| UNITED STATES | |||
| SECURITIES AND EXCHANGE COMMISSION | |||
| Washington, D.C. 20549 | |||
| FORM N-CSR | |||
| CERTIFIED SHAREHOLDER REPORT OF REGISTERED | |||
| MANAGEMENT INVESTMENT COMPANIES | |||
| Investment Company Act file number: (811-05498) | |||
| Exact name of registrant as specified in charter: | Putnam Master Intermediate Income Trust | ||
| Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 | |||
| Name and address of agent for service: | Beth S. Mazor, Vice President | ||
| One Post Office Square | |||
| Boston, Massachusetts 02109 | |||
| Copy to: | John W. Gerstmayr, Esq. | ||
| Ropes & Gray LLP | |||
| One International Place | |||
| Boston, Massachusetts 02110 | |||
| Registrant’s telephone number, including area code: | (617) 292-1000 | ||
| Date of fiscal year end: September 30, 2009 | |||
| Date of reporting period: October 1, 2008 - September 30, 2009 | |||
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:
A BALANCED APPROACH
Since 1937, when George Putnam created a diverse mix of stocks and bonds in a single, professionally managed portfolio, Putnam has championed the balanced approach.
A WORLD OF INVESTING
Today, we offer investors a world of equity, fixed-income, multi-asset, and absolute-return portfolios to suit a range of financial goals.
A COMMITMENT TO EXCELLENCE
Our portfolio managers seek superior results over time, backed by original, fundamental research on a global scale. We believe in the value of experienced financial advice, in providing exemplary service, and in putting clients first in all we do.
Putnam Master
Intermediate
Income Trust
Annual report
9|30|09
| Message from the Trustees | 1 |
| About the fund | 2 |
| Performance and portfolio snapshots | 4 |
| Interview with your fund’s portfolio manager | 5 |
| Your fund’s performance | 8 |
| Terms and definitions | 9 |
| Trustee approval of management contract | 10 |
| Other information for shareholders | 13 |
| Financial statements | 14 |
| Federal tax information | 57 |
| Compliance certifications | 57 |
| Shareholder meeting results | 57 |
| About the Trustees | 58 |
| Officers | 62 |
Message from the Trustees
Dear Fellow Shareholder:
The nearly 60% advance in the S&P 500 Index from March through September ranks as the most concentrated period of growth in the stock market since just after the Great Depression. Aggressive stimulus efforts by governments worldwide appear to have saved the financial system from collapse and helped foster this historic market rebound.
Investors, however, should prepare for the possibility of this rapid ascent leveling off in coming quarters. The U.S. economy is improving, but headwinds remain. High public and private debt levels, as well as consumer spending held back by high unemployment and still-low housing prices, may result in a slower economic rebound.
We are pleased to report that many Putnam mutual funds have delivered significantly better results over the past year. This reflects the intense efforts of an investment team infused with new talent, new leadership, and a determination to excel. Leading that team is industry veteran Walter C. Donovan, who joined Putnam in April of this year and oversees an investment organization strengthened by the arrival of several senior portfolio managers, research analysts, and traders.
In another development, after several years of steady leadership, Charles E. “Ed” Haldeman, Jr. has stepped down as President of the Putnam Funds and as a member of the Board of Trustees of the Funds. Effective July 2009, Robert L. Reynolds, President and Chief Executive Officer of Putnam Investments and a Trustee of the Putnam Funds, replaced Mr. Haldeman as President of the Putnam Funds.
We would like to take this opportunity to welcome new shareholders to the fund and to thank all our investors for your continued confidence in Putnam.
Respectfully yours,
About the fund
Seeking broad diversification across bond markets
When Putnam Master Intermediate 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. Additionally, 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. New sectors like mortgage- and asset-backed securities now make up a sizable portion of the U.S. investment-grade market. The high-yield corporate bond sector has also grown significantly. Outside the United States, the popularity of the euro has resulted in a large market of European government bonds. There are also growing opportunities to invest in the debt of emerging-market countries.
The fund’s investment perspective has been broadened to keep pace with the market expansion over time. To respond to the market’s increasing complexity, Putnam’s fixed-income group aligns teams of specialists with varied investment opportunities. Each team identifies compelling strategies within its area of expertise. The fund’s managers select from among these strategies, striving to systematically build a diversified portfolio that carefully balances 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 seeks to take advantage of changing market leadership in pursuit of high current income and relative stability of net asset value.
Consider these risks before investing: 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. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. 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 use of derivatives involves special risks and may result in losses. The fund’s shares trade on a stock exchange at market prices, which may be lower than the fund’s net asset value.
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.
Net asset value vs. market price 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.
Putnam Master Intermediate Income Trust
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 a broad spectrum of government, credit, and securitized debt instruments.
Weightings are shown as a percentage of the fund’s total investment portfolio. Allocations and holdings in each sector will vary over time. For more information on current fund holdings, see pages 16–47.
| 2 | 3 |
Performance and
portfolio snapshots
Average annual total return (%) comparison as of 9/30/09
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 5 and 8 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.
“Liquidity has improved substantially throughout
the credit markets.”
D. William Kohli, Portfolio Manager, Putnam Master Intermediate Income Trust
Credit qualities are shown as a percentage of portfolio value as of 9/30/09. A bond rated Baa or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds not rated by Moody’s but considered by Putnam Management to be of comparable quality. Ratings will vary over time.
4
Interview with your
fund’s portfolio manager
D. William Kohli
Bill, how did Master Intermediate Income Trust perform during its most recent annual period?
The fund posted a solid return and displayed strong performance for the past six months, overcoming the market turmoil of 2008. For the 12-month period ended September 30, 2009, the fund returned 13.32% at net asset value, versus a return of 11.46% for the more narrowly focused Barclays Capital Government/Credit Bond Index and a 13.39% return for the fund’s Lipper peer group. For the past six months ended September 30, the fund posted a 44.70% return.
A year ago, the credit markets were in turmoil. What factors turned the markets around from their low point in late 2008?
During the financial crisis last year, yield “spreads,” or differences in yield between credit instruments and safe-haven Treasuries, widened dramatically, as prices of many credit instruments plummeted.
Following a wave of bad news concerning the U.S. housing market, the collapse of Bear Stearns, and the Lehman Brothers bankruptcy in 2008, the credit markets essentially seized up for a time, reducing credit access for businesses and individuals. This wave of events plunged the United States and all major European countries into severe recession.
In response, the U.S. government took a number of actions to ease the crisis and restore global credit flows: The Fed [the Federal Reserve Board] lowered short-term rates in an effort to restart the economy. The Fed and U.S. Treasury also created a number of credit facilities designed to generate lending. In February, Congress approved a large stimulus package, and other federal initiatives, such as TALF [Term Asset-Backed Securities Loan Facility] and PPIP [Public-Private Investment Program] as well as the “cash for clunkers” automobile program, have worked to increase liquidity in credit markets and boost consumer spending to jumpstart the economy. The U.S. economy has begun to show signs of a turnaround, but unemployment continues to hover around 10%, and analysts have expressed concern over how the economy will fare once the government’s massive interventions are removed.
What has been your portfolio strategy over the past 12 months?
Over the past year — and particularly in 2009 — the fund has responded extremely well as we engaged in a wide variety
Broad market index and fund performance
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 9/30/09. See the previous page and page 8 for additional fund performance information. Index descriptions can be found on page 9.
5
of strategies while looking forward to a gradual turnaround in fixed-income markets. Because strategies among major central banks around the world on how best to deal with the downturn have diverged somewhat over the past 12 months, the fund has strongly benefited from our decision regarding the term structure of interest rates, or the overall level of rates and/or the shape of the yield curve. Government policy intervention, net borrowing levels, quantitative easing, and artificially low central bank rates have opened up significant opportunities in term structure strategies, an area that has been relatively dormant for years.
IN THE NEWS
It is an interest rate for the record books. The Federal Reserve Board, which is responsible for implementing U.S. monetary policy, sets short-term interest rates through changes to the federal funds rate, the interest rate at which banks loan funds to other banks, usually on an overnight basis. Since December 2008, the federal funds rate has been resting at an all-time low of near 0% as the government works to restore liquidity to the credit market. The federal funds rate began at 1.13% in 1954 and hit a high of 22.36% in 1981. The Federal Reserve Bank of New York began experimenting in October with reverse repurchase agreements, which would, in effect, raise rates, but stressed that “no inference should be drawn about the timing of monetary policy tightening.”
The fund also profited from our prior decision to position the portfolio for yield-curve steepening — a strategy based on our view that the yield curve will in fact continue to steepen, with longer-term yields rising as central banks keep short-term rates low and concern grows over government budget deficits and longer-term inflation.
We also have an ongoing strategy of focusing on high-quality credit instruments that we believe carry minimal fundamental credit risk. Over the past two years, we have identified compelling opportunities among what we believed were severely undervalued securitized debt. These included commercial and residential mortgage-backed securities and collateralized mortgage obligations markets — particularly interest-only securities. While interest-only securities are highly sensitive to non-credit-related risks, including the risk of prepayment, we believed these risks were more than offset by the potential opportunities. At various points during the past two years, we have purchased large amounts of these securities, and these purchases have contributed substantially to performance.
Master Intermediate Income Trust has the mandate to invest both in the United States and around the world, and across a broad spectrum of fixed-income securities, including Treasuries, as well as in securitized, investment-grade, and high-yield bonds. This ability to target the global bond marketplace
Top holdings
| HOLDING (percent of fund’s net assets) | COUPON (%) and MATURITY DATE |
|
| |
| Securitized sector | |
| Federal National Mortgage Association Pass-Through Certificates TBA (2.9%) | 4.5%, 2039 |
| Credit Suisse Mortgage Capital Certificates Ser. 07-C5, Class A3 (2.0%) | 5.694%, 2040 |
| Government National Mortgage Association Pass-Through Certificates TBA (1.9%) | 4.5%, 2039 |
| Government sector | |
| Argentina (Republic of) sr. unsec. unsub. bonds FRB (1.1%) | 0.943%, 2012 |
| Russia (Federation of) 144A unsec. unsub. bonds (0.6%) | 5%, 2030 |
| Venezuela (Republic of) unsec. notes (0.5%) | 10.75%, 2013 |
| Credit sector | |
| RSHB Capital SA for OJSC Russian Agricultural Bank sub. bonds FRB (Russia) (0.9%) | 6.97%, 2016 |
| VTB Capital SA 144A sec. notes (Russia) (0.5%) | 6.609%, 2012 |
| VTB Capital SA 144A notes (Russia) (0.5%) | 7.5%, 2011 |
This table shows the fund’s top holdings and the percentage of the fund’s net assets that each represented as of 9/30/09. Holdings will vary over time.
6
benefited the fund during the period. For example, the fund’s emerging-market investments in countries such as Argentina, Brazil, and Russia have contributed to returns as those countries have bounced back strongly from the severe downturn.
With the rapid swings in the market over the past year, what have you done to dampen volatility and risk in the portfolio?
In terms of portfolio positioning, we have increased exposure to collateralized mortgage obligations, which are benefiting from slow prepayment rates. In addition, we are holding more short-dated residential mortgage-backed securities, whose prices are more depressed than can be justified by mortgage market fundamentals, including foreclosure rates. In general, we have reduced risk by shortening duration, or interest-rate exposure, and diversifying exposures across much of the portfolio.
With the intent of decreasing the fund’s price volatility, we have also reduced the overall level of commercial mortgage assets in the fund, shifting to short-duration commercial and residential mortgages. In the residential mortgage area, we have emphasized hybrid adjustable-rate mortgages. These are securities that combine features of both fixed-rate and adjustable-rate mortgages. We have also acquired Alt-A —considered riskier than securities backed by prime mortgages but higher quality than securities backed by subprime mortgages — at what we feel are very depressed prices.
What’s your outlook?
We believe that the U.S. economy’s recovery from this severe recession will be muted, with economic progress curtailed by U.S. debt levels, lingering high unemployment rates, and weak housing prices. In contrast, the credit markets have rebounded from the depths of the crisis. For most credit issues, prices remain appealing, even if we factor in worst-case assumptions regarding mortgage defaults and the pace of economic recovery. Although bank lending remains weak, the markets for securitized debt such as commercial mortgage-backed securities have stabilized. Moreover, liquidity has improved substantially throughout the credit markets.
In early October, Master Intermediate Income Trust increased its monthly dividend payment. What factors drove the increase?
After the close of the period, on October 8, 2009, the Trustees of the Putnam Funds approved an $0.008 increase in the dividend of Master Intermediate Income Trust, from $0.045 to $0.053. This represents an 18% increase in the fund’s dividend and will boost the fund’s yield at NAV to roughly 10.55% (based on the October 8 NAV of $6.03 per share). The increase will be reflected in the next dividend, which has a record date of October 15 and a payable date of October 21. The committee approved raising the dividend because the fund significantly over-earned its distribution rate due to increased yield from asset-backed and commercial mortgage-backed securities.
Putnam is currently estimating Master Intermediate Income Trust will pay an extra taxable income distribution of between 30 and 40 cents per share in December 2009 in addition to the dividend increase.
Thank you, Bill, for your time and insights.
Portfolio Manager D. William Kohli is Team Leader of Portfolio Construction at Putnam. He has an M.B.A. from the Haas School of Business at the University of California, Berkeley, and a B.A. from the University of California, San Diego. Bill joined Putnam in 1994 and has been in the investment industry since 1987.
In addition to Bill, your fund’s portfolio managers are Michael Atkin, Rob Bloemker, Kevin Murphy, and Paul Scanlon.
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. Holdings will vary over time.
7
Your fund’s performance
This section shows your fund’s performance for periods ended September 30, 2009, the end of its most recent fiscal year. 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.
Fund performance Total return for periods ended 9/30/09
| NAV | Market price | |
|
| ||
| Annual average | 7.03% | 6.71% |
| Life of fund (since 4/29/88) | ||
|
| ||
| 10 years | 74.43 | 106.84 |
| Annual average | 5.72 | 7.54 |
|
| ||
| 5 years | 20.75 | 29.01 |
| Annual average | 3.84 | 5.23 |
|
| ||
| 3 years | 7.73 | 25.07 |
| Annual average | 2.51 | 7.74 |
|
| ||
| 1 year | 13.32 | 24.66 |
|
| ||
Performance assumes reinvestment of distributions and does not account for taxes.
Comparative index returns For periods ended 9/30/09
| Barclays Capital | Lipper Flexible Income | |||
| Government/Credit | Citigroup Non-U.S. World | JPMorgan Global | Funds (closed-end) | |
| Bond Index | Government Bond Index | High Yield Index | category average* | |
|
| ||||
| Annual average (life of fund) | 7.41% | 7.08% | —† | 6.79% |
|
| ||||
| 10 years | 84.60 | 90.52 | 90.43% | 63.56 |
| Annual average | 6.32 | 6.66 | 6.65 | 4.99 |
|
| ||||
| 5 years | 27.13 | 40.64 | 35.01 | 22.89 |
| Annual average | 4.92 | 7.06 | 6.19 | 4.20 |
|
| ||||
| 3 years | 19.94 | 33.65 | 17.47 | 11.42 |
| Annual average | 6.25 | 10.15 | 5.51 | 3.65 |
|
| ||||
| 1 year | 11.46 | 16.07 | 20.35 | 13.39 |
|
| ||||
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 1-year, 3-year, 5-year, 10-year, and life-of-fund periods ended 9/30/09, there were 5, 5, 5, 4, and 2 funds, respectively, in this Lipper category.
† The inception date of the JPMorgan Global High Yield Index was 12/31/93.
Fund price and distribution information For the 12-month period ended 9/30/09
| Distributions | ||
|
| ||
| Number | 12 | |
|
| ||
| Income | $0.540 | |
|
| ||
| Capital gains | — | |
|
| ||
| Total | $0.540 | |
|
| ||
| Share value | NAV | Market price |
|
| ||
| 9/30/08 | $5.88 | $5.39 |
|
| ||
| 9/30/09 | 5.94 | 5.99 |
|
| ||
| Current yield (end of period) | ||
|
| ||
| Current dividend rate* | 9.09% | 9.02% |
|
| ||
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.
8
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.
Current yield is the annual rate of return earned from dividends or interest of an investment. Current yield is expressed as a percentage of the price of a security, fund share, or principal investment.
Comparative indexes
Barclays Capital Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
Barclays Capital Government/Credit Bond Index is an unmanaged index of U.S. Treasuries, agency securities, and investment-grade corporate bonds.
BoA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
Citigroup Non-U.S. World Government Bond Index is an unmanaged index generally considered to be representative of the world bond market excluding the United States.
JPMorgan Global High Yield Index is an unmanaged index of global high-yield fixed-income securities.
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.
9
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, with respect to your fund, between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”).
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 2009, 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. At the Trustees’ June 12, 2009 meeting, the Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2009. (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.)
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 such 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.
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 the 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. The general fee structure has been carefully developed over the years and re-examined on many occasions and adjusted where appropriate. In this regard, the Trustees noted that shareholders of all funds voted by overwhelming majorities in 2007 to approve new management contracts containing identical fee schedules.
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 changes in competitive 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. 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 33rd percentile in total expenses as of December 31, 2008 (the first percentile being the least expensive funds and the 100th percentile being the most expensive funds).
The Trustees noted that expense ratios for a number of Putnam funds, which show the percentage of fund assets used to pay for management and administrative services, distribution (12b-1) fees (as applicable) and other expenses, had been increasing recently as a result of declining net assets and the natural operation of fee breakpoints. The Trustees expressed their intention to monitor the funds’ percentile rankings in management fees and in total expenses to ensure that fees and expenses of the funds 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 the fund (as a percentage of fund assets) declines as the fund grows in size and crosses specified asset thresholds. Conversely, as the 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 schedule in effect for your fund represented
10
an appropriate sharing of economies of scale at that time.
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 provided and profits realized by Putnam Management and its affiliates from their contractual relationships 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 Oversight Coordinating 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 disappointing investment performance of many of the funds for periods ended March 31, 2009. They discussed with senior management of Putnam Management the factors contributing to such underperformance and the actions being taken to improve performance. The Trustees recognized that, in recent years, Putnam Management has taken steps to strengthen its investment personnel and processes to address areas of underperformance, including Putnam Management’s continuing efforts to strengthen the equity research function, recent changes in portfolio managers including increased accountability of individual managers rather than teams, recent changes in Putnam Management’s approach to incentive compensation, including emphasis on top quartile performance over a rolling three-year period, and the recent arrival of a new chief investment officer. The Trustees also recognized the substantial improvement in performance of many funds since the implementation of those changes. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional changes to address areas of underperformance are warranted.
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-year, three-year and five-year periods ended March 31, 2009 (the first percentile being the best-performing funds and the 100th percentile being the worst-performing funds):
| One-year period | 86th | ||
|
|
|||
| Three-year period | 86th | ||
|
|
|||
| Five-year period | 86th | ||
|
|
|||
Over the one-year, three-year and five-year periods ended March 31, 2009, there were 6, 6 and 6 funds, respectively, in your fund’s Lipper peer group. Past performance is no guarantee of future results.
The Trustees noted the disappointing performance for certain funds, as well as certain circumstances that may have contributed to that performance and the actions taken by Putnam Management to address these funds’ performance. The Trustees also considered the four broad initiatives that Putnam Management has implemented to improve its investment approach, to reduce the likelihood of fourth quartile results, and to deliver on its long-term investment goals. Specifically, Putnam Management has:
1. Increased accountability and reduced complexity in the portfolio management process for the Putnam equity funds by replacing a team management structure with a decision-making process that vests full authority and responsibility with individual portfolio managers;
2. Clarified Putnam Management’s investment process by affirming a fundamental-driven approach to investing, with quantitative analysis providing additional input for investment decisions;
3. Strengthened Putnam Management’s large-cap equity research capability by adding multiple new investment personnel to the team and by bringing U.S. and international research under common leadership; and
4. Realigned compensation structure for portfolio managers and research analysts so that only those who achieve top-quartile returns over a rolling three-year basis are eligible for full bonuses.
The Trustees noted the disappointing performance for your fund for the one-year, three-year and five-year periods ended March 31, 2009. The Trustees considered Putnam Management’s belief that significant volatility and illiquidity in the markets contributed to the fund’s relative underperformance during these periods. In addition, the Trustees considered Putnam Management’s decision to implement initiative 4 described above. The Trustees also considered Putnam Management’s continued belief that the fund’s investment strategy and process are designed to produce attractive relative performance over longer periods, and noted improvements in the fund’s recent year-to-date performance as
11
of March 31, 2009 as the markets began to show signs of stabilizing.
As a general matter, the Trustees believe 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 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 considered a change made, at Putnam Management’s request, to the Putnam funds’ brokerage allocation policy commencing in 2009, which increased the permitted soft dollar allocation to third-party services over what had been authorized in previous years. The Trustees noted that a portion of available soft dollars continue to be allocated to the payment of fund expenses, although the amount allocated for this purpose has declined in recent years. The Trustees indicated their continued intent to monitor regulatory developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the potential benefits associated with the allocation of fund brokerage and trends in industry practice to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
The Trustees’ annual review of your fund’s management contract also included the review of the investor servicing agreement with Putnam Fiduciary Trust Company, which agreement provides benefits to an affiliate of Putnam Management.
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 comparisons 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 mutual 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 different asset classes are typically higher on average for mutual 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.
12
Other information for shareholders
Important notice regarding share repurchase program
In September 2009, 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, 2009, up to 10% of the fund’s common shares outstanding as of October 7, 2009.
Putnam’s policy on confidentiality
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ addresses, telephone numbers, Social Security numbers, and the names of their financial representatives. We use this information to assign an account number and to help us maintain accurate records of transactions and account balances. It is our policy to protect the confidentiality of your information, whether or not you currently own shares of our funds, and, in particular, not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use. Under certain circumstances, we share this information with outside vendors who provide services to us, such as mailing and proxy solicitation. In those cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. We may also share this information with our Putnam affiliates to service your account or provide you with information about other Putnam products or services. It is also our policy to share account information with your financial representative, if you’ve listed one on your Putnam account. If you would like clarification about our confidentiality policies or have any questions or concerns, please don’t hesitate to contact us at 1-800-225-1581, Monday through Friday, 8:30 a.m. to 8:00 p.m., or Saturdays from 9:00 a.m. to 5:00 p.m. Eastern Time.
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, 2009, are available in the Individual Investors section at putnam.com, 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.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of September 30, 2009, Putnam employees had approximately $308,000,000 and the Trustees had approximately $40,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
13
Financial statements
These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, 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 noninvest-ment 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 year.
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.
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 semian-nual report, the highlight table also includes the current reporting period.
14
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
Putnam Master Intermediate Income Trust:
We have audited the accompanying statement of assets and liabilities of Putnam Master Intermediate Income Trust (the “fund”), including the fund’s portfolio, as of September 30, 2009, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform our audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2009 by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Putnam Master Intermediate Income Trust as of September 30, 2009, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
November 16, 2009
15
The fund’s portfolio 9/30/09
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Banc of America Alternative Loan | ||
| Trust Ser. 06-7, Class A2, 5.707s, 2036 | $4,010,000 | $3,007,500 |
|
| ||
| Banc of America Commercial | ||
| Mortgage, Inc. | ||
| FRB Ser. 07-3, Class A3, 5.837s, 2049 | 168,000 | 160,250 |
| Ser. 07-2, Class A2, 5.634s, 2049 | 513,000 | 507,593 |
| Ser. 07-1, Class A4, 5.451s, 2049 | 888,000 | 785,223 |
| Ser. 05-6, Class A2, 5.165s, 2047 | 1,131,000 | 1,135,697 |
| Ser. 07-5, Class XW, IO, 0.606s, 2051 | 112,594,871 | 1,902,853 |
|
| ||
| Banc of America Commercial | ||
| Mortgage, Inc. 144A | ||
| Ser. 01-1, Class J, 6 1/8s, 2036 | 163,000 | 65,151 |
| Ser. 01-1, Class K, 6 1/8s, 2036 | 367,000 | 184,367 |
|
| ||
| Banc of America Funding Corp. FRB | ||
| Ser. 06-D, Class 6A1, 5.885s, 2036 | 2,740,765 | 1,617,051 |
|
| ||
| Banc of America Large Loan 144A FRB | ||
| Ser. 05-MIB1, Class K, 2.243s, 2022 | 645,000 | 327,030 |
|
| ||
| Bayview Commercial Asset Trust 144A | ||
| Ser. 07-5A, IO, 3.047s, 2037 | 965,799 | 72,049 |
| Ser. 07-1, Class S, IO, 2.477s, 2037 | 3,667,055 | 222,224 |
|
| ||
| Bear Stearns Alternate Trust | ||
| FRB Ser. 06-5, Class 2A2, 6 1/4s, 2036 | 2,009,993 | 953,335 |
| FRB Ser. 05-10, Class 25A1, 5.862s, | ||
| 2036 | 1,379,675 | 724,330 |
| FRB Ser. 06-6, Class 2A1, 5.82s, 2036 | 963,538 | 513,944 |
| FRB Ser. 07-1, Class 21A1, 5.619s, | ||
| 2047 | 1,386,542 | 721,002 |
|
| ||
| Bear Stearns Alternate Trust II FRB | ||
| Ser. 07-1, Class 1A1, 6.029s, 2047 | 4,627,174 | 2,596,821 |
|
| ||
| Bear Stearns Commercial Mortgage | ||
| Securities, Inc. FRB Ser. 00-WF2, | ||
| Class F, 8.452s, 2032 | 410,000 | 249,470 |
|
| ||
| Bear Stearns Commercial Mortgage | ||
| Securities, Inc. 144A Ser. 07-PW18, | ||
| Class X1, IO, 0.095s, 2050 | 62,396,111 | 508,578 |
|
| ||
| Citigroup Mortgage Loan Trust, Inc. | ||
| FRB Ser. 06-AR5, Class 2A5A, 6.182s, | ||
| 2036 | 1,252,389 | 653,152 |
| FRB Ser. 05-10, Class 1A5A, 5.837s, | ||
| 2035 | 358,988 | 229,753 |
| FRB Ser. 05-10, Class 1A4A, 5.728s, | ||
| 2035 | 1,329,794 | 744,684 |
| FRB Ser. 06-AR7, Class 2A2A, 5.607s, | ||
| 2036 | 783,295 | 493,476 |
|
| ||
| Citigroup/Deutsche Bank Commercial | ||
| Mortgage Trust 144A Ser. 07-CD5, | ||
| Class XS, IO, 0.077s, 2044 | 36,485,300 | 180,997 |
|
| ||
| Commercial Mortgage Pass-Through | ||
| Certificates 144A FRB Ser. 05-F10A, | ||
| Class A1, 0.343s, 2017 | 230,053 | 228,450 |
|
| ||
| Countrywide Alternative Loan Trust | ||
| Ser. 06-45T1, Class 2A2, 6s, 2037 | 2,822,233 | 1,848,563 |
| Ser. 06-J8, Class A4, 6s, 2037 | 2,125,624 | 1,211,606 |
| Ser. 05-80CB, Class 2A1, 6s, 2036 | 1,797,990 | 1,325,456 |
| FRB Ser. 07-HY4, Class 3A1, | ||
| 5.812s, 2047 | 868,802 | 495,217 |
| Ser. 07-HY5R, Class 2A1A, 5.544s, 2047 | 1,560,491 | 1,258,877 |
| Ser. 07-8CB, Class A1, 5 1/2s, 2037 | 953,965 | 690,432 |
| FRB Ser. 06-23CBC, Class 2A5, | ||
| 0.646s, 2036 | 2,916,437 | 1,312,397 |
| FRB Ser. 06-OC10, Class 2A2A, | ||
| 0.426s, 2036 | 1,885,000 | 921,369 |
| FRB Ser. 07-HY7C, Class A1, | ||
| 0.386s, 2037 | 1,920,819 | 921,993 |
| MORTGAGE-BACKED | Principal | ||
| SECURITIES (47.3%)* cont. | amount | Value | |
|
| |||
| Countrywide Home Loans | |||
| FRB Ser. 05-HYB7, Class 6A1, | |||
| 5.661s, 2035 | $43,337 | $30,336 | |
| FRB Ser. 06-HYB1, Class 1A1, | |||
| 5.309s, 2036 | 271,640 | 134,197 | |
| FRB Ser. 05-HYB4, Class 2A1, | |||
| 4.864s, 2035 | 4,201,577 | 2,520,946 | |
|
| |||
| Countrywide Home Loans 144A | |||
| IFB Ser. 05-R1, Class 1AS, IO, | |||
| 5.626s, 2035 | 2,833,852 | 286,928 | |
| Ser. 06-R1, Class AS, IO, 5.61s, 2036 | 1,875,643 | 185,220 | |
| Ser. 05-R3, Class AS, IO, 5.557s, 2035 | 589,383 | 58,570 | |
| FRB Ser. 06-R2, Class AS, IO, | |||
| 5.452s, 2036 | 2,685,849 | 260,192 | |
|
| |||
| Credit Suisse Mortgage | |||
| Capital Certificates | |||
| FRB Ser. 06-C3, Class A3, 6.02s, 2038 | 3,576,000 | 2,982,926 | |
| FRB Ser. 07-C4, Class A2, 6.003s, 2039 | 814,000 | 821,599 | |
| Ser. 07-1, Class 1A1A, 5.942s, 2037 | 532,273 | 320,056 | |
| Ser. 07-3, Class 1A1A, 5.837s, 2037 | 1,028,985 | 596,811 | |
| Ser. 07-C5, Class A3, 5.694s, 2040 | 8,400,000 | 7,611,374 | |
| Ser. 06-C4, Class A3, 5.467s, 2039 | 1,316,000 | 1,139,788 | |
|
| |||
| CRESI Finance Limited Partnership | |||
| 144A FRB Ser. 06-A, Class C, 0.846s, 2017 | 251,000 | 138,050 | |
|
| |||
| CS First Boston Mortgage | |||
| Securities Corp. 144A | |||
| Ser. 98-C1, Class F, 6s, 2040 | 966,000 | 869,400 | |
| Ser. 02-CP5, Class M, 5 1/4s, 2035 | 354,000 | 27,355 | |
| FRB Ser. 05-TFLA, Class L, | |||
| 2.093s, 2020 | 699,000 | 454,350 | |
|
| |||
| CWCapital Cobalt Ser. 06-C1, | |||
| Class A2, 5.174s, 2048 | 1,374,000 | 1,372,144 | |
|
| |||
| Deutsche Alternative Securities, Inc. | |||
| FRB Ser. 06-AR3, Class A1, | |||
| 0.436s, 2036 | 1,494,782 | 650,464 | |
|
| |||
| Deutsche Mortgage & Asset | |||
| Receiving Corp. Ser. 98-C1, Class X, | |||
| IO, 0.765s, 2031 | 2,617,032 | 56,307 | |
|
| |||
| DLJ Commercial Mortgage Corp. | |||
| Ser. 98-CF2, Class B4, 6.04s, 2031 | 286,492 | 229,194 | |
|
| |||
| European Loan Conduit 144A FRB | |||
| Ser. 22A, Class D, 1.764s, 2014 | |||
| (United Kingdom) F | GBP | 507,000 | 121,756 |
|
| |||
| European Prime Real Estate PLC 144A | |||
| FRB Ser. 1-A, Class D, 1.764s, 2014 | |||
| (United Kingdom) F | GBP | 270,567 | 21,656 |
|
| |||
| Fannie Mae | |||
| IFB Ser. 06-62, Class PS, | |||
| 38.423s, 2036 | $570,222 | 851,780 | |
| IFB Ser. 05-74, Class CP, | |||
| 23.847s, 2035 | 395,598 | 527,957 | |
| IFB Ser. 05-99, Class SA, | |||
| 23.664s, 2035 | 457,159 | 600,470 | |
| IFB Ser. 05-95, Class OP, | |||
| 19.595s, 2035 | 305,931 | 381,175 | |
| IFB Ser. 05-83, Class QP, | |||
| 16.754s, 2034 | 165,020 | 196,578 | |
| IFB Ser. 03-44, Class SI, IO, | |||
| 7.754s, 2033 | 1,604,655 | 265,832 | |
| IFB Ser. 06-90, Class SE, IO, | |||
| 7.554s, 2036 | 1,964,295 | 345,582 | |
| IFB Ser. 08-7, Class SA, IO, | |||
| 7.304s, 2038 | 4,052,315 | 597,352 | |
| IFB Ser. 05-113, Class AI, IO, | |||
| 6.984s, 2036 | 616,479 | 97,176 | |
16
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Fannie Mae | ||
| IFB Ser. 06-125, Class SM, IO, | ||
| 6.954s, 2037 | $908,712 | $113,780 |
| IFB Ser. 06-43, Class SU, IO, | ||
| 6.954s, 2036 | 328,187 | 42,559 |
| IFB Ser. 06-24, Class QS, IO, | ||
| 6.954s, 2036 | 844,420 | 131,822 |
| IFB Ser. 06-79, Class DI, IO, | ||
| 6.904s, 2036 | 1,583,072 | 207,559 |
| IFB Ser. 06-60, Class SI, IO, | ||
| 6.904s, 2036 | 2,963,918 | 405,019 |
| IFB Ser. 06-60, Class UI, IO, | ||
| 6.904s, 2036 | 498,947 | 72,470 |
| IFB Ser. 04-24, Class CS, IO, | ||
| 6.904s, 2034 | 316,119 | 45,349 |
| IFB Ser. 03-130, Class BS, IO, | ||
| 6.804s, 2033 | 1,957,952 | 252,944 |
| IFB Ser. 03-34, Class WS, IO, | ||
| 6.754s, 2029 | 1,835,210 | 196,698 |
| IFB Ser. 08-20, Class SA, IO, | ||
| 6.744s, 2038 | 516,996 | 65,484 |
| IFB Ser. 08-41, Class S, IO, | ||
| 6.554s, 2036 | 1,914,500 | 209,040 |
| IFB Ser. 05-48, Class SM, IO, | ||
| 6.554s, 2034 | 803,567 | 94,741 |
| IFB Ser. 07-54, Class CI, IO, | ||
| 6.514s, 2037 | 964,511 | 132,496 |
| IFB Ser. 08-34, Class SM, IO, | ||
| 6.504s, 2038 | 1,694,841 | 187,904 |
| IFB Ser. 07-28, Class SE, IO, | ||
| 6.504s, 2037 | 191,719 | 26,006 |
| IFB Ser. 07-22, Class S, IO, | ||
| 6.504s, 2037 | 13,688,063 | 1,661,868 |
| IFB Ser. 07-24, Class SD, IO, | ||
| 6.504s, 2037 | 773,248 | 89,635 |
| IFB Ser. 06-79, Class SI, IO, | ||
| 6.504s, 2036 | 530,495 | 61,175 |
| IFB Ser. 05-90, Class GS, IO, | ||
| 6.504s, 2035 | 133,754 | 17,915 |
| IFB Ser. 05-90, Class SP, IO, | ||
| 6.504s, 2035 | 534,147 | 57,706 |
| IFB Ser. 05-12, Class SC, IO, | ||
| 6.504s, 2035 | 654,467 | 80,580 |
| IFB Ser. 05-18, Class SK, IO, | ||
| 6.504s, 2035 | 134,688 | 12,732 |
| IFB Ser. 07-30, Class IE, IO, | ||
| 6.494s, 2037 | 2,455,536 | 374,690 |
| IFB Ser. 06-123, Class CI, IO, | ||
| 6.494s, 2037 | 1,890,058 | 233,328 |
| IFB Ser. 05-45, Class EW, IO, | ||
| 6.474s, 2035 | 513,333 | 62,298 |
| IFB Ser. 06-126, Class CS, IO, | ||
| 6.454s, 2037 | 1,335,180 | 175,353 |
| IFB Ser. 06-31, Class SX, IO, | ||
| 6.454s, 2036 | 1,973,682 | 292,596 |
| IFB Ser. 06-33, Class JS, IO, | ||
| 6.454s, 2036 | 585,437 | 71,565 |
| IFB Ser. 06-36, Class SP, IO, | ||
| 6.454s, 2036 | 886,016 | 100,539 |
| IFB Ser. 06-22, Class QM, IO, | ||
| 6.454s, 2036 | 121,659 | 17,888 |
| IFB Ser. 06-23, Class SP, IO, | ||
| 6.454s, 2036 | 935,294 | 120,728 |
| IFB Ser. 06-16, Class SM, IO, | ||
| 6.454s, 2036 | 1,854,823 | 280,006 |
| IFB Ser. 05-95, Class CI, IO, | ||
| 6.454s, 2035 | 1,080,194 | 149,121 |
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Fannie Mae | ||
| IFB Ser. 05-84, Class SG, IO, | ||
| 6.454s, 2035 | $1,716,224 | $227,091 |
| IFB Ser. 05-57, Class NI, IO, | ||
| 6.454s, 2035 | 434,452 | 57,958 |
| IFB Ser. 06-3, Class SB, IO, | ||
| 6.454s, 2035 | 4,962,239 | 689,602 |
| IFB Ser. 05-29, Class SX, IO, | ||
| 6.454s, 2035 | 714,984 | 87,355 |
| IFB Ser. 05-57, Class DI, IO, | ||
| 6.454s, 2035 | 765,811 | 84,774 |
| IFB Ser. 04-92, Class S, IO, | ||
| 6.454s, 2034 | 2,443,231 | 283,073 |
| IFB Ser. 06-104, Class EI, IO, | ||
| 6.444s, 2036 | 977,048 | 125,320 |
| IFB Ser. 05-83, Class QI, IO, | ||
| 6.444s, 2035 | 300,297 | 51,277 |
| IFB Ser. 06-128, Class GS, IO, | ||
| 6.434s, 2037 | 1,049,838 | 141,079 |
| IFB Ser. 05-73, Class SD, IO, | ||
| 6.434s, 2035 | 135,880 | 23,220 |
| IFB Ser. 06-114, Class IS, IO, | ||
| 6.404s, 2036 | 921,206 | 118,114 |
| IFB Ser. 04-92, Class SQ, IO, | ||
| 6.404s, 2034 | 1,052,181 | 140,073 |
| IFB Ser. 06-115, Class IE, IO, | ||
| 6.394s, 2036 | 733,228 | 92,897 |
| IFB Ser. 06-117, Class SA, IO, | ||
| 6.394s, 2036 | 1,106,491 | 141,636 |
| IFB Ser. 06-109, Class SG, IO, | ||
| 6.384s, 2036 | 277,715 | 29,456 |
| IFB Ser. 06-109, Class SH, IO, | ||
| 6.374s, 2036 | 922,135 | 140,567 |
| IFB Ser. 06-111, Class SA, IO, | ||
| 6.374s, 2036 | 6,000,827 | 751,664 |
| IFB Ser. 06-103, Class SB, IO, | ||
| 6.354s, 2036 | 337,005 | 40,566 |
| IFB Ser. 06-43, Class SI, IO, | ||
| 6.354s, 2036 | 1,947,400 | 231,468 |
| IFB Ser. 06-48, Class QB, IO, | ||
| 6.354s, 2036 | 1,276,417 | 140,878 |
| IFB Ser. 06-50, Class IP, IO, | ||
| 6.354s, 2036 | 5,315,802 | 741,209 |
| IFB Ser. 06-8, Class JH, IO, | ||
| 6.354s, 2036 | 3,664,832 | 470,784 |
| IFB Ser. 05-122, Class SG, IO, | ||
| 6.354s, 2035 | 857,000 | 108,728 |
| IFB Ser. 05-122, Class SW, IO, | ||
| 6.354s, 2035 | 1,052,330 | 127,837 |
| IFB Ser. 06-101, Class SA, IO, | ||
| 6.334s, 2036 | 2,340,071 | 269,927 |
| IFB Ser. 06-92, Class LI, IO, | ||
| 6.334s, 2036 | 1,089,963 | 143,593 |
| IFB Ser. 06-99, Class AS, IO, | ||
| 6.334s, 2036 | 311,530 | 36,761 |
| IFB Ser. 06-17, Class SI, IO, | ||
| 6.334s, 2036 | 858,823 | 99,976 |
| IFB Ser. 06-98, Class SQ, IO, | ||
| 6.324s, 2036 | 9,857,160 | 1,151,021 |
| IFB Ser. 06-60, Class YI, IO, | ||
| 6.324s, 2036 | 2,690,441 | 396,759 |
| IFB Ser. 06-98, Class SB, IO, | ||
| 6.304s, 2036 | 779,589 | 84,080 |
| IFB Ser. 06-86, Class SB, IO, | ||
| 6.304s, 2036 | 588,482 | 79,822 |
| IFB Ser. 07-91, Class SA, IO, | ||
| 6.264s, 2037 | 1,741,524 | 181,937 |
17
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Fannie Mae | ||
| IFB Ser. 07-15, Class NI, IO, | ||
| 6.254s, 2022 | $1,640,224 | $173,459 |
| IFB Ser. 07-109, Class XI, IO, | ||
| 6.204s, 2037 | 754,643 | 119,452 |
| IFB Ser. 06-79, Class SH, IO, | ||
| 6.204s, 2036 | 1,757,108 | 258,092 |
| IFB Ser. 07-30, Class LI, IO, | ||
| 6.194s, 2037 | 2,066,387 | 238,606 |
| IFB Ser. 07-89, Class SA, IO, | ||
| 6.184s, 2037 | 1,952,941 | 220,096 |
| IFB Ser. 07-54, Class IA, IO, | ||
| 6.164s, 2037 | 1,058,215 | 133,755 |
| IFB Ser. 07-54, Class IB, IO, | ||
| 6.164s, 2037 | 1,058,215 | 133,755 |
| IFB Ser. 07-54, Class IC, IO, | ||
| 6.164s, 2037 | 1,058,215 | 133,755 |
| IFB Ser. 07-54, Class ID, IO, | ||
| 6.164s, 2037 | 1,058,215 | 133,755 |
| IFB Ser. 07-54, Class IE, IO, | ||
| 6.164s, 2037 | 1,058,215 | 133,755 |
| IFB Ser. 07-54, Class IF, IO, | ||
| 6.164s, 2037 | 1,688,123 | 193,898 |
| IFB Ser. 07-54, Class UI, IO, | ||
| 6.164s, 2037 | 1,585,103 | 207,553 |
| IFB Ser. 07-15, Class CI, IO, | ||
| 6.134s, 2037 | 3,547,218 | 407,895 |
| IFB Ser. 06-115, Class JI, IO, | ||
| 6.134s, 2036 | 2,502,652 | 290,808 |
| IFB Ser. 08-12, Class SG, IO, | ||
| 6.104s, 2038 | 298,484 | 28,962 |
| IFB Ser. 09-43, Class SB, IO, | ||
| 6.084s, 2039 | 154,606 | 22,039 |
| IFB Ser. 06-123, Class LI, IO, | ||
| 6.074s, 2037 | 1,701,604 | 189,729 |
| IFB Ser. 07-81, Class IS, IO, | ||
| 6.054s, 2037 | 1,426,019 | 155,850 |
| IFB Ser. 08-11, Class SC, IO, | ||
| 6.034s, 2038 | 151,401 | 17,641 |
| IFB Ser. 07-39, Class AI, IO, | ||
| 5.874s, 2037 | 1,947,915 | 200,090 |
| IFB Ser. 07-32, Class SD, IO, | ||
| 5.864s, 2037 | 1,256,497 | 138,362 |
| IFB Ser. 07-30, Class UI, IO, | ||
| 5.854s, 2037 | 1,037,517 | 111,550 |
| IFB Ser. 07-32, Class SC, IO, | ||
| 5.854s, 2037 | 1,781,533 | 212,663 |
| IFB Ser. 07-32, Class SG, IO, | ||
| 5.854s, 2037 | 155,395 | 16,927 |
| IFB Ser. 07-1, Class CI, IO, | ||
| 5.854s, 2037 | 1,167,161 | 143,301 |
| IFB Ser. 04-46, Class PJ, IO, | ||
| 5.754s, 2034 | 893,675 | 102,388 |
| IFB Ser. 07-75, Class ID, IO, | ||
| 5.624s, 2037 | 1,213,290 | 140,799 |
| Ser. 383, Class 18, IO, | ||
| 5 1/2s, 2038 | 601,631 | 85,299 |
| Ser. 383, Class 19, IO, | ||
| 5 1/2s, 2038 | 547,564 | 77,726 |
| Ser. 383, Class 6, IO, | ||
| 5 1/2s, 2037 | 464,903 | 69,517 |
| Ser. 383, Class 7, IO, | ||
| 5 1/2s, 2037 | 459,354 | 64,097 |
| Ser. 383, Class 20, IO, | ||
| 5 1/2s, 2037 | 347,099 | 51,795 |
| Ser. 367, Class 2, IO, | ||
| 5 1/2s, 2036 | 1,176,058 | 209,115 |
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Fannie Mae | ||
| Ser. 364, Class 12, IO, | ||
| 5 1/2s, 2035 | $269,822 | $41,772 |
| Ser. 346, Class 2, IO, | ||
| 5 1/2s, 2033 | 1,582,630 | 281,408 |
| Ser. 338, Class 2, IO, | ||
| 5 1/2s, 2033 | 2,372,493 | 427,419 |
| Ser. 333, Class 2, IO, | ||
| 5 1/2s, 2033 | 2,400,411 | 439,575 |
| IFB Ser. 09-3, Class SE, IO, | ||
| 5.254s, 2037 | 1,359,741 | 121,792 |
| Ser. 359, Class 7, IO, | ||
| 5s, 2036 | 78,849 | 12,378 |
| Ser. 360, Class 2, IO, | ||
| 5s, 2035 | 831,987 | 150,016 |
| Ser. 356, Class 5, IO, | ||
| 5s, 2035 | 79,264 | 13,175 |
| Ser. 03-W17, Class 12, IO, | ||
| 1.143s, 2033 | 1,825,969 | 51,237 |
| Ser. 06-26, Class NB, 1s, 2036 | 203,438 | 189,312 |
| Ser. 03-W10, Class 3A, IO, | ||
| 0.601s, 2043 | 2,942,211 | 47,350 |
| Ser. 03-W10, Class 1A, IO, | ||
| 0.515s, 2043 | 2,494,655 | 34,398 |
| Ser. 02-T18, IO, 0.513s, 2042 | 4,997,992 | 67,539 |
| Ser. 06-56, Class XF, | ||
| zero %, 2036 | 75,040 | 62,589 |
| Ser. 06-47, Class VO, PO, | ||
| zero %, 2036 | 92,552 | 79,221 |
| Ser. 06-37, Class ON, PO, | ||
| zero %, 2036 | 191,151 | 174,178 |
| Ser. 05-117, Class MO, PO, | ||
| zero %, 2036 | 41,919 | 40,711 |
| Ser. 05-110, Class KO, PO, | ||
| zero %, 2035 | 61,827 | 55,014 |
| Ser. 05-103, Class OA, PO, | ||
| zero %, 2035 | 207,000 | 184,416 |
| Ser. 05-63, PO, zero %, 2035 | 12,101 | 11,636 |
| Ser. 08-37, Class DO, PO, | ||
| zero %, 2033 | 239,253 | 188,945 |
| Ser. 06-59, Class QC, PO, | ||
| zero %, 2033 | 141,978 | 136,449 |
| Ser. 04-61, Class JO, PO, | ||
| zero %, 2032 | 184,241 | 164,319 |
| Ser. 326, Class 1, PO, | ||
| zero %, 2032 | 170,393 | 149,802 |
| Ser. 318, Class 1, PO, | ||
| zero %, 2032 | 64,190 | 56,897 |
| Ser. 314, Class 1, PO, | ||
| zero %, 2031 | 307,458 | 275,818 |
| Ser. 99-51, Class N, PO, | ||
| zero %, 2029 | 48,332 | 37,712 |
| FRB Ser. 06-14, Class DF, | ||
| zero %, 2036 | 45,408 | 44,793 |
| FRB Ser. 05-91, Class EF, | ||
| zero %, 2035 | 32,620 | 31,827 |
| FRB Ser. 06-54, Class CF, | ||
| zero %, 2035 | 60,405 | 59,189 |
| FRB Ser. 05-51, Class FV, | ||
| zero %, 2035 | 66,854 | 63,812 |
| FRB Ser. 05-77, Class HF, | ||
| zero %, 2034 | 31,116 | 30,739 |
| IFB Ser. 06-48, Class FG, | ||
| zero %, 2036 | 100,000 | 93,435 |
18
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Federal Home Loan Mortgage Corp. | ||
| Structured Pass-Through Securities | ||
| IFB Ser. T-56, Class 2ASI, IO, | ||
| 7.854s, 2043 | $619,416 | $100,655 |
| Ser. T-57, Class 1AX, IO, | ||
| 0.44s, 2043 | 1,671,758 | 15,634 |
|
| ||
| FFCA Secured Lending Corp. 144A | ||
| Ser. 00-1, Class X, IO, 1.232s, 2020 | 3,803,711 | 112,628 |
|
| ||
| First Chicago Lennar Trust 144A | ||
| Ser. 97-CHL1, Class E, 7.744s, 2039 | 52,209 | 51,687 |
|
| ||
| Freddie Mac | ||
| IFB Ser. 3182, Class SP, | ||
| 27.626s, 2032 | 395,996 | 515,361 |
| IFB Ser. 3211, Class SI, IO, | ||
| 26.642s, 2036 | 285,974 | 158,767 |
| IFB Ser. 3408, Class EK, | ||
| 24.814s, 2037 | 307,210 | 396,184 |
| IFB Ser. 3077, Class ST, IO, | ||
| 23.674s, 2035 | 365,574 | 187,242 |
| IFB Ser. 2979, Class AS, | ||
| 23.381s, 2034 | 168,491 | 212,463 |
| IFB Ser. 3105, Class SI, IO, | ||
| 18.993s, 2036 | 223,367 | 96,240 |
| IFB Ser. 3489, Class SD, IO, | ||
| 7.557s, 2032 | 889,325 | 117,938 |
| IFB Ser. 2684, Class SP, IO, | ||
| 7.257s, 2033 | 1,215,000 | 213,810 |
| IFB Ser. 3184, Class SP, IO, | ||
| 7.107s, 2033 | 1,440,489 | 170,630 |
| IFB Ser. 3110, Class SP, IO, | ||
| 7.057s, 2035 | 1,598,434 | 253,879 |
| IFB Ser. 3156, Class PS, IO, | ||
| 7.007s, 2036 | 1,636,126 | 245,059 |
| IFB Ser. 3149, Class LS, IO, | ||
| 6.957s, 2036 | 3,169,961 | 531,032 |
| IFB Ser. 3119, Class PI, IO, | ||
| 6.957s, 2036 | 2,263,634 | 375,673 |
| IFB Ser. 2882, Class NS, IO, | ||
| 6.957s, 2034 | 1,408,309 | 167,786 |
| IFB Ser. 2882, Class LS, IO, | ||
| 6.957s, 2034 | 669,495 | 92,864 |
| IFB Ser. 3200, Class SB, IO, | ||
| 6.907s, 2036 | 1,025,566 | 126,237 |
| IFB Ser. 3149, Class SE, IO, | ||
| 6.907s, 2036 | 884,951 | 135,203 |
| IFB Ser. 3203, Class SH, IO, | ||
| 6.897s, 2036 | 852,898 | 129,850 |
| IFB Ser. 3208, Class PS, IO, | ||
| 6.857s, 2036 | 7,524,912 | 1,073,770 |
| IFB Ser. 2594, Class SE, IO, | ||
| 6.807s, 2030 | 265,721 | 21,081 |
| IFB Ser. 2828, Class TI, IO, | ||
| 6.807s, 2030 | 518,786 | 58,919 |
| IFB Ser. 3397, Class GS, IO, | ||
| 6.757s, 2037 | 689,922 | 89,323 |
| IFB Ser. 3287, Class SD, IO, | ||
| 6.507s, 2037 | 1,135,566 | 151,963 |
| IFB Ser. 3281, Class BI, IO, | ||
| 6.507s, 2037 | 595,294 | 75,094 |
| IFB Ser. 3281, Class CI, IO, | ||
| 6.507s, 2037 | 644,685 | 79,275 |
| IFB Ser. 3249, Class SI, IO, | ||
| 6.507s, 2036 | 556,437 | 74,704 |
| IFB Ser. 3028, Class ES, IO, | ||
| 6.507s, 2035 | 1,736,276 | 247,112 |
| IFB Ser. 3042, Class SP, IO, | ||
| 6.507s, 2035 | 881,032 | 120,154 |
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Freddie Mac | ||
| IFB Ser. 2981, Class AS, IO, | ||
| 6.477s, 2035 | $975,140 | $113,594 |
| IFB Ser. 3287, Class SE, IO, | ||
| 6.457s, 2037 | 2,145,436 | 284,957 |
| IFB Ser. 3136, Class NS, IO, | ||
| 6.457s, 2036 | 655,258 | 84,758 |
| IFB Ser. 3122, Class DS, IO, | ||
| 6.457s, 2036 | 1,038,392 | 153,832 |
| IFB Ser. 3123, Class LI, IO, | ||
| 6.457s, 2036 | 634,579 | 92,902 |
| IFB Ser. 3108, Class SV, IO, | ||
| 6.457s, 2036 | 430,188 | 53,752 |
| IFB Ser. 3117, Class SC, IO, | ||
| 6.457s, 2036 | 271,984 | 34,757 |
| IFB Ser. 3139, Class SE, IO, | ||
| 6.457s, 2036 | 414,195 | 46,779 |
| IFB Ser. 3107, Class DC, IO, | ||
| 6.457s, 2035 | 698,086 | 102,306 |
| IFB Ser. 3001, Class IH, IO, | ||
| 6.457s, 2035 | 1,822,483 | 233,934 |
| IFB Ser. 2950, Class SM, IO, | ||
| 6.457s, 2016 | 431,131 | 45,903 |
| IFB Ser. 3256, Class S, IO, | ||
| 6.447s, 2036 | 1,569,585 | 184,453 |
| IFB Ser. 3031, Class BI, IO, | ||
| 6.447s, 2035 | 592,165 | 101,163 |
| IFB Ser. 3244, Class SB, IO, | ||
| 6.417s, 2036 | 828,175 | 96,027 |
| IFB Ser. 3249, Class SM, IO, | ||
| 6.407s, 2036 | 380,754 | 47,564 |
| IFB Ser. 3236, Class IS, IO, | ||
| 6.407s, 2036 | 1,635,295 | 225,878 |
| IFB Ser. 3240, Class SM, IO, | ||
| 6.407s, 2036 | 379,668 | 45,357 |
| IFB Ser. 3147, Class SD, IO, | ||
| 6.407s, 2036 | 2,798,945 | 321,769 |
| IFB Ser. 3398, Class SI, IO, | ||
| 6.407s, 2036 | 2,782,384 | 320,225 |
| IFB Ser. 3067, Class SI, IO, | ||
| 6.407s, 2035 | 1,206,199 | 171,165 |
| IFB Ser. 3033, Class SG, IO, | ||
| 6.407s, 2035 | 676,024 | 80,765 |
| IFB Ser. 3114, Class TS, IO, | ||
| 6.407s, 2030 | 3,203,590 | 386,994 |
| IFB Ser. 3128, Class JI, IO, | ||
| 6.387s, 2036 | 307,791 | 36,658 |
| IFB Ser. 3240, Class S, IO, | ||
| 6.377s, 2036 | 2,802,718 | 328,787 |
| IFB Ser. 3229, Class BI, IO, | ||
| 6.377s, 2036 | 99,315 | 11,109 |
| IFB Ser. 3065, Class DI, IO, | ||
| 6.377s, 2035 | 452,215 | 59,961 |
| IFB Ser. 3210, Class S, IO, | ||
| 6.357s, 2036 | 242,728 | 24,826 |
| IFB Ser. 3145, Class GI, IO, | ||
| 6.357s, 2036 | 259,526 | 33,858 |
| IFB Ser. 3114, Class IP, IO, | ||
| 6.357s, 2036 | 2,790,711 | 318,643 |
| IFB Ser. 3510, Class IB, IO, | ||
| 6.357s, 2036 | 1,116,528 | 166,687 |
| IFB Ser. 3218, Class AS, IO, | ||
| 6.337s, 2036 | 907,292 | 110,778 |
| IFB Ser. 3221, Class SI, IO, | ||
| 6.337s, 2036 | 1,270,882 | 157,106 |
| IFB Ser. 3153, Class UI, IO, | ||
| 6.327s, 2036 | 959,681 | 171,749 |
19
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Freddie Mac | ||
| IFB Ser. 3424, Class XI, IO, | ||
| 6.327s, 2036 | $1,663,127 | $211,721 |
| IFB Ser. 3485, Class SI, IO, | ||
| 6.307s, 2036 | 607,143 | 81,740 |
| IFB Ser. 3346, Class SC, IO, | ||
| 6.307s, 2033 | 1,517,272 | 187,247 |
| IFB Ser. 3346, Class SB, IO, | ||
| 6.307s, 2033 | 1,903,491 | 234,034 |
| IFB Ser. 3201, Class SG, IO, | ||
| 6.257s, 2036 | 1,737,355 | 201,047 |
| IFB Ser. 3203, Class SE, IO, | ||
| 6.257s, 2036 | 1,488,716 | 164,473 |
| IFB Ser. 3238, Class LI, IO, | ||
| 6.247s, 2036 | 779,460 | 87,845 |
| IFB Ser. 3171, Class PS, IO, | ||
| 6.242s, 2036 | 1,170,446 | 137,519 |
| IFB Ser. 3171, Class ST, IO, | ||
| 6.242s, 2036 | 1,135,384 | 133,408 |
| IFB Ser. 3449, Class SL, IO, | ||
| 6.237s, 2037 | 104,812 | 11,423 |
| IFB Ser. 3152, Class SY, IO, | ||
| 6.237s, 2036 | 2,751,598 | 353,690 |
| IFB Ser. 3510, Class DI, IO, | ||
| 6.237s, 2035 | 1,746,767 | 211,691 |
| IFB Ser. 3181, Class PS, IO, | ||
| 6.227s, 2036 | 775,537 | 103,464 |
| IFB Ser. 3361, Class SI, IO, | ||
| 6.207s, 2037 | 115,334 | 13,025 |
| IFB Ser. 3284, Class BI, IO, | ||
| 6.207s, 2037 | 970,966 | 117,328 |
| IFB Ser. 3199, Class S, IO, | ||
| 6.207s, 2036 | 2,275,181 | 264,012 |
| IFB Ser. 3200, Class PI, IO, | ||
| 6.207s, 2036 | 324,616 | 39,324 |
| IFB Ser. 3284, Class LI, IO, | ||
| 6.197s, 2037 | 2,654,038 | 302,295 |
| IFB Ser. 3281, Class AI, IO, | ||
| 6.187s, 2037 | 493,348 | 58,141 |
| IFB Ser. 3261, Class SA, IO, | ||
| 6.187s, 2037 | 795,442 | 91,889 |
| IFB Ser. 3311, Class IA, IO, | ||
| 6.167s, 2037 | 1,569,156 | 182,305 |
| IFB Ser. 3311, Class IB, IO, | ||
| 6.167s, 2037 | 1,569,156 | 182,305 |
| IFB Ser. 3311, Class IC, IO, | ||
| 6.167s, 2037 | 1,569,156 | 182,305 |
| IFB Ser. 3311, Class ID, IO, | ||
| 6.167s, 2037 | 1,569,156 | 182,305 |
| IFB Ser. 3311, Class IE, IO, | ||
| 6.167s, 2037 | 2,368,410 | 275,162 |
| IFB Ser. 3311, Class PI, IO, | ||
| 6.167s, 2037 | 1,146,066 | 132,192 |
| IFB Ser. 3265, Class SC, IO, | ||
| 6.167s, 2037 | 555,763 | 61,484 |
| IFB Ser. 3240, Class GS, IO, | ||
| 6.137s, 2036 | 1,749,722 | 195,164 |
| IFB Ser. 3331, Class SP, IO, | ||
| 6.107s, 2037 | 372,904 | 43,484 |
| IFB Ser. 3257, Class SI, IO, | ||
| 6.077s, 2036 | 749,121 | 88,167 |
| IFB Ser. 3225, Class EY, IO, | ||
| 6.047s, 2036 | 7,372,778 | 736,983 |
| IFB Ser. 3225, Class JY, IO, | ||
| 6.047s, 2036 | 3,257,123 | 352,551 |
| IFB Ser. 3502, Class DS, IO, | ||
| 5.907s, 2039 | 629,252 | 46,904 |
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Freddie Mac | ||
| IFB Ser. 3339, Class TI, IO, | ||
| 5.897s, 2037 | $1,821,765 | $193,508 |
| IFB Ser. 3284, Class CI, IO, | ||
| 5.877s, 2037 | 4,485,457 | 477,881 |
| IFB Ser. 3309, Class SG, IO, | ||
| 5.827s, 2037 | 1,879,065 | 195,611 |
| IFB Ser. 3530, Class CS, IO, | ||
| 5.807s, 2039 | 16,789,975 | 1,796,192 |
| IFB Ser. 2965, Class SA, IO, | ||
| 5.807s, 2032 | 1,025,651 | 105,160 |
| IFB Ser. 3397, Class SQ, IO, | ||
| 5.727s, 2037 | 2,509,073 | 250,631 |
| IFB Ser. 3424, Class UI, IO, | ||
| 5.517s, 2037 | 1,155,289 | 118,366 |
| FRB Ser. 3069, Class FO, | ||
| 0.643s, 2035 | 61,682 | 61,423 |
| FRB Ser. 3006, Class FA, | ||
| 0.643s, 2034 | 108,647 | 107,700 |
| FRB Ser. 3232, Class FG, | ||
| 0.543s, 2036 | 86,290 | 85,762 |
| Ser. 3331, Class GO, PO, | ||
| zero %, 2037 | 78,917 | 72,600 |
| Ser. 3292, Class DO, PO, | ||
| zero %, 2037 | 71,398 | 63,068 |
| Ser. 3226, Class YI, IO, | ||
| zero %, 2036 | 1,109,785 | 3,494 |
| Ser. 3142, PO, | ||
| zero %, 2036 | 27,059 | 26,401 |
| Ser. 3124, Class DO, PO, | ||
| zero %, 2036 | 59,944 | 55,512 |
| Ser. 3106, PO, | ||
| zero %, 2036 | 40,476 | 40,089 |
| Ser. 3084, Class ON, PO, | ||
| zero %, 2035 | 46,420 | 43,886 |
| Ser. 3078, PO, | ||
| zero %, 2035 | 443,714 | 401,943 |
| Ser. 2989, Class WO, PO, | ||
| zero %, 2035 | 35,833 | 33,510 |
| Ser. 2971, Class KO, PO, | ||
| zero %, 2035 | 97,972 | 89,744 |
| Ser. 2975, Class QO, PO, | ||
| zero %, 2035 | 11,720 | 10,710 |
| Ser. 2980, PO, | ||
| zero %, 2035 | 23,889 | 22,922 |
| Ser. 2981, Class CO, PO, | ||
| zero %, 2035 | 63,455 | 57,474 |
| Ser. 2951, Class JO, PO, | ||
| zero %, 2035 | 27,807 | 25,675 |
| Ser. 2985, Class CO, PO, | ||
| zero %, 2035 | 42,628 | 36,370 |
| Ser. 2858, Class MO, PO, | ||
| zero %, 2034 | 18,956 | 18,261 |
| Ser. 201, PO, | ||
| zero %, 2029 | 189,021 | 164,098 |
| FRB Ser. 3343, Class QF, | ||
| zero %, 2037 | 55,722 | 51,570 |
| FRB Ser. 3345, Class TY, | ||
| zero %, 2037 | 149,147 | 116,881 |
| FRB Ser. 3299, Class FD, | ||
| zero %, 2037 | 196,960 | 192,510 |
| FRB Ser. 3304, Class UF, | ||
| zero %, 2037 | 107,000 | 103,937 |
| FRB Ser. 3289, Class SF, | ||
| zero %, 2037 | 292,610 | 292,698 |
| FRB Ser. 3326, Class XF, | ||
| zero %, 2037 | 47,034 | 46,023 |
20
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Freddie Mac | ||
| FRB Ser. 3273, Class HF, | ||
| zero %, 2037 | $42,324 | $40,916 |
| FRB Ser. 3235, Class TP, | ||
| zero %, 2036 | 25,171 | 24,408 |
| FRB Ser. 3283, Class KF, | ||
| zero %, 2036 | 20,740 | 19,710 |
| FRB Ser. 3226, Class YW, | ||
| zero %, 2036 | 103,417 | 100,217 |
| FRB Ser. 3332, Class UA, | ||
| zero %, 2036 | 28,171 | 27,212 |
| FRB Ser. 3168, Class AT, | ||
| zero %, 2036 | 21,917 | 21,896 |
| FRB Ser. 3251, Class TC, | ||
| zero %, 2036 | 341,160 | 335,258 |
| FRB Ser. 3140, Class KF, | ||
| zero %, 2036 | 42,319 | 41,703 |
| FRB Ser. 3130, Class JF, | ||
| zero %, 2036 | 109,203 | 108,300 |
| FRB Ser. 3072, Class TJ, | ||
| zero %, 2035 | 56,292 | 47,829 |
| FRB Ser. 3047, Class BD, | ||
| zero %, 2035 | 88,184 | 82,455 |
| FRB Ser. 3052, Class TJ, | ||
| zero %, 2035 | 38,373 | 32,929 |
| FRB Ser. 3326, Class WF, | ||
| zero %, 2035 | 116,722 | 111,638 |
| FRB Ser. 3030, Class EF, | ||
| zero %, 2035 | 63,861 | 58,931 |
| FRB Ser. 3033, Class YF, | ||
| zero %, 2035 | 122,631 | 119,449 |
| FRB Ser. 3251, Class TP, | ||
| zero %, 2035 | 103,784 | 94,915 |
| FRB Ser. 3263, Class AE, | ||
| zero %, 2035 | 157,163 | 156,857 |
| FRB Ser. 3273, Class TJ, | ||
| zero %, 2035 | 76,804 | 73,412 |
| FRB Ser. 3412, Class UF, | ||
| zero %, 2035 | 221,845 | 208,194 |
| FRB Ser. 2980, Class TY, | ||
| zero %, 2035 | 18,963 | 18,469 |
| FRB Ser. 2958, Class TP, | ||
| zero %, 2035 | 38,117 | 36,057 |
| FRB Ser. 2963, Class TW, | ||
| zero %, 2035 | 82,418 | 78,588 |
| FRB Ser. 2958, Class FB, | ||
| zero %, 2035 | 54,492 | 51,253 |
| FRB Ser. 3137, Class TF, | ||
| zero %, 2034 | 18,513 | 18,334 |
| FRB Ser. 2947, Class GF, | ||
| zero %, 2034 | 80,062 | 76,585 |
| FRB Ser. 3006, Class TE, | ||
| zero %, 2034 | 24,894 | 24,702 |
|
| ||
| GE Capital Commercial | ||
| Mortgage Corp. 144A | ||
| FRB Ser. 00-1, Class F, 7.789s, 2033 | 170,000 | 148,362 |
| Ser. 00-1, Class G, 6.131s, 2033 | 596,000 | 166,178 |
|
| ||
| GMAC Commercial Mortgage | ||
| Securities, Inc. 144A Ser. 99-C3, | ||
| Class G, 6.974s, 2036 | 451,995 | 348,036 |
|
| ||
| Government National | ||
| Mortgage Association | ||
| IFB Ser. 07-41, Class SA, | ||
| 38.723s, 2037 | 87,021 | 124,689 |
| Ser. 07-17, Class CI, IO, | ||
| 7 1/2s, 2037 | 478,151 | 85,901 |
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Government National | ||
| Mortgage Association | ||
| IFB Ser. 08-47, Class S, IO, | ||
| 7.459s, 2038 | $1,761,547 | $225,476 |
| IFB Ser. 08-42, Class AI, IO, | ||
| 7.449s, 2038 | 6,829,858 | 1,070,922 |
| IFB Ser. 05-68, Class PU, IO, | ||
| 7.054s, 2032 | 801,812 | 111,309 |
| IFB Ser. 04-59, Class SC, IO, | ||
| 6.959s, 2034 | 585,848 | 83,910 |
| IFB Ser. 04-26, Class IS, IO, | ||
| 6.959s, 2034 | 505,189 | 42,006 |
| IFB Ser. 05-68, Class SN, IO, | ||
| 6.958s, 2034 | 255,041 | 28,218 |
| IFB Ser. 04-27, Class S, IO, | ||
| 6.954s, 2032 | 412,039 | 31,624 |
| IFB Ser. 07-47, Class SA, IO, | ||
| 6.859s, 2036 | 1,011,010 | 125,922 |
| IFB Ser. 04-47, Class SY, IO, | ||
| 6.819s, 2034 | 136,792 | 16,273 |
| IFB Ser. 04-96, Class KS, IO, | ||
| 6.754s, 2034 | 117,850 | 16,499 |
| IFB Ser. 06-16, Class GS, IO, | ||
| 6.744s, 2036 | 87,542 | 9,806 |
| IFB Ser. 04-5, Class PS, IO, | ||
| 6.704s, 2033 | 1,293,000 | 208,690 |
| IFB Ser. 07-35, Class NY, IO, | ||
| 6.659s, 2035 | 1,712,117 | 175,766 |
| IFB Ser. 04-70, Class SP, IO, | ||
| 6.654s, 2034 | 82,755 | 10,965 |
| IFB Ser. 04-70, Class SH, IO, | ||
| 6.604s, 2034 | 2,804,561 | 385,206 |
| IFB Ser. 07-18, Class S, IO, | ||
| 6.559s, 2037 | 8,178,328 | 1,234,110 |
| IFB Ser. 07-22, Class S, IO, | ||
| 6.554s, 2037 | 960,607 | 110,777 |
| IFB Ser. 07-11, Class SA, IO, | ||
| 6.554s, 2037 | 478,971 | 47,490 |
| IFB Ser. 07-14, Class SB, IO, | ||
| 6.554s, 2037 | 1,098,306 | 109,907 |
| IFB Ser. 07-8, Class SH, IO, | ||
| 6.554s, 2037 | 619,871 | 79,653 |
| IFB Ser. 05-84, Class AS, IO, | ||
| 6.554s, 2035 | 2,455,711 | 291,040 |
| IFB Ser. 05-18, Class S, IO, | ||
| 6.554s, 2035 | 150,624 | 19,804 |
| IFB Ser. 05-77, Class CS, IO, | ||
| 6.554s, 2032 | 124,745 | 11,208 |
| IFB Ser. 04-106, Class SI, IO, | ||
| 6.509s, 2034 | 109,644 | 16,875 |
| IFB Ser. 07-51, Class SJ, IO, | ||
| 6.504s, 2037 | 1,014,931 | 104,416 |
| IFB Ser. 04-104, Class IS, IO, | ||
| 6.504s, 2034 | 136,795 | 15,958 |
| IFB Ser. 04-86, Class SW, IO, | ||
| 6.504s, 2034 | 374,112 | 41,018 |
| IFB Ser. 07-53, Class SY, IO, | ||
| 6.489s, 2037 | 1,787,735 | 184,369 |
| IFB Ser. 07-58, Class PS, IO, | ||
| 6.454s, 2037 | 882,806 | 80,206 |
| IFB Ser. 07-41, Class SM, IO, | ||
| 6.454s, 2037 | 300,307 | 35,466 |
| IFB Ser. 07-41, Class SN, IO, | ||
| 6.454s, 2037 | 305,994 | 36,138 |
| IFB Ser. 04-88, Class S, IO, | ||
| 6.454s, 2032 | 1,265,810 | 79,566 |
| IFB Ser. 07-37, Class SU, IO, | ||
| 6.449s, 2037 | 184,924 | 24,072 |
21
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Government National | ||
| Mortgage Association | ||
| IFB Ser. 07-37, Class YS, IO, | ||
| 6.429s, 2037 | $175,345 | $20,180 |
| IFB Ser. 07-59, Class PS, IO, | ||
| 6.424s, 2037 | 767,925 | 62,771 |
| IFB Ser. 07-59, Class SP, IO, | ||
| 6.424s, 2037 | 171,713 | 14,300 |
| IFB Ser. 07-48, Class SB, IO, | ||
| 6.409s, 2037 | 509,285 | 42,194 |
| IFB Ser. 06-29, Class SN, IO, | ||
| 6.404s, 2036 | 83,548 | 8,378 |
| IFB Ser. 06-36, Class SN, IO, | ||
| 6.364s, 2036 | 540,070 | 50,113 |
| IFB Ser. 08-6, Class TI, IO, | ||
| 6.359s, 2032 | 231,023 | 16,393 |
| IFB Ser. 03-110, Class SP, IO, | ||
| 6.359s, 2030 | 311,478 | 27,737 |
| IFB Ser. 04-22, Class SE, IO, | ||
| 6.354s, 2034 | 1,199,330 | 117,534 |
| IFB Ser. 07-17, Class AI, IO, | ||
| 6.309s, 2037 | 3,630,978 | 513,856 |
| IFB Ser. 07-78, Class SA, IO, | ||
| 6.289s, 2037 | 5,152,904 | 534,469 |
| IFB Ser. 08-2, Class SM, IO, | ||
| 6.259s, 2038 | 1,957,622 | 197,162 |
| IFB Ser. 07-9, Class AI, IO, | ||
| 6.259s, 2037 | 1,818,013 | 190,510 |
| IFB Ser. 06-26, Class S, IO, | ||
| 6.254s, 2036 | 4,113,528 | 421,505 |
| IFB Ser. 08-9, Class SK, IO, | ||
| 6.234s, 2038 | 2,278,891 | 225,656 |
| IFB Ser. 07-37, Class SM, IO, | ||
| 6.229s, 2037 | 1,092,490 | 118,083 |
| IFB Ser. 09-35, Class SP, IO, | ||
| 6.159s, 2037 | 2,661,681 | 307,983 |
| IFB Ser. 05-71, Class SA, IO, | ||
| 6.119s, 2035 | 2,978,436 | 349,433 |
| IFB Ser. 05-65, Class SI, IO, | ||
| 6.104s, 2035 | 1,112,089 | 116,158 |
| IFB Ser. 06-7, Class SB, IO, | ||
| 6.074s, 2036 | 240,402 | 22,325 |
| IFB Ser. 06-16, Class SX, IO, | ||
| 6.044s, 2036 | 1,388,816 | 135,548 |
| IFB Ser. 07-17, Class IB, IO, | ||
| 6.004s, 2037 | 693,579 | 92,260 |
| IFB Ser. 06-14, Class S, IO, | ||
| 6.004s, 2036 | 1,020,612 | 97,343 |
| IFB Ser. 05-57, Class PS, IO, | ||
| 6.004s, 2035 | 1,225,674 | 125,900 |
| IFB Ser. 06-11, Class ST, IO, | ||
| 5.994s, 2036 | 627,395 | 59,044 |
| IFB Ser. 07-25, Class KS, IO, | ||
| 5.959s, 2037 | 1,807,699 | 166,471 |
| IFB Ser. 07-21, Class S, IO, | ||
| 5.959s, 2037 | 60,988 | 5,607 |
| IFB Ser. 07-19, Class SJ, IO, | ||
| 5.954s, 2037 | 719,714 | 59,182 |
| IFB Ser. 07-7, Class EI, IO, | ||
| 5.954s, 2037 | 865,664 | 69,833 |
| IFB Ser. 07-7, Class JI, IO, | ||
| 5.954s, 2037 | 1,912,907 | 199,841 |
| IFB Ser. 07-1, Class S, IO, | ||
| 5.954s, 2037 | 970,964 | 78,454 |
| IFB Ser. 07-3, Class SA, IO, | ||
| 5.954s, 2037 | 921,105 | 74,775 |
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| Government National | ||
| Mortgage Association | ||
| IFB Ser. 07-17, Class SI, IO, | ||
| 5.947s, 2037 | $224,926 | $24,240 |
| IFB Ser. 07-31, Class AI, IO, | ||
| 5.939s, 2037 | 1,022,091 | 135,571 |
| IFB Ser. 05-17, Class S, IO, | ||
| 5.934s, 2035 | 779,222 | 87,429 |
| IFB Ser. 07-62, Class S, IO, | ||
| 5.909s, 2037 | 859,532 | 80,796 |
| IFB Ser. 07-43, Class SC, IO, | ||
| 5.859s, 2037 | 1,122,493 | 110,985 |
| IFB Ser. 06-16, Class SJ, IO, | ||
| 5.854s, 2036 | 207,912 | 18,731 |
| IFB Ser. 05-27, Class SP, IO, | ||
| 5.854s, 2035 | 217,117 | 22,975 |
| IFB Ser. 05-3, Class SN, IO, | ||
| 5.854s, 2035 | 3,556,939 | 377,854 |
| IFB Ser. 04-87, Class SD, IO, | ||
| 5.854s, 2034 | 190,648 | 21,253 |
| IFB Ser. 04-83, Class CS, IO, | ||
| 5.834s, 2034 | 324,605 | 35,200 |
| IFB Ser. 07-28, Class SB, IO, | ||
| 5.804s, 2037 | 133,047 | 14,059 |
| IFB Ser. 04-89, Class HS, IO, | ||
| 5.754s, 2034 | 962,423 | 100,968 |
| IFB Ser. 04-41, Class SG, IO, | ||
| 5.754s, 2034 | 1,732,155 | 93,282 |
| Ser. 06-36, Class OD, PO, | ||
| zero %, 2036 | 33,099 | 27,805 |
| FRB Ser. 07-49, Class CF, | ||
| zero %, 2037 | 10,509 | 10,477 |
| FRB Ser. 07-35, Class VF, | ||
| zero %, 2037 | 126,261 | 121,223 |
| FRB Ser. 07-16, Class WF, | ||
| zero %, 2037 | 303,894 | 300,350 |
| FRB Ser. 06-56, Class YF, | ||
| zero %, 2036 | 38,353 | 38,217 |
| FRB Ser. 98-2, Class EA, PO, | ||
| zero %, 2028 | 48,081 | 39,345 |
|
| ||
| Greenwich Capital Commercial | ||
| Funding Corp. | ||
| FRB Ser. 06-GG7, Class A2, | ||
| 6.032s, 2038 | 1,145,000 | 1,160,931 |
| Ser. 05-GG5, Class A2, 5.117s, 2037 | 1,727,000 | 1,722,780 |
|
| ||
| GS Mortgage Securities Corp. II FRB | ||
| Ser. 07-GG10, Class A3, 5.999s, 2045 | 334,000 | 322,563 |
|
| ||
| GS Mortgage Securities Corp. II 144A | ||
| Ser. 05-GG4, Class XC, IO, | ||
| 0.296s, 2039 | 78,736,412 | 1,289,756 |
|
| ||
| GSMPS Mortgage Loan Trust 144A | ||
| Ser. 06-RP2, Class 1AS1, IO, | ||
| 5.69s, 2036 | 6,759,145 | 692,812 |
|
| ||
| HASCO NIM Trust 144A Ser. 05-OP1A, | ||
| Class A, 6 1/4s, 2035 (In default) † | 84,852 | 1,527 |
|
| ||
| HSI Asset Loan Obligation FRB | ||
| Ser. 07-AR1, Class 2A1, 6.051s, 2037 | 3,090,193 | 1,823,214 |
|
| ||
| IMPAC Secured Assets Corp. FRB | ||
| Ser. 07-2, Class 1A1A, 0.356s, 2037 F | 1,739,211 | 878,301 |
|
| ||
| IndyMac Indx Mortgage Loan Trust | ||
| FRB Ser. 06-AR25, Class 5A1, | ||
| 5.957s, 2036 | 733,960 | 418,464 |
| FRB Ser. 07-AR15, Class 1A1, | ||
| 5.939s, 2037 | 917,460 | 513,778 |
| FRB Ser. 07-AR9, Class 2A1, | ||
| 5.89s, 2037 | 944,046 | 500,345 |
22
| MORTGAGE-BACKED | Principal | |
| SECURITIES (47.3%)* cont. | amount | Value |
|
| ||
| IndyMac Indx Mortgage Loan Trust | ||
| FRB Ser. 05-AR31, Class 3A1, | ||
| 5.512s, 2036 | $2,512,861 | $1,457,459 |
| FRB Ser. 07-AR11, Class 1A1, | ||
| 5.126s, 2037 | 1,165,491 | 617,710 |
|
| ||
| JPMorgan Alternative Loan Trust | ||
| FRB Ser. 06-A1, Class 5A1, | ||
| 5.93s, 2036 | 656,625 | 407,107 |
| FRB Ser. 06-A6, Class 1A1, | ||
| 0.406s, 2036 | 1,067,604 | 509,989 |
|
| ||
| JPMorgan Chase Commercial Mortgage | ||
| Securities Corp. | ||
| FRB Ser. 07-LD12, Class AM, | ||
| 6.26s, 2051 | 299,000 | 205,549 |
| FRB Ser. 07-LD12, Class A3, | ||
| 6.188s, 2051 | 2,365,000 | 2,207,383 |
| FRB Ser. 07-LD11, Class A3, | ||
| 6.006s, 2049 | 417,000 | 396,600 |
| Ser. 07-CB20, Class A3, 5.863s, 2051 | 834,000 | 797,895 |
| Ser. 07-LD12, Class A2, 5.827s, 2051 | 2,626,000 | 2,633,253 |
| Ser. 07-CB20, Class A4, 5.794s, 2051 | 1,386,000 | 1,201,608 |
| Ser. 06-CB17, Class A4, 5.429s, 2043 | 1,168,000 | 1,096,129 |
| Ser. 06-LDP9, Class A3, 5.336s, 2047 | 3,036,000 | 2,601,463 |
| Ser. 08-C2, Class X, IO, 0.643s, 2051 | 30,015,879 | 401,573 |
|
| ||
| JPMorgan Chase Commercial Mortgage | ||
| Securities Corp. 144A Ser. 07-CB20, | ||
| Class X1, IO, 0.112s, 2051 | 63,528,110 | 510,722 |
|
| ||
| LB Commercial Conduit Mortgage Trust | ||
| 144A Ser. 99-C1, Class G, 6.41s, 2031 | 253,101 | 141,214 |
|
| ||
| LB-UBS Commercial Mortgage Trust | ||
| Ser. 07-C2, Class A3, 5.43s, 2040 | 3,587,000 | 2,910,729 |
| Ser. 07-C1, Class A4, 5.424s, 2040 | 4,697,000 | 3,939,038 |
| Ser. 07-C2, Class A2, 5.303s, 2040 | 2,057,000 | 2,050,775 |
|
| ||
| Mach One Commercial | ||
| Mortgage Trust 144A | ||
| Ser. 04-1A, Class J, 5.45s, 2040 | 594,000 | 47,520 |
| Ser. 04-1A, Class K, 5.45s, 2040 | 212,000 | 14,840 |
| Ser. 04-1A, Class L, 5.45s, 2040 | 96,000 | 5,760 |
|
| ||
| MASTR Alternative Loans Trust | ||
| Ser. 06-3, Class 1A1, 6 1/4s, 2036 | 513,007 | 346,921 |
|
| ||
| Merrill Lynch Capital Funding Corp. | ||
| Ser. 06-4, Class XC, IO, 0.148s, 2049 | 56,369,213 | 633,246 |
|
| ||
| Merrill Lynch Mortgage | ||
| Investors, Inc. Ser. 96-C2, | ||
| Class JS, IO, 2.261s, 2028 | 1,163,708 | 40,730 |
|
| ||
| Merrill Lynch Mortgage Trust FRB | ||
| Ser. 07-C1, Class A3, 6.022s, 2050 | 222,000 | 192,472 |
|
| ||
| Merrill Lynch/Countrywide | ||
| Commercial Mortgage Trust | ||
| FRB Ser. 07-8, Class A2, 6.119s, 2049 | 270,000 | 262,170 |
| Ser. 07-7, Class A2, 5.693s, 2050 | 802,000 | 797,518 |
| Ser. 06-3, Class A4, 5.414s, 2046 | 871,000 | 818,158 |
| Ser. 06-4, Class A2, 5.112s, 2049 | 1,062,000 | 1,055,917 |
|
| ||
| Mezz Cap Commercial Mortgage Trust | ||
| Ser. 07-C5, Class X, 4.85s, 2017 | 2,470,210 | 148,213 |
|
| ||
| Mezz Cap Commercial Mortgage Trust | ||
| 144A Ser. 04-C1, Class X, IO, | ||
| 8.006s, 2037 | 934,122 | 93,412 |
|
| ||
| Morgan Stanley Capital I | ||
| Ser. 98-CF1, Class E, 7.35s, 2032 | 1,252,000 | 763,037 |
| FRB Ser. 08-T29, Class A3, | ||
| 6.458s, 2043 | 712,000 | 693,018 |
| FRB Ser. 07-IQ15, Class A2, | ||
| 6.036s, 2049 | 1,632,000 | 1,641,049 |
| MORTGAGE-BACKED | Principal | ||
| SECURITIES (47.3%)* cont. | amount | Value | |
|
| |||
| Morgan Stanley Capital I | |||
| Ser. 07-HQ13, Class A2, | |||
| 5.649s, 2044 | $1,144,000 | $1,132,539 | |
| Ser. 07-IQ13, Class A3, | |||
| 5.331s, 2044 | 1,967,000 | 1,766,846 | |
|
| |||
| Morgan Stanley Capital I 144A FRB | |||
| Ser. 04-RR, Class F7, 6s, 2039 | 1,730,000 | 121,100 | |
|
| |||
| Morgan Stanley Mortgage Loan Trust | |||
| FRB Ser. 07-11AR, Class 2A1, | |||
| 6.343s, 2037 | 2,765,699 | 1,341,364 | |
| FRB Ser. 07-14AR, Class 6A1, | |||
| 6.233s, 2037 | 773,770 | 456,524 | |
| Ser. 06-6AR, Class 2A, 5.411s, 2036 | 2,456,175 | 1,498,267 | |
| Ser. 05-5AR, Class 2A1, 3.991s, 2035 | 1,002,030 | 581,177 | |
|
| |||
| Mortgage Capital Funding, Inc. | |||
| FRB Ser. 98-MC2, Class E, 7.183s, 2030 | 327,112 | 232,250 | |
| Ser. 97-MC2, Class X, IO, 1.988s, 2012 | 2,415 | 61 | |
|
| |||
| PNC Mortgage Acceptance Corp. 144A | |||
| Ser. 00-C1, Class J, 6 5/8s, 2010 | 123,000 | 76,260 | |
|
| |||
| Residential Asset Securitization | |||
| Trust Ser. 07-A5, Class 2A3, 6s, 2037 | 767,534 | 483,547 | |
|
| |||
| STRIPS 144A | |||
| Ser. 03-1A, Class M, 5s, 2018 | 162,000 | 89,100 | |
| Ser. 03-1A, Class N, 5s, 2018 | 193,000 | 98,430 | |
| Ser. 04-1A, Class M, 5s, 2018 | 174,000 | 85,260 | |
| Ser. 04-1A, Class N, 5s, 2018 | 167,000 | 68,470 | |
|
| |||
| Structured Adjustable Rate | |||
| Mortgage Loan Trust | |||
| FRB Ser. 07-10, Class 1A1, 6s, 2037 | 416,912 | 241,255 | |
| FRB Ser. 06-9, Class 1A1, 5.653s, 2036 | 866,971 | 459,146 | |
| FRB Ser. 06-12, Class 1A1, | |||
| 0.406s, 2037 | 4,168,413 | 2,292,627 | |
|
| |||
| Structured Asset Securities Corp. | |||
| IFB Ser. 07-4, Class 1A3, IO, | |||
| 6.004s, 2037 | 3,081,631 | 331,275 | |
| Ser. 07-4, Class 1A4, IO, 1s, 2037 | 3,362,995 | 100,150 | |
|
| |||
| Structured Asset Securities Corp. 144A | |||
| Ser. 06-RF1, IO, 5.778s, 2036 | 23,842,986 | 2,473,710 | |
| Ser. 07-RF1, Class 1A, IO, | |||
| 5.371s, 2037 | 4,219,628 | 406,139 | |
|
| |||
| Titan Europe PLC 144A | |||
| FRB Ser. 05-CT2A, Class E, 7.095s, | |||
| 2014 (United Kingdom) | GBP | 226,682 | 240,539 |
| FRB Ser. 05-CT1A, Class D, 7.095s, | |||
| 2014 (United Kingdom) | GBP | 444,023 | 230,964 |
| Ursus EPC 144A FRB Ser. 1-A, Class D, | |||
| 6.938s, 2012 (Ireland) F | GBP | 239,170 | 76,572 |
|
| |||
| Wachovia Bank | |||
| Commercial Mortgage Trust | |||
| FRB Ser. 07-C33, Class A3, 6.1s, 2051 | $2,350,000 | 2,262,583 | |
| Ser. 07-C31, Class A3, 5.483s, 2047 | 396,000 | 368,040 | |
| Ser. 07-C31, Class A2, 5.421s, 2047 | 2,269,000 | 2,222,731 | |
| Ser. 07-C30, Class A3, 5.246s, 2043 | 5,030,000 | 4,817,017 | |
| Ser. 07-C34, IO, 0.52s, 2046 | 16,889,324 | 243,624 | |
|
| |||
| Wachovia Bank Commercial Mortgage | |||
| Trust 144A FRB Ser. 05-WL5A, | |||
| Class L, 3.543s, 2018 | 477,000 | 143,100 | |
|
| |||
| Wells Fargo Alternative Loan Trust | |||
| FRB Ser. 07-PA6, Class A1, | |||
| 6.558s, 2037 | 5,971,355 | 3,391,555 | |
|
| |||
| Total mortgage-backed securities | |||
| (cost $161,144,518) | $181,195,990 | ||
23
| CORPORATE BONDS | Principal | ||
| AND NOTES (22.6%)* | amount | Value | |
|
| |||
| Basic materials (1.6%) | |||
| Beverage Packaging Holdings | |||
| Luxembourg II SA company | |||
| guaranty sr. notes Ser. REGS, 8s, | |||
| 2016 (Luxembourg) | EUR | 154,000 | $227,773 |
|
| |||
| Builders FirstSource, Inc. company | |||
| guaranty sr. notes FRN 4.69s, 2012 | $270,000 | 233,550 | |
|
| |||
| Clondalkin Acquisition BV 144A | |||
| company guaranty sr. notes FRN | |||
| 2.299s, 2013 (Netherlands) | 215,000 | 175,225 | |
|
| |||
| Cognis GmbH sr. sec. notes FRN | |||
| Ser. REGS, 2.773s, 2013 | |||
| (Netherlands) | EUR | 156,000 | 199,130 |
|
| |||
| Dow Chemical Co. (The) sr. unsec. | |||
| notes 7.6s, 2014 | $131,000 | 144,919 | |
|
| |||
| Freeport-McMoRan Copper & Gold, Inc. | |||
| sr. unsec. notes 8 3/8s, 2017 | 1,046,000 | 1,111,375 | |
|
| |||
| Freeport-McMoRan Copper & Gold, Inc. | |||
| sr. unsec. notes 8 1/4s, 2015 | 44,000 | 46,750 | |
|
| |||
| Georgia-Pacific Corp. notes | |||
| 8 1/8s, 2011 | 55,000 | 57,063 | |
|
| |||
| Georgia-Pacific Corp. sr. unsec. | |||
| unsub. notes 9 1/2s, 2011 | 43,000 | 45,795 | |
|
| |||
| Grief, Inc. 144A sr. notes 7 3/4s, 2019 | 60,000 | 61,800 | |
|
| |||
| Hanson PLC, Ltd. company | |||
| guaranty sr. unsec. | |||
| unsub. notes 7 7/8s, 2010 | |||
| (United Kingdom) | 100,000 | 102,875 | |
|
| |||
| Hexion U.S. Finance Corp./Hexion Nova | |||
| Scotia Finance, ULC company | |||
| guaranty 9 3/4s, 2014 | 64,000 | 55,040 | |
|
| |||
| International Paper Co. sr. unsec. | |||
| notes 9 3/8s, 2019 | 100,000 | 116,500 | |
|
| |||
| Lecta S.A. company guaranty sr. sec. | |||
| notes FRN Ser. REGS, 3.498s, 2014 | |||
| (Luxembourg) | EUR | 190,000 | 224,445 |
|
| |||
| Mosaic Co. (The) 144A sr. unsec. | |||
| unsub. notes 7 5/8s, 2016 | $224,000 | 238,944 | |
|
| |||
| Nalco Co. 144A sr. notes 8 1/4s, 2017 | 28,000 | 29,400 | |
|
| |||
| NewPage Holding Corp. sr. unsec. | |||
| unsub. notes FRN 8.579s, 2013 ‡‡ | 87,171 | 16,127 | |
|
| |||
| Novelis, Inc. company | |||
| guaranty 7 1/4s, 2015 | 113,000 | 97,745 | |
|
| |||
| Novelis, Inc. 144A sr. unsec. | |||
| notes 11 1/2s, 2015 | 75,000 | 75,750 | |
|
| |||
| PE Paper Escrow GmbH | |||
| sr. notes Ser. REGS, 11 3/4s, | |||
| 2014 (Austria) | EUR | 60,000 | 93,098 |
|
| |||
| PE Paper Escrow GmbH 144A | |||
| sr. notes 12s, 2014 (Austria) | $100,000 | 108,000 | |
|
| |||
| Rhodia SA sr. unsec. FRN Ser. REGS, | |||
| 3.746s, 2013 (France) | EUR | 305,000 | 396,953 |
|
| |||
| Rockwood Specialties Group, Inc. | |||
| company guaranty 7 5/8s, 2014 | EUR | 50,000 | 73,220 |
|
| |||
| SGL Carbon SE company | |||
| guaranty sr. sub. notes FRN | |||
| Ser. EMTN, 2.123s, 2015 (Germany) | EUR | 152,000 | 195,878 |
|
| |||
| Smurfit Kappa Funding PLC sr. unsec. | |||
| sub. notes 7 3/4s, 2015 (Ireland) | $280,000 | 246,400 | |
|
| |||
| Smurfit-Stone Container Corp. | |||
| sr. unsec. unsub. notes 8 3/8s, | |||
| 2012 (In default) † | 240,000 | 171,300 | |
|
| |||
| CORPORATE BONDS | Principal | ||
| AND NOTES (22.6%)* cont.. | amount | Value | |
|
| |||
| Basic materials cont. | |||
| Steel Dynamics, Inc. company | |||
| guaranty sr. unsec. | |||
| unsub. notes 6 3/4s, 2015 | $95,000 | $90,963 | |
|
| |||
| Steel Dynamics, Inc. 144A | |||
| sr. notes 7 3/4s, 2016 | 269,000 | 270,345 | |
|
| |||
| Teck Resources, Ltd. | |||
| sr. notes 10 3/4s, 2019 (Canada) | 168,000 | 195,300 | |
|
| |||
| Teck Resources, Ltd. | |||
| sr. notes 10 1/4s, 2016 (Canada) | 291,000 | 328,830 | |
|
| |||
| Teck Resources, Ltd. | |||
| sr. notes 9 3/4s, 2014 (Canada) | 358,000 | 393,800 | |
|
| |||
| Verso Paper Holdings, LLC/Verso | |||
| Paper, Inc. company | |||
| guaranty sr. sub. notes Ser. B, | |||
| 9 1/8s, 2014 | 118,000 | 87,320 | |
|
| |||
| Verso Paper Holdings, LLC/Verso | |||
| Paper, Inc. 144A sr. sec. | |||
| notes 11 1/2s, 2014 | 194,000 | 198,850 | |
|
| |||
| Weyerhaeuser Co. sr. unsec. | |||
| notes 7 3/8s, 2019 | 105,000 | 104,385 | |
|
| |||
| 6,214,848 | |||
| Capital goods (1.1%) | |||
| Alliant Techsystems, Inc. | |||
| sr. sub. notes 6 3/4s, 2016 | 104,000 | 100,360 | |
|
| |||
| Ardagh Glass Finance B.V. company | |||
| guaranty sr. notes Ser. REGS, | |||
| 8 7/8s, 2013 (Netherlands) | EUR | 121,000 | 181,622 |
|
| |||
| Ball Corp. company | |||
| guaranty sr. unsec. notes | |||
| 7 3/8s, 2019 | $26,000 | 26,390 | |
|
| |||
| Ball Corp. company | |||
| guaranty sr. unsec. notes | |||
| 7 1/8s, 2016 | 39,000 | 39,780 | |
|
| |||
| BBC Holding Corp. sr. notes | |||
| 8 7/8s, 2014 | 350,000 | 333,375 | |
|
| |||
| Belden CDT, Inc. 144A company | |||
| guaranty sr. sub. notes 9 1/4s, 2019 | 86,000 | 89,440 | |
|
| |||
| Berry Plastics Holding Corp. company | |||
| guaranty sr. unsec. | |||
| sub. notes 10 1/4s, 2016 | 65,000 | 55,250 | |
|
| |||
| Bombardier, Inc. 144A sr. unsec. | |||
| notes FRN 3.998s, 2013 (Canada) | EUR | 100,000 | 138,849 |
|
| |||
| Crown Americas, LLC/Crown Americas | |||
| Capital Corp. sr. notes 7 5/8s, 2013 | $516,000 | 521,160 | |
|
| |||
| General Cable Corp. company | |||
| guaranty sr. unsec. notes FRN | |||
| 2.972s, 2015 | 87,000 | 76,343 | |
|
| |||
| Graham Packaging Co., Inc. company | |||
| guaranty sr. unsec. notes | |||
| 8 1/2s, 2012 | 86,000 | 86,860 | |
|
| |||
| Impress Holdings BV company | |||
| guaranty sr. sec. bond FRB | |||
| Ser. REGS, 4.121s, 2013 | |||
| (Netherlands) | EUR | 136,000 | 187,209 |
|
| |||
| L-3 Communications Corp. company | |||
| guaranty sr. unsec. | |||
| sub. notes 6 1/8s, 2014 | $607,000 | 611,553 | |
|
| |||
| L-3 Communications Corp. company | |||
| guaranty sr. unsec. | |||
| sub. notes 5 7/8s, 2015 | 574,000 | 571,130 | |
|
| |||
| RBS Global, Inc. / Rexnord Corp. | |||
| company guaranty 9 1/2s, 2014 | 317,000 | 307,490 | |
|
| |||
24
| CORPORATE BONDS | Principal | ||
| AND NOTES (22.6%)* cont. | amount | Value | |
|
| |||
| Capital goods cont. | |||
| Ryerson Tull, Inc. company | |||
| guaranty sr. sec. notes | |||
| 12 1/4s, 2015 | $409,000 | $388,550 | |
|
| |||
| Spirit Aerosystems Inc. 144A company | |||
| guaranty sr. notes 7 1/2s, 2017 | 55,000 | 54,725 | |
|
| |||
| TD Funding Corp. company | |||
| guaranty 7 3/4s, 2014 | 310,000 | 307,675 | |
|
| |||
| TD Funding Corp. 144A | |||
| sr. sub. notes 7 3/4s, 2014 D | 70,000 | 67,988 | |
|
| |||
| Titan International, Inc. company | |||
| guaranty 8s, 2012 | 116,000 | 112,230 | |
|
| |||
| 4,257,979 | |||
| Communication services (2.8%) | |||
| American Tower Corp. sr. unsec. | |||
| notes 7s, 2017 | 280,000 | 287,000 | |
|
| |||
| Cablecom SCA sr. notes Ser. REGS, 8s, | |||
| 2016 (Netherlands) | EUR | 77,000 | 107,121 |
|
| |||
| CCH I Holdings, LLC company | |||
| guaranty sr. unsec. | |||
| unsub. notes 12 1/8s, | |||
| 2015 (In default) † | $8,000 | 80 | |
|
| |||
| CCH II, LLC sr. unsec. notes 10 1/4s, | |||
| 2010 (In default) † | 59,000 | 66,375 | |
|
| |||
| CCH II, LLC sr. unsec. notes Ser. B, | |||
| 10 1/4s, 2010 (In default) † | 560,000 | 627,200 | |
|
| |||
| Centennial Cellular | |||
| Operating Co., LLC company | |||
| guaranty 10 1/8s, 2013 | 175,000 | 180,250 | |
|
| |||
| Centennial Communications Corp. | |||
| sr. unsec. notes FRN 6.346s, 2013 | 45,000 | 43,875 | |
|
| |||
| Cincinnati Bell, Inc. company | |||
| guaranty 7s, 2015 | 578,000 | 560,660 | |
|
| |||
| Cricket Communications, Inc. company | |||
| guaranty 9 3/8s, 2014 | 435,000 | 441,525 | |
|
| |||
| Cricket Communications, Inc. company | |||
| guaranty sr. unsec. | |||
| unsub. notes 10s, 2015 ### | 354,000 | 363,735 | |
|
| |||
| CSC Holdings, Inc. sr. notes | |||
| 6 3/4s, 2012 | 633,000 | 651,990 | |
|
| |||
| Digicel Group, Ltd. 144A sr. unsec. | |||
| notes 8 7/8s, 2015 (Jamaica) | 245,000 | 227,850 | |
|
| |||
| Frontier Communications Corp. | |||
| sr. unsec. notes 8 1/8s, 2018 | 343,000 | 347,288 | |
|
| |||
| Global Crossing UK Finance PLC | |||
| company guaranty 11 3/4s, 2014 | |||
| (United Kingdom) | GBP | 152,000 | 240,843 |
|
| |||
| Global Crossing, Ltd. 144A sr. sec. | |||
| notes 12s, 2015 (United Kingdom) | $25,000 | 26,250 | |
|
| |||
| iesy Hessen GmbH & Co. company | |||
| guaranty FRN Ser. REGS, 3.778s, | |||
| 2013 (Germany) | EUR | 270,000 | 378,256 |
|
| |||
| Inmarsat Finance PLC company | |||
| guaranty 10 3/8s, 2012 | |||
| (United Kingdom) | $768,000 | 794,880 | |
|
| |||
| Intelsat Subsidiary Holding Co., Ltd. | |||
| company guaranty sr. unsec. | |||
| notes Ser. *, 8 7/8s, 2015 (Bermuda) | 128,000 | 130,240 | |
|
| |||
| iPCS, Inc. company | |||
| guaranty sr. notes FRN 2.608s, 2013 | 140,000 | 118,300 | |
|
| |||
| Level 3 Financing, Inc. company | |||
| guaranty 9 1/4s, 2014 | 340,000 | 299,625 | |
|
| |||
| CORPORATE BONDS | Principal | ||
| AND NOTES (22.6%)* cont. | amount | Value | |
|
| |||
| Communication services cont. | |||
| MetroPCS Wireless, Inc. company | |||
| guaranty sr. unsec. notes | |||
| 9 1/4s, 2014 | $90,000 | $92,025 | |
|
| |||
| NII Capital Corp. 144A company | |||
| guaranty sr. notes 10s, 2016 | 70,000 | 72,800 | |
|
| |||
| Nordic Telephone Co. Holdings ApS | |||
| sec. notes Ser. REGS, 8 1/4s, 2016 | |||
| (Denmark) | EUR | 214,000 | 330,618 |
|
| |||
| PAETEC Holding Corp. company | |||
| guaranty sr. unsec. | |||
| unsub. notes 9 1/2s, 2015 | $150,000 | 136,125 | |
|
| |||
| Qwest Communications | |||
| International, Inc. company | |||
| guaranty 7 1/2s, 2014 | 353,000 | 348,588 | |
|
| |||
| Qwest Corp. sr. unsec. notes | |||
| 7 1/2s, 2014 | 75,000 | 75,750 | |
|
| |||
| Qwest Corp. sr. unsec. | |||
| unsub. notes 8 7/8s, 2012 | 1,501,000 | 1,579,803 | |
|
| |||
| Rainbow National Services, LLC 144A | |||
| sr. notes 8 3/4s, 2012 | 383,000 | 390,660 | |
|
| |||
| SBA Telecommunications, Inc. 144A | |||
| company guaranty sr. notes | |||
| 8 1/4s, 2019 | 105,000 | 108,150 | |
|
| |||
| SBA Telecommunications, Inc. 144A | |||
| company guaranty sr. notes 8s, 2016 | 180,000 | 184,050 | |
|
| |||
| Sprint Nextel Corp. sr. notes | |||
| 8 3/8s, 2017 | 1,100,000 | 1,094,500 | |
|
| |||
| UPC Holdings BV sr. notes Ser. REGS, | |||
| 8 5/8s, 2014 (Netherlands) | EUR | 57,000 | 84,306 |
|
| |||
| West Corp. company guaranty | |||
| 9 1/2s, 2014 | $189,000 | 185,220 | |
|
| |||
| Wind Acquisition Finance SA | |||
| sr. notes Ser. REGS, 11 3/4s, 2017 | |||
| (Netherlands) | EUR | 195,000 | 318,397 |
|
| |||
| 10,894,335 | |||
| Consumer cyclicals (4.7%) | |||
| Affinia Group, Inc. 144A | |||
| sr. notes 10 3/4s, 2016 | 25,000 | 26,875 | |
|
| |||
| Affinion Group, Inc. company | |||
| guaranty 11 1/2s, 2015 | 250,000 | 256,875 | |
|
| |||
| Affinion Group, Inc. company | |||
| guaranty 10 1/8s, 2013 | 285,000 | 292,838 | |
|
| |||
| Affinity Group, Inc. | |||
| sr. sub. notes 9s, 2012 | 482,000 | 336,195 | |
|
| |||
| Allison Transmission, Inc. 144A | |||
| company guaranty sr. unsec. | |||
| notes 11 1/4s, 2015 ‡‡ | 212,000 | 197,160 | |
|
| |||
| AMC Entertainment, Inc. company | |||
| guaranty 11s, 2016 | 251,000 | 267,315 | |
|
| |||
| AMC Entertainment, Inc. | |||
| sr. sub. notes 8s, 2014 | 205,000 | 197,825 | |
|
| |||
| American Casino & Entertainment | |||
| Properties LLC 144A sr. notes | |||
| 11s, 2014 | 190,000 | 169,100 | |
|
| |||
| Bon-Ton Stores, Inc. (The) company | |||
| guaranty 10 1/4s, 2014 | 160,000 | 116,800 | |
|
| |||
| Boyd Gaming Corp. | |||
| sr. sub. notes 6 3/4s, 2014 | 134,000 | 119,930 | |
|
| |||
| Building Materials Corp. company | |||
| guaranty notes 7 3/4s, 2014 | 265,000 | 255,063 | |
|
| |||
25
| CORPORATE BONDS | Principal | ||
| AND NOTES (22.6%)* cont.. | amount | Value | |
|
| |||
| Consumer cyclicals cont. | |||
| CanWest Media, Inc. company | |||
| guaranty 8s, 2012 | |||
| (Canada) (In default) † | $337,021 | $264,561 | |
|
| |||
| Cenveo Corp. 144A company | |||
| guaranty sr. unsec. notes | |||
| 10 1/2s, 2016 | 235,000 | 220,900 | |
|
| |||
| Cirsa Capital Luxembourg SA company | |||
| guaranty Ser. REGS, 7 7/8s, 2012 | |||
| (Luxembourg) | EUR | 77,000 | 108,812 |
|
| |||
| Clear Channel Communications, Inc. | |||
| company guaranty unsec. | |||
| unsub. notes 10 3/4s, 2016 | $200,000 | 109,000 | |
|
| |||
| Clear Channel Communications, Inc. | |||
| sr. unsec. notes 7.65s, 2010 | 185,000 | 155,400 | |
|
| |||
| Codere Finance Luxembourg SA sr. sec. | |||
| notes Ser. REGS, 8 1/4s, 2015 | |||
| (Luxembourg) | EUR | 227,000 | 299,177 |
|
| |||
| D.R. Horton, Inc. sr. notes | |||
| 7 7/8s, 2011 | $765,000 | 803,250 | |
|
| |||
| DIRECTV Holdings, LLC company | |||
| guaranty sr. unsec. notes | |||
| 7 5/8s, 2016 | 117,000 | 125,190 | |
|
| |||
| DIRECTV Holdings, LLC company | |||
| guaranty sr. unsec. notes | |||
| 6 3/8s, 2015 | 938,000 | 949,725 | |
|
| |||
| Echostar DBS Corp. company | |||
| guaranty 6 5/8s, 2014 | 1,369,000 | 1,331,353 | |
|
| |||
| Europcar Groupe SA company | |||
| guaranty sr. sub. bond FRB | |||
| Ser. REGS, 4.373s, 2013 (France) | EUR | 127,000 | 163,661 |
|
| |||
| Fiat Finance Lux, Ltd. SA company | |||
| guaranty Ser. EMTN, 7 5/8s, 2014 | |||
| (Italy) | EUR | 228,000 | 344,621 |
|
| |||
| Ford Motor Credit Co., LLC | |||
| sr. notes 9 7/8s, 2011 | $661,000 | 675,873 | |
|
| |||
| Ford Motor Credit Co., LLC sr. unsec. | |||
| notes 9 3/4s, 2010 | 889,000 | 913,448 | |
|
| |||
| Goodyear Tire & Rubber Co. (The) | |||
| sr. unsec. notes 10 1/2s, 2016 | 416,000 | 451,360 | |
|
| |||
| Grupo Televisa SA sr. unsec. | |||
| notes 6s, 2018 (Mexico) | 460,000 | 462,143 | |
|
| |||
| Hanesbrands, Inc. company | |||
| guaranty sr. unsec. notes FRN | |||
| Ser. B, 4.593s, 2014 | 60,000 | 52,650 | |
|
| |||
| Harrah’s Operating Co., Inc. 144A | |||
| sr. sec. notes 11 1/4s, 2017 | 185,000 | 186,850 | |
|
| |||
| Host Marriott LP sr. notes Ser. M, | |||
| 7s, 2012 R | 725,000 | 731,344 | |
|
| |||
| Interpublic Group of Companies, Inc. | |||
| (The) 144A sr. unsec. notes | |||
| 10s, 2017 | 170,000 | 183,600 | |
|
| |||
| ISS Holdings A/S | |||
| sr. sub. notes Ser. REGS, 8 7/8s, | |||
| 2016 (Denmark) | EUR | 296,000 | 390,116 |
|
| |||
| Jarden Corp. company guaranty | |||
| 7 1/2s, 2017 | $165,000 | 160,463 | |
|
| |||
| Lamar Media Corp. company | |||
| guaranty 7 1/4s, 2013 | 190,000 | 186,913 | |
|
| |||
| Lamar Media Corp. company | |||
| guaranty sr. notes 9 3/4s, 2014 | 100,000 | 108,250 | |
|
| |||
| CORPORATE BONDS | Principal | |
| AND NOTES (22.6%)* cont.. | amount | Value |
|
| ||
| Consumer cyclicals cont. | ||
| Lender Processing Services, Inc. | ||
| company guaranty sr. unsec. | ||
| unsub. notes 8 1/8s, 2016 | $795,000 | $826,800 |
|
| ||
| Levi Strauss & Co. sr. unsec. | ||
| notes 8 7/8s, 2016 | 70,000 | 70,875 |
|
| ||
| Levi Strauss & Co. sr. unsec. | ||
| unsub. notes 9 3/4s, 2015 | 651,000 | 677,040 |
|
| ||
| Liberty Media, LLC sr. notes | ||
| 5.7s, 2013 | 138,000 | 130,755 |
|
| ||
| Masco Corp. sr. unsec. | ||
| unsub. notes 6 1/8s, 2016 | 265,000 | 251,191 |
|
| ||
| Mashantucket Western Pequot Tribe | ||
| 144A bonds 8 1/2s, 2015 | 340,000 | 123,250 |
|
| ||
| Meritage Homes Corp. company | ||
| guaranty 6 1/4s, 2015 | 140,000 | 128,800 |
|
| ||
| Meritage Homes Corp. sr. notes | ||
| 7s, 2014 | 45,000 | 42,188 |
|
| ||
| MGM Mirage, Inc. company | ||
| guaranty 8 1/2s, 2010 | 49,000 | 48,633 |
|
| ||
| MGM Mirage, Inc. company | ||
| guaranty 6 3/4s, 2013 | 132,000 | 110,385 |
|
| ||
| Nielsen Finance LLC/Nielsen | ||
| Finance Co. company guaranty | ||
| 10s, 2014 | 251,000 | 252,255 |
|
| ||
| Nielsen Finance LLC/Nielsen | ||
| Finance Co. company | ||
| guaranty sr. unsec. sub. disc. | ||
| notes stepped-coupon zero % | ||
| (12 1/2s, 8/1/11), 2016 †† | 360,000 | 283,500 |
|
| ||
| Owens Corning, Inc. company | ||
| guaranty unsec. unsub. notes | ||
| 9s, 2019 | 493,000 | 532,440 |
|
| ||
| Penn National Gaming, Inc. 144A | ||
| sr. unsec. sub. notes 8 3/4s, 2019 | 50,000 | 50,125 |
|
| ||
| Pinnacle Entertainment, Inc. company | ||
| guaranty sr. unsec. | ||
| sub. notes 7 1/2s, 2015 | 320,000 | 283,200 |
|
| ||
| Pinnacle Entertainment, Inc. | ||
| sr. sub. notes 8 1/4s, 2012 | 337,000 | 337,000 |
|
| ||
| Pinnacle Entertainment, Inc. 144A | ||
| sr. notes 8 5/8s, 2017 | 55,000 | 55,275 |
|
| ||
| Sealy Mattress Co. | ||
| sr. sub. notes 8 1/4s, 2014 | 75,000 | 69,375 |
|
| ||
| Sirius XM Radio, Inc. 144A | ||
| sr. notes 9 3/4s, 2015 | 264,000 | 269,280 |
|
| ||
| Standard Pacific Corp. company | ||
| guaranty sr. unsec. unsub. notes | ||
| 7s, 2015 | 124,000 | 108,500 |
|
| ||
| Station Casinos, Inc. sr. notes 6s, | ||
| 2012 (In default) † | 318,000 | 93,810 |
|
| ||
| Tenneco Automotive, Inc. sec. | ||
| notes Ser. B, 10 1/4s, 2013 | 156,000 | 162,240 |
|
| ||
| THL Buildco, Inc. (Nortek Holdings, | ||
| Inc.) sr. sec. notes 10s, 2013 | 115,000 | 117,300 |
|
| ||
| THL Buildco, Inc. (Nortek | ||
| Holdings, Inc.) | ||
| sr. sub. notes 8 1/2s, | ||
| 2014 (In default) † | 255,000 | 175,950 |
|
| ||
| Travelport LLC company | ||
| guaranty 9 7/8s, 2014 | 166,000 | 160,605 |
|
| ||
26
| CORPORATE BONDS | Principal | ||
| AND NOTES (22.6%)* cont. | amount | Value | |
|
| |||
| Consumer cyclicals cont. | |||
| Trump Entertainment Resorts, Inc. | |||
| sec. notes 8 1/2s, | |||
| 2015 (In default) † | $220,000 | $26,400 | |
|
| |||
| TUI AG sr. unsec. notes 7 3/8s, 2011 | |||
| (Germany) | EUR | 34,000 | 47,051 |
|
| |||
| TVN Finance Corp. PLC notes 9 1/2s, | |||
| 2013 (United Kingdom) | EUR | 90,000 | 115,980 |
|
| |||
| Univision Communications, Inc. 144A | |||
| company guaranty unsec. notes | |||
| 9 3/4s, 2015 ‡‡ | $352,587 | 271,492 | |
|
| |||
| Vertis, Inc. company | |||
| guaranty sr. notes 13 1/2s, 2014 ‡‡ | 231,104 | 18,488 | |
|
| |||
| Visant Corp. Company guaranty | |||
| sr. unsec. sub. notes company | |||
| guaranty 7 5/8s, 2012 | 600,000 | 600,750 | |
|
| |||
| Yonkers Racing Corp. 144A | |||
| sr. notes 11 3/8s, 2016 | 75,000 | 78,000 | |
|
| |||
| Young Broadcasting, Inc. company | |||
| guaranty sr. sub. notes 8 3/4s, | |||
| 2014 (In default) † | 83,000 | 156 | |
|
| |||
| Young Broadcasting, Inc. company | |||
| guaranty sr. unsec. sub. notes 10s, | |||
| 2011 (In default) † | 239,000 | 299 | |
|
| |||
| 18,134,024 | |||
| Consumer staples (0.3%) | |||
| Archibald Candy Corp. company | |||
| guaranty 10s, 2009 (In default) F † | 88,274 | 1,363 | |
|
| |||
| Avis Budget Car Rental, LLC company | |||
| guaranty sr. unsec. | |||
| unsub. notes 7 3/4s, 2016 | 285,000 | 247,950 | |
|
| |||
| Constellation Brands, Inc. company | |||
| guaranty sr. unsec. notes | |||
| 7 1/4s, 2017 | 23,000 | 22,885 | |
|
| |||
| Constellation Brands, Inc. company | |||
| guaranty sr. unsec. | |||
| unsub. notes 7 1/4s, 2016 | 111,000 | 110,445 | |
|
| |||
| Great Atlantic & Pacific Tea Co. 144A | |||
| sr. notes 11 3/8s, 2015 | 100,000 | 101,250 | |
|
| |||
| Prestige Brands, Inc. | |||
| sr. sub. notes 9 1/4s, 2012 | 321,000 | 327,420 | |
|
| |||
| Rite Aid Corp. company | |||
| guaranty 9 1/2s, 2017 | 277,000 | 224,370 | |
|
| |||
| Rite Aid Corp. sec. notes 7 1/2s, 2017 | 315,000 | 277,200 | |
|
| |||
| 1,312,883 | |||
| Energy (4.3%) | |||
| Arch Western Finance, LLC company | |||
| guaranty sr. notes 6 3/4s, 2013 | 1,347,000 | 1,325,111 | |
|
| |||
| Chaparral Energy, Inc. company | |||
| guaranty sr. unsec. notes | |||
| 8 7/8s, 2017 | 320,000 | 257,600 | |
|
| |||
| Chesapeake Energy Corp. | |||
| sr. notes 7 1/2s, 2013 | 1,031,000 | 1,024,556 | |
|
| |||
| Complete Production Services, Inc. | |||
| company guaranty 8s, 2016 | 515,000 | 468,650 | |
|
| |||
| Comstock Resources, Inc. | |||
| sr. notes 6 7/8s, 2012 | 510,000 | 506,175 | |
|
| |||
| Connacher Oil and Gas, Ltd. 144A sec. | |||
| notes 10 1/4s, 2015 (Canada) | 210,000 | 171,150 | |
|
| |||
| Connacher Oil and Gas, Ltd. 144A | |||
| sr. sec. notes 11 3/4s, 2014 | |||
| (Canada) | 15,000 | 15,975 | |
|
| |||
| Denbury Resources, Inc. | |||
| sr. sub. notes 7 1/2s, 2015 | 345,000 | 342,413 | |
|
| |||
| CORPORATE BONDS | Principal | |
| AND NOTES (22.6%)* cont. | amount | Value |
|
| ||
| Energy cont. | ||
| Empresa Nacional del Petroleo 144A | ||
| sr. unsec. notes 6 1/4s, 2019 | ||
| (Chile) | $600,000 | $640,624 |
|
| ||
| Ferrellgas LP/Finance | ||
| sr. notes 6 3/4s, 2014 | 520,000 | 494,650 |
|
| ||
| Forest Oil Corp. sr. notes 8s, 2011 | 540,000 | 548,100 |
|
| ||
| Gaz Capital SA 144A company | ||
| guaranty sr. unsec. bond 8.146s, | ||
| 2018 (Russia) | 176,000 | 185,685 |
|
| ||
| Gaz Capital SA 144A sr. sec. bond | ||
| 9 1/4s, 2019 (Russia) | 935,000 | 1,042,908 |
|
| ||
| Harvest Operations Corp. | ||
| sr. notes 7 7/8s, 2011 | 584,000 | 563,560 |
|
| ||
| Helix Energy Solutions Group, Inc. | ||
| 144A sr. unsec. notes 9 1/2s, 2016 | 455,000 | 455,000 |
|
| ||
| Hornbeck Offshore Services, Inc. | ||
| sr. notes Ser. B, 6 1/8s, 2014 | 517,000 | 479,518 |
|
| ||
| Key Energy Services, Inc. company | ||
| guaranty sr. unsec. | ||
| unsub. notes 8 3/8s, 2014 | 180,000 | 171,000 |
|
| ||
| Newfield Exploration Co. sr. unsec. | ||
| sub. notes 6 5/8s, 2014 | 348,000 | 341,910 |
|
| ||
| Oslo Seismic Services, Inc. 1st mtge. | ||
| 8.28s, 2011 | 232,897 | 236,084 |
|
| ||
| Peabody Energy Corp. company | ||
| guaranty 7 3/8s, 2016 | 455,000 | 459,550 |
|
| ||
| Petrobras International Finance Co. | ||
| company guaranty sr. unsec. | ||
| notes 7 7/8s, 2019 (Brazil) | 865,000 | 994,750 |
|
| ||
| PetroHawk Energy Corp. company | ||
| guaranty 9 1/8s, 2013 | 169,000 | 173,648 |
|
| ||
| Petroleos de Venezuela SA company | ||
| guaranty sr. unsec. notes 5 1/4s, | ||
| 2017 (Venezuela) | 2,065,000 | 1,264,813 |
|
| ||
| Petroleos de Venezuela SA sr. unsec. | ||
| bonds zero %, 2011 (Venezuela) | 585,000 | 441,675 |
|
| ||
| Petroleum Co. of Trinidad & Tobago | ||
| Ltd. 144A sr. unsec. notes 9 3/4s, | ||
| 2019 (Trinidad) | 545,000 | 617,213 |
|
| ||
| Petroleum Development Corp. company | ||
| guaranty sr. unsec. notes 12s, 2018 | 240,000 | 236,400 |
|
| ||
| Plains Exploration & Production Co. | ||
| company guaranty 7 3/4s, 2015 | 70,000 | 69,475 |
|
| ||
| Plains Exploration & Production Co. | ||
| company guaranty 7s, 2017 | 80,000 | 76,200 |
|
| ||
| Plains Exploration & Production Co. | ||
| company guaranty sr. unsec. | ||
| notes 10s, 2016 | 270,000 | 290,925 |
|
| ||
| Power Sector Assets & Liabilites | ||
| Management Corp. 144A govt. | ||
| guaranty sr. unsec. notes 7 1/4s, | ||
| 2019 (Philippines) | 425,000 | 452,625 |
|
| ||
| Pride International, Inc. sr. unsec. | ||
| notes 7 3/8s, 2014 | 451,000 | 462,275 |
|
| ||
| Range Resources Corp. company | ||
| guaranty sr. unsec. | ||
| sub. notes 7 1/2s, 2017 | 232,000 | 230,840 |
|
| ||
| SandRidge Energy, Inc. 144A company | ||
| guaranty sr. unsec. unsub. notes | ||
| 8s, 2018 | 365,000 | 351,313 |
|
| ||
27
| CORPORATE BONDS | Principal | ||
| AND NOTES (22.6%)* cont. | amount | Value | |
|
| |||
| Energy cont. | |||
| Targa Resources, Inc. company | |||
| guaranty sr. unsec. notes | |||
| 8 1/2s, 2013 | $40,000 | $37,600 | |
|
| |||
| Williams Cos., Inc. (The) sr. unsec. | |||
| notes 8 1/8s, 2012 | 150,000 | 163,046 | |
|
| |||
| Williams Cos., Inc. (The) sr. unsec. | |||
| notes 7 5/8s, 2019 | 665,000 | 717,967 | |
|
| |||
| 16,310,984 | |||
| Financials (4.1%) | |||
| Banco Do Brasil 144A sr. unsec. | |||
| 5.113s, 2017 (Brazil) | BRL | 536,000 | 297,983 |
|
| |||
| Bosphorus Financial Services, Ltd. | |||
| 144A sr. notes FRN 2.24s, 2012 | $903,125 | 795,765 | |
|
| |||
| GMAC, LLC 144A company | |||
| guaranty sr. unsec. unsub. notes | |||
| 7s, 2012 | 25,000 | 23,250 | |
|
| |||
| GMAC, LLC 144A company | |||
| guaranty sr. unsec. | |||
| unsub. notes 6 7/8s, 2012 | 403,000 | 370,760 | |
|
| |||
| GMAC, LLC 144A company | |||
| guaranty sr. unsec. | |||
| unsub. notes 6 7/8s, 2011 | 53,000 | 50,085 | |
|
| |||
| GMAC, LLC 144A company | |||
| guaranty sr. unsec. | |||
| unsub. notes 6 5/8s, 2012 | 512,000 | 471,040 | |
|
| |||
| GMAC, LLC 144A company | |||
| guaranty sr. unsec. unsub. notes FRN | |||
| 2.561s, 2014 | 39,000 | 30,225 | |
|
| |||
| HUB International Holdings, Inc. 144A | |||
| sr. sub. notes 10 1/4s, 2015 | 95,000 | 88,469 | |
|
| |||
| HUB International Holdings, Inc. 144A | |||
| sr. unsec. unsub. notes 9s, 2014 | 65,000 | 62,725 | |
|
| |||
| JPMorgan Chase & Co. 144A sr. unsec. | |||
| notes FRN zero%, 2017 | 1,000,000 | 679,300 | |
|
| |||
| JPMorgan Chase & Co. 144A sr. unsec. | |||
| unsub. notes FRN 10.82s, 2011 | RUB | 22,000,000 | 693,768 |
|
| |||
| JPMorgan Chase & Co. 144A unsec. | |||
| unsub. notes 0.163s, 2012 | INR | 19,000,000 | 425,920 |
|
| |||
| Leucadia National Corp. sr. unsec. | |||
| notes 8 1/8s, 2015 | $100,000 | 102,000 | |
|
| |||
| Leucadia National Corp. sr. unsec. | |||
| notes 7 1/8s, 2017 | 252,000 | 241,920 | |
|
| |||
| Merrill Lynch & Co., Inc. notes FRN | |||
| Ser. MTN, 0.704s, 2011 | 365,000 | 355,231 | |
|
| |||
| RSHB Capital SA for OJSC Russian | |||
| Agricultural Bank sub. bonds FRB | |||
| 6.97s, 2016 (Russia) | 3,455,000 | 3,292,373 | |
|
| |||
| RSHB Capital SA for OJSC Russian | |||
| Agricultural Bank 144A notes 9s, | |||
| 2014 (Russia) | 1,425,000 | 1,561,515 | |
|
| |||
| Shinhan Bank 144A sr. unsec. bond 6s, | |||
| 2012 (South Korea) | 137,000 | 143,891 | |
|
| |||
| UBS Luxembourg SA for Sberbank | |||
| sub. bonds stepped-coupon 6.23s | |||
| (7.429s, 2/11/10), 2015 (Russia) †† | 1,290,000 | 1,289,162 | |
|
| |||
| USI Holdings Corp. 144A company | |||
| guaranty sr. unsec. notes FRN | |||
| 4.315s, 2014 | 60,000 | 49,875 | |
|
| |||
| VTB Capital SA 144A notes 7 1/2s, | |||
| 2011 (Russia) | 1,925,000 | 1,985,156 | |
|
| |||
| CORPORATE BONDS | Principal | |
| AND NOTES (22.6%)* cont.. | amount | Value |
|
| ||
| Financials cont. | ||
| VTB Capital SA 144A notes 6 7/8s, | ||
| 2018 (Russia) | $750,000 | $738,750 |
|
| ||
| VTB Capital SA 144A sec. | ||
| notes 6.609s, 2012 (Russia) | 2,025,000 | 2,013,255 |
|
| ||
| 15,762,418 | ||
| Health care (1.5%) | ||
| Community Health Systems, Inc. | ||
| company guaranty 8 7/8s, 2015 | 197,000 | 201,925 |
|
| ||
| DaVita, Inc. company guaranty | ||
| 6 5/8s, 2013 | 153,000 | 151,470 |
|
| ||
| Elan Finance PLC/Elan Finance Corp. | ||
| company guaranty 7 3/4s, 2011 | ||
| (Ireland) | 205,000 | 209,100 |
|
| ||
| HCA, Inc. company | ||
| guaranty sr. notes 9 5/8s, 2016 ‡‡ | 299,000 | 310,960 |
|
| ||
| HCA, Inc. sr. sec. notes 9 1/4s, 2016 | 346,000 | 357,678 |
|
| ||
| HCA, Inc. sr. sec. notes 9 1/8s, 2014 | 282,000 | 291,165 |
|
| ||
| Omnicare, Inc. company | ||
| guaranty 6 3/4s, 2013 | 195,000 | 188,663 |
|
| ||
| Omnicare, Inc. sr. sub. notes | ||
| 6 1/8s, 2013 | 545,000 | 524,563 |
|
| ||
| Select Medical Corp. company | ||
| guaranty 7 5/8s, 2015 | 547,000 | 512,129 |
|
| ||
| Stewart Enterprises, Inc. | ||
| sr. notes 6 1/4s, 2013 | 724,000 | 704,090 |
|
| ||
| Sun Healthcare Group, Inc. company | ||
| guaranty sr. unsec. | ||
| unsub. notes 9 1/8s, 2015 | 70,000 | 69,650 |
|
| ||
| Surgical Care Affiliates, Inc. 144A | ||
| sr. sub. notes 10s, 2017 | 310,000 | 248,000 |
|
| ||
| Surgical Care Affiliates, Inc. 144A | ||
| sr. unsec. notes 8 7/8s, 2015 ‡‡ | 115,293 | 91,658 |
|
| ||
| Tenet Healthcare Corp. 144A company | ||
| guaranty sr. sec. notes 10s, 2018 | 119,000 | 131,198 |
|
| ||
| Tenet Healthcare Corp. 144A company | ||
| guaranty sr. sec. notes 9s, 2015 | 471,000 | 492,195 |
|
| ||
| Vanguard Health Holding Co. II, LLC | ||
| sr. sub. notes 9s, 2014 | 491,000 | 500,820 |
|
| ||
| Ventas Realty LP/Capital Corp. | ||
| company guaranty 9s, 2012 R | 305,000 | 320,250 |
|
| ||
| Ventas Realty LP/Capital Corp. | ||
| company guaranty sr. unsec. | ||
| notes 7 1/8s, 2015 R | 50,000 | 49,625 |
|
| ||
| Ventas Realty LP/Capital Corp. | ||
| sr. notes 6 5/8s, 2014 R | 173,000 | 167,378 |
|
| ||
| 5,522,517 | ||
| Technology (0.9%) | ||
| Advanced Micro Devices, Inc. | ||
| sr. notes 7 3/4s, 2012 | 334,000 | 300,600 |
|
| ||
| Avago Technologies Finance company | ||
| guaranty sr. unsec. notes 10 1/8s, | ||
| 2013 (Singapore) | 80,000 | 84,200 |
|
| ||
| Ceridian Corp. sr. unsec. | ||
| notes 11 1/4s, 2015 | 305,000 | 273,356 |
|
| ||
| Compucom Systems, Inc. 144A | ||
| sr. sub. notes 12 1/2s, 2015 | 155,000 | 144,538 |
|
| ||
| First Data Corp. company guaranty | ||
| sr. unsec. notes 9 7/8s, 2015 | 103,000 | 95,146 |
|
| ||
| First Data Corp. company guaranty | ||
| sr. unsec. notes zero %, 2015 ‡‡ | 162,000 | 137,700 |
|
| ||
| First Data Corp. company guaranty | ||
| sr. unsec. sub. notes 11 1/4s, 2016 | 161,000 | 138,460 |
|
| ||
28
| CORPORATE BONDS | Principal | ||
| AND NOTES (22.6%)* cont. | amount | Value | |
|
| |||
| Technology cont. | |||
| Freescale Semiconductor, Inc. company | |||
| guaranty sr. unsec. notes 8 7/8s, 2014 | $609,000 | $465,885 | |
|
| |||
| Freescale Semiconductor, Inc. company | |||
| guaranty sr. unsec. | |||
| sub. notes 10 1/8s, 2016 | 14,000 | 9,310 | |
|
| |||
| Iron Mountain, Inc. company | |||
| guaranty sr. unsec. sub. notes | |||
| 8s, 2020 | 470,000 | 474,700 | |
|
| |||
| New ASAT Finance, Ltd. company | |||
| guaranty 9 1/4s, 2011 | |||
| (Cayman Islands) (In default) † | 13,000 | 16 | |
|
| |||
| Sanmina Corp. sr. unsec. | |||
| sub. notes 8 1/8s, 2016 | 136,000 | 127,160 | |
|
| |||
| SunGard Data Systems, Inc. company | |||
| guaranty 10 1/4s, 2015 | 310,000 | 316,200 | |
|
| |||
| SunGard Data Systems, Inc. company | |||
| guaranty 9 1/8s, 2013 | 620,000 | 626,200 | |
|
| |||
| Unisys Corp. 144A company guaranty | |||
| sr. sub. notes 14 1/4s, 2015 | 320,000 | 331,200 | |
|
| |||
| 3,524,671 | |||
| Transportation (0.2%) | |||
| British Airways PLC sr. unsec. | |||
| 8 3/4s, 2016 (United Kingdom) | GBP | 157,000 | 226,987 |
|
| |||
| Offshore Logistics, Inc. company | |||
| guaranty 6 1/8s, 2013 | $295,000 | 282,094 | |
|
| |||
| RailAmerica, Inc. 144A company | |||
| guaranty sr. notes 9 1/4s, 2017 | 170,000 | 178,075 | |
|
| |||
| 687,156 | |||
| Utilities and power (1.1%) | |||
| AES Corp. (The) sr. unsec. | |||
| unsub. notes 8s, 2017 | 130,000 | 130,813 | |
|
| |||
| AES Corp. (The) 144A sec. | |||
| notes 8 3/4s, 2013 | 380,000 | 387,125 | |
|
| |||
| Allegheny Energy Supply 144A | |||
| sr. unsec. bond 8 1/4s, 2012 | 146,000 | 160,831 | |
|
| |||
| CMS Energy Corp. sr. unsec. | |||
| unsub. notes 6.3s, 2012 | 45,000 | 45,839 | |
|
| |||
| Dynegy-Roseton Danskamme sec. | |||
| bonds 7.27s, 2010 | 137,786 | 137,442 | |
|
| |||
| Edison Mission Energy sr. unsec. | |||
| notes 7 3/4s, 2016 | 151,000 | 132,125 | |
|
| |||
| Edison Mission Energy sr. unsec. | |||
| notes 7 1/2s, 2013 | 69,000 | 64,688 | |
|
| |||
| Edison Mission Energy sr. unsec. | |||
| notes 7.2s, 2019 | 147,000 | 119,070 | |
|
| |||
| Edison Mission Energy sr. unsec. | |||
| notes 7s, 2017 | 23,000 | 19,205 | |
|
| |||
| El Paso Corp. sr. unsec. notes | |||
| 12s, 2013 | 516,000 | 589,530 | |
|
| |||
| Ipalco Enterprises, Inc. 144A | |||
| sr. sec. notes 7 1/4s, 2016 | 115,000 | 115,288 | |
|
| |||
| Majapahit Holding BV 144A company | |||
| guaranty sr. unsec. notes 8s, 2019 | |||
| (Indonesia) | 400,000 | 427,000 | |
|
| |||
| Mirant Americas Generation, Inc. | |||
| sr. unsec. notes 8.3s, 2011 | 100,000 | 101,500 | |
|
| |||
| NRG Energy, Inc. sr. notes | |||
| 7 3/8s, 2016 | 235,000 | 227,363 | |
|
| |||
| Orion Power Holdings, Inc. sr. unsec. | |||
| notes 12s, 2010 | 655,000 | 677,925 | |
|
| |||
| Sierra Pacific Resources sr. unsec. | |||
| notes 8 5/8s, 2014 | 257,000 | 264,389 | |
|
| |||
| CORPORATE BONDS | Principal | |
| AND NOTES (22.6%)* cont. | amount | Value |
|
| ||
| Utilities and power cont. | ||
| Teco Finance, Inc. company | ||
| guaranty sr. unsec. | ||
| unsub. notes Ser. *, 7.2s, 2011 | $185,000 | $193,380 |
|
| ||
| Teco Finance, Inc. company | ||
| guaranty sr. unsec. | ||
| unsub. notes Ser. *, 7s, 2012 | 280,000 | 299,126 |
|
| ||
| Utilicorp United, Inc. sr. unsec. | ||
| notes 7.95s, 2011 | 18,000 | 18,915 |
|
| ||
| 4,111,554 | ||
| Total corporate bonds and notes | ||
| (cost $87,052,854) | $86,733,369 | |
| Principal | ||
| ASSET-BACKED SECURITIES (11.9%)* | amount | Value |
|
| ||
| Accredited Mortgage Loan Trust | ||
| FRB Ser. 05-1, Class M2, 0.936s, 2035 | $74,142 | $29,658 |
| FRB Ser. 05-4, Class A2C, 0.456s, 2035 | 25,148 | 22,171 |
|
| ||
| Ace Securities Corp. | ||
| FRB Ser. 06-OP2, Class A2C, | ||
| 0.396s, 2036 | 107,000 | 28,712 |
| FRB Ser. 06-HE3, Class A2C, | ||
| 0.396s, 2036 | 115,000 | 33,133 |
|
| ||
| Ameriquest Mortgage Securities, Inc. | ||
| FRB Ser. 03-8, Class M2, 1.996s, 2033 | 199,684 | 42,219 |
|
| ||
| Arcap REIT, Inc. 144A | ||
| Ser. 03-1A, Class E, 7.11s, 2038 F | 383,000 | 68,940 |
| Ser. 04-1A, Class E, 6.42s, 2039 F | 361,000 | 64,980 |
|
| ||
| Argent Securities, Inc. | ||
| FRB Ser. 03-W3, Class M3, 2.516s, 2033 | 24,453 | 3,767 |
| FRB Ser. 06-W4, Class A2C, | ||
| 0.406s, 2036 | 204,000 | 62,568 |
|
| ||
| Asset Backed Funding Certificates | ||
| FRB Ser. 04-OPT2, Class M2, 1.246s, | ||
| 2033 | 154,064 | 101,798 |
| FRB Ser. 05-WMC1, Class M1, 0.686s, | ||
| 2035 | 31,000 | 18,600 |
|
| ||
| Asset Backed Securities Corp. Home | ||
| Equity Loan Trust | ||
| FRB Ser. 06-HE2, Class A3, | ||
| 0.436s, 2036 | 30,265 | 15,696 |
| FRB Ser. 06-HE4, Class A5, | ||
| 0.406s, 2036 | 112,818 | 70,619 |
|
| ||
| Aviation Capital Group Trust 144A FRB | ||
| Ser. 03-2A, Class G1, 0.946s, 2033 | 228,044 | 109,461 |
|
| ||
| Bear Stearns Asset | ||
| Backed Securities, Inc. | ||
| FRB Ser. 04-FR3, Class M6, | ||
| 5.121s, 2034 | 54,804 | 7,510 |
| FRB Ser. 05-HE1, Class M3, | ||
| 1.176s, 2035 | 223,000 | 43,953 |
|
| ||
| Bombardier Capital Mortgage | ||
| Securitization Corp. | ||
| Ser. 00-A, Class A4, 8.29s, 2030 | 474,538 | 270,487 |
| Ser. 00-A, Class A2, 7.575s, 2030 | 1,261,826 | 694,619 |
| Ser. 99-B, Class A4, 7.3s, 2016 | 621,037 | 321,239 |
| Ser. 99-B, Class A3, 7.18s, 2015 | 1,045,145 | 549,221 |
| FRB Ser. 00-A, Class A1, 0.403s, 2030 | 136,499 | 22,706 |
|
| ||
| Capital Auto Receivables Asset Trust | ||
| 144A Ser. 06-1, Class D, 7.16s, 2013 | 500,000 | 500,170 |
|
| ||
29
| Principal | |||
| ASSET-BACKED SECURITIES (11.9%)* cont. | amount | Value | |
|
| |||
| Citigroup Mortgage Loan Trust, Inc. | |||
| FRB Ser. 05-OPT1, Class M1, | |||
| 0.666s, 2035 | $47,073 | $26,412 | |
| FRB Ser. 07-OPX1, Class A1A, | |||
| 0.316s, 2037 | 847,703 | 508,622 | |
|
| |||
| Conseco Finance Securitizations Corp. | |||
| Ser. 00-2, Class A5, 8.85s, 2030 | 1,273,086 | 987,048 | |
| Ser. 00-4, Class A6, 8.31s, 2032 | 3,046,489 | 2,320,443 | |
| Ser. 00-5, Class A7, 8.2s, 2032 | 476,000 | 384,650 | |
| Ser. 00-1, Class A5, 8.06s, 2031 | 865,954 | 619,155 | |
| Ser. 00-4, Class A5, 7.97s, 2032 | 172,788 | 128,380 | |
| Ser. 00-5, Class A6, 7.96s, 2032 | 559,995 | 445,501 | |
| Ser. 02-1, Class M1F, 7.954s, 2033 | 44,000 | 31,771 | |
| Ser. 01-3, Class M2, 7.44s, 2033 | 31,182 | 1,343 | |
| Ser. 01-4, Class A4, 7.36s, 2033 | 172,708 | 158,649 | |
| Ser. 00-6, Class A5, 7.27s, 2031 | 418,391 | 377,481 | |
| Ser. 01-1, Class A5, 6.99s, 2032 | 3,823,937 | 3,396,444 | |
| Ser. 01-3, Class A4, 6.91s, 2033 | 2,502,766 | 2,229,955 | |
| Ser. 02-1, Class A, 6.681s, 2033 | 656,581 | 624,269 | |
| FRB Ser. 02-1, Class M1A, 2.311s, 2033 | 2,249,000 | 1,004,777 | |
| FRB Ser. 01-4, Class M1, 2.011s, 2033 | 295,000 | 110,367 | |
|
| |||
| Countrywide Asset Backed Certificates | |||
| FRB Ser. 05-BC3, Class M1, | |||
| 0.766s, 2035 | 47,000 | 32,910 | |
| FRB Ser. 05-14, Class 3A2, | |||
| 0.486s, 2036 | 20,560 | 17,028 | |
|
| |||
| Countrywide Asset-Backed Certificates | |||
| FRB Ser. 06-4, Class 2A2, 0.426s, 2036 | 1,051,164 | 732,241 | |
|
| |||
| Credit-Based Asset Servicing and | |||
| Securitization FRB Ser. 07-CB1, | |||
| Class AF1A, 0.316s, 2037 | 882,257 | 433,364 | |
|
| |||
| Crest, Ltd. 144A Ser. 03-2A, | |||
| Class E2, 8s, 2038 | 431,000 | 142,230 | |
|
| |||
| Equifirst Mortgage Loan Trust FRB | |||
| Ser. 05-1, Class M5, 0.916s, 2035 | 73,605 | 7,043 | |
|
| |||
| First Franklin Mortgage Loan Asset | |||
| Backed Certificates FRB Ser. 06-FF7, | |||
| Class 2A3, 0.396s, 2036 | 173,000 | 62,867 | |
|
| |||
| Fremont Home Loan Trust | |||
| FRB Ser. 05-E, Class 2A4, 0.576s, 2036 | 244,000 | 98,994 | |
| FRB Ser. 06-2, Class 2A3, 0.416s, 2036 | 353,000 | 144,061 | |
|
| |||
| Gears Auto Owner Trust 144A | |||
| Ser. 05-AA, Class E1, 8.22s, 2012 | 687,000 | 687,824 | |
|
| |||
| Granite Mortgages PLC | |||
| FRB Ser. 03-2, Class 3C, | |||
| 7.589s, 2043 F | GBP | 688,016 | 195,934 |
| FRB Ser. 03-2, Class 2C1, | |||
| 5.2s, 2043 F | EUR | 1,430,000 | 407,236 |
|
| |||
| Green Tree Financial Corp. | |||
| Ser. 94-6, Class B2, 9s, 2020 | $835,002 | 730,627 | |
| Ser. 94-4, Class B2, 8.6s, 2019 | 351,873 | 185,725 | |
| Ser. 93-1, Class B, 8.45s, 2018 | 287,050 | 249,463 | |
| Ser. 99-5, Class A5, 7.86s, 2030 | 3,645,658 | 3,023,450 | |
| Ser. 96-8, Class M1, 7.85s, 2027 | 387,000 | 313,795 | |
| Ser. 95-8, Class B1, 7.3s, 2026 | 362,579 | 256,597 | |
| Ser. 95-4, Class B1, 7.3s, 2025 | 371,800 | 299,629 | |
| Ser. 96-10, Class M1, 7.24s, 2028 | 41,000 | 35,260 | |
| Ser. 97-6, Class M1, 7.21s, 2029 | 1,087,000 | 745,666 | |
| Ser. 98-2, Class A6, 6.81s, 2027 | 343,815 | 322,153 | |
| Ser. 99-3, Class A7, 6.74s, 2031 | 608,421 | 498,906 | |
| FRN Ser. 98-4, Class A6, 6.53s, 2030 | 161,939 | 149,561 | |
| Ser. 99-2, Class A7, 6.44s, 2030 | 40,832 | 33,403 | |
| Ser. 99-1, Class A6, 6.37s, 2025 | 18,000 | 17,091 | |
| Ser. 98-4, Class A5, 6.18s, 2030 | 408,619 | 373,573 | |
| Ser. 99-1, Class A5, 6.11s, 2023 | 57,324 | 57,262 | |
|
| |||
| Principal | ||
| ASSET-BACKED SECURITIES (11.9%)* cont. | amount | Value |
|
| ||
| Greenpoint Manufactured Housing | ||
| Ser. 00-3, Class IA, 8.45s, 2031 | $1,522,615 | $1,096,283 |
| Ser. 99-5, Class M1A, 8.3s, 2026 | 157,000 | 124,532 |
| Ser. 99-5, Class A4, 7.59s, 2028 | 30,211 | 29,176 |
|
| ||
| GS Auto Loan Trust 144A Ser. 04-1, | ||
| Class D, 5s, 2011 F | 26,388 | 26,124 |
|
| ||
| GSAA Home Equity Trust FRB | ||
| Ser. 06-19, Class A1, 0.336s, 2036 | 2,608,478 | 1,343,366 |
|
| ||
| GSAMP Trust | ||
| FRB Ser. 06-HE5, Class A2C, | ||
| 0.396s, 2036 | 526,000 | 144,481 |
| FRB Ser. 07-HE2, Class A2A, | ||
| 0.366s, 2047 | 1,134,953 | 858,592 |
|
| ||
| Guggenheim Structured Real | ||
| Estate Funding, Ltd. 144A | ||
| FRB Ser. 05-2A, Class E, 2.246s, 2030 | 381,221 | 19,061 |
| FRB Ser. 05-1A, Class E, 2.046s, 2030 | 83,828 | 4,191 |
|
| ||
| Home Equity Asset Trust FRB | ||
| Ser. 06-1, Class 2A4, 0.576s, 2036 | 122,000 | 46,817 |
|
| ||
| JPMorgan Mortgage Acquisition Corp. | ||
| FRB Ser. 06-FRE1, Class A4, | ||
| 0.536s, 2035 | 103,000 | 52,181 |
|
| ||
| Lehman ABS Manufactured Housing | ||
| Contract Ser. 01-B, Class A4, | ||
| 5.27s, 2018 | 1,014,992 | 849,553 |
|
| ||
| Lehman XS Trust Ser. 07-6, Class 3A6, | ||
| 6 1/2s, 2037 | 1,038,099 | 627,389 |
|
| ||
| LNR CDO, Ltd. 144A FRB Ser. 02-1A, | ||
| Class FFL, 2.996s, 2037 | 1,260,000 | 189,000 |
|
| ||
| Local Insight Media Finance, LLC | ||
| Ser. 07-1W, Class A1, 5.53s, 2012 F | 1,671,674 | 802,403 |
|
| ||
| Long Beach Mortgage Loan Trust | ||
| FRB Ser. 05-2, Class M4, 0.866s, 2035 | 255,000 | 86,903 |
| FRB Ser. 06-4, Class 2A4, 0.506s, 2036 | 117,000 | 40,378 |
| FRB Ser. 06-1, Class 2A3, 0.436s, 2036 | 122,002 | 56,360 |
|
| ||
| Madison Avenue Manufactured Housing | ||
| Contract FRB Ser. 02-A, Class B1, | ||
| 3.496s, 2032 | 1,046,356 | 841,658 |
|
| ||
| MASTR Asset Backed Securities Trust | ||
| FRB Ser. 06-FRE2, Class A4, | ||
| 0.396s, 2036 | 61,000 | 26,607 |
|
| ||
| Mid-State Trust Ser. 11, Class B, | ||
| 8.221s, 2038 | 106,336 | 87,200 |
|
| ||
| Morgan Stanley ABS Capital I | ||
| FRB Ser. 04-HE8, Class B3, | ||
| 3.446s, 2034 | 68,909 | 5,856 |
| FRB Ser. 05-HE2, Class M5, | ||
| 0.926s, 2035 | 147,818 | 91,603 |
| FRB Ser. 05-HE1, Class M3, | ||
| 0.766s, 2034 | 160,000 | 114,508 |
| FRB Ser. 06-NC4, Class M2, | ||
| 0.546s, 2036 | 223,000 | 903 |
|
| ||
| Navistar Financial Corp. Owner Trust | ||
| Ser. 05-A, Class C, 4.84s, 2014 | 32,033 | 30,416 |
|
| ||
| New Century Home Equity Loan Trust | ||
| FRB Ser. 03-4, Class M3, 3.321s, 2033 | 12,217 | 5,342 |
|
| ||
| Novastar Home Equity Loan | ||
| FRB Ser. 06-1, Class A2C, 0.406s, 2036 | 146,000 | 79,731 |
| FRB Ser. 06-2, Class A2C, 0.396s, 2036 | 146,000 | 74,816 |
|
| ||
| Oakwood Mortgage Investors, Inc. | ||
| Ser. 96-C, Class B1, 7.96s, 2027 | 968,213 | 484,107 |
| Ser. 99-D, Class A1, 7.84s, 2029 | 804,575 | 695,448 |
| Ser. 00-A, Class A2, 7.765s, 2017 | 117,293 | 67,975 |
| Ser. 95-B, Class B1, 7.55s, 2021 | 281,592 | 156,985 |
30
| Principal | ||
| ASSET-BACKED SECURITIES (11.9%)* cont. | amount | Value |
|
| ||
| Oakwood Mortgage Investors, Inc. | ||
| Ser. 00-D, Class A4, 7.4s, 2030 | $1,022,000 | $693,990 |
| Ser. 02-B, Class A4, 7.09s, 2032 | 335,885 | 262,339 |
| Ser. 99-B, Class A4, 6.99s, 2026 | 824,686 | 674,346 |
| Ser. 00-D, Class A3, 6.99s, 2022 | 145,085 | 142,199 |
| Ser. 02-A, Class A4, 6.97s, 2032 | 48,964 | 33,540 |
| Ser. 01-D, Class A4, 6.93s, 2031 | 636,555 | 457,956 |
| Ser. 01-E, Class A4, 6.81s, 2031 | 841,572 | 563,853 |
| Ser. 99-B, Class A3, 6.45s, 2017 | 196,466 | 165,081 |
| Ser. 01-C, Class A2, 5.92s, 2017 | 861,479 | 363,565 |
| Ser. 02-C, Class A1, 5.41s, 2032 | 1,018,281 | 748,437 |
| Ser. 01-D, Class A2, 5.26s, 2019 | 127,239 | 83,778 |
| Ser. 01-E, Class A2, 5.05s, 2019 | 893,308 | 544,918 |
| Ser. 02-A, Class A2, 5.01s, 2020 | 215,184 | 112,102 |
|
| ||
| Oakwood Mortgage Investors, Inc. 144A | ||
| Ser. 01-B, Class A4, 7.21s, 2030 | 152,867 | 133,389 |
| FRB Ser. 01-B, Class A2, 0.618s, 2018 | 41,271 | 29,425 |
|
| ||
| Park Place Securities, Inc. FRB | ||
| Ser. 05-WCH1, Class M4, 1.076s, 2036 | 104,000 | 17,041 |
|
| ||
| People’s Financial Realty Mortgage | ||
| Securities Trust FRB Ser. 06-1, | ||
| Class 1A2, 0.376s, 2036 | 217,285 | 72,736 |
|
| ||
| Residential Asset Mortgage | ||
| Products, Inc. | ||
| FRB Ser. 06-NC3, Class A2, | ||
| 0.436s, 2036 | 116,334 | 66,200 |
| FRB Ser. 07-RZ1, Class A2, | ||
| 0.406s, 2037 | 176,000 | 94,822 |
|
| ||
| Residential Asset Securities Corp. | ||
| FRB Ser. 05-EMX1, Class M2, | ||
| 0.976s, 2035 | 326,293 | 241,964 |
| Ser. 01-KS3, Class AII, 0.706s, 2031 | 1,297,477 | 846,105 |
|
| ||
| Securitized Asset Backed | ||
| Receivables, LLC | ||
| FRB Ser. 05-HE1, Class M2, | ||
| 0.896s, 2035 | 160,000 | 798 |
| Securitized Asset Backed | ||
| Receivables, LLC | ||
| FRB Ser. 07-NC2, Class A2B, | ||
| 0.386s, 2037 | 165,000 | 55,961 |
| FRB Ser. 07-BR5, Class A2A, | ||
| 0.376s, 2037 | 389,077 | 258,736 |
| FRB Ser. 07-BR4, Class A2A, | ||
| 0.336s, 2037 | 346,014 | 214,529 |
| FRB Ser. 07-BR3, Class A2A, | ||
| 0.316s, 2037 | 2,518,194 | 1,687,190 |
|
| ||
| SG Mortgage Securities Trust FRB | ||
| Ser. 06-OPT2, Class A3D, PO, | ||
| 0.456s, 2036 | 246,000 | 86,265 |
|
| ||
| Soundview Home Equity | ||
| Loan Trust | ||
| FRB Ser. 06-OPT3, Class 2A3, | ||
| 0.416s, 2036 | 117,000 | 75,020 |
| FRB Ser. 06-3, Class A3, 0.406s, 2036 | 529,000 | 282,512 |
|
| ||
| South Coast Funding 144A FRB Ser. 3A, | ||
| Class A2, 1.664s, 2038 | 140,000 | 1,400 |
|
| ||
| Structured Asset Investment Loan | ||
| Trust FRB Ser. 06-BNC2, Class A6, | ||
| 0.506s, 2036 | 117,000 | 10,193 |
|
| ||
| TIAA Real Estate CDO, Ltd. | ||
| Ser. 03-1A, Class E, 8s, 2038 | 467,000 | 28,020 |
|
| ||
| TIAA Real Estate CDO, Ltd. 144A | ||
| Ser. 02-1A, Class IV, 6.84s, 2037 | 390,000 | 29,250 |
|
| ||
| WAMU Asset-Backed Certificates FRB | ||
| Ser. 07-HE2, Class 2A1, 0.356s, 2037 | 769,827 | 477,293 |
|
| ||
| Principal | |||
| ASSET-BACKED SECURITIES (11.9%)* cont. | amount | Value | |
|
| |||
| Whinstone Capital Management, Ltd. | |||
| 144A FRB Ser. 1A, Class B3, 1.404s, | |||
| 2044 (United Kingdom) | $256,909 | $30,829 | |
|
| |||
| Total asset-backed securities (cost $61,122,172) | $45,437,114 | ||
| Principal | |||
| U.S. TREASURY OBLIGATIONS (0.1%)* | amount | Value | |
|
| |||
| U.S. Treasury Bonds 8.125%, | |||
| August 15, 2019 i | $153,000 | $216,904 | |
|
| |||
| Total U.S. treasury obligations (cost $216,904) | $216,904 | ||
| U.S. GOVERNMENT AND AGENCY | Principal | ||
| MORTGAGE OBLIGATIONS (8.0%)* | amount | Value | |
|
| |||
| U.S. Government Guaranteed Mortgage Obligations (2.4%) | |||
| Government National Mortgage Association | |||
| Pass-Through Certificates | |||
| 6 1/2s, TBA, October 1, 2039 | $2,000,000 | $2,127,500 | |
| 4 1/2s, TBA, October 1, 2039 | 7,000,000 | 7,103,907 | |
| 9,231,407 | |||
|
| |||
| U.S. Government Agency Mortgage Obligations (5.6%) | |||
| Federal National Mortgage Association | |||
| Pass-Through Certificates | |||
| 6 1/2s, TBA, October 1, 2039 | 2,000,000 | 2,136,875 | |
| 6s, TBA, October 1, 2024 | 3,000,000 | 3,195,000 | |
| 5 1/2s, TBA, October 1, 2024 | 1,000,000 | 1,057,188 | |
| 5s, March 1, 2039 | 937,200 | 969,562 | |
| 4 1/2s, May 1, 2039 | 910,052 | 923,134 | |
| 4 1/2s, TBA, November 1, 2039 | 2,000,000 | 2,018,828 | |
| 4 1/2s, TBA, October 1, 2039 | 11,000,000 | 11,140,938 | |
|
| |||
| 21,441,525 | |||
| Total U.S. government and agency | |||
| mortgage obligations (cost $30,456,750) | $30,672,932 | ||
| FOREIGN GOVERNMENT | Principal | ||
| BONDS AND NOTES (6.6%)* | amount | Value | |
|
| |||
| Argentina (Republic of) | |||
| bonds Ser. VII, zero %, 2013 | $47,000 | $37,318 | |
|
| |||
| Argentina (Republic of) bonds FRB | |||
| zero %, 2013 | 1,431,000 | 574,547 | |
|
| |||
| Argentina (Republic of) sr. unsec. | |||
| unsub. bonds zero %, 2015 | 2,411,000 | 1,793,784 | |
|
| |||
| Argentina (Republic of) sr. unsec. | |||
| unsub. bonds Ser. $V, 10 1/2s, 2012 | ARS | 2,039,000 | 397,605 |
|
| |||
| Argentina (Republic of) sr. unsec. | |||
| unsub. bonds FRB 0.943s, 2012 | $13,711,000 | 4,125,640 | |
|
| |||
| Banco Nacional de | |||
| Desenvolvimento Economico e Social | |||
| 144A notes 6 1/2s, 2019 | 535,000 | 568,438 | |
|
| |||
| Brazil (Federal Republic of) | |||
| notes zero %, 2017 | BRL 1,500 | 763,788 | |
|
| |||
| Brazil (Federal Republic of) | |||
| sr. notes 5 7/8s, 2019 | $795,000 | 854,625 | |
|
| |||
| Brazil (Federal Republic of) | |||
| sr. unsec. bonds 6s, 2017 | 790,000 | 850,767 | |
|
| |||
| Ecuador (Republic of) regs | |||
| notes Ser. REGS, 9 3/8s, 2015 | 125,000 | 109,100 | |
|
| |||
| Indonesia (Republic of) 144A | |||
| sr. unsec. unsub. bonds 6 3/4s, 2014 | 1,590,000 | 1,702,079 | |
|
| |||
| Industrial Bank Of Korea 144A | |||
| sr. notes 7 1/8s, 2014 | 325,000 | 356,659 | |
|
| |||
31
| FOREIGN GOVERNMENT | Principal | ||
| BONDS AND NOTES (6.6%)* cont. | amount | Value | |
|
| |||
| Peru (Republic of) sr. unsec. | |||
| unsub. notes 7 1/8s, 2019 | $942,000 | $1,076,235 | |
|
| |||
| Republic of Indonesia 144A sr. unsec. | |||
| unsub. bonds 6 7/8s, 2018 | 550,000 | 591,250 | |
|
| |||
| Russia (Federation of) 144A unsec. | |||
| unsub. bonds 5s, 2030 | 2,293,600 | 2,471,515 | |
|
| |||
| South Africa (Republic of) sr. unsec. | |||
| unsub. notes 6 7/8s, 2019 | 430,000 | 479,450 | |
|
| |||
| Spain (Government of) | |||
| bonds Ser. REGS, 5.4s, 2011 | EUR | 1,000,000 | 1,572,517 |
|
| |||
| Turkey (Republic of) bonds 16s, 2012 | TRY | 175,000 | 133,846 |
|
| |||
| Turkey (Republic of) sr. unsec. | |||
| notes 7 1/2s, 2019 | $810,000 | 886,270 | |
|
| |||
| Turkey (Republic of) sr. unsec. | |||
| notes 7 1/2s, 2017 | 1,505,000 | 1,643,641 | |
|
| |||
| Venezuela (Republic of) bonds | |||
| 8 1/2s, 2014 | 450,000 | 403,128 | |
|
| |||
| Venezuela (Republic of) unsec. note | |||
| FRN Ser. REGS, 1.505s, 2011 | 770,000 | 685,716 | |
|
| |||
| Venezuela (Republic of) unsec. | |||
| notes 10 3/4s, 2013 | 1,985,000 | 1,966,996 | |
|
| |||
| Venezuela (Republic of) 144A unsec. | |||
| bonds 13 5/8s, 2018 | 1,285,000 | 1,316,560 | |
|
| |||
| Total foreign government bonds | |||
| and notes (cost $23,724,299) | $25,361,474 | ||
| Principal | |||
| SENIOR LOANS (6.2%)* c | amount | Value | |
|
| |||
| Basic materials (0.3%) | |||
| Georgia-Pacific Corp. bank term loan | |||
| FRN Ser. C, 3.597s, 2014 | $84,123 | $83,475 | |
|
| |||
| Georgia-Pacific, LLC bank term loan | |||
| FRN Ser. B2, 2.369s, 2012 | 152,767 | 146,752 | |
|
| |||
| Novelis, Inc. bank term loan FRN | |||
| Ser. B, 2.422s, 2014 | 500,678 | 457,584 | |
|
| |||
| Novelis, Inc. bank term loan FRN | |||
| Ser. B, 2.27s, 2014 | 227,574 | 207,987 | |
|
| |||
| Rockwood Specialties Group, Inc. bank | |||
| term loan FRN Ser. H, 6s, 2014 | 70,813 | 71,521 | |
|
| |||
| 967,319 | |||
| Capital goods (0.5%) | |||
| Graham Packaging Co., LP bank term | |||
| loan FRN Ser. B, 2.563s, 2011 | 96,290 | 93,852 | |
|
| |||
| Hawker Beechcraft | |||
| Acquisition Co., LLC bank term loan | |||
| FRN 2.598s, 2014 | 38,254 | 29,073 | |
|
| |||
| Hawker Beechcraft | |||
| Acquisition Co., LLC bank term loan | |||
| FRN Ser. B, 2.372s, 2014 | 737,925 | 560,823 | |
|
| |||
| Manitowoc Co., Inc. (The) bank term | |||
| loan FRN Ser. A, 4.807s, 2013 | 222,000 | 205,905 | |
|
| |||
| Mueller Water Products, Inc. bank | |||
| term loan FRN Ser. B, 6s, 2014 | 135,825 | 131,750 | |
|
| |||
| Polypore, Inc. bank term loan FRN | |||
| Ser. B, 2.52s, 2014 | 309,734 | 289,214 | |
|
| |||
| Sensata Technologies BV bank term | |||
| loan FRN 2.246s, 2013 (Netherlands) | 276,114 | 235,560 | |
|
| |||
| Sequa Corp. bank term loan FRN | |||
| 3.844s, 2014 | 404,956 | 349,275 | |
|
| |||
| Wesco Aircraft Hardware Corp. bank | |||
| term loan FRN 2.52s, 2013 | 114,000 | 105,878 | |
|
| |||
| 2,001,330 | |||
| Principal | ||
| SENIOR LOANS (6.2%)* c cont. | amount | Value |
|
| ||
| Communication services (1.1%) | ||
| Cebridge Connections, Inc. bank term | ||
| loan FRN 4.788s, 2014 | $160,000 | $149,600 |
|
| ||
| Charter Communications Operating, LLC | ||
| bank term loan FRN 9 1/4s, 2014 | 227,125 | 228,488 |
|
| ||
| Charter Communications, Inc. bank | ||
| term loan FRN 6 3/4s, 2014 | 200,000 | 174,125 |
|
| ||
| Charter Communications, Inc. bank | ||
| term loan FRN 6 1/4s, 2014 | 929,731 | 885,569 |
|
| ||
| Fairpoint Communications, Inc. bank | ||
| term loan FRN Ser. B, 5 1/2s, 2015 | 232,789 | 174,243 |
|
| ||
| Insight Midwest, LP bank term loan | ||
| FRN Ser. B, 2.26s, 2014 | 130,326 | 123,763 |
|
| ||
| Intelsat Corp. bank term loan FRN | ||
| Ser. B2, 2.753s, 2011 | 209,416 | 198,684 |
|
| ||
| Intelsat Corp. bank term loan FRN | ||
| Ser. B2-A, 2.753s, 2013 | 209,481 | 198,745 |
|
| ||
| Intelsat Corp. bank term loan FRN | ||
| Ser. B2-C, 2.753s, 2013 | 209,416 | 198,684 |
|
| ||
| Intelsat, Ltd. bank term loan FRN | ||
| 3.253s, 2014 (Bermuda) | 460,000 | 412,083 |
|
| ||
| Level 3 Communications, Inc. bank | ||
| term loan FRN 2.683s, 2014 | 108,000 | 95,256 |
|
| ||
| Level 3 Financing, Inc. bank term | ||
| loan FRN Ser. B, 11 1/2s, 2014 | 95,000 | 100,463 |
|
| ||
| Mediacom Communications Corp. bank | ||
| term loan FRN Ser. C, 1 3/4s, 2015 | 544,439 | 501,792 |
|
| ||
| Mediacom Communications Corp. bank | ||
| term loan FRN Ser. D2, 2s, 2015 | 116,700 | 108,239 |
|
| ||
| MetroPCS Wireless, Inc. bank term | ||
| loan FRN 2.683s, 2013 | 219,205 | 208,825 |
|
| ||
| PAETEC Holding Corp. bank term loan | ||
| FRN Ser. B1, 2.761s, 2013 | 84,643 | 80,199 |
|
| ||
| TW Telecom, Inc. bank term loan FRN | ||
| Ser. B, 2.02s, 2013 | 230,457 | 222,295 |
|
| ||
| West Corp. bank term loan FRN 2. | ||
| 623s, 2013 | 112,675 | 106,156 |
|
| ||
| 4,167,209 | ||
| Consumer cyclicals (2.5%) | ||
| Affinion Group, Inc. bank term loan | ||
| FRN Ser. B, 2.761s, 2013 | 430,536 | 411,807 |
|
| ||
| Allison Transmission, Inc. bank term | ||
| loan FRN Ser. B, 3s, 2014 | 433,384 | 377,285 |
|
| ||
| Building Materials Holdings Corp. bank term | ||
| loan FRN 3.005s, 2014 | 153,615 | 139,704 |
|
| ||
| CCM Merger, Inc. bank term loan FRN | ||
| Ser. B, 8 1/2s, 2012 | 245,683 | 229,100 |
|
| ||
| Cenveo, Inc. bank term loan FRN | ||
| Ser. C, 4.792s, 2014 | 230,118 | 222,539 |
|
| ||
| Cenveo, Inc. bank term loan FRN | ||
| Ser. DD, 4.792s, 2014 | 7,668 | 7,415 |
|
| ||
| Clear Channel Communications, Inc. | ||
| bank term loan FRN Ser. B, 3.84s, 2016 | 210,000 | 158,375 |
|
| ||
| Cooper-Standard Automotive, Inc. bank | ||
| term loan FRN Ser. B, 3 1/8s, 2012 | 220,103 | 194,791 |
|
| ||
| Cooper-Standard Automotive, Inc. bank | ||
| term loan FRN Ser. C, 3 1/8s, 2012 | 549,806 | 486,578 |
|
| ||
| Dex Media West, LLC/Dex Media | ||
| Finance Co. bank term loan FRN | ||
| Ser. B, 7s, 2014 | 235,412 | 200,453 |
|
| ||
| GateHouse Media, Inc. bank term loan | ||
| FRN 2 1/2s, 2014 | 220,000 | 68,567 |
|
| ||
32
| Principal | ||
| SENIOR LOANS (6.2%)* c cont. | amount | Value |
|
| ||
| Consumer cyclicals cont. | ||
| GateHouse Media, Inc. bank term loan | ||
| FRN Ser. B, 2 1/4s, 2014 | $513,424 | $160,017 |
|
| ||
| GateHouse Media, Inc. bank term loan | ||
| FRN Ser. DD, 2 1/4s, 2014 | 191,576 | 59,708 |
|
| ||
| Golden Nugget, Inc. bank term loan | ||
| FRN Ser. B, 2 1/4s, 2014 | 101,564 | 66,016 |
|
| ||
| Golden Nugget, Inc. bank term loan | ||
| FRN Ser. DD, 2.269s, 2014 | 57,964 | 37,676 |
|
| ||
| Goodman Global Holdings, Inc. bank | ||
| term loan FRN Ser. B, 6 1/2s, 2011 | 898,895 | 896,198 |
|
| ||
| Harrah’s Operating Co., Inc. bank | ||
| term loan FRN Ser. B2, 3.504s, 2015 | 169,439 | 136,653 |
|
| ||
| Jarden Corp. bank term loan FRN | ||
| Ser. B1, 2.348s, 2012 | 100,547 | 97,581 |
|
| ||
| Jarden Corp. bank term loan FRN | ||
| Ser. B2, 2.348s, 2012 | 45,709 | 44,300 |
|
| ||
| Jarden Corp. bank term loan FRN | ||
| Ser. B4, 3.848s, 2015 | 166,517 | 163,990 |
|
| ||
| Michaels Stores, Inc. bank term loan | ||
| FRN Ser. B, 2.538s, 2013 | 123,076 | 109,794 |
|
| ||
| National Bedding Co. bank term loan | ||
| FRN 2.255s, 2011 | 89,621 | 80,659 |
|
| ||
| Navistar Financial Corp. bank term | ||
| loan FRN 2.057s, 2012 | 218,667 | 211,013 |
|
| ||
| Navistar International Corp. bank | ||
| term loan FRN 3.496s, 2012 | 601,333 | 580,287 |
|
| ||
| QVC, Inc. bank term loan FRN | ||
| 5.746s, 2014 | 205,000 | 204,570 |
|
| ||
| R.H. Donnelley, Inc. bank term loan | ||
| FRN 6 3/4s, 2011 | 487,042 | 413,986 |
|
| ||
| R.H. Donnelley, Inc. bank term loan | ||
| FRN Ser. D1, 6 3/4s, 2011 | 271,841 | 231,291 |
|
| ||
| Realogy Corp. bank term loan FRN | ||
| 0.166s, 2013 | 165,224 | 140,205 |
|
| ||
| Realogy Corp. bank term loan FRN | ||
| Ser. B, 3.254s, 2013 | 613,690 | 520,760 |
|
| ||
| Six Flags Theme Parks bank term loan | ||
| FRN 2.595s, 2015 | 375,114 | 365,361 |
|
| ||
| Thomas Learning bank term loan FRN | ||
| Ser. B, 2.76s, 2014 | 99,746 | 89,721 |
|
| ||
| Tribune Co. bank term loan FRN | ||
| Ser. B, 5 1/4s, 2014 (In default) † | 948,000 | 471,334 |
|
| ||
| TRW Automotive, Inc. bank term loan | ||
| FRN Ser. B, 6 1/4s, 2014 | 350,874 | 349,832 |
|
| ||
| United Components, Inc. bank term | ||
| loan FRN Ser. D, 2.72s, 2012 | 388,444 | 358,340 |
|
| ||
| Universal City Development Partners, | ||
| Ltd. bank term loan FRN Ser. B, | ||
| 6s, 2011 | 969,872 | 951,687 |
|
| ||
| Univision Communications, Inc. bank | ||
| term loan FRN Ser. B, 2.511s, 2014 | 175,000 | 147,693 |
|
| ||
| Yankee Candle Co., Inc. bank term | ||
| loan FRN 2 1/4s, 2014 | 117,445 | 110,046 |
|
| ||
| 9,495,332 | ||
| Consumer staples (0.4%) | ||
| Claire’s Stores, Inc. bank term loan | ||
| FRN 3.114s, 2014 | 79,796 | 59,348 |
|
| ||
| Dole Food Co., Inc. bank term loan | ||
| FRN Ser. B, 7.973s, 2013 | 35,072 | 35,450 |
|
| ||
| Dole Food Co., Inc. bank term loan | ||
| FRN Ser. C, 7.939s, 2013 | 132,298 | 133,723 |
|
| ||
| Principal | ||
| SENIOR LOANS (6.2%)* c cont. | amount | Value |
|
| ||
| Consumer staples cont. | ||
| Dole Food Co., Inc. bank term loan | ||
| FRN Ser. C, 0.505s, 2013 | $20,311 | $20,530 |
|
| ||
| Pinnacle Foods Holding Corp. bank | ||
| term loan FRN Ser. B, 3.009s, 2014 | 499,557 | 469,375 |
|
| ||
| Revlon Consumer Products bank term | ||
| loan FRN Ser. B, 4.337s, 2012 | 105,000 | 100,887 |
|
| ||
| Rite-Aid Corp. bank term loan FRN | ||
| Ser. B, 2.01s, 2014 | 98,500 | 85,982 |
|
| ||
| Spectrum Brands, Inc. bank term loan | ||
| FRN 1 1/2s, 2013 | 30,543 | 29,054 |
|
| ||
| Spectrum Brands, Inc. bank term loan | ||
| FRN Ser. B1, 8.003s, 2013 | 529,397 | 503,589 |
|
| ||
| 1,437,938 | ||
| Energy (0.2%) | ||
| EPCO Holding, Inc. bank term loan FRN | ||
| Ser. A, 1.246s, 2012 | 220,000 | 198,000 |
|
| ||
| Hercules Offshore, Inc. bank term | ||
| loan FRN Ser. B, 7.559s, 2013 | 237,479 | 231,542 |
|
| ||
| MEG Energy Corp. bank term loan FRN | ||
| 2.6s, 2013 (Canada) | 96,500 | 91,675 |
|
| ||
| MEG Energy Corp. bank term loan FRN | ||
| Ser. DD, 2.6s, 2013 (Canada) | 98,375 | 93,456 |
|
| ||
| Petroleum Geo-Services ASA bank term | ||
| loan FRN 2.35s, 2015 (Norway) | 143,000 | 135,731 |
|
| ||
| Targa Resources, Inc. bank term loan | ||
| FRN 2.263s, 2012 | 35,095 | 34,306 |
|
| ||
| Targa Resources, Inc. bank term loan | ||
| FRN Ser. C, 0.473s, 2012 | 25,645 | 25,068 |
|
| ||
| 809,778 | ||
| Financials (—%) | ||
| Hub International, Ltd. bank term | ||
| loan FRN Ser. B, 2.761s, 2014 | 139,757 | 126,305 |
|
| ||
| Hub International, Ltd. bank term | ||
| loan FRN Ser. DD, 2.761s, 2014 | 31,414 | 28,390 |
|
| ||
| 154,695 | ||
| Health care (0.7%) | ||
| Community Health Systems, Inc. bank | ||
| term loan FRN Ser. B, 2.612s, 2014 | 528,100 | 495,622 |
|
| ||
| Community Health Systems, Inc. bank | ||
| term loan FRN Ser. DD, 2.511s, 2014 | 27,184 | 25,513 |
|
| ||
| Health Management Associates, Inc. | ||
| bank term loan FRN 2.348s, 2014 | 1,289,546 | 1,208,466 |
|
| ||
| IASIS Healthcare Corp. bank term loan | ||
| FRN Ser. DD, 2.261s, 2014 | 120,362 | 113,140 |
|
| ||
| IASIS Healthcare, LLC/IASIS | ||
| Capital Corp. bank term loan FRN | ||
| 7.62s, 2014 | 32,503 | 30,553 |
|
| ||
| IASIS Healthcare, LLC/IASIS | ||
| Capital Corp. bank term loan FRN | ||
| 5.738s, 2014 | 395,329 | 337,018 |
|
| ||
| IASIS Healthcare, LLC/IASIS | ||
| Capital Corp. bank term loan FRN | ||
| Ser. B, 2.261s, 2014 | 347,799 | 326,931 |
|
| ||
| Select Medical Corp. bank term loan | ||
| FRN Ser. B, 2.413s, 2012 | 14,961 | 14,369 |
|
| ||
| Sun Healthcare Group, Inc. bank term | ||
| loan FRN 0.498s, 2014 | 35,012 | 32,561 |
|
| ||
| Sun Healthcare Group, Inc. bank term | ||
| loan FRN Ser. B, 2.683s, 2014 | $123,526 | $114,879 |
|
| ||
| 2,699,052 | ||
33
| Principal | ||
| SENIOR LOANS (6.2%)* c cont. | amount | Value |
|
| ||
| Technology (0.1%) | ||
| Compucom Systems, Inc. bank term loan | ||
| FRN 3.77s, 2014 | $124,099 | $116,653 |
|
| ||
| First Data Corp. bank term loan FRN | ||
| Ser. B1, 2.998s, 2014 | 386,633 | 332,827 |
|
| ||
| Freescale Semiconductor, Inc. bank | ||
| term loan FRN 12 1/2s, 2014 | 110,384 | 110,660 |
|
| ||
| 560,140 | ||
| Utilities and power (0.4%) | ||
| Dynegy Holdings, Inc. bank term loan | ||
| FRN 4.02s, 2013 | 194,000 | 186,301 |
|
| ||
| Energy Future Holdings Corp. bank | ||
| term loan FRN Ser. B2, 3.754s, 2014 | 268,686 | 212,061 |
|
| ||
| Principal | ||
| SENIOR LOANS (6.2%)* c cont. | amount | Value |
|
| ||
| Utilities and power cont. | ||
| Energy Future Holdings Corp. bank | ||
| term loan FRN Ser. B3, 3.754s, 2014 | $195,442 | $153,471 |
|
| ||
| NRG Energy, Inc. bank term loan FRN | ||
| 2.252s, 2014 | 319,046 | 302,329 |
|
| ||
| NRG Energy, Inc. bank term loan FRN | ||
| 0.498s, 2014 | 171,715 | 162,718 |
|
| ||
| Reliant Energy, Inc. bank term loan | ||
| FRN 0.241s, 2014 | 450,000 | 421,313 |
|
| ||
| 1,438,193 | ||
| Total senior loans (cost $26,405,334) | $23,730,986 | |
| PURCHASED OPTIONS OUTSTANDING (3.3%)* | Expiration date/ | Contract | |
| strike price | amount | Value | |
|
| |||
| 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 November 12, 2019. | Nov-09/5.355 | $18,927,000 | $2,998,605 |
|
| |||
| 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 | 18,927,000 | 2,998,605 |
|
| |||
| 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 November 12, 2019. | Nov-09/5.355 | 18,927,000 | 189 |
|
| |||
| 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 | 18,927,000 | 189 |
|
| |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to | |||
| receive a fixed rate of 4.235% versus the three month USD-LIBOR-BBA maturing | |||
| June 11, 2020. | Jun-10/4.235 | 19,098,000 | 1,224,393 |
|
| |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to | |||
| receive a fixed rate of 4.23% versus the three month USD-LIBOR-BBA maturing | |||
| June 9, 2020. | Jun-10/4.23 | 19,098,000 | 1,217,732 |
|
| |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to | |||
| receive a fixed rate of 5.03% versus the three month USD-LIBOR-BBA maturing | |||
| February 16, 2020. | Feb-10/5.03 | 32,120,000 | 3,931,488 |
|
| |||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the | |||
| right to pay a fixed rate of 5.03% versus the three month USD-LIBOR-BBA | |||
| maturing February 16, 2020. | Feb-10/5.03 | 32,120,000 | 107,281 |
|
| |||
| Total purchased options outstandings (cost $7,011,266) | $12,478,482 | ||
| CONVERTIBLE BONDS AND NOTES (0.3%)* | Principal amount | Value | |
|
| |||
| General Cable Corp. cv. company guaranty sr. unsec. notes 1s, 2012 | $525,000 | $448,875 | |
|
| |||
| General Growth Properties, Inc. 144A cv. sr. notes 3.98s, 2027 (In default) † R | 395,000 | 266,625 | |
|
| |||
| Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014 | 195,000 | 229,856 | |
|
| |||
| TUI AG cv. sr. unsec. notes 2 3/4s, 2012 (Germany) | EUR | 50,000 | 56,746 |
|
| |||
| Total convertible bonds and notes (cost $1,082,770) | $1,002,102 | ||
| PREFERRED STOCKS (—%)* | Shares | Value | |
|
| |||
| Preferred Blocker, Inc. 144A 7.00% cum. pfd. | 228 | $132,589 | |
|
| |||
| Total preferred stocks (cost $76,202) | $132,589 | ||
34
| COMMON STOCKS (—%)* | Shares | Value | ||
|
| ||||
| AboveNet, Inc. † | 614 | $29,939 | ||
|
| ||||
| Bohai Bay Litigation, LLC † F | 991 | 3,091 | ||
|
| ||||
| Vertis Holdings, Inc. † F | 11,336 | 11 | ||
|
| ||||
| Total common stocks (cost $0) | $33,041 | |||
| WARRANTS (—%)* † | Expiration date | Strike price | Warrants | Value |
|
| ||||
| AboveNet, Inc. | 9/08/10 | $24.00 | 118 | $8,585 |
|
| ||||
| New ASAT (Finance), Ltd. (Cayman Islands) F | 2/01/11 | 0.01 | 3,380 | — |
|
| ||||
| Smurfit Kappa Group PLC 144A (Ireland) | 10/01/13 | EUR .001 | 508 | 20,796 |
|
| ||||
| Vertis Holdings, Inc. F | 10/18/15 | $0.01 | 752 | — |
|
| ||||
| Total warrants (cost $19,322) | $29,381 | |||
| CONVERTIBLE PREFERRED STOCKS (—%)* | Shares | Value | ||
|
| ||||
| Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd. (acquired various dates | ||||
| from 12/2/04 to 12/22/04, cost $109,821) ‡ | 2,393 | $22,255 | ||
|
| ||||
| Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. (In default) † | 667 | 4,202 | ||
|
| ||||
| Total convertible preferred stocks (cost $738,520) | $26,457 | |||
| SHORT-TERM INVESTMENTS (9.5%)* | Principal amount/shares | Value | ||
|
| ||||
| Putnam Money Market Liquidity Fund e | 17,319,935 | $17,319,935 | ||
|
| ||||
| SSgA Prime Money Market Fund i | $5,750,000 | 5,750,000 | ||
|
| ||||
| U.S. Treasury Bills for an effective yield of zero%, maturity date December 17, 2009 i | 605,000 | 604,879 | ||
|
| ||||
| U.S. Treasury Cash Management Bills for an effective yield of 0.40%, maturity date | ||||
| June 10, 2010 ## | 1,310,000 | 1,306,497 | ||
|
| ||||
| U.S. Treasury Cash Management Bills with yields ranging from 0.30% to 0.47%, maturity date | ||||
| April 1, 2010 # ## | 11,388,000 | 11,365,319 | ||
|
| ||||
| Total short-term investments (cost $36,347,343) | $36,346,630 | |||
| TOTAL INVESTMENTS | ||||
|
|
||||
| Total investments (cost $435,398,254) | $443,397,451 | |||
Key to holding’s currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
EUR Euro
GBP British Pound
HUF Hungarian Forint
INR Indian Rupee
JPY Japanese Yen
MXN Mexican Peso
PLN Polish Zloty
RUB Russian Ruble
SEK Swedish Krona
TRY Turkish Lira
ZAR South African Rand
Key to holding’s abbreviations
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds
FRN Floating Rate Notes
IFB Inverse Floating Rate Bonds
IO Interest Only
MTN Medium Term Notes
PO Principal Only
TBA To Be Announced Commitments
35
* Percentages indicated are based on net assets of $383,388,420.
† 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 September 30, 2009 was $22,255, 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, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at September 30, 2009.
## These securities, in part or in entirety, were pledged and segregated with the custodian for collateral on certain derivative contracts at September 30, 2009.
▲ 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 September 30, 2009. 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 7).
e See Note 6 to the financial statements regarding investments in Putnam Money Market Liquidity Fund.
F Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (“ASC 820”) disclosures based on the securities valuation inputs.
i Securities purchased with cash or received, that were pledged to the fund for collateral on certain derivative contracts (Note 1).
R Real Estate Investment Trust.
At September 30, 2009 liquid assets totaling $177,094,749 have been segregated to cover open forward commitments, swap contracts and futures contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
See Note 1 to the financial statements regarding TBA’s.
The rates shown on FRB and FRN are the current interest rates at September 30, 2009.
The dates shown on debt obligations are the original maturity dates.
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 September 30, 2009.
| DIVERSIFICATION BY COUNTRY | |||||||
|
| |||||||
| Distribution of investments by country of risk at September 30, 2009 (as a percentage of Portfolio Value): | |||||||
| United States | 89.2% | Brazil | 1.0% | United Kingdom | 0.5% | ||
|
|
|
| |||||
| Russia | 3.3 | Indonesia | 0.6 | Other | 1.8 | ||
|
|
|
| |||||
| Argentina | 1.6 | Turkey | 0.6 | Total | 100.0% | ||
|
|
|
||||||
| Venezuela | 1.4 | ||||||
|
|
|||||||
| FORWARD CURRENCY CONTRACTS TO BUY at 9/30/09 | Aggregate | Delivery | Unrealized appreciation/ | ||
| (aggregate face value $65,574,323) | Value | face value | date | (depreciation) | |
|
| |||||
| Australian Dollar | $12,243,839 | $11,558,857 | 10/21/09 | $684,982 | |
|
| |||||
| Canadian Dollar | 3,771,036 | 3,755,473 | 10/21/09 | 15,563 | |
|
| |||||
| Danish Krone | 264,816 | 263,383 | 10/21/09 | 1,433 | |
|
| |||||
| Euro | 6,884,027 | 6,883,316 | 10/21/09 | 711 | |
|
| |||||
| Hungarian Forint | 1,185,564 | 1,168,990 | 10/21/09 | 16,574 | |
|
| |||||
| Japanese Yen | 19,165,159 | 18,590,461 | 10/21/09 | 574,698 | |
|
| |||||
| Malaysian Ringgit | 162,861 | 161,192 | 10/21/09 | 1,669 | |
|
| |||||
| Mexican Peso | 47,798 | 48,500 | 10/21/09 | (702) | |
|
| |||||
| New Zealand Dollar | 6,138 | 5,907 | 10/21/09 | 231 | |
|
| |||||
| Norwegian Krone | 9,773,428 | 9,331,268 | 10/21/09 | 442,160 | |
|
| |||||
| Polish Zloty | 4,728,486 | 4,800,430 | 10/21/09 | (71,944) | |
|
| |||||
| South African Rand | 1,319,023 | 1,309,837 | 10/21/09 | 9,186 | |
|
| |||||
| Swedish Krona | 4,785,812 | 4,623,858 | 10/21/09 | 161,954 | |
|
| |||||
| Swiss Franc | 3,104,182 | 3,072,851 | 10/21/09 | 31,331 | |
|
| |||||
| Total | $1,867,846 | ||||
36
| FORWARD CURRENCY CONTRACTS TO SELL at 9/30/09 | Aggregate | Delivery | Unrealized appreciation/ | ||
| (aggregate face value $39,958,446) | Value | face value | date | (depreciation) | |
|
| |||||
| Australian Dollar | $1,919,981 | $1,898,324 | 10/21/09 | $(21,657) | |
|
| |||||
| Brazilian Real | 1,395,319 | 1,349,826 | 10/21/09 | (45,493) | |
|
| |||||
| British Pound | 5,779,776 | 5,879,259 | 10/21/09 | 99,483 | |
|
| |||||
| Canadian Dollar | 3,658,730 | 3,625,590 | 10/21/09 | (33,140) | |
|
| |||||
| Czech Koruna | 1,749,819 | 1,725,602 | 10/21/09 | (24,217) | |
|
| |||||
| Euro | 4,753,508 | 4,707,698 | 10/21/09 | (45,810) | |
|
| |||||
| Hungarian Forint | 1,201,645 | 1,181,499 | 10/21/09 | (20,146) | |
|
| |||||
| Japanese Yen | 1,085,175 | 1,083,876 | 10/21/09 | (1,299) | |
|
| |||||
| Norwegian Krone | 2,304,296 | 2,225,952 | 10/21/09 | (78,344) | |
|
| |||||
| Polish Zloty | 2,935,179 | 2,981,933 | 10/21/09 | 46,754 | |
|
| |||||
| South African Rand | 1,288,038 | 1,281,763 | 10/21/09 | (6,275) | |
|
| |||||
| Swedish Krona | 2,376,051 | 2,286,447 | 10/21/09 | (89,604) | |
|
| |||||
| Swiss Franc | 9,693,348 | 9,601,890 | 10/21/09 | (91,458) | |
|
| |||||
| Turkish Lira | 129,602 | 128,787 | 10/21/09 | (815) | |
|
| |||||
| Total | $(312,021) | ||||
| FUTURES CONTRACTS OUTSTANDING at 9/30/09 | Unrealized | ||||
| Number of | Expiration | appreciation/ | |||
| contracts | Value | date | (depreciation) | ||
|
| |||||
| Australian Government Treasury Bond 10 yr (Long) | 2 | $1,252,012 | Dec-09 | $(1,067) | |
|
| |||||
| Canadian Government Bond 10 yr (Long) | 5 | 568,112 | Dec-09 | 7,647 | |
|
| |||||
| Euro-Bobl 5 yr (Long) | 80 | 13,536,914 | Dec-09 | 14,590 | |
|
| |||||
| Euro-Bund 10 yr (Long) | 3 | 535,443 | Dec-09 | 2,185 | |
|
| |||||
| Euro-Schatz 2 yr (Short) | 471 | 74,601,456 | Dec-09 | (158,621) | |
|
| |||||
| Japanese Government Bond 10 yr (Short) | 7 | 10,883,508 | Dec-09 | (50,024) | |
|
| |||||
| Japanese Government Bond 10 yr Mini (Short) | 1 | 155,456 | Dec-09 | (1,015) | |
|
| |||||
| U.K. Gilt 10 yr (Short) | 61 | 11,575,072 | Dec-09 | (53,510) | |
|
| |||||
| U.S. Treasury Bond 20 yr (Long) | 948 | 115,063,500 | Dec-09 | 2,164,737 | |
|
| |||||
| U.S. Treasury Note 2 yr (Short) | 3 | 650,906 | Dec-09 | (3,789) | |
|
| |||||
| U.S. Treasury Note 5 yr (Short) | 501 | 58,162,969 | Dec-09 | (882,003) | |
|
| |||||
| U.S. Treasury Note 10 yr (Short) | 3 | 354,984 | Dec-09 | (3,992) | |
|
| |||||
| Total | $1,035,138 | ||||
| WRITTEN OPTIONS OUTSTANDING at 9/30/09 (premiums received $26,542,096) | Contract | Expiration date/ | ||
| amount | strike price | Value | ||
|
| ||||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a | ||||
| fixed rate of 4.49% versus the three month USD-LIBOR-BBA maturing August 17, 2021. | $11,060,000 | Aug-11/4.49 | $835,362 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a | ||||
| fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing July 26, 2021. | 20,362,000 | Jul-11/4.525 | 1,567,704 | |
|
| ||||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a | ||||
| fixed rate of 4.475% versus the three month USD-LIBOR-BBA maturing August 19, 2021. | 7,124,000 | Aug-11/4.475 | 532,519 | |
|
| ||||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a | ||||
| fixed rate of 4.475% versus the three month USD-LIBOR-BBA maturing August 19, 2021. | 7,124,000 | Aug-11/4.475 | 352,211 | |
|
| ||||
| Option on an interest rate swap with Citibank, N.A. for the obligation to receive a | ||||
| fixed rate of 4.49% versus the three month USD-LIBOR-BBA maturing August 17, 2021. | 11,060,000 | Aug-11/4.49 | 540,834 | |
|
| ||||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a | ||||
| fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing August 17, 2021. | 5,530,000 | Aug-11/4.55 | 434,824 | |
|
| ||||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a | ||||
| fixed rate of 4.55% versus the three month USD-LIBOR-BBA maturing August 17, 2021. | 5,530,000 | Aug-11/4.55 | 261,016 | |
|
| ||||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a | ||||
| fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing August 16, 2021. | 10,823,000 | Aug-11/4.765 | 976,235 | |
|
| ||||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a | ||||
| fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing August 16, 2021. | 10,823,000 | Aug-11/4.765 | 449,046 | |
|
| ||||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to pay a | ||||
| fixed rate of 4.70% versus the three month USD-LIBOR-BBA maturing August 8, 2021. | 11,515,000 | Aug-11/4.70 | 998,466 | |
|
| ||||
37
| WRITTEN OPTIONS OUTSTANDING at 9/30/09 (premiums received $26,542,096) cont. | Contract | Expiration date/ | ||
| amount | strike price | Value | ||
|
| ||||
| Option on an interest rate swap with Bank of America, N.A. for the obligation to receive a | ||||
| fixed rate of 4.70% versus the three month USD-LIBOR-BBA maturing August 8, 2021. | $11,515,000 | Aug-11/4.70 | $492,151 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a | ||||
| fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing July 27, 2021. | 30,543,000 | Jul-11/4.745 | 2,714,982 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a | ||||
| fixed rate of 4.745% versus the three month USD-LIBOR-BBA maturing July 27, 2021. | 30,543,000 | Jul-11/4.745 | 1,245,551 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a | ||||
| fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing July 26, 2021. | 20,362,000 | Jul-11/4.46 | 1,499,287 | |
|
| ||||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a | ||||
| fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021. | 19,096,000 | Jul-11/4.52 | 1,475,166 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a | ||||
| fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing July 26, 2021. | 20,362,000 | Jul-11/4.46 | 984,513 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a | ||||
| fixed rate of 4.525% versus the three month USD-LIBOR-BBA maturing July 26, 2021. | 20,362,000 | Jul-11/4.525 | 946,654 | |
|
| ||||
| Option on an interest rate swap with Citibank, N.A. for the obligation to receive a | ||||
| fixed rate of 4.52% versus the three month USD-LIBOR-BBA maturing July 26, 2021. | 19,096,000 | Jul-11/4.52 | 892,165 | |
|
| ||||
| Option on an interest rate swap with Citibank, N.A. for the obligation to pay a | ||||
| fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021. | 9,548,000 | Jul-11/4.5475 | 751,332 | |
|
| ||||
| Option on an interest rate swap with Citibank, N.A. for the obligation to receive a | ||||
| fixed rate of 4.5475% versus the three month USD-LIBOR-BBA maturing July 26, 2021. | 9,548,000 | Jul-11/4.5475 | 438,826 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a | ||||
| fixed rate of 4.4% versus the three month USD-LIBOR-BBA maturing November 9, 2019. | 50,458,000 | Nov-09/4.40 | 3,903,431 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a | ||||
| fixed rate of 5.235% versus the three month USD-LIBOR-BBA maturing June 11, 2020. | 19,098,000 | Jun-10/5.235 | 165,007 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to pay a | ||||
| fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 12, 2018. | 1,469,000 | Sep-13/4.82 | 77,969 | |
|
| ||||
| 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 May 14, 2022. | 25,011,500 | May-12/5.51 | 3,206,305 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a | ||||
| fixed rate of 5.23% versus the three month USD-LIBOR-BBA maturing June 9, 2020. | 19,098,000 | Jun-10/5.23 | 163,670 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a | ||||
| fixed rate of 4.4% versus the three month USD-LIBOR-BBA maturing November 9, 2019. | 50,458,000 | Nov-09/4.40 | 28,761 | |
|
| ||||
| Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to receive a | ||||
| fixed rate of 4.82% versus the three month USD-LIBOR-BBA maturing September 12, 2018. | 1,469,000 | Sep-13/4.82 | 49,579 | |
|
| ||||
| 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 May 14, 2022. | 25,011,500 | May-12/5.51 | 865,021 | |
|
| ||||
| Total | $26,848,587 | |||
| TBA SALE COMMITMENTS OUTSTANDING at 9/30/09 (proceeds receivable $2,023,281) | Principal | Settlement | ||
| Agency | amount | date | Value | |
|
| ||||
| FNMA, 4 1/2s, October 1, 2039 | $2,000,000 | 10/14/08 | $2,025,625 | |
|
| ||||
| Total | $2,025,625 | |||
| INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/09 | |||||||||
| Upfront | Termi- | Unrealized | |||||||
| Swap | Notional | premium | nation | Payments made by | Payments received by | appreciation/ | |||
| counterparty | amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |||
|
| |||||||||
| Bank of America, N.A. | $32,178,000 | $— | 5/23/10 | 3 month USD-LIBOR-BBA | 3.155% | $904,053 | |||
|
| |||||||||
| 23,500,000 | — | 7/18/13 | 4.14688% | 3 month USD-LIBOR- | (1,803,258) | ||||
| BBA | |||||||||
|
| |||||||||
| 7,133,000 | — | 9/18/38 | 4.36125% | 3 month USD-LIBOR- | (558,011) | ||||
| BBA | |||||||||
|
| |||||||||
| 28,409,000 | 25,825 | 10/20/10 | 3 month USD-LIBOR-BBA | 3.00% | 1,076,177 | ||||
|
| |||||||||
| 219,700,000 | (78,194) | 11/26/10 | 3 month USD-LIBOR-BBA | 2.35% | 5,718,118 | ||||
|
| |||||||||
| 550,228,000 | — | 12/22/10 | 3 month USD-LIBOR-BBA | 1.515% | 7,292,670 | ||||
|
| |||||||||
| 54,651,000 | — | 10/26/12 | 4.6165% | 3 month USD-LIBOR- | (5,439,677) | ||||
| BBA | |||||||||
|
| |||||||||
| 18,938,000 | — | 5/19/10 | 3.2925% | 3 month USD-LIBOR- | (561,462) | ||||
| BBA | |||||||||
|
| |||||||||
| 23,910,000 | — | 7/22/10 | 3 month USD-LIBOR-BBA | 3.5375% | 722,661 | ||||
|
| |||||||||
| 11,889,000 | — | 5/8/28 | 4.95% | 3 month USD-LIBOR- | (2,003,317) | ||||
| BBA | |||||||||
38
| INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/09 cont. | |||||||||
| Upfront | Termi- | Unrealized | |||||||
| Swap | Notional | premium | nation | Payments made by | Payments received by | appreciation/ | |||
| counterparty | amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |||
|
| |||||||||
| Barclays Bank PLC | $76,136,000 | $— | 12/9/10 | 3 month USD-LIBOR-BBA | 2.005% | $1,598,026 | |||
|
| |||||||||
| 28,963,000 | — | 12/9/20 | 3 month USD-LIBOR-BBA | 2.91875% | (1,476,479) | ||||
|
| |||||||||
| Citibank, N.A. | JPY | 1,134,000,000 | — | 9/11/16 | 1.8675% | 6 month JPY-LIBOR- | (687,902) | ||
| BBA | |||||||||
|
| |||||||||
| $7,876,000 | — | 7/17/19 | 3.8675% | 3 month USD-LIBOR- | (340,679) | ||||
| BBA | |||||||||
|
| |||||||||
| 17,993,000 | — | 7/28/19 | 3.895% | 3 month USD-LIBOR- | (799,970) | ||||
| BBA | |||||||||
|
| |||||||||
| 15,000,000 | — | 8/6/19 | 3.8425% | 3 month USD-LIBOR- | (584,976) | ||||
| BBA | |||||||||
|
| |||||||||
| 17,500,000 | — | 8/12/14 | 3 month USD-LIBOR-BBA | 3.1925% | 533,893 | ||||
|
| |||||||||
| 18,950,000 | — | 8/14/11 | 1.61125% | 3 month USD-LIBOR- | (165,888) | ||||
| BBA | |||||||||
|
| |||||||||
| 11,450,000 | — | 8/14/14 | 3 month USD-LIBOR-BBA | 3.10% | 296,871 | ||||
|
| |||||||||
| MXN | 33,510,000 | — | 7/18/13 | 1 month MXN-TIIE-BANXICO | 9.175% | 162,540 | |||
|
| |||||||||
| MXN | 10,055,000 | — | 7/22/13 | 1 month MXN-TIIE-BANXICO | 9.21% | 50,572 | |||
|
| |||||||||
| $95,602,000 | — | 9/17/13 | 3 month USD-LIBOR-BBA | 3.4975% | 4,433,643 | ||||
|
| |||||||||
| 6,895,000 | — | 9/18/38 | 4.45155% | 3 month USD-LIBOR- | (648,903) | ||||
| BBA | |||||||||
|
| |||||||||
| 302,431,000 | — | 9/18/10 | 3 month USD-LIBOR-BBA | 2.92486% | 7,101,321 | ||||
|
| |||||||||
| 8,078,000 | — | 2/24/16 | 2.77% | 3 month USD-LIBOR- | 85,890 | ||||
| BBA | |||||||||
|
| |||||||||
| 113,713,000 | (270,689) | 8/27/14 | 3 month USD-LIBOR-BBA | 2.97% | 1,848,416 | ||||
|
| |||||||||
| 4,608,000 | — | 8/27/19 | 3 month USD-LIBOR-BBA | 3.6875% | 108,303 | ||||
|
| |||||||||
| EUR | 43,720,000 | E | — | 8/28/24 | 6 month EUR-EURIBOR- | 4.835% | (151,736) | ||
| REUTERS | |||||||||
|
| |||||||||
| $36,571,000 | — | 9/22/11 | 1.3675% | 3 month USD-LIBOR- | (72,393) | ||||
| BBA | |||||||||
|
| |||||||||
| EUR | 15,360,000 | — | 9/29/19 | 3.501% | 6 month EUR-EURIBOR- | (85,637) | |||
| REUTERS | |||||||||
|
| |||||||||
| $23,704,000 | — | 9/30/19 | 3 month USD-LIBOR-BBA | 3.425% | (60,272) | ||||
|
| |||||||||
| 30,650,000 | — | 3/27/14 | 3 month USD-LIBOR-BBA | 2.335% | (204,099) | ||||
|
| |||||||||
| 102,606,000 | — | 3/30/11 | 3 month USD-LIBOR-BBA | 1.535% | 898,294 | ||||
|
| |||||||||
| MXN | 12,400,000 | — | 3/28/13 | 1 month MXN-TIIE-BANXICO | 6.9425% | (6,245) | |||
|
| |||||||||
| $10,396,000 | — | 4/6/39 | 3.295% | 3 month USD-LIBOR- | 1,009,849 | ||||
| BBA | |||||||||
|
| |||||||||
| 12,349,000 | — | 5/11/39 | 3.8425% | 3 month USD-LIBOR- | 8,773 | ||||
| BBA | |||||||||
|
| |||||||||
| Citibank, N.A., London | JPY | 1,300,000,000 | — | 2/10/16 | 6 month JPY-LIBOR-BBA | 1.755% | 691,326 | ||
|
| |||||||||
| Credit Suisse | $11,827,400 | — | 9/16/10 | 3.143% | 3 month USD-LIBOR- | (302,979) | |||
| International | BBA | ||||||||
|
| |||||||||
| 4,042,000 | — | 9/18/38 | 4.41338% | 3 month USD-LIBOR- | (353,304) | ||||
| BBA | |||||||||
|
| |||||||||
| 124,287,000 | — | 9/18/10 | 3 month USD-LIBOR-BBA | 2.91916% | 2,911,888 | ||||
|
| |||||||||
| 13,961,000 | — | 9/23/10 | 3 month USD-LIBOR-BBA | 3.32% | 379,927 | ||||
|
| |||||||||
| 18,000,000 | — | 12/5/20 | 3 month USD-LIBOR-BBA | 3.01% | (751,175) | ||||
|
| |||||||||
| 18,900,000 | — | 7/30/19 | 3 month USD-LIBOR-BBA | 3.87% | 795,649 | ||||
|
| |||||||||
| 5,750,000 | — | 8/5/19 | 3 month USD-LIBOR-BBA | 3.903% | 255,037 | ||||
|
| |||||||||
| 14,832,000 | — | 8/25/19 | 3.8475% | 3 month USD-LIBOR- | (556,251) | ||||
| BBA | |||||||||
|
| |||||||||
| GBP | 11,600,000 | — | 8/25/11 | 1.98% | 6 month GBP-LIBOR- | (83,875) | |||
| BBA | |||||||||
|
| |||||||||
| $14,199,000 | — | 8/28/19 | 3 month USD-LIBOR-BBA | 3.6825% | 327,775 | ||||
|
| |||||||||
| 14,255,000 | — | 2/5/14 | 2.475% | 3 month USD-LIBOR- | (53,925) | ||||
| BBA | |||||||||
|
| |||||||||
| 6,455,000 | — | 2/5/29 | 3 month USD-LIBOR-BBA | 3.35% | (428,780) | ||||
|
| |||||||||
| EUR | 71,710,000 | — | 9/18/11 | 1.6875% | 6 month EUR-EURIBOR- | (70) | |||
| REUTERS | |||||||||
39
| INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/09 cont. | |||||||||
| Upfront | Termi- | Unrealized | |||||||
| Swap | Notional | premium | nation | Payments made by | Payments received by | appreciation/ | |||
| counterparty | amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |||
|
| |||||||||
| Credit Suisse | EUR | 18,900,000 | $— | 9/18/14 | 6 month EUR-EURIBOR- | 2.755% | $93,045 | ||
| International cont. | REUTERS | ||||||||
|
| |||||||||
| $26,736,000 | — | 9/24/24 | 3.975% | 3 month USD-LIBOR- | (684,104) | ||||
| BBA | |||||||||
|
| |||||||||
| 4,180,000 | — | 4/28/39 | 3.50375% | 3 month USD-LIBOR- | 255,002 | ||||
| BBA | |||||||||
|
| |||||||||
| SEK | 79,760,000 | E | — | 6/8/11 | 2.11% | 3 month SEK-STIBOR- | (18,227) | ||
| SIDE | |||||||||
|
| |||||||||
| SEK | 79,760,000 | E | — | 6/8/12 | 3 month SEK-STIBOR-SIDE | 3.275% | (12,839) | ||
|
| |||||||||
| $11,675,000 | — | 6/5/39 | 4.29417% | 3 month USD-LIBOR- | (921,694) | ||||
| BBA | |||||||||
|
| |||||||||
| SEK | 26,590,000 | E | — | 6/8/11 | 2.22% | 3 month SEK-STIBOR- | (10,166) | ||
| SIDE | |||||||||
|
| |||||||||
| SEK | 26,590,000 | E | — | 6/8/12 | 3 month SEK-STIBOR-SIDE | 3.37% | (841) | ||
|
| |||||||||
| $9,000,000 | — | 6/23/19 | 3 month USD-LIBOR-BBA | 4.054% | 571,154 | ||||
|
| |||||||||
| Deutsche Bank AG | 45,054,000 | — | 4/21/14 | 2.51% | 3 month USD-LIBOR- | (437,837) | |||
| BBA | |||||||||
|
| |||||||||
| 273,775,000 | — | 5/12/11 | 1.43% | 3 month USD-LIBOR- | (3,029,111) | ||||
| BBA | |||||||||
|
| |||||||||
| 3,000,000 | — | 6/9/19 | 3 month USD-LIBOR-BBA | 4.195% | 231,787 | ||||
|
| |||||||||
| 19,578,000 | — | 7/27/19 | 3.755% | 3 month USD-LIBOR- | (634,367) | ||||
| BBA | |||||||||
|
| |||||||||
| 6,298,000 | — | 7/28/19 | 3.895% | 3 month USD-LIBOR- | (280,010) | ||||
| BBA | |||||||||
|
| |||||||||
| 13,500,000 | — | 8/11/19 | 4.18% | 3 month USD-LIBOR- | (913,844) | ||||
| BBA | |||||||||
|
| |||||||||
| 9,268,000 | — | 9/23/38 | 4.75% | 3 month USD-LIBOR- | (1,353,325) | ||||
| BBA | |||||||||
|
| |||||||||
| 125,936,000 | — | 10/24/10 | 3 month USD-LIBOR-BBA | 2.604% | 3,899,532 | ||||
|
| |||||||||
| 97,260,000 | — | 11/25/13 | 3 month USD-LIBOR-BBA | 2.95409% | 3,152,508 | ||||
|
| |||||||||
| ZAR | 12,120,000 | — | 7/6/11 | 3 month ZAR-JIBAR-SAFEX | 9.16% | 47,317 | |||
|
| |||||||||
| $70,018,000 | — | 11/28/13 | 3 month USD-LIBOR-BBA | 2.8725% | 2,013,939 | ||||
|
| |||||||||
| 79,355,000 | — | 12/5/13 | 2.590625% | 3 month USD-LIBOR- | (1,268,626) | ||||
| BBA | |||||||||
|
| |||||||||
| 28,551,000 | — | 12/9/13 | 3 month USD-LIBOR-BBA | 2.5225% | 360,859 | ||||
|
| |||||||||
| 20,515,000 | — | 12/16/28 | 3 month USD-LIBOR-BBA | 2.845% | (2,705,005) | ||||
|
| |||||||||
| 332,987,000 | — | 12/19/10 | 3 month USD-LIBOR-BBA | 1.53429% | 4,547,296 | ||||
|
| |||||||||
| 4,000,000 | — | 12/22/13 | 2.008% | 3 month USD-LIBOR- | 43,601 | ||||
| BBA | |||||||||
|
| |||||||||
| 23,757,000 | — | 12/24/13 | 2.165% | 3 month USD-LIBOR- | 100,779 | ||||
| BBA | |||||||||
|
| |||||||||
| 49,838,000 | — | 12/30/13 | 2.15633% | 3 month USD-LIBOR- | 256,024 | ||||
| BBA | |||||||||
|
| |||||||||
| 34,300,000 | — | 1/8/29 | 3 month USD-LIBOR-BBA | 3.19625% | (2,937,626) | ||||
|
| |||||||||
| 109,800,000 | — | 1/8/14 | 2.375% | 3 month USD-LIBOR- | (218,667) | ||||
| BBA | |||||||||
|
| |||||||||
| 12,754,000 | — | 1/28/29 | 3 month USD-LIBOR-BBA | 3.1785% | (1,146,633) | ||||
|
| |||||||||
| 14,015,000 | — | 8/26/19 | 3 month USD-LIBOR-BBA | 3.73% | 381,902 | ||||
|
| |||||||||
| 208,867,000 | — | 2/3/14 | 2.44% | 3 month USD-LIBOR- | (509,492) | ||||
| BBA | |||||||||
|
| |||||||||
| 89,668,000 | — | 2/3/24 | 3 month USD-LIBOR-BBA | 3.27% | (4,385,076) | ||||
|
| |||||||||
| 20,377,000 | — | 2/5/29 | 3 month USD-LIBOR-BBA | 3.324% | (1,428,152) | ||||
|
| |||||||||
| 41,011,000 | — | 2/5/14 | 2.44661% | 3 month USD-LIBOR- | (104,935) | ||||
| BBA | |||||||||
|
| |||||||||
| 285,446,000 | — | 2/6/14 | 2.5529% | 3 month USD-LIBOR- | (2,011,873) | ||||
| BBA | |||||||||
|
| |||||||||
| 48,326,000 | — | 2/6/29 | 3 month USD-LIBOR-BBA | 3.42575% | (2,699,892) | ||||
40
| INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/09 cont. | |||||||||
| Upfront | Termi- | Unrealized | |||||||
| Swap | Notional | premium | nation | Payments made by | Payments received by | appreciation/ | |||
| counterparty | amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |||
|
| |||||||||
| Deutsche Bank AG cont. | $9,000,000 | $— | 2/6/14 | 2.5675% | 3 month USD-LIBOR- | $(69,124) | |||
| BBA | |||||||||
|
| |||||||||
| 5,000,000 | — | 2/9/14 | 2.525% | 3 month USD-LIBOR- | (27,382) | ||||
| BBA | |||||||||
|
| |||||||||
| 4,000,000 | — | 2/10/14 | 2.55% | 3 month USD-LIBOR- | (26,207) | ||||
| BBA | |||||||||
|
| |||||||||
| 65,000,000 | — | 2/17/14 | 2.55% | 3 month USD-LIBOR- | (383,283) | ||||
| BBA | |||||||||
|
| |||||||||
| 25,000,000 | — | 2/17/39 | 3.31% | 3 month USD-LIBOR- | 2,638,611 | ||||
| BBA | |||||||||
|
| |||||||||
| 21,612,000 | — | 2/25/14 | 2.4675% | 3 month USD-LIBOR- | (37,031) | ||||
| BBA | |||||||||
|
| |||||||||
| 106,000,000 | — | 3/4/14 | 2.54% | 3 month USD-LIBOR- | (459,775) | ||||
| BBA | |||||||||
|
| |||||||||
| 41,000,000 | — | 3/4/39 | 3.37174% | 3 month USD-LIBOR- | 3,924,467 | ||||
| BBA | |||||||||
|
| |||||||||
| 2,000,000 | — | 3/10/16 | 3 month USD-LIBOR-BBA | 2.845% | (14,853) | ||||
|
| |||||||||
| 1,000,000 | — | 3/11/16 | 3 month USD-LIBOR-BBA | 2.892% | (4,699) | ||||
|
| |||||||||
| 1,100,000 | — | 3/11/16 | 3 month USD-LIBOR-BBA | 2.938% | (2,138) | ||||
|
| |||||||||
| 202,712,000 | — | 3/20/11 | 3 month USD-LIBOR-BBA | 1.43% | 1,537,803 | ||||
|
| |||||||||
| 3,000,000 | — | 3/24/14 | 2.297% | 3 month USD-LIBOR- | 23,847 | ||||
| BBA | |||||||||
|
| |||||||||
| 84,000,000 | — | 3/30/14 | 2.36% | 3 month USD-LIBOR- | 496,633 | ||||
| BBA | |||||||||
|
| |||||||||
| 38,000,000 | — | 3/30/21 | 3 month USD-LIBOR-BBA | 3.125% | (1,642,020) | ||||
|
| |||||||||
| 7,314,200 | — | 9/22/19 | 3.6875% | 3 month USD-LIBOR- | (153,083) | ||||
| BBA | |||||||||
|
| |||||||||
| 93,246,000 | (251,041) | 10/2/39 | 3.91% | 3 month USD-LIBOR- | — | ||||
| BBA | |||||||||
|
| |||||||||
| 115,031,000 | 181,194 | 10/2/29 | 3 month USD-LIBOR-BBA | 3.85% | — | ||||
|
| |||||||||
| 74,773,000 | 26,058 | 10/2/19 | 3 month USD-LIBOR-BBA | 3.45% | — | ||||
|
| |||||||||
| 129,396,000 | (28,106) | 10/2/11 | 1.29% | 3 month USD-LIBOR- | — | ||||
| BBA | |||||||||
|
| |||||||||
| Goldman Sachs | JPY | 743,800,000 | — | 6/10/16 | 1.953% | 6 month JPY-LIBOR- | (520,509) | ||
| International | BBA | ||||||||
|
| |||||||||
| GBP | 23,150,000 | — | 8/20/11 | 2.0225% | 6 month GBP-LIBOR- | (205,161) | |||
| BBA | |||||||||
|
| |||||||||
| GBP | 83,130,000 | — | 8/24/11 | 2.035% | 6 month GBP-LIBOR- | (751,961) | |||
| BBA | |||||||||
|
| |||||||||
| GBP | 29,790,000 | — | 8/24/14 | 6 month GBP-LIBOR-BBA | 3.4825% | 678,871 | |||
|
| |||||||||
| GBP | 6,070,000 | — | 8/24/29 | 6 month GBP-LIBOR-BBA | 4.29% | 244,388 | |||
|
| |||||||||
| AUD | 15,162,500 | E | — | 2/14/12 | 3 month AUD-BBR-BBSW | 4.39% | (188,850) | ||
|
| |||||||||
| EUR | 49,190,000 | — | 9/22/11 | 6 month EUR-EURIBOR- | 1.718% | 38,252 | |||
| REUTERS | |||||||||
|
| |||||||||
| $22,856,900 | — | 9/22/14 | 2.83% | 3 month USD-LIBOR- | (220,230) | ||||
| BBA | |||||||||
|
| |||||||||
| EUR | 55,340,000 | — | 9/25/11 | 6 month EUR-EURIBOR- | 1.718% | 34,462 | |||
| REUTERS | |||||||||
|
| |||||||||
| GBP | 50,070,000 | — | 9/23/11 | 1.9475% | 6 month GBP-LIBOR- | (223,726) | |||
| BBA | |||||||||
|
| |||||||||
| $27,831,100 | — | 9/29/14 | 3 month USD-LIBOR-BBA | 2.6925% | 68,016 | ||||
41
| INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/09 cont. | |||||||||
| Upfront | Termi- | Unrealized | |||||||
| Swap | Notional | premium | nation | Payments made by | Payments received by | appreciation/ | |||
| counterparty | amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |||
|
| |||||||||
| JPMorgan Chase Bank, | $15,289,000 | $— | 3/11/38 | 5.0025% | 3 month USD-LIBOR- | $(2,913,215) | |||
| N.A. | BBA | ||||||||
|
| |||||||||
| 35,403,000 | — | 3/20/13 | 3 month USD-LIBOR-BBA | 3.145% | 1,295,379 | ||||
|
| |||||||||
| 69,999,000 | — | 3/26/10 | 3 month USD-LIBOR-BBA | 2.33375% | 690,252 | ||||
|
| |||||||||
| 26,533,000 | — | 4/8/13 | 3 month USD-LIBOR-BBA | 3.58406% | 1,762,197 | ||||
|
| |||||||||
| 53,631,000 | — | 5/23/10 | 3 month USD-LIBOR-BBA | 3.16% | 1,509,859 | ||||
|
| |||||||||
| 21,496,000 | — | 5/22/19 | 3 month USD-LIBOR-BBA | 3.3225% | 62,255 | ||||
|
| |||||||||
| 66,969,000 | — | 5/28/11 | 3 month USD-LIBOR-BBA | 1.3375% | 571,820 | ||||
|
| |||||||||
| 13,885,000 | E | — | 6/9/20 | 4.73% | 3 month USD-LIBOR- | (1,123,435) | |||
| BBA | |||||||||
|
| |||||||||
| 4,000,000 | — | 6/9/19 | 3 month USD-LIBOR-BBA | 4.207% | 313,239 | ||||
|
| |||||||||
| 41,204,000 | — | 6/9/11 | 3 month USD-LIBOR-BBA | 1.7675% | 687,703 | ||||
|
| |||||||||
| 69,867,000 | — | 6/10/11 | 3 month USD-LIBOR-BBA | 1.81% | 1,222,305 | ||||
|
| |||||||||
| 6,423,000 | — | 7/16/10 | 3 month USD-LIBOR-BBA | 3.384% | 184,870 | ||||
|
| |||||||||
| 19,148,000 | — | 7/22/10 | 3 month USD-LIBOR-BBA | 3.565% | 583,955 | ||||
|
| |||||||||
| 49,717,000 | — | 7/28/10 | 3 month USD-LIBOR-BBA | 3.5141% | 1,485,718 | ||||
|
| |||||||||
| CAD | 16,680,000 | — | 6/9/12 | 6 month CAD-BA-CDOR | 1.95% | 111,164 | |||
|
| |||||||||
| CAD | 5,330,000 | — | 6/9/14 | 2.725% | 6 month CAD-BA-CDOR | (68,904) | |||
|
| |||||||||
| $13,885,000 | E | — | 6/11/20 | 4.735% | 3 month USD-LIBOR- | (1,126,351) | |||
| BBA | |||||||||
|
| |||||||||
| CAD | 26,600,000 | — | 6/9/10 | 0.57% | 1 month CAD-BA-CDOR | (22,444) | |||
|
| |||||||||
| $35,465,000 | — | 6/16/19 | 4.09% | 3 month USD-LIBOR- | (2,388,789) | ||||
| BBA | |||||||||
|
| |||||||||
| 12,266,000 | — | 6/19/19 | 3 month USD-LIBOR-BBA | 3.8725% | 590,252 | ||||
|
| |||||||||
| AUD | 6,090,000 | — | 6/26/19 | 6 month AUD-BBR-BBSW | 6.05% | 35,749 | |||
|
| |||||||||
| CAD | 6,090,000 | — | 6/25/19 | 3.626% | 6 month CAD-BA-CDOR | (168,623) | |||
|
| |||||||||
| JPY | 8,737,320,000 | — | 9/18/15 | 6 month JPY-LIBOR-BBA | 1.19% | 1,350,303 | |||
|
| |||||||||
| JPY | 32,620,000 | — | 9/18/38 | 2.17% | 6 month JPY-LIBOR- | (3,860) | |||
| BBA | |||||||||
|
| |||||||||
| $17,560,000 | — | 9/23/38 | 4.70763% | 3 month USD-LIBOR- | (2,433,321) | ||||
| BBA | |||||||||
|
| |||||||||
| 3,445,000 | — | 10/22/10 | 3 month USD-LIBOR-BBA | 2.78% | 115,863 | ||||
|
| |||||||||
| 17,025,000 | — | 10/23/13 | 3 month USD-LIBOR-BBA | 3.535% | 1,033,356 | ||||
|
| |||||||||
| JPY | 358,600,000 | E | — | 7/28/29 | 6 month JPY-LIBOR-BBA | 2.67% | (21,807) | ||
|
| |||||||||
| JPY | 482,100,000 | E | — | 7/28/39 | 2.40% | 6 month JPY-LIBOR- | 30,447 | ||
| BBA | |||||||||
|
| |||||||||
| $52,300,000 | — | 7/30/11 | 1.46% | 3 month USD-LIBOR- | (344,354) | ||||
| BBA | |||||||||
|
| |||||||||
| 20,609,000 | — | 8/3/14 | 3 month USD-LIBOR-BBA | 3.061% | 516,870 | ||||
|
| |||||||||
| 71,000,000 | — | 11/24/10 | 3 month USD-LIBOR-BBA | 2.0075% | 1,502,431 | ||||
|
| |||||||||
| EUR | 22,020,000 | — | 12/11/13 | 6 month EUR-EURIBOR- | 3.536% | 1,992,176 | |||
| REUTERS | |||||||||
|
| |||||||||
| PLN | 9,400,000 | — | 1/26/11 | 6 month PLN-WIBOR-WIBO | 4.177% | $39,618 | |||
|
| |||||||||
| $22,300,000 | — | 8/4/14 | 3 month USD-LIBOR-BBA | 2.89% | 376,502 | ||||
|
| |||||||||
| HUF | 349,000,000 | — | 8/6/14 | 6 month HUF-BUBOR-REUTERS | 7.08% | (6,603) | |||
|
| |||||||||
| $17,000,000 | — | 8/7/19 | 4.015% | 3 month USD-LIBOR- | (915,234) | ||||
| BBA | |||||||||
|
| |||||||||
| 14,000,000 | — | 8/10/19 | 4.02% | 3 month USD-LIBOR- | (755,079) | ||||
| BBA | |||||||||
|
| |||||||||
| HUF | 91,700,000 | — | 8/27/14 | 6 month HUF-BUBOR-REUTERS | 6.94% | (3,279) | |||
|
| |||||||||
| JPY | 7,460,000,000 | — | 6/6/13 | 1.83% | 6 month JPY-LIBOR- | (3,638,667) | |||
| BBA | |||||||||
|
| |||||||||
| $6,970,000 | — | 1/27/24 | 3.1% | 3 month USD-LIBOR- | 472,792 | ||||
| BBA | |||||||||
|
| |||||||||
| AUD | 12,130,000 | E | — | 1/27/12 | 3 month AUD-BBR-BBSW | 4.21% | (163,637) | ||
|
| |||||||||
| $3,485,000 | — | 2/3/24 | 3 month USD-LIBOR-BBA | 3.2825% | (165,410) | ||||
42
| INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/09 cont. | |||||||||
| Upfront | Termi- | Unrealized | |||||||
| Swap | Notional | premium | nation | Payments made by | Payments received by | appreciation/ | |||
| counterparty | amount | received (paid) | date | fund per annum | fund per annum | (depreciation) | |||
|
| |||||||||
| JPMorgan Chase Bank, | $80,000,000 | $— | 2/5/11 | 1.625% | 3 month USD-LIBOR- | $(952,851) | |||
| N.A. cont. | BBA | ||||||||
|
| |||||||||
| 195,522,000 | — | 2/6/11 | 1.6966% | 3 month USD-LIBOR- | (2,531,998) | ||||
| BBA | |||||||||
|
| |||||||||
| 20,767,000 | — | 2/6/29 | 3 month USD-LIBOR-BBA | 3.4546% | (1,075,818) | ||||
|
| |||||||||
| 22,859,000 | — | 3/3/11 | 3 month USD-LIBOR-BBA | 1.68283% | 275,423 | ||||
|
| |||||||||
| 4,658,000 | — | 3/6/39 | 3.48% | 3 month USD-LIBOR- | 357,769 | ||||
| BBA | |||||||||
|
| |||||||||
| 12,980,600 | — | 9/10/19 | 3.66% | 3 month USD-LIBOR- | (257,521) | ||||
| BBA | |||||||||
|
| |||||||||
| EUR | 7,270,000 | E | — | 9/17/29 | 6 month EUR-EURIBOR- | 4.944% | 65,474 | ||
| REUTERS | |||||||||
|
| |||||||||
| $12,000,000 | — | 9/14/19 | 3 month USD-LIBOR-BBA | 3.505% | 71,803 | ||||
|
| |||||||||
| 5,521,000 | (32,641) | 9/16/39 | 4.00% | 3 month USD-LIBOR- | (112,882) | ||||
| BBA | |||||||||
|
| |||||||||
| EUR | 56,970,000 | — | 9/18/11 | 1.662% | 6 month EUR-EURIBOR- | 37,878 | |||
| REUTERS | |||||||||
|
| |||||||||
| EUR | 15,010,000 | — | 9/18/14 | 6 month EUR-EURIBOR- | 2.72% | 38,007 | |||
| REUTERS | |||||||||
|
| |||||||||
| $8,500,000 | — | 9/21/19 | 3 month USD-LIBOR-BBA | 3.575% | 96,067 | ||||
|
| |||||||||
| EUR | 19,200,000 | — | 9/22/19 | 6 month EUR-EURIBOR- | 3.549% | 236,165 | |||
| REUTERS | |||||||||
|
| |||||||||
| $27,550,000 | — | 9/22/19 | 3.645% | 3 month USD-LIBOR- | (475,483) | ||||
| BBA | |||||||||
|
| |||||||||
| 36,571,000 | — | 9/22/11 | 1.335% | 3 month USD-LIBOR- | (49,057) | ||||
| BBA | |||||||||
|
| |||||||||
| GBP | 910,000 | — | 9/24/29 | 6 month GBP-LIBOR-BBA | 4.1975% | 15,293 | |||
|
| |||||||||
| GBP | 7,260,000 | — | 9/28/19 | 3.9225% | 6 month GBP-LIBOR- | (44,739) | |||
| BBA | |||||||||
|
| |||||||||
| EUR | 9,600,000 | — | 10/1/19 | 3.481% | 6 month EUR-EURIBOR- | (26,711) | |||
| REUTERS | |||||||||
|
| |||||||||
| CAD | 7,690,000 | — | 3/16/11 | 0.98% | 3 month CAD-BA-CDOR | (1,316) | |||
|
| |||||||||
| CAD | 1,690,000 | — | 3/16/19 | 3 month CAD-BA-CDOR | 2.7% | (82,287) | |||
|
| |||||||||
| CAD | 7,940,000 | — | 3/17/13 | 1.56% | 3 month CAD-BA-CDOR | 155,805 | |||
|
| |||||||||
| CAD | 2,520,000 | — | 3/17/24 | 3 month CAD-BA-CDOR | 3.46% | (107,302) | |||
|
| |||||||||
| $41,000,000 | — | 3/20/19 | 3.20875% | 3 month USD-LIBOR- | 636,720 | ||||
| BBA | |||||||||
|
| |||||||||
| 120,000,000 | — | 3/24/11 | 3 month USD-LIBOR-BBA | 1.4625% | 953,860 | ||||
|
| |||||||||
| 63,500,000 | — | 4/3/11 | 3 month USD-LIBOR-BBA | 1.365% | 718,846 | ||||
|
| |||||||||
| 20,810,000 | — | 4/3/13 | 1.963% | 3 month USD-LIBOR- | (74,710) | ||||
| BBA | |||||||||
|
| |||||||||
| 116,130,000 | — | 4/3/14 | 2.203% | 3 month USD-LIBOR- | 400,200 | ||||
| BBA | |||||||||
|
| |||||||||
| 158,590,000 | — | 4/3/10 | 3 month USD-LIBOR-BBA | 1.168% | 1,337,923 | ||||
|
| |||||||||
| 57,988,000 | — | 4/9/11 | 3 month USD-LIBOR-BBA | 1.5025% | 806,291 | ||||
|
| |||||||||
| 55,000,000 | — | 5/11/19 | 3 month USD-LIBOR-BBA | 3.4% | 584,583 | ||||
|
| |||||||||
| 18,600,000 | — | 5/13/19 | 3 month USD-LIBOR-BBA | 3.2825% | 4,175 | ||||
|
| |||||||||
| Merrill Lynch Capital | JPY | 743,800,000 | — | 6/10/16 | 1.99625% | 6 month JPY-LIBOR- | (544,972) | ||
| Services, Inc. | BBA | ||||||||
|
| |||||||||
| Merrill Lynch | JPY | 371,900,000 | — | 6/11/17 | 2.05625% | 6 month JPY-LIBOR- | (291,536) | ||
| Derivative Products | BBA | ||||||||
| AG | |||||||||
|
| |||||||||
| Morgan Stanley | $2,100,000 | — | 7/30/19 | 3 month USD-LIBOR-BBA | 3.87% | 88,405 | |||
| Capital Services, Inc. | |||||||||
|
| |||||||||
| Total | $16,553,697 | ||||||||
E See Note 1 to the financial statements regarding extended effective dates.
43
| TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/09 | |||||||||
| Upfront | Termi- | Unrealized | |||||||
| Swap | Notional | premium | nation | Fixed payments received (paid) | Total return received by | appreciation/ | |||
| counterparty | amount | received (paid) | date | by fund per annum | or paid by fund | (depreciation) | |||
|
| |||||||||
| Deutsche Bank AG | |||||||||
|
| |||||||||
| EUR | 5,760,000 | $— | 3/27/14 | 1.785% | Eurostat Eurozone HICP | $42,175 | |||
| excluding tobacco | |||||||||
|
| |||||||||
| Goldman Sachs | |||||||||
| International | |||||||||
|
| |||||||||
| EUR | 9,600,000 | — | 4/30/13 | 2.375% | French Consumer Price | 583,979 | |||
| Index excluding tobacco | |||||||||
|
| |||||||||
| EUR | 9,600,000 | — | 4/30/13 | (2.41%) | Eurostat Eurozone HICP | (606,754) | |||
| excluding tobacco | |||||||||
|
| |||||||||
| EUR | 9,600,000 | — | 5/6/13 | 2.34% | French Consumer Price | 564,298 | |||
| Index excluding tobacco | |||||||||
|
| |||||||||
| EUR | 9,600,000 | — | 5/6/13 | (2.385%) | Eurostat Eurozone HICP | (591,571) | |||
| excluding tobacco | |||||||||
|
| |||||||||
| $6,400,000 | — | 7/9/14 | (1.70%) | USA Non Revised | 37,952 | ||||
| Consumer Price Index — | |||||||||
| Urban (CPI-U) | |||||||||
|
| |||||||||
| GBP | 5,920,000 | — | 8/21/12 | (2.66%) | GBP Non-revised UK | 12,981 | |||
| Retail Price Index | |||||||||
|
| |||||||||
| $5,120,000 | — | 7/13/14 | (1.60%) | USA Non Revised | 54,989 | ||||
| Consumer Price Index — | |||||||||
| Urban (CPI-U) | |||||||||
|
| |||||||||
| EUR | 5,320,000 | — | 4/23/14 | 1.67% | Eurostat Eurozone HICP | (52,665) | |||
| excluding tobacco | |||||||||
|
| |||||||||
| EUR | 5,760,000 | — | 4/14/14 | 1.835% | Eurostat Eurozone HICP | 9,278 | |||
| excluding tobacco | |||||||||
|
| |||||||||
| $18,950,000 | — | 5/18/10 | (0.25%) | USA Non Revised | 322,719 | ||||
| Consumer Price Index — | |||||||||
| Urban (CPI-U) | |||||||||
|
| |||||||||
| Total | $377,381 | ||||||||
| CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/09 | ||||||||
| Fixed payments | Unrealized | |||||||
| Swap counterparty / | Upfront premium | Notional | Termination | received (paid) by | appreciation/ | |||
| Referenced debt* | Rating*** | received (paid)** | amount | date | fund per annum | (depreciation) | ||
|
| ||||||||
| Bank of America, N.A. | ||||||||
| Financial Security Assurance Holdings, | Baa1 | $— | $555,000 | 12/20/12 | 95 bp | $(85,262) | ||
| Ltd, 6.4%, 12/15/66 | ||||||||
|
| ||||||||
| Nalco Co., 7.75%, 11/15/11 | Ba2 | — | 80,000 | 9/20/12 | 350 bp | 434 | ||
|
| ||||||||
| Barclays Bank PLC | ||||||||
| DJ ABX HE PEN AAA Series 6 | A+ | 278,302 | 1,531,250 | 7/25/45 | 18 bp | 98,732 | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 | A+ | 220,207 | 1,148,438 | 7/25/45 | 18 bp | 85,529 | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 | A+ | 208,985 | 990,387 | 7/25/45 | 18 bp | 92,843 | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 | A+ | 210,906 | 995,408 | 7/25/45 | 18 bp | 94,174 | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 7 | BB– | 898,208 | 1,524,000 | 8/25/37 | 9 bp | (44,364) | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ CDX NA IG Series 12 Version 1 Index | — | (1,130,107) | 29,966,000 | 6/20/14 | (100 bp) | (1,006,880) | ||
44
| CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/09 cont. | ||||||||
| Fixed payments | Unrealized | |||||||
| Swap counterparty / | Upfront premium | Notional | Termination | received (paid) by | appreciation/ | |||
| Referenced debt* | Rating*** | received (paid)** | amount | date | fund per annum | (depreciation) | ||
|
| ||||||||
| Citibank, N.A. | ||||||||
| DJ ABX HE AAA Index | BBB– | $717,663 | $3,469,012 | 5/25/46 | 11 bp | $(262,269) | ||
|
| ||||||||
| DJ ABX HE PEN AAA Index | BBB– | 611,503 | 3,954,273 | 5/25/46 | 11 bp | (505,506) | ||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 | BBB– | 171,737 | 807,698 | 5/25/46 | 11 bp | (56,423) | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 | A+ | 163,880 | 805,078 | 7/25/45 | 18 bp | 69,469 | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 | BBB– | 686,668 | 3,740,116 | 5/25/46 | 11 bp | (369,847) | ||
| Version 2 Index | ||||||||
|
| ||||||||
| Lighthouse International Co., SA, | B3 | — | EUR | 495,000 | 3/20/13 | 815 bp | (123,847) | |
| 8%, 4/30/14 | ||||||||
|
| ||||||||
| Republic of Argentina, 8.28%, 12/31/33 | — | — | $330,000 | 9/20/13 | (1,170 bp) | (6,052) | ||
|
| ||||||||
| Republic of Argentina, 8.28%, 12/31/33 | B– | — | 330,000 | 9/20/13 | (945 bp) | 16,653 | ||
|
| ||||||||
| Credit Suisse First Boston International | ||||||||
| Ukraine (Government of), 7.65%, | B2 | — | 1,105,000 | 10/20/11 | 194 bp | (216,881) | ||
| 6/11/13 | ||||||||
|
| ||||||||
| Credit Suisse International | ||||||||
| DJ ABX HE PEN AAA Series 6 | A+ | 861,696 | 4,200,896 | 7/25/45 | 18 bp | 369,057 | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 | BBB– | 1,991,129 | 4,355,315 | 5/25/46 | 11 bp | 760,833 | ||
| Version 2 Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 7 | BB– | 1,146,531 | 1,931,000 | 8/25/37 | 9 bp | (45,832) | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ CMB NA CMBX AAA Index | AA+ | 8,988 | 54,000 | 12/13/49 | 8 bp | (1,136) | ||
|
| ||||||||
| DJ CMBX NA AAA Series 4 | AA+ | 1,523,481 | 3,688,000 | 2/17/51 | 35 bp | 782,777 | ||
| Version 1 Index | ||||||||
|
| ||||||||
| Deutsche Bank AG | ||||||||
| DJ ABX HE PEN AAA Index | BBB– | 608,711 | 3,954,273 | 5/25/46 | 11 bp | (508,299) | ||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 | A+ | 113,424 | 520,061 | 7/25/45 | 18 bp | 52,437 | ||
| Version 1 Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 | BBB– | 655,834 | 1,741,324 | 5/25/46 | 11 bp | 163,417 | ||
| Version 2 Index | ||||||||
|
| ||||||||
| DJ iTraxx Europe Series 8 Version 1 | — | (54,791) | EUR | 571,200 | 12/20/12 | (375 bp) | 2,135 | |
|
| ||||||||
| DJ iTraxx Europe Series 9 Version 1 | — | 158,373 | EUR | 2,318,400 | 6/20/13 | (650 bp) | 104,225 | |
|
| ||||||||
| Federal Republic of Brazil, | Baa3 | — | $775,000 | 10/20/17 | 105 bp | (18,272) | ||
| 12 1/4%, 3/6/30 | ||||||||
|
| ||||||||
| General Electric Capital Corp., | Aa2 | — | 300,000 | 9/20/13 | 109 bp | (9,214) | ||
| 6%, 6/15/12 | ||||||||
|
| ||||||||
| India Government Bond, 5 7/8%, 1/2/10 | Ba2 | — | 5,800,000 | 1/11/10 | 170 bp | 50,901 | ||
|
| ||||||||
| Korea Monetary STAB Bond, | A2 | — | 1,365,000 | 2/19/10 | 115 bp | 5,067 | ||
| 5.15%, 2/12/10 | ||||||||
|
| ||||||||
| Korea Monetary STAB Bond, 5.45%, | A | — | 870,000 | 2/1/10 | 101 bp | 3,278 | ||
| 1/23/10 | ||||||||
|
| ||||||||
| Nalco Co., 7.75%, 11/15/11 | Ba2 | — | 70,000 | 12/20/12 | 363 bp | 586 | ||
|
| ||||||||
| Republic of Argentina, 8.28%, 12/31/33 | — | — | 660,000 | 8/20/12 | (380 bp) | 107,482 | ||
|
| ||||||||
| Smurfit Kappa Funding, 7 3/4%, 4/1/15 | B2 | — | EUR | 425,000 | 9/20/13 | 715 bp | 21,105 | |
|
| ||||||||
| Thomson SA, 5 3/4%, 9/25/49 | — | — | EUR | 11,900 | 12/20/12 | (375 bp) | 3,597 | |
|
| ||||||||
| Thomson SA, 5 3/4%, 9/25/49 | — | — | EUR | 48,300 | 6/20/13 | (650 bp) | 12,653 | |
|
| ||||||||
| United Mexican States, 7.5%, 4/8/33 | Baa1 | — | $1,495,000 | 3/20/14 | 56 bp | (59,866) | ||
|
| ||||||||
| Virgin Media Finance PLC, 8 3/4%, | B2 | — | EUR | 400,000 | 9/20/13 | 477 bp | 6,454 | |
| 4/15/14 | ||||||||
|
| ||||||||
| Virgin Media Finance PLC, 8 3/4%, | B2 | — | EUR | 400,000 | 9/20/13 | 535 bp | 18,199 | |
| 4/15/14 | ||||||||
45
| CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/09 cont. | ||||||||
| Fixed payments | Unrealized | |||||||
| Swap counterparty / | Upfront premium | Notional | Termination | received (paid) by | appreciation/ | |||
| Referenced debt* | Rating*** | received (paid)** | amount | date | fund per annum | (depreciation) | ||
|
| ||||||||
| Goldman Sachs International | ||||||||
| DJ ABX HE PEN AAA Series 6 Version 2 | BBB– | $809,979 | $1,876,876 | 5/25/46 | 11 bp | $279,796 | ||
| Index | ||||||||
|
| ||||||||
| DJ CDX NA CMBX AAA Index | AAA | 56,692 | 1,550,000 | 3/15/49 | 7 bp | (133,168) | ||
|
| ||||||||
| DJ CDX NA IG Series 12 Version 1 Index | — | (1,177,535) | 27,089,000 | 6/20/14 | (100 bp) | (1,066,139) | ||
|
| ||||||||
| DJ CDX NA IG Series 12 Version 1 Index | — | (127,138) | 2,893,000 | 6/20/14 | (100 bp) | (115,242) | ||
|
| ||||||||
| Lighthouse International Co, SA, 8%, | B3 | — | EUR | 420,000 | 3/20/13 | 680 bp | (106,077) | |
| 4/30/14 | ||||||||
|
| ||||||||
| Smurfit Kappa Funding, 7 3/4%, 4/1/15 | B2 | — | EUR | 390,000 | 9/20/13 | 720 bp | 18,073 | |
|
| ||||||||
| JPMorgan Chase Bank, N.A. | ||||||||
| Claire’s Stores, 9 5/8%, 6/1/15 | Caa1 | — | $70,000 | 6/20/12 | 230 bp | (19,394) | ||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 Version 1 | A+ | 77,693 | 362,249 | 7/25/45 | 18 bp | 35,201 | ||
| Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 Version 2 | BBB– | 189,164 | 866,250 | 5/25/46 | 11 bp | (55,536) | ||
| Index | ||||||||
|
| ||||||||
| DJ ABX HE PEN AAA Series 6 Version 2 | BBB– | 659,822 | 1,726,886 | 5/25/46 | 11 bp | 172,009 | ||
| Index | ||||||||
|
| ||||||||
| DJ CDX NA EM Series 10 Index | Ba2 | 28,017 | 485,000 | 12/20/13 | 335 bp | 36,460 | ||
|
| ||||||||
| DJ iTraxx Europe Crossover Series 8 | — | (153,928) | EUR | 1,152,000 | 12/20/12 | (375 bp) | (39,118) | |
| Version 1 | ||||||||
|
| ||||||||
| Freeport-McMoRan Copper & Gold, Inc., | Ba2 | — | $1,194,100 | 3/20/12 | (85 bp) | (7,566) | ||
| bank term loan | ||||||||
|
| ||||||||
| Republic of Argentina, 8.28%, 12/31/33 | B– | — | 705,000 | 6/20/14 | 235 bp | (205,307) | ||
|
| ||||||||
| Republic of Hungary, 4 3/4%, 2/3/15 | — | — | 600,000 | 4/20/13 | (171.5 bp) | 1,942 | ||
|
| ||||||||
| Russian Federation, 7 1/2%, 3/31/30 | Baa1 | — | 1,605,000 | 5/20/17 | 60 bp | (160,178) | ||
|
| ||||||||
| Sanmina-Sci Corp., 8 1/8%, 3/1/16 | B3 | — | 215,000 | 6/20/13 | 595 bp | (9,604) | ||
|
| ||||||||
| Thomson SA, 5 3/4%, 9/25/49 | — | — | EUR | 24,000 | 12/20/12 | (375 bp) | 7,255 | |
|
| ||||||||
| Merrill Lynch Capital Services, Inc. | ||||||||
| D.R. Horton Inc., 7 7/8%, 8/15/11 | — | — | $735,000 | 9/20/11 | (426 bp) | (40,729) | ||
|
| ||||||||
| Morgan Stanley Capital Services, Inc. | ||||||||
| DJ ABX CMBX BBB Index | — | 50 | 68,790 | 10/12/52 | (134 bp) | 49,972 | ||
|
| ||||||||
| DJ CDX NA IG Series 12 Version 1 Index | — | (256,363) | 6,310,000 | 6/20/14 | (100 bp) | (230,415) | ||
|
| ||||||||
| DJ CMB NA CMBX AAA Index | AA+ | 273,852 | 2,523,500 | 2/17/51 | 35 bp | (232,996) | ||
|
| ||||||||
| Dominican Republic, 8 5/8%, 4/20/27 | — | — | 1,190,000 | 11/20/11 | (170 bp) | 92,399 | ||
|
| ||||||||
| Freeport-McMoRan Copper & Gold, Inc., | Baa3 | — | 1,191,200 | 3/20/12 | 44 bp | (12,091) | ||
| T/L Bank Loan | ||||||||
|
| ||||||||
| Nalco Co., 7.75%, 11/15/11 | Ba2 | — | 80,000 | 9/20/12 | 330 bp | (113) | ||
|
| ||||||||
| Nalco Co., 7.75%, 11/15/11 | Ba2 | — | 115,000 | 3/20/13 | 460 bp | 4,289 | ||
|
| ||||||||
| Republic of Venezuela, 9 1/4%, 9/15/27 | B2 | — | 510,000 | 10/12/12 | 339 bp | (59,146) | ||
|
| ||||||||
| UBS, AG | ||||||||
| Meritage Homes Corp., 7%, 5/1/14 | — | — | 67,000 | F | 9/20/13 | (760 bp) | (8,429) | |
|
| ||||||||
| Total | $(2,201,765) | |||||||
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at September 30, 2009.
F Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or Level 3 for ASC 820 disclosures based on securities valuation inputs.
46
In September 2006, Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (“ASC 820”) was issued. ASC 820 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. While the adoption of ASC 820 does not have a material effect on the fund’s net asset value, it does require additional disclosures about fair value measurements. ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1 — Valuations based on quoted prices for identical securities in active markets.
Level 2 — Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3 — Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of September 30, 2009:
| Valuation inputs | |||
|
| |||
| Investments in securities: | Level 1 | Level 2 | Level 3 |
|
| |||
| Asset-backed securities | $— | $44,031,541 | $1,405,573 |
|
| |||
| Common stocks: | |||
|
| |||
| Communication services | 29,939 | — | — |
|
| |||
| Conglomerates | — | — | 3,091 |
|
| |||
| Consumer cyclicals | — | — | 11 |
|
| |||
| Total Common stocks | 29,939 | — | 3,102 |
|
| |||
| Convertible bonds and notes | — | 1,002,102 | — |
|
| |||
| Convertible preferred stocks | — | 26,457 | — |
|
| |||
| Corporate bonds and notes | — | 86,732,006 | 1,363 |
|
| |||
| Foreign government bonds and notes | — | 25,361,474 | — |
|
| |||
| Mortgage-backed securities | — | 181,195,990 | — |
|
| |||
| Preferred stocks | — | 132,589 | — |
|
| |||
| Purchased options outstanding | — | 12,478,482 | — |
|
| |||
| Senior loans | — | 23,730,986 | — |
|
| |||
| U.S. government and agency mortgage obligations | — | 30,672,932 | — |
|
| |||
| U.S treasury obligations | — | 216,904 | — |
|
| |||
| Warrants | 8,585 | 20,796 | — |
|
| |||
| Short-term investments | 23,069,935 | 13,276,695 | — |
|
| |||
| Totals by level | $23,108,459 | $418,878,954 | $1,410,038 |
|
| |||
| Level 1 | Level 2 | Level 3 | |
|
| |||
| Other financial instruments: | $1,035,138 | $(22,593,113) | $(163,825) |
Other financial instruments include futures, written options, TBA sale commitments, swaps, forward currency contracts and receivable purchase agreements.
The following is a reconciliation of Level 3 assets as of September 30, 2009:
| Change in net | |||||||
| Balance as of | Accrued | unrealized | Net transfers in | Balance as of | |||
| September 30, | discounts/ | Realized gain/ | appreciation/ | Net purchases/ | and/or out of | September 30, | |
| Investments in securities: | 2008 | premiums | (loss) | (depreciation) † | sales | Level 3 | 2009 |
|
| |||||||
| Asset-backed securities | $4,153,299 | $— | $(410,549) | $(360,235) | $(1,362,890) | $(614,052) | $1,405,573 |
|
| |||||||
| Common stocks: | |||||||
|
| |||||||
| Conglomerates | $33,627 | — | (522,593) | 574,932 | (82,875) | — | 3,091 |
|
| |||||||
| Consumer cyclicals | $— | — | — | 11 | — | — | 11 |
|
| |||||||
| Total Common stocks | $33,627 | — | (522,593) | 574,943 | (82,875) | — | $3,102 |
|
| |||||||
| Corporate bonds and notes | $13 | — | (11) | 3,239 | (1,878) | — | $1,363 |
|
| |||||||
| Mortgage-backed securities | $1,042,398 | — | — | — | — | (1,042,398) | $— |
|
| |||||||
| Warrants | $1,847 | — | (19,265) | 17,418 | — | — | $— |
|
| |||||||
| Totals: | $5,231,184 | $— | $(952,418) | $235,365 | $(1,447,643) | $(1,656,450) | $1,410,038 |
† Includes $(516,614) related to Level 3 securities still held at period end. Total change in unrealized appreciation/(depreciation) for securities (including Level 1 and Level 2) can be found in the Statement of operations.
| Change in net | |||||||
| Balance as of | Accrued | unrealized | Net transfers in | Balance as of | |||
| September 30, | discounts/ | Realized gain/ | appreciation/ | Net purchases/ | and/or out of | September 30, | |
| 2008 | premiums | (loss) | (depreciation)† | sales | Level 3 | 2009 †† | |
|
| |||||||
| Other financial instruments: | $(169,014) | $— | $— | $5,189 | $— | $— | $(163,825) |
†† Includes amount payable under receivable purchase agreement.
† Includes $5,189 related to Level 3 securities still held at period end. Total change in unrealized appreciation/(depreciation) for securities (including Level 1 and Level 2) can be found in the Statement of operations.
The accompanying notes are an integral part of these financial statements.
47
| Statement of assets and liabilities 9/30/09 | ||
| ASSETS | ||
|
| ||
| Investment in securities, at value, (Note 1): | ||
| Unaffiliated issuers (identified cost $418,078,319) | $426,077,516 | |
| Affiliated issuers (identified cost $17,319,935) (Note 6) | 17,319,935 | |
|
| ||
| Cash | 1,668,015 | |
|
| ||
| Foreign currency (cost $529) (Note 1) | 417 | |
|
| ||
| Dividends, interest and other receivables | 4,572,740 | |
|
| ||
| Receivable for investments sold | 63,971,589 | |
|
| ||
| Receivable for sales of delayed delivery securities (Note 1) | 2,026,531 | |
|
| ||
| Unrealized appreciation on swap contracts (Note 1) | 95,517,333 | |
|
| ||
| Unrealized appreciation on forward currency contracts (Note 1) | 2,139,224 | |
|
| ||
| Premium paid on swap contracts (Note 1) | 3,560,533 | |
|
| ||
| Total assets | 616,853,833 | |
| LIABILITIES | ||
|
| ||
| Payable for variation margin (Note 1) | 323,198 | |
|
| ||
| Distributions payable to shareholders | 2,898,810 | |
|
| ||
| Payable for investments purchased | 69,860,068 | |
|
| ||
| Payable for purchases of delayed delivery securities (Note 1) | 28,699,007 | |
|
| ||
| Payable for compensation of Manager (Note 2) | 687,095 | |
|
| ||
| Payable for investor servicing fees (Note 2) | 15,674 | |
|
| ||
| Payable for custodian fees (Note 2) | 72,014 | |
|
| ||
| Payable for Trustee compensation and expenses (Note 2) | 125,242 | |
|
| ||
| Payable for administrative services (Note 2) | 1,215 | |
|
| ||
| Unrealized depreciation on forward currency contracts (Note 1) | 583,399 | |
|
| ||
| Interest payable (Note 2) | 110,551 | |
|
| ||
| Written options outstanding, at value (premiums | ||
| received $26,542,096) (Notes 1 and 3) | 26,848,587 | |
|
| ||
| Payable for receivable purchase agreement (Note 2) | 163,825 | |
|
| ||
| Premium received on swap contracts (Note 1) | 13,564,572 | |
|
| ||
| Unrealized depreciation on swap contracts (Note 1) | 80,788,020 | |
|
| ||
| TBA sales commitments, at value | ||
| (proceeds receivable $2,023,281) (Note 1) | 2,025,625 | |
|
| ||
| Collateral on certain derivative contracts, at value (Note 1) | 6,571,783 | |
|
| ||
| Other accrued expenses | 126,728 | |
|
| ||
| Total liabilities | 233,465,413 | |
| Net assets | $383,388,420 | |
| REPRESENTED BY | |
|
| |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $551,166,870 |
|
| |
| Undistributed net investment income (Note 1) | 23,598,627 |
|
| |
| Accumulated net realized loss on investments | |
| and foreign currency transactions (Note 1) | (216,587,033) |
|
| |
| Net unrealized appreciation of investments and | |
| assets and liabilities in foreign currencies | 25,209,956 |
|
| |
| Total — Representing net assets applicable to | |
| capital shares outstanding | $383,388,420 |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
|
| |
| Net asset value per share | |
| ($383,388,420 divided by 64,565,117 shares) | $5.94 |
The accompanying notes are an integral part of these financial statements.
48
| Statement of operations Year ended 9/30/09 | |
| INVESTMENT INCOME | |
|
| |
| Interest (net of foreign tax of $16,129 ) (including | |
| interest income of $25,038 from investments in | |
| affiliated issuers) (Note 6) | $25,198,190 |
|
| |
| Dividends | 10,348 |
|
| |
| Securities lending | 2,656 |
|
| |
| Total investment income | 25,211,194 |
| EXPENSES | |
|
| |
| Compensation of Manager (Note 2) | 2,341,735 |
|
| |
| Investor servicing fees (Note 2) | 156,343 |
|
| |
| Custodian fees (Note 2) | 97,625 |
|
| |
| Trustee compensation and expenses (Note 2) | 36,202 |
|
| |
| Administrative services (Note 2) | 23,622 |
|
| |
| Interest expense (Note 2) | 110,551 |
|
| |
| Other | 413,679 |
|
| |
| Total expenses | 3,179,757 |
| Expense reduction (Note 2) | (3,683) |
|
| |
| Net expenses | 3,176,074 |
| Net investment income | 22,035,120 |
|
| |
| Net realized loss on investments (Notes 1 and 3) | (23,592,519) |
|
| |
| Net realized loss on swap contracts (Note 1) | (50,963,760) |
|
| |
| Net realized loss on futures contracts (Note 1) | (27,690,473) |
|
| |
| Net realized loss on foreign currency transactions (Note 1) | (40,525) |
|
| |
| Net realized gain on written options (Notes 1 and 3) | 234,919 |
|
| |
| Net unrealized appreciation of assets and liabilities | |
| in foreign currencies during the year | 3,395,199 |
|
| |
| Net unrealized appreciation of investments, futures contracts, | |
| swap contracts, written options, and TBA sale commitments | |
| during the year | 112,973,602 |
|
| |
| Net gain on investments | 14,316,443 |
|
| |
| Net increase in net assets resulting from operations | $36,351,563 |
| Statement of changes in net assets | ||
| DECREASE IN NET ASSETS | ||
| Year ended | Year ended | |
| 9/30/09 | 9/30/08 | |
|
| ||
| Operations: | ||
|
| ||
| Net investment income | $22,035,120 | $37,047,440 |
|
| ||
| Net realized loss on investments and | ||
| foreign currency transactions | (102,052,358) | (357,169) |
|
| ||
| Net unrealized appreciation (depreciation) | ||
| of investments and assets and liabilities in | ||
| foreign currencies | 116,368,801 | (94,081,603) |
|
| ||
| Net increase (decrease) in net assets | ||
| resulting from operations | 36,351,563 | (57,391,332) |
|
| ||
| Distributions to shareholders (Note 1): | ||
|
| ||
| From ordinary income | ||
|
| ||
| Net investment income | (34,859,749) | (36,112,991) |
|
| ||
| Increase in capital share transactions from | ||
| reinvestment of distributions | 634,849 | — |
|
| ||
| Decrease from shares repurchased | ||
| (Note 4) | (10,711,596) | (93,333,036) |
|
| ||
| Total decrease in net assets | (8,584,933) | (186,837,359) |
| NET ASSETS | ||
|
| ||
| Beginning of year | 391,973,353 | 578,810,712 |
|
| ||
| End of year (including undistributed net | ||
| investment income of $23,598,627 and | ||
| $32,192,969, respectively) | $383,388,420 | $391,973,353 |
| NUMBER OF FUND SHARES | ||
|
| ||
| Shares outstanding at beginning of year | 66,640,509 | 81,137,030 |
|
| ||
| Shares issued in connection with reinvestment | ||
| of distributions | 136,964 | — |
|
| ||
| Shares repurchased (Note 4) | (2,212,356) | (14,496,521) |
|
| ||
| Shares outstanding at end of year | 64,565,117 | 66,640,509 |
The accompanying notes are an integral part of these financial statements.
49
| Financial highlights (For a common share outstanding throughout the period) | |||||
| PER-SHARE OPERATING PERFORMANCE | Year ended | ||||
| 9/30/09 | 9/30/08 | 9/30/07 | 9/30/06 | 9/30/05 | |
|
| |||||
| Net asset value, beginning of period | $5.88 | $7.13 | $7.08 | $7.07 | $7.13 |
| Investment operations: | |||||
|
| |||||
| Net investment income a | .34 | .49 f | .36 f | .34 f | .32 f |
|
| |||||
| Net realized and unrealized gain (loss) on investments | .24 | (1.28) | .01 | (.04) | .04 |
|
| |||||
| Total from investment operations | .58 | (.79) | .37 | .30 | .36 |
| Less distributions: | |||||
|
| |||||
| From net investment income | (.54) | (.49) | (.36) | (.35) | (.42) |
|
| |||||
| Total distributions | (.54) | (.49) | (.36) | (.35) | (.42) |
| Increase from shares repurchased | .02 | .03 | .04 | .06 | — |
|
| |||||
| Net asset value, end of period | $5.94 | $5.88 | $7.13 | $7.08 | $7.07 |
|
| |||||
| Market value, end of period | $5.99 | $5.39 | $6.41 | $6.15 | $6.25 |
|
| |||||
| Total return at market value (%) b | 24.66 | (8.92) | 10.15 | 4.17 | (0.98) |
| RATIOS AND SUPPLEMENTAL DATA | |||||
|
| |||||
| Net assets, end of period (in thousands) | $383,388 | $391,973 | $578,811 | $664,410 | $709,266 |
|
| |||||
| Ratio of expenses to average net assets (%) c | 1.02 d | .96 f | .90 f | .89 f | .87 f |
|
| |||||
| Ratio of expenses to average net assets excluding | |||||
| interest expenses c | .98 | .96 f | .90 f | .89 f | .87 f |
|
| |||||
| Ratio of net investment income to average net assets (%) | 7.05 d | 7.29 f | 5.01 f | 4.84 f | 4.43 f |
|
| |||||
| Portfolio turnover (%) | 223.19 e | 158.75 e | 77.78 e | 113.12 e | 165.33 e |
|
| |||||
a Per share net investment income has been determined on the basis of 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 Includes interest accrued in connection with certain terminated derivative contracts, which amounted to 0.04% of average net assets as of September 30, 2009 (Note 2).
e Portfolio turnover excludes dollar roll transactions.
f Reflects waivers of certain fund expenses in connection with investments in Putnam Prime Money Market Fund during the period. As a result of such waivers, the expenses of the fund reflect a reduction of the following amounts:
| Percentage of average net assets | |||
|
|
|||
| September 30, 2008 | 0.01% | ||
|
|
|||
| September 30, 2007 | 0.02 | ||
|
|
|||
| September 30, 2006 | 0.02 | ||
|
|
|||
| September 30, 2005 | 0.02 | ||
|
|
|||
The accompanying notes are an integral part of these financial statements.
50
Notes to financial statements 9/30/09
Note 1: Significant accounting policies
Putnam Master Intermediate Income Trust (the “fund”), a Massachusetts business trust, is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company and is authorized to issue an unlimited number of shares. The fund’s investment objective is to seek, with equal emphasis, high current income and relative stability of net asset value, by allocating its investments among the U.S. investment grade sector, high-yield sector and international sector. The fund invests in higher yielding, lower rated bonds that have a higher rate of default. The fund may invest a significant portion of its 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’s management team 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. Subsequent events after the balance sheet date through the date that the financial statements were issued, November 16, 2009, have been evaluated in the preparation of the financial statements.
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, an indirect wholly-owned subsidiary of Putnam Investments, 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 (which considers such factors as security prices, yields, maturities and ratings) . 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. To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
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
51
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 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) 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, interest or exchange rates moving unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. 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 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.
The fund had an average contract amount of approximately 3,000 on Futures contracts for the year ended September 30, 2009.
Outstanding contracts on Purchased options contracts at the year ended September 30, 2009 are indicative of the volume of activity during the period.
See Note 3 for the volume of Written options contracts activity for the year ended September 30, 2009.
H) 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. Outstanding contracts on Forward currency contracts at the year ended September 30, 2009 are indicative of the volume of activity during the period.
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 help enhance the funds return and manage the fund’s exposure to credit risk. 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 realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. 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. The fund had an average notional amount of approximately $203,500,000 on Total return swap contracts for the year ended September 30, 2009.
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. An interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. 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 realized gains or losses. Certain interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk , is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. 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. The fund had an
52
average notional amount of approximately $6,946,900,000 on Interest rate swap contracts for the year ended September 30, 2009.
K) Credit default contracts The fund may enter into credit default contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. 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. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio. The fund had an average notional amount of approximately $240,000,000 on Credit default swap contracts for the year ended September 30, 2009.
L) Master agreements The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which can not be sold or repledged totaled $1,624,697 at September 30, 2009. Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At September 30, 2009, the fund had net liability position of $16,978,202 on derivative contracts subject to the Master Agreements. Collateral posted by the fund totaled $6,324,706.
M) 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, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in 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.
N) 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.
O) 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.
P) Securities lending The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are
53
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 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 September 30, 2009, the fund had no securities out on loan.
Q) 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, as amended (the “Code”), 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. The fund is subject to the provisions of ASC 740 Income Taxes (“ASC 740”). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have any unrecognized tax benefits in the accompanying financial statements. 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. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service and state departments of revenue.
At September 30, 2009, the fund had a capital loss carryover of $122,894,194 available to the extent allowed by the Code to offset future net capital gain, if any. The amounts of the carryovers and the expiration dates are:
| Loss Carryover | Expiration | ||
|
|
|||
| $27,431,170 | September 30, 2010 | ||
|
|
|||
| 47,564,236 | September 30, 2011 | ||
|
|
|||
| 7,342,291 | September 30, 2015 | ||
|
|
|||
| 11,586,218 | September 30, 2016 | ||
|
|
|||
| 28,970,279 | September 30, 2017 | ||
|
|
|||
Pursuant to federal income tax regulations applicable to regulated investment companies, the fund has elected to defer to its fiscal year ending September 30, 2010 $87,176,440 of losses recognized during the period November 1, 2008 to September 30, 2009.
R) 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. These differences include temporary and/or permanent differences of post-October loss deferrals, the expiration of a capital loss carryover, dividends payable, realized and unrealized gains and losses on certain futures contracts, income on swap contracts, and interest only securities. 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. For the year ended September 30, 2009, the fund reclassified $4,230,287 to increase undistributed net investment income and $24,608,806 to decrease paid-in-capital, with a decrease to accumulated net realized losses of $20,378,519.
The tax basis components of distributable earnings and the federal tax cost as of September 30, 2009 were as follows:
| Unrealized appreciation | $45,942,859 | ||
| Unrealized depreciation | (43,441,168) | ||
|
|
|||
| Net unrealized appreciation | 2,501,691 | ||
| Undistributed ordinary income | 34,544,182 | ||
| Capital loss carryforward | (122,894,194) | ||
| Post-October loss | (87,176,440) | ||
|
|
|||
| Cost for federal income tax purposes | $440,895,760 | ||
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management for management and investment advisory services quarterly based on the average net assets (including assets, but excluding liabilities, attributable to leverage for investment purposes) of the fund. The fee is based on the following annual rates: 0.75% of the first $500 million of average weekly 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 investment purposes) of the portion of the fund managed by PIL.
On September 15, 2008, the fund terminated its outstanding derivatives contracts with Lehman Brothers Special Financing, Inc. (“LBSF”) in connection with the bankruptcy filing of LBSF’s parent company, Lehman Brothers Holdings, Inc. On September 26, 2008, the fund entered into a receivable purchase agreement (“Agreement”) with another registered investment company (the “Seller”) managed by Putnam Management. Under the Agreement, the Seller sold to the fund the right to receive, in the aggregate, $655,823 in net payments from LBSF in connection with certain terminated derivatives transactions (the “Receivable”), in exchange for an initial payment plus (or minus) additional amounts based on the fund’s ultimate realized gain (or loss) with respect to the Receivable. The Receivable will be offset against the fund’s net payable to LBSF and is included in the Statement of assets and liabilities in Payable for investments purchased. Future payments under the Agreement are valued at fair value following procedures approved by the Trustees and are included in the Statement of assets and liabilities. All remaining payments under the Agreement will be recorded as realized gain or loss. The fund’s net payable to LBSF was calculated in accordance with the fund’s master contract with LBSF. The fund has accrued interest on the net payable, which is included in the Statement of operations in Interest expense. Putnam Management currently is in discussions with LBSF regarding resolution of amounts payable to LBSF. Amounts recorded are estimates and final payments may differ from these estimates by a material amount.
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 functions for the fund’s assets are provided 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 and transaction volumes.
Putnam Investor Services, a division of Putnam Fiduciary Trust Company (“PFTC”), which is an affiliate of Putnam Management, 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. The amounts incurred for investor servicing agent functions provided by PFTC during the year ended September 30, 2009 are included in Investor servicing fees in the Statement of operations.
54
The fund has entered into expense offset arrangements with PFTC and State Street whereby PFTC’s and State Street’s fees are reduced by credits allowed on cash balances. For the year ended September 30, 2009, the fund’s expenses were reduced by $3,683 under the expense offset arrangements.
Each independent Trustee of the fund receives an annual Trustee fee, of which $281, 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 year ended September 30, 2009, cost of purchases and proceeds from sales of investment securities other than short-term investments aggregated $703,110,312 and $753,864,209, respectively. There were no purchases or sales of U.S. government securities.
Written option transactions during the year ended September 30, 2009 are summarized as follows:
| Contract | Premiums | ||
| Amounts | Received | ||
|
| |||
| Written options outstanding | |||
| at beginning of year | EUR | — | — |
|
| |||
| USD | 55,081,000 | $2,141,204 | |
|
| |||
| Options opened | EUR | 29,182,000 | 1,265,518 |
|
| |||
| USD | 431,038,000 | 24,464,228 | |
|
| |||
| Options expired | EUR | — | — |
|
| |||
| USD | 2,120,000 | 63,336 | |
|
| |||
| Options closed | EUR | 29,182,000 | 1,265,518 |
|
| |||
| USD | — | — | |
|
| |||
| Written options outstanding | |||
| at end of year | EUR | — | — |
|
| |||
| USD | 483,999,000 | $26,542,096 | |
|
| |||
Note 4: Share repurchase program
In September 2009, 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, 2010 (based on shares outstanding as of October 7, 2009). 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 7, 2009 (based on shares outstanding as of October 7, 2008) and prior to that, 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). 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 year ended September 30, 2009, the fund repurchased 2,212,356 common shares for an aggregate purchase price of $10,711,596, which reflects a weighted-average discount from net asset value per share of 8.41%.
Note 5: Summary of derivative activity
The following is a summary of the market values of derivative instruments as of September 30, 2009:
| Asset derivatives | Liability derivatives | |||
|
| ||||
| Derivatives not accounted for | ||||
| as hedging instruments under | Statement of assets and | Statement of assets and | ||
| ASC 815 | liabilities location | Market value | liabilities location | Market value |
|
| ||||
| Credit contracts | Receivables | $872,935 | Payables | $13,506,333 |
|
| ||||
| Foreign exchange contracts | Receivables | 2,139,224 | Payables | 583,399 |
|
| ||||
| Interest rate contracts | Receivables | 107,167,746 | Payables | 103,144,041 |
|
| ||||
| Total | $110,179,905 | $117,233,773 | ||
|
| ||||
The following is a summary of realized and unrealized gains or losses of derivative instruments on the Statement of operations for the year ended September 30, 2009 (see Note 1):
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
| Derivatives not accounted | |||||
| for as hedging instruments | Forward currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
|
| |||||
| Credit contracts | $— | $— | $— | $(720,116) | $(720,116) |
|
| |||||
| Foreign exchange contracts | — | — | 3,263,306 | — | 3,263,306 |
|
| |||||
| Interest rate contracts | 5,281,268 | 7,184,616 | — | 58,911,930 | 71,377,814 |
|
| |||||
| Total | $5,281,268 | $7,184,616 | $3,263,306 | $58,191,814 | $73,921,004 |
|
| |||||
55
Amount of Realized Gain (Loss) on Derivatives Recognized in Income
| Derivatives not accounted | |||||
| for as hedging instruments | Forward currency | ||||
| under ASC 815 | Options | Futures | contracts | Swaps | Total |
|
| |||||
| Credit contracts | $— | $— | $— | $(32,325,288) | $(32,325,288) |
|
| |||||
| Foreign exchange contracts | — | — | 134,117 | — | 134,117 |
|
| |||||
| Interest rate contracts | (945,519) | (27,690,473) | — | (18,638,472) | (47,274,464) |
|
| |||||
| Total | $(945,519) | $(27,690,473) | $134,117 | $(50,963,760) | $(79,465,636) |
|
| |||||
Note 6: Investment in Putnam Money Market Liquidity Fund
The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Management. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income in the Statement of operations and totaled $25,038 for the year ended September 30, 2009. During the year ended September 30, 2009, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $181,933,658 and $164,613,723, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.
Note 7: 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 8: Regulatory matters and litigation
In late 2003 and 2004, Putnam Management settled charges brought by the Securities and Exchange Commission (the “SEC”) and the Massachusetts Securities Division in connection with excessive short-term trading in Putnam funds. Distribution of payments from Putnam Management to certain open-end Putnam funds and their shareholders is expected to be completed in the next several months. 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.
Note 9: Market and credit risk
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default.
56
Federal tax information (unaudited)
The fund designated 0.03% of ordinary income distributions as qualifying for the dividends received deduction for corporations.
For its tax year ended September 30, 2009, the fund hereby designates 0.03%, or the maximum amount allowable, of its taxable ordinary income distributions as qualified dividends taxed at the individual net capital gain rates.
For the tax year ended September 30, 2009, pursuant to §871(k) of the Internal Revenue Code, the fund hereby designates $24,948,245 of distributions paid as qualifying to be taxed as interest-related dividends.
The Form 1099 you receive in January 2010 will show the tax status of all distributions paid to your account in calendar 2009.
Compliance certifications (unaudited)
On February 27, 2009, your fund submitted a CEO annual certification to the New York Stock Exchange (“NYSE”) on which the fund’s principal executive officer certified that he was not aware, as of that date, of any violation by the fund of the NYSE’s Corporate Governance listing standards. In addition, as required by Section 302 of the Sarbanes-Oxley Act of 2002 and related SEC rules, the fund’s principal executive and principal financial officers have made quarterly certifications, included in filings with the SEC on Forms N-CSR and N-Q, relating to, among other things, the fund’s disclosure controls and procedures and internal control over financial reporting.
Shareholder meeting results (unaudited)
January 29, 2009 annual meeting
At the meeting, each of the nominees for Trustees was elected, as follows:
| Votes for | Votes withheld | |
|
| ||
| Jameson A. Baxter | 52,770,644 | 5,428,717 |
|
| ||
| Charles B. Curtis | 52,783,549 | 5,415,812 |
|
| ||
| Robert J, Darretta | 52,751,878 | 5,447,483 |
|
| ||
| Myra R. Drucker | 52,772,846 | 5,426,515 |
|
| ||
| Charles E. Haldeman, Jr. | 52,730,313 | 5,469,048 |
|
| ||
| John A. Hill | 52,770,297 | 5,429,064 |
|
| ||
| Paul L. Joskow | 52,751,987 | 5,447,374 |
|
| ||
| Elizabeth T. Kennan | 52,747,239 | 5,452,122 |
|
| ||
| Kenneth R. Leibler | 52,735,929 | 5,463,432 |
|
| ||
| Robert E. Patterson | 52,753,000 | 5,446,361 |
|
| ||
| George Putnam, III | 52,666,563 | 5,532,798 |
|
| ||
| Robert L. Reynolds | 52,643,403 | 5,555,958 |
|
| ||
| Richard B. Worley | 52,779,617 | 5,419,744 |
|
| ||
All tabulations are rounded to the nearest whole number.
57
About the Trustees
Ravi Akhoury
Born 1947, Trustee since 2009
Mr. Akhoury serves as Advisor to New York Life Insurance Company. He is also a Director of Jacob Ballas Capital India (a non-banking finance company focused on private equity advisory services) and is a member of its Compensation Committee. He also serves as a Trustee of American India Foundation and of the Rubin Museum.
Previously, Mr. Akhoury was a Director and on the Compensation Committee of MaxIndia/New York Life Insurance Company in India. He was also Vice President and Investment Policy Committee Member of Fischer, Francis, Trees and Watts (a fixed-income portfolio management firm). He has also served on the Board of Bharti Telecom (an Indian telecommunications company), serving as a member of its Audit and Compensation committees, and as a member of the Audit Committee on the Board of Thompson Press (a publishing company). From 1992 to 2007, he was Chairman and CEO of MacKay Shields, a multi-product investment management firm with over $40 billion in assets under management.
Mr. Akhoury graduated from the Indian Institute of Technology with a B.S. in Engineering and obtained an M.S. in Quantitative Methods from SUNY at Stony Brook.
Jameson A. Baxter
Born 1943, Trustee since 1994 and Vice Chairman since 2005
Ms. Baxter is the President of Baxter Associates, Inc., a private investment firm.
Ms. Baxter serves as a Director of ASHTA Chemicals, Inc., and the Mutual Fund Directors Forum. Until 2007, she was a Director of Banta Corporation (a printing and supply chain management company), Ryerson, Inc. (a metals service corporation), and Advocate Health Care. Until 2004, she was a Director of BoardSource (formerly the National Center for Nonprofit Boards), and until 2002, she was a Director of Intermatic Corporation (a manufacturer of energy control products). She is Chairman Emeritus of the Board of Trustees of Mount Holyoke College, having served as Chairman for five years.
Ms. Baxter has held various positions in investment banking and corporate finance, including Vice President of and Consultant to First Boston Corporation and Vice President and Principal of the Regency Group. She is a graduate of Mount Holyoke College.
Charles B. Curtis
Born 1940, Trustee since 2001
Mr. Curtis is President and Chief Operating Officer of the Nuclear Threat Initiative (a private foundation dealing with national security issues), and serves as Senior Advisor to the United Nations Foundation.
Mr. Curtis is a member of the Council on Foreign Relations and the National Petroleum Council. He also serves as Director of Edison International and Southern California Edison. Until 2006, Mr. Curtis served as a member of the Trustee Advisory Council of the Applied Physics Laboratory, Johns Hopkins University.
From August 1997 to December 1999, Mr. Curtis was a Partner at Hogan & Hartson LLP, an international law firm headquartered in Washington, D.C. Prior to May 1997, Mr. Curtis was Deputy Secretary of Energy and Under Secretary of the U.S. Department of Energy. He was a founding member of the law firm of Van Ness Feldman. Mr. Curtis served as Chairman of the Federal Energy Regulatory Commission from 1977 to 1981 and has held positions on the staff of the U.S. House of Representatives, the U.S. Treasury Department, and the Securities and Exchange Commission.
Robert J. Darretta
Born 1946, Trustee since 2007
Mr. Darretta serves as Director of United-Health Group, a diversified health-care company.
Until April 2007, Mr. Darretta was Vice Chairman of the Board of Directors of Johnson & Johnson, one of the world’s largest and most broadly based health-care companies. Prior to 2007, he had responsibility for Johnson & Johnson’s finance, investor relations, information technology, and procurement function. He served as Johnson & Johnson Chief Financial Officer for a decade, prior to which he spent two years as Treasurer of the corporation and over ten years leading various Johnson & Johnson operating companies.
Mr. Darretta received a B.S. in Economics from Villanova University.
Myra R. Drucker
Born 1948, Trustee since 2004
Ms. Drucker is Chair of the Board of Trustees of Commonfund (a not-for-profit firm managing assets for educational endowments and foundations), Vice Chair of the Board of Trustees of Sarah Lawrence College, and a member of the Investment Committee of the Kresge Foundation (a charitable trust). She is also a Director of Interactive Data Corporation (a provider of financial market data and analytics to financial institutions and investors).
Ms. Drucker is an ex-officio member of the New York Stock Exchange Pension Managers Advisory Committee, having served as Chair for seven years. She serves as an advisor to RCM Capital Management (an investment management firm) and to the Employee Benefits Investment Committee of The Boeing Company (an aerospace firm).
From November 2001 until August 2004, Ms. Drucker was Managing Director and a member of the Board of Directors of General Motors Asset Management and Chief Investment Officer of General Motors Trust Bank. From December 1992 to November 2001, Ms. Drucker served as Chief Investment Officer of Xerox Corporation (a document company).
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Prior to December 1992, Ms. Drucker was Staff Vice President and Director of Trust Investments for International Paper (a paper and packaging company).
Ms. Drucker received a B.A. in Literature and Psychology from Sarah Lawrence College and pursued graduate studies in economics, statistics, and portfolio theory at Temple University.
John A. Hill
Born 1942, Trustee since 1985 and Chairman since 2000
Mr. Hill is founder and Vice-Chairman of First Reserve Corporation, the leading private equity buyout firm specializing in the worldwide energy industry, with offices in Greenwich, Connecticut; Houston, Texas; London, England; and Shanghai, China. The firm’s investments on behalf of some of the nation’s largest pension and endowment funds are currently concentrated in 31 companies with annual revenues in excess of $15 billion, which employ over 100,000 people in 23 countries.
Mr. Hill is a Director of Devon Energy Corporation and various private companies owned by First Reserve, and serves as a Trustee of Sarah Lawrence College where he serves as Chairman and also chairs the Investment Committee. He is also a member of the Advisory Board of the Millstein Center for Corporate Governance and Performance at the Yale School of Management.
Prior to forming First Reserve in 1983, Mr. Hill served as President of F. Eberstadt and Company, an investment banking and investment management firm. Between 1969 and 1976, Mr. Hill held various senior positions in Washington, D.C. with the federal government, including Deputy Associate Director of the Office of Management and Budget and Deputy Administrator of the Federal Energy Administration during the Ford Administration.
Born and raised in Midland, Texas, he received his B.A. in Economics from Southern Methodist University and pursued graduate studies as a Woodrow Wilson Fellow.
Paul L. Joskow
Born 1947, Trustee since 1997
Dr. Joskow is an economist and President of the Alfred P. Sloan Foundation (a philanthropic institution focused primarily on research and education on issues related to science, technology, and economic performance). He is on leave from his position as the Elizabeth and James Killian Professor of Economics and Management at the Massachusetts Institute of Technology (MIT), where he has been on the faculty since 1972. Dr. Joskow was the Director of the Center for Energy and Environmental Policy Research at MIT from 1999 through 2007.
Dr. Joskow serves as a Trustee of Yale University, as a Director of TransCanada Corporation (an energy company focused on natural gas transmission and power services) and of Exelon Corporation (an energy company focused on power services), and as a member of the Board of Overseers of the Boston Symphony Orchestra. Prior to August 2007, he served as a Director of National Grid (a UK-based holding company with interests in electric and gas transmission and distribution and telecommunications infrastructure). Prior to July 2006, he served as President of the Yale University Council. Prior to February 2005, he served on the board of the White-head Institute for Biomedical Research (a non-profit research institution). Prior to February 2002, he was a Director of State Farm Indemnity Company (an automobile insurance company), and prior to March 2000, he was a Director of New England Electric System (a public utility holding company).
Dr. Joskow has published six books and numerous articles on industrial organization, government regulation of industry, and competition policy. He is active in industry restructuring, environmental, energy, competition, and privatization policies —serving as an advisor to governments and corporations worldwide. Dr. Joskow holds a Ph.D. and M.Phil. from Yale University and a B.A. from Cornell University.
Elizabeth T. Kennan
Born 1938, Trustee since 1992
Dr. Kennan is a Partner of Cambus-Kenneth Farm (thoroughbred horse and cattle breeding). She is President Emeritus of Mount Holyoke College.
Dr. Kennan served as Chairman and is now Lead Director of Northeast Utilities. She is a Trustee of the National Trust for Historic Preservation and of Centre College. Until 2006, she was a member of The Trustees of Reservations. Prior to 2001, Dr. Kennan served on the oversight committee of the Folger Shakespeare Library. Prior to June 2005, she was a Director of Talbots, Inc., and she has served as Director on a number of other boards, including Bell Atlantic, Chastain Real Estate, Shawmut Bank, Berkshire Life Insurance, and Kentucky Home Life Insurance. Dr. Kennan has also served as President of Five Colleges Incorporated and as a Trustee of the University of Notre Dame, and is active in various educational and civic associations.
As a member of the faculty of Catholic University for twelve years, until 1978, Dr. Kennan directed the post-doctoral program in Patristic and Medieval Studies, taught history, and published numerous articles and two books. Dr. Kennan holds a Ph.D. from the University of Washington in Seattle, an M.A. from Oxford University, and an A.B. from Mount Holyoke College. She holds several honorary doctorates.
Kenneth R. Leibler
Born 1949, Trustee since 2006
Mr. Leibler is a founder and former Chairman of the Boston Options Exchange, an electronic marketplace for the trading of derivative securities.
Mr. Leibler currently serves as a Trustee of Beth Israel Deaconess Hospital in Boston. He is also Lead Director of Ruder Finn Group, a global communications and advertising firm, and a Director of Northeast Utilities, which operates New
59
England’s largest energy delivery system. Prior to December 2006, he served as a Director of the Optimum Funds group. Prior to October 2006, he served as a Director of ISO New England, the organization responsible for the operation of the electric generation system in the New England states. Prior to 2000, Mr. Leibler was a Director of the Investment Company Institute in Washington, D.C.
Prior to January 2005, Mr. Leibler served as Chairman and Chief Executive Officer of the Boston Stock Exchange. Prior to January 2000, he served as President and Chief Executive Officer of Liberty Financial Companies, a publicly traded diversified asset management organization. Prior to June 1990, Mr. Leibler served as President and Chief Operating Officer of the American Stock Exchange (AMEX), and at the time was the youngest person in AMEX history to hold the title of President. Prior to serving as AMEX President, he held the position of Chief Financial Officer, and headed its management and marketing operations. Mr. Leibler graduated with a degree in Economics from Syracuse University.
Robert E. Patterson
Born 1945, Trustee since 1984
Mr. Patterson is Senior Partner of Cabot Properties, LP and Chairman of Cabot Properties, Inc. (a private equity firm investing in commercial real estate).
Mr. Patterson serves as Chairman Emeritus and Trustee of the Joslin Diabetes Center. Prior to June 2003, he was a Trustee of the Sea Education Association. Prior to December 2001, Mr. Patterson was President and Trustee of Cabot Industrial Trust (a publicly traded real estate investment trust). Prior to February 1998, he was Executive Vice President and Director of Acquisitions of Cabot Partners Limited Partnership (a registered investment adviser involved in institutional real estate investments). Prior to 1990, he served as Executive Vice President of Cabot, Cabot & Forbes Realty Advisors, Inc. (the predecessor company of Cabot Partners).
Mr. Patterson practiced law and held various positions in state government, and was the founding Executive Director of the Massachusetts Industrial Finance Agency. Mr. Patterson is a graduate of Harvard College and Harvard Law School.
George Putnam, III
Born 1951, Trustee since 1984
Mr. Putnam is Chairman of New Generation Research, Inc. (a publisher of financial advisory and other research services), and President of New Generation Advisors, LLC (a registered investment adviser to private funds). Mr. Putnam founded the New Generation companies in 1986.
Mr. Putnam is a Director of The Boston Family Office, LLC (a registered investment adviser). He is a Trustee of St. Mark’s School, a Trustee of Epiphany School, and a Trustee of the Marine Biological Laboratory in Woods Hole, Massachusetts. Until 2006, he was a Trustee of Shore Country Day School, and until 2002, was a Trustee of the Sea Education Association.
Mr. Putnam previously worked as an attorney with the law firm of Dechert LLP (formerly known as Dechert Price & Rhoads) in Philadelphia. He is a graduate of Harvard College, Harvard Business School, and Harvard Law School.
Robert L. Reynolds*
Born 1952, Trustee since 2008 and President of the Putnam Funds since July 2009
Mr. Reynolds is President and Chief Executive Officer of Putnam Investments, a member of Putnam Investments’ Executive Board of Directors, and President of the Putnam Funds. He has more than 30 years of investment and financial services experience.
Prior to joining Putnam Investments in 2008, Mr. Reynolds was Vice Chairman and Chief Operating Officer of Fidelity Investments from 2000 to 2007. During this time, he served on the Board of Directors for FMR Corporation, Fidelity Investments Insurance Ltd., Fidelity Investments Canada Ltd., and Fidelity Management Trust Company. He was also a Trustee of the Fidelity Family of Funds. From 1984 to 2000, Mr. Reynolds served in a number of increasingly responsible leadership roles at Fidelity.
Mr. Reynolds serves on several not-for-profit boards, including those of the West Virginia University Foundation, Concord Museum, Dana-Farber Cancer Institute, Lahey Clinic, and Initiative for a Competitive Inner City in Boston. He is a member of the Chief Executives Club of Boston, the National Innovation Initiative, and the Council on Competitiveness.
Mr. Reynolds received a B.S. in Business Administration/Finance from West Virginia University.
W. Thomas Stephens
Born 1942, Trustee since 2009
Mr. Stephens retired as Chairman and Chief Executive Officer of Boise Cascade, L.L.C. (a paper, forest products and timberland assets company) in December 2008.
Mr. Stephens is a Director of TransCanada Pipelines, Ltd. (an energy infrastructure company). From 1997 to 2008, Mr. Stephens served as a Trustee on the Board of the Putnam Funds, which he rejoined as a Trustee in 2009. Until 2004, Mr. Stephens was a Director of Xcel Energy Incorporated (a public utility company), Qwest Communications and Norske Canada, Inc. (a paper manufacturer). Until 2003, Mr. Stephens was a Director of Mail-Well, Inc. (a diversified printing company). He served as Chairman of Mail-Well until 2001 and as CEO of MacMillan-Bloedel, Ltd. (a forest products company) until 1999.
Prior to 1996, Mr. Stephens was Chairman and Chief Executive Officer of Johns Manville Corporation. He holds B.S. and M.S. degrees from the University of Arkansas.
Richard B. Worley
Born 1945, Trustee since 2004
Mr. Worley is Managing Partner of Permit Capital LLC, an investment management firm.
60
Mr. Worley serves as a Trustee of the University of Pennsylvania Medical Center, The Robert Wood Johnson Foundation (a philanthropic organization devoted to health-care issues), and the National Constitution Center. He is also a Director of The Colonial Williamsburg Foundation (a historical preservation organization), and the Philadelphia Orchestra Association. Mr. Worley also serves on the investment committees of Mount Holyoke College and World Wildlife Fund (a wildlife conservation organization).
Prior to joining Permit Capital LLC in 2002, Mr. Worley served as President, Chief Executive Officer, and Chief Investment Officer of Morgan Stanley Dean Witter Investment Management and as a Managing Director of Morgan Stanley, a financial services firm. Mr. Worley also was the Chairman of Miller Anderson & Sherrerd, an investment management firm that was acquired by Morgan Stanley in 1996.
Mr. Worley holds a B.S. degree from the University of Tennessee and pursued graduate studies in economics at the University of Texas.
The address of each Trustee is One Post Office Square, Boston, MA 02109.
As of September 30, 2009, there were over 100 Putnam funds. All Trustees serve as Trustees of all Putnam funds.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 72, death, or removal.
* Trustee who is an “interested person” (as defined in the Investment Company Act of 1940) of the fund, Putnam Management, and/or Putnam Retail Management. Mr. Reynolds is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
61
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
| Charles E. Porter (Born 1938) | James P. Pappas (Born 1953) | Wanda M. McManus (Born 1947) |
| Executive Vice President, Principal | Vice President | Vice President, Senior Associate |
| Executive Officer, Associate Treasurer, | Since 2004 | Treasurer and Assistant Clerk |
| and Compliance Liaison | Managing Director, Putnam Investments | Since 2005 |
| Since 1989 | and Putnam Management | |
| Nancy E. Florek (Born 1957) | ||
| Jonathan S. Horwitz (Born 1955) | Francis J. McNamara, III (Born 1955) | Vice President, Assistant Clerk, |
| Senior Vice President and Treasurer | Vice President and Chief Legal Officer | Assistant Treasurer and Proxy Manager |
| Since 2004 | Since 2004 | Since 2005 |
| Senior Managing Director, Putnam | ||
| Steven D. Krichmar (Born 1958) | Investments, Putnam Management and | |
| Vice President and | Putnam Retail Management | |
| Principal Financial Officer | ||
| Since 2002 | Robert R. Leveille (Born 1969) | |
| Senior Managing Director, | Vice President and | |
| Putnam Investments | Chief Compliance Officer | |
| Since 2007 | ||
| Janet C. Smith (Born 1965) | Managing Director, Putnam Investments, | |
| Vice President, Principal Accounting | Putnam Management, and Putnam | |
| Officer and Assistant Treasurer | Retail Management | |
| Since 2007 | ||
| Managing Director, Putnam Investments | Mark C. Trenchard (Born 1962) | |
| and Putnam Management | Vice President and | |
| BSA Compliance Officer | ||
| Susan G. Malloy (Born 1957) | Since 2002 | |
| Vice President and Assistant Treasurer | Managing Director, Putnam Investments | |
| Since 2007 | ||
| Managing Director, Putnam Investments | Judith Cohen (Born 1945) | |
| Vice President, | ||
| Beth S. Mazor (Born 1958) | Clerk and Assistant Treasurer | |
| Vice President | Since 1993 | |
| Since 2002 | ||
| Managing Director, Putnam Investments |
The principal occupations of the officers for the past five years have been with the employers as shown above although in some cases, they have held different positions with such employers. The address of each Officer is One Post Office Square, Boston, MA 02109.
62
Fund information
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 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
| Investment Manager | Kenneth R. Leibler | Francis J. McNamara, III |
| Putnam Investment | Robert E. Patterson | Vice President and Chief Legal Officer |
| Management, LLC | George Putnam, III | |
| One Post Office Square | Robert L. Reynolds | Robert R. Leveille |
| Boston, MA 02109 | W. Thomas Stephens | Vice President and Chief |
| Richard B. Worley | Compliance Officer | |
| Investment Sub-Manager | ||
| Putnam Investments Limited | Officers | Mark C. Trenchard |
| 57–59 St James’s Street | Robert L. Reynolds | Vice President and BSA Compliance Officer |
| London, England SW1A 1LD | President | |
| Judith Cohen | ||
| Marketing Services | Charles E. Porter | Vice President, Clerk and |
| Putnam Retail Management | Executive Vice President, Principal | Assistant Treasurer |
| One Post Office Square | Executive Officer, Associate Treasurer and | |
| Boston, MA 02109 | Compliance Liaison | Wanda M. McManus |
| Vice President, Senior Associate Treasurer | ||
| Custodian | Jonathan S. Horwitz | and Assistant Clerk |
| State Street Bank and Trust Company | Senior Vice President and Treasurer | |
| Nancy E. Florek | ||
| Legal Counsel | Steven D. Krichmar | Vice President, Assistant Clerk, Assistant |
| Ropes & Gray LLP | Vice President and Principal | Treasurer and Proxy Manager |
| Financial Officer | ||
| Independent Registered Public | ||
| KPMG LLP | Janet C. Smith | |
| Vice President, Principal Accounting | ||
| Trustees | Officer and Assistant Treasurer | |
| John A. Hill, Chairman | ||
| Jameson A. Baxter, Vice Chairman | Susan G. Malloy | |
| Ravi Akhoury | Vice President and Assistant Treasurer | |
| Charles B. Curtis | ||
| Robert J. Darretta | Beth S. Mazor | |
| Myra R. Drucker | Vice President | |
| Paul L. Joskow | ||
| Elizabeth T. Kennan | James P. Pappas | |
| Vice President | ||
63
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 (putnam.com) anytime for up-to-date information about the fund’s NAV.
Item 2. Code of Ethics:
(a) The Fund’s principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund's investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers.
(c) In May 2008, the Code of Ethics of Putnam Investment Management, LLC was updated in its entirety to include the amendments adopted in August 2007 as well as a several additional technical, administrative and non-substantive changes. In May of 2009, the Code of Ethics of Putnam Investment Management, LLC was amended to reflect that all employees will now be subject to a 90-day blackout restriction on holding Putnam open-end funds, except for portfolio managers and their supervisors (and each of their immediate family members), who will be subject to a one-year blackout restriction on the funds that they manage or supervise.
Item 3. Audit Committee Financial Expert:
The Funds' Audit and Compliance Committee is comprised solely of Trustees who are "independent" (as such term has been defined by the Securities and Exchange Commission ("SEC") in regulations implementing Section 407 of the Sarbanes-Oxley Act (the "Regulations")). The Trustees believe that each of the members of the Audit and Compliance Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Patterson, Mr. Leibler, Mr. Hill, Mr. Darretta and Mr. Stephens qualifies as an "audit committee financial expert" (as such term has been defined by the Regulations) based on their review of his pertinent experience and education. The SEC has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit and Compliance Committee and the Board of Trustees in the absence of such designation or identification.
Item 4. Principal Accountant Fees and Services:
The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund’s independent auditor:
| Fiscal | Audit- | |||
| year | Audit | Related | Tax | All Other |
| ended | Fees | Fees | Fees | Fees |
| September 30, 2009 | $87,993 | $-- | $5,800 | $- |
| September 30, 2008 | $89,000 | $-- | $6,000 | $- |
For the fiscal years ended September 30, 2009 and September 30, 2008, the fund’s independent auditor billed aggregate non-audit fees in the amounts of $5,800 and $74,733 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund.
Audit Fees represent fees billed for the fund's last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements.
Audit-Related Fees represent fees billed in the fund’s last two fiscal years for services traditionally performed by the fund’s auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation.
Tax Fees represent fees billed in the fund’s last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities.
Pre-Approval Policies of the Audit and Compliance Committee. The Audit and Compliance Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds’ independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures.
The Audit and Compliance Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds’ independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm.
The following table presents fees billed by the fund’s independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
| Fiscal | Audit- | All | Total | |
| year | Related | Tax | Other | Non-Audit |
| ended | Fees | Fees | Fees | Fees |
| September 30, 2009 | $ - | $ - | $ - | $ - |
| September 30, 2008 | $ - | $ - | $ - | $ - |
Item 5. Audit Committee of Listed Registrants
(a) The fund has a separately-designated Audit and Compliance Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended. The Audit and Compliance Committee of the fund's Board of Trustees is composed of the following persons:
Robert E. Patterson (Chairperson)
Robert J. Darretta
Myra R. Drucker
John A. Hill
Kenneth R. Leibler
W. Thomas Stephens
(b) 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:
| Proxy voting guidelines of the Putnam funds |
The proxy voting guidelines below summarize the funds’ positions on various issues of concern to investors, and give a general indication of how fund portfolio securities will be voted on proposals dealing with particular issues. The funds’ proxy voting service is instructed to vote all proxies relating to fund portfolio securities in accordance with these guidelines, except as otherwise instructed by the Proxy Manager, a member of the Office of the Trustees who is appointed to assist in the coordination and voting of the funds’ proxies.
The proxy voting guidelines are just that – guidelines. The guidelines are not exhaustive and do not address all potential voting issues. Because the circumstances of individual companies are so varied, there may be instances when the funds do not vote in strict adherence to these guidelines. For example, the proxy voting service is expected to bring to the Proxy Manager’s attention proxy questions that are company-specific and of a non-routine nature and that, even if covered by the guidelines, may be more appropriately handled on a case-by-case basis.
Similarly, Putnam Management’s investment professionals, as part of their ongoing review and analysis of all fund portfolio holdings, are responsible for monitoring significant corporate developments, including proxy proposals submitted to shareholders, and notifying the Proxy Manager of circumstances where the interests of fund shareholders may warrant a vote contrary to these guidelines. In such instances, the investment professionals submit a written recommendation to the Proxy Manager and the person or persons designated by Putnam Management’s Legal and Compliance Department to assist in processing referral items under the funds’ “Proxy Voting Procedures.” The Proxy Manager, in consultation with the funds’ Senior Vice President, Executive Vice President, and/or the Chair of the Board Policy and Nominating Committee, as appropriate, will determine how the funds’ proxies will be voted. When indicated, the Chair of the Board Policy and Nominating Committee may consult with other members of the Committee or the full Board of Trustees.
The following guidelines are grouped according to the types of proposals generally presented to shareholders. Part I deals with proposals submitted by management and approved and recommended by a company’s board of directors. Part II deals with proposals submitted by shareholders. Part III addresses unique considerations pertaining to non-U.S. issuers.
The Trustees of the Putnam funds are committed to promoting strong corporate governance practices and encouraging corporate actions that enhance shareholder value through the judicious voting of the funds’ proxies. It is the funds’ policy to vote their proxies at all shareholder meetings where it is practicable to do so. In furtherance of this, the funds’ have requested that their securities lending agent recall each domestic issuer’s voting securities that are on loan, in advance of the record date for the issuer’s shareholder meetings, so that the funds may vote at the meetings.
The Putnam funds will disclose their proxy votes not later than August 31 of each year for the most recent 12-month period ended June 30, in accordance with the timetable established by SEC rules.
I. BOARD-APPROVED PROPOSALS
The vast majority of matters presented to shareholders for a vote involve proposals made by a company itself (sometimes referred to as “management proposals”), which have been approved and recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies and of the funds’ intent to hold corporate boards accountable for their actions in promoting shareholder interests, the funds’ proxies generally will be voted for the decisions reached by majority independent boards of directors, except as otherwise indicated in these guidelines. Accordingly, the funds’ proxies will be voted for board-approved proposals, except as follows:
Matters relating to the Board of Directors
Uncontested Election of Directors
The funds’ proxies will be voted for the election of a company’s nominees for the board of directors, except as follows:
► The funds will withhold votes from the entire board of directors if
• the board does not have a majority of independent directors,
• the board has not established independent nominating, audit, and compensation committees,
• the board has more than 19 members or fewer than five members, absent special circumstances,
• the board has not acted to implement a policy requested in a shareholder proposal that received the support of a majority of the shares of the company cast at its previous two annual meetings, or
• the board has adopted or renewed a shareholder rights plan (commonly referred to as a “poison pill”) without shareholder approval during the current or prior calendar year.
► The funds will on a case-by-case basis withhold votes from the entire board of directors, or from particular directors as may be appropriate, if the board has approved compensation arrangements for one or more company executives that the funds determine are unreasonably excessive relative to the company’s performance or has otherwise failed to observe good corporate governance practices.
► The funds will withhold votes from any nominee for director:
• who is considered an independent director by the company and who has received compensation within the last three years from the company other than for service as a director (e.g., investment banking, consulting, legal, or financial advisory fees),
• who attends less than 75% of board and committee meetings without valid reasons for the absences (e.g., illness, personal emergency, etc.),
• of a public company (Company A) who is employed as a senior executive of another company (Company B), if a director of Company B serves as a senior executive of Company A (commonly referred to as an “interlocking directorate”), or
• who serves on more than five unaffiliated public company boards (for the purpose of this guideline, boards of affiliated registered investment companies will count as one board).
Commentary:
Board independence: Unless otherwise indicated, for the purposes of determining whether a board has a majority of independent directors and independent nominating, audit, and compensation committees, an “independent director” is a director who (1) meets all requirements to serve as an independent director of a company under the NYSE Corporate Governance Rules (e.g., no material business relationships with the company and no present or recent employment relationship with the company including employment of an immediate family member as an executive officer), and (2) has not within the last three years accepted directly or indirectly any consulting, advisory, or other compensatory fee from the company other than in his or her capacity as a member of the board of directors or any board committee. The funds’ Trustees believe that the recent (i.e., within the last three years) receipt of any amount of compensation for services other than service as a director raises significant independence issues.
Board size: The funds’ Trustees believe that the size of the board of directors can have a direct impact on the ability of the board to govern effectively. Boards that have too many members can be unwieldy and ultimately inhibit their ability to oversee management performance. Boards that have too few members can stifle innovation and lead to excessive influence by management.
Time commitment: Being a director of a company requires a significant time commitment to adequately prepare for and attend the company’s board and committee meetings. Directors must be able to commit the time and attention necessary to perform their fiduciary duties in proper fashion, particularly in times of crisis. The funds’ Trustees are concerned about over-committed directors. In some cases, directors may serve on too many boards to make a meaningful contribution. This may be particularly true for senior executives of public companies (or other directors with substantially full-time employment) who serve on more than a few outside boards. The funds may withhold votes from such directors on a case-by-case basis where it appears that they may be unable to discharge their duties properly because of excessive commitments.
Interlocking directorships: The funds’ Trustees believe that interlocking directorships are inconsistent with the degree of independence required for outside directors of public companies.
Corporate governance practices: Board independence depends not only on its members’ individual relationships, but also on the board’s overall attitude toward management. Independent boards are committed to good corporate governance practices and, by providing objective independent judgment, enhancing shareholder value. The funds may withhold votes on a case-by-case basis from some or all directors who, through their lack of independence or otherwise, have failed to observe good corporate governance practices or, through specific corporate action, have demonstrated a disregard for the interests of shareholders. Such instances may include cases where a board of directors has approved compensation arrangements for one or more members of management that, in the judgment of the funds’ Trustees, are excessive by reasonable corporate standards relative to the company’s record of performance.
Contested Elections of Directors
► The funds will vote on a case-by-case basis in contested elections of directors.
Classified Boards
► The funds will vote against proposals to classify a board, absent special circumstances indicating that shareholder interests would be better served by this structure.
Commentary: Under a typical classified board structure, the directors are divided into three classes, with each class serving a three-year term. The classified board structure results in directors serving staggered terms, with usually only a third of the directors up for re-election at any given annual meeting. The funds’ Trustees generally believe that it is appropriate for directors to stand for election each year, but recognize that, in special circumstances, shareholder interests may be better served under a classified board structure.
Other Board-Related Proposals
The funds will generally vote for proposals that have been approved by a majority independent board, and on a case-by-case basis on proposals that have been approved by a board that fails to meet the guidelines’ basic independence standards (i.e., majority of independent directors and independent nominating, audit, and compensation committees).
Executive Compensation
The funds generally favor compensation programs that relate executive compensation to a company’s long-term performance. The funds will vote on a case-by-case basis on board-approved proposals relating to executive compensation, except as follows:
► Except where the funds are otherwise withholding votes for the entire board of directors, the funds will vote for stock option and restricted stock plans that will result in an average annual dilution of 1.67% or less (based on the disclosed term of the plan and including all equity-based plans).
► The funds will vote against stock option and restricted stock plans that will result in an average annual dilution of greater than 1.67% (based on the disclosed term of the plan and including all equity-based plans).
► The funds will vote against any stock option or restricted stock plan where the company’s actual grants of stock options and restricted stock under all equity-based compensation plans during the prior three (3) fiscal years have resulted in an average annual dilution of greater than 1.67%.
► The funds will vote against stock option plans that permit the replacing or repricing of underwater options (and against any proposal to authorize a replacement or repricing of underwater options).
► The funds will vote against stock option plans that permit issuance of options with an exercise price below the stock’s current market price.
► Except where the funds are otherwise withholding votes for the entire board of directors, the funds will vote for an employee stock purchase plan that has the following features: (1) the shares purchased under the plan are acquired for no less than 85% of their market value; (2) the offering period under the plan is 27 months or less; and (3) dilution is 10% or less.
Commentary: Companies should have compensation programs that are reasonable and that align shareholder and management interests over the longer term. Further, disclosure of compensation programs should provide absolute transparency to shareholders regarding the sources and amounts of, and the factors influencing, executive compensation. Appropriately designed equity-based compensation plans can be an effective way to align the interests of long-term shareholders with the interests of management. However, the funds may vote against these
or other executive compensation proposals on a case-by-case basis where compensation is excessive by reasonable corporate standards or where a company fails to provide transparent disclosure of executive compensation. (Examples of excessive executive compensation may include, but are not limited to, equity incentive plans that exceed the dilution criteria noted above, excessive perquisites, performance-based compensation programs that do not properly correlate reward and performance, “golden parachutes” or other severance arrangements that present conflicts between management’s interests and the interests of shareholders, and “golden coffins” or unearned death benefits.) In voting on a proposal relating to executive compensation, the funds will consider whether the proposal has been approved by an independent compensation committee of the board.
Capitalization
Many proxy proposals involve changes in a company’s capitalization, including the authorization of additional stock, the issuance of stock, the repurchase of outstanding stock, or the approval of a stock split. The management of a company’s capital structure involves a number of important issues, including cash flow, financing needs, and market conditions that are unique to the circumstances of the company. As a result, the funds will vote on a case-by-case basis on board-approved proposals involving changes to a company’s capitalization, except that where the funds are not otherwise withholding votes from the entire board of directors:
► The funds will vote for proposals relating to the authorization and issuance of additional common stock (except where such proposals relate to a specific transaction).
► The funds will vote for proposals to effect stock splits (excluding reverse stock splits).
► The funds will vote for proposals authorizing share repurchase programs.
Commentary: A company may decide to authorize additional shares of common stock for reasons relating to executive compensation or for routine business purposes. For the most part, these decisions are best left to the board of directors and senior management. The funds will vote on a case-by-case basis, however, on other proposals to change a company’s capitalization, including the authorization of common stock with special voting rights, the authorization or issuance of common stock in connection with a specific transaction (e.g., an acquisition, merger or reorganization), or the authorization or issuance of preferred stock. Actions such as these involve a number of considerations that may affect a shareholder’s investment and that warrant a case-by-case determination.
Acquisitions, Mergers, Reincorporations, Reorganizations and Other Transactions
Shareholders may be confronted with a number of different types of transactions, including acquisitions, mergers, reorganizations involving business combinations, liquidations, and the sale of all or substantially all of a company’s assets, which may require their consent. Voting on such proposals involves considerations unique to each transaction. As a result, the funds will vote on a case-by-case basis on board-approved proposals to effect these types of transactions, except as follows:
► The funds will vote for mergers and reorganizations involving business combinations designed solely to reincorporate a company in Delaware.
Commentary: A company may reincorporate into another state through a merger or reorganization by setting up a “shell” company in a different state and then merging the company into the new company. While reincorporation into states with extensive and established corporate laws – notably Delaware – provides companies and shareholders with a more well-defined legal
framework, shareholders must carefully consider the reasons for a reincorporation into another jurisdiction, including especially an offshore jurisdiction.
Anti-Takeover Measures
Some proxy proposals involve efforts by management to make it more difficult for an outside party to take control of the company without the approval of the company’s board of directors. These include the adoption of a shareholder rights plan, requiring supermajority voting on particular issues, the adoption of fair price provisions, the issuance of blank check preferred stock, and the creation of a separate class of stock with disparate voting rights. Such proposals may adversely affect shareholder rights, lead to management entrenchment, or create conflicts of interest. As a result, the funds will vote against board-approved proposals to adopt such anti-takeover measures, except as follows:
► The funds will vote on a case-by-case basis on proposals to ratify or approve shareholder rights plans; and
► The funds will vote on a case-by-case basis on proposals to adopt fair price provisions.
Commentary: The funds’ Trustees recognize that poison pills and fair price provisions may enhance or protect shareholder value under certain circumstances. For instance, where a company has incurred significant operating losses, a shareholder rights plan may be appropriately tailored to protect shareholder value by preserving a company’s net operating losses. Thus, the funds will consider proposals to approve such matters on a case-by-case basis.
Other Business Matters
Many proxies involve approval of routine business matters, such as changing a company’s name, ratifying the appointment of auditors, and procedural matters relating to the shareholder meeting. For the most part, these routine matters do not materially affect shareholder interests and are best left to the board of directors and senior management of the company. The funds will vote for board-approved proposals approving such matters, except as follows:
► The funds will vote on a case-by-case basis on proposals to amend a company’s charter or bylaws (except for charter amendments necessary to effect stock splits, to change a company’s name or to authorize additional shares of common stock).
► The funds will vote against authorization to transact other unidentified, substantive business at the meeting.
► The funds will vote on a case-by-case basis on proposals to ratify the selection of independent auditors if there is evidence that the audit firm’s independence or the integrity of an audit is compromised.
► The funds will vote on a case-by-case basis on other business matters where the funds are otherwise withholding votes for the entire board of directors.
Commentary: Charter and bylaw amendments and the transaction of other unidentified, substantive business at a shareholder meeting may directly affect shareholder rights and have a significant impact on shareholder value. As a result, the funds do not view these items as routine business matters. Putnam Management’s investment professionals and the funds’ proxy voting service may also bring to the Proxy Manager’s attention company-specific items that they believe to be non-routine and warranting special consideration. Under these circumstances, the funds will vote on a case-by-case basis.
The fund’s proxy voting service may identify circumstances that call into question an audit firm’s independence or the integrity of an audit. These circumstances may include recent material restatements of financials, unusual audit fees, egregious contractual relationships, and aggressive accounting policies. The funds will consider proposals to ratify the selection of auditors in these circumstances on a case-by-case basis. In all other cases, given the existence of rules that enhance the independence of audit committees and auditors by, for example, prohibiting auditors from performing a range of non-audit services for audit clients, the funds will vote for the ratification of independent auditors.
II. SHAREHOLDER PROPOSALS
SEC regulations permit shareholders to submit proposals for inclusion in a company’s proxy statement. These proposals generally seek to change some aspect of the company’s corporate governance structure or to change some aspect of its business operations. The funds generally will vote in accordance with the recommendation of the company’s board of directors on all shareholder proposals, except as follows:
► The funds will vote for shareholder proposals asking that director nominees receive support from holders of a majority of votes cast or a majority of shares outstanding in order to be (re)elected.
► The funds will vote for shareholder proposals to declassify a board, absent special circumstances which would indicate that shareholder interests are better served by a classified board structure.
► The funds will vote for shareholder proposals to require shareholder approval of shareholder rights plans.
► The funds will vote for shareholder proposals requiring companies to make cash payments under management severance agreements only if both of the following conditions are met:
• the company undergoes a change in control, and
• the change in control results in the termination of employment for the person receiving the severance payment.
► The funds will vote on a case-by-case basis on shareholder proposals requiring companies to accelerate vesting of equity awards under management severance agreements only if both of the following conditions are met:
• the company undergoes a change in control, and
• the change in control results in the termination of employment for the person receiving the severance payment.
► The funds will vote on a case-by-case basis on shareholder proposals to limit a company’s ability to make excise tax gross-up payments under management severance agreements.
► The funds will vote on a case-by-case basis on shareholder proposals requesting that the board adopt a policy to recoup, in the event of a significant restatement of financial results or significant extraordinary write-off, to the fullest extent practicable, for the benefit of the company, all performance-based bonuses or awards that were paid to senior executives based on the company having met or exceeded specific performance targets to the extent that the specific performance targets were not, in fact, met.
► The funds will vote for shareholder proposals requiring a company to report on its executive retirement benefits (e.g., deferred compensation, split-dollar life insurance, SERPs and pension benefits).
► The funds will vote for shareholder proposals requiring a company to disclose its relationships with executive compensation consultants (e.g., whether the company, the board or the compensation committee retained the consultant, the types of services provided by the consultant over the past five years, and a list of the consultant’s clients on which any of the company’s executives serve as a director).
► The funds will vote for shareholder proposals that are consistent with the funds’ proxy voting guidelines for board-approved proposals.
► The funds will vote on a case-by-case basis on other shareholder proposals where the funds are otherwise withholding votes for the entire board of directors.
Commentary: In light of the substantial reforms in corporate governance that are currently underway, the funds’ Trustees believe that effective corporate reforms should be promoted by holding boards of directors – and in particular their independent directors – accountable for their actions, rather than by imposing additional legal restrictions on board governance through piecemeal proposals. Generally speaking, shareholder proposals relating to business operations are often motivated primarily by political or social concerns, rather than the interests of shareholders as investors in an economic enterprise. As stated above, the funds’ Trustees believe that boards of directors and management are responsible for ensuring that their businesses are operating in accordance with high legal and ethical standards and should be held accountable for resulting corporate behavior. Accordingly, the funds will generally support the recommendations of boards that meet the basic independence and governance standards established in these guidelines. Where boards fail to meet these standards, the funds will generally evaluate shareholder proposals on a case-by-case basis.
However, the funds generally support shareholder proposals to implement majority voting for directors, observing that majority voting is an emerging standard intended to encourage directors to be attentive to shareholders’ interests. The funds also generally support shareholder proposals to declassify a board or to require shareholder approval of shareholder rights plans. The funds’ Trustees believe that these shareholder proposals further the goals of reducing management entrenchment and conflicts of interest, and aligning management’s interests with shareholders’ interests in evaluating proposed acquisitions of the company. The Trustees also believe that shareholder proposals to limit severance payments may further these goals in some instances. In general, the funds favor arrangements in which severance payments are made to an executive only when there is a change in control and the executive loses his or her job as a result. Arrangements in which an executive receives a payment upon a change of control even if the executive retains employment introduce potential conflicts of interest and may distract management focus from the long term success of the company.
In evaluating shareholder proposals that address severance payments, the funds distinguish between cash and equity payments. The funds generally do not favor cash payments to executives upon a change in control transaction if the executive retains employment. However, the funds recognize that accelerated vesting of equity incentives, even without termination of employment, may help to align management and shareholder interests in some instances, and will evaluate shareholder proposals addressing accelerated vesting of equity incentive payments on a case-by-case basis.
When severance payments exceed a certain amount based on the executive’s previous compensation, the payments may be subject to an excise tax. Some compensation arrangements provide for full excise tax gross-ups, which means that the company pays the executive sufficient additional amounts to cover the cost of the excise tax. The funds are
concerned that the benefits of providing full excise tax gross-ups to executives may be outweighed by the cost to the company of the gross-up payments. Accordingly, the funds will vote on a case-by-case basis on shareholder proposals to curtail excise tax gross-up payments. The funds generally favor arrangements in which severance payments do not trigger an excise tax or in which the company’s obligations with respect to gross-up payments are limited in a reasonable manner.
The funds’ Trustees believe that performance-based compensation can be an effective tool for aligning management and shareholder interests. However, to fulfill its purpose, performance compensation should only be paid to executives if the performance targets are actually met. A significant restatement of financial results or a significant extraordinary write-off may reveal that executives who were previously paid performance compensation did not actually deliver the required business performance to earn that compensation. In these circumstances, it may be appropriate for the company to recoup this performance compensation. The funds will consider on a case-by-case basis shareholder proposals requesting that the board adopt a policy to recoup, in the event of a significant restatement of financial results or significant extraordinary write-off, performance-based bonuses or awards paid to senior executives based on the company having met or exceeded specific performance targets to the extent that the specific performance targets were not, in fact, met. The funds do not believe that such a policy should necessarily disadvantage a company in recruiting executives, as executives should understand that they are only entitled to performance compensation based on the actual performance they deliver.
The funds’ Trustees will also consider whether a company’s severance payment and performance-based compensation arrangements, taking all of the pertinent circumstances into account, constitute excessive compensation or otherwise reflect poorly on the corporate governance practices of the company. In addition, as the Trustees evaluate these matters, they will be mindful of evolving practices and legislation relevant to executive compensation and corporate governance.
The funds’ Trustees also believe that shareholder proposals that are intended to increase transparency, particularly with respect to executive compensation, without establishing rigid restrictions upon a company’s ability to attract and motivate talented executives, are generally beneficial to sound corporate governance without imposing undue burdens. The funds will generally support shareholder proposals calling for reasonable disclosure.
III. VOTING SHARES OF NON-U.S. ISSUERS
Many of the Putnam funds invest on a global basis, and, as a result, they may hold, and have an opportunity to vote, shares in non-U.S. issuers – i.e., issuers that are incorporated under the laws of foreign jurisdictions and whose shares are not listed on a U.S. securities exchange or the NASDAQ stock market.
In many non-U.S. markets, shareholders who vote proxies of a non-U.S. issuer are not able to trade in that company’s stock on or around the shareholder meeting date. This practice is known as “share blocking.” In countries where share blocking is practiced, the funds will vote proxies only with direction from Putnam Management’s investment professionals.
In addition, some non-U.S. markets require that a company’s shares be re-registered out of the name of the local custodian or nominee into the name of the shareholder for the shareholder to be able to vote at the meeting. This practice is known as “share re-registration.” As a result, shareholders, including the funds, are not able to trade in that company’s stock until the shares are re-registered back in the name of the local custodian or nominee following the meeting. In countries where share re-registration is practiced, the funds will generally not vote proxies.
Protection for shareholders of non-U.S. issuers may vary significantly from jurisdiction to jurisdiction. Laws governing non-U.S. issuers may, in some cases, provide substantially less
protection for shareholders than do U.S. laws. As a result, the guidelines applicable to U.S. issuers, which are premised on the existence of a sound corporate governance and disclosure framework, may not be appropriate under some circumstances for non-U.S. issuers. However, the funds will vote proxies of non-U.S. issuers in accordance with the guidelines applicable to U.S. issuers, except as follows:
Uncontested Election of Directors
Germany
► For companies subject to “co-determination,” the funds will vote on a case by- case basis for the election of nominees to the supervisory board.
► The funds will withhold votes for the election of a former member of the company’s managerial board to chair of the supervisory board.
Commentary: German corporate governance is characterized by a two-tier board system—a managerial board composed of the company’s executive officers, and a supervisory board. The supervisory board appoints the members of the managerial board. Shareholders elect members of the supervisory board, except that in the case of companies with more than 2,000 employees, company employees are allowed to elect half of the supervisory board members. This “co-determination” practice may increase the chances that the supervisory board of a large German company does not contain a majority of independent members. In this situation, under the Fund’s proxy voting guidelines applicable to U.S. issuers, the funds would vote against all nominees. However, in the case of companies subject to “co-determination,” the Funds will vote for supervisory board members on a case-by-case basis, so that the funds can support independent nominees.
Consistent with the funds’ belief that the interests of shareholders are best protected by boards with strong, independent leadership, the funds will withhold votes for the election of former chairs of the managerial board to chair of the supervisory board.
Japan
► For companies that have established a U.S.-style corporate governance structure, the funds will withhold votes from the entire board of directors if
• the board does not have a majority of outside directors,
• the board has not established nominating and compensation committees composed of a majority of outside directors, or
• the board has not established an audit committee composed of a majority of independent directors.
► The funds will withhold votes for the appointment of members of a company’s board of statutory auditors if a majority of the members of the board of statutory auditors is not independent.
Commentary:
Board structure: Recent amendments to the Japanese Commercial Code give companies the option to adopt a U.S.-style corporate governance structure (i.e., a board of directors and audit, nominating, and compensation committees). The funds will vote for proposals to amend a company’s articles of incorporation to adopt the U.S.-style corporate structure.
Definition of outside director and independent director: Corporate governance principles in Japan focus on the distinction between outside directors and independent directors. Under these principles, an outside director is a director who is not and has never been a director, executive, or employee of the company or its parent company, subsidiaries or affiliates. An outside director is “independent” if that person can make decisions completely independent from the managers of the company, its parent, subsidiaries, or affiliates and does not have a material relationship with the company (i.e., major client, trading partner, or other business relationship; familial relationship with current director or executive; etc.). The guidelines have incorporated these definitions in applying the board independence standards above.
Korea
► The funds will withhold votes from the entire board of directors if
• the board does not have a majority of outside directors,
• the board has not established a nominating committee composed of at least a majority of outside directors, or
• the board has not established an audit committee composed of at least three members and in which at least two-thirds of its members are outside directors.
Commentary: For purposes of these guidelines, an “outside director” is a director that is independent from the management or controlling shareholders of the company, and holds no interests that might impair performing his or her duties impartially from the company, management or controlling shareholder. In determining whether a director is an outside director, the funds will also apply the standards included in Article 415-2(2) of the Korean Commercial Code (i.e., no employment relationship with the company for a period of two years before serving on the committee, no director or employment relationship with the company’s largest shareholder, etc.) and may consider other business relationships that would affect the independence of an outside director.
Russia
► The funds will vote on a case-by-case basis for the election of nominees to the board of directors.
Commentary: In Russia, director elections are typically handled through a cumulative voting process. Cumulative voting allows shareholders to cast all of their votes for a single nominee for the board of directors, or to allocate their votes among nominees in any other way. In contrast, in “regular” voting, shareholders may not give more than one vote per share to any single nominee. Cumulative voting can help to strengthen the ability of minority shareholders to elect a director.
In Russia, as in some other emerging markets, standards of corporate governance are usually behind those in developed markets. Rather than vote against the entire board of directors, as the funds generally would in the case of a company whose board fails to meet the funds’ standards for independence, the funds may, on a case by case basis, cast all of their votes for one or more independent director nominees. The funds believe that it is important to increase the number of independent directors on the boards of Russian companies to mitigate the risks associated with dominant shareholders.
United Kingdom
► The funds will withhold votes from the entire board of directors if
• the board does not have at least a majority of independent non-executive directors,
• the board has not established a nomination committee composed of a majority of independent non-executive directors, or
• the board has not established compensation and audit committees composed of (1) at least three directors (in the case of smaller companies, two directors) and (2) solely independent non-executive directors.
► The funds will withhold votes from any nominee for director who is considered an independent director by the company and who has received compensation within the last three years from the company other than for service as a director, such as investment banking, consulting, legal, or financial advisory fees.
► The funds will vote for proposals to amend a company’s articles of association to authorize boards to approve situations that might be interpreted to present potential conflicts of interest affecting a director.
Commentary:
Application of guidelines: Although the United Kingdom’s Combined Code on Corporate Governance (“Combined Code”) has adopted the “comply and explain” approach to corporate governance, the funds’ Trustees believe that the guidelines discussed above with respect to board independence standards are integral to the protection of investors in U.K. companies. As a result, these guidelines will generally be applied in a prescriptive manner.
Definition of independence: For the purposes of these guidelines, a non-executive director shall be considered independent if the director meets the independence standards in section A.3.1 of the Combined Code (i.e., no material business or employment relationships with the company, no remuneration from the company for non-board services, no close family ties with senior employees or directors of the company, etc.), except that the funds do not view service on the board for more than nine years as affecting a director’s independence.
Smaller companies: A smaller company is one that is below the FTSE 350 throughout the year immediately prior to the reporting year.
Conflicts of interest: The Companies Act 2006 requires a director to avoid a situation in which he or she has, or can have, a direct or indirect interest that conflicts, or possibly may conflict, with the interests of the company. This broadly written requirement could be construed to prevent a director from becoming a trustee or director of another organization. Provided there are reasonable safeguards, such as the exclusion of the relevant director from deliberations, the funds believe that the board may approve this type of potential conflict of interest in its discretion.
Other Matters
► The funds will vote for shareholder proposals calling for a majority of a company’s directors to be independent of management.
► The funds will vote for shareholder proposals seeking to increase the independence of board nominating, audit, and compensation committees.
► The funds will vote for shareholder proposals that implement corporate governance standards similar to those established under U.S. federal law and the listing requirements of
U.S. stock exchanges, and that do not otherwise violate the laws of the jurisdiction under which the company is incorporated.
► The funds will vote on a case-by-case basis on proposals relating to (1) the issuance of common stock in excess of 20% of the company’s outstanding common stock where shareholders do not have preemptive rights, or (2) the issuance of common stock in excess of 100% of the company’s outstanding common stock where shareholders have preemptive rights.
► The funds will vote for proposals permitting companies to deliver reports and other materials electronically (e.g., via website posting).
► The funds will vote for proposals permitting companies to issue regulatory reports in English.
► The funds will vote: against remuneration reports that indicate that awards under a long term incentive plan are not linked to performance targets; and on a case-by-case basis on other remuneration reports, giving consideration to whether the report indicates a correlation between compensation and performance that is consistent with the funds’ high standards for compensation practices.
As adopted March 6, 2009
Proxy Voting Procedures of the Putnam Funds
The proxy voting procedures below explain the role of the funds’ Trustees, the proxy voting service and the Proxy Coordinator, as well as how the process will work when a proxy question needs to be handled on a case-by-case basis, or when there may be a conflict of interest.
The role of the funds’ Trustees
The Trustees of the Putnam funds exercise control of the voting of proxies through their Board Policy and Nominating Committee, which is composed entirely of independent Trustees. The Board Policy and Nominating Committee oversees the proxy voting process and participates, as needed, in the resolution of issues that need to be handled on a case-by-case basis. The Committee annually reviews and recommends, for Trustee approval, guidelines governing the funds’ proxy votes, including how the funds vote on specific proposals and which matters are to be considered on a case-by-case basis. The Trustees are assisted in this process by their independent administrative staff (“Office of the Trustees”), independent legal counsel, and an independent proxy voting service. The Trustees also receive assistance from Putnam Investment Management, LLC (“Putnam Management”), the funds’ investment advisor, on matters involving investment judgments. In all cases, the ultimate decision on voting proxies rests with the Trustees, acting as fiduciaries on behalf of the shareholders of the funds.
The role of the proxy voting service
The funds have engaged an independent proxy voting service to assist in the voting of proxies. The proxy voting service is responsible for coordinating with the funds’ custodians to ensure that all proxy materials received by the custodians relating to the funds’ portfolio securities are processed in a timely fashion. To the extent applicable, the proxy voting service votes all proxies in accordance with the proxy voting guidelines established by the Trustees. The proxy voting service will refer proxy questions to the Proxy Coordinator (described below) for instructions under circumstances
where: (1) the application of the proxy voting guidelines is unclear; (2) a particular proxy question is not covered by the guidelines; or (3) the guidelines call for specific instructions on a case-by-case basis. The proxy voting service is also requested to call to the Proxy Coordinator’s attention specific proxy questions that, while governed by a guideline, appear to involve unusual or controversial issues. The funds also utilize research services relating to proxy questions provided by the proxy voting service and by other firms.
The role of the Proxy Coordinator
Each year, a member of the Office of the Trustees is appointed Proxy Coordinator to assist in the coordination and voting of the funds’ proxies. The Proxy Coordinator will deal directly with the proxy voting service and, in the case of proxy questions referred by the proxy voting service, will solicit voting recommendations and instructions from the Office of the Trustees, the Chair of the Board Policy and Nominating Committee, and Putnam Management’s investment professionals, as appropriate. The Proxy Coordinator is responsible for ensuring that these questions and referrals are responded to in a timely fashion and for transmitting appropriate voting instructions to the proxy voting service.
Voting procedures for referral items
As discussed above, the proxy voting service will refer proxy questions to the Proxy Coordinator under certain circumstances. When the application of the proxy voting guidelines is unclear or a particular proxy question is not covered by the guidelines (and does not involve investment considerations), the Proxy Coordinator will assist in interpreting the guidelines and, as appropriate, consult with one of more senior staff members of the Office of the Trustees and the Chair of the Board Policy and Nominating Committee on how the funds’ shares will be voted.
For proxy questions that require a case-by-case analysis pursuant to the guidelines or that are not covered by the guidelines but involve investment considerations, the Proxy Coordinator will refer such questions, through a written request, to Putnam Management’s investment professionals for a voting recommendation. Such referrals will be made in cooperation with the person or persons designated by Putnam Management’s Legal and Compliance Department to assist in processing such referral items. In connection with each such referral item, the Legal and Compliance Department will conduct a conflicts of interest review, as described below under “Conflicts of Interest,” and provide a conflicts of interest report (the “Conflicts Report”) to the Proxy Coordinator describing the results of such review. After receiving a referral item from the Proxy Coordinator, Putnam Management’s investment professionals will provide a written recommendation to the Proxy Coordinator and the person or persons designated by the Legal and Compliance Department to assist in processing referral items. Such recommendation will set forth (1) how the proxies should be voted; (2) the basis and rationale for such recommendation; and (3) any contacts the investment professionals have had with respect to the referral item with non-investment personnel of Putnam Management or with outside parties (except for routine communications from proxy solicitors). The Proxy Coordinator will then review the investment professionals’ recommendation and the Conflicts Report with one of more senior staff members of the Office of the Trustees in determining how to vote the funds’ proxies. The Proxy Coordinator will maintain a record of all proxy questions that have been referred to Putnam Management’s investment professionals, the voting recommendation, and the Conflicts Report.
In some situations, the Proxy Coordinator and/or one of more senior staff members of the Office of the Trustees may determine that a particular proxy question raises policy issues requiring consultation with the Chair of the Board Policy and Nominating Committee, who, in turn, may decide to bring the particular proxy question to the Committee or the full Board of Trustees for consideration.
Conflicts of interest
Occasions may arise where a person or organization involved in the proxy voting process may have a conflict of interest. A conflict of interest may exist, for example, if Putnam Management has a business relationship with (or is actively soliciting business from) either the company soliciting the proxy or a third party that has a material interest in the outcome of a proxy vote or that is actively lobbying for a particular outcome of a proxy vote. Any individual with knowledge of a personal conflict of interest (e.g., familial relationship with company management) relating to a particular referral item shall disclose that conflict to the Proxy Coordinator and the Legal and Compliance Department and otherwise remove himself or herself from the proxy voting process. The Legal and Compliance Department will review each item referred to Putnam Management’s investment professionals to determine if a conflict of interest exists and will provide the Proxy Coordinator with a Conflicts Report for each referral item that (1) describes any conflict of interest; (2) discusses the procedures used to address such conflict of interest; and (3) discloses any contacts from parties outside Putnam Management (other than routine communications from proxy solicitors) with respect to the referral item not otherwise reported in an investment professional’s recommendation. The Conflicts Report will also include written confirmation that any recommendation from an investment professional provided under circumstances where a conflict of interest exists was made solely on the investment merits and without regard to any other consideration.
As adopted March 11, 2005
Item 8. Portfolio Managers of Closed-End Management Investment Companies
(a)(1) Portfolio Managers. The officers of Putnam Management identified below are primarily responsible for the day-to-day management of the fund’s portfolio .
| Portfolio Managers | Joined | |||
| Fund | Employer | Positions Over Past Five Years | ||
|
| ||||
| William Kohli | 1994 | Putnam | Team Leader, Portfolio Construction | |
| Management | Previously, Director | |||
| 1994 – Present | ||||
|
| ||||
| Michael Atkin | 2007 | Putnam | Senior Economist | |
| Management | Previously, Team Leader Country Analysis | |||
| 1997 – Present | ||||
|
| ||||
| Rob Bloemker | 2005 | Putnam | Head of Fixed Income | |
| Management | Previously, Deputy Head of Investments | |||
| 1999 – Present | ||||
|
| ||||
| Kevin Murphy | 2005 | Putnam | Team Leader, High Grade Credit | |
| Management | ||||
| 1999 – Present | ||||
|
| ||||
| Paul Scanlon | 2005 | Putnam | Team Leader, U.S. High Yield | |
| Management | Previously, Portfolio Manager | |||
| 1999 – Present | ||||
(a)(2) 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 the fund’s Portfolio Managers managed as of the fund’s
most recent fiscal year-end. Unless noted, none of the other accounts pays a fee based on the account’s performance.
| Other accounts (including | ||||||
| separate accounts, | ||||||
| managed account | ||||||
| programs and single- | ||||||
| Other SEC-registered open- | Other accounts that pool | sponsor defined | ||||
| Portfolio Leader | end and closed-end funds | assets from more than one | contribution plan | |||
| or Member | client | offerings) | ||||
|
| ||||||
| Number | Assets | Number | Assets | Number | Assets | |
| of | of | of | ||||
| accounts | accounts | accounts | ||||
|
| ||||||
| William Kohli | 7* | $4,270,500,000 | 8 | $1,793,500,000 | 8 | $2,669,700,000 |
|
| ||||||
| Rob Bloemker | 19** | $9,377,100,000 | 26 | $11,330,200,000 | 21*** | $7,348,400,000 |
|
| ||||||
| Michael Atkin | 5 | $3,974,600,000 | 4 | $1,006,200,000 | 4 | $1,329,800,000 |
|
| ||||||
| Paul Scanlon | 16# | $7,165,700,000 | 21 | $1,982,500,000 | 7 | $611,100,000 |
|
| ||||||
| Kevin Murphy | 14## | $7,053,000,000 | 19 | $8,402,300,000 | 15 | $5,117,300,000 |
* 2 accounts, with total assets of $295,900,000, pay an advisory fee based on account performance.
** 4 accounts, with total assets of $453,000,000, pay an advisory fee based on account performance.
*** 2 accounts, with total assets of $333,500,000, pay an advisory fee based on account performance.
# 2 accounts, with total assets of $295,900,000, pay an advisory fee based on account performance.
## 4 accounts, with total assets of $453,000,000, pay an advisory fee based on account performance.
Potential conflicts of interest in managing multiple accounts. Like other investment professionals with multiple clients, the fund’s Portfolio Managers 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 Manager(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 Manager(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 Manager(s), may also invest in certain pilot accounts. Putnam Management, and to the extent applicable, the Portfolio Manager(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 Manager(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 Manager(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 Manager(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 Manager(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.
(a)(3) Compensation of portfolio managers. Putnam’s goal for our products and investors is to deliver top quartile or better performance over a rolling 3-year period versus peers on a pre-tax basis. For this fund, the peer group Putnam compares fund performance against is its broad investment category as determined by Lipper Inc. and identified in the shareholder report included in Item 1. Each portfolio manager is assigned an industry competitive incentive compensation target for achieving this goal. The target is based in part on the type and amount of
assets the individual manages. The target increases or decreases depending on whether the portfolio manager’s performance is higher or lower than the top quartile, subject to a maximum increase of 50%, for a portfolio manager who outperforms at least 90% of his or her peer group, and a maximum decrease of 100%, for a portfolio manager who outperforms less than 25% of his or her peer group. For example, the target of a portfolio manager who outperforms 50% of his or her peer group would decrease 50%. Investment performance of a portfolio manager is asset-weighted across the products he or she manages.
Portfolio manager incentive compensation targets are also adjusted for company performance/economics. Actual incentive compensation may be greater or less than a portfolio manager’s target, as it takes into consideration team/group performance and qualitative performance factors. Incentive compensation includes a cash bonus and may also include grants of restricted stock or options. In addition to incentive compensation, portfolio managers receive fixed annual salaries typically based on level of responsibility and experience.
(a)(4) Fund ownership. The following table shows the dollar ranges of shares of the fund owned by the professionals listed above at the end of the fund’s last two fiscal years, including investments by their immediate family members and amounts invested through retirement and deferred compensation plans.
* Assets in the fund
| $1– | $10,001– | $50,001– | $100,001– | $500,001– | $1,000,001 | |||
| Year | $0 | $10,000 | $50,000 | $100,000 | $500,000 | $1,000,000 | and over | |
|
| ||||||||
| D. William Kohli | 2009 | * | ||||||
| Portfolio Leader | ||||||||
|
| ||||||||
| Michael Atkin | 2009 | * | ||||||
| Portfolio Member | ||||||||
|
| ||||||||
| Rob Bloemker | 2009 | * | ||||||
| Portfolio Member | ||||||||
|
| ||||||||
| Kevin Murphy | 2009 | * | ||||||
| Portfolio Member | ||||||||
|
| ||||||||
| Paul Scanlon | 2009 | * | ||||||
| Portfolio Member | ||||||||
|
| ||||||||
(b) Not applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:
Registrant Purchase of Equity Securities
| Maximum | ||||
| Total Number | Number (or | |||
| of Shares | Approximate | |||
| Purchased | Dollar Value) | |||
| as Part | of Shares | |||
| of Publicly | that May Yet Be | |||
| Total Number | Average | Announced | Purchased |
| of Shares | Price Paid | Plans or | under the Plans | |
| Period | Purchased | per Share | Programs* | or Programs** |
| October 1 - | ||||
| October 7, 2008 | - | - | - | 5,747,748 |
| October 8 - | ||||
| October 31, 2008 | 1,990,091 | $4.95 | 1,990,091 | 4,673,960 |
| November 1 - | ||||
| November 30, 2008 | 165,037 | $3.86 | 165,037 | 4,508,923 |
| December 1 - | ||||
| December 31, 2008 | 57,228 | $4.04 | 57,228 | 4,451,695 |
| January 1 - | ||||
| January 31, 2009 | - | - | - | 4,451,695 |
| February 1 - | ||||
| February 28, 2009 | - | - | - | 4,451,695 |
| March 1 - | ||||
| March 31, 2009 | - | - | - | 4,451,695 |
| April 1 - | ||||
| April 30, 2009 | - | - | - | 4,451,695 |
| May 1 - | ||||
| May 31, 2009 | - | - | - | 4,451,695 |
| June 1 - | ||||
| June 30, 2009 | - | - | - | 4,451,695 |
| July 1 - | ||||
| July 31, 2009 | - | - | - | 4,451,695 |
| August 1 - | ||||
| August 31, 2009 | - | - | - | 4,451,695 |
| September 1 - | ||||
| September 30, 2009 | - | - | - | 4,451,695 |
* In October 2005, the Board of Trustees of the Putnam Funds initiated the closed-end fund share repurchase program, which, as subsequently amended, authorized the repurchase of up to 10% of the fund's outstanding common shares over the two-years ending October 5, 2007. The Trustees subsequently renewed the program on three occasions, to permit the repurchase of an additional 10% of the fund's outstanding common shares over each of the twelve-month periods beginning on October 8, 2007, October 8, 2008 and October 8, 2009. The October 8, 2008 - October 7, 2009 program, which was announced in September 2008, allowed repurchases up to a total of 6,664,051 shares of the fund. The October 8, 2009 - October 7, 2010 program, which was announced in September 2009, allows repurchases up to a total of 6,456,512 shares of the fund.
** Information prior to October 7, 2008 is based on the total number of shares eligible for repurchase under the program, as amended through September 2007. Information from October 8, 2008 forward is based on the total number of shares eligible for repurchase under the program, as amended through September 2008.
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) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith.
(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 Master Intermediate Income Trust
By (Signature and Title):
/s/Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: November 25, 2009
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: November 25, 2009
By (Signature and Title):
/s/Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: November 25, 2009