Item 1. Schedule of Investments:
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Putnam Master Income Trust
QUARTERLY PORTFOLIO HOLDINGS
7-31-04
[LOGO OMITTED: scales]
Putnam Master Income Trust
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The fund's portfolio
July 31, 2004 (Unaudited)
Corporate bonds and notes (41.4%) (a)
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Principal amount Value
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Basic Materials (4.4%)
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$325,000 Acetex Corp. sr. notes 10 7/8s, 2009
(Canada) $355,063
280,000 AK Steel Corp. company guaranty 7 7/8s,
2009 266,700
345,000 AK Steel Corp. company guaranty 7 3/4s,
2012 319,125
340,000 Avecia Group PLC company guaranty 11s,
2009 (United Kingdom) 260,100
315,000 BCP Caylux Holdings Luxembourg SCA 144A
sr. sub. notes 9 5/8s, 2014 (Luxembourg) 326,025
390,000 Compass Minerals Group, Inc. company
guaranty 10s, 2011 432,900
155,000 Compass Minerals International, Inc. sr.
disc. notes stepped-coupon zero % (12s,
6/1/08), 2013 (STP) 120,900
420,000 Compass Minerals International, Inc. sr.
notes stepped-coupon zero % (12 3/4s,
12/15/07), 2012 (STP) 344,400
653,280 Doe Run Resources Corp. company guaranty
Ser. A1, 11 3/4s, 2008 (PIK) 489,960
415,000 Dow Chemical Co. (The) notes 5 3/4s,
2009 437,299
115,000 Equistar Chemicals LP notes 8 3/4s, 2009 118,738
910,000 Equistar Chemicals LP/Equistar Funding
Corp. company guaranty 10 1/8s, 2008 991,900
200,000 Four M Corp. sr. notes Ser. B, 12s, 2006 200,000
230,000 Georgia-Pacific Corp. bonds 7 3/4s, 2029 230,000
500,000 Georgia-Pacific Corp. debs. 7.7s, 2015 540,000
365,000 Gerdau Ameristeel Corp. sr. notes 10
3/8s, 2011 (Canada) 406,975
74,250 Graphics Packaging bank term loan FRN
4.35s, 2010 (acquired 8/6/03, cost
$74,250) (RES) 75,333
174,563 Hercules, Inc. bank term loan FRN
3.497s, 2010 (acquired 4/7/04 , cost
$174,563) (RES) 175,435
550,000 Hercules, Inc. company guaranty 11 1/8s,
2007 643,500
105,000 Huntsman Advanced Materials, LLC 144A
sec. FRN 10s, 2008 110,250
125,000 Huntsman Advanced Materials, LLC 144A
sec. notes 11s, 2010 141,875
426,000 Huntsman Co., LLC sr. disc. notes zero %, 2008 247,080
265,000 Huntsman ICI Chemicals, Inc. company
guaranty 10 1/8s, 2009 269,638
845,000 Huntsman ICI Holdings sr. disc. notes
zero %, 2009 422,500
EUR 225,000 Huntsman International, LLC sr. sub.
notes Ser. EXCH, 10 1/8s, 2009 270,471
$215,000 Huntsman LLC company guaranty 11 5/8s,
2010 239,188
160,000 Huntsman, LLC 144A company guaranty 11
1/2s, 2012 160,800
70,000 International Steel Group, Inc. 144A sr.
notes 6 1/2s, 2014 66,325
765,000 ISP Chemco, Inc. company guaranty Ser.
B, 10 1/4s, 2011 852,975
30,000 Kaiser Aluminum & Chemical Corp. sr.
notes Ser. B, 10 7/8s, 2006 (In default)
(NON) 31,650
345,000 Kaiser Aluminum & Chemical Corp. sr.
sub. notes 12 3/4s, 2003 (In default)
(NON)(DEF) 65,550
40,000 Lyondell Chemical Co. bonds 11 1/8s,
2012 44,650
400,000 Lyondell Chemical Co. company guaranty 9
1/2s, 2008 418,500
320,000 Lyondell Chemical Co. notes Ser. A, 9
5/8s, 2007 338,000
EUR 235,000 MDP Acquisitions PLC sr. notes 10 1/8s,
2012 (Ireland) 313,330
$45,000 MDP Acquisitions PLC sr. notes 9 5/8s,
2012 (Ireland) 50,400
188,351 MDP Acquisitions PLC sub. notes 15 1/2s,
2013 (Ireland) (PIK) 219,429
660,000 Millennium America, Inc. company
guaranty 9 1/4s, 2008 712,800
80,000 Millennium America, Inc. 144A sr. notes
9 1/4s, 2008 86,400
62,254 Nalco Co. bank term loan FRN Ser. B,
4.126s, 2010 (acquired 11/6/03, cost
$62,254) (RES) 63,158
EUR 40,000 Nalco Co. 144A sr. notes 7 3/4s, 2011 50,564
EUR 40,000 Nalco Co. 144A sr. sub. notes 9s, 2013 50,371
$565,000 Nalco Co. 144A sr. sub. notes 8 7/8s,
2013 593,250
305,000 Norska Skog Canada Ltd. sr. notes 7
3/8s, 2014 (Canada) 303,475
233,383 PCI Chemicals Canada sec. sr. notes 10s,
2008 (Canada) 226,382
73,902 Pioneer Companies, Inc. sec. FRN 5.086s,
2006 69,837
430,000 Potlatch Corp. company guaranty 10s,
2011 483,750
70,000 Resolution Performance Products, LLC sr.
notes 9 1/2s, 2010 73,150
EUR 235,000 SGL Carbon SA 144A sr. notes 8 1/2s,
2012 (Luxembourg) 274,995
$116,876 SGL Carbon, LLC bank term loan FRN
4.22s, 2009 (acquired 2/26/04, cost
$117,461) (RES) 116,876
105,000 Smurfit-Stone Container Corp. company
guaranty 8 1/4s, 2012 112,088
20,000 Smurfit-Stone Container Corp. company
guaranty 7 1/2s, 2013 20,300
370,000 Steel Dynamics, Inc. company guaranty 9
1/2s, 2009 410,700
81,826 Sterling Chemicals, Inc. sec. notes 10s,
2007 (PIK) 76,916
305,000 Stone Container Corp. sr. notes 9 3/4s,
2011 337,025
120,000 Stone Container Corp. sr. notes 8 3/8s,
2012 128,400
80,000 Stone Container Finance 144A company
guaranty 7 3/8s, 2014 (Canada) 81,400
475,000 Ucar Finance, Inc. company guaranty 10
1/4s, 2012 532,000
215,000 United Agri Products 144A sr. notes 8
1/4s, 2011 233,275
274,000 United States Steel Corp. sr. notes 9
3/4s, 2010 304,825
160,000 Wellman 1st. lien bank term loan FRN 6s,
2009 (acquired 2/4/04, cost $160,000)
(RES) 162,333
145,000 Wellman 2nd. lien bank term loan FRN 8
3/4s, 2010 (acquired 2/4/04, cost
$142,100) (RES) 141,617
22,805 Wheeling-Pittsburgh Steel Corp. sr.
notes 6s, 2010 15,507
43,545 Wheeling-Pittsburgh Steel Corp. sr.
notes 5s, 2011 29,175
105,000 WHX Corp. sr. notes 10 1/2s, 2005 97,650
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16,785,183
Capital Goods (3.5%)
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280,000 AEP Industries, Inc. sr. sub. notes 9
7/8s, 2007 287,000
520,612 Air2 US 144A sinking fund Ser. D,
12.266s, 2020 (In default) (NON) 5
82,526 Allied Waste Industries, Inc. bank term
loan FRN 4.136s, 2010 (acquired 4/25/03,
cost $82,526) (RES) 83,542
13,929 Allied Waste Industries, Inc. bank term
loan FRN Ser. C, 1.369s, 2010 (acquired
4/25/03, cost $13,929) (RES) 14,144
645,000 Allied Waste North America, Inc. company
guaranty Ser. B, 8 1/2s, 2008 704,663
295,000 Allied Waste North America, Inc. sec.
notes 6 1/2s, 2010 292,050
99,000 Amsted Industries bank term loan FRN
5.364s, 2010 (acquired 8/12/03, cost
$98,505) (RES) 101,104
295,000 Argo-Tech Corp. 144A sr. notes 9 1/4s,
2011 308,275
335,000 BE Aerospace, Inc. sr. sub. notes 9
1/2s, 2008 339,188
110,000 BE Aerospace, Inc. sr. sub. notes Ser.
B, 8 7/8s, 2011 107,250
245,000 BE Aerospace, Inc. sr. sub. notes Ser.
B, 8s, 2008 236,425
70,000 Berry Plastics Corp. company guaranty 10
3/4s, 2012 77,875
465,000 Blount, Inc. company guaranty 13s, 2009 499,875
350,000 Browning-Ferris Industries, Inc. debs.
7.4s, 2035 311,500
290,000 Browning-Ferris Industries, Inc. sr.
notes 6 3/8s, 2008 295,800
95,000 Crown Cork & Seal Company, Inc. bank
term loan FRN Ser. B, 4.586s, 2008
(acquired 2/21/03, cost $94,050) (RES) 96,306
EUR 45,000 Crown Holdings SA bonds 10 1/4s, 2011
(France) 61,083
$475,000 Crown Holdings SA notes 10 7/8s, 2013
(France) 545,063
215,000 Crown Holdings SA notes 9 1/2s, 2011
(France) 235,425
500,000 Decrane Aircraft Holdings Co. company
guaranty Ser. B, 12s, 2008 325,000
71,591 EaglePicher bank term loan FRN 4.41s,
2009 (acquired 8/6/03, cost $72,028)
(RES) 72,083
380,000 Earle M. Jorgensen Co. sec. notes 9
3/4s, 2012 418,000
345,000 FIMEP SA sr. notes 10 1/2s, 2013
(France) 396,750
EUR 195,000 Flender Holdings 144A sr. notes 11s,
2010 (Germany) 267,744
$100,801 Flowserve Corp. bank term loan FRN Ser.
C, 4.212s, 2009 (acquired various dates
from 4/30/02 to 2/26/04, cost $101,501)
(RES) 101,998
297,000 Flowserve Corp. company guaranty 12
1/4s, 2010 336,353
99,298 Graham Packaging bank term loan FRN
4.291s, 2010 (acquired 2/18/03, cost
$98,802) (RES) 99,753
365,000 Hexcel Corp. sr. sub. notes 9 3/4s, 2009 382,338
DEM 405,000 Impress Metal Packaging Holding NV sr.
sub. notes 9 7/8s, 2007 (Netherlands) 240,570
$79,834 Invensys, PLC bank term loan FRN 5.477s,
2009 (acquired 3/11/04, cost $79,634)
(United Kingdom) (RES) 81,031
505,000 Invensys, PLC notes 9 7/8s, 2011 (United
Kingdom) 508,788
275,000 K&F Industries, Inc. sr. sub. notes Ser.
B, 9 5/8s, 2010 300,438
120,000 L-3 Communications Corp. company
guaranty 7 5/8s, 2012 128,100
220,000 L-3 Communications Corp. company
guaranty 6 1/8s, 2013 213,400
385,000 Legrand SA debs. 8 1/2s, 2025 (France) 406,175
40,000 Manitowoc Co., Inc. (The) company
guaranty 10 1/2s, 2012 45,600
EUR 95,000 Manitowoc Co., Inc. (The) company
guaranty 10 3/8s, 2011 127,123
$120,000 Manitowoc Co., Inc. (The) sr. notes 7
1/8s, 2013 121,800
94,495 Mueller Group bank term loan FRN 4.559s,
2011 (acquired 4/22/04, cost $94,495)
(RES) 95,263
100,000 Mueller Group Inc. 144A sec. FRN 6.444s,
2011 103,000
140,000 Mueller Group Inc. 144A sr. sub. notes
10s, 2012 147,000
300,000 Owens-Brockway Glass company guaranty 8
1/4s, 2013 314,250
280,000 Owens-Brockway Glass company guaranty 7
3/4s, 2011 296,800
370,000 Owens-Brockway Glass sr. sec. notes 8
3/4s, 2012 407,000
275,000 Pliant Corp. sec. notes 11 1/8s, 2009 297,000
97,500 Roper bank term loan FRN 3.61s, 2008
(acquired 12/22/03, cost $97,500) (RES) 98,800
630,000 Sequa Corp. sr. notes 9s, 2009 680,400
125,000 Siebe PLC 144A sr. unsub. 6 1/2s, 2010
(United Kingdom) 112,500
99,750 Solo Cup Co. bank term loan FRN 3.945s,
2011 (acquired 2/19/04, cost $100,319)
(RES) 100,831
65,000 Solo Cup Co. 144A sr. sub. notes 8 1/2s,
2014 59,800
415,000 Tekni-Plex, Inc. company guaranty Ser.
B, 12 3/4s, 2010 404,625
245,000 Tekni-Plex, Inc. 144A sr. sec. notes 8
3/4s, 2013 237,344
100,000 Terex Corp. company guaranty 9 1/4s,
2011 111,250
380,000 Terex Corp. company guaranty Ser. B, 10
3/8s, 2011 423,700
24,875 Transdigm, Inc. bank term loan FRN
3.61s, 2010 (acquired 4/19/04, cost
$24,875) (RES) 25,171
215,000 Trimas Corp. company guaranty 9 7/8s,
2012 224,675
200,000 Vought Aircraft Industries, Inc. 144A
sr. notes 8s, 2011 196,000
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13,505,026
Communication Services (3.4%)
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173,000 Alamosa Delaware, Inc. company guaranty
11s, 2010 189,003
145,000 Alamosa Delaware, Inc. company guaranty
stepped-coupon zero % (12s, 7/31/05),
2009 (STP) 141,738
225,000 Alamosa Delaware, Inc. 144A sr. notes 8
1/2s, 2012 219,938
105,000 American Cellular Corp. company guaranty
9 1/2s, 2009 90,300
430,000 American Cellular Corp. sr. notes Ser.
B, 10s, 2011 374,100
195,000 American Tower Corp. 144A sr. notes 7
1/2s, 2012 191,588
405,000 American Towers, Inc. company guaranty 7
1/4s, 2011 408,038
300,000 Asia Global Crossing, Ltd. sr. notes 13
3/8s, 2010 (Bermuda) (In default) (NON) 27,000
475,000 Centennial Cellular Operating Co.
company guaranty 10 1/8s, 2013 489,250
80,000 Cincinnati Bell Telephone Co. company
guaranty 6.3s, 2028 69,600
200,000 Cincinnati Bell, Inc. company guaranty 7
1/4s, 2013 186,500
215,000 Cincinnati Bell, Inc. notes 7 1/4s, 2023 191,350
440,000 Cincinnati Bell, Inc. sr. sub. notes 8
3/8s, 2014 387,200
191,573 Colo.com, Inc. 144A sr. notes 13 7/8s,
2010 (In default) (NON) 19
50,000 Consolidated Communications bank term
loan FRN 4.081s, 2012 (acquired 4/7/04,
cost $50,000) (RES) 50,875
49,625 Crown Castle International Corp. bank
term loan FRN 5.09s, 2010 (acquired
10/3/03, cost $49,625) (RES) 49,687
410,000 Crown Castle International Corp. sr.
notes 9 3/8s, 2011 462,275
49,625 Dobson Communications Corp. bank term
loan FRN 4.915s, 2010 (acquired 10/20/03,
cost $49,625) (RES) 49,679
230,000 Dobson Communications Corp. sr. notes 8
7/8s, 2013 175,950
140,000 Eircom Funding notes 8 1/4s, 2013
(Ireland) 147,000
210,000 Fairpoint Communications, Inc. sr. sub.
notes 12 1/2s, 2010 228,900
186,311 Firstworld Communication Corp. sr. disc.
notes zero %, 2008 (In default) (NON) 19
117,944 Globix Corp. company guaranty 11s, 2008
(PIK) 98,483
455,000 Inmarsat Finance PLC 144A company
guaranty 7 5/8s, 2012 (United Kingdom) 435,663
160,000 iPCS, Inc. 144A sr. notes 11 1/2s, 2012 165,200
405,000 Level 3 Financing Inc. 144A sr. notes 10
3/4s, 2011 346,275
390,000 Madison River Capital Corp. sr. notes 13
1/4s, 2010 414,375
557,000 MCI, Inc. sr. notes 7.735s, 2014 501,996
137,000 MCI, Inc. sr. notes 6.688s, 2009 126,211
3,000 MCI, Inc. sr. notes 5.908s, 2007 2,906
116,083 Nextel bank term loan FRN Ser. E,
3.813s, 2010 (acquired 12/19/02, cost
$107,377) (RES) 116,830
795,000 Nextel Communications, Inc. sr. notes 7
3/8s, 2015 834,750
20,000 Nextel Partners, Inc. sr. notes 12 1/2s,
2009 23,300
675,000 Nextel Partners, Inc. sr. notes 8 1/8s,
2011 695,250
450,000 PanAmSat Corp. company guaranty 8 1/2s,
2012 519,188
105,625 Qwest Communications International, Inc.
bank term loan FRN 6 1/2s, 2007
(acquired 6/5/03, cost $104,569) (RES) 109,388
675,000 Qwest Communications International, Inc.
144A sr. notes 7 1/2s, 2014 631,125
120,000 Qwest Communications International, Inc.
144A sr. notes FRN 4.75s, 2009 114,600
1,300,000 Qwest Corp. 144A notes 9 1/8s, 2012 1,430,000
195,000 Qwest Services Corp. 144A notes 14 1/2s,
2014 234,000
145,000 Rogers Wireless, Inc. sec. notes 9 5/8s,
2011 (Canada) 163,125
170,000 Rural Cellular Corp. sr. sub. notes Ser.
B, 9 5/8s, 2008 161,500
90,000 SBA Communications Corp. sr. notes 10
1/4s, 2009 93,150
50,000 SBA Senior Finance, Inc. bank term loan
FRN 4.687s, 2008 (acquired 2/3/04, cost
$50,000) (RES) 50,328
175,000 SBA Telecommunications Inc./SBA
Communication Corp. sr. disc. notes
stepped-coupon zero % (9 3/4s,
12/15/07), 2011 132,563
205,000 Triton PCS, Inc. company guaranty 8
3/4s, 2011 158,363
365,000 TSI Telecommunication Services, Inc.
company guaranty Ser. B, 12 3/4s, 2009 392,375
225,000 UbiquiTel Operating Co. bonds
stepped-coupon zero % (14s, 4/15/05),
2010 (STP) 226,125
195,000 UbiquiTel Operating Co. sr. notes 9
7/8s, 2011 193,538
290,000 Western Wireless Corp. sr. notes 9 1/4s,
2013 296,525
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12,797,141
Consumer Cyclicals (10.0%)
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33,140 Advance Stores bank term loan FRN Ser.
C, 3.312s, 2007 (acquired 3/4/03, cost
$33,140) (RES) 33,533
155,000 Ameristar Casinos, Inc. company guaranty
10 3/4s, 2009 174,375
90,000 Argosy Gaming Co. sr. sub. notes 9s,
2011 99,900
350,000 Argosy Gaming Co. 144A sr. sub. notes
7s, 2014 348,688
240,000 Asbury Automotive Group, Inc. sr. sub.
notes 8s, 2014 225,600
475,000 Autonation, Inc. company guaranty 9s,
2008 536,750
80,000 Beazer Homes USA, Inc. company guaranty
8 3/8s, 2012 85,600
66,454 Borgata Resorts bank term loan FRN Ser.
B, 4.126s, 2007 (acquired 6/5/02, cost
$66,289) (RES) 66,911
315,000 Boyd Gaming Corp. sr. sub. notes 8 3/4s,
2012 340,200
85,000 Boyd Gaming Corp. sr. sub. notes 7 3/4s,
2012 87,550
180,000 Building Materials Corp. company
guaranty 8s, 2008 180,000
190,000 Chumash Casino & Resort Enterprise 144A
sr. notes 9s, 2010 207,100
87,500 Coinmach Corp. bank term loan FRN Ser.
B, 4.316s, 2009 (acquired 1/31/02, cost
$87,391) (RES) 88,200
650,000 Coinmach Corp. sr. notes 9s, 2010 659,750
420,000 Collins & Aikman Products company
guaranty 10 3/4s, 2011 424,200
24,619 Corrections Corporation of America bank
term loan FRN 3.36s, 2008 (acquired
6/7/04, cost $24,619) (RES) 24,958
55,000 D.R. Horton, Inc. company guaranty 8s,
2009 61,325
350,000 D.R. Horton, Inc. sr. notes 7 7/8s, 2011 388,500
80,000 D.R. Horton, Inc. sr. notes 6 7/8s, 2013 83,000
220,000 D.R. Horton, Inc. sr. notes 5 7/8s, 2013 214,225
90,000 Dana Corp. notes 10 1/8s, 2010 102,600
300,000 Dana Corp. notes 9s, 2011 354,000
50,000 Dana Corp. notes 7s, 2029 49,500
155,000 Dana Corp. notes 6 1/2s, 2009 162,750
305,000 Dayton Superior Corp. sec. notes 10
3/4s, 2008 312,625
85,000 Delco Remy International, Inc. company
guaranty 11s, 2009 91,163
285,000 Delco Remy International, Inc. 144A sr.
sub. notes 9 3/8s, 2012 275,025
240,472 Derby Cycle Corp. (The) sr. notes 10s,
2008 (In default) (NON) 24
DEM 688,142 Derby Cycle Corp. (The) sr. notes 9
3/8s, 2008 (In default) (NON) 42
$600,000 Dex Media East, LLC/Dex Media East
Finance Co. sr. notes Ser. B, 8 1/2s,
2010 660,000
89,120 Dex Media West, LLC bank term loan FRN
3.691s, 2010 (acquired 9/9/03, cost
$89,120) (RES) 90,736
275,000 Dex Media, Inc. 144A disc. notes
stepped-coupon zero % (9s, 11/15/08),
2013 (STP) 191,125
310,000 Dex Media, Inc. 144A notes 8s, 2013 311,550
100,000 Dura Operating Corp. company guaranty
Ser. B, 8 5/8s, 2012 99,000
270,000 Dura Operating Corp. company guaranty
Ser. D, 9s, 2009 257,850
56,000 FelCor Lodging LP company guaranty 10s,
2008 (R) 59,080
260,000 Finlay Fine Jewelry Corp. 144A sr. notes
8 3/8s, 2012 273,000
375,000 Gaylord Entertainment Co. sr. notes 8s,
2013 385,781
80,000 Goodyear Tire & Rubber Co. (The) bank
term loan FRN 6.059s, 2006 (acquired
2/19/04, cost $80,000) (RES) 80,775
770,000 Goodyear Tire & Rubber Co. (The) notes
7.857s, 2011 716,100
110,000 Goodyear Tire & Rubber Co. (The) notes 6
3/8s, 2008 103,400
93,058 Hayes Lemmerz International, Inc. bank
term loan FRN 5.1s, 2009 (acquired
6/3/03, cost $92,128) (RES) 94,774
215,000 Herbst Gaming, Inc. 144A sr. sub. notes
8 1/8s, 2012 212,313
455,000 Hilton Hotels Corp. notes 7 5/8s, 2012 502,206
324,000 HMH Properties, Inc. company guaranty
Ser. B, 7 7/8s, 2008 332,910
710,734 Hollinger Participation Trust 144A sr.
notes 12 1/8s, 2010 (Canada) (PIK) 831,559
530,000 Hollywood Park, Inc. company guaranty
Ser. B, 9 1/4s, 2007 543,250
490,000 Horseshoe Gaming Holdings company
guaranty 8 5/8s, 2009 510,825
151,000 Host Marriott LP sr. notes Ser. E, 8
3/8s, 2006 (R) 159,683
410,000 Host Marriott LP 144A sr. notes 7s, 2012 404,875
180,000 Houghton Mifflin Co. sr. sub. notes 9
7/8s, 2013 184,950
470,000 Icon Health & Fitness company guaranty
11 1/4s, 2012 512,300
49,625 IESI Corp. bank term loan FRN 4.601s,
2010 (acquired various dates
from 10/20/03 to 10/21/03, cost $49,896)
(RES) 50,369
345,000 IESI Corp. company guaranty 10 1/4s,
2012 374,325
150,000 Inn of the Mountain Gods sr. notes 12s,
2010 168,000
275,000 ITT Corp. debs. 7 3/8s, 2015 281,188
320,000 ITT Corp. notes 6 3/4s, 2005 331,600
515,000 JC Penney Co., Inc. debs. 7.95s, 2017 581,950
95,000 JC Penney Co., Inc. debs. 7.65s, 2016 104,500
235,000 JC Penney Co., Inc. debs. 7 1/8s, 2023 244,400
15,000 JC Penney Co., Inc. notes 8s, 2010 16,838
870,000 John Q. Hammons Hotels LP/John Q.
Hammons Hotels Finance Corp. III 1st
mtge. Ser. B, 8 7/8s, 2012 957,000
510,000 Jostens Holding Corp. sr. disc. notes
stepped-coupon zero % (10 1/4s,
12/1/08), 2013 (STP) 341,700
86,213 Jostens, Inc. bank term loan FRN Ser. B,
3.869s, 2010 (acquired 7/28/03, cost
$86,213) (RES) 87,290
285,000 Jostens, Inc. sr. sub. notes 12 3/4s,
2010 322,050
75,000 K. Hovnanian Enterprises, Inc. company
guaranty 10 1/2s, 2007 86,625
310,000 K. Hovnanian Enterprises, Inc. company
guaranty 8 7/8s, 2012 338,675
205,000 K. Hovnanian Enterprises, Inc. company
guaranty 6 3/8s, 2014 191,675
160,000 K. Hovnanian Enterprises, Inc. sr. notes
6 1/2s, 2014 151,600
190,000 K2, Inc. 144A sr. notes 7 3/8s, 2014 193,325
720,000 Laidlaw International, Inc. sr. notes 10
3/4s, 2011 797,400
81,481 Lamar Media Corp. bank term loan FRN 3
3/8s, 2010 (acquired 2/27/03, cost
$81,482) (RES) 82,215
305,000 Lamar Media Corp. company guaranty 7
1/4s, 2013 314,913
50,000 Landsource bank term loan FRN 4s, 2010
(acquired 1/12/04, cost $50,000) (RES) 50,656
505,000 Levi Strauss & Co. sr. notes 12 1/4s,
2012 512,575
235,000 Mandalay Resort Group sr. notes 6 3/8s,
2011 239,700
380,000 Meristar Hospitality Corp. company
guaranty 9 1/8s, 2011 (R) 392,350
205,000 Meristar Hospitality Corp. company
guaranty 9s, 2008 (R) 212,175
160,000 Meritage Corp. company guaranty 9 3/4s,
2011 176,800
85,000 Meritage Corp. sr. notes 7s, 2014 81,600
215,000 Meritor Automotive, Inc. notes 6.8s,
2009 216,075
340,000 Metaldyne Corp. 144A sr. notes 10s, 2013 340,000
425,000 MGM Mirage, Inc. company guaranty 8
1/2s, 2010 469,625
260,000 MGM Mirage, Inc. company guaranty 6s,
2009 258,050
30,000 Mohegan Tribal Gaming Authority sr.
notes 8 1/8s, 2006 32,175
100,000 Mohegan Tribal Gaming Authority sr. sub.
notes 8 3/8s, 2011 113,750
685,000 Mohegan Tribal Gaming Authority sr. sub.
notes 6 3/8s, 2009 689,281
300,000 Nortek Holdings, Inc. 144A sr. notes
stepped-coupon zero % (10s, 11/15/07),
2011 (STP) 250,800
220,000 Nortek, Inc. sr. sub. notes Ser. B, 9
7/8s, 2011 256,850
115,000 Owens Corning bonds 7 1/2s, 2018 (In
default) (NON) 50,025
460,000 Owens Corning notes 7 1/2s, 2005 (In
default) (NON) 200,100
245,000 Oxford Industries, Inc. 144A sr. notes 8
7/8s, 2011 260,925
490,000 Park Place Entertainment Corp. sr. notes
7 1/2s, 2009 534,100
265,000 Park Place Entertainment Corp. sr. notes
7s, 2013 276,594
200,000 Park Place Entertainment Corp. sr. sub.
notes 8 7/8s, 2008 222,500
63,039 Penn National Gaming, Inc. bank term
loan FRN 4.07s, 2010 (acquired 2/19/03,
cost $62,961) (RES) 63,922
255,000 Penn National Gaming, Inc. company
guaranty Ser. B, 11 1/8s, 2008 279,863
500,000 Penn National Gaming, Inc. sr. sub.
notes 8 7/8s, 2010 546,875
108,588 PETCO Animal Supplies, Inc. bank term
loan FRN 3.61s, 2009 (acquired 8/6/03,
cost $108,588) (RES) 109,810
120,000 Phillips-Van Heusen Corp. 144A sr. notes
7 1/4s, 2011 122,400
61,976 Pinnacle Entertainment, Inc. bank term
loan FRN 4.84s, 2009 (acquired 12/15/03,
cost $61,976) (RES) 62,751
300,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 3/4s, 2013 298,500
135,000 Pinnacle Entertainment, Inc. sr. sub.
notes 8 1/4s, 2012 129,600
63,587 PRIMEDIA, Inc. bank term loan FRN Ser.
B, 4 1/4s, 2009 (acquired 2/10/03, cost
$60,885) (RES) 60,885
590,000 PRIMEDIA, Inc. company guaranty 8 7/8s,
2011 579,675
435,000 PRIMEDIA, Inc. 144A sr. notes 8s, 2013 404,550
195,000 Reader's Digest Association, Inc. (The)
sr. notes 6 1/2s, 2011 193,050
375,000 Resorts International Hotel and Casino,
Inc. company guaranty 11 1/2s, 2009 421,875
123,154 RH Donnelley Finance Corp. I bank term
loan FRN Ser. B, 3.786s, 2010 (acquired
12/4/02, cost $123,155) (RES) 124,502
70,000 RH Donnelley Finance Corp. I company
guaranty 8 7/8s, 2010 77,000
500,000 RH Donnelley Finance Corp. I 144A sr.
notes 8 7/8s, 2010 550,000
250,000 RH Donnelley Finance Corp. I 144A sr.
sub. notes 10 7/8s, 2012 292,500
360,000 Russell Corp. company guaranty 9 1/4s,
2010 385,200
597,000 Saks, Inc. company guaranty 7s, 2013 585,060
640,000 Samsonite Corp. 144A sr. sub. notes 8
7/8s, 2011 651,200
210,000 Schuler Homes, Inc. company guaranty 10
1/2s, 2011 240,450
123,442 Scientific Gaming bank term loan FRN
3.84s, 2008 (acquired 7/21/04, cost
$122,825) (RES) 124,779
77,857 Sealy Mattress Co. bank term loan FRN
4.221s, 2012 (acquired 4/2/04, cost
$77,857) (RES) 78,960
585,000 Sealy Mattress Co. 144A sr. sub. notes 8
1/4s, 2014 585,000
46,059 SPX Corp. bank term loan FRN Ser. B, 3
3/8s, 2009 (acquired various dates from
7/23/02 to 8/26/03, cost $46,059) (RES) 46,721
225,000 Standard Pacific Corp. sr. notes 7 3/4s,
2013 231,188
25,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 7/8s, 2012 26,938
210,000 Starwood Hotels & Resorts Worldwide,
Inc. company guaranty 7 3/8s, 2007 221,550
245,000 Station Casinos, Inc. sr. notes 6s, 2012 238,875
275,000 Station Casinos, Inc. sr. sub. notes 6
7/8s, 2016 267,438
180,000 Technical Olympic USA, Inc. company
guaranty 10 3/8s, 2012 190,350
120,000 Technical Olympic USA, Inc. company
guaranty 9s, 2010 123,600
EUR 80,000 Teksid Aluminum 144A company guaranty 11
3/8s, 2011 (Luxembourg) 83,310
$410,000 Tenneco Automotive, Inc. sec. notes Ser.
B, 10 1/4s, 2013 467,400
655,000 Trump Atlantic City Associates company
guaranty 11 1/4s, 2006 576,400
287,000 Trump Casino Holdings, LLC company
guaranty 12 5/8s, 2010 293,458
69,825 TRW Automotive bank term loan FRN 4
1/8s, 2011 (acquired 1/7/04, cost
$69,772) (RES) 71,003
270,000 United Auto Group, Inc. company guaranty
9 5/8s, 2012 295,650
470,000 Vertis, Inc. company guaranty Ser. B, 10
7/8s, 2009 513,475
390,000 Vertis, Inc. sub. notes 13 1/2s, 2009 397,800
170,000 Von Hoffman Press, Inc. company guaranty
10 3/8s, 2007 171,700
370,000 Von Hoffman Press, Inc. company guaranty
10 1/4s, 2009 403,300
220,907 Von Hoffman Press, Inc. debs. 13s, 2009
(PIK) 215,384
435,000 WCI Communities, Inc. company guaranty 9
1/8s, 2012 468,713
214,000 William Carter Holdings Co. (The)
company guaranty Ser. B, 10 7/8s, 2011 240,750
110,000 WRC Media Corp. bank term loan FRN
6.761s, 2009 (acquired 3/25/04, cost $110,000) (RES) 109,656
295,000 WRC Media Corp. sr. sub. notes 12 3/4s,
2009 268,450
36,000 Yell Finance BV sr. notes 10 3/4s, 2011
(Netherlands) 41,346
-------------
37,983,342
Consumer Staples (5.7%)
-----------------------------------------------------------------------------------------------------------
50,000 Adelphia Communications Corp. notes Ser.
B, 9 7/8s, 2005 (In default) (NON) 43,000
250,000 Adelphia Communications Corp. sr. notes
10 7/8s, 2010 (In default) (NON) 218,750
30,000 Adelphia Communications Corp. sr. notes
9 3/8s, 2009 (In default) (NON) 26,250
110,000 Adelphia Communications Corp. sr. notes
Ser. B, 9 7/8s, 2007 (In default) (NON) 94,600
405,000 Adelphia Communications Corp. sr. notes
Ser. B, 7 3/4s, 2009 (In default) (NON) 340,200
18,778 Affinity Group Holdings bank term loan
FRN Ser. B1, 5.528s, 2009 (acquired
5/27/03, cost $18,732) (RES) 18,943
46,947 Affinity Group Holdings bank term loan
FRN Ser. B2, 5.321s, 2009 (acquired
10/28/99, cost $46,829) (RES) 47,358
290,000 Affinity Group, Inc. 144A sr. sub. notes
9s, 2012 300,513
350,000 AMC Entertainment, Inc. sr. sub. notes 9
7/8s, 2012 358,750
295,000 AMC Entertainment, Inc. 144A sr. sub.
notes 8s, 2014 272,138
440,565 American Seafood Group, LLC bank term
loan FRN Ser. B, 4.59s, 2009 (acquired
4/11/02, cost $440,124) (RES) 441,574
119,700 AMF Bowling Worldwide bank term loan FRN
4.372s, 2009 (acquired 2/25/04, cost
$119,700) (RES) 120,598
179,185 Archibald Candy Corp. company guaranty
10s, 2007 (In default) (NON)(PIK) 118,262
350,000 Armkel, LLC/Armkel Finance sr. sub.
notes 9 1/2s, 2009 380,625
300,000 Brand Services, Inc. company guaranty
12s, 2012 345,000
348,000 Cablevision Systems Corp. 144A sr. notes
8s, 2012 341,910
265,000 Capital Records, Inc. 144A company
guaranty 8 3/8s, 2009 285,853
100,000 Century Cable Holdings bank term loan
FRN 6 1/4s, 2009 (acquired 6/11/02, cost
$80,500) (RES) 96,521
160,000 Charter bank term loan FRN 4.42s, 2011
(acquired 4/21/04, cost $160,000) (RES) 157,580
225,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (12 1/8s,
1/15/07), 2012 (STP) 122,063
285,000 Charter Communications Holdings,
LLC/Capital Corp. sr. disc. notes
stepped-coupon zero % (11 3/4s,
5/15/06), 2011 (STP) 168,150
300,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 11 1/8s,
2011 237,750
440,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10 3/4s,
2009 354,200
225,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10 1/4s,
2010 174,938
955,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 10s, 2011 723,413
50,000 Charter Communications Holdings,
LLC/Capital Corp. sr. notes 8 5/8s, 2009 37,750
350,000 Cinemark USA, Inc. sr. sub. notes 9s,
2013 384,125
530,000 Cinemark, Inc. 144A sr. disc. notes
stepped-coupon zero % (9 3/4s, 3/15/09),
2014 (STP) 349,800
60,935 Constellation Brands, Inc. bank term
loan FRN 3.213s, 2008 (acquired 11/3/03,
cost $60,935) (RES) 61,773
210,000 Constellation Brands, Inc. sr. sub.
notes Ser. B, 8 1/8s, 2012 226,275
230,000 CSC Holdings, Inc. debs. 7 5/8s, 2018 217,925
202,000 CSC Holdings, Inc. sr. notes Ser. B, 7
5/8s, 2011 204,020
200,000 CSC Holdings, Inc. 144A sr. notes 6
3/4s, 2012 193,000
90,000 Dean Foods Co. sr. notes 6 5/8s, 2009 93,150
120,000 Del Monte Corp. company guaranty Ser. B,
9 1/4s, 2011 130,800
305,000 Del Monte Corp. sr. sub. notes 8 5/8s,
2012 332,450
79,897 Del Monte Foods Co. bank term loan FRN
Ser. B, 3.505s, 2010 (acquired 12/16/02,
cost $79,498) (RES) 80,996
82,592 DirecTV bank term loan FRN Ser. B,
3.607s, 2010 (acquired various dates
from 3/4/03 to 8/5/03, cost $82,592)
(RES) 83,645
1,162,000 Diva Systems Corp. sr. disc. notes Ser.
B, 12 5/8s, 2008 (In default) (NON) 1,453
430,000 Doane Pet Care Co. sr. sub. debs. 9
3/4s, 2007 404,200
8,776 Dole Food Co. bank term loan FRN Ser. D,
4.386s, 2009 (acquired 12/8/03, cost
$8,776) (RES) 8,908
145,000 Dole Food Co. sr. notes 8 7/8s, 2011 153,338
105,000 Dole Food Co. sr. notes 8 5/8s, 2009 110,250
80,000 Dole Holding Co. bank term loan FRN
6.61s, 2010 (acquired 7/20/04, cost
$79,600) (RES) 79,650
266,000 Domino's, Inc. sr. sub. notes 8 1/4s,
2011 284,620
65,000 Duane Reade, Inc. 144A sr. sub. notes 9
3/4s, 2011 64,838
30,000 Eagle Family Foods company guaranty Ser.
B, 8 3/4s, 2008 21,000
505,000 Echostar DBS Corp. sr. notes 6 3/8s,
2011 501,213
135,000 Elizabeth Arden, Inc. company guaranty 7
3/4s, 2014 137,869
790,000 Granite Broadcasting Corp. sec. notes 9
3/4s, 2010 722,850
34,825 Insight Midwest LP/Insight Capital, Inc.
bank term loan FRN 3.938s, 2009
(acquired 11/5/01, cost $34,760) (RES) 35,314
195,000 Jean Coutu Group, Inc. 144A sr. notes 7
5/8s, 2012 (Canada) 196,463
385,000 Jean Coutu Group, Inc. 144A sr. sub.
notes 8 1/2s, 2014 (Canada) 381,631
480,000 Kabel Deutsheland GmbH 144A sr. notes 10
5/8s, 2014 (Germany) 492,600
20,707 Knology, Inc. 144A sr. notes 12s, 2009
(PIK) 19,465
305,000 Land O'Lakes, Inc. sr. notes 8 3/4s,
2011 282,125
325,000 Mediacom LLC/Mediacom Capital Corp. sr.
notes 9 1/2s, 2013 300,625
120,000 MGM bank term loan FRN 3.84s, 2011
(acquired 4/21/04, cost $120,000) (RES) 120,510
490,000 News America Holdings, Inc. company
guaranty 9 1/4s, 2013 619,597
195,000 North Atlantic Trading Co. sr. notes 9
1/4s, 2012 191,100
270,000 Olympus Cable bank term loan FRN Ser. B,
6 1/4s, 2010 (acquired 6/20/02, cost
$235,305) (RES) 260,454
375,000 Pinnacle Foods Holding Corp. 144A sr.
sub. notes 8 1/4s, 2013 360,000
445,000 Playtex Products, Inc. company guaranty
9 3/8s, 2011 448,338
415,000 Playtex Products, Inc. 144A secd. notes
8s, 2011 430,563
350,000 Premier International Foods PLC sr.
notes 12s, 2009 (United Kingdom) 372,750
395,000 Prestige Brands, Inc. 144A sr. sub.
notes 9 1/4s, 2012 400,925
10,000 Quebecor Media, Inc. sr. disc. notes
stepped-coupon zero % (13 3/4s,
7/15/06), 2011 (Canada) (STP) 9,375
305,000 Quebecor Media, Inc. sr. notes 11 1/8s,
2011 (Canada) 349,225
72,155 Rayovac Corp. bank term loan FRN Ser. B,
3.903s, 2009 (acquired 9/26/02, cost
$72,082) (RES) 72,966
405,000 Remington Arms Co., Inc. company
guaranty 10 1/2s, 2011 396,900
64,838 Rite Aid Corp. bank term loan FRN
4.408s, 2008 (acquired 5/16/03, cost
$64,757) (RES) 66,134
305,000 Rite Aid Corp. company guaranty 9 1/2s,
2011 334,738
20,000 Rite Aid Corp. debs. 6 7/8s, 2013 18,300
40,000 Rite Aid Corp. notes 7 1/8s, 2007 40,700
205,000 Rite Aid Corp. sec. notes 8 1/8s, 2010 214,738
270,000 Rite Aid Corp. sr. notes 9 1/4s, 2013 282,825
20,000 Rite Aid Corp. 144A notes 6s, 2005 20,100
470,000 Sbarro, Inc. company guaranty 11s, 2009 415,950
39,900 Scotts Co. (The) bank term loan FRN
3.328s, 2010 (acquired 10/16/03, cost
$39,900) (RES) 40,085
140,000 Scotts Co. (The) sr. sub. notes 6 5/8s,
2013 141,400
42,443 Six Flags, Inc. bank term loan FRN Ser.
B, 3.87s, 2009 (acquired 1/15/03, cost
$42,390) (RES) 42,832
527,000 Six Flags, Inc. sr. notes 9 5/8s, 2014 488,793
1,105,000 Six Flags, Inc. sr. notes 8 7/8s, 2010 1,023,506
78,579 Sum Media bank term loan FRN Ser. B,
3.42s, 2009 (acquired 2/4/03, cost
$78,579) (RES) 79,201
155,000 Videotron Ltee company guaranty 6 7/8s,
2014 (Canada) 150,350
65,000 Vivendi Universal SA bank term loan FRN
Ser. B, 4.07s, 2008 (acquired 6/23/03,
cost $65,000) (France) (RES) 65,244
540,000 Vivendi Universal SA sr. notes 6 1/4s,
2008 (France) 575,100
199,500 Warner Music bank term loan FRN 4.173s,
2011 (acquired 4/8/04, cost $200,406)
(RES) 202,243
390,000 Williams Scotsman, Inc. company guaranty
9 7/8s, 2007 386,100
404,000 Young Broadcasting, Inc. company
guaranty 10s, 2011 408,040
200,000 Young Broadcasting, Inc. sr. sub. notes
8 3/4s, 2014 190,000
-------------
21,602,142
Energy (3.9%)
-----------------------------------------------------------------------------------------------------------
430,000 Arch Western Finance, LLC 144A sr. notes
7 1/4s, 2013 436,450
115,000 Belden & Blake Corp. 144A sec. notes 8
3/4s, 2012 117,156
350,000 BRL Universal Equipment sec. notes 8
7/8s, 2008 373,625
300,000 CHC Helicopter Corp. 144A sr. sub. notes
7 3/8s, 2014 (Canada) 299,250
180,000 Chesapeake Energy Corp. company guaranty
9s, 2012 205,650
142,000 Chesapeake Energy Corp. company guaranty
7 3/4s, 2015 150,165
626,000 Chesapeake Energy Corp. sr. notes 7
1/2s, 2013 665,125
157,000 Chesapeake Energy Corp. sr. notes 7s,
2014 158,178
275,000 Comstock Resources, Inc. sr. notes 6
7/8s, 2012 270,188
120,000 Dresser, Inc. bank term loan FRN 4.68s,
2010 (acquired 2/27/04, cost $120,900)
(RES) 122,190
380,000 Dresser, Inc. company guaranty 9 3/8s,
2011 410,400
77,000 El Paso Energy Partners LP company
guaranty Ser. B, 8 1/2s, 2011 84,315
295,000 Encore Acquisition Co. company guaranty
8 3/8s, 2012 320,075
140,000 Encore Acquisition Co. 144A sr. sub.
notes 6 1/4s, 2014 134,750
390,000 Exco Resources, Inc. company guaranty 7
1/4s, 2011 403,650
185,000 Forest Oil Corp. company guaranty 7
3/4s, 2014 191,938
520,000 Forest Oil Corp. sr. notes 8s, 2011 560,300
115,000 Forest Oil Corp. sr. notes 8s, 2008 123,625
175,000 Forest Oil Corp. 144A sr. notes 8s, 2011 188,563
440,000 Gazprom OAO 144A notes 9 5/8s, 2013
(Russia) 460,350
215,000 Hanover Compressor Co. sr. notes 9s,
2014 226,288
195,000 Hanover Compressor Co. sr. notes 8 5/8s,
2010 206,700
290,000 Hanover Compressor Co. sub. notes zero %, 2007 236,350
190,000 Hanover Equipment Trust sec. notes Ser.
A, 8 1/2s, 2008 202,825
265,000 Hornbeck Offshore Services, Inc. sr.
notes 10 5/8s, 2008 290,175
195,000 KCS Energy, Inc. 144A sr. notes 7 1/8s,
2012 195,000
160,000 Key Energy Services, Inc. sr. notes 6
3/8s, 2013 150,800
36,214 Magellan Midstream Holdings bank term
loan FRN 4.65s, 2008 (acquired 6/13/03,
cost $35,852) (RES) 36,667
295,000 Massey Energy Co. sr. notes 6 5/8s, 2010 300,900
380,000 Newfield Exploration Co. sr. notes 7
5/8s, 2011 408,500
255,000 Offshore Logistics, Inc. company
guaranty 6 1/8s, 2013 247,350
311,190 Oslo Seismic Services, Inc. 1st mtge.
8.28s, 2011 289,407
190,000 Pacific Energy Partners/Pacific Energy
Finance Corp. 144A sr. notes 7 1/8s,
2014 194,275
50,000 Parker Drilling Co. bank term loan FRN
5.72s, 2007 (acquired 10/22/03, cost
$49,500) (RES) 50,156
290,000 Parker Drilling Co. company guaranty
Ser. B, 10 1/8s, 2009 307,400
48,141 Peabody Energy Corp. bank term loan FRN
Ser. B, 3.252s, 2010 (acquired 3/20/03,
cost $48,141) (RES) 48,622
405,000 Peabody Energy Corp. sr. notes 5 7/8s,
2016 374,625
335,000 Pemex Project Funding Master Trust
company guaranty 8 5/8s, 2022 358,450
300,000 Petro Geo-Services notes 10s, 2010
(Norway) 318,000
630,000 Petroleos Mexicanos company guaranty 9
1/2s, 2027 (Mexico) 724,500
550,000 Petronas Capital, Ltd. company guaranty
7 7/8s, 2022 (Malaysia) 612,590
125,000 Petronas Capital, Ltd. company guaranty
7s, 2012 (Malaysia) 137,038
205,000 Plains All American Pipeline LP/Plains
All American Finance Corp. company
guaranty 7 3/4s, 2012 231,389
310,000 Plains Exploration & Production Co.
company guaranty Ser. B, 8 3/4s, 2012 341,000
160,000 Plains Exploration & Production Co. sr.
sub. notes 8 3/4s, 2012 176,000
200,000 Plains Exploration & Production Co. 144A
sr. notes 7 1/8s, 2014 205,500
350,000 Pogo Producing Co. sr. sub. notes Ser.
B, 8 1/4s, 2011 383,250
360,000 Pride International, Inc. 144A sr. notes
7 3/8s, 2014 371,250
320,000 Seabulk International, Inc. company
guaranty 9 1/2s, 2013 331,200
170,000 Seven Seas Petroleum, Inc. sr. notes
Ser. B, 12 1/2s, 2005 (In default) (NON) 2
495,000 Star Gas Partners LP/Star Gas Finance
Co. sr. notes 10 1/4s, 2013 529,650
181,923 Star Gas Propane 1st Mtge. 8.04s, 2009 195,567
80,000 Universal Compression, Inc. sr. notes 7
1/4s, 2010 83,200
170,000 Vintage Petroleum, Inc. sr. notes 8
1/4s, 2012 181,900
80,000 Vintage Petroleum, Inc. sr. sub. notes 7
7/8s, 2011 82,800
-------------
14,705,269
Financial (0.7%)
-----------------------------------------------------------------------------------------------------------
165,000 Crescent Real Estate Equities LP notes 7
1/2s, 2007 (R) 167,475
420,000 Crescent Real Estate Equities LP sr.
notes 9 1/4s, 2009 (R) 441,000
485,000 E*Trade Finance Corp. 144A sr. notes 8s,
2011 487,425
880,419 Finova Group, Inc. notes 7 1/2s, 2009 497,437
108,972 Hilb, Rogal & Hamilton Co. bank term
loan FRN Ser. B, 3 7/8s, 2007 (acquired
6/20/02, cost $108,972) (RES) 110,334
305,000 iStar Financial, Inc. sr. notes 8 3/4s,
2008 (R) 343,125
70,000 iStar Financial, Inc. sr. notes 7s, 2008
(R) 74,200
230,000 iStar Financial, Inc. sr. notes 6s, 2010
(R) 230,575
290,000 Western Financial Bank sub. debs. 9
5/8s, 2012 319,000
-------------
2,670,571
Government (0.2%)
-----------------------------------------------------------------------------------------------------------
750,000 Aries Vermoegensverwaltungs GmbH 144A
notes 9.6s, 2014 (Germany) 793,125
Health Care (3.4%)
-----------------------------------------------------------------------------------------------------------
38,764 Alderwoods Group, Inc. bank term loan
FRN 4.17s, 2008 (acquired 9/9/03, cost
$38,764) (RES) 39,313
460,100 Alderwoods Group, Inc. company guaranty
12 1/4s, 2009 507,835
315,000 AmerisourceBergen Corp. company guaranty
7 1/4s, 2012 328,388
310,000 AmerisourceBergen Corp. sr. notes 8
1/8s, 2008 336,350
535,000 Ardent Health Services, Inc. sr. sub.
notes 10s, 2013 580,475
62,031 Beverly Enterprises, Inc. bank term loan
FRN 4.258s, 2008 (acquired 10/20/03,
cost $61,876) (RES) 62,858
147,375 Community Health Systems, Inc. bank term
loan FRN Ser. B, 3.6s, 2010 (acquired
7/11/02, cost $147,375) (RES) 147,421
99,000 Concentra bank term loan FRN 4.957s,
2009 (acquired 8/12/03, cost $99,000)
(RES) 100,279
90,501 Dade Behring, Inc. company guaranty
11.91s, 2010 103,171
198,381 DaVita, Inc. bank term loan FRN Ser. B,
3.483s, 2009 (acquired various dates
from 7/17/03 to 1/30/04, cost $199,537)
(RES) 200,152
185,000 Extendicare Health Services, Inc.
company guaranty 9 1/2s, 2010 206,044
285,000 Extendicare Health Services, Inc. 144A
sr. sub. notes 6 7/8s, 2014 272,175
55,331 Fisher Scientific International, Inc.
bank term loan FRN 3.34s, 2010 (acquired
2/13/03, cost $55,331) (RES) 55,562
80,000 Fisher Scientific International, Inc.
bank term loan FRN 2.61s, 2011 (acquired
6/15/04, cost $80,000) (RES) 80,650
49,625 Hanger Orthopedic Group, Inc. bank term
loan FRN 4.34s, 2009 (acquired 9/29/03,
cost $49,625) (RES) 49,894
415,000 Hanger Orthopedic Group, Inc. company
guaranty 10 3/8s, 2009 417,075
115,000 HCA, Inc. debs. 7.19s, 2015 120,602
640,000 HCA, Inc. notes 8.36s, 2024 688,470
150,000 HCA, Inc. notes 7.69s, 2025 150,444
445,000 HCA, Inc. notes 7s, 2007 474,728
110,000 HCA, Inc. notes 5 3/4s, 2014 105,984
540,000 Healthsouth Corp. notes 7 5/8s, 2012 506,250
255,000 Healthsouth Corp. sr. notes 8 1/2s, 2008 253,088
130,000 Healthsouth Corp. sr. notes 8 3/8s, 2011 125,450
110,000 Healthsouth Corp. sr. notes 7s, 2008 106,700
215,000 IASIS Healthcare/IASIS Capital Corp.
144A sr. sub. notes 8 3/4s, 2014 223,600
195,000 Insight Health Services Corp. 144A
company guaranty 9 7/8s, 2011 210,113
62,125 Kinetic Concepts, Inc. bank term loan
FRN 3.59s, 2011 (acquired 8/5/03, cost
$62,297) (RES) 62,902
130,735 Magellan Health Services, Inc. sr. notes
Ser. A, 9 3/8s, 2008 140,213
75,000 MedCath Holdings Corp. 144A sr. notes 9
7/8s, 2012 76,313
80,438 Medex, Inc. bank term loan FRN 4.38s,
2009 (acquired various dates from
5/16/03 to 6/16/03, cost $80,399) (RES) 81,016
380,000 Mediq, Inc. debs. 13s, 2009 (In default)
(NON) 38
495,000 MedQuest, Inc. company guaranty Ser. B,
11 7/8s, 2012 561,825
100,000 Omega Health Care Investors 144A sr.
notes 7s, 2014 95,250
405,000 Omnicare, Inc. sr. sub. notes 6 1/8s,
2013 384,750
396,000 PacifiCare Health Systems, Inc. company
guaranty 10 3/4s, 2009 450,450
410,000 Province Healthcare Co. sr. sub. notes 7
1/2s, 2013 401,800
70,000 Service Corp. International debs. 7
7/8s, 2013 71,575
40,000 Service Corp. International notes 7.2s,
2006 41,800
15,000 Service Corp. International notes 6
7/8s, 2007 15,488
60,000 Service Corp. International notes 6
1/2s, 2008 61,200
145,000 Service Corp. International notes Ser.
*, 7.7s, 2009 152,613
415,000 Service Corp. International 144A sr.
notes 6 3/4s, 2016 391,656
390,000 Stewart Enterprises, Inc. notes 10 3/4s,
2008 433,388
220,000 Tenet Healthcare Corp. notes 7 3/8s,
2013 203,500
10,000 Tenet Healthcare Corp. sr. notes 6 1/2s,
2012 8,850
265,000 Tenet Healthcare Corp. sr. notes 6 3/8s,
2011 236,513
475,000 Tenet Healthcare Corp. 144A sr. notes 9
7/8s, 2014 493,406
435,000 Triad Hospitals, Inc. sr. notes 7s, 2012 444,788
880,000 Triad Hospitals, Inc. sr. sub. notes 7s,
2013 866,800
285,000 Universal Hospital Services, Inc. sr.
notes 10 1/8s, 2011 287,138
165,000 Ventas Realty LP/Capital Corp. company
guaranty 9s, 2012 183,150
40,000 VWR International Inc. bank term loan
FRN 3.77s, 2011 (acquired 4/5/04, cost
$40,000) (RES) 40,730
185,000 VWR International, Inc. 144A sr. notes 6
7/8s, 2012 186,850
-------------
12,827,073
Technology (1.3%)
-----------------------------------------------------------------------------------------------------------
242,000 AMI Semiconductor, Inc. company guaranty
10 3/4s, 2013 281,930
395,000 Celestica Inc. sr.sub. notes 7 7/8s,
2011 (Canada) 403,888
269,000 DigitalNet Holdings, Inc. sr. notes 9s,
2010 287,158
390,000 Freescale Semiconductor, Inc. 144A sr.
notes 7 1/8s, 2014 395,850
130,000 Iron Mountain, Inc. company guaranty 8
5/8s, 2013 139,750
295,000 Iron Mountain, Inc. sr. sub. notes 8
1/4s, 2011 306,431
40,000 Lucent Technologies, Inc. debs. 6 1/2s,
2028 30,400
555,000 Lucent Technologies, Inc. debs. 6.45s,
2029 423,188
30,000 Lucent Technologies, Inc. notes 5 1/2s,
2008 28,350
205,000 Nortel Networks Corp. notes 6 1/8s, 2006
(Canada) 204,744
275,000 ON Semiconductor Corp. company guaranty
13s, 2008 310,063
175,000 SCG Holding Corp. 144A notes zero %,
2011 243,250
235,000 Seagate Technology Hdd Holdings company
guaranty 8s, 2009 (Cayman Islands) 243,813
325,000 UGS Corp. 144A sr. sub. notes 10s, 2012 344,500
420,000 Xerox Capital Trust I company guaranty
8s, 2027 380,100
110,000 Xerox Corp. company guaranty 9 3/4s,
2009 125,400
215,000 Xerox Corp. notes Ser. MTN, 7.2s, 2016 205,325
615,000 Xerox Corp. sr. notes 7 5/8s, 2013 630,375
-------------
4,984,515
Transportation (0.6%)
-----------------------------------------------------------------------------------------------------------
25,000 Allied Holdings, Inc. company guaranty
Ser. B, 8 5/8s, 2007 21,750
295,000 American Airlines, Inc. pass-through
certificates Ser. 01-1, 6.817s, 2011 264,025
530,000 Calair, LLC/Calair Capital Corp. company
guaranty 8 1/8s, 2008 402,800
170,000 Delta Air Lines, Inc. pass-through
certificates Ser. 00-1, 7.779s, 2005 105,013
125,226 Delta Air Lines, Inc. pass-through
certificates Ser. 02-1, 7.779s, 2012 65,118
500,000 Kansas City Southern Railway Co. company
guaranty 9 1/2s, 2008 545,000
100,000 Kansas City Southern Railway Co. company
guaranty 7 1/2s, 2009 100,625
310,000 Northwest Airlines, Inc. company
guaranty 7 5/8s, 2005 300,700
127,385 NWA Trust sr. notes Ser. A, 9 1/4s, 2012 126,748
81,632 Pacer International, Inc. bank term loan
FRN 4.356s, 2010 (acquired 6/10/03, cost
$82,114) (RES) 82,653
100,000 Travel Centers of America, Inc. company
guaranty 12 3/4s, 2009 116,000
-------------
2,130,432
Utilities & Power (4.3%)
-----------------------------------------------------------------------------------------------------------
30,000 AES Corp. (The) sr. notes 8 7/8s, 2011 31,725
17,000 AES Corp. (The) sr. notes 8 3/4s, 2008 17,850
420,000 AES Corp. (The) 144A sec. notes 9s, 2015 457,800
595,000 AES Corp. (The) 144A sec. notes 8 3/4s,
2013 650,038
290,000 Allegheny Energy Supply 144A bonds 8
1/4s, 2012 291,450
180,000 Allegheny Energy Supply 144A sec. notes
10 1/4s, 2007 196,200
149,625 Allegheny Energy, Inc. bank term loan
FRB 5.622s, 2011 (acquired 3/5/04, cost
$149,625) (RES) 152,212
320,000 Calpine Canada Energy Finance company
guaranty 8 1/2s, 2008 (Canada) 200,000
85,000 Calpine Corp. 144A sec. notes 8 3/4s,
2013 68,000
875,000 Calpine Corp. 144A sec. notes 8 1/2s,
2010 704,375
150,000 CenterPoint Energy Resources Corp. debs.
6 1/2s, 2008 159,987
120,000 CenterPoint Energy Resources Corp. sr.
notes Ser. B, 7 7/8s, 2013 138,641
50,000 CMS Energy Corp. pass-through
certificates 7s, 2005 50,313
500,000 CMS Energy Corp. sr. notes 8.9s, 2008 533,750
120,000 CMS Energy Corp. sr. notes 8 1/2s, 2011 126,000
100,000 CMS Energy Corp. 144A sr. notes 7 3/4s,
2010 102,250
340,000 DPL, Inc. sr. notes 6 7/8s, 2011 345,950
80,000 Dynegy Holdings, Inc. bank term loan FRN
5.36s, 2010 (acquired 6/8/04, cost
$80,000) (RES) 81,400
160,000 Dynegy Holdings, Inc. sr. notes 6 7/8s,
2011 144,000
780,000 Dynegy Holdings, Inc. 144A sec. notes 10
1/8s, 2013 859,950
200,000 Dynegy-Roseton Danskamme company
guaranty Ser. A, 7.27s, 2010 194,000
310,000 Dynegy-Roseton Danskamme company
guaranty Ser. B, 7.67s, 2016 272,800
145,000 Edison Mission Energy sr. notes 10s,
2008 164,575
5,000 Edison Mission Energy sr. notes 9 7/8s,
2011 5,600
210,000 El Paso Corp. sr. notes 7 3/8s, 2012 187,425
505,000 El Paso Corp. sr. notes Ser. MTN, 7
3/4s, 2032 410,313
105,000 El Paso Natural Gas Co. debs. 8 5/8s,
2022 106,313
90,000 El Paso Natural Gas Co. sr. notes Ser.
A, 7 5/8s, 2010 93,150
535,000 El Paso Production Holding Co. company
guaranty 7 3/4s, 2013 509,588
345,000 Ferrellgas Partners LP/Ferrellgas
Partners Finance 144A sr. notes 6 3/4s,
2014 333,788
115,000 Kansas Gas & Electric debs. 8.29s, 2016 119,698
680,000 Midwest Generation LLC 144A sec. notes 8
3/4s, 2034 720,800
450,000 Mission Energy Holding Co. sec. notes 13
1/2s, 2008 558,000
215,000 Monongahela Power Co. 144A 1st. mtge.
6.7s, 2014 219,186
360,000 Nevada Power Co. 2nd mtge. 9s, 2013 401,400
545,000 Northwest Pipeline Corp. company
guaranty 8 1/8s, 2010 604,269
35,000 Northwestern Corp. debs. 6.95s, 2028 (In
default) (NON) 30,363
60,000 Northwestern Corp. notes 8 3/4s, 2012
(In default) (NON) 52,500
255,000 Northwestern Corp. notes 7 7/8s, 2007
(In default) (NON) 223,125
1,080,000 NRG Energy, Inc. 144A sr. sec. notes 8s,
2013 1,104,300
310,000 Orion Power Holdings, Inc. sr. notes
12s, 2010 372,000
460,000 PG&E Corp. sec. notes 6 7/8s, 2008 488,175
85,000 PG&E Gas Transmission Northwest sr.
notes 7.1s, 2005 86,913
330,000 PSEG Energy Holdings, Inc. notes 7 3/4s,
2007 348,150
260,000 SEMCO Energy, Inc. sr. notes 7 3/4s,
2013 273,000
80,000 Sierra Pacific Power Co. 144A general
ref. mtge. 6 1/4s, 2012 78,400
490,000 Sierra Pacific Resources 144A sr. notes
8 5/8s, 2014 507,150
50,000 Southern California Edison Co. notes 6
3/8s, 2006 52,319
170,000 Teco Energy, Inc. notes 10 1/2s, 2007 194,650
100,000 Teco Energy, Inc. notes 7.2s, 2011 102,750
150,000 Teco Energy, Inc. notes 7s, 2012 151,125
40,000 Tennessee Gas Pipeline Co. debs. 7s,
2028 35,550
90,769 Teton Power Funding bank term loan FRN
4.8s, 2011 (acquired 2/4/04, cost
$90,769) (RES) 91,563
50,000 Transcontinental Gas Pipeline Corp.
debs. 7 1/4s, 2026 50,000
80,000 Unisource Energy bank term loan FRN
5.652s, 2011 (acquired 3/25/04, cost
$79,200) (RES) 78,900
470,000 Utilicorp Canada Finance Corp. company
guaranty 7 3/4s, 2011 (Canada) 438,275
196,000 Utilicorp United, Inc. sr. notes 9.95s,
2011 198,940
215,000 Western Resources, Inc. sr. notes 9
3/4s, 2007 244,937
80,000 Williams Cos., Inc. (The) notes 8 3/4s,
2032 84,300
80,000 Williams Cos., Inc. (The) notes 8 1/8s,
2012 87,400
290,000 Williams Cos., Inc. (The) notes 7 5/8s,
2019 292,900
380,000 Williams Cos., Inc. (The) sr. notes 8
5/8s, 2010 426,550
64,352 Williams Products bank term loan FRN
3.88s, 2007 (acquired 6/4/03, cost
$64,352) (RES) 65,102
131,272 York Power Funding 144A notes 12s, 2007
(Cayman Islands) (In default) (NON) 13
-------------
16,372,146
-------------
Total Corporate bonds and notes (cost $154,409,192) $157,155,965
Foreign government bonds and notes (14.4%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
AUD $1,759,000 Australia (Government of) bonds 6 1/4s,
2015 $1,265,522
EUR 2,000,000 Austria (Republic of) 144A notes Ser.
EMTN, 3.8s, 2013 2,333,303
USD 360,000 Brazil (Federal Republic of) bonds 10
1/2s, 2014 359,640
USD 360,000 Brazil (Federal Republic of) bonds 10
1/8s, 2027 333,900
USD 525,000 Brazil (Federal Republic of) unsub.
notes 11s, 2040 515,288
USD 496,000 Bulgaria (Republic of) 144A bonds 8
1/4s, 2015 586,520
CAD 1,005,000 Canada (Government of) bonds 5 1/2s,
2010 799,129
CAD 410,000 Canada (Government of) bonds Ser. WL43,
5 3/4s, 2029 328,389
USD 105,000 Colombia (Republic of) bonds 10 3/8s,
2033 107,100
USD 425,000 Colombia (Republic of) bonds Ser. NOV, 9
3/4s, 2009 463,888
USD 1,150,000 Colombia (Republic of) notes 10 3/4s,
2013 1,283,975
EUR 155,000 Colombia (Republic of) unsub. bonds Ser.
15A, 11 3/8s, 2008 213,569
USD 175,000 Dominican (Republic of) notes 9.04s,
2013 112,875
USD 795,000 Ecuador (Republic of) bonds
stepped-coupon Ser. REGS, 7s (8s,
8/15/04), 2030 (STP) 589,493
USD 150,000 El Salvador (Republic of) 144A bonds 8
1/4s, 2032 141,750
EUR 760,000 France (Government of) bonds 5 3/4s,
2032 1,042,144
EUR 1,470,000 France (Government of) bonds 5 1/2s,
2010 1,937,858
EUR 3,200,000 France (Government of) bonds 4s, 2013 3,813,955
EUR 440,000 France (Government of) deb. 4s, 2009 540,310
EUR 3,310,000 Germany (Federal Republic of) bonds Ser.
97, 6s, 2007 4,313,664
EUR 2,480,000 Germany (Federal Republic of) bonds Ser.
97, 6s, 2007 3,203,626
EUR 730,000 Hellenic Greece (Republic of) bonds 3
1/2s, 2008 884,735
USD 100,000 Indonesia (Republic of) FRN 2.005s, 2006 94,750
USD 250,000 Indonesia (Republic of) FRN 2.005s, 2005 243,125
USD 855,000 Indonosia (Republic of) 144A sr. notes 6
3/4s, 2014 790,875
NZD 2,970,000 New Zealand (Government of) bonds Ser.
1106, 8s 2006 1,952,992
NZD 3,152,000 New Zealand (Government of) bonds Ser.
709, 7s, 2009 2,057,694
USD 200,000 Peru (Republic of) bonds 8 3/4s, 2033 179,500
USD 190,000 Philippines (Republic of) bonds 9 7/8s,
2019 195,700
USD 325,000 Philippines (Republic of) sr. notes 8
7/8s, 2015 323,375
USD 2,211,250 Russia (Federation of) 144A unsub.
stepped-coupon 5s (7 1/2s, 3/31/07),
2030 (STP) 2,028,822
USD 520,000 Russia (Ministry of Finance) deb. Ser.
V, 3s, 2008 457,600
USD 1,030,000 South Africa (Republic of) notes 7 3/8s,
2012 1,125,790
USD 285,000 South Africa (Republic of) notes 6 1/2s,
2014 292,838
USD 16,800,000 Sweden (Government of) bonds Ser. 1041 6
3/4s, 2014 2,562,077
SEK 14,640,000 Sweden (Government of) bonds Ser. 3101,
4s, 2008 2,359,090
USD 370,000 Turkey (Republic of) notes 9s, 2011 387,575
USD 184,803 Ukraine (Government of) sr. notes Ser.
REGS, 11s, 2007 198,848
USD 400,000 Ukraine (Government of) 144A bonds
7.65s, 2013 384,000
USD 575,000 Ukraine (Government of) 144A unsub.
notes 6 7/8s, 2011 546,969
GBP 425,000 United Kingdom treasury bonds 8 3/4s,
2017 1,041,260
GBP 1,900,000 United Kingdom treasury bonds 7 1/4s,
2007 3,682,582
GBP 2,090,000 United Kingdom treasury bonds 5s, 2012 3,771,538
GBP 1,745,000 United Kingdom treasury bonds 7 1/2s,
2006 3,344,088
USD 725,000 United Mexican States bonds Ser. MTN,
8.3s, 2031 783,000
USD 215,000 Venezuela (Republic of) bonds 9 3/8s,
2034 189,200
USD 255,000 Venezuela (Republic of) notes 10 3/4s,
2013 264,690
USD 415,000 Venezuela (Republic of) unsub. bonds 5
3/8s, 2010 343,413
-------------
Total Foreign government bonds and notes (cost $51,394,402) $54,772,024
Asset-backed securities (6.5%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$148,531 ABSC NIMS Trust 144A Ser. 03-HE5, Class
A, 7s, 2033 $149,273
Aegis Asset Backed Securities Trust 144A
74,101 Ser. 04-1N, Class NOTE, 5s, 2034 74,020
160,959 Ser. 04-2N, Class N1, 4 1/2s, 2034 160,355
3,503,636 Amortizing Residential Collateral Trust
Ser. 02-BC1, Class A, (Interest Only)
IO, 6s, 2005 66,555
AQ Finance NIM Trust 144A
59,354 Ser. 03-N2, Class NOTE, 9.3s, 2033 59,725
47,141 Ser. 03-N9A, Class NOTE, 7.385s, 2033 47,436
8,036 Arc Net Interest Margin Trust 144A Ser.
02-8A, Class A1, 7 3/4s, 2032 7,970
Arcap REIT, Inc. 144A
208,000 Ser. 03-1A, Class E, 7.11s, 2038 215,995
116,000 Ser. 04-1A, Class E, 6.42s, 2039 115,148
Argent NIM Trust 144A
96,753 Ser. 03-N6, Class A, 6.4s, 2034 96,753
48,720 Ser. 04-WN2, Class A, 4.55s, 2034 48,538
84,000 Asset Backed Funding Corp. NIM Trust
144A Ser. 04-0PT1, Class N2, 6.9s, 2033 84,000
173,632 Aviation Capital Group Trust 144A FRB
Ser. 03-2A, Class G1, 2.12s, 2033 174,283
260,000 Bank One Issuance Trust FRB Ser. 03-C4,
Class C4, 2.41s, 2011 264,399
Bayview Financial Acquisition Trust
269,996 Ser. 02-CA, Class A, IO, 5.10s, 2004 3,164
12,011,224 Ser. 03-X, Class A, IO, .89s, 2006 202,689
265,000 Bear Stearns Asset Backed Securities NIM
Trust 144A Ser. 04-HE6, Class A1, 5
1/4s, 2034 (Cayman Islands) 265,000
CARSSX Finance, Ltd. 144A
100,000 FRB Ser. 04-AA, Class B3, 4.73s, 2011
(Cayman Islands) 100,000
100,000 FRB Ser. 04-AA, Class B4, 6.88s, 2011
(Cayman Islands) 100,000
370,000 Chase Credit Card Master Trust FRB Ser.
03-3, Class C, 2.46s, 2010 377,530
Chase Funding Net Interest Margin 144A
22,820 Ser. 03-2A, Class NOTE, 8 3/4s, 2035 22,820
125,814 Ser. 03-4A, Class NOTE, 6 3/4s, 2036 125,814
Conseco Finance Securitizations Corp.
203,000 Ser. 00-2, Class A4, 8.48s, 2021 207,797
1,673,000 Ser. 00-4, Class A6, 8.31s, 2032 1,431,165
600,000 Ser. 00-6, Class M2, 8.2s, 2032 81,000
12,000 Ser. 01-04, Class A4, 7.36s, 2033 11,727
220,000 Ser. 01-1, Class A5, 6.99s, 2032 200,369
9,000 Ser. 01-3, Class A3, 5.79s, 2033 8,878
610,000 Ser. 01-3, Class A4, 6.91s, 2033 563,264
200,000 Ser. 01-3, Class M2, 7.44s, 2033 38,000
561,000 Ser. 01-4, Class B1, 9.4s, 2010 84,150
1,298,260 Ser. 02-1, Class A, 6.681s, 2033 1,331,637
159,000 FRB Ser. 01-4, Class M1, 3.11s, 2033 65,588
394,000 Consumer Credit Reference IDX Securities
FRB Ser. 02-1A, Class A, 3.55s, 2007 399,004
160,602 Countrywide Asset Backed Certificates
144A Ser. 04-BC1N, Class NOTE, 5 1/2s,
2035 160,100
235,000 Crest, Ltd. 144A Ser. 03-2A, Class E2,
8s, 2038 215,172
144,730 First Franklin NIM Trust 144A Ser.
03-FF3A, Class A, 6 3/4s, 2033 144,168
Fremont NIM Trust 144A
52,361 Ser. 03-B, Class NOTE, 5.65s, 2033 52,230
267,360 Ser. 04-A, Class NOTE, 4 3/4s, 2034 266,558
Granite Mortgages PLC
GBP 585,000 Ser. 03-2, Class 3C, 6.38s, 2043 (United
Kingdom) 1,093,750
EUR 780,000 FRB Ser. 03-2, Class 2C1, 4 5/8s, 2043
(United Kingdom) 951,250
$190,000 FRB Ser. 02-1, Class 1C, 2.93s, 2042
(United Kingdom) 193,236
Green Tree Financial Corp.
96,808 Ser. 95-F, Class B2, 7.1s, 2021 87,066
63,355 Ser. 99-3, Class A5, 6.16s, 2031 64,147
678,000 Ser. 99-5, Class A5, 7.86s, 2030 594,053
1,020,927 Greenpoint Manufactured Housing Ser.
00-3, Class IA, 8.45s, 2031 927,247
635,000 GS Auto Loan Trust 144A Ser. 04-1, Class
D, 5s, 2011 624,556
GSAMP Trust 144A
62,586 Ser. 03-HE1N, Class NOTE, 7 1/4s, 2033 62,436
207,527 Ser. 04, Class NOTE, 5 1/2s, 2032 207,216
156,239 Ser. 04-FM1N, Class NOTE, 5 1/4s, 2033 156,076
110,000 Ser. 04-HE1N, Class N1, 5s, 2034 109,868
Holmes Financing PLC FRB
110,000 Ser. 4, Class 3C, 2.44s, 2040 (United
Kingdom) 111,575
190,000 Ser. 5, Class 2C, 2.59s, 2040 (United
Kingdom) 191,366
127,000 Ser. 8, Class 2C, 2.32s, 2040 (United
Kingdom) 127,040
Home Equity Asset Trust 144A
121,828 Ser. 02-5N, Class A, 8s, 2033 122,742
52,627 Ser. 03-4N, Class A, 8s, 2033 53,021
130,411 Ser. 03-7N, Class A, 5 1/4s, 2034 130,411
75,373 Ser. 04-1N, Class A, 5s, 2034 75,184
685,000 LNR CDO, Ltd. FRB Ser. 02-1A, Class FFL,
4.20s, 2037 (Cayman Islands) 657,874
415,000 LNR CDO, Ltd. 144A FRB Ser. 03-1A, Class
EFL, 4.433s, 2036 (Cayman Islands) 437,037
Long Beach Asset Holdings Corp. 144A
168,235 Ser. 04-2, Class N1, 4.94s, 2034 168,235
78,534 Ser. 03-2, Class N1, 7.627s, 2033 78,534
54,798 Long Beach Asset Holdings Corp. NIM
Trust 144A Ser. 03-4, Class N1, 6.535s,
2033 54,867
1,070,000 Long Beach Mortgage Loan Trust Ser.
04-3, Class S1, IO, 4.5s, 2006 75,275
GBP 500,000 Lothian Mortgages PLC 144A Ser. 3A,
Class D, 5.458s, 2039 (United Kingdom) 909,100
$568,528 Madison Avenue Manufactured Housing
Contract FRB Ser. 02-A, Class B1, 4.7s,
2032 312,690
370,000 MBNA Credit Card Master Note Trust FRN
Ser. 03-C5, Class C5, 2.56s, 2010 377,516
75,836 Merrill Lynch Mortgage Investors, Inc.
Ser. 03-WM3N, Class N1, 8s, 2005 76,500
98,630 Mid-State Trust Ser. 11, Class B,
8.221s, 2038 97,751
27,994 Morgan Stanley ABS Capital I 144A Ser.
03-NC9N, Class NOTE, 7.6s, 2033 28,117
Morgan Stanley Dean Witter Capital I
210,000 FRN Ser. 01-NC3, Class B1, 3.9s, 2031 207,741
195,000 FRN Ser. 01-NC4, Class B1, 3.95s, 2032 191,984
76,582 New Century Mortgage Corp. NIM Trust
144A Ser. 03-B, Class NOTE, 6 1/2s, 2033 77,037
Oakwood Mortgage Investors, Inc.
807,699 Ser. 01-C, Class A2, 5.92s, 2017 519,270
1,106,220 Ser. 02-C, Class A1, 5.41s, 2032 976,240
419,818 Ser. 99-B, Class A4, 6.99s, 2026 377,102
Option One Mortgage Securities Corp. NIM
Trust 144A
44,696 Ser. 03-5, Class NOTE, 6.9s, 2033 44,919
27,788 Ser. 03-2B, Class N1, 7.63s, 2033
(Cayman Islands) 27,788
226,376 Pass-Through Amortizing Credit Card
Trust Ser. 02-1A, Class A4FL, 6.91s,
2012 227,016
Permanent Financing PLC FRB
150,000 Ser. 1, Class 3C, 2.61s, 2042 (United
Kingdom) 151,664
190,000 Ser. 3, Class 3C, 2.56s, 2042 (United
Kingdom) 193,266
1,568,852 Residential Asset Mortgage Products,
Inc. Ser. 03-RZ1, Class A, IO, 5 3/4s,
2005 63,244
166,965 Rural Housing Trust Ser. 87-1, Class D,
6.33s, 2026 172,757
39,521 SAIL Net Interest Margin Notes Ser.
03-4, Class A, 7 1/2s, 2033 (Cayman
Islands) 39,477
SAIL Net Interest Margin Notes 144A
231,136 Ser. 03-10A, Class A, 7 1/2s, 2033
(Cayman Islands) 231,123
96,237 Ser. 03-12A, Class A, 7.35s, 2033
(Cayman Islands) 96,208
58,605 Ser. 03-6A, Class A, 7s, 2033 (Cayman
Islands) 58,170
123,634 Ser. 03-7A, Class A, 7s, 2033 (Cayman
Islands) 122,717
33,892 Ser. 03-8A, Class A, 7s, 2033 (Cayman
Islands) 33,721
86,687 Ser. 03-9A, Class A, 7s, 2033 (Cayman
Islands) 86,236
162,584 Ser. 03-BC2A, Class A, 7 3/4s, 2033 162,111
228,081 Ser. 04-2A, Class A, 5 1/2s, 2034
(Cayman Islands) 228,081
406,363 Ser. 04-4A, Class A, 5s, 2034 (Cayman
Islands) 405,754
16,731 Sasco Arc Net Interest Margin Notes Ser.
02-BC10, Class A, 7 3/4s, 2033 16,579
Sasco Arc Net Interest Margin Notes 144A
95,371 Ser. 03-3, Class A, 7 3/4s, 2033 94,892
197,774 Ser. 03-5, Class A, 7.35s, 2033 (Cayman
Islands) 197,716
143,409 Ser. 03-AM1, Class A, 7 3/4s, 2033 142,710
148,926 Sasco Arc Net Interest Margin Trust 144A
Ser. 03-BC1, Class B, zero %, 2033 106,645
88,463 Saxon Net Interest Margin Trust 144A
Ser. 03-A, Class A, 6.656s, 2033 88,463
113,221 Sharp SP I, LLC Net Interest Margin
Trust Ser. 03-NC1N, Class N, 7 1/4s,
2033 113,855
Sharp SP I, LLC Net Interest Margin
Trust 144A
83,855 Ser. 03-0P1N, Class NA, 4.45s, 2033 83,846
62,236 Ser. 03-HS1N, Class N, 7.48s, 2033 62,391
29,594 Ser. 03-TC1N, Class N, 7.45s, 2033 29,594
46,751 Ser. 04-FM1N, Class N, 6.16s, 2033 46,985
35,604 Ser. 04-HS1N, Class NOTE, 5.92s, 2034 35,604
Structured Asset Investment Loan Trust
151,534 Ser. 03-BC1A, Class A, 7 3/4s, 2033 150,798
3,863,371 Ser. 03-BC2, Class A, IO, 6s, 2005 100,646
1,310,001 Ser. 03-BC8, Class A, IO, 6s, 2005 51,871
7,873,000 Ser. 04-1, Class A, IO, 5 1/2s, 2005 420,006
212,000 TIAA Commercial Real Estate
Securitization Ser. 02-1A, Class IV,
6.84s, 2037 164,671
254,000 TIAA Commercial Real Estate
Securitization 144A Ser. 03-1A, Class E,
8s, 2038 227,876
1,594,413 Washington Mutual Ser. 03-S1, Class A11,
IO, 5.5s, 2033 118,086
459,762 Whole Auto Loan Trust 144A Ser. 03-1,
Class D, 6s, 2010 460,049
-------------
Total Asset-backed securities (cost $26,457,465) $24,584,919
Collateralized mortgage obligations (5.4%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$190,000 Bear Stearns Commercial Mortgage
Securitization Corp. 144A Ser. 04-ESA,
Class K, 3.88s, 2016 $190,000
2,511,942 Commercial Mortgage Acceptance Corp.
Ser. 97-ML1, IO, .84s, 2017 56,126
154,000 Commercial Mortgage Pass-Through
Certificates 144A FRB Ser. 01-FL4A,
Class E, 2.68s, 2013 137,060
757,000 Criimi Mae Commercial Mortgage Trust
Ser. 98-C1, Class A2, 7s, 2011 807,624
1,143,000 Criimi Mae Commercial Mortgage Trust
144A Ser. 98-C1, Class B, 7s, 2033 1,185,195
192,000 CS First Boston Mortgage Securities
Corp. 144A FRB Ser. 03-TF2A, Class L,
5.38s, 2014 190,648
21,772,852 Deutsche Mortgage & Asset Receiving
Corp. Ser. 98-C1, Class X, IO, 1.104s,
2023 590,896
DLJ Commercial Mortgage Corp.
152,919 Ser. 98-CF2, Class B4, 6.04s, 2031 124,701
489,824 Ser. 98-CF2, Class B5, 5.95s, 2031 300,496
Fannie Mae
319,182 Ser. 02-36, Class SJ, 16 1/2s, 2029 349,785
1,175,854 Ser. 329, Class 2, IO, 5.5s, 2033 294,332
274,214 Ser. 03-W3, Class 1A3, 7 1/2s, 2042 295,736
5,928 Ser. 03-W2, Class 1A3, 7 1/2s, 2042 6,394
642 Ser. 02-W1, Class 2A, 7 1/2s, 2042 692
2,547 Ser. 02-14, Class A2, 7 1/2s, 2042 2,747
332,279 Ser. 01-T10, Class A2, 7 1/2s, 2041 358,358
1,485 Ser. 02-T4, Class A3, 7 1/2s, 2041 1,602
3,951 Ser. 01-T8, Class A1, 7 1/2s, 2041 4,261
1,288,604 Ser. 01-T7, Class A1, 7 1/2s, 2041 1,389,744
194,524 Ser. 01-T3, Class A1, 7 1/2s, 2040 209,792
580,146 Ser. 01-T1, Class A1, 7 1/2s, 2040 625,680
237,126 Ser. 99-T2, Class A1, 7 1/2s, 2039 255,737
122,329 Ser. 00-T6, Class A1, 7 1/2s, 2030 131,930
574,294 Ser. 01-T4, Class A1, 7 1/2s, 2028 619,369
1,268 Ser. 02-W3, Class A5, 7 1/2s, 2028 1,368
2,646,290 Ser. 338, Class 2, IO, 5.5s, 2033 689,689
1,043,600 Ser. 03-24, Class IC, IO, 5s, 2015 202,651
1,719,384 Ser. 03-34, Class SG, IO, 5.55s, 2033 153,939
193,521 Ser. 01-74, Class MI, IO, 6s, 2015 14,509
1,982,389 Ser. 03-49, Class TS, IO, 6 1/4s, 2018 237,577
674,463 Ser. 03-26, Class IG, IO, 6s, 2033 126,567
691,567 Ser. 02-36, Class QH, IO, 6.6s, 2029 43,359
9,035,318 Ser. 02-T18, IO, .519s, 2042 130,632
661,900 Ser. 345, Class 1, IO, 5s, 2033 181,609
2,941,436 Ser. 345, Class 3, IO, 5s, 2033 794,188
5,137,720 Ser. 03-34, Class SP, IO, 5.65s, 2032 440,720
243,000 Ser. 03-6, Class IB, IO, 5.5s, 2022 15,943
487 Ser. 92-15, Class L, IO, 10.38s, 2022 5,982
1,729,095 Ser. 03-41, Class SP, IO, 5.75s, 2015 115,363
587,100 Ser. 318, Class 2, IO, 6s, 2032 136,340
812,787 Ser. 03-118, Class SF, IO, 6.65s, 2033 119,005
3,107,095 Ser. 03-W17, Class 12, IO, 1.162s, 2033 103,267
751,067 Ser. 03-118, Class S, IO, 6.65s, 2033 108,905
1,223,390 Ser. 03-45, Class PI, IO, 5.5s, 2029 144,195
1,624,259 Ser. 03-37, Class IC, IO, 5.5s, 2027 175,116
78,894 Ser. 98-51, Class SG, IO, 23.72s, 2022 35,395
472,700 Ser. 322, Class 2, IO, 6s, 2032 109,460
5,786,368 Ser. 03-W10, Class 3A, IO, 1.913s, 2043 191,673
5,209,140 Ser. 00-T6, IO, 0.985s, 2030 93,602
4,866,218 Ser. 03-W10, Class 1A, IO, 1.92s, 2043 156,631
65,946 Ser. 03-7, Class SM, IO, 6.3s, 2023 381
2,512,059 Ser. 03-23, Class AI, IO, 5s, 2017 317,488
153,600 Ser. 03-23, Class SC, IO, 6.1s, 2033 2,304
598,747 Ser. 03-58, Class ID, IO, 6s, 2033 137,244
788,921 Ser. 03-14, Class KS, IO, 6.15s, 2017 58,799
4,215,647 Ser. 03-34, Class ES, IO, 5.5s, 2033 375,456
99,086 Ser. 99-51, Class N, (Principal Only)
PO, zero %, 2029 83,031
52,515 Ser. 99-52, Class MO, PO, zero %, 2026 50,574
Federal Home Loan Mortgage Corp.
Structured Pass-Through Securities
7,896 Ser. T-58, Class 4A, 7 1/2s, 2043 8,515
2,897,137 Ser. T-57, Class 1AX, IO, .439s, 2043 31,461
7,751,708 FFCA Secured Lending Corp. Ser. 00-1,
Class X, IO, 1.603s, 2020 495,347
229,896 First Chicago Lennar Trust 144A Ser.
97-CHL1, Class E, 7.922s, 2039 214,737
Freddie Mac
295,010 Ser. 2763, Class SC, 23.08s, 2032 351,787
1,175,704 Ser. 2448, Class SM, IO, 6.4s, 2032 123,449
1,293,175 Ser. 2579, Class GS, IO, 6.05s, 2017 120,146
404,800 Ser. 2590, Class IH, IO, 5 1/2s, 2028 104,236
1,863,555 Ser. 216, Class IO, IO, 6s, 2032 423,449
1,048,000 Ser. 2596, Class IQ, IO, 5.5s, 2026 110,921
786,800 Ser. 2515, Class IG, IO, 1.1s, 2032 259,570
138,186 Ser. 2478, Class SY, IO, 6.55s, 2021 7,758
220,500 Ser. 215, Class PO, PO, zero %, 2031 197,089
201,747 Ser. 2235, PO, zero %, 2030 162,690
2 Ser. 2078, Class KC, PO, zero %, 2023 2
282,877 GMAC Commercial Mortgage Securities,
Inc. 144A Ser. 99-C3, Class G, 6.974s,
2036 208,150
Government National Mortgage Association
95,741 Ser. 02-51, Class SA, IO, 6.68s, 2032 1,120
2,478,715 Ser. 03-83, Class SI, IO, 4.9s, 2032 170,412
900,710 Ser. 02-47, Class SM, IO, 4.55s, 2032 46,021
1,175,803 Ser. 01-19, Class S, IO, 5.9s, 2031 110,231
373,154 Ser. 01-43, Class SJ, IO, 6.18s, 2029 9,271
100,466 Ser. 98-2, Class EA, PO, zero %, 2028 83,198
117,000 GS Mortgage Securities Corp. II 144A FRB
Ser. 03-FL6A, Class L, 4.63s, 2015 117,146
GBP 713,631 Hermione (European Loan Conduit No. 14)
144A FRB Class A, 5.33s, 2011 (Ireland) 1,305,310
$136,232 LB Commercial Conduit Mortgage Trust
144A Ser. 99-C1, Class G, 6.41s, 2031 104,732
Mach One Commercial Mortgage Trust 144A
226,000 Ser. 04-1A, Class J, 5.45s, 2040 181,215
114,000 Ser. 04-1A, Class K, 5.45s, 2040 92,104
52,000 Ser. 04-1A, Class L, 5.45s, 2040 36,841
3,743,778 Merrill Lynch Mortgage Investors, Inc.
Ser. 96-C2, Class JS, IO, 3.459s, 2028 216,286
930,000 Morgan Stanley Capital I 144A Ser.
04-RR, Class F7, 6s, 2039 659,040
3,037,952 Mortgage Capital Funding, Inc. Ser.
97-MC2, Class X, IO, 1.282s, 2012 89,914
Starwood Asset Receivables Trust 144A
95,279 FRB Ser. 03-1A, Class F, 2.55s, 2022 95,431
122,502 FRB Ser. 03-1A, Class E, 2 1/2s, 2022 122,698
STRIPS 144A
87,000 Ser. 03-1A, Class M, 5s, 2018 (Cayman
Islands) 71,375
104,000 Ser. 03-1A, Class N, 5s, 2018 76,742
100,000 Ser. 04-1A, Class M, 5s, 2018 82,360
90,000 Ser. 04-1A, Class N, 5s, 2018 66,870
100,000 Trizechahn Office Properties Trust 144A
Ser. 01-TZHA, Class D3, 6.943s, 2013 106,187
-------------
Total Collateralized mortgage obligations (cost $21,579,206) $20,345,678
Common stocks (0.7%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
1,083 AboveNet, Inc. (NON) $33,562
1,153 Alderwoods Group, Inc. (NON) 10,244
350,000 AMRESCO Creditor Trust (acquired
6/17/99, cost $62,787) (RES)(NON)(R) 350
8 Arch Wireless, Inc. Class A (NON) 226
958 Archibald Candy Corp. (NON) 48
605 Birch Telecom, Inc. (NON) 6
244 Comdisco Holding Co., Inc. 5,868
1,883,299 Contifinancial Corp. Liquidating Trust
Units 37,666
8,378 Covad Communications Group, Inc. (NON) 15,918
932 Crown Castle International Corp. (NON) 13,160
614 Genesis HealthCare Corp. (NON) 16,486
25,179 Globix Corp. (NON) 80,573
8,406 iPCS, Inc. (NON) 181,418
295,000 iPCS Escrow, Inc. (NON) 295
99 Knology, Inc. (NON) 432
58 Leucadia National Corp. 2,986
3,473 Lodgian, Inc. (NON) 34,035
60,000 Loewen Group International, Inc. (NON) 6
431 Polymer Group, Inc. Class A (NON) 5,689
1,004 PSF Group Holdings, Inc. 144A Class A
(acquired various dates from 2/8/93 to
3/16/98, cost $3,443,871) (NON) 1,505,790
28,727 Regal Entertainment Group (acquired
5/9/02, cost $228,945) (RES) 540,929
129 Sterling Chemicals, Inc. (NON) 3,096
467 Sun Healthcare Group, Inc. (NON) 3,227
503,131 VFB LLC (acquired various dates from
10/27/00 to 12/8/03, cost $355,888)
(RES)(NON) 95,595
2,398 Washington Group International, Inc.
(NON) 80,141
-------------
Total Common stocks (cost $7,439,677) $2,667,746
Preferred stocks (0.5%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
16,152 Avecia Group PLC $4.00 pfd. (United
Kingdom) (PIK) $209,976
5,858 Doane Pet Care Co. $7.125 pfd. 246,036
14 Dobson Communications Corp. 13.00% pfd.
(PIK) 9,114
210 First Republic Capital Corp. 144A 10.50%
pfd. 217,350
6,895 iStar Financial, Inc. $1.95 cum. pfd. 172,375
50 Paxson Communications Corp. 13.25% cum.
pfd. (PIK) 436,250
106 Rural Cellular Corp. Ser. B, 11.375%
cum. pfd. 89,040
738 Rural Cellular Corp. 12.25% pfd. (PIK) 464,940
-------------
Total Preferred stocks (cost $2,089,902) $1,845,081
Brady bonds (0.4%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$367,060 Brazil (Federal Republic of) FRB 2 1/8s,
2012 $318,902
588,238 Brazil (Federal Republic of) govt.
guaranty FRB Ser. RG, 2 1/8s, 2012 511,061
375,000 Peru (Republic of) coll. FLIRB Ser.
20YR, 4 1/2s, 2017 310,313
336,700 Peru (Republic of) FRB Ser. PDI, 5s,
2017 292,929
-------------
Total Brady bonds (cost $1,186,663) $1,433,205
Convertible preferred stocks (0.2%) (a)
-----------------------------------------------------------------------------------------------------------
Number of shares Value
-----------------------------------------------------------------------------------------------------------
4,915 Crown Castle International Corp. $3.125
cv. pfd. $223,018
2,910 Omnicare, Inc. $2.00 cv. pfd. 139,680
35 Paxson Communications Corp. 144A 9.75%
cv. pfd. (PIK) 248,500
3,690 Williams Cos., Inc. (The) 144A $2.75 cv.
pfd. 263,835
-------------
Total Convertible preferred stocks (cost $750,917) $875,033
Convertible bonds and notes (0.1%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$60,000 AES Corp. (The) cv. sub. notes 4 1/2s,
2005 $59,400
280,000 Amkor Technologies, Inc. cv. notes 5
3/4s, 2006 256,550
1,210,000 Cybernet Internet Services
International, Inc. 144A cv. sr. disc.
notes stepped-coupon zero % (13s,
8/15/04) 2009 (Denmark) (In default)
(NON)(STP) 12
145,000 WCI Communities, Inc. cv. sr. sub. notes
4s, 2023 156,056
-------------
Total Convertible bonds and notes (cost $1,493,551) $472,018
Units (--%)(a)
-----------------------------------------------------------------------------------------------------------
Number of units Value
-----------------------------------------------------------------------------------------------------------
470,000 Morrison Knudsen Corp., 2032 $24,675
376 XCL Equity Units 167,075
-------------
Total Units (cost $1,198,601) $191,750
Warrants (--%) (a) (NON)
-----------------------------------------------------------------------------------------------------------
Number of warrants Value
-----------------------------------------------------------------------------------------------------------
391 AboveNet, Inc. $1,955
460 AboveNet, Inc. 460
560 Dayton Superior Corp. 144A 1
2 Doe Run Resources Corp. 144A 1
641 Huntsman Co., LLC 144A 121,790
266 MDP Acquisitions PLC 144A (Ireland) 7,382
210 Mikohn Gaming Corp. 144A 63
220 ONO Finance PLC 144A (United Kingdom) 2
230 Pliant Corp. 144A 2
261 Solutia, Inc. 144A 3
570 Travel Centers of America, Inc. 144A 2,850
900 Ubiquitel, Inc. 144A 1
1,479 Washington Group International, Inc.
Ser. A 10,723
1,691 Washington Group International, Inc.
Ser. B 9,639
914 Washington Group International, Inc.
Ser. C 4,296
320 XM Satellite Radio Holdings, Inc. 144A 17,120
-------------
Total Warrants (cost $394,274) $176,288
U.S. Government and Agency Mortgage Obligations (10.9%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$20,515 Federal Home Loan Mortgage Corporation 7
1/2s, May 1, 2027 $22,146
Federal National Mortgage Association
Pass-Through Certificates
5,867 8s, July 1, 2024 6,347
85,337 7 1/2s, with due dates from January 1,
2030 to August 1, 2030 91,643
7,373,569 6 1/2s, with due dates from June 1, 2028
to May 1, 2033 7,723,646
18,000,000 6 1/2s, TBA, August 15, 2034 18,783,281
463,819 5s, June 1, 2019 467,914
12,400,000 5s, TBA, August 15, 2019 12,486,218
2,045,169 4 1/2s, with due dates from August 1,
2033 to June 1, 2034 1,933,570
-------------
Total U.S. Government and Agency Mortgage Obligations (cost $41,369,991) $41,514,765
U.S. Treasury Obligations (13.6%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds
$5,440,000 7 1/2s, November 15, 2016 $6,782,150
12,789,000 6 1/4s, May 15, 2030 14,519,512
5,965,000 6 1/4s, August 15, 2023 6,691,053
7,289,000 4 1/4s, August 15, 2013 7,192,193
3,000 4s, November 15, 2012 2,936
U.S. Treasury Notes
8,046,000 3 1/4s, August 15, 2008 7,986,912
6,087,000 1 1/8s, June 30, 2005 6,038,494
7,990,000 U.S. Treasury Strip zero %, November 15,
2024 2,611,061
-------------
Total U.S. Treasury Obligations (cost $51,768,263) $51,824,311
Short-term investments (16.6%) (a)
-----------------------------------------------------------------------------------------------------------
Principal amount Value
-----------------------------------------------------------------------------------------------------------
$62,277,762 Putnam Prime Money Market Fund (e) $62,277,762
700,000 U.S. Treasury Bill zero %, August 5, 2004
(SEG) 699,914
-------------
Total Short-term investments (cost $62,977,676) $62,977,676
-----------------------------------------------------------------------------------------------------------
Total Investments (cost $424,509,780) (b) $420,836,459
-----------------------------------------------------------------------------------------------------------
Forward currency contracts to buy at July 31, 2004 (Unaudited)
(aggregate face value $24,562,436)
Unrealized
Aggregate Delivery appreciation/
Value face value date (depreciation)
----------------------------------------------------------------------------------------------
Australian Dollar $4,062,396 $4,087,007 Sep-04 $(24,612)
British Pound 4,919,250 4,932,060 Sep-04 (12,810)
Danish Krone 629,301 638,401 Sep-04 (9,100)
Euro 3,162,686 3,211,678 Sep-04 (48,992)
Japanese Yen 11,066,285 11,018,505 Sep-04 47,780
Norwegian Krone 178,642 187,371 Sep-04 (8,729)
Polish Zloty 242,138 231,004 Sep-04 11,134
Swedish Krona 250,563 256,410 Sep-04 (5,847)
----------------------------------------------------------------------------------------------
$(51,176)
----------------------------------------------------------------------------------------------
Forward currency contracts to sell at July 31, 2004 (Unaudited)
(aggregate face value $43,802,498)
Unrealized
Aggregate Delivery appreciation/
Value face value date (depreciation)
----------------------------------------------------------------------------------------------
Australian Dollars $2,071,304 $2,109,971 Sep-04 $38,667
British Pound 13,320,456 13,354,801 Sep-04 34,345
Canadian Dollars 447,825 437,011 Sep-04 (10,814)
Euro 18,573,055 18,679,191 Sep-04 106,136
Japanese Yen 463,817 476,591 Sep-04 12,774
New Zealand Dollars 3,902,994 3,829,375 Sep-04 (73,619)
Swedish Krona 4,772,665 4,915,558 Sep-04 142,893
----------------------------------------------------------------------------------------------
$250,382
----------------------------------------------------------------------------------------------
Futures contracts outstanding at July 31, 2004 (Unaudited)
Unrealized
Aggregate Expiration appreciation/
Value face value date (depreciation)
----------------------------------------------------------------------------------------------
Euro-Bobl 5 yr (Long) $7,214,874.00 $7,199,924.00 Sep-04 $14,950
Euro-Bund 10 yr (Long) 7,702,550 7,672,888 Sep-04 29,662
Interest Rate Swap 10 yr
(Long) 860,750 832,456 Sep-04 28,294
Japanese Government
Bond 10 yr (Long) 3,871,009 3,880,197 Sep-04 (9,188)
Japanese Government
Bond 10 yr-TSE (Long) 2,419,919 2,424,226 Sep-04 (4,307)
U.K. Gilt (Long) 10,015,291 10,012,116 Sep-04 3,175
U.S. Treasury Bond (Long) 7,467,094 7,204,400 Sep-04 262,694
U.S. Treasury Note
10 yr (Long) 9,964,688 9,937,285 Sep-04 27,403
U.S. Treasury Note
5 yr (Short) 37,449,000 36,898,242 Sep-04 (550,758)
----------------------------------------------------------------------------------------------
$(198,075)
----------------------------------------------------------------------------------------------
Interest rate swap contracts outstanding at July 31, 2004 (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 $303,818
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 50,186
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 2,339
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 59,154
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 (6,353)
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 (2,726)
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 three month USD-LIBOR-BBA. 5,068,000 12/15/13 (76,407)
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 51,323
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 61,144
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 50,854
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 11/21/05 216,508
Agreement with UBS, AG dated April 23,
2004 to receive annually the notional
amount multiplied by 3.49% and pay
quarterly the notional amount multiplied
by the three month SEK-STIBOR-SIDE. SEK 212,000,000 4/27/06 30,396
----------------------------------------------------------------------------------------------
$740,236
----------------------------------------------------------------------------------------------
NOTES
(a) Percentages indicated are based on net assets of $380,022,510.
(b) The aggregate identified cost on a tax basis is $426,052,047
resulting in gross unrealized appreciation and depreciation of
$14,937,961 and $20,153,549, respectively, or net unrealized depreciation
of $5,215,588.
(DEF) Security is in default of principal and interest.
(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 July 31, 2004 was
$8,394,950 or 2.2% 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 July 31, 2004.
(R) Real Estate Investment Trust.
(e) The fund invests in the Putnam Prime Money Market Fund, an open-end
management investment company managed by Putnam Investment Management,
LLC ("Putnam Management"), the fund's manager, and 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
$68,777 for the period ended July 31, 2004.
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 July 31, 2004.
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 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.
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.
Risks 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.
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.
For additional information regarding the fund please see the
fund's most recent annual or semi-annual shareholder report filed
on the Securities and Exchange Commission's Web site,
www.sec.gov., or visit Putnam Individual Investor Website 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: September 28, 2004
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: September 28, 2004
By (Signature and Title): /s/ Steven D. Krichmar
---------------------------
Steven D. Krichmar
Principal Financial Officer
Date: September 28, 2004