N-Q 1 a_absrtn700.htm PUTNAM FUNDS TRUST a_absrtn700.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: October 31, 2013
Date of reporting period: January 31, 2013



Item 1. Schedule of Investments:













Putnam Absolute Return 700 Fund

The fund's portfolio
1/31/13 (Unaudited)
COMMON STOCKS (36.5%)(a)
Shares Value
Basic materials (0.7%)
Bemis Co., Inc. 17,500 $624,400
International Flavors & Fragrances, Inc. 12,577 885,798
PPG Industries, Inc. 17,812 2,455,740
Sherwin-Williams Co. (The) 10,882 1,764,406
5,730,344
Capital goods (0.9%)
Ball Corp. 22,948 1,021,645
General Dynamics Corp. 21,900 1,451,970
Lockheed Martin Corp. 17,723 1,539,596
Northrop Grumman Corp. 18,052 1,174,101
Raytheon Co. 23,416 1,233,555
Republic Services, Inc. 24,400 778,116
Roper Industries, Inc. 7,738 908,828
8,107,811
Communication services (1.0%)
AT&T, Inc. 121,100 4,213,068
CenturyLink, Inc. 14,100 570,345
IAC/InterActiveCorp. 26,027 1,073,613
Verizon Communications, Inc. 60,066 2,619,478
8,476,504
Conglomerates (2.8%)
3M Co. 39,400 3,961,670
Danaher Corp. 37,500 2,247,375
General Electric Co. 97,000 2,161,160
Marubeni Corp. (Japan) 713,000 5,231,811
Mitsubishi Corp. (Japan) 266,000 5,608,267
Mitsui & Co., Ltd. (Japan) 341,400 5,155,814
24,366,097
Consumer cyclicals (5.0%)
Advance Auto Parts, Inc. 7,510 552,135
Amazon.com, Inc.(NON) 16,587 4,403,849
AutoZone, Inc.(NON) 2,975 1,099,857
Copart, Inc.(NON) 10,100 362,691
Dollar General Corp.(NON) 16,300 753,386
Dollar Tree, Inc.(NON) 20,342 813,477
Ecolab, Inc. 30,390 2,200,235
Equifax, Inc. 10,251 601,734
Home Depot, Inc. (The) 66,900 4,476,948
Kimberly-Clark Corp. 32,173 2,879,805
Kohl's Corp. 20,700 958,203
MasterCard, Inc. Class A 8,500 4,406,400
McGraw-Hill Cos., Inc. (The) 21,575 1,240,994
MSC Industrial Direct Co., Inc. Class A 4,705 372,260
O'Reilly Automotive, Inc.(NON) 10,000 926,500
Omnicom Group, Inc. 21,845 1,185,747
Paychex, Inc. 51,200 1,670,656
PetSmart, Inc. 10,095 660,314
Priceline.com, Inc.(NON) 3,189 2,185,964
Ross Stores, Inc. 18,300 1,092,510
Scripps Networks Interactive Class A 8,900 549,753
Target Corp. 41,154 2,486,113
Time Warner, Inc. 58,600 2,960,471
Towers Watson & Co. Class A 6,100 372,588
Tractor Supply Co. 7,100 736,057
Verisk Analytics, Inc. Class A(NON) 12,274 677,034
Viacom, Inc. Class B 35,544 2,145,080
Wal-Mart Stores, Inc. 3,100 216,845
42,987,606
Consumer staples (4.5%)
Altria Group, Inc. 82,700 2,785,336
Coca-Cola Co. (The) 17,500 651,700
Colgate-Palmolive Co. 34,400 3,693,528
Dunkin' Brands Group, Inc. 9,700 354,147
General Mills, Inc. 57,000 2,390,580
H.J. Heinz Co. 31,400 1,903,782
Hershey Co. (The) 17,900 1,422,155
ITOCHU Corp. (Japan) 483,000 5,461,447
Kellogg Co. 26,300 1,538,550
Panera Bread Co. Class A(NON) 3,002 479,750
PepsiCo, Inc. 67,500 4,917,374
Philip Morris International, Inc. 22,733 2,004,141
Procter & Gamble Co. (The) 20,900 1,570,844
Reynolds American, Inc. 35,400 1,556,892
Starbucks Corp. 47,316 2,655,374
Sumitomo Corp. (Japan) 398,200 5,147,055
38,532,655
Energy (3.0%)
Chevron Corp. 61,369 7,066,640
ConocoPhillips 50,800 2,946,400
Deepocean Group (Shell) (acquired 6/9/11, cost $415,869) (Norway)(RES) 28,574 428,610
EQT Corp. 12,500 742,625
Exxon Mobil Corp. 114,292 10,282,850
Oceaneering International, Inc. 11,800 745,878
Phillips 66 31,600 1,914,012
Spectra Energy Corp. 40,875 1,135,508
25,262,523
Financials (5.3%)
Alleghany Corp.(NON) 3,700 1,334,183
Allied World Assurance Co. Holdings AG 9,582 812,841
Arthur J Gallagher & Co. 28,600 1,056,770
Bank of Hawaii Corp. 36,196 1,740,666
Berkshire Hathaway, Inc. Class B(NON) 9,305 901,934
BlackRock, Inc. 15,500 3,662,340
Chubb Corp. (The) 37,929 3,046,078
Cullen/Frost Bankers, Inc. 38,500 2,267,265
Discover Financial Services 72,200 2,771,757
Essex Property Trust, Inc.(R) 3,200 492,096
Everest Re Group, Ltd. 11,639 1,347,913
Federal Realty Investment Trust(R) 5,389 570,426
Health Care REIT, Inc.(R) 18,300 1,149,972
IntercontinentalExchange, Inc.(NON) 12,200 1,692,750
JPMorgan Chase & Co. 22,000 1,035,100
Northern Trust Corp. 35,600 1,832,332
PartnerRe, Ltd. 14,500 1,271,505
People's United Financial, Inc. 216,767 2,668,402
Public Storage(R) 9,600 1,477,728
Rayonier, Inc.(R) 10,538 567,366
RenaissanceRe Holdings, Ltd. 12,650 1,083,346
Simon Property Group, Inc.(R) 17,600 2,819,168
T. Rowe Price Group, Inc. 37,600 2,686,520
Tanger Factory Outlet Centers(R) 9,200 325,864
Validus Holdings, Ltd. 25,917 943,638
Visa, Inc. Class A 31,700 5,005,747
Wells Fargo & Co. 28,300 985,689
45,549,396
Health care (4.2%)
Abbott Laboratories 51,070 1,730,252
AbbVie, Inc.(NON) 51,070 1,873,758
AmerisourceBergen Corp. 34,231 1,553,060
Amgen, Inc. 26,700 2,281,782
Becton, Dickinson and Co. 25,200 2,117,808
Bristol-Myers Squibb Co. 59,300 2,143,102
C.R. Bard, Inc. 12,005 1,225,350
Cardinal Health, Inc. 44,001 1,927,684
Eli Lilly & Co. 36,300 1,948,947
Henry Schein, Inc.(NON) 13,400 1,156,956
Johnson & Johnson 21,200 1,567,104
McKesson Corp. 27,178 2,859,941
Merck & Co., Inc. 96,100 4,156,325
Perrigo Co. 4,154 417,519
Pfizer, Inc. 227,500 6,206,200
Quest Diagnostics, Inc. 22,200 1,286,490
Ventas, Inc.(R) 19,900 1,319,171
Zoetis, Inc.(NON) 11,960 310,960
36,082,409
Technology (7.2%)
Analog Devices, Inc. 34,408 1,501,565
Apple, Inc. 73,454 33,444,341
Avago Technologies, Ltd. 35,553 1,271,731
Google, Inc. Class A(NON) 1,743 1,317,168
Honeywell International, Inc. 46,300 3,159,512
IBM Corp. 36,374 7,386,468
Intuit, Inc. 36,242 2,260,776
L-3 Communications Holdings, Inc. 8,298 629,984
Linear Technology Corp. 35,500 1,300,010
Maxim Integrated Products, Inc. 42,200 1,327,190
Microsoft Corp. 60,489 1,661,633
Motorola Solutions, Inc. 29,300 1,710,827
Oracle Corp. 7,200 255,672
Texas Instruments, Inc. 79,900 2,643,092
Xilinx, Inc. 36,400 1,328,236
61,198,205
Transportation (0.7%)
C.H. Robinson Worldwide, Inc. 13,000 859,950
Copa Holdings SA Class A (Panama) 3,411 373,846
J. B. Hunt Transport Services, Inc. 8,322 559,821
Southwest Airlines Co. 64,660 724,839
United Parcel Service, Inc. Class B 42,327 3,356,108
5,874,564
Utilities and power (1.2%)
Consolidated Edison, Inc. 50,700 2,883,816
DTE Energy Co. 34,106 2,159,251
Kinder Morgan, Inc./DE 31,800 1,191,228
OGE Energy Corp. 22,800 1,338,588
Pinnacle West Capital Corp. 25,266 1,348,699
SCANA Corp. 27,600 1,291,956
10,213,538
Total common stocks (cost $278,041,737) $312,381,652

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (23.3%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (6.0%)
Government National Mortgage Association Pass-Through Certificates
     3s, TBA, March 1, 2043 $2,000,000 $2,082,188
     3s, TBA, February 1, 2043 24,000,000 25,036,874
     3s, TBA, February 1, 2043 23,000,000 24,002,657
51,121,719
U.S. Government Agency Mortgage Obligations (17.3%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     5 1/2s, April 1, 2039(i) 166,109 189,334
     3s, TBA, February 1, 2043 11,000,000 11,311,093
Federal National Mortgage Association Pass-Through Certificates
     3s, TBA, March 1, 2043 52,000,000 53,551,878
     3s, TBA, February 1, 2043 81,000,000 83,657,813
148,710,118
Total U.S. government and agency mortgage obligations (cost $201,352,147) $199,831,837

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Notes 4s, August 15, 2015(i) $295,000 $348,572
U.S. Treasury Inflation Protected Securities 1/2s, April 15, 2015(i) 125,394 132,126
Total U.S. Treasury obligations (cost $480,698) $480,698

MORTGAGE-BACKED SECURITIES (15.3%)(a)
Principal amount Value
Agency collateralized mortgage obligations (4.2%)
Federal Home Loan Mortgage Corp.
     IFB Ser. 2990, Class LB, 16.42s, 2034 $594,556 $819,976
     IFB Ser. 4098, Class MS, IO, 6.494s, 2041 4,608,336 1,000,424
     IFB Ser. 3859, Class SG, IO, 6.494s, 2039 6,867,070 800,632
     IFB Ser. 3727, Class PS, IO, 6.494s, 2038 2,960,203 273,153
     IFB Ser. 4074, Class US, IO, 6.444s, 2042 5,872,165 969,729
     IFB Ser. 3860, Class SP, IO, 6.394s, 2040 3,627,881 567,909
     IFB Ser. 3856, Class PS, IO, 6.394s, 2040 1,360,561 190,703
     IFB Ser. 3803, Class SP, IO, 6.394s, 2038(F) 2,163,078 198,868
     IFB Ser. 3861, Class PS, IO, 6.394s, 2037 1,538,100 250,910
     IFB Ser. 3708, Class SQ, IO, 6.344s, 2040 6,962,867 1,014,699
     IFB Ser. 3907, Class KS, IO, 6.344s, 2040 2,866,908 392,464
     IFB Ser. 3708, Class SA, IO, 6.244s, 2040 11,266,421 1,682,978
     IFB Ser. 3934, Class SA, IO, 6.194s, 2041 596,672 107,669
     IFB Ser. 3232, Class KS, IO, 6.094s, 2036 1,500,514 158,492
     IFB Ser. 3116, Class AS, IO, 5.894s, 2034 2,111,856 174,350
     IFB Ser. 3964, Class SA, IO, 5.794s, 2041 9,067,163 1,348,741
     IFB Ser. 3852, Class NT, 5.794s, 2041 2,984,872 3,185,426
     IFB Ser. 3752, Class PS, IO, 5.794s, 2040 2,828,999 421,181
     Ser. 3687, Class CI, IO, 5s, 2038 2,705,569 302,537
     Ser. 3632, Class CI, IO, 5s, 2038 463,241 26,673
     Ser. 3626, Class DI, IO, 5s, 2037 253,647 8,452
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 2,879,481 435,090
     Ser. 3747, Class HI, IO, 4 1/2s, 2037 361,136 30,181
     Ser. 4116, Class MI, IO, 4s, 2042 5,770,969 898,047
     Ser. 4090, Class BI, IO, 4s, 2042 1,118,788 118,726
     Ser. 4098, Class PI, IO, 4s, 2042 3,213,584 522,240
     Ser. 3748, Class NI, IO, 4s, 2034(F) 1,434,921 70,447
     Ser. 3751, Class MI, IO, 4s, 2034 291,688 5,834
     Ser. T-8, Class A9, IO, 0.366s, 2028 254,045 2,699
     Ser. T-59, Class 1AX, IO, 0.273s, 2043 584,335 7,144
     Ser. T-48, Class A2, IO, 0.212s, 2033 862,867 8,292
     FRB Ser. T-54, Class 2A, IO, zero %, 2043 345,246 54
Federal National Mortgage Association
     IFB Ser. 05-74, Class NK, 26.482s, 2035 91,778 161,180
     IFB Ser. 05-122, Class SE, 22.387s, 2035 326,747 489,344
     IFB Ser. 11-4, Class CS, 12.493s, 2040 2,015,507 2,414,830
     IFB Ser. 12-96, Class PS, IO, 6.496s, 2041 4,260,934 772,848
     IFB Ser. 12-88, Class SB, IO, 6.466s, 2042 4,771,521 797,607
     IFB Ser. 12-75, Class SK, IO, 6.446s, 2041 3,154,823 607,209
     IFB Ser. 12-75, Class KS, IO, 6.346s, 2042 2,062,212 364,867
     IFB Ser. 11-87, Class HS, IO, 6.296s, 2041 2,195,757 369,129
     IFB Ser. 11-67, Class BS, IO, 6.296s, 2041 5,839,164 1,016,365
     IFB Ser. 404, Class S13, IO, 6.196s, 2040 177,769 26,392
     IFB Ser. 10-35, Class SG, IO, 6.196s, 2040(F) 4,047,909 560,538
     IFB Ser. 12-132, Class SB, IO, 5.996s, 2042 3,050,946 486,748
     IFB Ser. 12-113, Class CS, IO, 5.946s, 2041 2,243,258 428,126
     IFB Ser. 12-113, Class SG, IO, 5.896s, 2042 2,328,882 417,056
     Ser. 397, Class 2, IO, 5s, 2039 118,851 16,361
     Ser. 398, Class C5, IO, 5s, 2039 692,815 77,387
     Ser. 10-13, Class EI, IO, 5s, 2038 563,435 26,467
     Ser. 12-75, Class AI, IO, 4 1/2s, 2027 4,382,799 449,544
     Ser. 12-118, Class IO, IO, 4s, 2042 4,520,472 723,637
     Ser. 12-124, Class UI, IO, 4s, 2042 6,327,505 1,051,631
     Ser. 12-118, Class PI, IO, 4s, 2042 3,350,538 544,127
     Ser. 12-30, Class PI, IO, 4s, 2042 8,200,275 1,164,685
     Ser. 12-96, Class PI, IO, 4s, 2041 3,626,202 506,181
     Ser. 406, Class 2, IO, 4s, 2041 475,961 61,923
     Ser. 406, Class 1, IO, 4s, 2041 250,240 33,632
     Ser. 409, Class C16, IO, 4s, 2040 1,094,559 127,206
     Ser. 03-W10, Class 1, IO, 1.347s, 2043 370,025 15,451
     Ser. 98-W5, Class X, IO, 0.588s, 2028 469,848 20,556
     Ser. 98-W2, Class X, IO, 0.48s, 2028 1,624,811 71,593
     Ser. 03-W1, Class 2A, IO, zero %, 2042 745,094 58
     Ser. 08-36, Class OV, PO, zero %, 2036 45,213 39,883
Government National Mortgage Association
     IFB Ser. 11-61, Class CS, IO, 6.475s, 2035 10,174,188 1,373,514
     IFB Ser. 10-26, Class QS, IO, 6.045s, 2040 1,994,418 372,710
     IFB Ser. 10-120, Class SB, IO, 5.995s, 2035 503,073 44,934
     IFB Ser. 10-20, Class SC, IO, 5.945s, 2040 125,207 22,187
     IFB Ser. 10-61, Class SJ, IO, 5.844s, 2040 1,183,219 190,569
     IFB Ser. 11-70, Class SN, IO, 5.694s, 2041 1,610,000 415,396
     IFB Ser. 11-70, Class SH, IO, 5.684s, 2041 1,892,718 493,299
     IFB Ser. 10-42, Class DS, IO, 5.495s, 2040 8,867,321 1,435,388
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 364,870 55,789
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 5,888,165 998,370
     Ser. 10-103, Class DI, IO, 4 1/2s, 2038 8,672,828 878,122
GSMPS Mortgage Loan Trust 144A
     Ser. 99-2, IO, 0.582s, 2027 125,952 1,584
     Ser. 98-3, IO, 0.343s, 2027 78,970 1,289
     Ser. 98-2, IO, 0.267s, 2027 68,480 492
     Ser. 98-4, IO, zero %, 2026 100,289 3,632
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 6.046s, 2045 982,012 186,582
36,311,138
Commercial mortgage-backed securities (6.3%)
Banc of America Commercial Mortgage, Inc.
     FRB Ser. 08-1, Class AJ, 6.255s, 2051(F) 342,000 326,659
     Ser. 06-4, Class AJ, 5.695s, 2046 710,000 694,288
     Ser. 06-1, Class B, 5.49s, 2045 255,000 228,656
     Ser. 06-6, Class A2, 5.309s, 2045 657,860 677,689
     FRB Ser. 05-5, Class D, 5.23s, 2045 426,000 373,815
     FRB Ser. 05-6, Class G, 5.189s, 2047 443,000 363,260
     Ser. 07-1, Class XW, IO, 0.315s, 2049 3,457,359 33,830
Banc of America Commercial Mortgage, Inc. 144A
     FRB Ser. 08-1, Class C, 6.255s, 2051(F) 584,000 394,567
     FRB Ser. 05-2, Class E, 5.322s, 2043(F) 410,000 422,728
     Ser. 04-2, Class G, 5.239s, 2038(F) 1,000,000 1,011,572
     Ser. 04-2, Class F, 4.992s, 2038(F) 650,000 663,079
     Ser. 04-4, Class XC, IO, 0.866s, 2042 4,132,317 37,162
     Ser. 02-PB2, Class XC, IO, 0.389s, 2035 1,697,969 17
Bear Stearns Commercial Mortgage Securities, Inc.
     FRB Ser. 07-T28, Class AJ, 5.964s, 2042 315,000 337,838
     FRB Ser. 07-PW17, Class AJ, 5.889s, 2050 1,456,000 1,368,640
     FRB Ser. 06-PW12, Class AJ, 5.751s, 2038 544,000 543,159
     FRB Ser. 06-PW11, Class AJ, 5.454s, 2039 779,000 777,053
     Ser. 05-PWR7, Class D, 5.304s, 2041(F) 431,000 381,383
     Ser. 05-PWR7, Class C, 5.235s, 2041 489,000 433,623
     FRB Ser. 05-T20, Class C, 5.149s, 2042 324,000 314,280
Bear Stearns Commercial Mortgage Securities, Inc. 144A
     FRB Ser. 06-PW11, Class B, 5.454s, 2039(F) 1,310,000 1,205,320
     Ser. 04-PWR5, Class E, 5.222s, 2042 654,000 674,385
CFCRE Commercial Mortgage Trust 144A Ser. 11-C1, Class XA, IO, 1.47s, 2044(F) 7,717,150 453,845
Citigroup Commercial Mortgage Trust FRB Ser. 05-C3, Class B, 5.029s, 2043(F) 770,000 701,186
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class D, 4.878s, 2045(F) 1,207,000 1,203,954
Commercial Mortgage Pass-Through Certificates
     FRB Ser. 04-LB3A, Class E, 5.358s, 2037(F) 693,000 693,694
     FRB Ser. 05-LP5, Class D, 5.098s, 2043 250,000 256,319
Commercial Mortgage Pass-Through Certificates 144A FRB Ser. 05-LP5, Class E, 5.196s, 2043 1,215,000 1,227,101
Commercial Mortgage Pass-Through Certificates Ser. 05-C6, Class AJ, 5.209s, 2044 1,250,000 1,315,563
Commercial Mortgage Trust Ser. 07-C9, Class AJ, 5.65s, 2049(F) 734,000 768,404
Commercial Mortgage Trust 144A
     FRB Ser. 12-CR5, Class E, 4.335s, 2045(F) 301,000 300,114
     FRB Ser. 07-C9, Class AJFL, 0.9s, 2049(F) 775,000 635,483
Credit Suisse Mortgage Capital Certificates FRB Ser. 07-C4, Class A2, 5.761s, 2039 244,264 247,354
CS First Boston Mortgage Securities Corp.
     Ser. 02-CP5, Class E, 5.339s, 2035 525,000 523,514
     Ser. 05-C6, Class B, 5.23s, 2040 1,270,000 1,177,925
CS First Boston Mortgage Securities Corp. 144A
     Ser. 02-CP5, Class H, 6.326s, 2035 460,000 462,078
     Ser. 03-C3, Class AX, IO, 1.657s, 2038 4,410,475 2,461
Deutsche Bank-UBS Commercial Mortgage Trust 144A FRB Ser. 11-LC2A, Class D, 5.445s, 2044 280,000 292,703
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031 733,189 740,521
GE Capital Commercial Mortgage Corp.
     FRB Ser. 05-C4, Class AJ, 5.308s, 2045 258,000 227,040
     FRB Ser. 06-C1, Class AJ, 5.296s, 2044 235,000 231,475
GE Capital Commercial Mortgage Corp. 144A FRB Ser. 04-C1, Class G, 5.157s, 2038(F) 567,000 570,118
GMAC Commercial Mortgage Securities, Inc.
     FRB Ser. 03-C2, Class E, 5.458s, 2040(F) 2,310,000 2,373,974
     Ser. 04-C3, Class B, 4.965s, 2041 233,000 198,341
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 532,000 521,215
Greenwich Capital Commercial Funding Corp. 144A
     FRB Ser. 03-C1, Class J, 5.363s, 2035(F) 670,000 680,182
     Ser. 03-C1, Class G, 4.773s, 2035 311,000 309,217
GS Mortgage Securities Corp. II
     Ser. 06-GG8, Class AJ, 5.622s, 2039 347,000 334,842
     Ser. 05-GG4, Class B, 4.841s, 2039(F) 970,000 865,081
     Ser. 05-GG4, Class AJ, 4.782s, 2039 313,000 317,670
GS Mortgage Securities Trust 144A Ser. GC10, Class D, 4.415s, 2046(F) 352,000 332,055
GS Mortgage Securities Trust FRB Ser. 04-GG2, Class D, 5.538s, 2038 299,000 301,056
JPMorgan Chase Commercial Mortgage Securities Corp.
     FRB Ser. 07-CB20, Class AJ, 6.075s, 2051(F) 1,703,000 1,720,576
     Ser. 07-LD12, Class A2, 5.827s, 2051 239,313 244,099
     FRB Ser. 04-CB9, Class B, 5.662s, 2041(F) 800,000 821,201
     Ser. 06-CB16, Class AJ, 5.623s, 2045 349,000 331,550
     Ser. 06-LDP6, Class AJ, 5.565s, 2043(F) 497,000 472,753
     FRB Ser. 02-C2, Class E, 5.476s, 2034 376,000 376,000
     Ser. 02-C3, Class D, 5.314s, 2035 174,494 174,494
     FRB Ser. 05-LDP3, Class D, 5.196s, 2042 555,000 505,050
     Ser. 03-C1, Class D, 5.192s, 2037 3,147,000 3,213,873
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 210,000 206,962
     FRB Ser. 05-LDP2, Class C, 4.911s, 2042 250,000 237,500
     Ser. 07-LDPX, Class X, IO, 0.306s, 2049 14,108,521 136,161
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 11-C3, Class E, 5.533s, 2046(F) 262,000 273,405
     FRB Ser. 11-C5, Class D, 5.314s, 2046(F) 565,000 579,229
     FRB Ser. 12-CBX, Class E, 5.189s, 2045 852,000 865,036
     FRB Ser. 12-LC9, Class E, 4.429s, 2047 321,000 302,597
Key Commercial Mortgage Ser. 07-SL1, Class A2, 5.506s, 2040 220,637 213,466
LB-UBS Commercial Mortgage Trust
     Ser. 06-C3, Class A2, 5.532s, 2032 10,223 10,220
     FRB Ser. 06-C6, Class C, 5.482s, 2039 377,000 339,300
     Ser. 07-C2, Class XW, IO, 0.499s, 2040 2,622,673 46,366
LB-UBS Commercial Mortgage Trust 144A
     FRB Ser. 03-C8, Class J, 5.583s, 2037(F) 1,000,000 984,994
     FRB Ser. 03-C8, Class K, 5.583s, 2037(F) 1,441,000 1,407,129
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.294s, 2051(F) 328,000 319,851
Merrill Lynch Mortgage Trust Ser. 05-CKI1, Class AJ, 5.273s, 2037(F) 269,000 277,225
Merrill Lynch/Countrywide Commercial Mortgage Trust 144A Ser. 06-4, Class XC, IO, 0.203s, 2049(F) 53,973,971 674,724
Morgan Stanley Capital I
     FRB Ser. 07-T27, Class AJ, 5.652s, 2042(F) 818,000 816,647
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 350,000 307,580
Morgan Stanley Capital I Trust
     Ser. 07-HQ11, Class AJ, 5.508s, 2044(F) 1,209,000 1,221,368
     FRB Ser. 06-HQ8, Class AJ, 5 1/2s, 2044 417,000 420,519
Nomura Asset Securities Corp. 144A Ser. 98-D6, Class B1, 6s, 2030 177,000 188,505
Salomon Brothers Mortgage Securities VII 144A FRB Ser. 99-C1, Class J, 7s, 2032 1,700,000 1,724,417
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C4, Class D, 4.503s, 2045 534,000 495,841
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.999s, 2045(F) 800,000 742,102
     Ser. 04-C14, Class D, 5.269s, 2041 1,480,000 1,508,588
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-C21, Class E, 5.24s, 2044(F) 569,000 527,671
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C4, Class E, 5.249s, 2044 737,000 769,614
     FRB Ser. 12-C10, Class D, 4.462s, 2045 345,000 329,691
     FRB Ser. 13-C11, Class D, 4.186s, 2045(FWC) 298,000 282,914
53,596,706
Residential mortgage-backed securities (non-agency) (4.8%)
Adjustable Rate Mortgage Trust FRB Ser. 06-2, 5.298s, 2036 3,081,279 2,488,132
American Home Mortgage Assets Ser. 07-5, Class XP, IO, PO, zero %, 2047 10,064,049 1,270,586
Banc of America Funding Corp.
     FRB Ser. 06-G, Class 3A3, 5 3/4s, 2036 374,757 281,068
     FRB Ser. 07-C, Class 07-C, 2.764s, 2036 2,882,305 2,537,292
     FRB Ser. 06-G, Class 2A5, 0.485s, 2036 2,325,870 1,977,687
Barclays Capital, LLC Trust
     Ser. 13-RR1, Class 10A2, 16.639s, 2036 350,000 325,500
     Ser. 12-RR10, Class 8A3, 15 3/4s, 2036 291,037 152,067
     Ser. 12-RR10, Class 8A2, 4s, 2036 609,138 615,229
     FRB Ser. 12-RR10, Class 9A2, 2.664s, 2035 280,000 213,500
     Ser. 12-RR10, Class 4A2, 2 5/8s, 2036 420,000 345,450
Barclays Capital, LLC Trust 144A
     Ser. 12-RR11, Class 9A3, 21.132s, 2037 258,734 243,857
     FRB Ser. 12-RR12, Class 1A3, 13.505s, 2037 302,178 170,731
     FRB Ser. 12-RR11, Class 5A3, 13.456s, 2037 289,702 187,582
     Ser. 12-RR11, Class 9A2, 4s, 2037 471,016 471,016
     Ser. 12-RR12, Class 1A2, 4s, 2037 227,769 229,477
     FRB Ser. 12-RR11, Class 5A2, 4s, 2037 334,205 340,471
     Ser. 12-RR11, Class 11A2, 2.6s, 2036 1,046,828 646,416
     Ser. 09-RR7, Class 1A7, IO, 1.755s, 2046 16,271,558 732,220
     Ser. 09-RR7, Class 2A7, IO, 1.567s, 2047 27,169,530 1,122,102
Bear Stearns Mortgage Funding Trust
     Ser. 06-AR2, Class 1X, IO, 0.7s, 2046 4,803,406 154,670
     Ser. 06-AR3, Class 1X, IO, 0.4s, 2036 3,580,557 65,882
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-AR3, Class 1A2A, 5.567s, 2036 1,295,778 1,198,594
Citigroup Mortgage Loan Trust, Inc. 144A
     FRB Ser. 12-8, Class 1A2, 2.664s, 2035 1,300,000 923,000
     FRB Ser. 12-7, Class 12A2, 2 5/8s, 2036 3,847,314 2,808,538
Countrywide Home Loans
     Ser. 07-10, Class A21, 6s, 2037 420,443 374,194
     Ser. 06-9, Class A2, 6s, 2036 1,298,599 1,188,218
     Ser. 05-15, Class A8, 5 1/2s, 2035 1,650,000 1,621,440
JPMorgan Mortgage Trust
     FRB Ser. 07-A4, Class 2A1, 5.512s, 2037 794,492 705,111
     FRB Ser. 07-A4, Class 2A2, 5.512s, 2037 1,702,796 1,496,007
     FRB Ser. 07-A1, Class 5A6, 3.028s, 2035 2,410,777 2,175,726
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, IO, P, 0.8s, 2047 2,465,725 78,903
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 06-AR1, Class 2A1B, 1.241s, 2046 1,749,973 1,522,477
     FRB Ser. 05-AR8, Class B1, 0.874s, 2045(F) 1,410,177 678,574
     FRB Ser. 2004-AR13, Class A1B2, 0.74s, 2034 786,122 691,787
     FRB Ser. 05-AR11, Class A1C3, 0.714s, 2045(F) 1,604,704 1,211,420
     FRB Ser. 05-AR11, Class A1C4, 0.644s, 2045(F) 970,156 732,388
     FRB Ser. 05-AR17, Class A1C4, 0.604s, 2045 3,093,486 1,701,417
     FRB Ser. 05-AR1, Class A1B, 0.594s, 2045 258,725 215,389
Wells Fargo Mortgage Backed Securities Trust
     Ser. 07-16, Class 1A7, 6s, 2037 609,904 640,399
     Ser. 06-6, Class 1A3, 5 3/4s, 2036 1,235,684 1,223,327
     Ser. 05-11, Class 2A5, 5 1/2s, 2035 1,871,853 1,935,683
     FRB Ser. 06-AR3, Class A2, 5.415s, 2036(F) 1,271,382 1,131,530
     FRB Ser. 06-AR1, Class 2A5, 5.354s, 2036 1,250,000 1,256,250
     FRB Ser. 06-AR6, Class 7A2, 5.017s, 2036(F) 698,045 684,010
40,765,317
Total mortgage-backed securities (cost $127,544,953) $130,673,161

CORPORATE BONDS AND NOTES (12.3%)(a)
Principal amount Value
Basic materials (0.9%)
Alcoa, Inc. sr. unsec. unsub. notes 5.55s, 2017 $196,000 $213,795
ArcelorMittal sr. unsec. unsub. notes 6 1/8s, 2018 (France) 85,000 90,754
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 650,000 716,625
BHP Billiton Finance USA, Ltd. company guaranty sr. unsec. unsub. notes 5 1/2s, 2014 (Australia) 196,000 207,370
Cemex Finance, LLC 144A company guaranty sr. bonds 9 1/2s, 2016 1,000,000 1,067,500
Dow Chemical Co. (The) sr. unsec. unsub. notes 5.9s, 2015 325,000 357,925
E.I. du Pont de Nemours & Co. sr. unsec. unsub. notes 3 1/4s, 2015 263,000 276,840
FMG Resources August 2006 Pty, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2016 (Australia) 1,250,000 1,287,500
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. FRN notes 4.81s, 2014 750,000 746,250
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes 9s, 2019 (Australia) 265,000 367,775
SGL Carbon SE company guaranty sr. sub. FRN notes Ser. EMTN, 1.442s, 2015 (Germany) EUR 150,000 200,735
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland) $1,000,000 1,040,000
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2015 500,000 503,750
US Coatings Acquisition, Inc. / Flash Dutch 2 BV 144A company guaranty sr. notes 5 3/4s, 2021 (Netherlands) 100,000 134,422
Vale Overseas, Ltd. company guaranty sr. unsec. unsub. notes 6 1/4s, 2017 230,000 262,264
7,473,505
Capital goods (0.7%)
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 1,750,000 1,933,750
Boeing Capital Corp. sr. unsec. unsub. notes 4.7s, 2019 115,000 133,660
Boeing Co. (The) sr. unsec. unsub. notes 3 1/2s, 2015 148,000 156,422
Caterpillar Financial Services Corp. sr. unsec. notes 6 1/8s, 2014 359,000 380,327
Deere & Co. sr. unsec. notes 6.95s, 2014 148,000 159,311
General Cable Corp. company guaranty sr. unsec. unsub. FRN notes 2.683s, 2015 125,000 123,750
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017 445,000 488,388
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 1,155,000 1,126,124
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France) 1,250,000 1,322,366
United Technologies Corp. sr. unsec. unsub. notes 4 7/8s, 2015 263,000 288,088
6,112,186
Communication services (2.0%)
America Movil SAB de CV company guaranty unsec. unsub. notes 5 1/2s, 2014 (Mexico) 196,000 205,464
AT&T, Inc. sr. unsec. unsub. notes 2 1/2s, 2015 1,501,000 1,562,421
Cellco Partnership/Verizon Wireless Capital, LLC sr. unsec. unsub. notes 5.55s, 2014 263,000 275,061
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 750,000 812,813
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015 400,000 433,000
Comcast Corp. company guaranty sr. unsec. unsub. notes 2.85s, 2023 735,000 722,778
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016 963,000 1,013,558
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. notes 5 3/4s, 2016 (Netherlands) 263,000 297,480
DISH DBS Corp. company guaranty 7 1/8s, 2016 255,000 284,325
DISH DBS Corp. company guaranty 7s, 2013 220,000 227,425
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017 1,000,000 1,157,500
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom) 130,000 139,750
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019 1,250,000 1,412,500
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016 837,000 809,798
Qwest Corp. sr. unsec. unsub. notes 6 1/2s, 2017 290,000 337,077
Sprint Nextel Corp. sr. unsec. notes 6s, 2016 620,000 668,050
Telecom Italia Capital SA company guaranty 5 1/4s, 2015 (Italy) 297,000 317,770
Telefonica Emisiones SAU company guaranty 6.421s, 2016 (Spain) 140,000 155,341
Telefonica Emisiones SAU company guaranty sr. unsec. notes 4.949s, 2015 (Spain) 185,000 194,988
Telenet Finance V Luxembourg SCA 144A bonds 6 3/4s, 2024 (Luxembourg) EUR 115,000 166,604
Telenet Finance V Luxembourg SCA 144A bonds 6 1/4s, 2022 (Luxembourg) $165,000 238,535
Time Warner Cable, Inc. company guaranty sr. unsec. notes 5.85s, 2017 555,000 647,509
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 7 1/2s, 2019 (Germany) 560,000 614,054
Verizon Communications, Inc. sr. unsec. notes 5.55s, 2016 846,000 960,408
Vodafone Group PLC sr. unsec. unsub. notes 5 5/8s, 2017 (United Kingdom) 297,000 346,470
WideOpenWest Finance, LLC / WideOpenWest Capital Corp. 144A company guaranty sr. unsec. notes 10 1/4s, 2019 1,525,000 1,673,687
Wind Acquisition Finance SA company guaranty sr. notes Ser. REGS, 7 3/8s, 2018 (Luxembourg) EUR 110,000 155,783
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Luxembourg) $420,000 442,050
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 1,000,000 1,142,500
17,414,699
Consumer cyclicals (1.2%)
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015 1,000,000 847,500
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 1,445,000 1,546,150
Daimler Finance North America, LLC company guaranty 6 1/2s, 2013 163,000 170,253
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R) 312,000 354,510
Home Depot, Inc. (The) sr. unsec. unsub. notes 5.4s, 2016 163,000 185,421
Interpublic Group of Companies, Inc. (The) sr. unsec. notes 6 1/4s, 2014 234,000 250,673
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark) EUR 600,000 839,121
Jarden Corp. company guaranty sr. unsec. notes 8s, 2016 $135,000 141,581
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014 200,000 218,000
News America, Inc. company guaranty sr. unsec. notes 4 1/2s, 2021 263,000 297,264
Owens Corning company guaranty sr. unsec. notes 9s, 2019 47,000 58,868
QVC, Inc. 144A sr. notes 7 1/8s, 2017 570,000 596,115
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020 200,000 227,000
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 800,000 922,000
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016 500,000 540,000
Schaeffler Finance BV 144A company guaranty sr. notes 7 3/4s, 2017 (Germany) 395,000 447,338
Target Corp. sr. unsec. notes 5 3/8s, 2017 263,000 307,269
Time Warner, Inc. company guaranty sr. unsec. notes 5 7/8s, 2016 426,000 497,543
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014 580,000 546,650
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 3.2s, 2014 622,000 644,498
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016 162,000 174,960
9,812,714
Consumer staples (0.7%)
Altria Group, Inc. company guaranty sr. unsec. notes 4 1/8s, 2015 387,000 419,416
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4 1/8s, 2015 359,000 382,632
Coca-Cola Co. (The) sr. unsec. notes 1.8s, 2016 163,000 168,588
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 590,000 675,550
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017 320,000 338,000
CVS Corp. sr. unsec. notes 5 3/4s, 2017 113,000 133,637
Diageo Capital PLC company guaranty sr. unsec. unsub. notes 5 3/4s, 2017 (United Kingdom) 196,000 234,660
Dole Food Co., Inc. 144A sr. notes 8s, 2016 200,000 209,000
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands) EUR 750,000 1,084,279
Kraft Foods, Inc. sr. unsec. unsub. notes 4 1/8s, 2016 $622,000 676,561
Kroger Co. company guaranty sr. unsec. unsub. notes 6.4s, 2017 163,000 194,584
PepsiCo, Inc. sr. unsec. unsub. notes 3.1s, 2015 459,000 480,648
Philip Morris International, Inc. sr. unsec. unsub. notes 5.65s, 2018 196,000 235,904
Procter & Gamble Co. (The) sr. unsec. notes 3 1/2s, 2015 263,000 278,497
5,511,956
Energy (1.2%)
Anadarko Petroleum Corp. sr. notes 5.95s, 2016 170,000 194,667
BP Capital Markets PLC company guaranty sr. unsec. notes 3 7/8s, 2015 (United Kingdom) 148,000 157,605
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 4 1/2s, 2020 (United Kingdom) 115,000 130,889
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 1,000,000 1,077,500
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015 500,000 566,250
Comstock Resources, Inc. company guaranty sr. unsub. notes 8 3/8s, 2017 685,000 729,525
ConocoPhillips company guaranty sr. unsec. notes 4.6s, 2015 521,000 561,647
EnCana Holdings Finance Corp. company guaranty sr. unsec. unsub. notes 5.8s, 2014 (Canada) 230,000 243,762
Forest Oil Corp. company guaranty sr. unsec. notes 8 1/2s, 2014 518,000 551,670
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia) 500,000 544,160
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017 110,000 117,425
Linn Energy LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 1,250,000 1,273,438
Offshore Group Investment, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 748,000 811,580
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 265,000 302,100
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 1,805,000 1,729,316
Quicksilver Resources, Inc. company guaranty sr. unsec. notes 8 1/4s, 2015 500,000 482,500
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 280,000 285,600
Shell International Finance BV company guaranty sr. unsec. notes 3.1s, 2015 (Netherlands) 459,000 485,747
XTO Energy, Inc. sr. unsec. unsub. notes 6 1/4s, 2017 196,000 240,675
10,486,056
Financials (3.3%)
Allstate Corp. (The) sr. unsec. unsub. notes 5s, 2014 196,000 208,599
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 1,000,000 1,112,593
American Express Credit Corp. sr. unsec. unsub. notes 5 1/8s, 2014 588,000 627,802
American International Group, Inc. sr. unsec. notes Ser. MTN, 5.45s, 2017 325,000 371,372
Bank of America Corp. sr. unsec. notes 5 3/4s, 2017 2,085,000 2,407,153
Bank of New York Mellon Corp. (The) sr. unsec. unsub. notes 1.969s, 2017 265,000 271,254
Barclays Bank PLC sr. unsec. unsub. notes 5.2s, 2014 (United Kingdom) 359,000 380,997
BB&T Corp. unsec. sub. notes 5.2s, 2015 196,000 217,620
Berkshire Hathaway, Inc. sr. unsec. unsub. notes 3.2s, 2015 717,000 754,164
Capital One Financial Corp. sr. unsec. unsub. notes 6 3/4s, 2017 263,000 318,509
CB Richard Ellis Services, Inc. company guaranty sr. unsec. sub. notes 11 5/8s, 2017 650,000 708,500
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018 900,000 963,000
Citigroup, Inc. sr. unsec. notes 6 1/8s, 2018 218,000 259,665
Credit Suisse Guernsey sr. unsec. notes 5 1/2s, 2014 818,000 867,391
Deutsche Bank AG sr. unsec. notes 6s, 2017 (United Kingdom) 359,000 428,337
E*Trade Financial Corp. sr. notes 6 3/4s, 2016 480,000 510,000
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 430,000 446,125
General Electric Capital Corp. sr. unsec. unsub. notes 6s, 2019 2,050,000 2,479,424
Goldman Sachs Group, Inc. (The) sr. unsec. notes 6 1/4s, 2017 1,597,000 1,869,106
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. debs. FRB 8 1/8s, 2038 645,000 746,588
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB bonds 6.071s, perpetual maturity (Jersey) 265,000 231,875
HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021 435,000 517,621
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018 750,000 803,438
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 7 3/4s, 2016 700,000 727,125
Jefferies Group, Inc. sr. unsec. notes 3 7/8s, 2015 1,500,000 1,558,319
JPMorgan Chase & Co. sr. unsec. unsub. notes 3.7s, 2015 1,759,000 1,853,332
LBG Capital No. 1 PLC 144A jr. unsec. sub. FRN notes 8s, 2049 (United Kingdom) 200,000 211,750
MetLife, Inc. sr. unsec. 6 3/4s, 2016 263,000 310,073
PNC Funding Corp. bank guaranty sr. unsec. notes 3 5/8s, 2015 167,000 176,449
Prudential Financial, Inc. sr. disc. unsec. unsub. notes Ser. MTN, 4 3/4s, 2015 325,000 354,982
Simon Property Group LP sr. unsec. unsub. notes 3 3/8s, 2022(R) 230,000 239,672
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018 230,000 274,012
UBS AG/Stamford CT sr. unsec. notes Ser. DPNT, 3 7/8s, 2015 250,000 264,952
US Bancorp sr. unsec. unsub. notes 2.45s, 2015 263,000 273,087
Vnesheconombank Via VEB Finance PLC 144A bank guaranty, sr. unsec. unsub. bonds 6.8s, 2025 (Russia) 250,000 303,125
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia) 500,000 538,750
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,500,000 1,668,750
Wells Fargo & Co. sr. unsec. unsub. notes 5 5/8s, 2017 1,334,000 1,579,331
Westpac Banking Corp. sr. unsec. unsub. notes 3s, 2015 (Australia) 230,000 242,134
28,076,976
Health care (0.9%)
Amgen, Inc. sr. unsec. notes 5.85s, 2017 196,000 230,990
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) 196,000 235,424
CIGNA Corp. sr. unsec. unsub. notes 4 1/2s, 2021 175,000 194,636
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 445,000 648,964
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) $500,000 556,250
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 525,000 598,500
GlaxoSmith Kline Capital, Inc. company guaranty sr. unsec. unsub. notes 4 3/8s, 2014 263,000 275,573
HCA, Inc. company guaranty sr. notes 8 1/2s, 2019 50,000 55,625
HCA, Inc. sr. notes 6 1/2s, 2020 610,000 681,675
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 1,390,000 1,469,925
Merck & Co., Inc. sr. unsec. notes 4s, 2015 297,000 321,354
Novartis Capital Corp. company guaranty sr. unsec. notes 2.9s, 2015 263,000 276,168
Pfizer, Inc. sr. unsec. notes 5.35s, 2015 622,000 682,321
Rottapharm Ltd. 144A sr. unsec. notes 6 1/8s, 2019 (Ireland) 260,000 364,509
Service Corporation International sr. notes 7s, 2017 185,000 212,519
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 665,000 729,006
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019 80,000 90,400
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 196,000 236,322
WellPoint, Inc. unsec. unsub. notes 5 1/4s, 2016 93,000 103,709
7,963,870
Technology (0.5%)
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK) 740,000 751,100
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015 330,000 334,125
Cisco Systems, Inc. sr. unsec. unsub. notes 5 1/2s, 2016 297,000 338,899
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015 500,000 515,313
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 1,000,000 1,100,000
Hewlett-Packard Co. sr. unsec. notes 6 1/8s, 2014 263,000 276,002
IBM Corp. sr. unsec. notes 5.7s, 2017 392,000 470,030
Oracle Corp. sr. unsec. notes 5 1/4s, 2016 359,000 405,800
Xerox Corp. sr. unsec. unsub. notes 4 1/4s, 2015 230,000 242,178
4,433,447
Transportation (—%)
United Parcel Service, Inc. sr. unsec. unsub. notes 3 7/8s, 2014 196,000 203,635
203,635
Utilities and power (0.9%)
AES Corp. (The) sr. unsec. unsub. notes 9 3/4s, 2016 150,000 178,500
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017 1,000,000 1,155,000
Appalachian Power Co. sr. unsec. unsub. notes 7s, 2038 111,000 148,147
Calpine Corp. 144A sr. notes 7 1/4s, 2017 315,000 333,900
Carolina Power & Light Co. 1st mtge. bonds 5.3s, 2019 160,000 190,460
Consolidated Edison Co. of New York sr. unsec. notes 7 1/8s, 2018 93,000 120,183
Dominion Resources, Inc. sr. unsec. unsub. notes Ser. 07-A, 6s, 2017 510,000 611,521
Duke Energy Corp. sr. unsec. unsub. notes 6.3s, 2014 510,000 538,011
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013 (In default)(NON) 1,000,000 490,000
El Paso Corp. sr. unsec. notes 7s, 2017 465,000 533,065
Electricite de France SA 144A unsec. sub. FRN notes 5 1/4s, perpetual maturity (France) 585,000 575,494
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds Ser. L, 6.3s, 2017 230,000 276,931
Exelon Corp. sr. unsec. notes 4.9s, 2015 488,000 530,500
FirstEnergy Corp. sr. unsec. unsub. notes Ser. C, 7 3/8s, 2031 130,000 162,467
FPL Group Capital, Inc. company guaranty sr. unsec. notes 7 7/8s, 2015 163,000 193,492
Kinder Morgan Energy Partners LP notes 6s, 2017 263,000 304,102
National Rural Utilities Cooperative Finance Corp. sr. bonds 10 3/8s, 2018 134,000 197,187
Pacific Gas & Electric Co. sr. notes 8 1/4s, 2018 185,000 249,650
Pacific Gas & Electric Co. sr. unsec. bonds 4.8s, 2014 130,000 135,703
Southern Power Co. sr. unsec. notes Ser. D, 4 7/8s, 2015 196,000 214,994
Texas-New Mexico Power Co. 144A 1st mtge. bonds 9 1/2s, 2019 125,000 169,420
TransCanada Pipelines, Ltd. sr. unsec. unsub. notes 6 1/2s, 2018 (Canada) 230,000 287,157
7,595,884
Total corporate bonds and notes (cost $100,917,413) $105,084,928

SENIOR LOANS (6.3%)(a)(c)
Principal amount Value
Basic materials (0.2%)
INEOS Group Holdings, Ltd. bank term loan FRN Ser. B, 6 1/2s, 2018 (United Kingdom) $744,375 $760,654
Novelis, Inc./GA bank term loan FRN Class B, 4s, 2017 279,301 282,501
Tube City IMS Corp. bank term loan FRN Ser. B, 5 3/4s, 2019 660,013 666,613
1,709,768
Capital goods (0.5%)
Generac Power Systems, Inc. bank term loan FRN Class B, 6 1/4s, 2018 995,000 1,016,559
Husky Injection Molding Systems, Ltd. bank term loan FRN Class B, 5 3/4s, 2018 (Canada) 464,368 470,559
SRAM Corp. bank term loan FRN 8 1/2s, 2018 595,000 603,181
SRAM Corp. bank term loan FRN 4.761s, 2018 160,196 161,398
Tomkins Air Distribution bank term loan FRN 9 1/4s, 2020 820,000 838,450
Tomkins Air Distribution bank term loan FRN 5s, 2018 810,000 822,150
3,912,297
Communication services (0.3%)
Asurion Corp. bank term loan FRN Ser. B, 5 1/2s, 2018 1,263,926 1,275,927
MetroPCS Wireless, Inc. bank term loan FRN Ser. B3, 4s, 2018 490,015 491,677
Zayo Group, LLC bank term loan FRN Class B, 5 1/4s, 2019 995,000 1,006,194
2,773,798
Consumer cyclicals (2.3%)
Academy, Ltd. bank term loan FRN Ser. B, 4 3/4s, 2018 1,950,113 1,972,385
Aot Bedding Super Holdings, LLC bank term loan FRN 5s, 2019 735,000 743,269
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B1, 5 1/2s, 2017 1,175,625 1,188,851
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.454s, 2018 1,600,000 1,484,445
Cenveo, Inc. bank term loan FRN Ser. B, 7s, 2016 649,973 652,004
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.862s, 2016 1,131,906 980,690
Compucom Systems, Inc. bank term loan FRN 10 1/4s, 2019 1,000,000 1,017,500
Gateway Casinos & Entertainment, Inc. bank term loan FRN Ser. B1, 6s, 2016 CAD 1,668,937 1,669,104
Greektown Superholdings, Inc. bank term loan FRN Ser. B, 6 1/4s, 2018 $1,000,000 1,003,750
Interactive Data Corp. bank term loan FRN 4 1/2s, 2018 685,009 686,721
J. Crew Group, Inc. bank term loan FRN Ser. B, 4 1/2s, 2018 982,500 988,794
Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4 3/4s, 2018 578,641 579,967
MGM Resorts International bank term loan FRN Ser. B, 4 1/4s, 2019 1,000,000 1,014,792
Motor City Casino bank term loan FRN 6s, 2017 897,947 905,804
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018 1,280,000 1,285,440
Nortek, Inc. bank term loan FRN Class B, 5 1/4s, 2017 83,634 84,226
Realogy Corp. bank term loan FRN Ser. B, 4.456s, 2016 349,587 351,335
Roofing Supply Group, LLC bank term loan FRN Class B, 5.54s, 2019 997,500 1,006,228
Tempur-Pedic International, Inc. bank term loan FRN Ser. B, 5s, 2019 1,000,000 1,015,536
Travelport, LLC bank term loan FRN Ser. B, 5.056s, 2015 760,442 743,650
Travelport, LLC bank term loan FRN Ser. S, 5.061s, 2015 239,558 234,267
Van Wagner Communications, Inc. bank term loan FRN Ser. B, 8 1/4s, 2018 500,000 505,000
20,113,758
Consumer staples (0.4%)
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 460,204 461,643
Landry's, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017 632,407 640,464
Revlon Consumer Products Corp. bank term loan FRN 4 3/4s, 2017 1,477,500 1,488,027
Rite Aid Corp. bank term loan FRN 4 1/2s, 2018 964,553 963,950
3,554,084
Energy (0.2%)
Frac Tech International, LLC bank term loan FRN Ser. B, 8 1/2s, 2016 411,115 357,842
Vantage Drilling Co. bank term loan FRN Class B, 6 1/4s, 2017 1,318,313 1,328,200
1,686,042
Financials (0.8%)
CNO Financial Group, Inc. bank term loan FRN Class B2, 5s, 2018 1,197,462 1,207,940
iStar Finanacial, Inc. bank term loan FRN 5 3/4s, 2017(R) 1,147,574 1,164,787
Nuveen Investments, Inc. bank term loan FRN 8 1/4s, 2019 1,125,000 1,147,500
Nuveen Investments, Inc. bank term loan FRN Ser. B, 5.811s, 2017 587,336 591,374
Nuveen Investments, Inc. bank term loan FRN Ser. B, 5.811s, 2017 502,664 507,691
Springleaf Financial Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017 825,000 826,444
Walter Investment Management Corp. bank term loan FRN 5 3/4s, 2017 750,000 756,563
Walter Investment Management Corp. bank term loan FRN 5 3/4s, 2017 987,500 996,141
7,198,440
Health care (1.1%)
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 1,000,000 1,016,250
Health Management Associates, Inc. bank term loan FRN Ser. B, 4 1/2s, 2018 1,113,750 1,123,844
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018 1,057,493 1,065,756
Kinetic Concepts, Inc. bank term loan FRN Ser. C1, 5 1/2s, 2018 1,351,587 1,371,523
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017 785,936 788,146
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 5s, 2019 374,063 378,504
Pharmaceutical Product Development, Inc. bank term loan FRN Ser. B, 6 1/4s, 2018 712,800 721,710
Pharmaceutical Product Development, Inc. bank term loan FRN Ser. B, 4 1/4s, 2018 712,800 716,364
Valeant Pharmaceuticals International, Inc. bank term loan FRN Class C, 4 1/4s, 2019 (Canada) 950,000 962,588
Valeant Pharmaceuticals International, Inc. bank term loan FRN Class D, 4 1/4s, 2019 (Canada) 950,000 962,023
9,106,708
Technology (0.3%)
First Data Corp. bank term loan FRN 4.205s, 2018 1,500,000 1,486,407
Lawson Software bank term loan FRN Class B2, 5 1/4s, 2018 684,061 693,124
2,179,531
Utilities and power (0.2%)
EP Energy/EP Energy Finance, Inc. bank term loan FRN 5s, 2018 1,000,000 1,010,417
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.742s, 2017 1,093,159 717,556
1,727,973
Total senior loans (cost $53,508,118) $53,962,399

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (6.0%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 $725,000 $587,250
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013 1,305,000 1,313,483
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 3,710,000 3,242,540
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 220,000 248,600
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017 775,000 849,703
Spain (Government of) sr. unsec. unsub. bonds 5.85s, 2022 29,742,000 42,917,389
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017 150,000 151,695
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013 1,700,000 1,711,730
Total foreign government and agency bonds and notes (cost $49,688,833) $51,022,390

COMMODITY LINKED NOTES (4.4%)(a)(CLN)
Principal amount Value
Deutsche Bank AG/London 144A sr. unsec. notes Ser. A, 1-month LIBOR less 0.16%, 2013 (Indexed to the DB Custom Commodity Index: 75% S&P GSCI Gold Index TR and 25% S&P GSCI Light Energy Index TR multiplied by 3) (United Kingdom) $4,909,000 $5,777,402
Deutsche Bank AG/London 144A sr. unsec. notes Ser. 00DL, 1-month LIBOR less 0.16%, 2013 (Indexed to the DB Commodity Booster OYE Benchmark Light Energy TR Index multiplied by 3) (United Kingdom) $2,825,000 $2,721,323
Deutsche Bank AG/London 144A sr. unsec. notes Ser. A, 1-month LIBOR less 0.16%, 2013 (Indexed to the S&P GSCI TR Index multiplied by 3) (United Kingdom) $2,712,000 $2,691,118
UBS AG/London 144A notes 1-month LIBOR less 0.10%, 2013 (Indexed to the UBS Custom Commodity Index: 75% S&P GSCI Gold Index TR and 25% S&P GSCI Light Energy Index TR multiplied by 3) (Jersey) $4,909,000 $5,781,949
UBS AG/London 144A sr. notes, 1-month LIBOR less 0.10%, 2013 (Indexed to the S&P GSCI TR Index multiplied by 3) (Jersey) $2,712,000 $2,694,677
UBS AG/London 144A notes 1-month LIBOR less 0.10%, 2013 (Indexed to the UBSIF3AT Index multiplied by 3) (Jersey) $18,058,000 $18,397,322
Total commodity Linked Notes (cost $36,125,000) $38,063,791

INVESTMENT COMPANIES (1.2%)(a)
Shares Value
Ares Capital Corp. 50,700 $908,037
PowerShares DB Gold Fund(NON) 159,300 9,075,321
Total investment Companies (cost $9,737,163) $9,983,358

PURCHASED EQUITY OPTIONS OUTSTANDING (0.2%)(a)
Expiration Contract
date/ strike amount Value
SPDR S&P 500 ETF Trust (Put) Jan-14/$125.00 55,205 $178,158
SPDR S&P 500 ETF Trust (Put) Dec-13/120.00 196,257 430,242
SPDR S&P 500 ETF Trust (Put) Nov-13/115.00 163,591 223,379
SPDR S&P 500 ETF Trust (Put) Oct-13/123.00 169,261 313,593
SPDR S&P 500 ETF Trust (Put) Sep-13/125.00 178,845 320,147
SPDR S&P 500 ETF Trust (Put) Aug-13/115.00 99,419 68,740
SPDR S&P 500 ETF Trust (Put) Aug-13/115.00 64,700 44,735
SPDR S&P 500 ETF Trust (Put) Jul-13/115.00 121,567 66,913
SPDR S&P 500 ETF Trust (Put) Jul-13/115.00 42,700 23,503
SPDR S&P 500 ETF Trust (Put) Jun-13/110.00 144,323 38,556
SPDR S&P 500 ETF Trust (Put) Jun-13/110.00 20,000 5,343
SPDR S&P 500 ETF Trust (Put) May-13/108.00 129,078 17,724
SPDR S&P 500 ETF Trust (Put) Apr-13/117.00 141,593 21,798
SPDR S&P 500 ETF Trust (Put) Mar-13/116.00 116,203 6,499
SPDR S&P 500 ETF Trust (Put) Feb-13/115.00 117,974 173
Total purchased equity options outstanding (cost $8,995,161) $1,759,503

SHORT-TERM INVESTMENTS (20.4%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.10%(AFF) 34,978,597 $34,978,597
SSgA Prime Money Market Fund 0.06%(P) 18,568,000 18,568,000
U.S. Treasury Bills with an effective yield of 0.125%, December 12, 2013(SEG)(SEGSF) $7,500,000 7,491,503
U.S. Treasury Bills with an effective yield of 0.147%, November 14, 2013(SEG)(SEGSF)(SEGCCS) 16,500,000 16,484,606
U.S. Treasury Bills with effective yields ranging from 0.155% to 0.180%, August 22, 2013(SEG) 26,500,000 26,484,392
U.S. Treasury Bills with effective yields ranging from 0.152% to 0.178%, July 25, 2013(SEG) 20,000,000 19,989,860
U.S. Treasury Bills with an effective yield of 0.161%, June 27, 2013 16,500,000 16,494,308
U.S. Treasury Bills with an effective yield of 0.167%, May 30, 2013 5,000,000 4,998,690
U.S. Treasury Bills with an effective yield of 0.168%, May 2, 2013(SEG) 7,250,000 7,248,731
U.S. Treasury Bills with effective yields ranging from 0.136% to 0.163%, April 4, 2013(SEG) 15,000,000 14,998,575
U.S. Treasury Bills with an effective yield of 0.144%, February 7, 2013(SEG) 7,250,000 7,249,825
Total short-term investments (cost $174,956,487) $174,987,087

TOTAL INVESTMENTS
Total investments (cost $1,041,347,710)(b) $1,078,230,804













FORWARD CURRENCY CONTRACTS at 1/31/13 (aggregate face value $276,287,562) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
British Pound Buy 2/20/13 $98,799 $101,631 $(2,832)
Canadian Dollar Sell 2/20/13 1,230,290 1,245,302 15,012
Chilean Peso Buy 2/20/13 1,520,889 1,521,130 (241)
Euro Sell 2/20/13 1,023,062 927,224 (95,838)
Japanese Yen Sell 2/20/13 3,910,264 4,070,917 160,653
Peruvian New Sol Buy 2/20/13 1,100,226 1,112,290 (12,064)
Swiss Franc Sell 2/20/13 2,599,732 2,528,351 (71,381)
Barclays Bank PLC
Australian Dollar Buy 2/20/13 1,812,366 1,823,952 (11,586)
Brazilian Real Buy 2/20/13 1,490,520 1,460,099 30,421
British Pound Sell 2/20/13 1,501,490 1,545,392 43,902
Canadian Dollar Sell 2/20/13 2,889,517 2,931,221 41,704
Chilean Peso Buy 2/20/13 2,061,219 2,050,435 10,784
Czech Koruna Sell 2/20/13 728,406 714,507 (13,899)
Euro Sell 2/20/13 5,826,728 5,556,744 (269,984)
Indonesian Rupiah Buy 2/20/13 373,626 367,555 6,071
Indonesian Rupiah Sell 2/20/13 373,626 371,689 (1,937)
Japanese Yen Sell 2/20/13 6,182,645 6,380,819 198,174
Malaysian Ringgit Buy 2/20/13 1,272,280 1,301,839 (29,559)
Mexican Peso Buy 2/20/13 1,946,838 1,932,164 14,674
New Taiwan Dollar Buy 2/20/13 49,875 51,193 (1,318)
New Zealand Dollar Buy 2/20/13 377,322 376,441 881
New Zealand Dollar Sell 2/20/13 377,322 373,887 (3,435)
Norwegian Krone Sell 2/20/13 1,288,943 1,296,729 7,786
Polish Zloty Buy 2/20/13 672,246 663,025 9,221
Russian Ruble Buy 2/20/13 2,474,309 2,448,390 25,919
Singapore Dollar Buy 2/20/13 113,115 113,373 (258)
Singapore Dollar Sell 2/20/13 113,115 114,545 1,430
South Korean Won Buy 2/20/13 1,106,704 1,140,116 (33,412)
Swedish Krona Buy 2/20/13 3,808,602 3,713,121 95,481
Swiss Franc Sell 2/20/13 3,711,171 3,686,421 (24,750)
Thai Baht Buy 2/20/13 593,069 582,818 10,251
Thai Baht Sell 2/20/13 593,069 592,612 (457)
Turkish Lira Buy 2/20/13 1,825,584 1,795,898 29,686
Citibank, N.A.
Australian Dollar Buy 2/20/13 3,406,324 3,428,710 (22,386)
Brazilian Real Buy 2/20/13 1,099,956 1,068,269 31,687
British Pound Sell 2/20/13 2,589,546 2,652,585 63,039
Canadian Dollar Buy 2/20/13 1,160,236 1,146,670 13,566
Canadian Dollar Sell 2/20/13 1,160,236 1,175,330 15,094
Czech Koruna Sell 2/20/13 728,395 715,170 (13,225)
Euro Sell 2/20/13 4,108,407 3,922,201 (186,206)
Japanese Yen Sell 2/20/13 3,910,264 4,070,329 160,065
South Korean Won Buy 2/20/13 1,528,131 1,563,211 (35,080)
Swedish Krona Buy 2/20/13 1,287,113 1,247,938 39,175
Swiss Franc Sell 2/20/13 5,201,992 5,074,877 (127,115)
Turkish Lira Buy 2/20/13 918,606 902,815 15,791
Credit Suisse International
Australian Dollar Buy 2/20/13 4,501,909 4,513,183 (11,274)
Brazilian Real Buy 2/20/13 1,904,645 1,846,610 58,035
British Pound Sell 2/20/13 975,461 1,056,638 81,177
Canadian Dollar Sell 2/20/13 547,096 541,665 (5,431)
Chilean Peso Buy 2/20/13 1,520,889 1,519,281 1,608
Chinese Yuan Buy 2/20/13 734,198 732,170 2,028
Czech Koruna Sell 2/20/13 949,921 931,812 (18,109)
Euro Sell 2/20/13 2,340,522 2,162,775 (177,747)
Indonesian Rupiah Buy 2/20/13 373,626 368,410 5,216
Indonesian Rupiah Sell 2/20/13 373,626 371,890 (1,736)
Japanese Yen Sell 2/20/13 5,380,587 5,574,191 193,604
Mexican Peso Buy 2/20/13 1,470,746 1,458,955 11,791
New Zealand Dollar Buy 2/20/13 69,496 68,799 697
New Zealand Dollar Sell 2/20/13 69,496 69,508 12
Philippine Peso Buy 2/20/13 603,222 604,697 (1,475)
Polish Zloty Buy 2/20/13 654,320 650,497 3,823
Russian Ruble Buy 2/20/13 2,474,309 2,449,961 24,348
South Korean Won Buy 2/20/13 1,540,515 1,571,272 (30,757)
Swedish Krona Buy 2/20/13 2,523,990 2,459,071 64,919
Swiss Franc Sell 2/20/13 5,010,763 4,977,330 (33,433)
Turkish Lira Buy 2/20/13 1,642,997 1,622,376 20,621
Deutsche Bank AG
Australian Dollar Buy 2/20/13 1,710,921 1,716,861 (5,940)
Brazilian Real Buy 2/20/13 718,816 697,931 20,885
British Pound Sell 2/20/13 229,949 289,868 59,919
Canadian Dollar Sell 2/20/13 582,574 595,283 12,709
Euro Sell 2/20/13 5,341,133 5,168,042 (173,091)
Japanese Yen Sell 2/20/13 1,503,533 1,512,225 8,692
Mexican Peso Buy 2/20/13 378,160 374,734 3,426
Norwegian Krone Sell 2/20/13 703,642 680,468 (23,174)
Polish Zloty Buy 2/20/13 1,698,378 1,672,125 26,253
Singapore Dollar Buy 2/20/13 1,430,258 1,448,612 (18,354)
South Korean Won Buy 2/20/13 1,221,762 1,249,164 (27,402)
Swedish Krona Buy 2/20/13 3,492,410 3,434,066 58,344
Swedish Krona Sell 2/20/13 3,492,410 3,418,899 (73,511)
Swiss Franc Sell 2/20/13 2,604,788 2,552,639 (52,149)
Turkish Lira Buy 2/20/13 830,290 816,602 13,688
Goldman Sachs International
British Pound Sell 2/20/13 1,278,994 1,274,560 (4,434)
Japanese Yen Sell 2/20/13 751,767 755,614 3,847
HSBC Bank USA, National Association
Australian Dollar Buy 2/20/13 2,081,497 2,091,613 (10,116)
British Pound Sell 2/20/13 1,508,467 1,541,344 32,877
Canadian Dollar Sell 2/20/13 707,948 709,139 1,191
Euro Sell 2/20/13 912,390 831,349 (81,041)
Japanese Yen Sell 2/20/13 3,906,307 4,065,146 158,839
Norwegian Krone Sell 2/20/13 965,093 935,261 (29,832)
Philippine Peso Buy 2/20/13 364,273 364,192 81
Russian Ruble Buy 2/20/13 1,440,883 1,422,208 18,675
South Korean Won Buy 2/20/13 1,146,465 1,172,288 (25,823)
Swiss Franc Sell 2/20/13 2,604,898 2,550,577 (54,321)
Turkish Lira Buy 2/20/13 495,236 487,194 8,042
JPMorgan Chase Bank N.A.
Australian Dollar Buy 2/20/13 237,365 257,230 (19,865)
Brazilian Real Buy 2/20/13 1,490,520 1,459,771 30,749
British Pound Sell 2/20/13 2,732,114 2,781,819 49,705
Canadian Dollar Sell 2/20/13 1,895,845 1,893,959 (1,886)
Chilean Peso Buy 2/20/13 1,494,224 1,482,493 11,731
Chinese Yuan Buy 2/20/13 734,214 732,116 2,098
Czech Koruna Sell 2/20/13 1,118,151 1,090,178 (27,973)
Euro Sell 2/20/13 1,432,477 1,302,120 (130,357)
Japanese Yen Sell 2/20/13 4,273,970 4,419,718 145,748
Malaysian Ringgit Buy 2/20/13 1,272,248 1,300,394 (28,146)
Mexican Peso Buy 2/20/13 1,335,269 1,323,947 11,322
New Taiwan Dollar Buy 2/20/13 713,581 728,458 (14,877)
New Zealand Dollar Buy 2/20/13 569,379 568,592 787
New Zealand Dollar Sell 2/20/13 569,379 563,724 (5,655)
Norwegian Krone Buy 2/20/13 1,065,891 1,053,406 12,485
Norwegian Krone Sell 2/20/13 1,065,891 1,038,450 (27,441)
Polish Zloty Buy 2/20/13 712,521 704,579 7,942
Russian Ruble Buy 2/20/13 1,821,482 1,797,934 23,548
South Korean Won Buy 2/20/13 735,105 752,192 (17,087)
Swedish Krona Buy 2/20/13 1,320,084 1,292,487 27,597
Swedish Krona Sell 2/20/13 1,320,084 1,308,593 (11,491)
Swiss Franc Sell 2/20/13 3,711,061 3,667,340 (43,721)
Turkish Lira Buy 2/20/13 1,495,124 1,470,762 24,362
State Street Bank and Trust Co.
Australian Dollar Buy 2/20/13 1,889,856 1,914,296 (24,440)
Brazilian Real Buy 2/20/13 1,908,806 1,852,174 56,632
British Pound Sell 2/20/13 3,202,163 3,313,718 111,555
Canadian Dollar Sell 2/20/13 1,287,916 1,254,705 (33,211)
Chilean Peso Buy 2/20/13 1,520,888 1,520,325 563
Colombian Peso Buy 2/20/13 1,120,703 1,126,212 (5,509)
Czech Koruna Sell 2/20/13 1,118,151 1,090,658 (27,493)
Euro Sell 2/20/13 4,059,929 3,898,266 (161,663)
Indonesian Rupiah Buy 2/20/13 373,626 368,298 5,328
Indonesian Rupiah Sell 2/20/13 373,626 371,926 (1,700)
Japanese Yen Sell 2/20/13 4,739,617 4,885,215 145,598
Mexican Peso Buy 2/20/13 1,438,227 1,426,094 12,133
New Zealand Dollar Buy 2/20/13 378,496 377,206 1,290
New Zealand Dollar Sell 2/20/13 378,496 375,121 (3,375)
Norwegian Krone Buy 2/20/13 1,177,280 1,153,377 23,903
Norwegian Krone Sell 2/20/13 1,177,280 1,159,309 (17,971)
Polish Zloty Buy 2/20/13 865,742 857,945 7,797
South Korean Won Buy 2/20/13 2,351,538 2,415,116 (63,578)
Swedish Krona Buy 2/20/13 402,513 382,895 19,618
Swiss Franc Sell 2/20/13 5,010,982 4,976,244 (34,738)
Thai Baht Buy 2/20/13 407,963 400,714 7,249
Thai Baht Sell 2/20/13 407,963 401,910 (6,053)
Turkish Lira Buy 2/20/13 1,539,026 1,520,553 18,473
UBS AG
Australian Dollar Buy 2/20/13 1,906,937 1,919,217 (12,280)
Australian Dollar Sell 2/20/13 1,906,937 1,907,666 729
British Pound Sell 2/20/13 387,424 420,249 32,825
Canadian Dollar Buy 2/20/13 1,709,036 1,726,070 (17,034)
Canadian Dollar Sell 2/20/13 1,709,036 1,717,251 8,215
Chilean Peso Buy 2/20/13 1,520,889 1,520,245 644
Czech Koruna Sell 2/20/13 1,118,151 1,090,085 (28,066)
Euro Sell 2/20/13 1,655,313 1,560,029 (95,284)
Japanese Yen Sell 2/20/13 5,487,676 5,693,312 205,636
Mexican Peso Buy 2/20/13 1,809,383 1,794,950 14,433
New Taiwan Dollar Buy 2/20/13 650,119 664,468 (14,349)
New Zealand Dollar Buy 2/20/13 377,322 376,859 463
New Zealand Dollar Sell 2/20/13 377,322 373,885 (3,437)
Norwegian Krone Buy 2/20/13 965,093 953,727 11,366
Norwegian Krone Sell 2/20/13 965,093 939,162 (25,931)
Philippine Peso Buy 2/20/13 378,141 379,297 (1,156)
Philippine Peso Sell 2/20/13 378,141 379,815 1,674
Russian Ruble Buy 2/20/13 1,692,838 1,668,058 24,780
Singapore Dollar Buy 2/20/13 1,160,560 1,176,744 (16,184)
Swedish Krona Buy 2/20/13 1,287,113 1,247,843 39,270
Swiss Franc Sell 2/20/13 2,602,700 2,547,690 (55,010)
Thai Baht Buy 2/20/13 768,690 768,073 617
Thai Baht Sell 2/20/13 768,690 756,400 (12,290)
Turkish Lira Buy 2/20/13 494,159 486,739 7,420
WestPac Banking Corp.
Australian Dollar Buy 2/20/13 3,345,707 3,368,257 (22,550)
British Pound Sell 2/20/13 1,612,816 1,648,323 35,507
Canadian Dollar Sell 2/20/13 605,123 618,764 13,641
Euro Sell 2/20/13 2,831,277 2,689,665 (141,612)
Japanese Yen Sell 2/20/13 3,781,673 3,933,916 152,243
Mexican Peso Buy 2/20/13 694,966 689,234 5,732
Total $279,696












FUTURES CONTRACTS OUTSTANDING at 1/31/13 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Long) 331 41,988,984             Mar-13 $(524,606)
Canadian Government Bond 10 yr (Long) 13 1,742,761             Mar-13 (25,468)
Euro-Bund 10 yr (Long) 215 41,424,469             Mar-13 (666,324)
Euro-OAT 10 yr (Short) 475 86,198,293             Mar-13 991,619
FTSE 100 Index (Short) 174 17,275,347             Mar-13 (477,675)
NASDAQ 100 Index E-Mini (Short) 517 28,176,500             Mar-13 (617,346)
S&P 500 Index E-Mini (Long) 773 $57,716,045             Mar-13 1,303,663
S&P Mid Cap 400 Index E-Mini (Long) 479 52,268,480             Mar-13 3,934,027
U.K. Gilt 10 yr (Long) 229 42,264,887             Mar-13 (114,773)
U.S. Treasury Bond 30 yr (Long) 348 49,927,125             Mar-13 (2,125,817)
U.S. Treasury Note 10 yr (Short) 649 85,201,531             Mar-13 428,954
Total $2,106,254












FORWARD PREMIUM SWAP OPTION CONTRACTS at 1/31/13 (Unaudited)


  Swap Counterparty Expiration   Contract  
    date/strike   amount Unrealized
           
           
  Barclays Bank PLC        
    2.25/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-13/2.25    $17,379,000  $7,125
  Citibank, N.A.        
    2.25/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-13/2.25                  27,476,000                      14,562
    2.25/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-13/2.25                  17,379,000                        8,690
  Credit Suisse International        
    2.25/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-13/2.25                  34,675,000                      16,991
    2.25/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-13/2.25                  34,674,000                      16,297
    (2)/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-13/2.0    8,029,000                      61,101
    1.5/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-13/1.5    8,029,000  (13,810)
    (2.25)/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-13/2.25    55,447,000  (298,304)
  Deutsche Bank AG        
    (2.25)/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-13/2.25    55,447,000  (291,097)
  Goldman Sachs International        
    (2)/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-13/2.0    14,502,000  104,124
    1.5/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-13/1.5    14,502,000  (95,278)
    (2.25)/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-13/2.25    55,447,000  (293,315)
    2.25/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-13/2.25                  17,379,000                        6,256
  JPMorgan Chase Bank N.A.        
    (2)/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-13/2.0    4,189,000  28,108
    1.5/3 month USD-LIBOR-BBA/Mar-23 (Purchased) Mar-13/1.5    4,189,000  (27,103)
    2.25/3 month USD-LIBOR-BBA/Mar-23 (Written) Mar-13/2.25                  17,379,000                        7,125
           
  Total        $(748,528)



WRITTEN EQUITY OPTIONS OUTSTANDING at 1/31/13 (premiums $1,757,443) (Unaudited)


Expiration       Contract
Date/strike       amount Value
SPDR S&P 500 ETF Trust (Call) Feb-13/153.00    $1,757,015 $456,733
SPDR S&P 500 ETF Trust (Put) May-13/$90.00        129,078 11,275
SPDR S&P 500 ETF Trust (Put) Apr-13/$100.00        141,593 4,786
SPDR S&P 500 ETF Trust (Put) Mar-13/$100.00        116,203 1,176
SPDR S&P 500 ETF Trust (Put) Feb-13/$100.00        117,974 23
Total $473,993












TBA SALE COMMITMENTS OUTSTANDING at 1/31/13 (proceeds receivable $84,175,234) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3s, March 1, 2043 $6,000,000       3/12/13 $6,179,063
Federal National Mortgage Association, 3s, February 1, 2043 75,000,000       2/12/13 77,460,938
Total $83,640,001















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/13 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty / premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Bank of America N.A.
$6,246,000 (E) $210,803      3/20/23 3 month USD-LIBOR-BBA 1.75% $6,496
Barclays Bank PLC
1,703,000 (E) 1,529      3/20/15 0.45% 3 month USD-LIBOR-BBA 1,631
20,601,000 (E) 524,297      3/20/23 3 month USD-LIBOR-BBA 1.75% (149,564)
2,230,000 (E) (112,169)     3/20/43 2.60% 3 month USD-LIBOR-BBA 83,402
11,791,000 (E) (45,042)     3/20/18 0.90% 3 month USD-LIBOR-BBA 54,946
16,290,000 (E) (4,592)     3/20/15 3 month USD-LIBOR-BBA 0.45% (5,569)
15,739,000 (E) (447,481)     3/20/23 1.75% 3 month USD-LIBOR-BBA 67,343
GBP 1,320,000 —      8/15/31 3.6% 6 month GBP-LIBOR-BBA (256,589)
Citibank, N.A.
$1,390,000 (E) —      10/7/21 3 month USD-LIBOR-BBA 3.0625% 20,975
6,214,000 (E) 5,033      3/20/15 0.45% 3 month USD-LIBOR-BBA 5,406
19,552,000 (E) (605,444)     3/20/23 1.75% 3 month USD-LIBOR-BBA 34,103
26,621,000 (E) 801,794      3/20/23 3 month USD-LIBOR-BBA 1.75% (68,979)
Credit Suisse International
276,177,000 (E) 313,552      3/20/15 0.45% 3 month USD-LIBOR-BBA 330,122
41,274,000 (E) (1,104,018)     3/20/23 1.75% 3 month USD-LIBOR-BBA 246,055
23,682,000 (E) 371,780      3/20/23 3 month USD-LIBOR-BBA 1.75% (402,860)
24,662,000 (E) (21,598)     3/20/15 3 month USD-LIBOR-BBA 0.45% (23,078)
762,000 (E) 30,581      3/20/43 3 month USD-LIBOR-BBA 2.60% (36,246)
34,625,000 (E) (32,619)     3/20/18 0.90% 3 month USD-LIBOR-BBA 261,001
717,000 (E) (42,289)     3/20/43 2.60% 3 month USD-LIBOR-BBA 20,592
Deutsche Bank AG
1,597,000 (E) (12,776)     3/20/18 0.90% 3 month USD-LIBOR-BBA 767
1,017,000 (E) 234      3/20/15 3 month USD-LIBOR-BBA 0.45% 173
14,747,000 (E) 304,805      3/20/43 3 month USD-LIBOR-BBA 2.60% (988,507)
703,000 (E) (56,943)     3/20/43 2.60% 3 month USD-LIBOR-BBA 4,710
26,902,000 (E) 647,068      3/20/23 3 month USD-LIBOR-BBA 1.75% (232,897)
8,567,000 (E) (257,010)     3/20/23 1.75% 3 month USD-LIBOR-BBA 23,217
1,367,000 (E) (1,069)     3/20/18 3 month USD-LIBOR-BBA 0.90% (12,661)
Goldman Sachs International
18,801,000 (E) 359,883      3/20/23 3 month USD-LIBOR-BBA 1.75% (255,098)
10,616,000 (E) (278,425)     3/20/23 1.75% 3 month USD-LIBOR-BBA 68,825
27,960,000 (E) (10,412)     3/20/15 3 month USD-LIBOR-BBA 0.45% (12,089)
761,000 (E) 37,756      3/20/43 3 month USD-LIBOR-BBA 2.60% (28,984)
GBP 1,320,000 —      9/23/31 6 month GBP-LIBOR-BBA 3.1175% 90,070
JPMorgan Chase Bank N.A.
$5,909,000 (E) (191,393)     3/20/23 1.75% 3 month USD-LIBOR-BBA 1,891
9,775,000 (E) 7,038      3/20/15 0.45% 3 month USD-LIBOR-BBA 7,625
9,262,000 (E) 283,426      3/20/23 3 month USD-LIBOR-BBA 1.75% (19,534)
CAD 1,830,000 —      9/21/21 2.3911% 3 month CAD-BA-CDOR (24,321)
Total $(1,187,626)
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/13 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$3,424,100 (E) $(31,012)     3/20/23 1.75% 3 month USD-LIBOR-BBA $80,990
Total $80,990
(E)   Extended effective date.










OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/13 (Unaudited)
Upfront     Fixed payments Total return Unrealized
Swap counterparty / premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$1,556,170 $—      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $20,792
688,991 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,195
baskets 1,116,769 —      3/14/13 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF2) of common stocks 7,829,219
units 12,558 —      3/14/13 3 month USD-LIBOR-BBA minus 0.09% Russell 1000 Total Return Index (3,230,570)
units 9,934 —      3/14/13 3 month USD-LIBOR-BBA minus 0.09% Russell 1000 Total Return Index (2,555,541)
units 6,367 —      3/14/13 3 month USD-LIBOR-BBA minus 0.09% Russell 1000 Total Return Index (1,637,923)
Barclays Bank PLC
$592,159 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (85)
1,233,229 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,878)
1,024,645 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 13,711
2,790,964 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,777)
1,915,067 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (274)
1,611,420 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 270
34,525,833 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 460,750
2,178,888 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 29,077
7,089,307 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (22,295)
973,781 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (2,931)
634,917 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 106
922,823 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 12,315
681,856 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,083
6,244,294 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (19,637)
5,305,369 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 890
1,722,391 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (5,185)
201,134 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,056
83,563 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (94)
458,603 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,442)
2,620,000 —      4/7/16 (2.63%) USA Non Revised Consumer Price Index- Urban (CPI-U) (38,069)
365,077 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 61
1,753,210 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 15,639
7,265,969 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (68,061)
1,040,663 —      1/12/41 3.50% (1 month USD-LIBOR) Synthetic MBX Index 3.50% 30 year Fannie Mae pools (9,748)
3,809,504 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 639
10,648,400 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (33,487)
6,377,410 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (19,197)
2,635,569 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,288)
11,006,526 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (2,732)
6,676,086 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 89,093
7,292,644 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (1,810)
534,296 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (77)
15,541 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (4)
18,757,997 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,146
518,431 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (74)
1,682,217 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (241)
1,219,316 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (175)
Citibank, N.A.
2,125,068 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 356
1,007,614 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 169
baskets 506,444 —      1/17/14 3 month USD-LIBOR-BBA minus 4.40% A basket (CGPUTS14) of common stocks (397,163)
baskets 492 —      2/13/13 (3 month USD-LIBOR-BBA plus 0.10%) A basket (CGPUTQL2) of common stocks 2,201,441
shares 360,400 —      9/10/13 (3 month USD-LIBOR-BBA) Vanguard Index Funds - MSCI Emerging Markets ETF 601,939
units 6,793 —      2/13/13 3 month USD-LIBOR-BBA minus 0.15% Russell 1000 Total Return Index (2,585,313)
units 4,537 —      2/13/13 3 month USD-LIBOR-BBA minus 0.15% Russell 1000 Total Return Index (1,726,713)
Credit Suisse International
$1,269,835 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 213
132,546 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,769
324,219 —      2/11/13 (3 month USD-LIBOR-BBA minus 0.35%) iShares MSCI Emerging Markets Index 1,089,402
688,366 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 9,186
Goldman Sachs International
606,237 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (679)
2,124,807 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,380)
1,639,132 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (1,836)
599,194 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 952
5,926,218 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 9,414
1,500,000 —      3/1/16 2.47% USA Non Revised Consumer Price Index- Urban (CPI-U) 7,109
1,125,000 —      3/3/16 2.45% USA Non Revised Consumer Price Index- Urban (CPI-U) 4,158
2,956,465 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (3,311)
131,921 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,760
1,271,070 1,192      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 16,612
1,273,347 2,586      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 12,206
2,543,688 (1,192)     1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 32,845
2,543,688 3,577      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 37,615
355,750 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 4,748
1,221,678 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 16,303
2,180,017 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 19,446
5,039,889 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 67,258
1,891,156 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 16,869
2,173,717 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (6,836)
816,678 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,568)
6,786,125 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 90,561
4,928,914 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 43,966
1,851,659 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 16,517
620,217 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 8,287
604,840 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 961
1,091,534 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,734
125,435 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (140)
1,449,611 2,378      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 13,150
11,210,015 12,259      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 103,339
1,147,381 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,823
685,485 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,089
2,294,963 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 3,645
1,655,351 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 14,766
463,657 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (519)
5,007,377 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 66,824
238,834 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,187
533,312 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 7,117
2,977,762 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (9,365)
305,735 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (342)
462,754 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (518)
154,492 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (506)
411,858 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,295)
449,038 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (503)
898,256 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (1,006)
608,403 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (681)
2,297,054 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 30,654
1,858,776 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 24,806
3,561,872 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 47,533
2,647,176 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 35,327
349,412 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (391)
1,198,544 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 15,995
2,328,570 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,608)
4,153,096 (47,371)     1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 5,455
4,151,453 41,515      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,102)
3,847,645 (47,494)     1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 3,759
JPMorgan Chase Bank N.A.
1,912,544 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 25,523
2,875,052 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 25,646
UBS AG
105,185 —      5/22/13 3 month USD-LIBOR-BBA plus 0.25% MSCI Emerging Markets TR Net USD (3,532,135)
3,134 —      5/22/13 3 month USD-LIBOR-BBA plus 0.25% MSCI Emerging Markets TR Net USD (25,372)
baskets 476,409 —      5/22/13 (3 month USD-LIBOR-BBA plus 0.75%) A basket (UBSEMBSK) of common stocks (317,125)
shares 130,053 —      2/22/13 (3 month USD-LIBOR-BBA minus 0.20%) iShares MSCI Emerging Markets Index 371,715
Total $(2,692,811)










OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/13 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty / received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Credit Suisse International
     DJ CDX NA IG Series 19 Index BBB+/P $(195,136) $38,800,000 12/20/17 100 bp $52,968
Goldman Sachs International
     DJ CDX NA IG Series 19 Index BBB+/P (34,878) 7,000,000 12/20/17 100 bp 9,884
JPMorgan Chase Bank N.A.
     Belgium Government International Bond, 4 1/4s, 9/28/14 — (257,485) 3,458,000 3/20/17 (100 bp) (314,143)
     Belgium Government International Bond, 4 1/4s, 9/28/14 — (353,495) 3,478,000 12/20/16 (100 bp) (414,411)
     Republic of Austria, 4.65%, 1/5/18 — (419,892) 8,695,000 12/20/16 (100 bp) (644,435)
Total $(1,310,137)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at Jan 31, 2013. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
CAD Canadian Dollar
EUR Euro
GBP British Pound
Key to holding's abbreviations
EMTN Euro Medium Term Notes
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PO Principal Only
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2012 through January 31, 2013 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $855,849,943.
(CLN) The value of the commodity linked notes, which are marked-to-market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(b) The aggregate identified cost on a tax basis is $1,042,202,423, resulting in gross unrealized appreciation and depreciation of $55,773,451 and $20,570,644, respectively, or net unrealized appreciation of $35,202,807.
(NON) Non-income-producing security.
(RES) Security is restricted with regard to public resale. The total market value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $428,610, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund, which is under common ownership and control, were as follows:
Name of affiliate Market value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Market value at the end of the reporting period
Putnam Money Market Liquidity Fund * $75,245,392 $85,964,569 $126,231,364 $21,643 $34,978,597
* Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. 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. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(E) Extended settlement date on premium.
(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $536,259,955 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
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, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, and to enhance the return on securities owned.
The potential risk to the fund is that the change in value of 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, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
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. OTC traded options are valued using prices supplied by dealers. Forward premium swap option contracts include premiums that do not settle until the expiration date of the contract. The delayed settlement of the premiums are factored into the daily valuation of the option contracts.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to hedge interest rate risk, to gain exposure to interest rates, to equitize cash, to hedge prepayment risk and to manage exposure to market risk.
The potential risk to the fund is that the change in value of futures 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, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. 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.
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”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
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. 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 when the contract matures or by delivery of the currency. 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.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Upfront premiums are recorded as realizes gains and losses at the closing of the contract. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin. Payments received or made are recorded as realized gains or losses. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to to hedge sector exposure, to manage exposure to specifi c sectors or industries, to gain exposure to specifi c markets or countries, and to gain exposure to specifi c sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In an OTC credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The OTC credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant OTC credit default contract.
For the fund's average notional amount on OTC credit default contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $1,857,263 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $7,863,680 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $8,439,184.
TBA purchase commitments: The fund may enter into TBA commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.
TBA sale commitments: The fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Basic materials $5,730,344 $— $—
    Capital goods 8,107,811 — —
    Communication services 8,476,504 — —
    Conglomerates 24,366,097 — —
    Consumer cyclicals 42,987,606 — —
    Consumer staples 38,532,655 — —
    Energy 24,833,913 428,610 —
    Financials 45,549,396 — —
    Health care 36,082,409 — —
    Technology 61,198,205 — —
    Transportation 5,874,564 — —
    Utilities and power 10,213,538 — —
Total common stocks 311,953,042 428,610 —
Commodity linked notes $— $38,063,791 $—
Corporate bonds and notes — 105,084,928 —
Foreign government and agency bonds and notes — 51,022,390 —
Investment companies 9,983,358 — —
Mortgage-backed securities — 130,673,161 —
Purchased equity options outstanding — 1,759,503 —
Purchased swap options outstanding — — —
Senior loans 53,962,399
U.S. Government and Agency Mortgage Obligations — 199,831,837 —
U.S. Treasury Obligations — 480,698 —
Short-term investments 53,546,597 121,440,490 —
Totals by level $375,482,997 $702,747,807 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $279,696 $—
Futures contracts 2,106,254 — —
Written equity options outstanding — (473,993) —
Forward premium swap option contracts — (748,528) —
TBA sale commitments — (83,640,001) —
Interest rate swap contracts — (1,751,923) —
Total return swap contracts — (2,660,261) —
Credit default contracts — (49,251) —
Totals by level $2,106,254 $(89,044,261) $—


Market Values of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Market value Market value
Credit contracts $292,866 $342,117
Foreign exchange contracts 3,249,222 2,969,526
Equity contracts 19,090,909 17,576,869
Interest rate contracts 7,567,632 10,850,620
Total $30,200,629 $31,739,132


The average volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows:
Purchased equity option contracts (number of contracts) 6,800,000
Purchased swap option contracts (contract amount) $866,600,000
Written equity option contracts (number of contracts) 9,200,000
Written swap option contracts (contract amount) $512,300,000
Futures contracts (number of contracts) 16,000
Forward currency contracts (contract amount) $1,669,700,000
OTC interest rate swap contracts (notional) $2,024,300,000
Centrally cleared interest rate swap contracts (notional) $10,300,000
OTC total return swap contracts (notional) $2,859,200,000
OTC credit default swap contracts (notional) $245,700,000
* For the reporting period, the transaction volume was minimal.

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:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 28, 2013

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/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: March 28, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 28, 2013