N-Q 1 mii1.htm PUTNAM MASTER INTERMEDIATE INCOME TRUST

<SUBMISSION>

Item 1. Schedule of Investments:

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Putnam Master Intermediate Income Trust
The fund's portfolio
June 30, 2005 (Unaudited)
				-
	CORPORATE BONDS AND NOTES (24.5%)(a)
					Principal amount	Value
	Basic Materials (2.6%)
	ALROSA Finance SA 144A company guaranty 8 7/8s, 2014 (Luxembourg)				$4,250,000	$4,802,500
	Chaparral Steel Co. 144A sr. unsecd. notes 10s, 2013				486,000	489,645
	Cognis Holding GmbH & Co. 144A sr. notes 9 1/2s, 2014 (Germany)			EUR	265,000	346,445
	Compass Minerals International, Inc. sr. disc. notes stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 (STP)				$285,000	237,975
	Compass Minerals International, Inc. sr. notes stepped-coupon zero % (12 3/4s, 12/15/07), 2012 (STP)				775,000	674,250
	Crystal US Holdings, LLC sr. disc. notes stepped-coupon Ser. A, zero %, (10s, 10/1/09) 2014 (STP)				345,000	243,225
	Equistar Chemicals LP notes 8 3/4s, 2009				375,000	394,688
	Equistar Chemicals LP/Equistar Funding Corp. company guaranty 10 1/8s, 2008				581,000	628,933
	Georgia-Pacific Corp. company guaranty 9 3/8s, 2013				705,000	797,531
	Georgia-Pacific Corp. company guaranty 8 7/8s, 2010				405,000	459,675
	Georgia-Pacific Corp. debs. 7.7s, 2015				80,000	91,200
	Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011 (Canada)				680,000	737,800
	Hercules, Inc. company guaranty 11 1/8s, 2007				390,000	440,213
	Huntsman Advanced Materials, LLC sec. FRN 10.89s, 2008				100,000	105,250
	Huntsman Advanced Materials, LLC sec. notes 11s, 2010				240,000	271,200
	Huntsman, LLC company guaranty 11 5/8s, 2010				260,000	304,525
	Huntsman, LLC company guaranty 11 1/2s, 2012				191,000	223,948
	Innophos, Inc. 144A sr. sub. notes 8 7/8s, 2014				225,000	229,500
	International Steel Group, Inc. sr. notes 6 1/2s, 2014				130,000	124,800
	ISP Chemco, Inc. company guaranty Ser. B, 10 1/4s, 2011				646,000	699,295
	Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012				80,000	80,400
	Jefferson Smurfit Corp. company guaranty 7 1/2s, 2013				40,000	38,200
	JSG Holding PLC 144A sr. notes 11 1/2s, 2015 (Ireland) (PIK)			EUR	459,743	447,998
	MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)			EUR	235,000	235,000
	MDP Acquisitions PLC sr. notes Ser. EUR, 10 1/8s, 2012 (Ireland)			EUR	440,000	548,332
	Nalco Co. sr. sub. notes 9s, 2013			EUR	75,000	98,232
	Nalco Co. sr. sub. notes 8 7/8s, 2013				$1,045,000	1,120,763
	Novelis, Inc. 144A sr. notes 7 1/4s, 2015 (Canada)				805,000	808,019
	PQ Corp. 144A company guaranty 7 1/2s, 2013				235,000	230,888
	Rockwood Specialties Group, Inc. company guaranty 7 5/8s, 2014			EUR	350,000	424,946
	Rockwood Specialties Group, Inc. 144A sub. notes 7 1/2s, 2014				$150,000	148,875
	Steel Dynamics, Inc. company guaranty 9 1/2s, 2009				695,000	740,175
	Sterling Chemicals, Inc. sec. notes 10s, 2007 (PIK)				146,606	145,140
	Stone Container Corp. sr. notes 9 3/4s, 2011				145,000	152,975
	Stone Container Corp. sr. notes 8 3/8s, 2012				240,000	242,400
	Stone Container Finance company guaranty 7 3/8s, 2014 (Canada)				140,000	131,600
	Tembec Industries, Inc. company guaranty 7 3/4s, 2012 (Canada)				80,000	58,800
	Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013				161,000	164,824
	United States Steel Corp. sr. notes 9 3/4s, 2010				509,000	549,720
	WHX Corp. sr. notes 10 1/2s, 2005 (In default) (NON)(DEF)				190,000	187,150
						18,857,035
	Capital Goods (1.5%)
	Allied Waste North America, Inc. company guaranty Ser. B, 8 1/2s, 2008				732,000	770,430
	BE Aerospace, Inc. sr. sub. notes Ser. B, 8 7/8s, 2011				33,000	34,485
	BE Aerospace, Inc. sr. sub. notes Ser. B, 8s, 2008				282,000	282,000
	Blount, Inc. sr. sub. notes 8 7/8s, 2012				541,000	578,870
	Browning-Ferris Industries, Inc. sr. notes 6 3/8s, 2008				73,000	72,361
	Crown Euro Holdings SA company guaranty 6 1/4s, 2011 (France)			EUR	107,000	134,899
	Crown Euro Holdings SA sec. notes 10 1/4s, 2011 (France)			EUR	80,000	109,671
	Crown Euro Holdings SA sec. notes 9 1/2s, 2011 (France)				$316,000	349,180
	Crown Euro Holdings SA sec. sr. notes 10 7/8s, 2013 (France)				870,000	1,022,250
	Decrane Aircraft Holdings Co. company guaranty zero %, 2008				1,981,000	752,780
	Invensys, PLC notes 9 7/8s, 2011 (United Kingdom)				31,000	29,605
	L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015				1,384,000	1,342,480
	Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012				55,000	62,150
	Manitowoc Co., Inc. (The) company guaranty 10 3/8s, 2011			EUR	180,000	240,333
	Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013				$220,000	229,900
	Mueller Group, Inc. sr. sub. notes 10s, 2012				265,000	278,250
	Owens-Brockway Glass company guaranty 7 3/4s, 2011				520,000	552,500
	Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012				964,000	1,062,810
	Sequa Corp. sr. notes 9s, 2009				985,000	1,083,500
	Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom)				436,000	374,960
	Terex Corp. company guaranty 9 1/4s, 2011				190,000	206,150
	Terex Corp. company guaranty Ser. B, 10 3/8s, 2011				730,000	795,700
	Titan Corp. (The) company guaranty 8s, 2011				370,000	396,825
						10,762,089
	Communication Services (1.5%)
	Alamosa Delaware, Inc. company guaranty 11s, 2010				332,000	373,500
	Alamosa Delaware, Inc. company guaranty stepped-coupon zero % (12s, 7/31/05), 2009 (STP)				268,000	295,470
	American Cellular Corp. company guaranty 9 1/2s, 2009				195,000	198,413
	Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda) (In default) (NON)				529,140	15,874
	Cincinnati Bell, Inc. sr. sub. notes 8 3/8s, 2014				227,000	232,675
	Cincinnati Bell, Inc. 144A sr. notes 7s, 2015				578,000	564,995
	Citizens Communications Co. sr. notes 6 1/4s, 2013				1,711,000	1,655,393
	Globix Corp. company guaranty 11s, 2008 (PIK)				238,031	223,154
	Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United Kingdom)				515,000	543,325
	Inmarsat Finance PLC company guaranty stepped-coupon zero % (10 3/8s, 10/15/08), 2012 (United Kingdom) (STP)				754,000	591,890
	iPCS, Inc. sr. notes 11 1/2s, 2012				300,000	334,500
	IWO Escrow Co. 144A sec. FRN 6.891s, 2012				82,000	81,385
	Nextel Communications, Inc. sr. notes 5.95s, 2014				2,081,000	2,161,639
	Qwest Communications International, Inc. company guaranty 8s, 2014				428,000	404,995
	Qwest Corp. notes 8 7/8s, 2012				1,501,000	1,632,338
	Qwest Corp. 144A sr. notes 7 5/8s, 2015				409,000	417,691
	Qwest Services Corp. sec. notes 14s, 2014				360,000	436,500
	Rogers Cantel, Inc. debs. 9 3/4s, 2016 (Canada)				164,000	198,030
	Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010				75,000	69,750
	SBA Communications Corp. sr. notes 8 1/2s, 2012				228,000	245,670
	SBA Telecommunications, Inc./SBA Communications Corp. sr. disc. notes stepped-coupon zero % (9 3/4s, 12/15/07), 2011 (STP)				250,000	230,000
						10,907,187
	Consumer Cyclicals (5.5%)
	ArvinMeritor, Inc. notes 8 3/4s, 2012				615,000	641,138
	Autonation, Inc. company guaranty 9s, 2008				885,000	966,863
	Beazer Homes USA, Inc. company guaranty 8 3/8s, 2012				155,000	166,238
	Boyd Gaming Corp. sr. sub. notes 8 3/4s, 2012				585,000	633,263
	Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012				165,000	176,344
	Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014				134,000	137,350
	CanWest Media, Inc. company guaranty 8s, 2012				748,021	781,682
	Coinmach Corp. sr. notes 9s, 2010				858,000	883,740
	D.R. Horton, Inc. sr. notes 7 7/8s, 2011				630,000	704,025
	D.R. Horton, Inc. sr. notes 5 7/8s, 2013				440,000	443,086
	Dana Corp. notes 10 1/8s, 2010				160,000	166,762
	Dana Corp. notes 9s, 2011				550,000	616,000
	Dana Corp. notes 6 1/2s, 2009				295,000	289,504
	Dex Media West, LLC/Dex Media Finance Co. sr. notes Ser. B, 8 1/2s, 2010				605,000	659,450
	Dex Media, Inc. notes 8s, 2013				580,000	616,250
	Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012				658,000	592,200
	FelCor Lodging LP company guaranty 9s, 2008 (R)				515,000	562,638
	Gaylord Entertainment Co. sr. notes 8s, 2013				402,000	422,603
	General Motors Acceptance Corp. FRN 4.1s, 2007				350,000	337,741
	General Motors Acceptance Corp. FRN Ser. MTN, 4.13s, 2007				695,000	674,036
	Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011				1,075,000	1,045,438
	HMH Properties, Inc. company guaranty Ser. B, 7 7/8s, 2008 (R)				185,000	187,775
	Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)				725,000	752,188
	Interpublic Group of Companies, Inc. notes 6 1/4s, 2014				285,000	266,137
	JC Penney Co., Inc. notes 9s, 2012				575,000	682,813
	JC Penney Co., Inc. notes 8s, 2010				30,000	33,000
	John Q. Hammons Hotels LP/John Q. Hammons Hotels Finance Corp. III 1st mtge. Ser. B, 8 7/8s, 2012				449,000	491,655
	Jostens IH Corp. company guaranty 7 5/8s, 2012				718,000	709,025
	K. Hovnanian Enterprises, Inc. company guaranty 8 7/8s, 2012				600,000	649,500
	K. Hovnanian Enterprises, Inc. company guaranty 6 3/8s, 2014				385,000	383,075
	K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014				295,000	297,213
	KB Home company guaranty 5 7/8s, 2015				232,000	230,179
	KB Home sr. notes 5 3/4s, 2014				333,000	330,036
	Levi Strauss & Co. sr. notes 12 1/4s, 2012				362,000	395,485
	Levi Strauss & Co. sr. notes 9 3/4s, 2015				651,000	646,118
	MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R)				587,000	616,350
	Meritage Homes Corp. company guaranty 6 1/4s, 2015				235,000	218,550
	Meritage Homes Corp. sr. notes 7s, 2014				160,000	156,400
	Meritor Automotive, Inc. notes 6.8s, 2009				405,000	400,950
	MGM Mirage, Inc. company guaranty 8 1/2s, 2010				675,000	749,250
	MGM Mirage, Inc. company guaranty 6s, 2009				802,000	806,010
	Movie Gallery, Inc. 144A sr. unsecd. notes 11s, 2012				478,000	501,900
	Owens Corning notes 7 1/2s, 2006 (In default) (NON)				534,000	389,820
	Oxford Industries, Inc. sr. notes 8 7/8s, 2011				460,000	492,200
	Park Place Entertainment Corp. sr. notes 7 1/2s, 2009				905,000	993,238
	Park Place Entertainment Corp. sr. notes 7s, 2013				495,000	549,450
	Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008				395,000	440,919
	Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012				433,000	450,320
	PRIMEDIA, Inc. sr. notes 8s, 2013				688,000	689,720
	R.H. Donnelley Corp. 144A sr. notes 6 7/8s, 2013				335,000	341,700
	R.H. Donnelley Finance Corp. I 144A sr. sub. notes 10 7/8s, 2012				475,000	552,188
	Reader's Digest Association, Inc. (The) sr. notes 6 1/2s, 2011				365,000	370,475
	Resorts International Hotel and Casino, Inc. company guaranty 11 1/2s, 2009				450,000	512,438
	Russell Corp. company guaranty 9 1/4s, 2010				576,000	609,120
	Saks, Inc. company guaranty 7s, 2013				1,107,000	1,107,000
	Scientific Games Corp. 144A sr. sub. notes 6 1/4s, 2012				626,000	632,260
	Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014				735,000	742,350
	Standard Pacific Corp. sr. notes 7 3/4s, 2013				420,000	436,800
	Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 7/8s, 2012				560,000	631,400
	Starwood Hotels & Resorts Worldwide, Inc. company guaranty 7 3/8s, 2007				390,000	407,550
	Starwood Hotels & Resorts Worldwide, Inc. debs. 7 3/8s, 2015				520,000	578,500
	Starwood Hotels & Resorts Worldwide, Inc. notes 6 3/4s, 2005				585,000	588,656
	Station Casinos, Inc. sr. notes 6s, 2012				470,000	477,050
	Teksid Aluminum 144A company guaranty 11 3/8s, 2011 (Luxembourg)			EUR	125,000	123,774
	Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014				$420,000	422,100
	Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013				436,000	492,680
	THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s, 2014				604,000	561,720
	Toys R Us, Inc. notes 7 5/8s, 2011				350,000	321,125
	United Auto Group, Inc. company guaranty 9 5/8s, 2012				515,000	549,763
	Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009				736,000	699,200
	Vertis, Inc. 144A sub. notes 13 1/2s, 2009				730,000	544,763
	WCI Communities, Inc. company guaranty 9 1/8s, 2012				810,000	848,475
	William Carter Holdings Co. (The) company guaranty Ser. B, 10 7/8s, 2011				399,000	450,742
	WRC Media Corp. sr. sub. notes 12 3/4s, 2009				540,000	571,725
	Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A 1st mtge. 6 5/8s, 2014				555,000	539,738
						39,138,919
	Consumer Staples (3.2%)
	Affinity Group, Inc. sr. sub. notes 10 7/8s, 2012				500,000	483,750
	Affinity Group, Inc. sr. sub. notes 9s, 2012				545,000	551,813
	AMC Entertainment, Inc. sr. sub. notes 8s, 2014				456,000	404,700
	Archibald Candy Corp. company guaranty 10s, 2007 (In default) (F)(NON)(PIK)				119,699	25,496
	Brand Services, Inc. company guaranty 12s, 2012				565,000	604,550
	Cablevision Systems Corp. sr. notes Ser. B, 8s, 2012				409,000	400,820
	Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (12 1/8s, 1/15/07), 2012 (STP)				100,000	57,750
	Charter Communications Holdings, LLC/Capital Corp. sr. disc. notes stepped-coupon zero % (11 3/4s, 5/15/06), 2011 (STP)				525,000	347,813
	Charter Communications Holdings, LLC/Capital Corp. sr. notes 11 1/8s, 2011				835,000	624,163
	Charter Communications Holdings, LLC/Capital Corp. sr. notes 10 3/4s, 2009				860,000	664,350
	Charter Communications Holdings, LLC/Capital Corp. sr. notes 10s, 2011				975,000	706,875
	Church & Dwight Co., Inc. company guaranty 6s, 2012				444,000	448,440
	Cinemark USA, Inc. sr. sub. notes 9s, 2013				30,000	30,825
	Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s, 3/15/07), 2014 (STP)				990,000	658,350
	Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008				825,000	880,688
	Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012				425,000	453,688
	CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011				353,000	348,588
	CSC Holdings, Inc. 144A sr. notes 6 3/4s, 2012				1,068,000	1,003,920
	Dean Foods Co. sr. notes 6 5/8s, 2009				918,000	959,310
	Del Monte Corp. sr. sub. notes 8 5/8s, 2012				560,000	616,000
	Del Monte Corp. 144A sr. sub. notes 6 3/4s, 2015				320,000	326,400
	DirecTV Holdings, LLC 144A sr. notes 6 3/8s, 2015				1,026,000	1,020,870
	Diva Systems Corp. sr. disc. notes Ser. B, 12 5/8s, 2008 (In default) (NON)				2,742,000	13,710
	Doane Pet Care Co. sr. sub. debs. 9 3/4s, 2007				1,370,000	1,332,325
	Echostar DBS Corp. company guaranty 6 5/8s, 2014				2,119,000	2,092,513
	Granite Broadcasting Corp. sec. notes 9 3/4s, 2010				542,000	504,060
	Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada)				345,000	356,213
	Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada)				415,000	409,813
	Kabel Deutscheland GmbH 144A company guaranty 10 5/8s, 2014 (Germany)				461,000	500,185
	Knology, Inc. 144A sr. notes 12s, 2009 (PIK)				42,635	42,475
	Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013				741,000	663,195
	Playtex Products, Inc. company guaranty 9 3/8s, 2011				736,000	774,640
	Playtex Products, Inc. sec. notes 8s, 2011				770,000	822,938
	Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012				450,000	466,875
	Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012				482,000	526,585
	Remington Arms Co., Inc. company guaranty 10 1/2s, 2011				735,000	694,575
	Sbarro, Inc. company guaranty 11s, 2009				726,000	729,630
	Scotts Co. (The) sr. sub. notes 6 5/8s, 2013				255,000	263,288
	Six Flags, Inc. sr. notes 9 5/8s, 2014				673,000	629,255
	Young Broadcasting, Inc. company guaranty 10s, 2011				431,000	409,450
	Young Broadcasting, Inc. sr. sub. notes 8 3/4s, 2014				365,000	323,025
						23,173,909
	Energy (3.9%)
	Arch Western Finance, LLC sr. notes 6 3/4s, 2013				1,347,000	1,390,778
	Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012 (Cayman Islands)				487,000	521,090
	CHC Helicopter Corp. sr. sub. notes 7 3/8s, 2014 (Canada)				467,000	465,833
	CHC Helicopter Corp. 144A sr. sub. notes 7 3/8s, 2014 (Canada)				345,000	344,138
	Chesapeake Energy Corp. company guaranty 7 3/4s, 2015				269,000	290,520
	Chesapeake Energy Corp. sr. notes 7 1/2s, 2013				1,031,000	1,116,058
	Chesapeake Energy Corp. sr. notes 7s, 2014				279,000	295,740
	Comstock Resources, Inc. sr. notes 6 7/8s, 2012				510,000	515,100
	Dresser, Inc. company guaranty 9 3/8s, 2011				696,000	732,540
	Exco Resources, Inc. company guaranty 7 1/4s, 2011				725,000	725,000
	Forest Oil Corp. company guaranty 7 3/4s, 2014				108,000	115,560
	Forest Oil Corp. sr. notes 8s, 2011				540,000	595,350
	Forest Oil Corp. sr. notes 8s, 2008				335,000	358,450
	Gazprom OAO 144A notes 9 5/8s, 2013 (Germany)				1,860,000	2,280,825
	Harvest Operations Corp. sr. notes 7 7/8s, 2011 (Canada)				584,000	556,260
	Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014				517,000	523,463
	Key Energy Services, Inc. sr. notes 6 3/8s, 2013				463,000	463,000
	Massey Energy Co. sr. notes 6 5/8s, 2010				774,000	797,220
	NAK Naftogaz Ukrainy bonds 8 1/8s, 2009 (Ukraine)				2,100,000	2,205,000
	Newfield Exploration Co. sr. notes 7 5/8s, 2011				700,000	766,500
	Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014				348,000	364,530
	Offshore Logistics, Inc. company guaranty 6 1/8s, 2013				655,000	632,075
	Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011				522,566	555,824
	Pacific Energy Partners/Pacific Energy Finance Corp. sr. notes 7 1/8s, 2014				355,000	369,644
	Pemex Finance, Ltd. bonds 9.69s, 2009 (Cayman Islands)				862,750	948,507
	Pemex Project Funding Master Trust 144A notes 5 3/4s, 2015				4,060,000	4,041,730
	Petroleum Geo-Services notes 10s, 2010 (Norway)				565,000	632,800
	Pioneer Natural Resources Co. company guaranty 6 1/2s, 2008				115,000	119,137
	Plains Exploration & Production Co. sr. notes 7 1/8s, 2014				415,000	444,050
	Plains Exploration & Production Co. sr. sub. notes 8 3/4s, 2012				485,000	526,225
	Pogo Producing Co. sr. sub. notes Ser. B, 8 1/4s, 2011				670,000	711,875
	Pride International, Inc. sr. notes 7 3/8s, 2014				826,000	906,535
	Seabulk International, Inc. company guaranty 9 1/2s, 2013				600,000	674,250
	Star Gas Partners LP/Star Gas Finance Co. sr. notes 10 1/4s, 2013				699,000	650,070
	Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012				670,000	723,600
	Vintage Petroleum, Inc. sr. sub. notes 7 7/8s, 2011				145,000	152,975
						27,512,252
	Financial (1.2%)
	Bosphorus Financial Services Ltd. 144A sec. FRN 5.068s, 2012 (Cayman Islands)				1,856,000	1,855,491
	Crescent Real Estate Equities LP notes 7 1/2s, 2007 (R)				310,000	316,975
	Finova Group, Inc. notes 7 1/2s, 2009				525,820	233,990
	UBS Luxembourg SA for Sberbank sub. notes 6.23s, 2015 (Luxembourg)				2,220,000	2,250,525
	VTB Bank (VTB Capital) 144A notes 7 1/2s, 2011 (Luxembourg)				3,220,000	3,509,800
	Western Financial Bank sub. debs. 9 5/8s, 2012				540,000	585,900
						8,752,681
	Health Care (2.2%)
	AmerisourceBergen Corp. company guaranty 7 1/4s, 2012				397,000	437,196
	AmerisourceBergen Corp. sr. notes 8 1/8s, 2008				560,000	608,300
	Ardent Health Services, Inc. sr. sub. notes 10s, 2013				990,000	1,196,663
	Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012				183,000	186,203
	Coventry Health Care, Inc. sr. notes 5 7/8s, 2012				320,000	325,600
	DaVita, Inc. 144A sr. notes 6 5/8s, 2013				175,000	180,688
	DaVita, Inc. 144A sr. sub. notes 7 1/4s, 2015				345,000	354,488
	Extendicare Health Services, Inc. sr. sub. notes 6 7/8s, 2014				535,000	530,988
	HCA, Inc. notes 6 3/8s, 2015				263,000	272,891
	HCA, Inc. notes 6 1/4s, 2013				550,000	562,162
	HCA, Inc. notes 5 3/4s, 2014				260,000	258,852
	Healthsouth Corp. notes 7 5/8s, 2012				1,080,000	1,050,300
	Healthsouth Corp. sr. notes 8 3/8s, 2011				245,000	243,163
	Healthsouth Corp. sr. notes 7s, 2008				205,000	206,025
	MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012				595,000	562,275
	MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12 1/4s, 8/15/08), 2012 (STP)				805,000	418,600
	Omnicare, Inc. sr. sub. notes 6 1/8s, 2013				740,000	732,600
	PacifiCare Health Systems, Inc. company guaranty 10 3/4s, 2009				737,000	812,543
	Service Corp. International notes 6 1/2s, 2008				110,000	112,475
	Service Corp. International notes Ser. *, 7.7s, 2009				270,000	288,900
	Service Corp. International 144A sr. notes 6 3/4s, 2016				535,000	547,038
	Service Corporation International 144A sr. notes 7s, 2017				170,000	174,675
	Stewart Enterprises, Inc. 144A sr. notes 6 1/4s, 2013				547,000	541,530
	Tenet Healthcare Corp. notes 7 3/8s, 2013				390,000	385,125
	Tenet Healthcare Corp. sr. notes 9 7/8s, 2014				1,226,000	1,314,885
	Triad Hospitals, Inc. sr. notes 7s, 2012				825,000	860,063
	Triad Hospitals, Inc. sr. sub. notes 7s, 2013				211,000	216,803
	Universal Hospital Services, Inc. sr. notes 10 1/8s, 2011 (Canada)				840,000	848,400
	US Oncology, Inc. company guaranty 9s, 2012				420,000	449,400
	Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014				556,000	600,480
	Ventas Realty LP/Capital Corp. company guaranty 9s, 2012 (R)				305,000	350,750
	Ventas Realty LP/Capital Corp. sr. notes 6 5/8s, 2014 (R)				173,000	173,865
	Ventas Realty LP/Capital Corp. 144A sr. notes 6 3/4s, 2010 (R)				201,000	208,548
						16,012,474
	Technology (0.7%)
	Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012				515,000	507,275
	Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014				1,229,000	1,321,175
	Iron Mountain, Inc. company guaranty 8 5/8s, 2013				700,000	724,500
	New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011 (Cayman Islands)				13,000	11,050
	SCG Holding Corp. 144A notes zero %, 2011				330,000	495,000
	Xerox Corp. notes Ser. MTN, 7.2s, 2016				175,000	189,000
	Xerox Corp. sr. notes 9 3/4s, 2009			EUR	195,000	279,126
	Xerox Corp. sr. notes 7 5/8s, 2013				$1,080,000	1,162,350
						4,689,476
	Transportation (0.2%)
	American Airlines, Inc. pass-through certificates Ser. 01-1, 6.817s, 2011				550,000	522,500
	Calair, LLC/Calair Capital Corp. company guaranty 8 1/8s, 2008				760,000	577,600
	NWA Trust sr. notes Ser. A, 9 1/4s, 2012				231,538	235,012
	Travelcenters of America, Inc. company guaranty 12 3/4s, 2009				190,000	207,100
	United AirLines, Inc. debs. 9 1/8s, 2012 (In default) (NON)				620,000	82,150
						1,624,362
	Utilities & Power (2.0%)
	AES Corp. (The) sr. notes 8 7/8s, 2011				54,000	60,210
	AES Corp. (The) sr. notes 8 3/4s, 2008				30,000	32,250
	AES Corp. (The) 144A sec. notes 8 3/4s, 2013				460,000	512,900
	Allegheny Energy Supply 144A bonds 8 1/4s, 2012				451,000	505,120
	Allegheny Energy Supply 144A sec. notes 10 1/4s, 2007				340,000	374,000
	CMS Energy Corp. sr. notes 8.9s, 2008				600,000	652,500
	CMS Energy Corp. sr. notes 7 3/4s, 2010				180,000	193,500
	Colorado Interstate Gas Co. 144A sr. notes 5.95s, 2015				174,000	171,544
	DPL, Inc. sr. notes 6 7/8s, 2011				635,000	685,800
	Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013				1,288,000	1,455,440
	El Paso CGP Co. notes 6 3/8s, 2009				200,000	197,000
	El Paso Natural Gas Co. sr. notes Ser. A, 7 5/8s, 2010				365,000	385,075
	El Paso Production Holding Co. company guaranty 7 3/4s, 2013				754,000	804,895
	Ferrellgas Partners LP/Ferrellgas Partners Finance sr. notes 6 3/4s, 2014				520,000	501,800
	Mission Energy Holding Co. sec. notes 13 1/2s, 2008				749,000	889,438
	Monongahela Power Co. 1st mtge. 6.7s, 2014				400,000	451,500
	Northwest Pipeline Corp. company guaranty 8 1/8s, 2010				480,000	520,800
	Northwestern Corp. 144A sr. sec. notes 5 7/8s, 2014				319,000	326,975
	NRG Energy, Inc. 144A sr. sec. notes 8s, 2013				1,131,000	1,193,205
	Orion Power Holdings, Inc. sr. notes 12s, 2010				655,000	784,363
	PSEG Energy Holdings, Inc. notes 7 3/4s, 2007				615,000	634,988
	SEMCO Energy, Inc. sr. notes 7 3/4s, 2013				517,000	539,653
	Teco Energy, Inc. notes 7.2s, 2011				185,000	200,725
	Teco Energy, Inc. notes 7s, 2012				280,000	302,400
	Teco Energy, Inc. 144A sr. notes 6 3/4s, 2015				32,000	33,920
	Texas Genco LLC/Texas Genco Financing Corp. 144A sr. notes 6 7/8s, 2014				585,000	615,713
	Utilicorp Canada Finance Corp. company guaranty 7 3/4s, 2011 (Canada)				612,000	630,360
	Utilicorp United, Inc. sr. notes 9.95s, 2011				361,000	391,685
	Williams Cos., Inc. (The) notes 8 1/8s, 2012				150,000	170,250
	York Power Funding 144A notes 12s, 2007 (Cayman Islands) (In default) (F)(NON)				226,429	18,884
						14,236,893
	Total corporate bonds and notes (cost $173,243,874)					$175,667,277
	U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (16.0%)(a)
					Principal amount	Value
	U.S. Government Agency Mortgage Obligations (16.0%)
	Federal Home Loan Mortgage Corporation
	6 1/2s, with due dates from June 1, 2024 to January 1, 2035				$19,511,893	$20,222,581
	Federal National Mortgage Association Pass-Through Certificates
	8 1/2s, March 1, 2006				35	36
	8s, with due dates from October 1, 2025 to July 1, 2028				16,023	17,443
	7 1/2s, December 1, 2029				14,149	15,161
	6 1/2s, with due dates from April 1, 2028 to February 1, 2035				20,732,691	21,486,656
	6 1/2s, October 1, 2018				25,993	27,031
	5 1/2s, with due dates from September 1, 2034 to July 1, 2035				30,436,964	30,887,370
	5 1/2s, TBA, July 1, 2035				9,960,000	10,095,394
	5s, with due dates from April 1, 2019 to April 1, 2020				2,489,883	2,520,452
	4 1/2s, with due dates from August 1, 2033 to June 1, 2034				3,402,790	3,332,713
	4 1/2s, TBA, July 1, 2020				26,200,000	26,081,283
						114,686,120
	Total U.S. government and agency mortgage obligations (cost $114,400,107)					$114,686,120
	U.S. TREASURY OBLIGATIONS (10.4%)(a)
					Principal amount	Value
	U.S. Treasury Notes
	6 1/2s, February 15, 2010				$7,500,000	$8,371,875
	4 1/4s, August 15, 2013				38,008,000	38,970,078
	3 1/4s, August 15, 2008				27,242,000	26,903,603
	Total U.S. treasury obligations (cost $73,991,891)					$74,245,556
	FOREIGN GOVERNMENT BONDS AND NOTES (16.8%)(a)
					Principal amount	Value
	Brazil (Federal Republic of) bonds 10 1/2s, 2014				$3,970,000	$4,694,525
	Brazil (Federal Republic of) notes 11s, 2012				3,240,000	3,839,400
	Bulgaria (Republic of) 144A bonds 8 1/4s, 2015				1,220,000	1,526,830
	Canada (Government of) bonds Ser. WH31, 6s, 2008			CAD	3,680,000	3,255,650
	China Development Bank notes 4 3/4s, 2014				$210,000	211,960
	Colombia (Republic of) notes 10s, 2012				3,715,000	4,318,688
	France (Government of) bonds 4s, 2013			EUR	4,730,000	6,157,953
	France (Government of) bonds 3 1/2s, 2015			EUR	18,499,000	23,087,224
	Germany (Federal Republic of) bonds Ser. 97, 6s, 2007			EUR	5,500,000	7,170,397
	Germany (Federal Republic of) bonds Ser. 97, 6s, 2007			EUR	7,700,000	9,870,780
	Greece (Hellenic Republic of) bonds 3 1/2s, 2008			EUR	1,345,000	1,682,990
	IN 144A notes 7 1/4s, 2015				$2,265,000	2,276,325
	Indonesia (Republic of) FRN 3.813s, 2006				185,000	183,150
	Indonosia (Republic of) 144A sr. notes 6 3/4s, 2014				210,000	208,425
	Ireland (Republic of) bonds 5s, 2013			EUR	7,500,000	10,392,445
	Peru (Republic of) bonds 8 3/8s, 2016				$3,595,000	4,031,793
	Philippines (Republic of) bonds 8 3/8s, 2011				4,125,000	4,279,688
	Philippines (Republic of) 144A sr. sub. notes 3.2s, 2005			JPY	81,000,000	731,844
	Russia (Ministry of Finance) debs. Ser. V, 3s, 2008				$2,445,000	2,304,413
	South Africa (Republic of) notes 7 3/8s, 2012				1,395,000	1,597,275
	South Africa (Republic of) notes 6 1/2s, 2014				1,330,000	1,478,295
	Spain (Government of) bonds 5.4s, 2011			EUR	1,000,000	1,392,075
	Spain (Government of) bonds 5s, 2012			EUR	800,000	1,101,071
	Sweden (Government of) bonds Ser. 3101, 4s, 2008			SEK	26,915,000	4,340,629
	Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014			SEK	30,690,000	5,098,816
	United Mexican States notes 6 5/8s, 2015				$9,620,000	10,548,330
	Uruguay (Republic of) notes 9 1/4s, 2017				480,000	511,200
	Venezuela (Republic of) notes 10 3/4s, 2013				2,150,000	2,515,500
	Venezuela (Republic of) unsub. bonds 5 3/8s, 2010				2,095,000	1,948,350
	Total foreign government bonds and notes (cost $117,037,376)					$120,756,021
	ASSET-BACKED SECURITIES (10.9%)(a)
					Principal amount	Value
	ABSC NIMS Trust 144A Ser. 03-HE5, Class A, 7s, 2033				$127,848	$128,168
	Aegis Asset Backed Securities Trust 144A
	Ser. 04-1N, Class Note, 5s, 2034				32,291	32,291
	Ser. 04-2N, Class N1, 4 1/2s, 2034				106,673	106,456
	Ser. 04-4N, Class Note, 5s, 2034				103,179	103,179
	Americredit Automobile Receivables Trust 144A Ser. 05-1, Class E, 5.82s, 2012				650,000	651,755
	Ameriquest Finance NIM Trust 144A Ser. 04-RN9, Class N2, 10s, 2034 (Cayman Islands)				302,000	277,840
	AQ Finance NIM Trust 144A Ser. 03-N9A, Class Note, 7.385s, 2033 (Cayman Islands)				13,521	13,555
	Arcap REIT, Inc. 144A
	Ser. 03-1A, Class E, 7.11s, 2038				383,000	408,733
	Ser. 04-1A, Class E, 6.42s, 2039				361,000	375,722
	Argent NIM Trust 144A Ser. 04-WN2, Class A, 4.55s, 2034 (Cayman Islands)				12,701	12,832
	Asset Backed Funding Corp. NIM Trust 144A
	Ser. 04-0PT1, Class N2, 6.9s, 2033 (Cayman Islands)				156,000	155,999
	Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)				112,073	112,073
	Ser. 04-FF1, Class N1, 5s, 2034 (Cayman Islands)				148,351	148,545
	Ser. 04-FF1, Class N2, 5s, 2034 (Cayman Islands)				38,000	35,024
	Ser. 04-HE1, Class N2, 8s, 2034				252,000	244,847
	Aviation Capital Group Trust 144A FRB Ser. 03-2A, Class G1, 3.96s, 2033				296,806	297,247
	Bank One Issuance Trust FRB Ser. 03-C4, Class C4, 4 1/4s, 2011				340,000	346,534
	Bayview Financial Asset Trust Ser. 03-X, Class A, IO, 0.62s, 2006				13,468,101	227,942
	Bear Stearns Alternate Trust Ser. 05-4, Class 22A2, 5.27s, 2035				4,564,217	4,621,167
	Bear Stearns Alternate Trust Ser. 05-5, Class 21A1, 4.697s, 2035				1,815,343	1,821,583
	Bear Stearns Asset Backed Securities NIM Trust 144A
	Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)				123,790	123,152
	Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)				195,988	195,988
	Ser. 04-HE7N, Class A1, 5 1/4s, 2034				157,983	157,983
	Bear Stearns Asset Backed Securities, Inc. Ser. 04-FR3, Class M6, 6.564s, 2034				286,000	292,703
	Bombardier Capital Mortgage Securitization Corp.
	Ser. 00-A, Class A2, 7.575s, 2030				169,650	120,427
	Ser. 00-A, Class A4, 8.29s, 2030				619,819	501,860
	Ser. 99-B, Class A3, 7.18s, 2015				1,166,029	856,667
	Ser. 99-B, Class A4, 7.3s, 2016				793,657	592,029
	Bombardier Capital Mortgage Securitization Corp. FRB Ser. 00-A, Class A1, 3.38s, 2030				178,289	94,493
	CARSSX Finance, Ltd. 144A
	FRB Ser. 04-AA, Class B3, 6.57s, 2011 (Cayman Islands)				153,140	154,456
	FRB Ser. 04-AA, Class B4, 8.72s, 2011 (Cayman Islands)				486,801	493,685
	Chase Credit Card Master Trust FRB Ser. 03-3, Class C, 4.3s, 2010				350,000	357,608
	CHEC NIM Ltd., 144A
	Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)				174,174	174,164
	Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)				94,000	93,463
	Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands)				58,000	49,880
	Conseco Finance Securitizations Corp.
	Ser. 00-2, Class A4, 8.48s, 2030				233,129	232,897
	Ser. 00-4, Class A4, 7.73s, 2031				1,536,012	1,502,220
	Ser. 00-4, Class A5, 7.97s, 2032				240,000	206,646
	Ser. 00-4, Class A6, 8.31s, 2032				3,412,000	3,016,421
	Ser. 00-6, Class A5, 7.27s, 2032				101,000	96,554
	Ser. 00-6, Class M2, 8.2s, 2032				546,688	54,669
	Ser. 01-4, Class A4, 7.36s, 2033				268,000	275,018
	Ser. 01-1, Class A5, 6.99s, 2032				897,000	853,761
	Ser. 01-3, Class A3, 5.79s, 2033				13,000	13,248
	Ser. 01-3, Class A4, 6.91s, 2033				3,073,000	3,068,366
	Ser. 01-3, Class M2, 7.44s, 2033				300,000	49,500
	Ser. 01-4, Class B1, 9.4s, 2033				554,257	74,825
	Ser. 02-1, Class A, 6.681s, 2033				1,929,115	2,009,597
	FRB Ser. 01-4, Class M1, 4.86s, 2033				295,000	118,000
	Consumer Credit Reference IDX Securities 144A FRB Ser. 02-1A, Class A, 5.05s, 2007				790,000	802,282
	Countrywide Asset Backed Certificates 144A
	Ser. 04-6N, Class N1, 6 1/4s, 2035				816,346	819,407
	Ser. 04-BC1N, Class Note, 5 1/2s, 2035				115,838	115,910
	Countrywide Home Loans Ser. 05-2, Class 2X, IO, 0.983s, 2035				10,515,402	302,318
	Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038 (Cayman Islands)				431,000	436,991
	First Chicago Lennar Trust 144A Ser. 97-CHL1, Class E, 7.701s, 2039				1,870,000	1,966,714
	First Consumers Master Trust FRN Ser. 01-A, Class A, 3.53s, 2008				319,698	317,101
	First Franklin Mortgage Loan NIM Trust 144A
	Ser. 03-FF3A, Class A, 6 3/4s, 2033				15,635	15,693
	Ser. 04-FF1, Class N1, 4 1/2s, 2034				6,355	6,337
	Ser. 04-FF10, Class N1, 4.45s, 2034 (Cayman Islands)				200,748	200,735
	First Horizon Mortgage Pass-Through Trust Ser. 05-AR2, Class 1A1, 4.842s, 2035				1,823,505	1,836,894
	Fremont NIM Trust 144A
	Ser. 04-3, Class A, 4 1/2s, 2034				243,727	242,972
	Ser. 04-3, Class B, 7 1/2s, 2034				54,697	52,444
	Ser. 04-A, Class Note, 4 3/4s, 2034				82,290	82,002
	Granite Mortgages PLC
	FRB Ser. 03-2, Class 2C1, 5.2s, 2043 (United Kingdom)			EUR	1,430,000	1,879,363
	FRB Ser. 03-2, Class 3C, 6.489s, 2043 (United Kingdom)			GBP	1,075,000	1,994,432
	FRB Ser. 02-1, Class 1C, 4.445s, 2042 (United Kingdom)				$440,000	446,908
	Green Tree Financial Corp.
	Ser. 94-4, Class B2, 8.6s, 2019				371,038	280,312
	Ser. 94-6, Class B2, 9s, 2020				883,982	758,583
	Ser. 95-4, Class B1, 7.3s, 2025				371,800	366,688
	Ser. 95-8, Class B1, 7.3s, 2026				362,579	289,521
	Ser. 96-8, Class M1, 7.85s, 2027				387,000	341,842
	Ser. 99-3, Class A5, 6.16s, 2031				77,779	78,970
	Ser. 99-5, Class A5, 7.86s, 2030				4,480,000	4,051,941
	Greenpoint Manufactured Housing
	Ser. 00-3, Class IA, 8.45s, 2031				2,101,177	2,064,833
	Ser. 99-5, Class A4, 7.59s, 2028				115,350	120,636
	GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011				1,180,000	1,164,137
	GSAMP Trust 144A
	Ser. 03-HE1N, Class Note, 7 1/4s, 2033				4,361	4,363
	Ser. 04-FM1N, Class Note, 5 1/4s, 2033				49,756	49,706
	Ser. 04-HE1N, Class N1, 5s, 2034				83,939	83,780
	Ser. 04-NIM1, Class N1, 5 1/2s, 2034				806,246	806,085
	Ser. 04-NIM1, Class N2, zero %, 2034				519,000	381,465
	Ser. 04-NIM2, Class N, 4 7/8s, 2034				891,495	887,394
	Ser. 04-SE2N, Class Note, 5 1/2s, 2034				98,491	98,412
	Guggenheim Structured Real Estate Funding, Ltd. FRB Ser. 05-1A, Class E, 5.114s, 2030 (Cayman Islands)				371,000	368,915
	Holmes Financing PLC FRB
	Ser. 4, Class 3C, 4.441s, 2040 (United Kingdom)				210,000	212,688
	Ser. 8, Class 2C, 3.861s, 2040 (United Kingdom)				235,000	236,102
	Home Equity Asset Trust 144A
	Ser. 02-5N, Class A, 8s, 2033				40,184	40,184
	Ser. 03-7N, Class A, 5 1/4s, 2034				21,452	21,385
	Ser. 04-1N, Class A, 5s, 2034				27,453	27,363
	Ser. 04-5N, Class A, 5 1/4s, 2034				258,221	258,221
	Ser. 05-6N, Class A, 5 1/4s, 2035				424,491	423,430
	LNR CDO, Ltd. 144A FRB Ser. 02-1A, Class FFL, 6.05s, 2037 (Cayman Islands)				1,260,000	1,260,882
	Long Beach Asset Holdings Corp. NIM Trust 144A
	Ser. 04-2, Class N1, 4.94s, 2034				80,785	80,785
	Ser. 04-5, Class Note, 5s, 2034				151,935	152,269
	Long Beach Mortgage Loan Trust
	Ser. 04-3, Class S1, IO, 4 1/2s, 2006				1,377,695	64,407
	Ser. 04-3, Class S2, IO, 4 1/2s, 2006				688,843	32,203
	Lothian Mortgages PLC 144A FRN Ser. 3A, Class D, 5.731s, 2039 (United Kingdom)			GBP	900,000	1,612,980
	Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class B1, 6.564s, 2032				$1,046,356	512,714
	Master Asset Backed Securities NIM Trust 144A
	Ser. 04-CI5, Class N2, 9s, 2034				143,000	141,213
	Ser. 04-HE1A, Class Note, 5.191s, 2034				130,723	131,116
	MBNA Credit Card Master Note Trust FRN Ser. 03-C5, Class C5, 4.4s, 2010				350,000	356,710
	Merrill Lynch Mortgage Investors, Inc. Ser. 03-WM3N, Class N1, 8s, 2034				16,990	16,990
	Merrill Lynch Mortgage Investors, Inc. 144A
	Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)				82,742	82,716
	Ser. 04-HE1N, Class N1, 5s, 2006				75,066	74,597
	Mid-State Trust Ser. 11, Class B, 8.221s, 2038				158,685	165,863
	Morgan Stanley ABS Capital I FRB Ser. 04-HE8, Class B3, 6.514s, 2034				214,000	220,555
	Morgan Stanley Auto Loan Trust 144A Ser. 04-HB2, Class E, 5s, 2012				178,000	171,471
	Morgan Stanley Dean Witter Capital I
	FRB Ser. 01-NC3, Class B1, 5.764s, 2031				87,188	87,204
	FRB Ser. 01-NC4, Class B1, 5.814s, 2032				96,293	96,350
	New Century Mortgage Corp. NIM Trust 144A Ser. 03-B, Class Note, 6 1/2s, 2033				27,750	27,793
	Novastar NIM Trust 144A Ser. 04-N1, Class Note, 4.458s, 2034				16,322	16,322
	Oakwood Mortgage Investors, Inc.
	Ser. 00-A, Class A2, 7.765s, 2017				221,426	190,320
	Ser. 00-D, Class A4, 7.4s, 2030				1,022,000	652,186
	Ser. 01-C, Class A2, 5.92s, 2017				1,155,487	686,073
	Ser. 01-C, Class A4, 7.405s, 2030				673,377	447,284
	Ser. 01-D, Class A2, 5.26s, 2019				201,526	149,655
	Ser. 01-D, Class A4, 6.93s, 2031				844,534	660,723
	Ser. 01-E, Class A2, 5.05s, 2019				1,508,441	1,191,487
	Ser. 02-A, Class A2, 5.01s, 2020				505,793	418,081
	Ser. 02-B, Class A4, 7.09s, 2032				443,000	408,608
	Ser. 02-C, Class A1, 5.41s, 2032				1,829,834	1,628,029
	Ser. 99-B, Class A4, 6.99s, 2026				1,384,125	1,242,921
	Ser. 99-D, Class A1, 7.84s, 2029				1,295,540	1,224,726
	Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030				292,459	277,002
	Ocean Star PLC 144A FRB Ser. 04-A, Class E, 9 3/4s, 2018 (Ireland)				485,000	485,000
	Option One Mortgage Securities Corp. NIM Trust 144A Ser. 03-5, Class Note, 6.9s, 2033				1,457	1,464
	Park Place Securities NIM Trust 144A Ser. 04-WCW2, Class D, 7.387s, 2034 (Cayman Islands)				71,000	71,270
	Pass-Through Amortizing Credit Card Trust Ser. 02-1A, Class A4FL, 8.59s, 2012				33,349	33,419
	People's Choice Net Interest Margin Note 144A Ser. 04-2, Class B, 5s, 2034				90,000	81,540
	Permanent Financing PLC FRB
	Ser. 1, Class 3C, 4.579s, 2042 (United Kingdom)				350,000	353,360
	Ser. 3, Class 3C, 4.529s, 2042 (United Kingdom)				350,000	356,522
	Ser. 6, Class 3C, 5.54s, 2042 (United Kingdom)			GBP	887,000	1,595,722
	Providian Gateway Master Trust Ser. 02, Class B, PO, zero %, 2006				$1,313,000	1,278,232
	Residential Accredit Loans, Inc. Ser. 05-QA4, Class A21, 5.291s, 2035				1,805,682	1,829,763
	Residential Asset Mortgage Products, Inc. Ser. 03-RZ1, Class A, IO, 5 3/4s, 2005				1,665,069	239
	Residential Asset Securities Corp. 144A Ser. 04-N10B, Class A1, 5s, 2034				323,798	322,534
	Residential Mortgage Securities 144A FRB Ser. 20A, Class B1A, 5.766s, 2038 (United Kingdom)				150,000	265,470
	Rural Housing Trust Ser. 87-1, Class D, 6.33s, 2026				72,260	73,592
	SAIL Net Interest Margin Notes 144A
	Ser. 03-10A, Class A, 7 1/2s, 2033 (Cayman Islands)				128,173	129,275
	Ser. 03-12A, Class A, 7.35s, 2033 (Cayman Islands)				38,564	38,935
	Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)				27,214	27,374
	Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands)				7,962	8,007
	Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)				50,052	49,211
	Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)				15,547	15,628
	Ser. 03-7A, Class A, 7s, 2033 (Cayman Islands)				58,349	57,777
	Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)				15,693	15,795
	Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)				37,993	38,005
	Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)				96,139	95,197
	Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)				482,291	482,435
	Ser. 04-2A, Class A, 5 1/2s, 2034 (Cayman Islands)				224,026	224,071
	Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands)				266,136	266,189
	Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands)				144,585	144,441
	Ser. 04-7A, Class B, 6 3/4s, 2034 (Cayman Islands)				41,532	40,461
	Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)				308,461	308,553
	Ser. 04-8A, Class B, 6 3/4s, 2034 (Cayman Islands)				174,878	172,762
	Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)				180,824	180,336
	Sasco Net Interest Margin Trust 144A
	Ser. 03-BC1, Class B, zero %, 2033 (Cayman Islands)				273,262	122,968
	Ser. 05-WF1A, Class A, 4 3/4s, 2035				470,819	471,902
	Saxon Net Interest Margin Trust 144A Ser. 03-A, Class A, 6.656s, 2033				160	160
	Sharps SP I, LLC Net Interest Margin Trust 144A
	Ser. 03-0P1N, Class NA, 4.45s, 2033				38,361	38,361
	Ser. 03-HS1N, Class N, 7.48s, 2033				9,114	9,126
	Ser. 03-TC1N, Class N, 7.45s, 2033				6,987	6,987
	Ser. 04-FM1N, Class N, 6.16s, 2033				9,299	9,337
	Ser. 04-HE2N, Class NA, 5.43s, 2034				68,411	68,240
	Ser. 04-HS1N, Class Note, 5.92s, 2034				18,861	18,861
	South Coast Funding 144A FRB Ser. 3A, Class A2, 4.43s, 2038 (Cayman Islands)				140,000	140,364
	Structured Asset Investment Loan Trust
	Ser. 03-BC1A, Class A, 7 3/4s, 2033 (Cayman Islands)				47,516	47,934
	Ser. 03-BC8, Class A, IO, 6s, 2005				963,995	8,805
	Ser. 04-1, Class A, IO, 6s, 2005				9,153,119	38,043
	TIAA Real Estate CD0, Ltd. Ser. 03-1A, Class E, 8s, 2038 (Cayman Islands)				467,000	458,632
	TIAA Real Estate CD0, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037 (Cayman Islands)				390,000	377,712
	Wells Fargo Home Equity Trust 144A
	Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)				558,250	558,216
	Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)				214,000	207,580
	Whole Auto Loan Trust 144A
	Ser. 03-1, Class D, 6s, 2010				392,775	393,210
	Ser. 04-1, Class D, 5.6s, 2011				504,000	502,898
	Total asset-backed securities (cost $78,731,840)					$77,891,381
	SENIOR LOANS (7.7%)(a)(c)
					Principal amount	Value
	Basic Materials (0.6%)
	Graphic Packaging Corp. bank term loan FRN Ser. C, 5.5063s, 2010				$136,882	$138,821
	Hercules, Inc. bank term loan FRN Ser. B, 4.8715s, 2010				372,307	375,472
	Koch Cellulose, LLC bank term loan FRN Ser. B, 5.09s, 2011				167,075	168,398
	Koch Cellulose, LLC bank term loan FRN Ser. C, 4.6s, 2011				32,502	32,759
	Nalco Co. bank term loan FRN Ser. B, 5.0265s, 2010				1,218,142	1,236,224
	Novelis, Inc. bank term loan FRN 4.96s, 2012 (Canada)				554,427	559,971
	Novelis, Inc. bank term loan FRN Ser. B, 4.96s, 2012 (Canada)				962,952	972,582
	Rockwood Specialties Group, Inc. bank term loan FRN Ser. D, 5.43s, 2012				1,000,000	1,012,708
	SGL Carbon AG bank term loan FRN 5.9909s, 2009 (Germany)				172,015	172,875
						4,669,810
	Capital Goods (0.9%)
	Allied Waste Industries, Inc. bank term loan FRN Ser. A, 2.01s, 2012				270,270	270,758
	Allied Waste Industries, Inc. bank term loan FRN Ser. B, 5.1489s, 2012				708,091	709,298
	Amsted Industries, Inc. bank term loan FRN 5.909s, 2010				180,644	182,450
	Flowserve Corp. bank term loan FRN Ser. C, 5.8349s, 2009				69,448	70,288
	Goodman Global Holdings bank term loan FRN Ser. B, 5 1/2s, 2011				1,492,500	1,507,425
	Hexcel Corp. bank term loan FRN Ser. B, 5.2392s, 2012				1,356,667	1,366,842
	Invensys, PLC bank term loan FRN Ser. B-1, 6.8813s, 2009 (United Kingdom)				117,680	119,445
	Mueller Group, Inc. bank term loan FRN 5.7789s, 2011				515,533	518,110
	Solo Cup Co. bank term loan FRN 5.078s, 2011				148,125	149,273
	Terex Corp. bank term loan FRN 4.89s, 2009				150,000	151,563
	Terex Corp. bank term loan FRN Ser. C, 5.39s, 2009				750,000	758,438
	Transdigm, Inc. bank term loan FRN Ser. C, 5.3s, 2010				496,985	501,644
						6,305,534
	Communication Services (0.9%)
	Centennial Cellular Operating Co., LLC bank term loan FRN Ser. B, 5.4618s, 2011				598,485	606,714
	Consolidated Communications Holdings bank term loan FRN Ser. C, 5.6633s, 2012				49,375	49,622
	Consolidated Communications Holdings bank term loan FRN Ser. D, 5.064s, 2011				45,000	45,225
	Fairpoint Communications, Inc. bank term loan FRN Ser. B, 5.1725s, 2012				1,000,000	1,009,750
	PanAmSat Corp. bank term loan FRN Ser. B1, 5.31s, 2010				979,398	993,762
	Qwest Communications International, Inc. bank term loan FRN Ser. A, 7.39s, 2007				78,000	80,303
	SBA Communications Corp. bank term loan FRN Ser. C, 5.549s, 2008				1,194,097	1,200,068
	Syniverse Holdings, Inc. bank term loan FRN Ser. B, 5.0589s, 2012				748,120	748,120
	Valor Telecommunications Enterprises LLC/Finance Corp. bank term loan FRN Ser. B, 5.0747s, 2012				1,980,000	2,002,584
						6,736,148
	Consumer Cyclicals (1.8%)
	Adams Outdoor Advertising, LP bank term loan FRN Ser. B, 5.15s, 2012				598,500	605,483
	Boise Cascade Corp. bank term loan FRN Ser. D, 4.9688s, 2011				393,333	398,031
	Borgata Resorts bank term loan FRN Ser. B, 4.9859s, 2011				398,998	400,826
	Coinmach Corp. bank term loan FRN Ser. B, 6 1/8s, 2009				141,049	142,636
	Cooper Tire & Rubber Co. bank term loan FRN Ser. B, 5 1/8s, 2012				381,417	380,344
	Cooper Tire & Rubber Co. bank term loan FRN Ser. C, 5 1/8s, 2012				613,583	611,858
	Custom Building Products bank term loan FRN Ser. B, 5.37s, 2011				349,125	350,434
	Dex Media West, LLC/Dex Media Finance Co. bank term loan FRN Ser. B, 4.7784s, 2010				152,828	153,889
	Goodyear Tire & Rubber Co. (The) bank term loan FRN 5.89s, 2010				195,000	194,582
	Hayes Lemmerz International, Inc. bank term loan FRN 6.4926s, 2009				142,249	143,138
	Jostens IH Corp. bank term loan FRN Ser. C, 5.19s, 2010				970,000	982,933
	Journal Register Co. bank term loan FRN Ser. B, 4.6613s, 2012				500,000	501,250
	Lamar Media Corp. bank term loan FRN Ser. D, 5.0622s, 2010				162,148	163,689
	Landsource, Inc. bank term loan FRN Ser. B, 5 5/8s, 2010				50,000	50,063
	Masonite International Corp. bank term loan FRN Ser. B, 5.2085s, 2013 (Canada)				550,468	549,245
	Masonite International Corp. bank term loan FRN 5.2085s, 2013 (Canada)				549,532	548,311
	Movie Gallery, Inc. bank term loan FRN Ser. B, 6.14s, 2011				450,000	454,500
	Penn National Gaming, Inc. bank term loan FRN Ser. B, 5.12s, 2012				200,000	202,679
	PRIMEDIA, Inc. bank term loan FRN Ser. B, 5 7/8s, 2009				109,575	109,483
	R.H. Donnelley Finance Corp. bank term loan FRN Ser. D, 4.8023s, 2011				214,201	216,142
	Raycom Media, Inc. bank term loan FRN Ser. B, 5 1/8s, 2012				1,300,000	1,306,500
	Resorts International Hotel and Casino, Inc. bank term loan FRN Ser. B, 5.56s, 2012				539,985	546,465
	Sealy Mattress Co. bank term loan FRN Ser. D, 5.0005s, 2012				562,767	564,877
	TransWestern Publishing/TWP Cap bank term loan FRN Ser. B, 5.464s, 2011				958,147	960,244
	Trump Hotel & Casino Resort, Inc. bank term loan FRN Ser. B, 5.59s, 2012				175,000	176,750
	Trump Hotel & Casino Resort, Inc. bank term loan FRN Ser. DD, 5.62s, 2012				175,000	176,750
	TRW Automotive, Inc. bank term loan FRN Ser. B, 4 3/8s, 2010				522,841	523,868
	Venetian Casino Resort, LLC bank term loan FRN Ser. B, 4.81s, 2011				1,310,969	1,322,908
	Venetian Casino Resort, LLC bank term loan FRN Ser. DD, 4.314s, 2011				270,303	271,992
	William Carter Holding Co. (The) bank term loan FRN Ser. B, 4.87s, 2012				100,000	101,250
	WRC Media Corp. bank term loan FRN 8.0644s, 2009				165,000	164,588
						13,275,708
	Consumer Staples (1.9%)
	Affinity Group Holdings bank term loan FRN Ser. B1, 6.1842s, 2009				34,240	34,496
	Affinity Group Holdings bank term loan FRN Ser. B2, 6.12s, 2009				85,599	86,241
	AMF Bowling Worldwide bank term loan FRN Ser. B, 6.1484s, 2009				104,752	105,210
	Century Cable Holdings bank term loan FRN 8s, 2009				900,000	889,071
	Charter PLC bank term loan FRN Ser. B, 6.4398s, 2011 (United Kingdom)				684,217	679,329
	Constellation Brands, Inc. bank term loan FRN Ser. B, 4.9913s, 2011				1,661,667	1,676,206
	DirecTV Holdings, LLC bank term loan FRN Ser. B, 4.59s, 2013				733,333	735,472
	Dole Food Co., Inc. bank term loan FRN Ser. B, 5.4367s, 2012				246,258	247,797
	Insight Midwest LP/Insight Capital, Inc. bank term loan FRN 5 3/4s, 2009				69,125	69,764
	Jack-in-the-Box, Inc. bank term loan FRN 4.8491s, 2008				199,495	201,241
	Loews Cineplex Entertainment Corp. bank term loan FRN Ser. B, 5.4137s, 2011				850,000	851,948
	Mediacom Communications Corp. bank term loan FRN Ser. B, 5.2607s, 2012				995,000	1,004,173
	MGM Studios, Inc. bank term loan FRN Ser. B, 5.38s, 2011				900,000	902,588
	Olympus Cable Holdings, LLC bank term loan FRN Ser. B, 7 3/4s, 2010				500,000	493,661
	Pinnacle Foods Holding Corp. bank term loan FRN 6.3489s, 2010				748,106	750,444
	Regal Cinemas, Inc. bank term loan FRN Ser. B, 4.8425s, 2010				1,492,443	1,504,259
	Roundy's bank term loan FRN Ser. B, 5.0753s, 2009				118,148	119,034
	Six Flags, Inc. bank term loan FRN Ser. B, 5.8897s, 2009				433,155	437,576
	Spectrum Brands, Inc. bank term loan FRN Ser. B, 5.1436s, 2013				798,000	806,313
	Sun Media Corp. bank term loan FRN Ser. B, 5.19s, 2009 (Canada)				152,041	153,625
	Universal City Development bank term loan FRN Ser. B, 5.2221s, 2011				1,042,755	1,051,444
	Warner Music Group bank term loan FRN Ser. B, 4.9267s, 2011				346,979	348,930
	Young Broadcasting, Inc. bank term loan FRN Ser. B, 5.6381s, 2012				350,000	352,917
						13,501,739
	Energy (0.1%)
	Dresser, Inc. bank term loan FRN 6.91s, 2010				180,000	183,150
	Kerr-McGee Corp. bank term loan FRN Ser. B, 5.79s, 2011				300,000	304,417
	Universal Compression, Inc. bank term loan FRN Ser. B, 4.85s, 2012				199,500	201,807
						689,374
	Financial (0.4%)
	Fidelity National Information Solutions bank term loan FRN Ser. B, 4.84s, 2013				1,845,000	1,836,352
	General Growth Properties, Inc. bank term loan FRN Ser. B, 5.34s, 2008 (R)				895,736	901,937
	Hilb, Rogal & Hamilton Co. bank term loan FRN Ser. B, 5 3/8s, 2011				216,301	217,788
						2,956,077
	Health Care (0.5%)
	Alderwoods Group, Inc. bank term loan FRN 5.2763s, 2009 (Canada)				250,000	252,813
	Beverly Enterprises, Inc. bank term loan FRN 5.6486s, 2008				122,813	123,120
	Community Health Systems, Inc. bank term loan FRN Ser. B, 4.64s, 2011				318,597	321,717
	Concentra bank term loan FRN 6.0085s, 2009				181,235	182,594
	DaVita, Inc. bank term loan FRN Ser. B, 5.37s, 2012				600,000	607,313
	Express Scripts, Inc. bank term loan FRN Ser. B, 4.7679s, 2010				485,542	489,183
	Fisher Scientific International, Inc. bank term loan FRN Ser. B, 4.5925s, 2011				118,800	119,580
	Hanger Orthopedic Group, Inc. bank term loan FRN 6.5925s, 2009				98,250	98,987
	Kinetic Concepts, Inc. bank term loan FRN Ser. B, 4.85s, 2011				84,971	85,714
	LifePoint, Inc. bank term loan FRN Ser. B, 4.715s, 2012				693,000	693,173
	PacifiCare Health System, Inc. bank term loan FRN Ser. B, 4.5365s, 2010				249,373	250,049
	Veterinary Centers of America bank term loan FRN Ser. B, 4 3/4s, 2011				150,000	150,375
						3,374,618
	Technology (0.3%)
	AMI Semiconductor, Inc. bank term loan FRN 4.5813s, 2012				498,750	500,620
	Seagate Technology Hdd Holdings bank term loan FRN 5 1/8s, 2007 (Cayman Islands)				602,461	608,987
	Seagate Technology Hdd Holdings bank term loan FRN Ser. B, 5 1/8s, 2007 (Cayman Islands)				240,967	243,578
	UGS Corp. bank term loan FRN Ser. C, 5.09s, 2012				482,759	486,983
	Xerox Corp. bank term loan FRN 4.82s, 2008				200,000	201,333
						2,041,501
	Transportation (0.0%)
	Pacer International, Inc. bank term loan FRN 5.2297s, 2010				106,235	107,032
	Utilities & Power (0.3%)
	El Paso Corp. bank term loan FRN Ser. B, 5 7/8s, 2009				787,436	791,865
	El Paso Corp. bank term loan FRN Ser. C, 5.62s, 2009				208,000	209,040
	Texas Genco Holdings, Inc. bank term loan FRN Ser. DD, 5.06s, 2011				698,250	707,560
	Williams Cos., Inc. (The) bank term loan FRN Ser. C, 5.59s, 2007				117,609	118,638
						1,827,103
	Total senior loans (cost $55,504,100)					$55,484,644
	COLLATERALIZED MORTGAGE OBLIGATIONS (4.7%)(a)
					Principal amount	Value
	Banc of America Commercial Mortgage, Inc. Ser. 01-1, Class G, 7.324s, 2036				$325,000	$364,724
	Banc of America Commercial Mortgage, Inc. 144A
	Ser. 01-1, Class J, 6 1/8s, 2036				163,000	163,169
	Ser. 01-1, Class K, 6 1/8s, 2036				367,000	280,866
	Banc of America Large Loan 144A
	FRB Ser. 02-FL2A, Class L1, 6.16s, 2014				141,000	141,008
	FRN Ser. 02-FL2A, Class K1, 5.66s, 2014				100,000	100,234
	FRB Ser. 05-BOCA, Class M, 5.32s, 2016				250,000	251,230
	FRB Ser. 05-BOCA, Class L, 4.92s, 2016				183,000	183,644
	FRB Ser. 05-BOCA, Class K, 4.57s, 2016				100,000	100,353
	Bear Stearns Commercial Mortgage Securitization Corp. Ser. 00-WF2, Class F, 8.453s, 2032				410,000	489,985
	Bear Stearns Commercial Mortgage Securitization Corp. 144A Ser. 04-ESA, Class K, 5.716s, 2016				350,000	350,000
	Broadgate Financing PLC FRB Ser. D, 5.766s, 2023 (United Kingdom)			GBP	472,625	844,752
	Commercial Mortgage Pass-Through Certificates 144A Ser. 01-FL4A, Class D, 4.07s, 2013				$746,000	746,000
	CS First Boston Mortgage Securities Corp. 144A
	FRB Ser. 03-TF2A, Class L, 7.22s, 2014				356,000	354,970
	Ser. 98-C1, Class F, 6s, 2040				966,000	789,871
	Ser. 02-CP5, Class M, 5 1/4s, 2035				354,000	271,199
	FRB Ser. 05-TFLA, Class L, 5.07s, 2020				699,000	698,998
	FRB Ser. 05-TFLA, Class K, 4.52s, 2020				186,000	185,999
	Deutsche Mortgage & Asset Receiving Corp. Ser. 98-C1, Class X, IO, 1.061s, 2031				21,772,891	494,993
	DLJ Commercial Mortgage Corp.
	Ser. 98-CF2, Class B4, 6.04s, 2031				286,492	287,808
	Ser. 98-CF2, Class B5, 5.95s, 2031				915,958	661,399
	DLJ Mortgage Acceptance Corp. 144A
	Ser. 97-CF1, Class B2, 8.16s, 2030				275,000	165,000
	Ser. 97-CF1, Class B1, 7.91s, 2030				266,000	283,691
	European Loan Conduit 144A FRN Ser. 6A, Class F, 7.183s, 2010 (United Kingdom)			GBP	134,464	243,878
	European Loan Conduit FRN Ser. 6X, Class E, 6.683s, 2010 (Luxembourg)			GBP	376,499	681,172
	Fannie Mae
	Ser. 98-51, Class SG, IO, 24.12s, 2022				$100,844	50,084
	IFB Ser. 02-36, Class SJ, 11.839s, 2029				278,686	288,163
	Ser. 04-W8, Class 3A, 7 1/2s, 2044				599,056	643,234
	Ser. 04-T2, Class 1A4, 7 1/2s, 2043				496,083	533,358
	Ser. 03-W4, Class 4A, 7 1/2s, 2042				168,146	179,472
	Ser. 03-W3, Class 1A3, 7 1/2s, 2042				346,810	371,181
	Ser. 03-W2, Class 1A3, 7 1/2s, 2042				7,662	8,204
	Ser. 02-W1, Class 2A, 7 1/2s, 2042				896	952
	Ser. 02-14, Class A2, 7 1/2s, 2042				3,281	3,506
	Ser. 01-T10, Class A2, 7 1/2s, 2041				429,414	457,861
	Ser. 02-T4, Class A3, 7 1/2s, 2041				2,048	2,185
	Ser. 01-T8, Class A1, 7 1/2s, 2041				5,581	5,942
	Ser. 01-T7, Class A1, 7 1/2s, 2041				1,688,370	1,795,758
	Ser. 01-T3, Class A1, 7 1/2s, 2040				254,278	270,610
	Ser. 01-T1, Class A1, 7 1/2s, 2040				788,194	840,845
	Ser. 99-T2, Class A1, 7 1/2s, 2039				324,640	347,142
	Ser. 00-T6, Class A1, 7 1/2s, 2030				159,290	169,422
	Ser. 02-W7, Class A5, 7 1/2s, 2029				281,245	300,860
	Ser. 01-T4, Class A1, 7 1/2s, 2028				754,929	811,097
	Ser. 02-W3, Class A5, 7 1/2s, 2028				1,758	1,879
	Ser. 03-58, Class ID, IO, 6s, 2033				784,850	121,181
	Ser. 03-26, Class IG, IO, 6s, 2033				689,236	89,624
	Ser. 322, Class 2, IO, 6s, 2032				625,162	103,235
	Ser. 318, Class 2, IO, 6s, 2032				783,058	129,065
	Ser. 350, Class 2, IO, 5 1/2s, 2034				2,182,997	375,527
	Ser. 338, Class 2, IO, 5 1/2s, 2033				5,096,003	895,640
	Ser. 333, Class 2, IO, 5 1/2s, 2033				2,208,793	389,202
	Ser. 329, Class 2, IO, 5 1/2s, 2033				4,494,739	787,971
	Ser. 03-37, Class IC, IO, 5 1/2s, 2027				2,188,693	185,012
	Ser. 03-6, Class IB, IO, 5 1/2s, 2022				164,178	1,080
	Ser. 03-118, Class S, IO, 4.786s, 2033				1,079,757	107,301
	IFB Ser. 02-36, Class QH, IO, 4.736s, 2029				603,815	17,766
	Ser. 03-W10, Class 1A, IO, 1.468s, 2043				6,368,710	123,394
	Ser. 03-W10, Class 3A, IO, 1.448s, 2043				7,592,697	156,599
	Ser. 03-W17, Class 12, IO, 1.156s, 2033				4,206,422	119,574
	Ser. 02-T18, IO, 0.521s, 2042				11,854,472	140,895
	Ser. 99-51, Class N, PO, zero %, 2029				119,819	102,651
	Ser. 99-52, Class MO, PO, zero %, 2026				36,188	34,699
	Federal Home Loan Mortgage Corp. Structured Pass-Through Securities
	Ser. T-58, Class 4A, 7 1/2s, 2043				10,534	11,249
	Ser. T-41, Class 3A, 7 1/2s, 2032				260,669	277,750
	Ser. T-57, Class 1AX, IO, 0.448s, 2043				4,047,177	39,063
	FFCA Secured Lending Corp. Ser. 00-1, Class X, IO, 1.511s, 2020				10,531,150	679,175
	Freddie Mac
	IFB Ser. 2763, Class SC, 15.72s, 2032				466,201	531,021
	Ser. 216, IO, 6s, 2032				2,421,221	386,962
	Ser. 226, IO, 5 1/2s, 2034				1,752,223	315,285
	Ser. 2515, Class IG, IO, 5 1/2s, 2032				1,418,300	277,514
	Ser. 2626, Class IK, IO, 5 1/2s, 2030				677,653	98,002
	Ser. 2590, Class IH, IO, 5 1/2s, 2028				729,500	113,073
	Ser. 2833, Class IK, IO, 5 1/2s, 2023				503,008	56,890
	Ser. 215, PO, zero %, 2031				254,608	231,835
	Ser. 2235, PO, zero %, 2030				261,966	229,629
	GE Capital Commercial Mortgage Corp. 144A
	Ser. 00-1, Class G, 6.131s, 2033				596,000	548,962
	Ser. 00-1, Class H, 6.131s, 2033				370,000	238,751
	GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036				529,968	428,969
	Government National Mortgage Association
	Ser. 01-43, Class SJ, IO, 4.34s, 2029				79,473	273
	Ser. 98-2, Class EA, PO, zero %, 2028				123,903	106,014
	GS Mortgage Securities Corp. II 144A FRB Ser. 03-FL6A, Class L, 6.47s, 2015				214,000	215,204
	LB Commercial Conduit Mortgage Trust 144A Ser. 99-C1, Class G, 6.41s, 2031				253,101	246,654
	Lehman Brothers Floating Rate Commercial Mortgage Trust 144A FRB Ser. 03-LLFA, Class L, 6.966s, 2014				876,000	850,506
	Mach One Commercial Mortgage Trust 144A
	Ser. 04-1A, Class J, 5.45s, 2040				594,000	500,213
	Ser. 04-1A, Class K, 5.45s, 2040				212,000	176,515
	Ser. 04-1A, Class L, 5.45s, 2040				96,000	71,734
	Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.53s, 2028				7,984,519	325,619
	Mezz Cap Commercial Mortgage Trust 144A Ser. 04-C1, Class X, IO, 8.054s, 2037				1,021,154	434,509
	Morgan Stanley Capital I 144A Ser. 04-RR, Class F7, 6s, 2039				1,730,000	1,249,008
	Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.465s, 2012				3,622,287	74,093
	Mortgage Capital Funding, Inc. FRB Ser. 98-MC2, Class E, 7.263s, 2030				327,112	351,015
	Permanent Financing PLC FRB Ser. 8, Class 2C, 3.818s, 2042 (United Kingdom)				500,000	500,000
	PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2010				123,000	118,236
	Quick Star PLC FRN Class 1-D, 5.831s, 2011 (United Kingdom)			GBP	447,192	801,458
	QUIZNOS 144A Ser. 05-1, 7.3s, 2025				$711,657	714,186
	STRIPS 144A
	Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)				162,000	137,162
	Ser. 03-1A, Class N, 5s, 2018 (Cayman Islands)				193,000	147,259
	Ser. 04-1A, Class M, 5s, 2018 (Cayman Islands)				174,000	147,322
	Ser. 04-1A, Class N, 5s, 2018 (Cayman Islands)				167,000	129,021
	Titan Europe PLC 144A
	FRN Ser. 04-2A, Class D, 3.044s, 2014 (Ireland)			EUR	398,000	481,779
	FRN Ser. 04-2A, Class C, 2.634s, 2014 (Ireland)			EUR	497,000	601,619
	Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A, Class L, 6.52s, 2018				$477,000	472,297
	Total collateralized mortgage obligations (cost $35,396,276)					$33,412,940
	BRADY BONDS (0.9%)(a) (cost $5,609,255)
					Principal amount	Value
	Brazil (Federal Republic of) FRB Ser. 18 YR, 4.313s, 2012				$6,374,200	$6,127,518
	PREFERRED STOCKS (0.1%)(a)
					Shares	Value
	Dobson Communications Corp. 13.00% Class A pfd.				15	$15,000
	First Republic Capital Corp. 144A 10.50% pfd.				320	336,000
	Paxson Communications Corp. 14.25% cum. pfd. (PIK)				34	219,300
	Rural Cellular Corp. Ser. B, 11.375% Class A cum. pfd.				426	391,920
	Total preferred stocks (cost $1,044,708)					$962,220
	UNITS (0.1%)(a)
					Units	Value
	Morrison Knudsen Corp.				870,000	$78,300
	XCL Equity Units (F)				991	675,285
	Total units (cost $1,725,164)					$753,585
	COMMON STOCKS (0.1%)(a)
					Shares	Value
	AboveNet, Inc. (NON)				1,987	$55,636
	AMRESCO Creditor Trust (acquired 6/17/99 and 2/10/00, cost $59,717) (F)(RES)(NON)(R)				820,000	820
	Birch Telecom, Inc. (F)(NON)				898	1
	Comdisco Holding Co., Inc.				504	8,316
	Contifinancial Corp. Liquidating Trust Units				3,445,121	4,306
	Covad Communications Group, Inc. (NON)				15,321	21,449
	Crown Castle International Corp. (NON)				497	10,099
	Genesis HealthCare Corp. (NON)				903	41,791
	iPCS Escrow, Inc. (F)(NON)				470,000	470
	Knology, Inc. (NON)				199	388
	Northwestern Corp.				3,774	118,956
	Sterling Chemicals, Inc. (NON)				110	3,850
	Sun Healthcare Group, Inc. (NON)				740	4,736
	USA Mobility, Inc. (NON)				12	352
	VFB LLC (acquired 10/27/00, cost $594,553) (RES)(NON)				948,004	194,341
	Washington Group International, Inc. (NON)				4,438	226,871
	Total common stocks (cost $5,063,434)					$692,382
	CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
					Shares	Value
	Emmis Communications Corp. Ser. A, $3.125 cum. cv. pfd.				2,441	$99,776
	Paxson Communications Corp. 144A 9.75% cv. pfd. (PIK)				57	216,600
	Total convertible preferred stocks (cost $560,951)					$316,376
	WARRANTS (0.0%)(a)(NON)
			Expiration date		Warrants	Value
	AboveNet, Inc.		9/08/08		719	$3,595
	AboveNet, Inc.		9/08/10		846	846
	Dayton Superior Corp. 144A		6/15/09		1,020	1
	MDP Acquisitions PLC 144A		10/01/13		508	14,224
	Mikohn Gaming Corp. 144A		8/15/08		390	11,170
	ONO Finance PLC 144A (United Kingdom)		2/15/11		400	4
	TravelCenters of America, Inc. 144A		5/01/09		1,830	2,288
	Ubiquitel, Inc. 144A		4/15/10		1,670	1
	Washington Group International, Inc. Ser. A		1/25/06		2,740	63,020
	Washington Group International, Inc. Ser. B		1/25/06		3,131	62,620
	Washington Group International, Inc. Ser. C		1/25/06		1,692	30,456
	Total warrants (cost $420,994)					$188,225
	CONVERTIBLE BONDS AND NOTES (0.0%)(a) (cost $2,018,410)
					Principal amount	Value
	Cybernet Internet Services International, Inc. 144A cv. sr. disc. notes 13s, 2009 (Canada) (In default) (NON)				$2,430,000	$24
	SHORT-TERM INVESTMENTS (13.0%)(a)
					Principal amount/shares	Value
	U.S. Treasury Bills for an effective yield of 1.04 %, August 4, 2005 (SEG)				$913,000	910,404
	Putnam Prime Money Market Fund (e)				92,190,273	92,190,273
	Total short-term investments (cost $93,100,677)					$93,100,677
	TOTAL INVESTMENTS
	Total investments (cost $757,849,057) (b)					$754,284,946

Putnam Master Intermediate Income Trust
FORWARD CURRENCY CONTRACTS TO BUY at 6/30/05 (aggregate face value $87,020,225) (Unaudited)
				Unrealized
		Aggregate	Delivery	appreciation/
	Value	face value	date	(depreciation)
Australian Dollar	$39,332,317	$39,501,342	7/20/05	$(169,025)
British Pound	12,880,700	13,051,389	9/21/05	$(170,689)
Canadian Dollar	2,829,962	2,747,445	7/20/05	$82,517
Danish Krone	1,143,722	1,161,932	9/21/05	$(18,210)
Euro	5,337,492	5,366,493	9/21/05	$(29,001)
Japanese Yen	15,711,670	16,485,605	8/17/05	$(773,935)
Norwegian Krone	2,228,231	2,274,320	9/21/05	$(46,089)
Polish Zloty	536,335	537,478	9/21/05	$(1,143)
South Korean Won	14,630	15,107	8/17/05	$(477)
Swiss Franc	3,889,602	3,959,811	9/21/05	$(70,209)
Taiwan Dollar	1,875,590	1,919,303	8/17/05	$(43,713)
Total forward currency contracts to buy				$(1,239,974)

Putnam Master Intermediate Income Trust
FORWARD CURRENCY CONTRACTS TO SELL at 6/30/05 (aggregate face value $139,576,450) (Unaudited)
				Unrealized
		Aggregate	Delivery	appreciation/
	Value	face value	date	(depreciation)
Australian Dollar	$3,800,717	$3,793,296	7/20/05	$(7,421)
British Pound	7,582,176	7,697,236	9/21/05	115,060
Canadian Dollar	25,467,004	25,226,556	7/20/05	(240,448)
Euro	71,989,718	72,813,026	9/21/05	823,308
Japanese Yen	5,347,560	5,441,215	8/17/05	93,655
New Zealand Dollar	7,223	7,593	7/20/05	370
Singapore Dollar	25,889	25,898	8/17/05	9
Swedish Krona	18,327,436	19,146,222	9/21/05	818,786
Swiss Franc	5,382,793	5,425,408	9/21/05	42,615
Total forward currency contracts to sell				$1,645,934

Putnam Master Intermediate Income Trust
FUTURES CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)
				Unrealized
	Number of		Expiration	appreciation/
	contracts	Value	date	(depreciation)
Euro 90 day (Long)	328	$78,843,000	Sep-05	$(79,880)
Euro 90 day (Short)	328	78,744,600	Dec-05	76,658
Euro-Bobl 5 yr (Long)	109	15,258,062	Sep-05	86,754
Euro-Bund 10 yr (Short)	203	30,347,840	Sep-05	(241,992)
Interest Rate Swap 10 yr (Long)	15	1,693,125	Sep-05	1,832
Japanese Government Bond 10 yr - TSE (Short)	8	10,195,866	Sep-05	(29,909)
Japanese Government Bond 10 yr Mini (Long)	31	3,952,857	Sep-05	13,039
U.K. Gilt (Long)	9	1,841,539	Sep-05	18,198
U.S. Treasury Bond (Short)	4	475,000	Sep-05	(9,356)
U.S. Treasury Note 10 yr (Long)	357	40,508,344	Sep-05	(116,999)
U.S. Treasury Note 2 yr (Short)	71	14,745,813	Sep-05	(14,456)
U.S. Treasury Note 5 yr (Long)	242	26,351,531	Sep-05	101,534
Total futures contracts outstanding				$(194,577)

Putnam Master Intermediate Income Trust
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)
				Unrealized
		Notional	Termination	appreciation/
		amount	date	(depreciation)
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%.		$6,500,000	11/21/05	$98,036
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	19,863,403	10/1/07	(145,041)
Agreement with Merrill Lynch Capital Services, Inc. dated June 9, 2005 to pay semi-annually the notional amount multiplied by the six month JPY-LIBOR-BBA and receive semi-annually the notional amount multiplied by 1.7275%.	JPY	13,832,534	6/14/20	10,624
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.		$6,270,000	12/5/05	36,938
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.		4,400,000	1/27/14	(73,168)
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.		13,900,000	1/26/06	103,220
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.		16,800,000	3/30/09	455,090
Agreement with Lehman Brothers Special Financing, Inc. dated December 9, 2003 to receive semi-annually the notional amount multiplied by 4.641% and pay quarterly the notional amount multiplied by the three month USD-LIBOR-BBA.		9,188,000	12/15/13	241,909
Agreement with Credit Suisse First Boston dated May 18, 2005 to pay semi-annually the notional amount multiplied by 4.6325% and receive quarterly the notional amount multiplied by the three month GBP-LIBOR-BBA.	GBP	44,020,800	5/18/07	(195,885)
Agreement with Credit Suisse First Boston International dated July 7, 2004 to receive semi-annually the notional amount multiplied by 2.931% and pay quarterly the notional amount multiplied by the three month USD-LIBOR.		$5,048,700	7/9/06	(14,039)
Agreement with Credit Suisse First Boston International dated July 7, 2004 to pay semi-annually the notional amount multiplied by 4.945% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.		5,699,500	7/9/14	(359,754)
Agreement with JPMorgan Chase Bank, N.A. dated June 15, 2005 to pay semi-annually the notional amount multiplied by 4.0825% and receive quarterly the notional amount multiplied by the three month USD-LIBOR.		134,000,000	6/17/07	(281,748)
Agreement with JPMorgan Chase Bank, N.A. dated June 15, 2005 to receive semi-annually the notional amount multiplied by 4.5505% and pay quarterly the notional amount multiplied by the three month USD-LIBOR.		30,000,000	6/17/15	561,693
Agreement with Merrill Lynch Capital Services, Inc. dated February 16, 2005 to receive semi-annually the notional amount multiplied by the six month EURIBOR and pay annually the notional amount multiplied by 2.5645%.	EUR	59,061,170	2/19/07	(121,390)
Agreement with UBS AG dated April 25, 2005 to receive annually the notional amount multiplied by 2.453% and pay semi-annually the notional amount multiplied by the six month EUR-EURIBOR-Telerate.	EUR	96,966,100	4/27/07	(838,498)
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.		$4,400,000	1/26/14	(75,021)
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.		13,900,000	1/26/06	104,884
Total interest rate swap contracts outstanding				($492,150)

Putnam Master Intermediate Income Trust
CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/05 (Unaudited)
				Unrealized
			Notional	appreciation/
			amount	(depreciation)
Agreement with Morgan Stanley Capital Services, Inc. effective May 24, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 500 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche.			4,529,000	$240,476
Agreement with Morgan Stanley Capital Services, Inc. effective May 24, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 90 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index.			22,645,000	(243,653)
Agreement with Morgan Stanley Capital Services, Inc. effective June 23, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 660 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.			2,459,000	(50,047)
Agreement with Merrill Lynch International effective April 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receives quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.			1,089,000	3,434
Agreement with Citigroup Financial Products, Inc. effective April 15, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 180 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.			2,400,000	83,040
Agreement with Citigroup Financial Products, Inc. effective April 28, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receives quarterly 201 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.			2,400,000	104,538
Agreement with Citigroup Financial Products, Inc. effective June 10, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 677.5 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.			2,440,000	(20,279)
Agreement with Citigroup Financial Products, Inc. effective June 10, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.			2,415,600	(20,240)
Agreement with Citigroup Financial Products, Inc. effective June 14, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 619 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.			1,470,000	(73,043)
Agreement with Deutsche Bank AG effective April 15, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 180 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund make a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.			2,400,000	78,469
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.55625% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.			1,116,444	26,434
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.4625% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.			558,222	24,991
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.475% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.			279,111	8,750
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.6% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.			139,556	1,385
Agreement with Goldman Sachs effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.5% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.			139,556	8,452
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.35% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.			1,116,444	53,724
Agreement with Goldman Sachs International effective September 2, 2004, terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference obligation are liquidated, the fund receives a payment of the outstanding notional amount times 2.433% and the fund pays in the event of a credit default in one of the underlying securities in the basket of BB CMBS securities.			418,667	17,542
Agreement with Goldman Sachs Capital Markets, L.P. effective April 1, 2005, maturing on December 20, 2009, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 138 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index 25-35% tranche, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index 25-35% tranche.			933,000	26,312
Agreement with Goldman Sachs Capital Markets, L.P. effective April 13, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.			891,000	(3,734)
Agreement with Goldman Sachs Capital Markets, L.P. effective May 20, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 500 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 0-3% tranche.			845,000	45,238
Agreement with Bank of America, N.A. effective April 13, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.			990,000	1,959
Agreement with Bank of America, N.A. effective April 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.			1,881,000	6,001
Agreement with Lehman Brothers Special Financing, Inc. effective April 18, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 194 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 4 Index 25-35% tranche, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 4 Index 25-35% tranche.			500,000	21,125
Agreement with Lehman Brothers Special Financing, Inc. effective June 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.			1,455,300	(5,108)
Agreement with Lehman Brothers Special Financing, Inc. effective June 17, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.			2,415,600	(5,533)
Agreement with JPMorgan Chase Bank, N.A. effective June 22, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive pay 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.			2,441,340	$512
Agreement with JPMorgan Chase Bank, N.A. effective June 23, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 5 year Series 4 Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 5 year Series 4 Index.			2,434,410	(8,605)
Agreement with Goldman Sachs Capital Markets, L.P. effective May 20, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 90 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index.			4,225,000	(52,891)
Agreement with Goldman Sachs Capital Markets, L.P. effective June 17, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receive quarterly 640 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.			2,440,000	(92,631)
Agreement with Goldman Sachs Capital Markets, L.P. effective June 22, 2005, maturing on June 20, 2015, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and receives quarterly 656 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX 5 year Series 4 Index 3-7% tranche.			2,466,000	(66,607)
Agreement with Lehman Brothers Special Financing, Inc. effective March 24, 2005, maturing on December 20, 2009, to receive quarterly 116 basis points times the notional amount.  Upon a credit default event of any reference entity within the DJ IG CDX Series 3 Index that the counterparties agree advances within the 25-35 Loss Basket of the Index, the fund makes a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ IG CDX Series 3 Index.			933,000	19,852
Agreement with Lehman Brothers Special Financing, Inc. effective April 14, 2005, maturing on June 20, 2010, to receive/(pay) a premium based on the difference between the original spread on issue and the market spread on day of execution and pay quarterly 360 basis points times the notional amount.  Upon a credit default event of a reference entity within the DJ HY CDX 3 Index, the fund receives a payment of the proportional notional amount times the difference between the par value and the then-market value of the reference entity within the DJ HY CDX 3 Index.			891,000	3,330
Total credit default contracts outstanding				$133,193

	NOTES
(a)	Percentages indicated are based on net assets of $716,729,230.
(b)	The aggregate identified cost on a tax basis is $759,924,141, resulting in gross unrealized appreciation and depreciation of $16,373,309 and $22,012,504, respectively, or net unrealized depreciation of $5,639,195.
(c)	Senior loans are exempt from registration under the Security Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly.  These loans pay interest at rates which adjust periodically.  The interest rate shown for senior loans are the current interest rates at June 30, 2005.  Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted.  As a result, the remaining maturity may be substantially less than the stated maturity shown.
(DEF)	Security is in default of principal and interest.
(NON)	Non-income-producing security.
(STP)	The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES)	Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at June 30, 2005 was $195,161 or less than 0.1% 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 June 30, 2005.
(R)	Real Estate Investment Trust.
(e)	Pursuant to an exemptive order from the Securities and Exchange Commission, the fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC.  Management fees paid by the fund are reduced by an amount equal to the management and administrative 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 $2,177,924 for the period ended June 30, 2005.  During the period ended June 30, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund aggregated $335,284,176 and $341,267,011, respectively.
(F)	Security is valued at fair value following procedures approved by the Trustees.
	At June 30, 2005, liquid assets totaling $105,689,557 have been designated as collateral for open forward commitments, open swap contracts and future contracts.
	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.
	The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at June 30, 2005.
	The rates shown on IFB, which are securities paying interest rates that vary inversely to changes in the market interest rates, are the current interest rates at June 30, 2005.
	DIVERSIFICATION BY COUNTRY
	Distribution of investments by country of issue at June 30, 2005: (as a percentage of Portfolio Value)
	Brazil	1.9%
	Canada	1.6
	Cayman Islands	1.8
	France	4.1
	Germany	2.7
	Ireland	1.7
	Luxembourg	1.5
	Mexico	1.4
	Peru	0.5
	Philippines	0.7
	Sweden	1.3
	United Kingdom	1.8
	United States	75.5
	Venezuela	0.6
	Other	2.9
	Total	100.0%
	Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. 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. At June 30, 2005, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies are translated into U.S. dollars at the current exchange rate. Short-term investments having remaining maturities of 60 days or less are valued at amortized cost, which approximates fair value. Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.
	Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date.  These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments).  The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates.  The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss.  When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
	The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities.  Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
	Futures and options contracts The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase.  The fund may also write options on securities it owns or in which it may invest to increase its current returns.
	The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.  Realized gains and losses on purchased options are included in realized gains and losses on investment securities.  If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds.  If a written put option is exercised, the premium originally received is recorded as a reduction to cost of investments.
	Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade.  The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract.  Such receipts or payments are known as “variation margin.”  Exchange traded options are valued at the last sale price, or if no sales are reported, the last bid price for purchased options and the last ask price for written options.  Options traded over-the-counter are valued using prices supplied by dealers.  Futures and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
	Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates.  Interest rate swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss.  Payments received or made are recorded as realized gains or loss.  The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform.  Risk of loss may exceed amounts recognized on the statement of assets and liabilities.  Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.
	Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event.  An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses.
	In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform.  Risks of loss may exceed amounts recognized on the statement of assets and liabilities.  Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.
	TBA purchase commitments The fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time.  Although the unit price has been established, the principal value has not been finalized.  However, the amount of the commitments will not significantly differ from the principal amount.  The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns.  Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above.  The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
	For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com

Item 2. Controls and Procedures:

-----------------------------------------------

(a) The registrant's principal executive officer and principal

financial officer have concluded, based on their evaluation of the

effectiveness of the design and operation of the registrant's

disclosure controls and procedures as of a date within 90 days of

the filing date of this report, that the design and operation of

such procedures are generally effective to provide reasonable

assurance that information required to be disclosed by the registrant

in this report is recorded, processed, summarized and reported within

the time periods specified in the Commission's rules and forms.

(b) Changes in internal control over financial reporting:

Not applicable

Item 3. Exhibits:

----------------------

A separate certification for each principal executive officer and

principal financial officer of the registrant as required by Rule 30a-2

under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934

and the Investment Company Act of 1940, the registrant has duly

caused this report to be signed on its behalf by the undersigned,

thereunto duly authorized.

NAME OF REGISTRANT

By (Signature and Title):

/s/ Michael T. Healy

--------------------------

Michael T. Healy

Principal Accounting Officer

Date: August 29, 2005

Pursuant to the requirements of the Securities Exchange Act of 1934

and the Investment Company Act of  1940, this report has been signed

below by the following persons on behalf of the registrant and in

the capacities and on the dates indicated.

By (Signature and Title):

/s/ Charles E. Porter

---------------------------

Charles E. Porter

Principal Executive Officer

Date: August 29, 2005

By (Signature and Title):

/s/ Steven D. Krichmar

---------------------------

Steven D. Krichmar

Principal Financial Officer

Date: August 29, 2005