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