0000928816-13-001680.txt : 20131029 0000928816-13-001680.hdr.sgml : 20131029 20131029133728 ACCESSION NUMBER: 0000928816-13-001680 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20130831 FILED AS OF DATE: 20131029 DATE AS OF CHANGE: 20131029 EFFECTIVENESS DATE: 20131029 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM FUNDS TRUST CENTRAL INDEX KEY: 0001005942 IRS NUMBER: 043299786 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-07513 FILM NUMBER: 131175676 BUSINESS ADDRESS: STREET 1: ONE POST STREET 2: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6172921010 MAIL ADDRESS: STREET 1: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 0001005942 S000024277 Putnam Dynamic Risk Allocation Fund C000071723 Class A C000071724 Class B C000071725 Class C C000071726 Class M C000071727 Class R C000071728 Class Y C000118009 Class R6 C000118010 Class R5 N-Q 1 a_dynamicriskallocation.htm PUTNAM FUNDS TRUST a_dynamicriskallocation.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: May 31, 2014
Date of reporting period: August 31, 2013



Item 1. Schedule of Investments:













Putnam Dynamic Risk Allocation Fund

The fund's portfolio
8/31/13 (Unaudited)
COMMON STOCKS (38.5%)(a)
Shares Value
Basic materials (1.7%)
Amcor, Ltd. (Australia) 11,527 $106,624
American Vanguard Corp. 167 4,188
Asahi Kasei Corp. (Japan) 17,000 124,397
Assa Abloy AB Class B (Sweden) 3,724 158,572
Axiall Corp. 134 5,364
BASF SE (Germany) 3,985 348,292
Bemis Co., Inc. 2,690 107,035
BHP Billiton PLC (United Kingdom) 4,872 141,792
BHP Billiton, Ltd. (Australia) 7,907 250,287
Cambrex Corp.(NON) 1,667 22,721
Chemtura Corp.(NON) 1,487 32,595
Horsehead Holding Corp.(NON) 1,732 20,559
Innophos Holdings, Inc. 444 21,743
Innospec, Inc. 421 17,227
International Flavors & Fragrances, Inc. 1,900 150,119
KapStone Paper and Packaging Corp. 394 16,548
Koninklijke Boskalis Westminster NV (Netherlands) 2,819 111,586
Koppers Holdings, Inc. 136 5,273
Kraton Performance Polymers, Inc.(NON) 493 9,145
L.B. Foster Co. Class A 274 11,623
Landec Corp.(NON) 1,043 13,768
Louisiana-Pacific Corp.(NON) 159 2,379
LSB Industries, Inc.(NON) 1,260 37,825
Minerals Technologies, Inc. 163 7,237
Nitto Denko Corp. (Japan) 3,600 190,490
NN, Inc. 1,265 17,470
OM Group, Inc.(NON) 421 11,965
Packaging Corp. of America 2,850 151,164
PPG Industries, Inc. 2,244 350,535
Rio Tinto PLC (United Kingdom) 2,482 112,044
Rio Tinto, Ltd. (Australia) 2,506 129,037
S&W Seed Co.(NON) 1,108 9,230
Sherwin-Williams Co. (The) 1,634 281,702
Sigma-Aldrich Corp. 1,161 95,748
Sumitomo Metal Mining Co., Ltd. (Japan) 9,000 120,687
Syngenta AG (Switzerland) 422 165,453
Trex Co., Inc.(NON) 455 20,143
Tronox, Ltd. Class A 372 7,946
voestalpine AG (Austria) 4,073 174,277
W.R. Grace & Co.(NON) 87 6,990
Wendel SA (France) 1,169 142,342
3,714,122
Capital goods (1.8%)
ABB, Ltd. (Switzerland) 7,587 162,267
Aisin Seiki Co., Ltd. (Japan) 2,900 110,724
Alliant Techsystems, Inc. 251 24,287
Altra Holdings, Inc. 931 23,135
Astronics Corp.(NON) 197 9,166
AZZ, Inc. 413 15,504
Ball Corp. 3,547 157,558
Boeing Co. (The) 2,412 250,655
Chart Industries, Inc.(NON) 327 37,337
Chase Corp. 547 16,257
Douglas Dynamics, Inc. 805 11,318
DXP Enterprises, Inc.(NON) 173 11,761
European Aeronautic Defence and Space Co. NV (France) 5,493 316,565
Franklin Electric Co., Inc. 626 22,486
Generac Holdings, Inc. 520 20,587
General Dynamics Corp. 3,223 268,315
Greenbrier Companies, Inc.(NON) 1,106 24,962
HEICO Corp. 177 11,063
Hyster-Yale Materials Holdings, Inc. 135 10,207
IHI Corp. (Japan) 34,000 136,565
II-VI, Inc.(NON) 1,238 23,869
IMI PLC (United Kingdom) 8,549 190,114
JGC Corp. (Japan) 5,000 170,046
Kadant, Inc. 522 16,219
Lockheed Martin Corp. 1,554 190,241
Miller Industries, Inc. 663 10,621
Mine Safety Appliances Co. 206 9,915
NACCO Industries, Inc. Class A 80 4,446
Northrop Grumman Corp. 2,720 250,974
NSK, Ltd. (Japan) 18,000 166,818
Polypore International, Inc.(NON) 126 5,387
Raytheon Co. 3,598 271,325
Rockwell Collins, Inc. 1,393 98,583
Roper Industries, Inc. 1,163 143,863
Singapore Technologies Engineering, Ltd. (Singapore) 43,000 133,051
Standard Motor Products, Inc. 916 28,085
Standex International Corp. 231 12,333
Stoneridge, Inc.(NON) 1,547 19,245
Tenneco, Inc.(NON) 222 10,241
THK Co., Ltd. (Japan) 5,300 102,200
TriMas Corp.(NON) 1,008 35,421
United Technologies Corp. 2,227 222,923
Valmont Industries, Inc. 77 10,392
Vinci SA (France) 2,804 144,790
WESCO International, Inc.(NON) 238 17,557
3,929,378
Communication services (1.3%)
Arris Group, Inc.(NON) 273 4,278
Aruba Networks, Inc.(NON) 309 5,139
AT&T, Inc. 10,560 357,245
BroadSoft, Inc.(NON) 93 2,994
BT Group PLC (United Kingdom) 31,891 160,768
CalAmp Corp.(NON) 915 14,997
CenturyLink, Inc. 4,405 145,894
Deutsche Telekom AG (Germany) 10,888 139,469
EchoStar Corp. Class A(NON) 1,815 73,072
Frontier Communications Corp. 3,439 14,891
HSN, Inc. 227 12,226
IAC/InterActiveCorp. 3,995 196,115
Inteliquent, Inc. 738 5,904
Iridium Communications, Inc.(NON) 1,357 9,078
Loral Space & Communications, Inc. 219 14,478
NeuStar, Inc. Class A(NON) 397 20,064
NTT DoCoMo, Inc. (Japan) 91 145,417
Orange (France) 10,803 109,596
Ruckus Wireless, Inc.(NON) 595 8,086
SBA Communications Corp. Class A(NON) 1,181 88,575
Tele2 AB Class B (Sweden) 6,640 83,459
Telefonica SA (Spain)(NON) 9,555 129,756
Telenor ASA (Norway) 6,052 125,790
Telstra Corp., Ltd. (Australia) 33,483 145,613
Ubiquiti Networks, Inc. 951 33,342
USA Mobility, Inc. 701 9,898
Verizon Communications, Inc. 13,189 624,895
Vodafone Group PLC (United Kingdom) 47,784 152,730
2,833,769
Conglomerates (0.8%)
3M Co. 5,974 678,527
Danaher Corp. 5,722 374,905
General Electric Co. 10,156 235,010
Marubeni Corp. (Japan) 9,000 65,179
Siemens AG (Germany) 2,402 254,254
1,607,875
Consumer cyclicals (5.5%)
Adidas AG (Germany) 1,104 116,728
Advance Auto Parts, Inc. 1,109 88,798
Amazon.com, Inc.(NON) 2,507 704,417
ANN, Inc.(NON) 704 24,429
Ascent Capital Group, Inc. Class A(NON) 73 5,390
AutoZone, Inc.(NON) 470 197,372
Babcock International Group PLC (United Kingdom) 7,593 133,907
Bayerische Motoren Werke (BMW) AG (Germany) 1,376 129,647
Big Lots, Inc.(NON) 582 20,614
Blyth, Inc. 464 4,283
Brown Shoe Co., Inc. 348 7,802
Brunswick Corp. 618 22,470
Buckle, Inc. (The) 201 10,408
Bureau Veritas SA (France) 4,258 128,647
Carmike Cinemas, Inc.(NON) 636 11,149
Compagnie Financiere Richemont SA (Switzerland) 1,218 115,719
Compass Group PLC (United Kingdom) 9,288 123,209
Continental AG (Germany) 1,044 157,573
Corporate Executive Board Co. (The) 131 8,494
Crocs, Inc.(NON) 317 4,267
Daihatsu Motor Co., Ltd. (Japan) 6,000 111,865
Deckers Outdoor Corp.(NON) 136 7,987
Deluxe Corp. 879 34,589
Demand Media, Inc.(NON) 1,314 8,515
Destination Maternity Corp. 936 25,993
Dillards, Inc. Class A 1,668 127,202
Dollar General Corp.(NON) 2,552 137,731
Dollar Tree, Inc.(NON) 3,057 161,104
Ecolab, Inc. 4,590 419,297
Equinix, Inc. 1,556 91,944
Experian Group, Ltd. (United Kingdom) 7,132 124,893
Five Below, Inc.(NON) 110 4,043
Francesca's Holdings Corp.(NON) 205 4,945
Fuji Heavy Industries, Ltd. (Japan) 10,000 239,856
G&K Services, Inc. Class A 269 13,837
GameStop Corp. Class A 516 25,908
Genesco, Inc.(NON) 244 15,050
Global Cash Access Holdings, Inc.(NON) 1,169 9,001
Green Dot Corp. Class A(NON) 556 12,766
Harbinger Group, Inc.(NON) 2,543 23,370
Hino Motors, Ltd. (Japan) 10,000 129,415
HMS Holdings Corp.(NON) 223 5,573
Home Depot, Inc. (The) 10,133 754,807
Host Hotels & Resorts, Inc.(R) 17,137 291,843
Isuzu Motors, Ltd. (Japan) 29,000 175,172
ITV PLC (United Kingdom) 63,449 161,846
KAR Auction Services, Inc. 1,350 35,964
Kimberly-Clark Corp. 4,838 452,256
La-Z-Boy, Inc. 387 8,228
LIN Media, LLC Class A(NON) 635 10,668
Lumber Liquidators Holdings, Inc.(NON) 90 8,948
Macy's, Inc. 2,000 88,860
Marcus Corp. 1,155 14,207
MasterCard, Inc. Class A 1,263 765,479
MAXIMUS, Inc. 196 7,352
McGraw-Hill Cos., Inc. (The) 3,288 191,921
Men's Wearhouse, Inc. (The) 426 16,039
MGM China Holdings, Ltd. (Hong Kong) 45,200 134,819
MSC Industrial Direct Co., Inc. Class A 711 54,036
Namco Bandai Holdings, Inc. (Japan) 6,800 108,288
Navistar International Corp.(NON) 432 14,805
Next PLC (United Kingdom) 3,890 295,027
O'Reilly Automotive, Inc.(NON) 1,516 186,028
Omnicom Group, Inc. 3,335 202,268
OPAP SA (Greece) 10,095 100,065
Panasonic Corp. (Japan)(NON) 13,700 123,746
Paychex, Inc. 7,730 298,996
Perry Ellis International, Inc. 894 16,378
PetSmart, Inc. 1,549 109,096
Pier 1 Imports, Inc. 255 5,590
Pitney Bowes, Inc. 796 12,991
Priceline.com, Inc.(NON) 508 476,773
Randstad Holding NV (Netherlands) 1,316 61,127
ReachLocal, Inc.(NON) 427 4,688
Renault SA (France) 1,539 110,000
Ross Stores, Inc. 2,574 173,127
Ryland Group, Inc. (The) 725 25,245
Ryman Hospitality Properties(R) 3,197 105,629
Scripps Networks Interactive Class A 1,348 99,118
Sears Hometown and Outlet Stores, Inc.(NON) 354 11,356
Select Comfort Corp.(NON) 733 18,105
Sinclair Broadcast Group, Inc. Class A 1,264 30,235
SJM Holdings, Ltd. (Hong Kong) 56,000 143,456
Sonic Automotive, Inc. Class A 2,162 47,110
Steven Madden, Ltd.(NON) 212 11,448
Swatch Group AG (The) (Switzerland) 222 127,887
Swatch Group AG (The) (Switzerland) 1,270 127,212
Target Corp. 6,174 390,876
Tile Shop Holdings, Inc.(NON) 588 15,623
Time Warner, Inc. 8,858 536,175
TiVo, Inc.(NON) 511 5,963
Towers Watson & Co. Class A 919 75,588
Town Sports International Holdings, Inc. 878 10,194
Toyota Motor Corp. (Japan) 1,900 114,778
Tractor Supply Co. 1,089 133,261
Vail Resorts, Inc. 127 8,636
ValueClick, Inc.(NON) 694 14,685
Verisk Analytics, Inc. Class A(NON) 1,884 117,147
Viacom, Inc. Class B 5,358 426,282
VOXX International Corp.(NON) 1,714 20,842
Wal-Mart Stores, Inc. 508 37,074
World Fuel Services Corp. 634 24,187
11,899,757
Consumer staples (3.7%)
AFC Enterprises(NON) 585 23,956
Altria Group, Inc. 12,623 427,667
Angie's List, Inc.(NON) 255 5,345
Anheuser-Busch InBev NV (Belgium) 1,644 152,921
Associated British Foods PLC (United Kingdom) 5,529 158,085
Barrett Business Services, Inc. 345 22,173
Beacon Roofing Supply, Inc.(NON) 208 7,557
Blue Nile, Inc.(NON) 220 7,960
Bright Horizons Family Solutions, Inc.(NON) 430 15,656
British American Tobacco (BAT) PLC (United Kingdom) 2,786 140,534
Calbee, Inc. (Japan) 1,600 155,654
Carrefour SA (France) 4,682 146,562
Church & Dwight Co., Inc. 2,002 118,819
Coca-Cola Co. (The) 2,631 100,452
Colgate-Palmolive Co. 7,567 437,146
Core-Mark Holding Co., Inc. 237 14,955
Corrections Corp. of America 4,905 161,571
DeNA Co., Ltd. (Japan) 2,400 46,858
Diageo PLC (United Kingdom) 4,483 137,140
Distribuidora Internacional de Alimentacion SA (Spain) 12,588 99,489
Dunkin' Brands Group, Inc. 1,423 61,317
General Mills, Inc. 8,597 424,004
Geo Group, Inc. (The) 4,566 142,505
Grand Canyon Education, Inc.(NON) 157 5,418
Hain Celestial Group, Inc. (The)(NON) 118 9,650
Heineken Holding NV (Netherlands) 2,741 165,410
Hershey Co. (The) 2,732 251,207
ITT Educational Services, Inc.(NON) 1,833 52,809
Japan Tobacco, Inc. (Japan) 5,100 171,904
JM Smucker Co. (The) 1,284 136,284
Kao Corp. (Japan) 2,600 75,633
Kellogg Co. 3,985 241,929
Kforce, Inc. 1,028 16,726
Koninklijke Ahold NV (Netherlands) 7,361 117,279
Kraft Foods Group, Inc. 2,511 129,994
L'Oreal SA (France) 1,205 201,064
McDonald's Corp. 2,093 197,495
MWI Veterinary Supply, Inc.(NON) 121 18,402
Nestle SA (Switzerland) 6,645 436,001
On Assignment, Inc.(NON) 569 17,167
OpenTable, Inc.(NON) 123 9,168
Panera Bread Co. Class A(NON) 484 79,386
Papa John's International, Inc.(NON) 249 16,964
PepsiCo, Inc. 4,475 356,792
Philip Morris International, Inc. 3,436 286,700
Pinnacle Foods, Inc. 524 14,200
Pool Corp. 155 8,074
Prestige Brands Holdings, Inc.(NON) 591 19,190
Procter & Gamble Co. (The) 3,181 247,768
Reckitt Benckiser Group PLC (United Kingdom) 3,719 252,722
Reynolds American, Inc. 5,307 252,772
SABMiller PLC (United Kingdom) 2,431 115,807
Spartan Stores, Inc. 486 9,992
Starbucks Corp. 7,060 497,871
Suedzucker AG (Germany) 3,342 107,840
Tesco PLC (United Kingdom) 11,474 65,177
TrueBlue, Inc.(NON) 2,130 51,802
Unilever PLC (United Kingdom) 4,136 157,611
United Natural Foods, Inc.(NON) 153 9,276
USANA Health Sciences, Inc.(NON) 112 8,506
Woolworths, Ltd. (Australia) 5,484 173,902
7,994,218
Energy (2.7%)
Alpha Natural Resources, Inc.(NON) 5,780 35,142
BP PLC (United Kingdom) 57,155 395,213
Callon Petroleum Co.(NON) 2,683 12,047
Caltex Australia, Ltd. (Australia) 8,491 142,592
Chevron Corp. 9,226 1,111,087
ConocoPhillips 4,584 303,919
Delek US Holdings, Inc. 454 11,286
Diamond Offshore Drilling, Inc. 1,548 99,118
ENI SpA (Italy) 7,258 165,759
EPL Oil & Gas, Inc.(NON) 842 28,493
EQT Corp. 1,936 165,954
Exxon Mobil Corp. 17,247 1,503,249
FutureFuel Corp. 1,671 26,970
Gulfport Energy Corp.(NON) 203 11,977
Helix Energy Solutions Group, Inc.(NON) 1,026 25,681
Key Energy Services, Inc.(NON) 2,418 16,128
Kodiak Oil & Gas Corp.(NON) 1,206 12,048
Noble Energy, Inc. 2,172 133,426
Oceaneering International, Inc. 1,812 140,575
Phillips 66 4,923 281,103
Repsol YPF SA (Spain) 4,764 110,532
Rosetta Resources, Inc.(NON) 217 10,097
Royal Dutch Shell PLC Class A (United Kingdom) 7,465 241,493
Royal Dutch Shell PLC Class B (United Kingdom) 6,857 230,909
Spectra Energy Corp. 6,191 204,984
Statoil ASA (Norway) 6,939 152,390
Stone Energy Corp.(NON) 547 14,988
Swift Energy Co.(NON) 670 7,558
Total SA (France) 4,096 226,906
Unit Corp.(NON) 243 11,190
Vaalco Energy, Inc.(NON) 3,016 16,769
W&T Offshore, Inc. 489 7,555
5,857,138
Financials (9.1%)
3i Group PLC (United Kingdom) 23,336 129,605
Access National Corp. 520 7,072
AG Mortgage Investment Trust, Inc.(R) 295 5,180
Ageas (Belgium) 4,203 165,425
Agree Realty Corp.(R) 486 13,171
AIA Group, Ltd. (Hong Kong) 37,600 164,417
Alexandria Real Estate Equities, Inc.(R) 2,406 148,378
Alleghany Corp.(NON) 582 225,286
Allianz SE (Germany) 1,419 203,296
Allied World Assurance Co. Holdings AG 1,762 161,628
American Campus Communities, Inc.(R) 295 9,826
American Equity Investment Life Holding Co. 1,228 24,327
American Express Co. 3,895 280,089
Amtrust Financial Services, Inc. 303 10,805
Apartment Investment & Management Co. Class A(R) 5,438 149,708
Arch Capital Group, Ltd.(NON) 2,469 131,622
Arlington Asset Investment Corp. Class A 328 7,616
ARMOUR Residential REIT, Inc.(R) 1,588 6,638
Arthur J Gallagher & Co. 4,183 172,925
Ashford Hospitality Trust, Inc.(R) 1,984 22,876
Assicurazioni Generali SpA (Italy) 7,033 134,780
Australia & New Zealand Banking Group, Ltd. (Australia) 4,820 126,509
AvalonBay Communities, Inc.(R) 1,201 148,804
AXA SA (France) 8,286 180,530
Banco Bilbao Vizcaya Argentaria SA (BBVA) (Spain) 11,494 109,679
Banco Latinoamericano de Exportaciones SA Class E (Panama) 1,143 27,523
Banco Santander Central Hispano SA (Spain) 21,218 149,748
Bank of Hawaii Corp. 5,574 287,061
Bank of Kentucky Financial Corp. 307 8,292
Bank of Yokohama, Ltd. (The) (Japan) 23,000 120,335
Barclays PLC (United Kingdom) 66,734 293,034
Berkshire Hathaway, Inc. Class B(NON) 1,417 157,599
BlackRock, Inc. 698 181,703
BofI Holding, Inc.(NON) 689 44,627
Boston Properties, LP(R) 1,666 170,765
Camden Property Trust(R) 433 26,755
CapLease, Inc.(R) 6,399 54,455
Cardinal Financial Corp. 1,051 17,278
CBL & Associates Properties, Inc.(R) 675 12,960
Chubb Corp. (The) 4,302 357,797
Citizens & Northern Corp. 588 11,290
CNO Financial Group, Inc. 1,308 17,776
Colonial Properties Trust(R) 5,748 126,973
Commonwealth Bank of Australia (Australia) 5,957 383,847
Coresite Realty Corp.(R) 169 5,143
Credit Acceptance Corp.(NON) 165 17,746
Credit Agricole SA (France)(NON) 14,582 147,337
Credit Suisse Group (Switzerland) 3,506 101,060
Cullen/Frost Bankers, Inc. 5,893 417,460
CYS Investments, Inc.(R) 1,034 7,941
DBS Group Holdings, Ltd. (Singapore) 9,000 111,173
DDR Corp.(R) 423 6,565
Deutsche Bank AG (Germany) 3,604 156,043
Dexus Property Group (Australia)(R) 130,128 118,557
DFC Global Corp.(NON) 1,833 20,713
Digital Realty Trust, Inc.(R) 986 54,822
Discover Financial Services 10,924 516,159
Douglas Emmett, Inc.(R) 3,917 90,483
Duke Realty Corp.(R) 1,232 17,975
DuPont Fabros Technology, Inc.(R) 5,059 115,295
Eagle Bancorp, Inc. 485 12,358
East West Bancorp, Inc. 810 23,676
Education Realty Trust, Inc.(R) 1,835 15,763
Encore Capital Group, Inc.(NON) 652 27,951
EPR Properties(R) 284 13,910
Equity Lifestyle Properties, Inc.(R) 3,767 130,903
Equity Residential Trust(R) 6,450 334,691
Essex Property Trust, Inc.(R) 670 96,018
Everest Re Group, Ltd. 1,761 241,169
Federal Realty Investment Trust(R) 2,043 198,804
Financial Institutions, Inc. 627 11,625
First Community Bancshares Inc. 613 9,226
First Industrial Realty Trust(R) 645 9,759
FirstMerit Corp. 746 15,785
Flushing Financial Corp. 659 11,796
General Growth Properties(R) 11,830 226,899
Genworth Financial, Inc. Class A(NON) 5,136 60,605
Glimcher Realty Trust(R) 1,178 11,662
Government Properties Income Trust(R) 4,876 114,001
Greenhill & Co., Inc. 237 11,231
Hammerson PLC (United Kingdom)(R) 10,465 78,412
Hang Seng Bank, Ltd. (Hong Kong) 8,800 136,481
Hanmi Financial Corp.(NON) 1,265 20,657
HCP, Inc.(R) 5,437 221,449
Health Care REIT, Inc.(R) 5,771 354,570
Heartland Financial USA, Inc. 405 11,004
Heritage Financial Group, Inc. 536 9,568
HFF, Inc. Class A 1,677 38,571
HSBC Holdings PLC (United Kingdom) 35,847 375,532
Inland Real Estate Corp.(R) 12,107 118,770
Insurance Australia Group, Ltd. (Australia) 34,038 175,615
IntercontinentalExchange, Inc.(NON) 1,847 331,998
Invesco Mortgage Capital, Inc.(R) 453 6,935
Investor AB Class B (Sweden) 4,390 126,520
Investors Real Estate Trust(R) 1,465 11,940
iStar Financial, Inc.(NON)(R) 1,231 13,639
Joyo Bank, Ltd. (The) (Japan) 23,000 118,276
JPMorgan Chase & Co. 3,331 168,315
Kimco Realty Corp.(R) 11,042 221,171
Legal & General Group PLC (United Kingdom) 41,157 119,143
Lexington Realty Trust(R) 2,763 32,382
Liberty Property Trust(R) 4,670 161,582
LTC Properties, Inc.(R) 668 23,667
Macerich Co. (The)(R) 1,108 62,358
Maiden Holdings, Ltd. (Bermuda) 1,056 13,812
MainSource Financial Group, Inc. 945 13,466
Medical Properties Trust, Inc.(R) 9,101 105,117
MFA Financial, Inc.(R) 1,710 12,312
Mitsubishi UFJ Financial Group (MUFG), Inc. (Japan) 27,900 162,431
Muenchener Rueckversicherungs AG (Germany) 777 141,613
National Health Investors, Inc.(R) 404 22,180
Nelnet, Inc. Class A 547 20,720
Northern Trust Corp. 5,380 295,201
Ocwen Financial Corp.(NON) 366 18,461
OFG Bancorp (Puerto Rico) 621 10,669
One Liberty Properties, Inc.(R) 692 14,788
Pacific Premier Bancorp, Inc.(NON) 668 8,864
PartnerRe, Ltd. 2,187 190,597
People's United Financial, Inc. 32,863 467,312
Peoples Bancorp, Inc. 627 13,142
PHH Corp.(NON) 542 11,312
Piedmont Office Realty Trust, Inc. Class A(R) 7,807 134,124
Popular, Inc. (Puerto Rico)(NON) 493 15,313
Portfolio Recovery Associates, Inc.(NON) 579 30,710
Post Properties, Inc.(R) 2,883 130,398
Prologis, Inc.(R) 6,955 245,094
Protective Life Corp. 474 19,808
Prudential PLC (United Kingdom) 10,433 174,291
PS Business Parks, Inc.(R) 381 27,687
Public Storage(R) 4,365 666,405
Rayonier, Inc.(R) 1,614 89,157
Realty Income Corp.(R) 1,589 62,766
Regency Centers Corp.(R) 3,520 167,376
RenaissanceRe Holdings, Ltd. 1,915 167,371
Republic Bancorp, Inc. Class A 422 11,145
Resona Holdings, Inc. (Japan) 43,200 205,078
Select Income REIT(R) 543 13,211
Senior Housing Properties Trust(R) 655 14,901
Simon Property Group, Inc.(R) 7,034 1,024,361
Skandinaviska Enskilda Banken AB (Sweden) 12,603 129,408
SL Green Realty Corp.(R) 672 58,592
Sovran Self Storage, Inc.(R) 118 7,820
St. Joe Co. (The)(NON) 1,577 30,452
STAG Industrial, Inc.(R) 2,984 59,680
Standard Chartered PLC (United Kingdom) 4,259 95,109
Starwood Property Trust, Inc.(R) 353 8,800
Stewart Information Services Corp. 897 27,439
Sumitomo Mitsui Financial Group, Inc. (Japan) 2,900 128,345
Summit Hotel Properties, Inc.(R) 1,819 17,353
Swedbank AB Class A (Sweden) 6,076 137,521
Symetra Financial Corp. 1,056 18,237
T. Rowe Price Group, Inc. 5,590 392,083
Tanger Factory Outlet Centers(R) 1,400 43,190
Taubman Centers, Inc.(R) 2,452 165,289
Tokyu Land Corp. (Japan) 22,000 202,831
UBS AG (Switzerland) 8,108 157,027
UDR, Inc.(R) 1,349 30,474
Universal Health Realty Income Trust(R) 146 5,856
Validus Holdings, Ltd. 3,928 135,948
Visa, Inc. Class A 3,252 567,214
Vornado Realty Trust(R) 3,689 299,916
WageWorks, Inc.(NON) 381 15,903
Walter Investment Management Corp.(NON) 242 8,879
Washington Banking Co. 745 10,221
Wells Fargo & Co. 4,288 176,151
Westfield Group (Australia) 10,070 98,874
Westpac Banking Corp. (Australia) 5,308 147,172
Wheelock and Co., Ltd. (Hong Kong) 36,000 183,077
19,690,923
Health care (4.5%)
Abaxis, Inc. 131 5,515
Abbott Laboratories 7,751 258,341
AbbVie, Inc. 7,902 336,704
ACADIA Pharmaceuticals, Inc.(NON) 503 10,040
Accuray, Inc.(NON) 1,100 7,282
Actelion, Ltd. (Switzerland) 1,841 125,147
Aegerion Pharmaceuticals, Inc.(NON) 73 6,328
Alere, Inc.(NON) 670 20,884
Align Technology, Inc.(NON) 269 11,715
Alkermes PLC(NON) 277 8,795
Amedisys, Inc.(NON) 557 9,074
AmerisourceBergen Corp. 5,185 295,130
Amgen, Inc. 4,066 442,950
AmSurg Corp.(NON) 375 13,984
Array BioPharma, Inc.(NON) 1,230 6,900
AstraZeneca PLC (United Kingdom) 3,358 165,380
athenahealth, Inc.(NON) 56 5,907
Auxilium Pharmaceuticals, Inc.(NON) 610 10,645
Bayer AG (Germany) 2,483 275,790
Becton, Dickinson and Co. 2,039 198,558
Bio-Reference Labs, Inc.(NON) 147 4,253
Biospecifics Technologies Corp.(NON) 151 2,760
Bristol-Myers Squibb Co. 8,981 374,418
C.R. Bard, Inc. 1,819 208,949
Cardinal Health, Inc. 6,640 333,859
Centene Corp.(NON) 101 5,772
Chemed Corp. 452 31,477
Coloplast A/S Class B (Denmark) 3,291 178,711
Computer Programs & Systems, Inc. 90 4,946
Conatus Pharmaceuticals, Inc.(NON) 174 1,582
Conmed Corp. 811 25,214
Cubist Pharmaceuticals, Inc.(NON) 486 30,793
Cyberonics, Inc.(NON) 123 6,257
DexCom, Inc.(NON) 288 7,790
Eli Lilly & Co. 5,490 282,186
Endo Health Solutions, Inc.(NON) 496 20,381
Exact Sciences Corp.(NON) 604 6,988
Gentium SpA ADR (Italy)(NON) 1,411 27,007
GlaxoSmithKline PLC (United Kingdom) 11,205 285,731
Globus Medical, Inc. Class A(NON) 540 9,515
Greatbatch, Inc.(NON) 1,042 35,397
Haemonetics Corp.(NON) 241 9,604
Health Net, Inc.(NON) 389 11,740
HealthSouth Corp.(NON) 847 26,647
Henry Schein, Inc.(NON) 2,027 204,828
Hi-Tech Pharmacal Co., Inc. 171 7,372
Hill-Rom Holdings, Inc. 617 21,064
Hisamitsu Pharmaceutical Co., Inc. (Japan) 2,000 106,794
Incyte Corp., Ltd.(NON) 153 5,185
Insulet Corp.(NON) 372 12,402
Insys Therapeutics, Inc.(NON) 1,172 32,828
Isis Pharmaceuticals, Inc.(NON) 189 4,882
Jazz Pharmaceuticals PLC(NON) 745 65,329
Johnson & Johnson 3,230 279,104
Kindred Healthcare, Inc.(NON) 803 11,804
Lexicon Pharmaceuticals, Inc.(NON) 1,631 4,061
Magellan Health Services, Inc.(NON) 144 8,094
McKesson Corp. 4,075 494,746
MedAssets, Inc.(NON) 1,143 25,626
Medicines Co. (The)(NON) 696 22,001
Merck & Co., Inc. 14,459 683,766
NewLink Genetics Corp.(NON) 257 4,449
Novartis AG (Switzerland) 3,223 235,027
Novo Nordisk A/S Class B (Denmark) 1,746 291,709
NPS Pharmaceuticals, Inc.(NON) 303 7,605
NxStage Medical, Inc.(NON) 549 6,780
Omega Healthcare Investors, Inc.(R) 1,944 55,210
Orion OYJ Class B (Finland) 4,302 99,671
PDL BioPharma, Inc. 1,548 12,291
Perrigo Co. 659 80,101
Pfizer, Inc. 33,736 951,693
Providence Service Corp. (The)(NON) 1,006 27,001
Quest Diagnostics, Inc. 3,294 193,094
Questcor Pharmaceuticals, Inc. 445 29,673
Ramsay Health Care, Ltd. (Australia) 3,447 114,193
Receptos, Inc.(NON) 143 2,265
Repligen Corp.(NON) 573 5,592
Roche Holding AG-Genusschein (Switzerland) 1,941 484,181
Sabra Health Care REIT, Inc.(R) 1,670 36,924
Salix Pharmaceuticals, Ltd.(NON) 105 7,029
Sanofi (France) 2,324 223,268
Santarus, Inc.(NON) 393 8,850
Sequenom, Inc.(NON) 1,869 5,457
Spectrum Pharmaceuticals, Inc. 820 6,281
STAAR Surgical Co.(NON) 1,495 18,972
Steris Corp. 256 10,468
Suzuken Co., Ltd. (Japan) 2,000 61,496
TearLab Corp.(NON) 345 4,533
Trinity Biotech PLC ADR (Ireland) 466 8,868
Triple-S Management Corp. Class B (Puerto Rico)(NON) 340 6,341
United Therapeutics Corp.(NON) 68 4,822
Ventas, Inc.(R) 6,543 407,367
ViroPharma, Inc.(NON) 1,813 54,662
Warner Chilcott PLC Class A 417 8,945
WellCare Health Plans, Inc.(NON) 592 37,693
9,649,443
Technology (5.6%)
Acacia Research Corp. 254 5,580
Actuate Corp.(NON) 2,817 19,578
Acxiom Corp.(NON) 1,106 27,517
Analog Devices, Inc. 5,264 243,618
Anixter International, Inc.(NON) 341 28,494
Apple, Inc. 9,905 4,824,230
ASML Holding NV (Netherlands) 1,829 160,291
Aspen Technology, Inc.(NON) 500 16,715
Avago Technologies, Ltd. 5,344 205,797
AVG Technologies NV (Netherlands)(NON) 512 11,095
Bottomline Technologies, Inc.(NON) 184 5,008
Brady Corp. Class A 649 21,417
Brocade Communications Systems, Inc.(NON) 3,510 25,974
CACI International, Inc. Class A(NON) 88 5,931
Calix, Inc.(NON) 448 5,757
Cap Gemini (France) 2,613 143,112
Cavium, Inc.(NON) 146 5,544
Ceva, Inc.(NON) 458 8,304
Cirrus Logic, Inc.(NON) 869 19,553
Commvault Systems, Inc.(NON) 237 19,868
Cornerstone OnDemand, Inc.(NON) 236 12,156
CSG Systems International, Inc. 216 5,085
EnerSys 615 31,537
Entegris, Inc.(NON) 1,614 15,172
Fairchild Semiconductor International, Inc.(NON) 625 7,631
FEI Co. 263 20,588
Gemalto NV (Netherlands) 1,281 147,412
GenMark Diagnostics, Inc.(NON) 1,642 18,883
Google, Inc. Class A(NON) 807 683,448
Harris Corp. 1,906 107,937
Honeywell International, Inc. 6,987 555,956
IBM Corp. 5,504 1,003,214
Infoblox, Inc.(NON) 355 12,390
Integrated Silicon Solutions, Inc.(NON) 1,842 19,175
IntraLinks Holdings, Inc.(NON) 1,535 12,004
Intuit, Inc. 5,509 349,987
Ixia(NON) 187 2,715
Keyence Corp. (Japan) 500 164,395
Konica Minolta Holdings, Inc. (Japan) 15,500 126,830
L-3 Communications Holdings, Inc. 1,263 114,087
Lexmark International, Inc. Class A 331 11,307
Linear Technology Corp. 5,339 204,644
Magnachip Semiconductor Corp. (South Korea)(NON) 896 18,323
Manhattan Associates, Inc.(NON) 251 21,963
Maxim Integrated Products, Inc. 6,472 180,213
Mellanox Technologies, Ltd. (Israel)(NON) 210 8,278
Mentor Graphics Corp. 1,373 30,426
Microsemi Corp.(NON) 373 9,601
Microsoft Corp. 9,621 321,341
Motorola Solutions, Inc. 4,470 250,365
MTS Systems Corp. 134 8,063
Netscout Systems, Inc.(NON) 480 11,923
NIC, Inc. 394 8,770
Nomura Research Institute, Ltd. (Japan) 3,500 108,789
NTT Data Corp. (Japan) 26 92,432
Omnivision Technologies, Inc.(NON) 1,048 16,192
Omron Corp. (Japan) 5,600 174,378
Oracle Corp. Japan (Japan) 2,800 114,078
Perficient, Inc.(NON) 849 13,694
Photronics, Inc.(NON) 1,536 11,182
Plantronics, Inc. 119 5,141
Polycom, Inc.(NON) 862 8,560
Procera Networks, Inc.(NON) 603 7,809
PTC, Inc.(NON) 436 11,367
QLIK Technologies, Inc.(NON) 241 7,902
Quantum Corp.(NON) 7,988 11,503
RF Micro Devices, Inc.(NON) 4,941 24,507
Rovi Corp.(NON) 800 14,344
Safeguard Scientifics, Inc.(NON) 621 9,029
SAP AG (Germany) 1,099 81,238
SciQuest, Inc.(NON) 260 5,408
Semtech Corp.(NON) 381 11,323
Silicon Graphics International Corp.(NON) 418 6,161
Silicon Image, Inc.(NON) 2,356 12,770
SoftBank Corp. (Japan) 3,200 199,707
Sparton Corp.(NON) 531 9,967
SS&C Technologies Holdings, Inc.(NON) 447 15,819
Synaptics, Inc.(NON) 438 16,933
Tech Data Corp.(NON) 323 15,879
Texas Instruments, Inc. 12,035 459,737
Tyler Technologies, Inc.(NON) 256 18,916
Ultimate Software Group, Inc.(NON) 212 29,725
Ultra Clean Holdings, Inc.(NON) 1,471 9,782
Unisys Corp.(NON) 617 15,524
Verint Systems, Inc.(NON) 309 10,243
Xilinx, Inc. 5,615 243,803
XO Group, Inc.(NON) 980 11,721
Zynga, Inc. Class A(NON) 1,660 4,698
12,109,463
Transportation (0.8%)
Aegean Marine Petroleum Network, Inc. (Greece) 2,482 22,710
C.H. Robinson Worldwide, Inc. 2,005 114,024
Central Japan Railway Co. (Japan) 2,100 239,250
ComfortDelgro Corp., Ltd. (Singapore) 71,000 102,241
Con-way, Inc. 855 35,568
Copa Holdings SA Class A (Panama) 551 72,060
Hawaiian Holdings, Inc.(NON) 1,606 11,242
International Consolidated Airlines Group SA (Spain)(NON) 30,678 136,193
J. B. Hunt Transport Services, Inc. 1,283 92,376
Quality Distribution, Inc.(NON) 1,604 14,709
SkyWest, Inc. 908 11,704
Southwest Airlines Co. 9,778 125,256
Spirit Airlines, Inc.(NON) 663 20,666
Swift Transportation Co.(NON) 1,913 34,357
United Parcel Service, Inc. Class B 6,462 553,018
Universal Truckload Services, Inc. 620 15,624
US Airways Group, Inc.(NON) 1,587 25,646
Yamato Transport Co., Ltd. (Japan) 5,100 109,203
1,735,847
Utilities and power (1.0%)
Chubu Electric Power Co., Inc. (Japan) 2,800 34,826
Consolidated Edison, Inc. 6,382 358,860
DTE Energy Co. 5,146 344,113
Enel SpA (Italy) 35,588 117,681
GDF Suez (France) 6,408 138,894
Kansai Electric Power, Inc. (Japan)(NON) 19,700 219,938
Kinder Morgan, Inc. 4,826 183,050
Pinnacle West Capital Corp. 3,102 168,346
Red Electrica Corporacion SA (Spain) 3,154 163,592
SCANA Corp. 4,152 199,794
United Utilities Group PLC (United Kingdom) 11,904 125,167
2,054,261
Total common stocks (cost $73,641,032) $83,076,194

CORPORATE BONDS AND NOTES (6.9%)(a)
Principal amount Value
Basic materials (0.8%)
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada) $13,000 $13,711
ArcelorMittal sr. unsec. bonds 10.35s, 2019 (France) 50,000 59,246
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) 25,000 23,000
Ashland, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 40,000 37,400
Ashland, Inc. 144A sr. unsec. notes 4 3/4s, 2022 25,000 23,375
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 55,000 59,538
Axiall Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 5,000 4,638
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 35,000 36,138
Boise Cascade Co. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 15,000 15,488
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 25,000 23,156
Eagle Spinco, Inc. 144A company guaranty sr. unsec. notes 4 5/8s, 2021 5,000 4,700
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 15,000 14,325
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 15,000 15,863
FQM Akubra, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 (Canada) 10,000 10,025
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021 55,000 52,800
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 70,000 82,950
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 50,000 52,250
Hexion U.S. Finance Corp. 144A sr. notes 6 5/8s, 2020 15,000 14,813
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 40,000 39,600
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 100,000 110,500
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 50,000 47,625
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 45,000 38,925
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 90,000 100,688
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 60,000 64,650
LyondellBasell Industries NV sr. unsec. notes 6s, 2021 200,000 226,816
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 15,000 14,400
NOVA Chemicals Corp. 144A sr. notes 5 1/4s, 2023 (Canada) 20,000 19,862
Nufarm Australia, Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 15,000 15,188
PolyOne Corp. 144A sr. unsec. notes 5 1/4s, 2023 35,000 33,513
PQ Corp. 144A sr. notes 8 3/4s, 2018 35,000 36,838
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 30,000 31,125
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 45,000 47,475
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 40,000 38,100
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 5,000 4,750
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 65,000 72,963
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 70,000 66,850
USG Corp. sr. unsec. notes 9 3/4s, 2018 45,000 51,863
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 40,000 38,800
Weyerhaeuser Co. sr. unsec. unsub. debs. 7 1/8s, 2023(R) 35,000 40,705
1,684,652
Capital goods (0.5%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 100,000 105,500
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 10,000 11,000
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 75,000 79,125
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 35,000 34,475
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 95,000 102,600
Crown Americas LLC/Crown Americas Capital Corp. IV 144A company guaranty sr. unsec. notes 4 1/2s, 2023 75,000 69,375
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 50,000 50,750
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 60,000 41,400
GrafTech International, Ltd. company guaranty sr. unsec. notes 6 3/8s, 2020 60,000 60,000
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 15,000 18,621
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 25,000 24,688
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 60,000 55,275
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 75,000 77,438
Renaissance Acquisition Corp. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2021 10,000 9,775
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 25,000 24,781
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 55,000 58,988
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 90,000 93,825
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 80,000 80,400
TransDigm, Inc. 144A sr. unsec. sub. notes 7 1/2s, 2021 15,000 15,863
Triumph Group, Inc. unsec. sub. FRN notes 4 7/8s, 2021 50,000 49,000
1,062,879
Communication services (1.1%)
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 155,000 141,438
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 20,000 17,950
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 15,000 14,700
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 8 3/8s, 2020 10,000 10,575
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 35,000 33,075
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 100,000 105,250
CyrusOne LP/CyrusOne Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022 15,000 15,075
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 120,000 132,900
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 20,000 19,550
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 315,000 340,200
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 20,000 19,950
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg) 115,000 120,175
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg) 155,000 159,650
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 80,000 79,400
MetroPCS Wireless, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 75,000 74,813
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 11 3/8s, 2019 (Luxembourg) 20,000 21,500
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 55,000 51,838
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 30,000 27,975
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 295,000 298,977
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 $330,000 340,725
T-Mobile USA, Inc. 144A sr. unsec. notes 5 1/4s, 2018 25,000 25,250
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 220,000 235,950
Windstream Corp. company guaranty sr. unsec. notes 6 3/8s, 2023 25,000 22,594
2,309,510
Consumer cyclicals (1.5%)
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 170,000 194,225
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 7 1/4s, 2023 25,000 25,250
Bon-Ton Department Stores, Inc. (The) 144A notes 8s, 2021 25,000 24,188
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 80,000 81,800
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 35,000 34,482
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A sr. unsec. notes 9s, 2018(PIK) 20,000 20,450
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 165,000 169,950
Caesars Escrow Corp. sr. unsec. unsub. FRN notes 9s, 2020 220,000 211,200
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 35,000 33,425
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 10,000 9,200
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty sr. notes 7 5/8s, 2016 80,000 84,500
Clear Channel Communications, Inc. company guaranty sr. unsec. unsub. notes 9s, 2019 30,000 28,875
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 75,000 75,188
CST Brands, Inc. 144A company guaranty sr. unsec. notes 5s, 2023 80,000 76,000
D.R. Horton, Inc. company guaranty sr. unsec. FRN notes 5 3/4s, 2023 15,000 14,775
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 65,000 67,113
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R) 15,000 13,950
Gannett Co., Inc. 144A sr. unsec. FRN notes 5 1/8s, 2020 35,000 34,475
General Motors Financial Co., Inc. 144A sr. unsec. notes 4 1/4s, 2023 25,000 22,500
Gibson Brands, Inc. 144A sr. unsec. notes 8 7/8s, 2018 40,000 40,900
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 30,000 31,650
Griffey Intermediate, Inc. / Griffey Finance Sub LLC 144A sr. notes 7s, 2020 55,000 48,538
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 70,000 71,575
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 45,000 49,950
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 35,000 32,375
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 20,000 20,600
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 5,000 5,388
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 25,000 26,438
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 55,000 58,438
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 50,000 50,375
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 45,000 46,913
Lennar Corp. 144A company guaranty sr. unsec. notes 5s, 2022 15,000 13,763
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 50,000 49,125
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 45,000 49,613
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 25,000 25,500
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 125,000 140,313
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 10,000 10,150
Michaels FinCo Holdings, LLC/Michaels FinCo, Inc. 144A sr. unsec. notes 7 1/2s, 2018(PIK) 50,000 50,125
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 95,000 100,225
Navistar International Corp. sr. notes 8 1/4s, 2021 80,000 79,600
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 60,000 61,050
Neiman-Marcus Group, Inc. (The) company guaranty sr. notes 7 1/8s, 2028 80,000 80,000
New Academy Finance Co., LLC/New Academy Finance Corp. 144A sr. unsec. notes 8s, 2018(PIK) 50,000 51,250
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020 20,000 19,000
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 80,000 87,600
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 25,000 25,438
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 6s, 2035 90,000 78,525
Quiksilver, Inc./QS Wholesale, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2018 5,000 5,125
Quiksilver, Inc./QS Wholesale, Inc. 144A sr. unsec. notes 10s, 2020 5,000 5,063
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 175,000 190,313
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 25,000 23,438
Rent-A-Center, Inc. 144A sr. unsec. notes 4 3/4s, 2021 40,000 37,100
RSI Home Products, Inc. 144A company guaranty notes 6 7/8s, 2018 30,000 30,825
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 10,000 10,725
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 25,000 23,688
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 15,000 14,813
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 50,000 47,250
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 5,000 5,163
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 25,000 25,063
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 15,000 14,250
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 25,000 23,688
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK) 105,000 109,725
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 15,000 14,363
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 30,000 32,475
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 55,000 59,606
3,298,636
Consumer staples (0.3%)
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 25,000 23,281
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 35,000 32,550
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019 70,000 75,250
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 20,000 20,000
Claire's Stores, Inc. 144A sr. notes 9s, 2019 30,000 33,413
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 15,000 13,725
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 15,000 14,100
Corrections Corp. of America sr. unsec. FRN notes 4 5/8s, 2023 ( R ) 20,000 18,600
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 80,000 75,600
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 25,000 25,438
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 20,000 20,525
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 30,000 31,725
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 15,000 15,975
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 50,000 53,438
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 5,000 5,275
Post Holdings, Inc. 144A sr. unsec. unsub. notes 7 3/8s, 2022 5,000 5,275
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 75,000 71,438
Sun Merger Sub, Inc. 144A company guaranty sr. unsec. sub. notes 5 7/8s, 2021 15,000 14,925
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 1/4s, 2018 10,000 10,000
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 20,000 21,500
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 15,000 15,413
597,446
Energy (0.6%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 85,000 78,944
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 73,000 73,913
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 15,000 15,075
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 75,000 81,563
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 20,000 19,900
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 20,000 19,400
Continental Resources, Inc. company guaranty sr. unsec. notes 4 1/2s, 2023 25,000 24,563
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 7 1/8s, 2021 30,000 29,700
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 85,000 83,300
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 55,000 58,713
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 70,000 73,150
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 15,000 15,488
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 150,000 150,375
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 25,000 26,563
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 25,000 25,938
Kodiak Oil & Gas Corp. 144A sr. unsec. unsub. notes 5 1/2s, 2022 15,000 14,475
Linn Energy LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 6 1/4s, 2019 90,000 82,800
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 60,000 59,700
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 90,000 91,350
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 50,000 51,967
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 55,000 52,938
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 25,000 24,125
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 20,000 20,100
Samson Investment Co. 144A sr. unsec. notes 10 1/4s, 2020 110,000 114,950
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 15,000 14,925
Seven Generations Energy Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 25,000 25,743
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 40,000 42,500
1,372,158
Financials (0.6%)
Air Lease Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2020 30,000 29,775
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 230,000 246,625
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 185,000 216,913
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 30,000 27,825
CIT Group, Inc. company guaranty sr. notes 5s, 2023 35,000 32,638
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 155,000 158,875
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 100,000 105,000
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB bonds 6.071s, perpetual maturity (Jersey) 20,000 19,275
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A unsec. sub. notes 6s, 2020 40,000 39,800
International Lease Finance Corp. sr. unsec. unsub. notes 4 5/8s, 2021 25,000 23,000
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 30,000 32,325
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 35,000 35,700
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 30,000 29,100
Nationstar Mortgage, LLC/Nationstar Capital Corp. FRN notes 6 1/2s, 2018 10,000 10,075
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 135,000 132,638
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 25,000 24,625
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 75,000 75,938
Springleaf Finance Corp. 144A sr. unsec. notes 6s, 2020 30,000 27,825
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 30,000 30,825
1,298,777
Health care (0.5%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 60,000 59,700
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 65,000 65,650
Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 25,000 25,625
Envision Healthcare Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019 70,000 75,688
HCA, Inc. sr. notes 6 1/2s, 2020 210,000 226,013
Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes 7 3/8s, 2018(PIK) 40,000 40,550
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 55,000 57,613
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 20,000 20,525
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 20,000 21,200
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 125,000 137,344
MPH Intermediate Holding Co. 2 144A sr. unsec. notes 8 3/8s, 2018(PIK) 35,000 35,700
Service Corp. International/US 144A sr. unsec. notes 5 3/8s, 2022 25,000 24,281
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 85,000 87,975
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 100,000 105,750
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 1/2s, 2021 15,000 13,800
Tenet Healthcare Corp. 144A company guaranty sr. notes 4 3/8s, 2021 55,000 49,913
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 90,000 95,400
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 5,000 5,075
VPII Escrow Corp. 144A sr. unsec. notes 6 3/4s, 2018 (Canada) 70,000 74,113
1,221,915
Technology (0.5%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 25,000 25,250
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 15,000 11,588
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 300,000 274,500
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 85,000 95,413
Ceridian Corp. 144A sr. unsec. notes 11s, 2021 35,000 40,338
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 215,000 219,838
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 45,000 46,125
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021 50,000 46,750
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 125,000 135,000
Infor US, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2018 50,000 58,000
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 60,000 59,550
SunGard Data Systems, Inc. unsec. sub. notes 6 5/8s, 2019 30,000 30,450
1,042,802
Transportation (0.1%)
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 100,000 110,500
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 50,000 49,375
159,875
Utilities and power (0.4%)
AES Corp. (VA) sr. unsec. notes 8s, 2020 170,000 192,950
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 25,000 22,938
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 25,000 26,344
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 12 1/4s, 2022 60,000 66,750
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 195,000 204,994
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017(PIK) 31,286 31,990
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 105,000
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 115,000 123,625
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 30,000 28,950
Regency Energy Partners 144A company guaranty sr. unsec. notes 4 1/2s, 2023 55,000 49,088
852,629
Total corporate bonds and notes (cost $15,050,775) $14,901,279

COMMODITY LINKED NOTES (5.1%)(a)(CLN)
Principal amount Value
Deutsche Bank AG/London 144A sr. unsec. notes, 1-month USD LIBOR less 0.16%, 2014 (Indexed to the S&P GSCI Total Return Index multiplied by 3) (United Kingdom) $3,350,000 $4,051,155
UBS AG/London 144A sr. notes, 1-month LIBOR less 0.10%, 2014 (Indexed to the S&P GSCI TR Index multiplied by 3) (Jersey) 4,700,000 5,201,975
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) 724,000 679,850
Deutsche Bank AG/London 144A sr. unsec. notes, 1-month USD LIBOR less 0.16%, 2014 (Indexed to the DB Commodity Booster OYE Benchmark TR Index multiplied by 3) (United Kingdom) 929,000 955,755
Total commodity linked notes (cost $9,703,000) $10,888,735

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (4.3%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.4%)
Government National Mortgage Association Pass-Through Certificates 3s, TBA, September 1, 2043 $1,000,000 $970,078
970,078
U.S. Government Agency Mortgage Obligations (3.9%)
Federal National Mortgage Association Pass-Through Certificates
     6s, TBA, September 1, 2043 2,000,000 2,188,750
     4s, TBA, October 1, 2043 2,000,000 2,060,234
     4s, TBA, September 1, 2043 3,000,000 3,099,141
     3 1/2s, TBA, September 1, 2028 1,000,000 1,045,703
8,393,828
Total U.S. government and agency mortgage obligations (cost $9,377,970) $9,363,906

U.S. TREASURY OBLIGATIONS (0.5%)(a)
Principal amount Value
U.S. Treasury Inflation Protected Securities 2s, January 15, 2014(i) $120,026 $121,473
U.S. Treasury Notes
     2 1/8s, August 15, 2012(i) 491,000 480,242
     1/4s, June 30, 2014(i) 312,000 312,429
     1 1/4s, April 15, 2014(i) 169,000 170,989
     1/4s, September 15, 2015(i) 61,000 60,875
Total U.S. treasury obligations (cost $1,146,008) $1,146,008

MORTGAGE-BACKED SECURITIES (2.0%)(a)
Principal amount Value
Banc of America Commercial Mortgage Trust
     FRB Ser. 07-3, Class A3, 5.797s, 2049 $46,000 $46,131
     FRB Ser. 05-1, Class AJ, 5.465s, 2042 325,000 339,468
     Ser. 06-5, Class A2, 5.317s, 2047 52,687 53,050
     Ser. 05-4, Class B, 5.118s, 2045 212,000 210,410
Bear Stearns Commercial Mortgage Securities, Inc. Ser. 03-T12, Class A4, 4.68s, 2039 39,743 39,831
Citigroup Commercial Mortgage Trust FRB Ser. 06-C4, Class AJ, 5.939s, 2049 175,000 179,061
Comm Mortgage Trust 144A FRB Ser. 12-LC4, Class D, 5.824s, 2044 100,000 103,370
Commercial Mortgage Trust Pass-Through Cerficiates, FRB Ser. 04-LB3A, Class E, 5.521s, 2037 200,000 201,900
Commercial Mortgage Trust 144A
     FRB Ser. 13-LC6, Class D, 4.434s, 2046 226,000 183,640
     FRB Ser. 13-CR6, Class D, 4.316s, 2046 220,000 175,948
DBRR Trust 144A FRB Ser. 13-EZ3, Class A, 1.636s, 2049 192,000 191,705
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 44,000 43,614
GS Mortgage Securities Trust 144A
     Ser. 10-C1, Class D, 6 1/8s, 2043 158,403 170,749
     FRB Ser. 12-GC6, Class D, 5.826s, 2045(F) 193,000 182,786
JPMorgan Chase Commercial Mortgage Securities Corp. FRB Ser. 06-LDP7, Class B, 6.056s, 2045 118,000 100,277
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 10-C1, Class D, 6.523s, 2043 142,000 146,096
     FRB Ser. 11-C3, Class E, 5.725s, 2046(F) 190,000 192,917
LB-UBS Commercial Mortgage Trust
     FRB Ser. 07-C6, Class A4, 5.858s, 2040 163,000 178,273
     Ser. 06-C6, Class E, 5.541s, 2039 125,000 112,896
     Ser. 06-C6, Class D, 5.502s, 2039 125,000 116,075
Merrill Lynch/Countrywide Financial Corp. Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.239s, 2049 129,000 122,550
Morgan Stanley Capital I Trust
     FRB Ser. 07-T27, Class AJ, 5.816s, 2042(F) 150,000 162,733
     FRB Ser. 06-HQ8, Class D, 5.677s, 2044 125,000 114,967
     Ser. 04-T13, Class A4, 4.66s, 2045(F) 33,109 33,442
UBS-Barclays Commercial Mortgage Trust Ser. 13-C6, Class AS, 3.469s, 2046 306,000 288,221
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class C, 5.123s, 2049(F) 50,000 50,102
     FRB Ser. 12-C3, Class D, 5.123s, 2049 146,000 133,422
     Ser. 13-C6, Class D, 4 1/2s, 2046(F) 231,000 190,166
WF-RBS Commercial Mortgage Trust 144A FRB Ser. 12-C6, Class D, 5.748s, 2045 193,000 178,284
Total mortgage-backed securities (cost $4,499,905) $4,242,084

PURCHASED EQUITY OPTIONS OUTSTANDING (0.5%)(a)
Expiration Contract
date/strike price amount Value
SPDR S&P 500 ETF Trust (Put) Aug-14/$145.00 45,287 $266,740
SPDR S&P 500 ETF Trust (Put) Jul-14/147.00 45,281 269,875
SPDR S&P 500 ETF Trust (Put) Jun-14/138.00 45,281 166,181
SPDR S&P 500 ETF Trust (Put) May-14/145.00 45,281 194,271
SPDR S&P 500 ETF Trust (Put) Apr-14/133.00 45,281 92,563
SPDR S&P 500 ETF Trust (Put) Mar-14/130.00 45,281 65,634
Total purchased equity options outstanding (cost $1,024,344) $1,055,264

INVESTMENT COMPANIES (0.1%)(a)
Shares Value
Ares Capital Corp. 7,738 $136,034
Total investment companies (cost $136,283) $136,034

PREFERRED STOCKS (—%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 75 $70,177
M/I Homes, Inc. $2.438 pfd. 1,230 31,033
Total preferred stocks (cost $98,200) $101,210

CONVERTIBLE BONDS AND NOTES (—%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $35,000 $41,803
Total convertible bonds and notes (cost $38,207) $41,803

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
EPR Properties Ser. C, $1.44 cv. pfd. 1,550 $33,228
Total convertible preferred stocks (cost $34,286) $33,228

SHORT-TERM INVESTMENTS (52.4%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.05%(AFF) 11,166,000 $11,166,000
Putnam Short Term Investment Fund 0.07%(AFF) 44,712,179 44,712,179
SSgA Prime Money Market Fund 0.01%(P) 8,990,000 8,990,000
U.S. Treasury Bills with an effective yield of 0.16%, November 14, 2013(SEG) $5,000,000 4,999,824
U.S. Treasury Bills with an effective yield of 0.14%, August 21, 2014(SEGSF)(SEGCCS) 8,000,000 7,990,616
U.S. Treasury Bills with an effective yield of 0.14%, January 9, 2014(SEG)(SEGSF)(SEGCCS) 16,000,000 15,997,985
U.S. Treasury Bills with an effective yield of 0.14%, December 12, 2013(SEG)(SEGCCS) 3,500,000 3,499,778
U.S. Treasury Bills with an effective yield of 0.13%, September 19, 2013 3,650,000 3,649,763
U.S. Treasury Bills with an effective yield of 0.08%, February 6, 2014(SEG)(SEGSF)(SEGCCS) 2,500,000 2,499,566
U.S. Treasury Bills with effective yields ranging from 0.08% to 0.17%, October 17, 2013 9,140,000 9,138,260
U.S. Treasury Bills zero % October 17, 2013(i) 282,000 282,000
Total short-term investments (cost $112,915,269) $112,925,971

TOTAL INVESTMENTS
Total investments (cost $227,665,279)(b) $237,911,716













FORWARD CURRENCY CONTRACTS at 8/31/13 (aggregate face value $95,390,192) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 10/18/13 $657,252 $675,598 $(18,346)
Australian Dollar Sell 10/18/13 657,252 667,658 10,406
British Pound Buy 9/18/13 255,828 255,742 86
British Pound Sell 9/18/13 255,828 253,060 (2,768)
Euro Buy 9/18/13 2,999,358 2,987,004 12,354
Euro Sell 9/18/13 2,999,358 3,004,563 5,205
Singapore Dollar Sell 11/20/13 582,051 581,668 (383)
Swiss Franc Sell 9/18/13 338,904 338,927 23
Barclays Bank PLC
Australian Dollar Sell 10/18/13 517,033 537,599 20,566
British Pound Buy 9/18/13 1,047,174 1,046,502 672
British Pound Sell 9/18/13 1,047,174 1,039,316 (7,858)
Canadian Dollar Sell 10/18/13 284,507 289,623 5,116
Euro Buy 9/18/13 975,291 954,675 20,616
Hong Kong Dollar Sell 11/20/13 170,471 170,473 2
Japanese Yen Buy 11/20/13 2,597,729 2,575,004 22,725
Japanese Yen Sell 11/20/13 2,597,729 2,595,795 (1,934)
Mexican Peso Buy 10/18/13 144,961 145,519 (558)
Mexican Peso Sell 10/18/13 144,447 147,672 3,225
Norwegian Krone Sell 9/18/13 322,243 351,583 29,340
Polish Zloty Buy 9/18/13 334,953 334,659 294
Polish Zloty Sell 9/18/13 334,953 333,064 (1,889)
Singapore Dollar Sell 11/20/13 716,666 716,254 (412)
Swedish Krona Sell 9/18/13 41,316 34,665 (6,651)
Swiss Franc Sell 9/18/13 352,985 346,300 (6,685)
Citibank, N.A.
Australian Dollar Sell 10/18/13 330,046 333,052 3,006
British Pound Buy 9/18/13 717,279 717,621 (342)
British Pound Sell 9/18/13 717,279 714,618 (2,661)
Canadian Dollar Sell 10/18/13 716,010 717,341 1,331
Danish Krone Buy 9/18/13 3,881 3,844 37
Euro Buy 9/18/13 559,480 535,733 23,747
Japanese Yen Buy 11/20/13 339,605 344,781 (5,176)
Japanese Yen Sell 11/20/13 339,605 338,732 (873)
Swedish Krona Buy 9/18/13 447,399 451,357 (3,958)
Swedish Krona Sell 9/18/13 447,399 442,762 (4,637)
Swiss Franc Sell 9/18/13 675,229 665,113 (10,116)
Turkish Lira Sell 9/18/13 245 2,286 2,041
Credit Suisse International
Australian Dollar Sell 10/18/13 712,364 733,498 21,134
British Pound Buy 9/18/13 465,944 461,066 4,878
British Pound Sell 9/18/13 465,944 452,065 (13,879)
Canadian Dollar Buy 10/18/13 39,736 33,612 6,124
Czech Koruna Sell 9/18/13 207,906 206,503 (1,403)
Euro Buy 9/18/13 795,935 774,819 21,116
Japanese Yen Buy 11/20/13 1,475,484 1,464,187 11,297
Mexican Peso Buy 10/18/13 196,035 202,359 (6,324)
New Zealand Dollar Buy 10/18/13 1,387 1,397 (10)
Norwegian Krone Sell 9/18/13 154,581 137,743 (16,838)
Polish Zloty Buy 9/18/13 334,953 334,704 249
Polish Zloty Sell 9/18/13 334,953 332,752 (2,201)
South African Rand Buy 10/18/13 2,029 1,646 383
Swedish Krona Buy 9/18/13 321,897 305,548 16,349
Swiss Franc Sell 9/18/13 168,753 149,466 (19,287)
Turkish Lira Buy 9/18/13 109,660 115,993 (6,333)
Turkish Lira Sell 9/18/13 109,660 116,297 6,637
Deutsche Bank AG
Australian Dollar Sell 10/18/13 342,204 323,026 (19,178)
British Pound Sell 9/18/13 33,935 43,242 9,307
Canadian Dollar Buy 10/18/13 410,164 410,880 (716)
Canadian Dollar Sell 10/18/13 410,164 416,095 5,931
Euro Buy 9/18/13 2,245,190 2,217,364 27,826
Euro Sell 9/18/13 2,236,202 2,233,960 (2,242)
Norwegian Krone Buy 9/18/13 321,916 331,128 (9,212)
Norwegian Krone Sell 9/18/13 321,916 325,307 3,391
Polish Zloty Buy 9/18/13 118,710 116,536 2,174
Polish Zloty Sell 9/18/13 118,710 117,364 (1,346)
Swedish Krona Buy 9/18/13 80,927 81,633 (706)
Swedish Krona Sell 9/18/13 80,927 79,146 (1,781)
Swiss Franc Sell 9/18/13 347,287 317,511 (29,776)
Goldman Sachs International
British Pound Sell 9/18/13 326,022 326,108 86
Canadian Dollar Sell 10/18/13 204,750 211,969 7,219
Euro Buy 9/18/13 325,405 340,864 (15,459)
Japanese Yen Buy 11/20/13 225,286 224,717 569
Japanese Yen Sell 11/20/13 225,286 222,625 (2,661)
Norwegian Krone Buy 9/18/13 79,258 79,750 (492)
Norwegian Krone Sell 9/18/13 79,258 83,112 3,854
HSBC Bank USA, National Association
Australian Dollar Buy 10/18/13 1,135,593 1,156,072 (20,479)
Australian Dollar Sell 10/18/13 1,135,593 1,170,623 35,030
British Pound Buy 9/18/13 958,231 944,968 13,263
British Pound Sell 9/18/13 958,231 951,415 (6,816)
Canadian Dollar Sell 10/18/13 548,529 549,730 1,201
Chinese Yuan (offshore) Sell 11/20/13 613,286 610,563 (2,723)
Euro Buy 9/18/13 245,573 245,394 179
Japanese Yen Buy 11/20/13 2,250,381 2,229,820 20,561
Japanese Yen Sell 11/20/13 2,250,381 2,251,699 1,318
Norwegian Krone Buy 9/18/13 682,375 701,735 (19,360)
Norwegian Krone Sell 9/18/13 682,375 703,764 21,389
Polish Zloty Buy 9/18/13 110,610 111,325 (715)
Polish Zloty Sell 9/18/13 110,610 110,228 (382)
Swedish Krona Buy 9/18/13 321,898 330,752 (8,854)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 10/18/13 51,650 66,810 15,160
Brazilian Real Buy 10/18/13 3,651 2,860 791
British Pound Sell 9/18/13 2,249,611 2,235,984 (13,627)
Canadian Dollar Buy 10/18/13 39,736 29,246 10,490
Czech Koruna Sell 9/18/13 207,906 206,161 (1,745)
Euro Buy 9/18/13 4,935,267 4,919,366 15,901
Euro Sell 9/18/13 4,935,267 4,937,472 2,205
Japanese Yen Buy 11/20/13 1,199,325 1,188,616 10,709
Japanese Yen Sell 11/20/13 1,199,325 1,195,070 (4,255)
Malaysian Ringgit Sell 11/20/13 800,020 800,245 225
Mexican Peso Buy 10/18/13 146,236 149,362 (3,126)
Norwegian Krone Sell 9/18/13 329,527 326,475 (3,052)
Polish Zloty Buy 9/18/13 113,732 111,931 1,801
Polish Zloty Sell 9/18/13 113,732 112,360 (1,372)
Russian Ruble Buy 9/18/13 113,061 115,051 (1,990)
Russian Ruble Sell 9/18/13 113,061 113,562 501
Singapore Dollar Sell 11/20/13 706,630 706,143 (487)
South African Rand Buy 10/18/13 2,009 1,574 435
Swedish Krona Buy 9/18/13 450,747 454,742 (3,995)
Swedish Krona Sell 9/18/13 450,747 453,643 2,896
Swiss Franc Sell 9/18/13 1,545,222 1,530,212 (15,010)
Royal Bank of Scotland PLC (The)
Australian Dollar Sell 10/18/13 13,933 9,822 (4,111)
British Pound Buy 9/18/13 698,374 697,091 1,283
British Pound Sell 9/18/13 698,374 691,181 (7,193)
Euro Buy 9/18/13 685,571 690,864 (5,293)
Euro Sell 9/18/13 685,571 684,085 (1,486)
Japanese Yen Buy 11/20/13 339,605 344,853 (5,248)
Japanese Yen Sell 11/20/13 339,605 338,403 (1,202)
State Street Bank and Trust Co.
Australian Dollar Sell 10/18/13 61,767 34,265 (27,502)
Brazilian Real Buy 10/18/13 3,651 2,461 1,190
British Pound Buy 9/18/13 1,351,037 1,346,702 4,335
British Pound Sell 9/18/13 1,351,037 1,344,546 (6,491)
Canadian Dollar Sell 10/18/13 812,932 822,431 9,499
Czech Koruna Sell 9/18/13 207,906 206,203 (1,703)
Euro Buy 9/18/13 257,998 260,195 (2,197)
Israeli Shekel Buy 10/18/13 7,206 7,191 15
Japanese Yen Buy 11/20/13 36,170 31,738 4,432
Mexican Peso Buy 10/18/13 196,035 202,375 (6,340)
Norwegian Krone Sell 9/18/13 30,524 33,074 2,550
Polish Zloty Buy 9/18/13 113,052 111,756 1,296
Polish Zloty Sell 9/18/13 113,052 110,975 (2,077)
Singapore Dollar Sell 11/20/13 743,009 742,729 (280)
Swedish Krona Sell 9/18/13 41,331 41,728 397
Swiss Franc Sell 9/18/13 352,877 341,346 (11,531)
UBS AG
Australian Dollar Sell 10/18/13 722,658 750,555 27,897
British Pound Buy 9/18/13 891,601 884,940 6,661
British Pound Sell 9/18/13 891,601 883,317 (8,284)
Canadian Dollar Sell 10/18/13 286,594 283,328 (3,266)
Euro Buy 9/18/13 1,818,806 1,805,300 13,506
Japanese Yen Buy 11/20/13 1,277,372 1,262,485 14,887
Japanese Yen Sell 11/20/13 1,277,372 1,274,105 (3,267)
Mexican Peso Buy 10/18/13 145,736 151,313 (5,577)
New Zealand Dollar Buy 10/18/13 17,951 13,680 4,271
Norwegian Krone Sell 9/18/13 55,251 42,692 (12,559)
Polish Zloty Buy 9/18/13 221,220 222,651 (1,431)
Polish Zloty Sell 9/18/13 221,220 220,689 (531)
Russian Ruble Buy 9/18/13 107,269 109,250 (1,981)
Russian Ruble Sell 9/18/13 107,269 107,784 515
Singapore Dollar Sell 11/20/13 794,519 794,157 (362)
Swedish Krona Sell 9/18/13 15,914 16,046 132
Swiss Franc Sell 9/18/13 675,228 664,800 (10,428)
WestPac Banking Corp.
Australian Dollar Sell 10/18/13 35,232 8,691 (26,541)
British Pound Buy 9/18/13 306,962 296,256 10,706
Euro Buy 9/18/13 323,819 314,901 8,918
Japanese Yen Buy 11/20/13 2,250,381 2,232,837 17,544
Japanese Yen Sell 11/20/13 2,250,381 2,253,273 2,892
Total $106,337












FUTURES CONTRACTS OUTSTANDING at 8/31/13 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro STOXX 50 Index (Short) 55 $1,982,277             Sep-13 $(16,537)
Euro-Bobl 5 yr (Long) 53 8,760,834             Sep-13 (79,368)
Euro-Bund 10 yr (Long) 42 7,807,938             Sep-13 (144,377)
Euro-Buxl 30yr Bond (Long) 16 2,648,798             Sep-13 (111,279)
Euro-Schatz 2 yr (Long) 17 2,479,799             Sep-13 (3,303)
FTSE 100 Index (Short) 20 1,986,096             Sep-13 (22,071)
Japanese Government Bond 10 yr (Long) 19 27,933,493             Sep-13 220,822
MSCI EAFE Index Mini (Short) 62 5,244,270             Sep-13 (31,653)
NASDAQ 100 Index E-Mini (Short) 56 3,442,320             Sep-13 (177,744)
S&P 500 Index E-Mini (Long) 56 4,567,640             Sep-13 89,011
U.K. Gilt 10 yr (Long) 25 4,238,431             Dec-13 (5,099)
U.S. Treasury Bond 30 yr (Long) 7 923,344             Dec-13 10,541
U.S. Treasury Note 10 yr (Long) 24 2,982,750             Dec-13 15,142
U.S. Treasury Note 10 yr (Short) 191 23,737,719             Dec-13 (122,722)
U.S. Treasury Note 5 yr (Long) 66 7,898,859             Dec-13 23,312
U.S. Treasury Note 2 yr (Long) 19 4,175,250             Dec-13 2,042
Total $(353,283)












WRITTEN EQUITY OPTIONS OUTSTANDING at 8/31/13 (premiums $96,318) (Unaudited)


Expiration       Contract
date/strike price       amount Value
S&P 500 Index (Call) Sep-13/$1,720.00        13,580 $10,516
SPDR S&P 500 ETF Trust (Call) Sep-13/169.00        64,142 35,920
SPDR S&P 500 ETF Trust (Call) Sep-13/170.00        64,142 23,733
Total $70,169












TBA SALE COMMITMENTS OUTSTANDING at 8/31/13 (proceeds receivable $2,061,406) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4s, September 1, 2043 $2,000,000       9/12/13 $2,066,094
Total $2,066,094















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 8/31/13 (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.
$361,000 (E) $(43)     9/18/23 3 month USD-LIBOR-BBA 2.20% $(25,100)
Barclays Bank PLC
2,804,000 (E) (276)     9/18/15 0.45% 3 month USD-LIBOR-BBA 6,958
3,146,000 (E) 5,383      9/18/23 3 month USD-LIBOR-BBA 2.20% (212,981)
Citibank, N.A.
2,210,000 (E) 719      9/18/43 3 month USD-LIBOR-BBA 3.15% (235,507)
5,500,000 (E) 1,411      9/18/15 3 month USD-LIBOR-BBA 0.45% (12,779)
13,900,000 (E) 35,484      9/18/18 3 month USD-LIBOR-BBA 1.15% (406,675)
64,600,000 (E) 405,255      9/18/23 3 month USD-LIBOR-BBA 2.20% (4,078,631)
Credit Suisse International
705,000 (E) 334      9/18/18 1.15% 3 month USD-LIBOR-BBA 22,760
1,031,000 (E) (10)     9/18/15 3 month USD-LIBOR-BBA 0.45% (2,670)
12,000,000 (E) 203,040      9/18/23 3 month USD-LIBOR-BBA 2.20% (629,880)
487,000 (E) (3,613)     9/18/43 3 month USD-LIBOR-BBA 3.15% (55,669)
2,135,000 (E) 512      9/18/23 2.20% 3 month USD-LIBOR-BBA 148,703
Goldman Sachs International
431,000 (E) (831)     9/18/18 1.15% 3 month USD-LIBOR-BBA 12,879
16,000 (E) 421      9/18/43 3 month USD-LIBOR-BBA 3.15% (1,289)
729,000 (E) (7,368)     9/18/23 2.20% 3 month USD-LIBOR-BBA 43,233
225,000 (E) 2,617      9/18/18 3 month USD-LIBOR-BBA 1.15% (4,541)
1,339,000 (E) (122)     9/18/15 0.45% 3 month USD-LIBOR-BBA 3,332
JPMorgan Chase Bank N.A.
56,000 (E) 1,095      9/18/23 3 month USD-LIBOR-BBA 2.20% (2,792)
Total $644,008     $(5,430,649)
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 8/31/13 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$3,196,800 (E) $192,482      9/18/23 3 month USD-LIBOR-BBA 2.20% $(29,407)
2,000,000 (E) (47,839)     9/18/18 1.15% 3 month USD-LIBOR-BBA 15,781
400,000 (E) (41,047)     9/18/43 3.15% 3 month USD-LIBOR-BBA 1,709
2,900,000 (E) (96,441)     9/18/18 1.15% 3 month USD-LIBOR-BBA (4,192)
4,200,000 (E) (294,454)     9/18/23 2.20% 3 month USD-LIBOR-BBA (2,932)
120,000 (E) (7,106)     9/18/23 2.20% 3 month USD-LIBOR-BBA 1,224
142,000 (E) 411      9/18/15 3 month USD-LIBOR-BBA 0.45% 45
374,000 (E) 10,618      9/18/18 3 month USD-LIBOR-BBA 1.15% (1,279)
10,000 (E) 989      9/18/43 3 month USD-LIBOR-BBA 3.15% (80)
247,000 (E) (15,490)     9/18/23 2.20% 3 month USD-LIBOR-BBA 1,654
89,000 (E) (1,981)     9/18/18 1.15% 3 month USD-LIBOR-BBA 850
102,000 (E) (6,101)     9/18/23 2.20% 3 month USD-LIBOR-BBA 979
101,000 (E) (10,275)     9/18/43 3.15% 3 month USD-LIBOR-BBA 521
416,000 (E) 10,375      9/18/18 3 month USD-LIBOR-BBA 1.15% (2,858)
18,000 (E) 1,026      9/18/23 3 month USD-LIBOR-BBA 2.20% (224)
229,800 (E) 9,771      9/18/23 3 month USD-LIBOR-BBA 2.20% (6,180)
53,000 (E) (32)     9/18/15 0.45% 3 month USD-LIBOR-BBA 104
Total $(295,094)    $(24,285)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/13 (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.
$3,800,000 $—      9/21/21 (2.305%) USA Non Revised Consumer Price Index- Urban (CPI-U) $(31,358)
8,900,000 —      7/19/23 (2.585%) USA Non Revised Consumer Price Index- Urban (CPI-U) (113,155)
baskets 228,973 —      3/14/14 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF2) of common stocks 171,546
units 5,817 —      3/14/14 3 month USD-LIBOR-BBA minus 0.07% Russell 1000 Total Return Index (325,050)
Barclays Bank PLC
$5,018,306 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 44,984
3,700,000 —      5/8/23 (2.59%) USA Non Revised Consumer Price Index- Urban (CPI-U) (80,349)
8,900,000 —      7/19/23 (2.569%) USA Non Revised Consumer Price Index- Urban (CPI-U) (99,030)
Citibank, N.A.
800,000 —      11/7/22 (2.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) (32,240)
1,500,000 —      8/7/22 2.515% USA Non Revised Consumer Price Index- Urban (CPI-U) 31,004
1,700,000 —      3/7/23 (2.80%) USA Non Revised Consumer Price Index- Urban (CPI-U) (68,751)
baskets 100 —      2/13/14 (3 month USD-LIBOR-BBA plus 0.10%) A basket (CGPUTQL2) of common stocks (439,281)
units 1,616 —      2/13/14 3 month USD-LIBOR-BBA minus 0.15% Russell 1000 Total Return Index 261,504
units 849 —      2/13/14 3 month USD-LIBOR-BBA minus 0.15% Russell 1000 Total Return Index 137,345
Credit Suisse International
$2,600,000 —      1/9/23 (2.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) (103,384)
3,400,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (56,464)
1,600,000 —      8/8/22 (2.5325%) USA Non Revised Consumer Price Index- Urban (CPI-U) (31,461)
700,000 —      9/10/22 (2.5925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (16,193)
42,883 —      9/19/13 (3 month USD-LIBOR-BBA plus 0.05%) Vanguard Index Funds - MSCI Emerging Markets ETF (29,078)
3,300,000 —      2/8/23 (2.81%) USA Non Revised Consumer Price Index- Urban (CPI-U) (131,828)
8,900,000 —      7/19/23 (2.57%) USA Non Revised Consumer Price Index- Urban (CPI-U) (83,393)
shares 94,529 —      7/2/14 (3 month USD-LIBOR-BBA plus 0.10%) Vanguard Index Funds - MSCI Emerging Markets ETF (47,437)
Deutsche Bank AG
$500,000 —      11/7/21 (2.43%) USA Non Revised Consumer Price Index- Urban (CPI-U) (10,766)
35,802 —      5/19/14 (3 month USD-LIBOR-BBA plus 0.25%) Vanguard FTSE Emerging Markets ETF (28,480)
Goldman Sachs International
1,500,000 —      10/5/22 (2.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) (55,367)
1,700,000 —      4/5/23 (2.7475%) USA Non Revised Consumer Price Index- Urban (CPI-U) (58,728)
8,900,000 —      7/19/23 (2.58%) USA Non Revised Consumer Price Index- Urban (CPI-U) (108,865)
JPMorgan Chase Bank N.A.
13,500,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (279,031)
107,192 1,290      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 458
Total$1,290     $(1,582,848)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 8/31/13 (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)
Bank of America N.A.
  NA IG Series 20 Index BBB-/P $(39,166) $5,750,000 6/20/18 100 bp $14,641
Barclays Bank PLC
  EM Series 19 Index BBB-/P (1,284,000) 10,700,000 6/20/18 500 bp (485,150)
  NA HY Series 20 Index BBB-/P (473,395) 14,566,000 6/20/18 500 bp 238,866
  NA IG Series 20 Index BBB-/P (6,649) 1,835,000 6/20/18 100 bp 10,522
  NA IG Series 20 Index BBB+/P (2,963) 200,000 6/20/18 100 bp (1,091)
Citibank, N.A.
  EM Series 19 Index BBB-/P (84,100) 725,000 6/20/18 500 bp (29,972)
Credit Suisse International
  CMBX NA BBB Index B+/P 88 3,000 5/11/63 300 bp (250)
  CMBX NA BBB Index B/P 1,222 10,000 5/11/63 300 bp 96
  CMBX NA BBB Index BB+/P 970 10,000 5/11/63 300 bp (156)
  CMBX NA BBB Index B+/P 191 10,000 5/11/63 300 bp (935)
  CMBX NA BBB Index BBB+/P 101 13,000 5/11/63 300 bp (1,363)
  CMBX NA BBB Index BB+/P 1,274 16,000 5/11/63 300 bp (528)
  CMBX NA BBB Index BB+/P 2,260 20,000 5/11/63 300 bp 7
  CMBX NA BBB Index BB+/P 1,940 20,000 5/11/63 300 bp (312)
  CMBX NA BBB Index BB+/P 1,596 20,000 5/11/63 300 bp (656)
  CMBX NA BBB Index BB+/P 1,549 20,000 5/11/63 300 bp (704)
  CMBX NA BBB Index BB+/P 1,316 20,000 5/11/63 300 bp (937)
  CMBX NA BBB Index B+/P 609 20,000 5/11/63 300 bp (1,644)
  CMBX NA BBB Index BBB-/P 352 20,000 5/11/63 300 bp (1,900)
  CMBX NA BBB Index B+/P 353 23,000 5/11/63 300 bp (2,237)
  CMBX NA BBB Index BBB+/P 302 26,000 5/11/63 300 bp (2,626)
  CMBX NA BBB Index B+/P 2,052 50,000 5/11/63 300 bp (3,579)
  CMBX NA BBB Index BBB-/P 35,330 461,000 5/11/63 300 bp (16,586)
  NA HY Series 20 Index BBB+/P (78,750) 2,000,000 6/20/18 500 bp 19,048
  NA IG Series 20 Index BBB-/P (13,844) 2,800,000 6/20/18 100 bp 12,358
Deutsche Bank AG
  EM Series 19 Index BBB-/P (352,500) 3,000,000 6/20/18 500 bp (128,523)
  EM Series 19 Index BBB-/P (90,400) 800,000 6/20/18 500 bp (30,673)
  NA HY Series 20 Index BBB-/P (173,906) 5,300,000 6/20/18 500 bp 85,258
  NA HY Series 20 Index BBB+/P (210,000) 4,000,000 6/20/18 500 bp (14,404)
  NA IG Series 20 Index BBB-/P (1,079) 320,000 6/20/18 100 bp 1,915
Goldman Sachs International
  NA IG Series 20 Index BBB-/P (14,648) 2,665,000 6/20/18 100 bp 10,291
JPMorgan Chase Bank N.A.
  EM Series 18 Index BBB-/P (112,800) 800,000 12/20/17 500 bp (56,531)
  EM Series 19 Index BBB+/P (64,000) 500,000 6/20/18 500 bp (26,671)
  NA HY Series 20 Index BBB-/P (855,454) 25,825,000 6/20/18 500 bp 407,361
Total$(3,806,149)$(7,065)
*   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 August 31, 2013. Securities rated by Putnam are indicated by “/P.”   










Key to holding's currency abbreviations
CAD Canadian Dollar
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
ADS American Depository Shares: represents ownership of foreign securities on deposit with a custodian bank
bp Basis Points
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
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
VRDN Variable Rate Demand Notes, which are floating-rate securities with long-term maturities, that carry coupons that reset every one or seven days. The rate shown is the current interest rate at the close of the reporting period.
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 June 1, 2013 through August 31, 2013 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 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 $215,554,408.
(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 $227,864,621, resulting in gross unrealized appreciation and depreciation of $12,621,445 and $2,574,350, respectively, or net unrealized appreciation of $10,047,095.
(NON) Non-income-producing security.
(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 and Putnam Short Term Investment Fund, which are 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 * $11,166,000 $— $— $1,402 $11,166,000
Putnam Short Term Investment Fund * 54,887,051 21,162,608 31,337,480 4,608 44,712,179
Totals $66,053,051 $21,162,608 $31,337,480 $6,010 $55,878,179
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment 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.
(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. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(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 $185,373,765 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 valued 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 consider 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. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. 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 in accordance with policies and procedures approved by the Trustees. 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, to enhance the return on a security owned, 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 options 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 manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
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 realized 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 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 hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific markets or countries, and to gain exposure to specific 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 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 $6,590,198 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $6,853,181.
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 $2,792,600 $921,522 $—
    Capital goods 3,109,974 819,404 —
    Communication services 2,542,739 291,030 —
    Conglomerates 1,542,696 65,179 —
    Consumer cyclicals 10,618,362 1,281,395 —
    Consumer staples 7,370,267 623,951 —
    Energy 5,714,546 142,592 —
    Financials 17,107,905 2,583,018 —
    Health care 9,366,960 282,483 —
    Technology 11,128,854 980,609 —
    Transportation 1,285,153 450,694 —
    Utilities and power 1,799,497 254,764 —
Total common stocks 74,379,553 8,696,641 —
Commodity linked notes — 10,888,735 —
Convertible bonds and notes — 41,803 —
Convertible preferred stocks — 33,228 —
Corporate bonds and notes — 14,901,279 —
Investment companies 136,034 — —
Mortgage-backed securities — 4,242,084 —
Preferred stocks — 101,210 —
Purchased equity options outstanding — 1,055,264 —
U.S. government and agency mortgage obligations — 9,363,906 —
U.S. treasury obligations — 1,146,008 —
Short-term investments 64,868,179 48,057,792 —
Totals by level $139,383,766 $98,527,950 $—



Valuation inputs
Other financial instruments:Level 1Level 2Level 3
Forward currency contracts $— $106,337 $—
Futures contracts (353,283) — —
Written equity options outstanding — (70,169) —
TBA sale commitments — (2,066,094) —
Interest rate swap contracts — (5,803,848) —
Total return swap contracts — (1,584,138) —
Credit default contracts — 3,799,084 —
Totals by level $(353,283) $(5,618,828) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities were not considered a significant portion of the fund's portfolio.
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 $3,884,899 $85,815
Foreign exchange contracts 596,297 489,960
Equity contracts 1,714,670 1,187,500
Interest rate contracts 1,129,927 8,413,271
Total $7,325,793 $10,176,546


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) 280,000
Written equity option contracts (number of contracts) 110,000
Futures contracts (number of contracts) 700
Forward currency contracts (contract amount) $189,300,000
OTC interest rate swap contracts (notional) $108,500,000
Centrally cleared interest rate swap contracts (notional) $10,900,000
OTC total return swap contracts (notional) $156,300,000
OTC credit default swap contracts (notional) $84,000,000

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: October 29, 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: October 29, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: October 29, 2013

EX-99.CERT 2 b_EC2certifications.htm EX-99.CERT b_EC2certifications.htm

Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

/s/ Jonathan S. Horwitz
_____________________________

Date: October 29, 2013
Jonathan S. Horwitz
Principal Executive Officer













Certifications

I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting.

/s/ Steven D. Krichmar
_______________________________

Date: October 29, 2013
Steven D. Krichmar
Principal Financial Officer














Attachment A

Period (s) ended August 31, 2013
               Putnam Arizona Tax Exempt Income Fund
               Putnam Minnesota Tax Exempt Income Fund
               Putnam Massachusetts Tax Exempt Income Fund
               Putnam New York Tax Exempt Income Fund
               Putnam High Yield Advantage Fund
               Putnam Equity Income Fund
               Putnam Pennsylvania Tax Exempt Income Fund
               Putnam Ohio Tax Exempt Income Fund
               Putnam New Jersey Tax Exempt Income Fund
               Putnam Michigan Tax Exempt Income Fund
               Putnam Dynamic Asset Allocation Equity Fund
               Putnam Dynamic Risk Allocation Fund
               Putnam Short Term Municipal Income Fund
               Putnam Intermediate Term Municipal Income Fund
               Putnam Emerging Markets Income Fund
               Putnam Global Dividend Fund