Inc.
continued
|
|
|
|
|
|
|
DJ CDX NA IG Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
$ 258,408
|
$52,546,000
|
|
12/20/12
|
(60 bp)
|
$ 1,291,637
|
|
|
DJ LCDX NA Series 9.1
|
|
|
|
|
|
|
|
|
Index 15-100% tranche
|
|
—
|
5,650,000
|
(F)
|
12/20/12
|
59.3 bp
|
(146,130)
|
|
|
Domtar Corp., 7 1/8%,
|
|
|
|
|
|
|
|
|
8/15/15
|
|
—
|
280,000
|
|
12/20/11
|
(250 bp)
|
5,842
|
|
|
Fed Republic of Brazil,
|
|
|
|
|
|
|
|
|
12.25%, 3/6/30
|
|
—
|
230,000
|
|
8/20/12
|
113 bp
|
(248)
|
|
|
Fed Republic of Brazil,
|
|
|
|
|
|
|
|
|
12.25%, 3/6/30
|
|
—
|
230,000
|
|
8/20/12
|
120 bp
|
464
|
|
|
Freescale
|
|
|
|
|
|
|
|
|
Semiconductor, 8 7/8%,
|
|
|
|
|
|
|
|
|
12/15/14
|
|
—
|
1,143,000
|
|
6/20/10
|
(228 bp)
|
193,460
|
|
|
Freescale
|
|
|
|
|
|
|
|
|
Semiconductor, 8 7/8%,
|
|
|
|
|
|
|
|
|
12/15/14
|
|
—
|
1,143,000
|
|
6/20/12
|
355 bp
|
(232,577)
|
|
|
Goldman Sachs Group,
|
|
|
|
|
|
|
|
|
Inc., 6.6%, 1/15/12
|
|
—
|
1,720,000
|
|
9/20/12
|
45.5 bp
|
(28,064)
|
|
|
Goldman Sachs Group,
|
|
|
|
|
|
|
|
|
Inc., 6.6%, 1/15/12
|
|
—
|
2,375,000
|
|
9/20/17
|
(58 bp)
|
30,298
|
|
|
Harrahs Operating Co.
|
|
|
|
|
|
|
|
|
Inc., 5 5/8%, 6/1/15
|
|
—
|
225,000
|
|
3/20/09
|
610 bp
|
727
|
|
|
Morgan Stanley Dean
|
|
|
|
|
|
|
|
|
Witter, 6.6%, 4/1/12
|
|
—
|
2,375,000
|
|
9/20/12
|
48 bp
|
(71,337)
|
|
|
Morgan Stanley Dean
|
|
|
|
|
|
|
|
|
Witter, 6.6%, 4/1/12
|
|
—
|
2,375,000
|
|
9/20/17
|
(60.5 bp)
|
64,475
|
|
|
Republic of Argentina,
|
|
|
|
|
|
|
|
|
8.28%, 12/31/33
|
|
—
|
1,960,000
|
|
5/20/17
|
296 bp
|
(309,924)
|
|
|
Republic of Argentina,
|
|
|
|
|
|
|
|
|
8.28%, 12/31/33
|
|
—
|
685,000
|
|
9/20/12
|
(469 bp)
|
(12,637)
|
|
|
Republic of Ecuador,
|
|
|
|
|
|
|
|
|
10%, 8/15/30
|
|
—
|
1,110,000
|
|
5/20/12
|
540 bp
|
13,886
|
|
|
Republic of Ecuador,
|
|
|
|
|
|
|
|
|
10%, 8/15/30
|
|
—
|
1,120,000
|
|
6/20/12
|
600 bp
|
30,908
|
|
|
Republic of Ecuador,
|
|
|
|
|
|
|
|
|
10%, 8/15/30
|
|
—
|
665,000
|
|
5/20/12
|
540 bp
|
8,319
|
|
|
Republic of Peru,
|
|
|
|
|
|
|
|
|
8 3/4%, 11/21/33
|
|
—
|
2,330,000
|
|
10/20/16
|
215 bp
|
76,813
|
|
|
Republic of Turkey,
|
|
|
|
|
|
|
|
|
11 7/8%, 1/15/30
|
|
—
|
2,780,000
|
|
5/20/17
|
228 bp
|
(63,152)
|
|
|
Republic of Venezuela,
|
|
|
|
|
|
|
|
|
9 1/4%, 9/15/27
|
|
—
|
2,340,000
|
|
5/20/08
|
(130 bp)
|
3,137
|
|
|
Republic of Venezuela,
|
|
|
|
|
|
|
|
|
9 1/4%, 9/15/27
|
|
—
|
2,340,000
|
|
5/20/12
|
183 bp
|
(222,453)
|
|
|
Transocean, Inc.,
|
|
|
|
|
|
|
|
|
7 3/8%, 4/15/18
|
|
—
|
435,000
|
|
3/20/18
|
(78.5 bp)
|
5,857
|
|
|
United Mexican States,
|
|
|
|
|
|
|
|
|
7.5%, 4/8/33
|
|
—
|
1,310,000
|
|
4/20/17
|
67 bp
|
(60,600)
|
|
|
Wind Acquisition
|
|
|
|
|
|
|
|
|
9 3/4%, 12/1/15
|
|
—
|
470,000
|
|
12/20/10
|
(357 bp)
|
9,312
|
|
74
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Upfront
|
|
|
|
Fixed payments
|
Unrealized
|
|
Swap counterparty /
|
|
premium
|
Notional
|
|
Termination
|
received (paid) by
|
appreciation/
|
|
Referenced debt*
|
received (paid)**
|
amount
|
|
date
|
fund per annum
|
(depreciation)
|
|
|
Merrill Lynch Capital Services, Inc.
|
|
|
|
|
|
|
|
|
Bombardier, Inc,
|
|
|
|
|
|
|
|
|
6 3/4%, 5/1/12
|
|
$
—
|
$2,105,000
|
|
6/20/12
|
(150 bp)
|
$
22,215
|
|
|
D.R. Horton Inc.,
|
|
|
|
|
|
|
|
|
7 7/8%, 8/15/11
|
|
—
|
1,435,000
|
|
9/20/11
|
(426 bp)
|
(23,484)
|
|
|
General Motors Corp.,
|
|
|
|
|
|
|
|
|
7 1/8%, 7/15/13
|
|
—
|
1,895,000
|
|
9/20/08
|
500 bp
|
18,007
|
|
|
Pulte Homes Inc.,
|
|
|
|
|
|
|
|
|
5.25%, 1/15/14
|
|
—
|
1,344,000
|
|
9/20/11
|
(482 bp)
|
(49,534)
|
|
|
Merrill Lynch International
|
|
|
|
|
|
|
|
|
Dynegy Holdings Inc.,
|
|
|
|
|
|
|
|
|
6 7/8%, 4/1/11
|
|
—
|
295,000
|
|
6/20/17
|
295 bp
|
(34,313)
|
|
|
Morgan Stanley Capital Services, Inc.
|
|
|
|
|
|
|
|
Advanced Micro Devices,
|
|
|
|
|
|
|
|
|
7 3/4%, 11/1/12
|
|
—
|
1,100,000
|
|
6/20/09
|
190 bp
|
(68,927)
|
|
|
Aramark Services, Inc.,
|
|
|
|
|
|
|
|
|
8.5%, 2/1/15
|
|
—
|
250,000
|
|
12/20/12
|
355 bp
|
(12,800)
|
|
|
Bombardier, Inc,
|
|
|
|
|
|
|
|
|
6 3/4%, 5/1/12
|
|
—
|
1,050,000
|
|
6/20/12
|
(114 bp)
|
28,783
|
|
|
DJ ABX NA CMBX AAA Index
|
|
610,461
|
7,746,000
|
|
12/13/49
|
8 bp
|
—
|
|
|
DJ ABX NA CMBX AAA Index
|
|
629,723
|
11,805,000
|
|
2/17/51
|
35 bp
|
(115,661)
|
|
|
DJ ABX NA CMBX AAA Index
|
|
551,349
|
7,746,000
|
|
3/15/49
|
7 bp
|
—
|
|
|
DJ ABX NA CMBX BBB Index
|
|
92
|
127,231
|
|
10/12/52
|
(134 bp)
|
39,757
|
|
|
DJ ABX NA CMBX
|
|
|
|
|
|
|
|
|
AAA Index
|
|
668,693
|
11,805,000
|
|
2/17/51
|
35 bp
|
(72,445)
|
|
|
DJ ABX NACM BX
|
|
|
|
|
|
|
|
|
AAA Index
|
|
440,581
|
5,902,500
|
|
2/17/51
|
35 bp
|
67,602
|
|
|
DJ CDX NA CMBX AAAA
|
|
|
|
|
|
|
|
|
Index
|
1,718,322
|
65,470,000
|
|
2/17/51
|
35 bp
|
(2,420,000)
|
|
|
DJ CDX NA HY Series 7
|
|
|
|
|
|
|
|
|
Index
|
|
122,218
|
2,573,000
|
|
12/20/09
|
(325 bp)
|
171,768
|
|
|
DJ CDX NA HY Series 9
|
|
|
|
|
|
|
|
|
Index
|
1,294,800
|
32,370,000
|
|
12/20/12
|
375 bp
|
(1,303,567)
|
|
|
DJ CDX NA IG Series 7
|
|
|
|
|
|
|
|
|
Index 10-15% tranche
|
|
102,920
|
2,573,000
|
|
12/20/09
|
0 bp
|
(346,069)
|
|
|
DJ CDX NA IG Series 8
|
|
|
|
|
|
|
|
|
Index
|
|
42,285
|
3,517,000
|
|
6/20/12
|
35 bp
|
(73,923)
|
|
|
DJ CDX NA IG Series 9
|
|
|
|
|
|
|
|
|
Index
|
|
(221,866)
|
11,805,000
|
|
12/20/17
|
(80 bp)
|
19,179
|
|
|
Dominican Republic,
|
|
|
|
|
|
|
|
|
8 5/8%, 4/20/27
|
|
—
|
2,340,000
|
|
11/20/11
|
(170 bp)
|
63,608
|
|
|
Dynegy Holdings Inc.,
|
|
|
|
|
|
|
|
|
6 7/8%, 4/1/11
|
|
—
|
295,000
|
|
6/20/12
|
225 bp
|
(18,442)
|
|
|
Freeport-McMoRan Copper
|
|
|
|
|
|
|
|
|
& Gold, Inc.
|
|
—
|
1,180,200
|
|
3/20/12
|
(83 bp)
|
(11,178)
|
|
|
Freeport-McMoRan Copper
|
|
|
|
|
|
|
|
|
& Gold, Inc.
|
|
—
|
3,540,700
|
|
3/20/12
|
44 bp
|
(20,092)
|
|
75
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/08 (Unaudited)
continued
|
|
|
|
|
|
|
Upfront
|
|
|
|
Fixed payments
|
Unrealized
|
|
Swap counterparty /
|
premium
|
Notional
|
|
Termination
|
received (paid) by
|
appreciation/
|
|
Referenced debt*
|
|
received (paid)**
|
amount
|
|
date
|
fund per annum
|
(depreciation)
|
|
|
Morgan Stanley Capital Services, Inc.
continued
|
|
|
|
|
|
|
Nalco, Co. 7.75%,
|
|
|
|
|
|
|
|
|
11/15/11
|
|
$
—
|
$ 200,000
|
|
3/20/13
|
460 bp
|
$
1,357
|
|
|
Nalco, Co. 7.75%,
|
|
|
|
|
|
|
|
|
11/15/11
|
|
—
|
175,000
|
|
9/20/12
|
330 bp
|
(5,612)
|
|
|
Republic of Venezuela,
|
|
|
|
|
|
|
|
|
9 1/4%, 9/15/27
|
|
—
|
1,570,000
|
|
10/12/12
|
339 bp
|
(60,171)
|
|
|
Total
|
|
|
|
|
|
|
$(18,894,487)
|
* Payments related to the reference 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.
(a) Terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference entity are liquidated.
(F) Is valued at fair value following procedures approved by the Trustees.
The accompanying notes are an integral part of these financial statements.
76
Statement of assets and liabilities
1/31/08 (Unaudited)
|
|
|
|
ASSETS
|
|
|
|
Investment in securities, at value, including $6,052,957 of securities on loan (Note 1):
|
|
|
Unaffiliated issuers (identified cost $1,635,586,003)
|
$1,687,835,940
|
|
Affiliated issuers (identified cost $14,454,239) (Note 5)
|
14,454,239
|
|
|
Cash
|
537,639
|
|
|
Foreign currency (cost $6,724,150) (Note 1)
|
6,731,656
|
|
|
Interest and other receivables
|
14,011,494
|
|
|
Receivable for securities sold
|
15,497,863
|
|
|
Receivable for sales of delayed delivery securities (Notes 1, 6 and 7)
|
283,031,264
|
|
|
Receivable from Manager (Note 2)
|
270,089
|
|
|
Unrealized appreciation on swap contracts (Note 1)
|
160,341,324
|
|
|
Receivable for variation margin (Note 1)
|
677,428
|
|
|
Receivable for open forward currency contracts (Note 1)
|
3,539,864
|
|
|
Receivable for closed forward currency contracts (Note 1)
|
1,303,957
|
|
|
Receivable for open swap contracts (Note 1)
|
1,913,094
|
|
|
Receivable for closed swap contracts (Note 1)
|
61,161
|
|
|
Premiums paid on credit default contracts (Note 1)
|
783,107
|
|
|
Total assets
|
2,190,990,119
|
|
|
|
|
|
LIABILITIES
|
|
|
|
Distributions payable to shareholders
|
5,087,940
|
|
|
Payable for securities purchased
|
12,419,026
|
|
|
Payable for purchases of delayed delivery securities (Notes 1, 6 and 7)
|
546,988,489
|
|
|
Payable for shares of the fund repurchased
|
508,941
|
|
|
Payable for compensation of Manager (Notes 2 and 5)
|
1,866,303
|
|
|
Payable for investor servicing (Note 2)
|
46,026
|
|
|
Payable for Trustee compensation and expenses (Note 2)
|
190,538
|
|
|
Payable for administrative services (Note 2)
|
2,131
|
|
|
Payable for open forward currency contracts (Note 1)
|
5,307,638
|
|
|
Payable for closed forward currency contracts (Note 1)
|
3,191,031
|
|
|
Payable for closed swap contracts (Note 1)
|
374,590
|
|
|
Written options outstanding, at value (premiums received $18,091,687) (Notes 1 and 3)
|
27,248,212
|
|
|
Unrealized depreciation on swap contracts (Note 1)
|
201,566,484
|
|
|
Premiums received on credit default contracts (Note 1)
|
19,747,080
|
|
|
TBA sales commitments, at value (proceeds receivable $282,571,250) (Note 1)
|
283,176,241
|
|
|
Collateral on securities loaned, at value (Note 1)
|
6,204,430
|
|
|
Other accrued expenses
|
200,963
|
|
|
Total liabilities
|
1,114,126,063
|
|
|
Net assets
|
$1,076,864,056
|
(Continued on next page)
77
Statement of assets and liabilities
(Continued)
|
|
|
|
REPRESENTED BY
|
|
|
|
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)
|
$1,348,157,198
|
|
|
Undistributed net investment income (Note 1)
|
16,377,496
|
|
|
Accumulated net realized loss on investments and foreign currency transactions (Note 1)
|
(275,492,012)
|
|
|
Net unrealized depreciation of investments and assets and liabilities in foreign currencies
|
(12,178,626)
|
|
|
Total — Representing net assets applicable to capital shares outstanding
|
$1,076,864,056
|
|
|
|
|
COMPUTATION OF NET ASSET VALUE
|
|
|
|
Net asset value per share
|
|
|
($1,076,864,056 divided by 153,865,024 shares)
|
$7.00
|
The accompanying notes are an integral part of these financial statements.
78
Statement of operations
Six months ended 1/31/08 (Unaudited)
|
|
|
|
INVESTMENT INCOME
|
|
|
|
Interest (including interest income of $705,424
|
|
|
from investments in affiliated issuers) (Note 5)
|
$ 36,344,571
|
|
|
Dividends
|
7,541
|
|
|
Securities lending
|
13,324
|
|
|
Total investment income
|
36,365,436
|
|
|
|
|
|
EXPENSES
|
|
|
|
Compensation of Manager (Note 2)
|
3,892,106
|
|
|
Investor servicing fees (Note 2)
|
277,217
|
|
|
Custodian fees (Note 2)
|
53,745
|
|
|
Trustee compensation and expenses (Note 2)
|
24,997
|
|
|
Administrative services (Note 2)
|
12,518
|
|
|
Other
|
432,601
|
|
|
Fees waived by Manager (Note 5)
|
(13,018)
|
|
|
Total expenses
|
4,680,166
|
|
|
Expense reduction (Note 2)
|
(319,723)
|
|
|
Net expenses
|
4,360,443
|
|
|
Net investment income
|
32,004,993
|
|
|
Net realized gain on investments (Notes 1 and 3)
|
28,814,279
|
|
|
Net increase from payments by affiliates (Note 2)
|
332,689
|
|
|
Net realized loss on swap contracts (Note 1)
|
(6,249,551)
|
|
|
Net realized loss on futures contracts (Note 1)
|
(22,875,543)
|
|
|
Net realized loss on foreign currency transactions (Note 1)
|
(15,088,023)
|
|
|
Net realized loss on written options (Notes 1 and 3)
|
(876,530)
|
|
|
Net unrealized appreciation of assets and liabilities in foreign currencies during the period
|
152,352
|
|
|
Net unrealized depreciation of investments, futures contracts, swap contracts,
|
|
|
written options, and TBA sale commitments during the period
|
(8,345,163)
|
|
|
Net loss on investments
|
(24,135,490)
|
|
|
Net increase in net assets resulting from operations
|
$ 7,869,503
|
The accompanying notes are an integral part of these financial statements.
79
Statement of changes in net assets
|
|
|
|
|
DECREASE IN NET ASSETS
|
|
|
|
|
|
|
Six months ended
|
Year ended
|
|
|
1/31/08*
|
7/31/07
|
|
|
Operations:
|
|
|
|
Net investment income
|
$ 32,004,993
|
$ 64,744,213
|
|
|
Net realized gain (loss) on investments
|
|
|
|
and foreign currency transactions
|
(15,942,679)
|
7,070,341
|
|
|
Net unrealized depreciation of investments
|
|
|
|
and assets and liabilities in foreign currencies
|
(8,192,811)
|
(1,307,022)
|
|
|
Net increase in net assets resulting from operations
|
7,869,503
|
70,507,532
|
|
|
Distributions to shareholders (Note 1)
|
|
|
|
|
From ordinary income
|
|
|
|
|
From net investment income
|
(28,683,283)
|
(64,419,694)
|
|
|
Decrease from shares repurchased (Note 4)
|
(44,319,605)
|
(174,168,870)
|
|
|
Total decrease in net assets
|
(65,133,385)
|
(168,081,032)
|
|
|
|
|
NET ASSETS
|
|
|
|
|
Beginning of period
|
1,141,997,441
|
1,310,078,473
|
|
|
End of period
(including undistributed net investment
|
|
|
|
income of $16,377,496 and $13,055,786, respectively)
|
$1,076,864,056
|
$1,141,997,441
|
|
|
|
|
NUMBER OF FUND SHARES
|
|
|
|
|
Shares outstanding at beginning of period
|
160,911,717
|
186,509,884
|
|
|
Shares repurchased (Note 4)
|
(7,046,693)
|
(25,590,459)
|
|
|
Retirement of shares held by the fund
|
—
|
(7,708)
|
|
|
Shares outstanding at end of period
|
153,865,024
|
160,911,717
|
* Unaudited
The accompanying notes are an integral part of these financial statements.
80
Financial highlights
(For a common share outstanding throughout the period)
|
|
|
|
|
|
|
|
|
PER-SHARE OPERATING PERFORMANCE
|
|
|
|
|
|
|
|
|
Six months ended**
|
|
Year ended
|
|
|
|
|
1/31/08
|
7/31/07
|
7/31/06
|
7/31/05
|
7/31/04
|
7/31/03
|
|
|
Net asset value,
|
|
|
|
|
|
|
|
beginning of period
|
$7.10
|
$7.02
|
$7.16
|
$7.03
|
$6.75
|
$6.22
|
|
|
Investment operations:
|
|
|
|
|
|
|
|
Net investment income (a)
|
.20(d)
|
.36(d)
|
.34(d)
|
.36(d)
|
.44(d)
|
.51
|
|
|
Net realized and unrealized
|
|
|
|
|
|
|
|
gain (loss) on investments
|
(.16)
|
.03
|
(.16)
|
.28
|
.31
|
.54
|
|
|
Total from
|
|
|
|
|
|
|
|
investment operations
|
.04
|
.39
|
.18
|
.64
|
.75
|
1.05
|
|
|
Less distributions:
|
|
|
|
|
|
|
|
From net investment income
|
(.18)
|
(.36)
|
(.36)
|
(.51)
|
(.47)
|
(.52)
|
|
|
Total distributions
|
(.18)
|
(.36)
|
(.36)
|
(.51)
|
(.47)
|
(.52)
|
|
|
Increase from
|
|
|
|
|
|
|
|
shares repurchased
|
.04
|
.05
|
.04
|
—
|
—
|
—
|
|
|
Net asset value,
|
|
|
|
|
|
|
|
end of period
|
$7.00
|
$7.10
|
$7.02
|
$7.16
|
$7.03
|
$6.75
|
|
|
Market price,
|
|
|
|
|
|
|
|
end of period
|
$6.31
|
$6.21
|
$6.02
|
$6.31
|
$6.29
|
$6.31
|
|
|
Total return at
|
|
|
|
|
|
|
|
market price (%)
(b)
|
4.60
*
|
9.06
|
1.14
|
8.35
|
7.18
|
13.41
|
|
|
|
|
RATIOS AND SUPPLEMENTAL DATA
|
|
|
|
|
|
|
|
Net assets, end of period
|
|
|
|
|
|
|
|
(in thousands)
|
$1,076,864
|
$1,141,997
|
$1,310,078
|
$1,396,980
|
$992,676
|
$952,730
|
|
|
Ratio of expenses to
|
|
|
|
|
|
|
|
average net assets (%)(c)
|
.42*(d)
|
.82(d)
|
.81(d)
|
.84(d)
|
.83(d)
|
.85
|
|
|
Ratio of net investment income
|
|
|
|
|
|
|
to average net assets (%)
|
2.86*(d)
|
5.02(d)
|
4.86(d)
|
4.99(d)
|
6.19(d)
|
7.91
|
|
|
Portfolio turnover (%)
|
52.58*(e)
|
83.71(e)
|
104.97(e)
|
139.74(e)
|
78.43
|
96.21(f )
|
*
Not annualized.
**
Unaudited.
(a)
Per share net investment income has been determined on the basis of the weighted average number of shares outstanding during the period.
(b)
Total return assumes dividend reinvestment.
(c)
Includes amounts paid through expense offset arrangements (Note 2).
(d)
Reflects waivers of certain fund expenses in connection with Putnam Prime Money Market Fund in effect during the period. As a result of such waivers, the expenses of the fund for the periods ended January 31, 2008, July 31, 2007, July 31, 2006, July 31, 2005, and July 31, 2004 reflect a reduction of less than 0.01%, 0.01%, 0.01%, 0.02% and less than 0.01% of average net assets, respectively (Note 5).
(e)
Portfolio turnover excludes dollar roll transactions.
(f)
Portfolio turnover excludes certain treasury note transactions executed in connection with a short-term trading strategy.
The accompanying notes are an integral part of these financial statements.
81
Notes to financial statements
1/31/08 (Unaudited)
Note 1: Significant accounting policies
Putnam Premier Income Trust (the “fund”), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended, as a non-diversified, closed-end management investment company. The fund’s investment objective is to seek high current income consistent with the preservation of capital by allocating its investments among the U.S. government sector, high yield sector and international sector of the fixed-income securities market. The fund invests in higher yielding, lower-rated bonds that have a higher rate of default due to the nature of the investments. The fund may invest a significant portion of their assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund expects the risk of material loss to be remote.
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A) Security valuation
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported — as in the case of some securities traded over-the-counter — a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Investment Management, LLC (“Putnam Management”), the fund’s manager, a wholly-owned subsidiary of Putnam, LLC. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Certain investments, including certain restricted securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. Such valuations and procedures are reviewed periodically by the Trustees. 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
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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 at a given point in time and does not reflect an actual market price, which may be different by a material amount.
B) Joint trading account
Pursuant to an exemptive order from the Securities and Exchange Commission (the “SEC”), the fund may transfer uninvested cash balances, including cash collateral received under security lending arrangements, into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 397 days for collateral received under security lending arrangements and up to 90 days for other cash investments.
C) Repurchase agreements
The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the market value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest.
D) Security transactions and related investment income
Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income is recorded on the accrual basis. Dividend income, net of applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Dividends representing a return of
capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
Securities purchased or sold on a forward commitment or delayed delivery basis may be settled a month or more after the trade date; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.
The fund earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are recorded as income in the Statement of operations.
E) 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 market value of these securities is highly sensitive to changes in interest rates.
F) Foreign currency translation
The accounting records of the fund are maintained in U.S. dollars. The market value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from
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changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on closed forward currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of open forward currency contracts and assets and liabilities other than investments at the period end, resulting from changes in the exchange rate. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations, not present with domestic investments.
G) Forward currency contracts
The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at
the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
H) Futures and options contracts
The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns, owned or expects to purchase, or for other investment purposes. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.
The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at
84
the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
I) Total return swap contracts
The fund may enter into total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security, 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. Total return swap contracts are marked to market daily based upon quotations from market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as a realized gains or loss. Certain total return swap contracts may include extended effective dates. Income related to these swap contracts is 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.
J) Interest rate swap contracts
The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. Interest rate swap contracts are marked to market daily based upon quotations from 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 a
realized gains or loss. Certain interest rate swap contracts may include extended effective dates. Income related to these swap contracts is 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 on its obligation to perform. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.
K) Credit default contracts
The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty
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may default on its obligation to perform. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.
L) TBA purchase commitments
The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
M) TBA sale commitments
The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is
outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
N) Dollar rolls
To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale, on settlement date. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.
O) Security lending
The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s
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agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the Statement of operations. At January 31, 2008, the value of securities loaned amounted to $6,052,957. The fund received cash collateral of $6,204,430 which is pooled with collateral of other Putnam funds into 51 issues of short-term investments.
P) Federal taxes
It is the policy of the fund to distribute all of its taxable income within the prescribed time and otherwise comply with the provisions of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code, as amended. Therefore, no provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains.
At July 31, 2007, the fund had a capital loss carryover of $251,160,007 available to the extent allowed by the Code to offset future net capital gain, if any. The amount of the carryover and the expiration dates are:
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Loss Carryover
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Expiration
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$60,809,014
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July 31, 2008
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59,441,379
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July 31, 2009
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44,917,486
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July 31, 2010
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80,119,935
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July 31, 2011
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5,872,193
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July 31, 2015
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Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer to its fiscal year ending July 31, 2008 $8,236,195 of losses recognized during the period November 1, 2006 to July 31, 2007.
The aggregate identified cost on a tax basis is $1,654,072,264, resulting in gross unrealized appreciation and depreciation of $97,307,679
and $49,089,764, respectively, or net unrealized appreciation of $48,217,915.
Q) Distributions to shareholders
Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Note 2: Management fee, administrative
services and other transactions
Putnam Management is paid for management and investment advisory services quarterly based on the average net assets (including assets, but excluding liabilities attributable to leverage for investments purposes) of the fund. Such fee is based on the following annual rates: 0.75% of the first $500 million of average net assets, 0.65% of the next $500 million, 0.60% of the next $500 million, and 0.55% of the next $5 billion, with additional breakpoints at higher asset levels.
Putnam Investments Limited (“PIL”), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.40% of the average net assets (including assets, but excluding liabilities attributable to leverage for investments purposes) of the portion of the fund managed by PIL.
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In October 2007, Putnam Management agreed to reimburse the fund in the amount of $332,689 in connection with the misidentification in 2006 of the characteristics of certain securities in the fund’s portfolio. The reimbursement by Putnam Management had less than a 0.01% impact on total return during the period.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial services for the fund’s assets were provided by Putnam Fiduciary Trust Company (“PFTC”), an affiliate of Putnam Management, and by State Street Bank and Trust Company (“State Street”). Custody fees are based on the fund’s asset level, the number of its security holdings, transaction volumes and with respect to PFTC, certain fees related to the transition of assets to State Street. Putnam Investor Services, a division of PFTC, provided investor servicing agent functions to the fund. Putnam Investor Services was paid a monthly fee for investor servicing at an annual rate of 0.05% of the fund’s average net assets. During the period ended January 31, 2008, the fund incurred $284,576 for custody and investor servicing agent functions provided by PFTC.
The fund has entered into arrangements with PFTC and State Street whereby PFTC’s and State Street’s fees are reduced by credits allowed on cash balances. For the six months ended January 31, 2008, the fund’s expenses were reduced by $319,723 under these arrangements.
Each independent Trustee of the fund receives an annual Trustee fee, of which $488, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees receive additional fees for attendance at certain committee meetings and industry seminars and for certain compliance-related matters.
Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the “Deferral Plan”) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the “Pension Plan”) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
Note 3: Purchases and sales of securities
During the six months ended January 31, 2008, cost of purchases and proceeds from sales of investment securities other than U.S. government securities and short-term investments aggregated $560,759,249 and $499,106,052, respectively. Purchases and sales of U.S. government securities aggregated $— and $66,849,692, respectively.
Written option transactions during the period ended January 31, 2008 are summarized as follows:
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Contract
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Premiums
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Amounts
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Received
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Written options
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outstanding
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at beginning
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of period
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EUR
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10,720,000
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$ 436,472
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$ 266,210,000
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8,180,564
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Options opened
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—
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—
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Options exercised
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$ 917,576,000
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16,539,061
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Options expired
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—
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—
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Options closed
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—
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—
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$(402,244,000)
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(7,064,410)
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Written options
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outstanding
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at end of period
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EUR
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10,720,000
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436,472
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$ 781,542,000
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$17,655,215
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Note 4: Shares repurchased
In September 2007, the Trustees approved the renewal of the repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 7, 2008 (based on shares outstanding as of October 5, 2007). Prior to this renewal, the Trustees had approved a repurchase program to allow the fund to repurchase up to 10% of its outstanding common shares over the 12-month period ending October 6, 2007 (based on shares outstanding as of October 7, 2005). Repurchases are made when the fund’s shares are trading at less than net asset value and in accordance with procedures approved by the fund’s Trustees.
For the six months ended January 31, 2008, the fund repurchased 7,046,693 common shares for an aggregate purchase price of $44,319,605, which reflects a weighted-average discount from net asset value per share of 12%.
Note 5: Investment in Putnam Prime
Money Market Fund
The fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Prime Money Market Fund
are valued at its closing net asset value each business day. Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. For the period ended January 31, 2008, management fees paid were reduced by $13,018 relating to the fund’s investment in Putnam Prime Money Market Fund. Income distributions earned by the fund are recorded as income in the Statement of operations and totaled $705,424 for the period ended January 31, 2008. During the period ended January 31, 2008, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $177,446,597 and $223,314,767, respectively.
Note 6: Senior loan commitments
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.
Note 7: Unfunded loan commitments
As of January 31, 2008, the fund had unfunded loan commitments of $728,534, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:
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Borrower
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Unfunded Commitments
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Community Health Systems, Inc.
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$59,836
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Golden Nugget, Inc.
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114,545
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Hub International, LTD.
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13,980
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IASIS Healthcare, LLC/IASIS Capital Corp.
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34,102
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MEG Energy Corp.
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151,071
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NRG Energy, Inc.
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355,000
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Total
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$728,534
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Note 8: Regulatory matters and litigation
In late 2003 and 2004, Putnam Management settled charges brought by the SEC and the Massachusetts Securities Division in connection with excessive short-term trading in Putnam funds. Payments from Putnam Management will be distributed to certain open-end Putnam funds and their shareholders. These allegations and related matters have served as the general basis for certain lawsuits, including purported class action lawsuits against Putnam Management and, in a limited number of cases, some Putnam funds. Putnam Management believes that these lawsuits will have no material adverse effect on the funds or on Putnam Management’s ability to provide investment management services. In addition, Putnam Management has agreed to bear any costs incurred by the Putnam funds as a result of these matters.
In September 2007, Putnam Management consented to an order issue by the SEC and agreed to pay a monetary penalty to the SEC relating to the omission of required information from notices sent with distributions to shareholders of your fund prior to June 2002.
Putnam Management and Putnam Retail Management are named as defendants in a civil suit in which the plaintiffs allege that the management and distribution fees paid by certain Putnam funds were excessive and seek recovery under the Investment Company Act of 1940. Putnam Management and Putnam Retail Management
have contested the plaintiffs’ claims and the matter is currently pending in the U.S. District Court for the District of Massachusetts. Based on currently available information, Putnam Management believes that this action is without merit and that it is unlikely to have a material effect on Putnam Management’s and Putnam Retail Management’s ability to provide services to their clients, including the fund.
Note 9: New accounting pronouncements
In June 2006, the Financial Accounting Standards Board (“FASB”) issued Interpretation No. 48,
Accounting for Uncertainty in Income Taxes
(the “Interpretation”). The Interpretation prescribes a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken by a filer in the filer’s tax return. Upon adoption, the Interpretation did not have a material effect on the fund’s financial statements. However, the conclusions regarding the Interpretation may be subject to review and adjustment at a later date based on factors including, but not limited to, further implementation guidance expected from the FASB, and on-going analysis of tax laws, regulations and interpretations thereof.
In September 2006, the FASB issued Statement of Financial Accounting Standards No. 157,
Fair Value Measurements
(the “Standard”). The Standard defines fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. The Standard applies to fair value measurements already required or permitted by existing standards. The Standard is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. Putnam Management is currently evaluating what impact the adoption of the Standard will have on the fund’s financial statements.
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Shareholder meeting
results (unaudited)
The annual meeting of shareholders of the fund was held on January 31, 2008.
At the meeting, each of the nominees for Trustees was elected, as follows:
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Votes for
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Votes withheld
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Jameson A. Baxter
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131,134,779
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12,090,174
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Charles B. Curtis
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131,126,775
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12,098,178
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Robert J. Darretta
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131,050,647
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12,174,306
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Myra R. Drucker
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131,117,663
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12,107,290
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Charles E. Haldeman, Jr.
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131,174,037
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12,050,916
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John A. Hill
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131,121,154
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12,103,799
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Paul L. Joskow
|
131,131,924
|
12,093,029
|
|
|
Elizabeth T. Kennan
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131,071,563
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12,153,390
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|
|
Kenneth R. Leibler
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131,103,916
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12,121,037
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Robert E. Patterson
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131,193,551
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12,031,402
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George Putnam, III
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131,129,232
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12,095,721
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W. Thomas Stephens
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131,138,830
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12,086,123
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Richard B. Worley
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131,131,736
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12,093,217
|
|
All tabulations are rounded to nearest whole number.
91
Putnam puts your interests first
In January 2004, Putnam began introducing a number of voluntary initiatives designed to reduce fund expenses, provide investors with more useful information, and help safeguard the interests of all Putnam investors. Visit www.putnam.com for details.
Cost-cutting initiatives
Ongoing expenses will be limited
Through calendar 2008, total ongoing expenses, including management fees for all funds, will be maintained at or below the average of each fund’s industry peers in its Lipper load-fund universe. For more information, please see the Statement of Additional information.
Lower class B purchase limit
To help ensure that investors are in the most cost-effective share class, the maximum amount that can be invested in class B shares has been reduced to $100,000. (Larger trades or accumulated amounts will be refused.)
Improved disclosure
Putnam fund prospectuses and shareholder reports have been revised to disclose additional information that will help shareholders compare funds and weigh their costs and risks along with their potential benefits. Shareholders will find easy-to-understand information about fund expense ratios, portfolio manager compensation, risk comparisons, turnover comparisons, brokerage commissions, and employee and trustee ownership of Putnam funds. Disclosure of breakpoint discounts has also been enhanced to alert investors to potential cost savings.
Protecting investors’ interests
Short-term trading fee introduced
To discourage short-term trading, which can interfere with a fund’s long-term strategy, a 1% short-term trading fee may be imposed on any Putnam fund shares (other than money market funds) redeemed or exchanged within seven calendar days of purchase (for certain funds, this fee applies for 90 days).
92
Fund information
About Putnam Investments
Founded over 70 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 mutual funds in growth, value, blend, fixed income, and international.
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Investment Manager
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Elizabeth T. Kennan
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Beth S. Mazor
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Putnam Investment
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Kenneth R. Leibler
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Vice President
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Management, LLC
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Robert E. Patterson
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One Post Office Square
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George Putnam, III
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James P. Pappas
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Boston, MA 02109
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W. Thomas Stephens
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Vice President
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Richard B. Worley
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Investment Sub-Manager
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Francis J. McNamara, III
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Putnam Investments Limited
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Officers
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Vice President and
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57-59 St James’s Street
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Charles E. Haldeman, Jr.
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Chief Legal Officer
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London, England SW1A 1LD
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President
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Robert R. Leveille
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Marketing Services
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Charles E. Porter
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Vice President and
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Putnam Retail Management
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Executive Vice President,
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Chief Compliance Officer
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One Post Office Square
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Principal Executive Officer,
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Boston, MA 02109
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Associate Treasurer and
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Mark C. Trenchard
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Compliance Liaison
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Vice President and
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Custodian
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BSA Compliance Officer
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State Street Bank and
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Jonathan S. Horwitz
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Trust Company
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Senior Vice President
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Judith Cohen
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and Treasurer
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Vice President, Clerk and
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Legal Counsel
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Assistant Treasurer
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Ropes & Gray LLP
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Steven D. Krichmar
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Vice President and
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Wanda M. McManus
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Trustees
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Principal Financial Officer
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Vice President, Senior Associate
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John A. Hill,
Chairman
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Treasurer and Assistant Clerk
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Jameson Adkins Baxter,
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Janet C. Smith
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Vice Chairman
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Vice President, Principal
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Nancy E. Florek
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Charles B. Curtis
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Accounting Officer and
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Vice President, Assistant Clerk,
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Robert J. Darretta
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Assistant Treasurer
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Assistant Treasurer and
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Myra R. Drucker
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Proxy Manager
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Charles E. Haldeman, Jr.
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Susan G. Malloy
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Paul L. Joskow
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Vice President and
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Assistant Treasurer
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Call 1-800-225-1581 weekdays between 8:30 a.m. and 8:00 p.m. or on Saturday between 9:00 a.m. and 5:00 p.m. Eastern Time, or visit our Web site (www.putnam.com) anytime for up-to-date information about the fund’s NAV.
Item 2. Code of Ethics:
Not Applicable
Item 3. Audit Committee Financial Expert:
Not Applicable
Item 4. Principal Accountant Fees and Services:
Not Applicable
Item 5. Audit Committee
Not Applicable
Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:
Not applicable
Item 8. Portfolio Managers of Closed-End Management Investment Companies
(a) Not applicable
(b)
The team members identified as the fund’s Portfolio Leader(s) and Portfolio Member(s) coordinate team efforts related to the fund and are primarily responsible for the day-to-day management of the fund’s portfolio. In addition to these individuals, each team also includes other investment professionals, whose analysis, recommendations and research inform investment decisions made for the fund. The names of all team members can be found at
www.putnam.com
.
During the period, Michael Atkin was named a Portfolio Member following the departure of Portfolio Member Jeffrey Kaufman.
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Portfolio Members
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Michael Atkin
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2007
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Putnam
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Director of Sovereign Research
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Management
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1997-Present
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Other accounts managed by the fund’s portfolio managers.
The following table shows the number and approximate assets of other investment accounts (or portions of investment accounts) that were managed as of the end of the fund’s fiscal period by the Portfolio Leaders or Portfolio Members who joined the fund’s management team during
the period. The other accounts may include accounts for which the individual was not designated as a portfolio leader or portfolio member. Unless noted, none of the other accounts pays a fee based on the account’s performance.
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Other accounts (including
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separate accounts, managed
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Portfolio
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Other accounts that pool
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account programs and single-
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Leader or
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Other SEC-registered open-
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assets from more than one
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sponsor defined contribution
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Member
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end and closed-end funds
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client
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plan offerings)
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Number
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Assets
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Number
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Assets
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Number
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Assets
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of
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of
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of
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accounts
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accounts
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accounts
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Michael Atkin
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5
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$3,656,000,000
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3
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$442,300,000
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3
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$884,700,000
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Potential conflicts of interest in managing multiple accounts.
Like other investment professionals with multiple clients, the fund’s Portfolio Leader(s) and Portfolio Member(s) may face certain potential conflicts of interest in connection with managing both the fund and the other accounts listed under “Other Accounts Managed by the Fund’s Portfolio Managers” at the same time. The paragraphs below describe some of these potential conflicts, which Putnam Management believes are faced by investment professionals at most major financial firms. As described below, Putnam Management and the Trustees of the Putnam funds have adopted compliance policies and procedures that attempt to address certain of these potential conflicts.
The management of accounts with different advisory fee rates and/or fee structures, including accounts that pay advisory fees based on account performance (“performance fee accounts”), may raise potential conflicts of interest by creating an incentive to favor higher-fee accounts. These potential conflicts may include, among others:
• The most attractive investments could be allocated to higher-fee accounts or performance fee accounts.
• The trading of higher-fee accounts could be favored as to timing and/or execution price. For example, higher-fee accounts could be permitted to sell securities earlier than other accounts when a prompt sale is desirable or to buy securities at an earlier and more opportune time.
• The trading of other accounts could be used to benefit higher-fee accounts (front- running).
• The investment management team could focus their time and efforts primarily on higher-fee accounts due to a personal stake in compensation.
Putnam Management attempts to address these potential conflicts of interest relating to higher-fee accounts through various compliance policies that are generally intended to
place all accounts, regardless of fee structure, on the same footing for investment management purposes. For example, under Putnam Management’s policies:
• Performance fee accounts must be included in all standard trading and allocation procedures with all other accounts.
• All accounts must be allocated to a specific category of account and trade in parallel with allocations of similar accounts based on the procedures generally applicable to all accounts in those groups (e.g., based on
relative risk budgets of accounts).
• All trading must be effected through Putnam’s trading desks and normal queues and procedures must be followed (i.e., no special treatment is permitted for performance fee accounts or higher-fee accounts based on
account fee structure).
• Front running is strictly prohibited.
• The fund’s Portfolio Leader(s) and Portfolio Member(s) may not be guaranteed or specifically allocated any portion of a performance fee.
As part of these policies, Putnam Management has also implemented trade oversight and review procedures in order to monitor whether particular accounts (including higher-fee accounts or performance fee accounts) are being favored
over time.
Potential conflicts of interest may also arise when the Portfolio Leader(s) or Portfolio Member(s) have personal investments in other accounts that may create an incentive to favor those accounts. As a general matter and subject
to limited exceptions, Putnam Management’s investment professionals do not have the opportunity to invest in client accounts, other than the Putnam funds. However, in the ordinary course of business, Putnam Management or related persons may
from time to time establish “pilot” or “incubator” funds for the purpose of testing proposed investment strategies and products prior to offering them to clients. These pilot accounts may be in the form of registered investment
companies, private funds such as partnerships or separate accounts established by Putnam Management or an affiliate. Putnam Management or an affiliate supplies the funding for these accounts. Putnam employees, including the fund’s Portfolio
Leader(s) and Portfolio Member(s), may also invest in certain pilot accounts. Putnam Management, and to the extent applicable, the Portfolio Leader(s) and Portfolio Member(s) will benefit from the favorable investment performance of those funds and
accounts. Pilot funds and accounts may, and frequently do, invest in the same securities as the client accounts. Putnam Management’s policy is to treat pilot accounts in the same manner as client accounts for purposes of trading allocation
– neither favoring nor disfavoring them except as is legally required. For example, pilot accounts are normally included in Putnam Management’s daily block trades to the same extent as client accounts
(except
that pilot accounts do not participate in initial public offerings)
.
A potential conflict of interest may arise when the fund and other accounts purchase or sell the same securities. On occasions when the Portfolio Leader(s) or Portfolio Member(s) consider the purchase or sale of a security to be
in the best interests of the fund as well as other accounts, Putnam Management’s trading desk may, to the extent permitted by applicable laws and regulations, aggregate the securities to be sold or
purchased in order to seek to obtain the best execution and lower brokerage commissions, if any. Aggregation of trades may create the potential for unfairness to the fund or another account if one account is favored over another
in allocating the securities purchased or sold – for example, by allocating a disproportionate amount of a security that is likely to increase in value to a favored account. Putnam Management’s trade allocation policies generally provide
that each day’s transactions in securities that are purchased or sold by multiple accounts are, insofar as possible, averaged as to price and allocated between such accounts (including the fund) in a manner which in Putnam Management’s
opinion is equitable to each account and in accordance with the amount being purchased or sold by each account. Certain exceptions exist for specialty, regional or sector accounts. Trade allocations are reviewed on a periodic basis as part of Putnam
Management’s trade oversight procedures in an attempt to ensure fairness over time across accounts.
“Cross trades,” in which one Putnam account sells a particular security to another account (potentially saving transaction costs for both accounts), may also pose a potential conflict of interest. Cross trades may be
seen to involve a potential conflict of interest if, for example, one account is permitted to sell a security to another account at a higher price than an independent third party would pay. Putnam Management and the fund’s Trustees have adopted
compliance procedures that provide that any transactions between the fund and another Putnam-advised account are to be made at an independent current market price, as required by law.
Another potential conflict of interest may arise based on the different investment objectives and strategies of the fund and other accounts. For example, another account may have a shorter-term investment horizon or different
investment objectives, policies or restrictions than the fund. Depending on another account’s objectives or other factors, the Portfolio Leader(s) and Portfolio Member(s) may give advice and make decisions that may differ from advice given, or
the timing or nature of decisions made, with respect to the fund. In addition, investment decisions are the product of many factors in addition to basic suitability for the particular account involved. Thus, a particular security may be bought or
sold for certain accounts even though it could have been bought or sold for other accounts at the same time. More rarely, a particular security may be bought for one or more accounts managed by the Portfolio Leader(s) or Portfolio Member(s) when one
or more other accounts are selling the security (including short sales). There may be circumstances when purchases or sales of portfolio securities for one or more accounts may have an adverse effect on other accounts. As noted above, Putnam
Management has implemented trade oversight and review procedures to monitor whether any account is systematically favored over time.
The fund’s Portfolio Leader(s) and Portfolio Member(s) may also face other potential conflicts of interest in managing the fund, and the description above is not a complete description of every conflict that could be deemed
to exist in managing both the fund and other accounts.
Compensation of investment professionals.
Putnam Management believes that its investment management teams should be compensated primarily based on their success in helping investors achieve their goals. The portion of Putnam Investments’ total incentive compensation pool that is available to Putnam Management’s Investment Division is based primarily on its delivery, across all of the portfolios it manages, of consistent, dependable and superior performance over time. The peer group for the fund, which is identified in the shareholder report included in Item 1, is its broad investment category as determined by Lipper Inc. The portion of the incentive compensation pool available to each investment management team varies based primarily on its delivery, across all of the portfolios it manages, of consistent, dependable and superior performance over time on (i) for tax-exempt funds, a tax-adjusted basis to recognize the different federal income tax treatment for capital gains distributions and exempt-interest distributions or (ii) for taxable funds, on a before-tax basis.
Consistent performance means being above median over one year.
·
Dependable performance means not being in the 4th quartile of the peer group over one, three or five years.
·
Superior performance (which is the largest component of Putnam Management’s incentive compensation program) means being in the top third of the peer group over three and five years.
In determining an investment management team’s portion of the incentive compensation pool and allocating that portion to individual team members, Putnam Management retains discretion to reward or penalize teams or individuals, including the fund’s Portfolio Leader(s) and Portfolio Member(s), as it deems appropriate, based on other factors. The size of the overall incentive compensation pool each year is determined by Putnam Management’s parent company, Marsh & McLennan Companies, Inc., and depends in large part on Putnam’s profitability for the year, which is influenced by assets under management. Incentive compensation is generally paid as cash bonuses, but a portion of incentive compensation may instead be paid as grants of restricted stock, options or other forms of compensation, based on the factors described above. In addition to incentive compensation, investment team members receive annual salaries that are typically based on seniority and experience. Incentive compensation generally represents at least 70% of the total compensation paid to investment team members.
Fund ownership.
The following table shows the dollar ranges of shares of the fund owned as of September 30, 2005 and September 30, 2006 by the Portfolio Leaders or Portfolio Members who joined the fund’s management team during the fund’s fiscal period, including investments by their immediate family members and amounts invested through retirement and deferred compensation plans.
N/A indicates the individual was not a Portfolio Leader or Portfolio Member as of 1/31/07.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:
Registrant Purchase of Equity Securities
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Maximum
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Total Number
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Number (or
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of Shares
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Approximate
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Purchased
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Dollar Value )
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as Part
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of Shares
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of Publicly
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that May Yet Be
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Total Number
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Average
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Announced
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Purchased
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of Shares
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Price Paid
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Plans or
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under the Plans
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Period
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Purchased
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per Share
|
Programs*
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or Programs**
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August 1 -
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August 31,
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|
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2007
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2,274,845
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$6.29
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2,274,845
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883,681
|
|
|
September 1 -
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September 30,
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|
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|
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2007
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883,681
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$6.39
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|
883,681
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|
-
|
|
|
October 1 -
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|
|
|
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October 5,
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|
|
|
|
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2007
|
-
|
|
-
|
|
-
|
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-
|
|
|
October 6 -
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|
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|
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October 31,
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|
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|
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2007
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1,098,795
|
|
$6.35
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1,098,795
|
|
14,676,524
|
|
|
November 1 -
|
|
|
|
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November 30,
|
|
|
|
|
2007
|
1,300,734
|
|
$6.17
|
|
1,300,734
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|
13,375,790
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|
|
December 1 -
|
|
|
|
|
December 31,
|
|
|
|
|
2007
|
1,013,566
|
|
$6.27
|
|
1,013,566
|
|
12,362,224
|
|
|
January 1 -
|
|
|
|
|
January 31,
|
|
|
|
|
2008
|
475,072
|
|
$6.36
|
|
475,072
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|
11,887,152
|
|
*The Board of Trustees announced a repurchase plan on October 7, 2005 for which
9,757,815
shares were approved for repurchase by the fund. The repurchase plan was approved through October 6, 2006. On March 10, 2006, the Trustees announced that the repurchase program was increased to allow repurchases of up to a total of 19,515,630 shares over the original term of the program. On September 15, 2006, the Trustees voted to extend the term of the repurchase program through October 6, 2007. In September 2007, the Trustees announced that
the repurchase program was increased to allow repurchases up to a total 15,775,319 shares through October 7, 2008.
**Information prior to October 6, 2007 is based on the total number of shares eligible for repurchase under the program, as amended through September 15, 2006. Information from October 6, 2007 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2007.
Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable
Item 11. 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 12. Exhibits:
(a)(1) Not applicable
(a)(2) 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.
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Putnam Premier Income Trust
By (Signature and Title):
/s/Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 31, 2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title):
/s/Charles E. Porter
Charles E. Porter
Principal Executive Officer
Date: March 31, 2008
By (Signature and Title):
/s/Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 31, 2008
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