N-Q 1 a_absolutereturnthree.htm PUTNAM FUNDS TRUST a_absolutereturnthree.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:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: October 31, 2014
Date of reporting period: July 31, 2014



Item 1. Schedule of Investments:













Putnam Absolute Return 300 Fund

The fund's portfolio
7/31/14 (Unaudited)
MORTGAGE-BACKED SECURITIES (40.0%)(a)
Principal amount Value
Agency collateralized mortgage obligations (20.0%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 2976, Class LC, 23.863s, 2035 $154,784 $224,458
     IFB Ser. 3072, Class SM, 23.239s, 2035 368,435 522,066
     IFB Ser. 3072, Class SB, 23.093s, 2035 330,107 464,563
     IFB Ser. 3249, Class PS, 21.773s, 2036 256,212 346,974
     IFB Ser. 2990, Class LB, 16.557s, 2034 917,351 1,185,557
     IFB Ser. 4091, Class SH, IO, 6.398s, 2042 7,520,023 1,902,566
     IFB Ser. 4012, Class SN, IO, 6.348s, 2042 7,644,360 1,842,826
     IFB Ser. 4143, Class DS, IO, 5.968s, 2042 8,602,323 2,012,375
     IFB Ser. 4240, Class SA, IO, 5.848s, 2043 24,668,862 5,576,890
     IFB Ser. 4245, Class AS, IO, 5.848s, 2043 26,289,966 6,014,548
     IFB Ser. 271, Class S5, IO, 5.848s, 2042 11,228,448 2,545,265
     IFB Ser. 3852, Class NT, 5.848s, 2041 9,507,336 9,496,023
     IFB Ser. 317, Class S3, IO, 5.828s, 2043 11,157,381 2,579,366
     IFB Ser. 14-326, Class S2, IO, 5.798s, 2044 9,236,937 2,191,902
     IFB Ser. 310, Class S4, IO, 5.798s, 2043 3,397,744 856,809
     IFB Ser. 311, Class S1, IO, 5.798s, 2043 17,609,428 4,003,996
     IFB Ser. 308, Class S1, IO, 5.798s, 2043 4,050,403 1,006,242
     IFB Ser. 269, Class S1, IO, 5.798s, 2042 5,679,451 1,269,130
     IFB Ser. 14-327, Class S8, IO, 5.768s, 2044 1,792,620 405,347
     IFB Ser. 314, Class AS, IO, 5.738s, 2043 3,879,611 896,424
     Ser. 4193, Class PI, IO, 4s, 2043 9,046,609 1,583,172
     Ser. 4213, Class GI, IO, 4s, 2041 7,966,501 1,402,901
     Ser. 4369, Class IA, IO, 3 1/2s, 2044 5,343,000 1,220,542
     Ser. 13-303, Class C19, IO, 3 1/2s, 2043 4,044,008 935,856
     Ser. 304, Class C22, IO, 3 1/2s, 2042 5,494,253 1,263,973
     Ser. 4141, Class IM, IO, 3 1/2s, 2042 5,494,540 1,036,396
     Ser. 4166, Class PI, IO, 3 1/2s, 2041 7,504,058 1,373,618
     Ser. 4158, Class TI, IO, 3s, 2042 9,164,259 1,267,234
     Ser. 4165, Class TI, IO, 3s, 2042 12,536,366 1,745,062
     Ser. 13-4206, Class IP, IO, 3s, 2041 7,566,104 1,015,749
     Ser. 304, Class C45, IO, 3s, 2027 14,587,920 1,705,118
     Ser. T-8, Class A9, IO, 0.481s, 2028 449,432 4,775
     Ser. T-59, Class 1AX, IO, 0.274s, 2043 1,069,949 13,207
     Ser. T-48, Class A2, IO, 0.212s, 2033 1,562,690 15,200
     Ser. 3835, Class FO, PO, zero %, 2041 20,854,494 17,595,145
     FRB Ser. T-54, Class 2A, IO, zero %, 2043 627,618 49
Federal National Mortgage Association
     IFB Ser. 04-10, Class QC, 27.98s, 2031 772,032 948,483
     IFB Ser. 05-74, Class NK, 26.725s, 2035 103,692 166,361
     IFB Ser. 07-53, Class SP, 23.632s, 2037 316,801 463,456
     IFB Ser. 05-75, Class GS, 19.785s, 2035 284,706 376,462
     IFB Ser. 11-4, Class CS, 12.59s, 2040 2,844,052 3,406,261
     IFB Ser. 12-128, Class YS, IO, 6.045s, 2042 5,238,601 948,344
     IFB Ser. 13-13, Class SA, IO, 5.995s, 2043 13,322,211 3,355,732
     IFB Ser. 13-9, Class LS, 5.995s, 2043 8,610,388 2,012,503
     IFB Ser. 12-153, Class SK, IO, 5.995s, 2043 6,006,712 1,411,577
     IFB Ser. 12-111, Class JS, IO, 5.945s, 2040 10,446,766 2,045,053
     IFB Ser. 13-128, Class SA, IO, 5.845s, 2043 11,852,863 2,730,307
     Ser. 13-98, Class SA, IO, 5.795s, 2043 6,880,141 1,600,321
     IFB Ser. 13-103, Class SK, IO, 5.765s, 2043 5,124,485 1,249,301
     Ser. 13-101, Class SE, IO, 5.745s, 2043 18,241,238 4,501,573
     IFB Ser. 13-136, Class SB, IO, 5.745s, 2044 4,292,468 937,604
     IFB Ser. 13-102, Class SH, IO, 5.745s, 2043 6,660,723 1,517,313
     Ser. 397, Class 2, IO, 5s, 2039 1,252,503 252,066
     Ser. 418, Class C24, IO, 4s, 2043 10,521,780 2,498,923
     Ser. 13-44, Class PI, IO, 4s, 2043 5,246,667 884,760
     Ser. 12-124, Class UI, IO, 4s, 2042 5,031,620 1,046,074
     Ser. 12-40, Class MI, IO, 4s, 2041 21,194,442 3,928,256
     Ser. 12-22, Class CI, IO, 4s, 2041 14,828,207 2,615,866
     Ser. 406, Class 2, IO, 4s, 2041 1,023,574 227,540
     Ser. 406, Class 1, IO, 4s, 2041 674,349 149,773
     Ser. 418, Class C15, IO, 3 1/2s, 2043 21,919,729 4,926,801
     Ser. 13-21, Class AI, IO, 3 1/2s, 2033 10,453,086 2,035,843
     Ser. 417, Class C19, IO, 3 1/2s, 2033 12,130,519 2,212,849
     Ser. 12-93, Class DI, IO, 3 1/2s, 2027 14,756,982 2,086,932
     Ser. 12-151, Class PI, IO, 3s, 2043 9,758,547 1,406,207
     Ser. 13-35, Class IP, IO, 3s, 2042 5,573,076 666,157
     Ser. 13-31, Class NI, IO, 3s, 2041 15,417,427 1,634,093
     Ser. 13-55, Class AI, IO, 3s, 2033 6,118,676 1,049,974
     Ser. 03-W10, Class 1, IO, 1.066s, 2043 366,308 10,045
     Ser. 98-W5, Class X, IO, 0.951s, 2028 833,680 41,163
     Ser. 98-W2, Class X, IO, 0.619s, 2028 2,852,553 165,805
     Ser. 03-W1, Class 2A, IO, zero %, 2042 1,322,410 103
     Ser. 07-44, Class CO, PO, zero %, 2037 84,655 72,303
Government National Mortgage Association
     IFB Ser. 12-26, Class SP, IO, 6.494s, 2042 7,567,014 1,772,724
     IFB Ser. 11-56, Class SI, IO, 6.494s, 2041 28,318,822 5,084,114
     IFB Ser. 11-56, Class MI, IO, 6.294s, 2041 2,014,136 429,837
     IFB Ser. 13-124, Class SC, IO, 6.044s, 2041 8,776,508 1,404,236
     Ser. 13-116, Class SA, IO, 5.998s, 2043 4,211,008 755,328
     IFB Ser. 10-20, Class SC, IO, 5.994s, 2040 20,473,615 3,641,437
     IFB Ser. 13-99, Class VS, IO, 5.948s, 2043 3,790,027 711,615
     Ser. 14-58, Class SA, IO, 5.944s, 2044 9,381,788 1,545,274
     Ser. 13-149, Class MS, IO, 5.944s, 2039 17,487,957 2,953,891
     IFB Ser. 14-90, Class HS, IO, 5.944s, 2044 7,182,641 1,742,652
     IFB Ser. 14-25, Class HS, IO, 5.944s, 2044 4,683,478 1,037,859
     IFB Ser. 14-32, Class CS, IO, 5.944s, 2044 7,433,792 1,645,693
     IFB Ser. 12-34, Class SA, IO, 5.894s, 2042 18,591,309 3,892,091
     IFB Ser. 10-151, Class SA, IO, 5.894s, 2040 4,558,651 802,687
     IFB Ser. 11-70, Class SN, IO, 5.748s, 2041 12,793,000 2,608,621
     IFB Ser. 11-70, Class SH, IO, 5.738s, 2041 15,001,000 3,131,159
     Ser. 14-25, Class QI, IO, 5s, 2044 10,201,059 2,340,633
     Ser. 14-2, Class IC, IO, 5s, 2044 4,201,438 966,987
     Ser. 13-3, Class IT, IO, 5s, 2043 10,637,369 2,440,990
     Ser. 11-116, Class IB, IO, 5s, 2040 5,873,936 453,095
     Ser. 10-35, Class UI, IO, 5s, 2040 3,823,541 871,262
     Ser. 10-20, Class UI, IO, 5s, 2040 13,701,796 2,586,625
     Ser. 10-9, Class UI, IO, 5s, 2040 42,530,681 9,643,461
     Ser. 09-121, Class UI, IO, 5s, 2039 29,449,837 6,916,294
     Ser. 13-24, Class IK, IO, 4 1/2s, 2043 8,011,636 1,679,880
     Ser. 12-129, Class IO, IO, 4 1/2s, 2042 7,543,374 1,751,043
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 650,938 118,536
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 8,602,329 1,904,312
     Ser. 10-103, Class DI, IO, 4 1/2s, 2038 7,715,281 848,476
     Ser. 12-106, Class QI, IO, 4s, 2042 7,603,964 1,370,158
     Ser. 12-47, Class CI, IO, 4s, 2042 2,694,253 586,856
     Ser. 12-41, Class IP, IO, 4s, 2041 7,871,153 1,485,653
     Ser. 13-53, Class IA, IO, 4s, 2026 10,827,267 1,380,152
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 8,185,144 1,223,106
     Ser. 13-79, Class PI, IO, 3 1/2s, 2043 8,508,494 1,231,434
     Ser. 13-100, Class MI, IO, 3 1/2s, 2043 11,222,142 1,552,920
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 4,458,546 672,973
     Ser. 12-92, Class AI, IO, 3 1/2s, 2042 5,884,985 1,016,337
     Ser. 12-71, Class JI, IO, 3 1/2s, 2041 22,010,229 2,977,540
     Ser. 12-48, Class KI, IO, 3 1/2s, 2039 4,008,247 591,417
     Ser. 183, Class AI, IO, 3 1/2s, 2039 9,952,257 1,604,749
     Ser. 14-46, Class KI, IO, 3s, 2036 7,071,713 1,050,432
     Ser. 10-151, Class KO, PO, zero %, 2037 1,913,857 1,644,099
GSMPS Mortgage Loan Trust 144A
     Ser. 99-2, IO, 0.8s, 2027 217,553 1,632
     Ser. 98-3, IO, zero %, 2027 126,451 1,857
     Ser. 98-2, IO, zero %, 2027 108,305 778
     Ser. 98-4, IO, zero %, 2026 170,739 4,202
217,180,615
Commercial mortgage-backed securities (16.0%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 2,977,000 3,115,868
     Ser. 04-3, Class D, 5.44s, 2039 2,832,319 2,870,300
     Ser. 06-5, Class A2, 5.317s, 2047 3,901,712 3,914,856
     Ser. 06-6, Class A2, 5.309s, 2045 136,975 137,632
     FRB Ser. 05-1, Class B, 5.29s, 2042 2,632,000 2,707,670
     FRB Ser. 05-5, Class B, 5.214s, 2045 2,825,000 2,837,148
     Ser. 04-4, Class D, 5.073s, 2042 761,000 795,483
     Ser. 07-1, Class XW, IO, 0.327s, 2049 5,389,033 39,906
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A
     Ser. 04-4, Class XC, IO, 0.67s, 2042 2,024,812 5,066
     Ser. 02-PB2, Class XC, IO, 0.233s, 2035 4,152,540 2,095
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-PW16, Class AJ, 5.707s, 2040 4,975,000 5,121,912
     FRB Ser. 06-PW11, Class AJ, 5.433s, 2039 2,058,000 2,146,751
     FRB Ser. 05-T18, Class D, 5.134s, 2042 1,206,000 1,242,180
     Ser. 05-PWR9, Class C, 5.055s, 2042 959,000 944,519
     Ser. 05-PWR9, Class AJ, 4.985s, 2042 2,245,000 2,319,759
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW11, Class B, 5.433s, 2039 2,532,000 2,571,752
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class E, 5.545s, 2044 2,448,000 2,570,645
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.783s, 2049 4,304,000 4,535,172
     FRB Ser. 05-C3, Class AJ, 4.96s, 2043 1,168,000 1,175,826
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class D, 4.878s, 2045 5,243,000 5,249,292
COMM Mortgage Trust FRB Ser. 04-LB3A, Class E, 5.724s, 2037 2,003,270 2,003,270
COMM Mortgage Trust 144A
     FRB Ser. 12-LC4, Class D, 5.647s, 2044 1,133,000 1,174,808
     FRB Ser. 13-LC13, Class E, 3.719s, 2046 1,503,000 1,103,592
     FRB Ser. 07-C9, Class AJFL, 0.843s, 2049 1,339,000 1,252,768
Credit Suisse First Boston Mortgage Securities Corp. Ser. 03-CPN1, Class E, 4.891s, 2035 1,849,000 1,849,000
Credit Suisse First Boston Mortgage Securities Corp. 144A
     Ser. 98-C1, Class F, 6s, 2040 1,402,385 1,542,624
     Ser. 03-C3, Class AX, IO, 1.564s, 2038 2,350,341 24
DBRR Trust 144A FRB Ser. 13-EZ3, Class A, 1.636s, 2049 492,519 496,213
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.418s, 2044 3,234,000 3,437,981
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class F, 5.35s, 2035 1,435,426 1,451,574
First Union National Bank Commercial Mortgage 144A Ser. 01-C3, Class K, 6.155s, 2033 1,020,276 1,020,276
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class B, 4.846s, 2048 1,295,000 1,313,081
GE Capital Commercial Mortgage Corp. 144A FRB Ser. 04-C1, Class G, 5.157s, 2038 2,351,410 2,382,919
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class B, 4.894s, 2042 1,271,000 1,289,811
GS Mortgage Securities Trust
     Ser. 05-GG4, Class B, 4.841s, 2039 8,043,000 8,077,585
     FRB Ser. 12-GCJ9, Class XA, IO, 2.373s, 2045(F) 9,749,653 1,224,298
     Ser. 13-GC10, Class XA, IO, 1.747s, 2046 28,209,910 2,888,131
GS Mortgage Securities Trust 144A
     FRB Ser. 11-GC3, Class E, 5s, 2044 1,219,000 1,157,164
     FRB Ser. 13-GC10, Class E, 4.415s, 2046 1,864,000 1,577,317
     FRB Ser. 13-GC10, Class D, 4.415s, 2046 2,203,000 2,030,505
JPMBB Commercial Mortgage Securities Trust
     FRB Ser. 13-C12, Class D, 4.087s, 2045 1,248,000 1,162,894
     Ser. 13-C12, Class XA, IO, 0.912s, 2045 83,696,472 3,664,566
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.076s, 2051 2,260,000 2,364,412
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 1,594,000 1,658,876
     FRB Ser. 06-LDP6, Class B, 5.502s, 2043 1,946,000 1,946,000
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 807,000 810,820
     FRB Ser. 05-LDP2, Class D, 4.941s, 2042 3,805,000 3,819,079
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.176s, 2051 1,338,000 1,371,821
     FRB Ser. 07-CB20, Class C, 6.176s, 2051 1,220,000 1,145,726
     FRB Ser. 01-C1, Class H, 5.626s, 2035 1,928,054 1,962,566
     FRB Ser. 11-C3, Class E, 5.567s, 2046 1,977,000 2,132,351
     FRB Ser. 12-C6, Class E, 5.201s, 2045 1,088,000 1,122,250
     FRB Ser. 12-C8, Class D, 4.667s, 2045 6,414,000 6,613,194
     FRB Ser. 12-LC9, Class E, 4.426s, 2047 107,000 103,773
     FRB Ser. 12-LC9, Class D, 4.426s, 2047 1,668,000 1,687,772
     FRB Ser. 13-C10, Class E, 3 1/2s, 2047 1,963,000 1,455,172
LB-UBS Commercial Mortgage Trust
     FRB Ser. 04-C8, Class F, 5.005s, 2039 1,765,000 1,774,178
     Ser. 07-C2, Class XW, IO, 0.539s, 2040 4,460,021 61,718
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 04-C7, Class G, 5.032s, 2036 1,145,000 1,168,186
Merrill Lynch Mortgage Trust FRB Ser. 04-BPC1, Class C, 5.011s, 2041 1,668,000 1,668,500
Merrill Lynch Mortgage Trust 144A Ser. 05-MCP1, Class XC, IO, 0.595s, 2043 138,471,892 429,955
ML-CFC Commercial Mortgage Trust
     FRB Ser. 06-1, Class AJ, 5.566s, 2039 3,385,000 3,545,686
     Ser. 06-3, Class AJ, 5.485s, 2046 4,031,000 4,094,287
Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 13-C10, Class E, 4.082s, 2046 3,880,000 3,423,712
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class AJ, 5.389s, 2041 1,085,000 1,109,738
Morgan Stanley ReREMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 807,056 808,008
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C4, Class XA, IO, 1.864s, 2045 15,226,550 1,643,797
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C25, Class AJ, 5.72s, 2043 1,000,000 1,020,100
     Ser. 06-C24, Class AJ, 5.658s, 2045 2,349,000 2,414,067
     Ser. 05-C17, Class D, 5.396s, 2042 3,960,000 3,980,592
     FRB Ser. 05-C20, Class B, 5.239s, 2042 2,828,000 2,877,924
     Ser. 06-C29, IO, 0.38s, 2048 143,533,264 1,202,809
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 05-C19, Class G, 5.436s, 2044 3,072,500 3,083,254
     FRB Ser. 04-C11, Class G, 5.411s, 2041 1,500,000 1,507,500
     FRB Ser. 04-C10, Class H, 5.378s, 2041 1,017,000 1,085,444
WF-RBS Commercial Mortgage Trust Ser. 13-C14, Class XA, IO, 0.924s, 2046 19,837,806 1,120,043
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C4, Class E, 5.245s, 2044 2,090,000 2,191,203
     FRB Ser. 12-C7, Class D, 4.846s, 2045 4,645,000 4,787,834
     FRB Ser. 13-UBS1, Class D, 4.633s, 2046 5,607,000 5,396,065
     FRB Ser. 13-C15, Class D, 4.485s, 2046 1,497,000 1,388,000
     FRB Ser. 12-C10, Class D, 4.459s, 2045 1,818,000 1,764,421
     FRB Ser. 12-C10, Class E, 4.459s, 2045 1,658,000 1,431,061
     Ser. 12-C10, Class XA, IO, 1.809s, 2045 27,009,029 2,807,859
     Ser. 13-C12, Class XA, IO, 1.506s, 2048 16,469,393 1,412,135
173,796,121
Residential mortgage-backed securities (non-agency) (4.0%)
Banc of America Funding Corp.
     FRB Ser. 05-B, Class 3M1, 0.606s, 2035 2,675,000 2,064,779
     FRB Ser. 06-G, Class 2A5, 0.436s, 2036 2,415,311 2,225,226
Barclays Capital, LLC Trust FRB Ser. 12-RR10, Class 9A2, 2.692s, 2035 300,000 280,530
Barclays Capital, LLC Trust 144A FRB Ser. 12-RR2, Class 5A12, 6.434s, 2036 1,901,100 1,813,649
Bear Stearns Alt-A Trust FRB Ser. 04-6, Class M2, 1.88s, 2034 2,371,945 2,056,239
Countrywide Alternative Loan Trust
     Ser. 05-46CB, Class A4, 5 1/4s, 2035 1,904,154 1,794,665
     Ser. 05-21CB, Class A3, 5 1/4s, 2035 3,171,955 2,890,444
     FRB Ser. 05-27, Class 1A2, 1.521s, 2035 2,180,416 2,019,720
     FRB Ser. 05-38, Class A3, 0.505s, 2035 2,010,586 1,756,850
     FRB Ser. 05-59, Class 1A1, 0.486s, 2035 5,956,056 4,943,527
     FRB Ser. 05-51, Class 1A1, 0.474s, 2035 1,841,835 1,602,396
MortgageIT Trust FRB, Ser. 05-1, Class 1M1, 0.635s, 2035 2,786,392 2,603,535
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 06-AR1, Class 2A1B, 1.191s, 2046 1,708,172 1,571,518
     FRB Ser. 05-AR13, Class A1C3, 0.645s, 2045 4,795,521 4,232,047
     FRB Ser. 04-AR13, Class A1B2, 0.645s, 2034 2,750,677 2,566,106
     FRB Ser. 05-AR1, Class A1B, 0.545s, 2045 1,133,967 1,021,364
     FRB Ser. 05-AR9, Class A1B, 0.535s, 2045 4,513,827 4,222,777
     FRB Ser. 05-AR15, Class A1B3, 0.495s, 2045 2,435,854 2,143,308
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.321s, 2047 2,400,000 1,823,983
43,632,663
Total mortgage-backed securities (cost $411,925,602) $434,609,399

CORPORATE BONDS AND NOTES (22.2%)(a)
Principal amount Value
Basic materials (0.9%)
Alcoa, Inc. sr. unsec. unsub. notes 5.4s, 2021 $900,000 $962,615
Archer Daniels-Midland Co. sr. unsec. notes 5.45s, 2018 1,638,000 1,846,914
Ashland, Inc. sr. unsec. unsub. notes 3s, 2016 1,500,000 1,509,375
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 950,000 1,028,375
Rio Tinto Finance USA PLC company guaranty sr. unsec. unsub. notes 1 5/8s, 2017 (United Kingdom) 1,691,000 1,704,107
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes 9s, 2019 (Australia) 1,985,000 2,579,120
9,630,506
Capital goods (0.6%)
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A FRN 3.232s, 2019 (Ireland) 570,000 558,600
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 2,000,000 2,020,000
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 1,000,000 1,120,000
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6s, 2017 (Luxembourg) 1,692,000 1,922,664
Schaeffler Holding Finance BV 144A notes 6 7/8s, 2018 (Netherlands)(PIK) EUR 220,000 308,952
5,930,216
Communication services (2.0%)
AT&T, Inc. sr. unsec. unsub. notes 1.7s, 2017 $1,695,000 1,713,523
Comcast Corp. company guaranty sr. unsec. unsub. bonds 6 1/2s, 2017 1,700,000 1,922,822
Comcast Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2015 2,205,000 2,263,856
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 840,000 848,400
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 510,000 521,475
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 2,194,000 2,226,910
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 465,000 483,600
SBA Tower Trust 144A company guaranty mtge. notes 4.254s, 2015 2,900,000 2,969,235
Sprint Communications, Inc. sr. unsec. notes 6s, 2016 1,500,000 1,620,000
Time Warner Cable, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2019 425,000 540,555
Verizon Communications, Inc. sr. unsec. unsub. notes 2.55s, 2019 2,422,000 2,451,195
Vodafone Group PLC sr. unsec. unsub. notes 1 1/4s, 2017 (United Kingdom) 2,930,000 2,897,873
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 480,000 500,400
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 1,000,000 1,142,500
22,102,344
Consumer cyclicals (1.4%)
Amazon.com, Inc. sr. unsec. notes 1.2s, 2017 1,638,000 1,624,298
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 2,560,000 2,934,477
Dollar General Corp. sr. unsec. notes 1 7/8s, 2018 2,400,000 2,374,414
Ford Motor Credit Co., LLC sr. unsec. notes 12s, 2015 1,250,000 1,361,341
Host Hotels & Resorts LP sr. unsec. unsub. notes 6s, 2021(R) 596,000 686,068
Host Hotels & Resorts LP sr. unsec. unsub. notes 5 1/4s, 2022(R) 279,000 308,424
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 2,250,000 2,409,750
Owens Corning company guaranty sr. unsec. notes 9s, 2019 253,000 316,789
Toyota Motor Credit Corp. sr. unsec. unsub. notes Ser. MTN, 1 1/4s, 2017 1,695,000 1,684,842
Walt Disney Co. (The) sr. unsec. unsub. notes Ser. MTN, 1.1s, 2017 1,690,000 1,674,454
15,374,857
Consumer staples (1.4%)
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. notes 1 1/4s, 2018 1,695,000 1,675,148
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2014 2,775,000 2,812,560
Coca-Cola Co. (The) sr. unsec. unsub. notes 5.35s, 2017 1,050,000 1,184,050
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 2,105,000 2,299,713
Costco Wholesale Corp. sr. unsec. unsub. notes 0.65s, 2015 2,180,000 2,187,031
CVS Caremark Corp. sr. unsec. unsub. notes 2 1/4s, 2018 1,690,000 1,703,574
Delhaize Group SA company guaranty sr. unsec. notes 4 1/8s, 2019 (Belgium) 416,000 438,018
Diageo Capital PLC company guaranty sr. unsec. unsub. notes 1 1/2s, 2017 (United Kingdom) 798,000 804,184
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 865,000 859,594
PepsiCo, Inc. sr. unsec. unsub. notes 1 1/4s, 2017 1,679,000 1,679,042
15,642,914
Energy (2.2%)
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.846s, 2017 (United Kingdom) 1,695,000 1,723,407
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.7s, 2017 (Canada) 1,695,000 1,887,732
Chesapeake Energy Corp. company guaranty sr. unsec. FRN notes 3.484s, 2019 1,500,000 1,503,750
Chevron Corp. sr. unsec. unsub. notes 1.104s, 2017 1,638,000 1,623,889
ConocoPhillips Co. company guaranty sr. unsec. notes 1.05s, 2017 1,695,000 1,675,906
Hess Corp. sr. unsec. unsub. notes 7.3s, 2031 180,000 239,834
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016 448,000 479,360
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 400,000 384,000
Petrobras International Finance Co. company guaranty sr. unsec. notes 3 7/8s, 2016 (Brazil) 5,000,000 5,144,450
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 98,000 86,264
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela) 902,000 897,479
Phillips 66 company guaranty sr. unsec. unsub. notes 2.95s, 2017 1,690,000 1,762,719
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5.2s, 2017 (Netherlands) 1,816,000 2,008,801
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5/8s, 2015 (Netherlands) 875,000 877,033
Total Capital International SA company guaranty sr. unsec. unsub. notes 1.55s, 2017 (France) 1,664,000 1,678,432
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017 2,000,000 2,100,000
24,073,056
Financials (10.3%)
Abbey National Treasury Services PLC of Stamford, CT company guaranty sr. unsec. unsub. notes 1 3/8s, 2017 (United Kingdom) 1,819,000 1,822,751
Abbey National Treasury Services PLC/London 144A bank guaranty sr. unsec. unsub. notes 3 7/8s, 2014 (United Kingdom) 1,000,000 1,009,256
ABN Amro Bank NV 144A sr. unsec. FRN notes 1.035s, 2016 (Netherlands) 3,000,000 3,026,280
Ally Financial, Inc. company guaranty sr. unsec. notes 3 1/2s, 2016 1,500,000 1,527,188
American Express Bank FSB sr. unsec. FRN notes Ser. BKNT, 0.452s, 2017 2,000,000 1,995,488
American Express Co. sr. unsec. notes 7s, 2018 1,523,000 1,791,459
American Express Co. sr. unsec. notes 6.15s, 2017 923,000 1,050,921
Bank of America Corp. sr. unsec. unsub. notes 2s, 2018 2,358,000 2,360,591
Bank of America NA unsec. sub. FRN notes Ser. BKNT, 0.511s, 2016 3,800,000 3,788,091
Bank of Montreal sr. unsec. unsub. notes Ser. MTN, 2 1/2s, 2017 (Canada) 1,638,000 1,692,540
Bank of Nova Scotia sr. unsec. unsub. FRN notes 0.631s, 2016 (Canada) 1,000,000 1,003,737
Bank of Nova Scotia sr. unsec. unsub. notes 1 3/8s, 2017 (Canada) 1,695,000 1,682,318
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. notes 1.2s, 2017 (Japan) 1,710,000 1,701,279
BNP Paribas SA bank guaranty sr. unsec. unsub. notes Ser. MTN, 1 3/8s, 2017 (France) 2,605,000 2,600,381
Boston Properties, LP sr. unsec. unsub. notes 5 5/8s, 2015(R) 1,000,000 1,034,300
Boston Properties, LP sr. unsec. unsub. notes 5s, 2015(R) 1,500,000 1,553,414
BPCE SA company guaranty sr. unsec. FRN notes Ser. MTN, 1.484s, 2016 (France) 975,000 989,854
Branch Banking & Trust Co. unsec. sub. FRN notes 0.55s, 2016 500,000 498,679
CIT Group, Inc. 144A sr. unsec. notes 4 3/4s, 2015 1,500,000 1,518,750
Citigroup, Inc. sr. unsec. sub. FRN notes 0.501s, 2016 2,100,000 2,088,177
Citigroup, Inc. sr. unsec. unsub. notes 4.45s, 2017 2,427,000 2,602,409
Commonwealth Bank of Australia of New York, NY sr. unsec. unsub. bonds 1 1/8s, 2017 2,318,000 2,311,023
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA of Netherlands (Rabobank Nederland) bank guaranty sr. unsec. notes 3 3/8s, 2017 (Netherlands) 1,516,000 1,598,034
Credit Agricole SA/London 144A sr. unsec. FRN notes 1.394s, 2016 (United Kingdom) 2,980,000 3,013,835
Deutsche Bank AG/London sr. unsec. notes 6s, 2017 (United Kingdom) 2,358,000 2,663,696
General Electric Capital Corp. sr. unsec. notes Ser. MTN, 5.4s, 2017 2,507,000 2,765,793
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.3s, 2015 3,500,000 3,572,552
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2 3/8s, 2018 1,212,000 1,226,053
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4 7/8s, 2019 1,070,000 1,075,350
ING Bank NV 144A unsec. notes 3 3/4s, 2017 (Netherlands) 4,575,000 4,843,278
International Lease Finance Corp. sr. unsec. unsub. notes 3 7/8s, 2018 875,000 871,763
JPMorgan Chase & Co. sr. unsec. unsub. notes 2s, 2017 1,679,000 1,701,552
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.3s, 2018 2,375,000 2,388,820
Kimco Realty Corp. sr. unsec. notes Ser. MTN, 4.904s, 2015(R) 2,000,000 2,044,188
Macquarie Group, Ltd. 144A sr. unsec. notes 7.3s, 2014 (Australia) 2,300,000 2,300,000
MetLife, Inc. sr. unsec. unsub. notes 6 3/4s, 2016 1,710,000 1,890,427
Morgan Stanley sr. unsec. notes 4 3/4s, 2017 2,381,000 2,576,990
National Australia Bank, Ltd./New York sr. unsec. FRN notes 0.784s, 2016 (Australia) 2,000,000 2,011,862
National Australia Bank, Ltd./New York sr. unsec. notes 2.3s, 2018 (Australia) 1,175,000 1,191,512
New York Life Global Funding 144A notes 3s, 2015 4,560,000 4,651,373
PNC Bank, NA sr. unsec. unsub. notes Ser. BKNT, 1 1/8s, 2017 1,700,000 1,699,206
Principal Life Global Funding II 144A notes 1s, 2015 1,740,000 1,749,149
Prudential Covered Trust 2012-1 144A company guaranty mtge. notes 2.997s, 2015 1,500,000 1,536,189
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.2s, 2018 (Canada) 1,700,000 1,726,869
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 2.55s, 2015 (United Kingdom) 737,000 750,941
Royal Bank of Scotland Group PLC unsec. sub. notes 4.7s, 2018 (United Kingdom) 3,880,000 4,064,013
Santander US Debt SAU 144A bank guaranty sr. unsec. unsub. notes 3.724s, 2015 (Spain) 1,500,000 1,519,200
Simon Property Group LP sr. unsec. unsub. notes 4.2s, 2015(R) 300,000 302,684
Simon Property Group LP 144A sr. unsec. unsub. notes 1 1/2s, 2018(R) 1,535,000 1,523,065
Societe Generale SA bank guaranty sr. unsec. notes 2 3/4s, 2017 (France) 675,000 695,311
Svenska Handelsbanken AB bank guaranty sr. unsec. notes 2 7/8s, 2017 (Sweden) 874,000 910,289
UBS AG of Stamford, CT sr. unsec. unsub. notes Ser. BKNT, 5 7/8s, 2017 1,500,000 1,704,314
US Bank of NA of Cincinnati, OH sr. unsec. notes Ser. BKNT, 1.1s, 2017 1,750,000 1,750,660
Ventas Realty LP/Ventas Capital Corp. company guaranty sr. unsec. unsub. notes 3 1/8s, 2015(R) 3,000,000 3,090,213
VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, 6 1/4s, 2035 (Russia) 500,000 512,500
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,000,000 978,750
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 1,850,000 1,896,250
Wells Fargo & Co. sr. unsec. notes 2.1s, 2017 1,664,000 1,702,029
Wells Fargo Bank, NA unsec. sub. FRN notes 0.435s, 2016 1,228,000 1,226,127
Westpac Banking Corp. sr. unsec. unsub. notes 2 1/4s, 2018 (Australia) 306,000 310,298
111,684,021
Health care (1.2%)
AbbVie, Inc. sr. unsec. unsub. notes 1 3/4s, 2017 1,519,000 1,519,027
Amgen, Inc. sr. unsec. unsub. notes 2 1/8s, 2017 1,695,000 1,730,488
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) 1,695,000 1,923,933
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 500,000 512,500
ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 510,000 718,434
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 $900,000 951,750
HCA, Inc. sr. notes 6 1/2s, 2020 612,000 664,785
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017 630,000 685,125
Johnson & Johnson sr. unsec. notes 5.15s, 2018 1,061,000 1,203,039
Merck & Co., Inc. sr. unsec. unsub. notes 1.3s, 2018 1,457,000 1,435,888
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 665,000 719,863
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 756,000 865,687
12,930,519
Technology (0.5%)
Cisco Systems, Inc. sr. unsec. unsub. notes 1.1s, 2017 768,000 769,477
eBay, Inc. sr. unsec. unsub. notes 1.35s, 2017 1,695,000 1,696,990
Hewlett-Packard Co. sr. unsec. unsub. notes 2.6s, 2017 1,444,000 1,488,347
Intel Corp. sr. unsec. unsub. notes 1.35s, 2017 1,700,000 1,697,537
Xerox Corp. sr. unsec. unsub. notes 4 1/4s, 2015 120,000 122,361
5,774,712
Transportation (0.5%)
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg) CHF 523,000 602,875
Continental Airlines, Inc. pass-through certificates Ser. 97-4A, 6.9s, 2018 $732,831 786,401
Continental Airlines, Inc. pass-through certificates Ser. 98-1A, 6.648s, 2017 574,335 611,149
Federal Express Corp. 2012 Pass Through Trust 144A notes 2 5/8s, 2018 2,747,344 2,786,988
4,787,413
Utilities and power (1.2%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017 1,005,000 1,153,238
Consolidated Edison Co. of New York sr. unsec. notes 7 1/8s, 2018 1,543,000 1,855,575
El Paso, LLC company guaranty sr. notes 7s, 2017 1,140,000 1,256,850
Electricite de France (EDF) 144A unsec. sub. FRN notes 5 1/4s, perpetual maturity (France) 905,000 919,598
FirstEnergy Corp. sr. unsec. unsub. notes 2 3/4s, 2018 3,140,000 3,157,537
Texas-New Mexico Power Co. 144A 1st mtge. bonds Ser. A, 9 1/2s, 2019 3,816,000 4,840,665
13,183,463
Total corporate bonds and notes (cost $237,922,866) $241,114,021

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (12.3%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.7%)
Government National Mortgage Association Pass-Through Certificates
     4s, with due dates from December 20, 2042 to July 20, 2044(FWC) $2,997,637 $3,177,613
     4s, TBA, August 1, 2044 4,000,000 4,238,438
7,416,051
U.S. Government Agency Mortgage Obligations (11.6%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4 1/2s, May 1, 2044(F) 2,285,779 2,474,610
     4s, with due dates from April 1, 2041 to October 1, 2043(FWC) 3,765,671 3,972,645
     3 1/2s, with due dates from April 1, 2042 to August 1, 2043(FWC) 4,477,552 4,547,245
Federal National Mortgage Association Pass-Through Certificates
     4 1/2s, with due dates from April 1, 2040 to February 1, 2044 1,988,653 2,155,371
     4 1/2s, TBA, September 1, 2044 8,000,000 8,593,438
     4 1/2s, TBA, August 1, 2044 8,000,000 8,613,125
     4s, with due dates from April 1, 2042 to June 1, 2044(FWC) 21,171,435 22,279,142
     4s, TBA, September 1, 2044 13,000,000 13,628,672
     4s, TBA, August 1, 2044 17,000,000 17,872,578
     3 1/2s, May 1, 2042(FWC) 852,484 869,966
     3 1/2s, TBA, September 1, 2044 7,000,000 7,109,922
     3 1/2s, TBA, August 1, 2044 13,000,000 13,241,719
     3s, TBA, September 1, 2044 10,000,000 9,769,531
     3s, TBA, August 1, 2044 10,000,000 9,795,312
     3s, TBA, July 1, 2044 1,000,000 980,352
125,903,628
Total U.S. government and agency mortgage obligations (cost $133,708,311) $133,319,679

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Notes
     2s, September 30, 2020 $382,000 $380,299
     7/8s, September 15, 2016(i) 122,000 123,031
Total U.S. treasury obligations (cost $504,818) $503,330

SENIOR LOANS (8.1%)(a)(c)
Principal amount Value
Basic materials (0.6%)
AIlnex Luxembourg & CY SCA bank term loan FRN Ser. B1, 4 1/2s, 2019 (Luxembourg) $463,559 $463,269
AIlnex Luxembourg & CY SCA bank term loan FRN Ser. B2, 4 1/2s, 2019 (Luxembourg) 240,519 240,368
Chromaflo Technologies Corp. bank term loan FRN 4 1/2s, 2019 995,000 993,756
FMG Resources, Ltd. bank term loan FRN Ser. B, 3 3/4s, 2019 (Australia) 412,682 411,134
Ineos US Finance, LLC bank term loan FRN 3 3/4s, 2018 988,741 983,267
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 1,422,225 1,420,447
Tronox, Ltd. bank term loan FRN Ser. B, 4s, 2020 995,806 995,184
WR Grace & Co. bank term loan FRN 3s, 2021 1,014,300 1,010,073
WR Grace & Co. bank term loan FRN Ser. DD, 1s, 2021(U) 363,158 361,645
6,879,143
Capital goods (0.5%)
Accudyne Industries Borrower SCA bank term loan FRN 4s, 2019 (Luxembourg) 478,825 476,655
Gardner Denver, Inc. bank term loan FRN 4 1/4s, 2020 709,638 705,535
Generac Power Systems, Inc. bank term loan FRN Ser. B, 3 1/4s, 2020 736,875 728,585
INA Beteiligungsgesellschaft mbH bank term loan FRN Ser. E, 3 3/4s, 2020 (Germany) 950,000 950,264
Reynolds Group Holdings, Inc. bank term loan FRN Ser. B, 4s, 2018 591,030 589,306
SRAM, LLC bank term loan FRN 4s, 2020 810,912 802,803
TransDigm, Inc. bank term loan FRN Ser. C, 3 3/4s, 2020 494,975 491,439
TransDigm, Inc. bank term loan FRN Ser. D, 3 3/4s, 2021 800,000 791,200
5,535,787
Communication services (1.1%)
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 1,533,865 1,539,226
Charter Communications Operating, LLC bank term loan FRN Ser. E, 3s, 2020 1,485,000 1,449,422
Crown Castle Operating Co. bank term loan FRN Ser. B2, 3s, 2021 975,197 967,013
Intelsat Jackson Holdings SA bank term loan FRN Ser. B2, 3 3/4s, 2019 (Bermuda) 1,419,814 1,416,619
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 1,000,000 996,875
Numericable Group SA bank term loan FRN Ser. B2, 4 1/2s, 2020 (France) 670,258 671,829
Numericable US, LLC bank term loan FRN Ser. B1, 4 1/2s, 2020 774,742 776,558
SBA Senior Finance II, LLC bank term loan FRN Ser. B, 3 1/4s, 2021 2,000,000 1,977,858
Virgin Media Investment Holdings, Ltd. bank term loan FRN Ser. B, 3 1/2s, 2020 (United Kingdom) 1,500,000 1,485,234
Windstream Corp. bank term loan FRN Ser. B5, 3 1/2s, 2019 245,641 244,643
Zayo Group, LLC bank term loan FRN Ser. B, 4 1/2s, 2019 653,339 649,460
12,174,737
Consumer cyclicals (1.8%)
Amaya BV bank term loan FRN 5s, 2021 (Netherlands) 1,000,000 988,438
American Casino & Entertainment Properties, LLC bank term loan FRN 4 1/2s, 2019 994,975 994,975
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017 207,519 207,584
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 6.969s, 2018 564,361 524,856
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 420,000 417,550
CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017 817,907 816,884
CCM Merger, Inc. bank term loan FRN Ser. B, 4 1/2s, 2021 750,000 746,250
Ceridian, LLC bank term loan FRN Ser. B, 4.405s, 2017 1,452,966 1,452,966
Chrysler Group, LLC bank term loan FRN Ser. B, 3 1/2s, 2017 329,093 328,885
CityCenter Holdings, LLC bank term loan FRN Ser. B, 4 1/4s, 2020 591,022 592,007
Garda World Security Corp. bank term loan FRN Ser. B, 4s, 2020 (Canada) 790,324 787,360
Garda World Security Corp. bank term loan FRN Ser. DD, 4s, 2020 (Canada) 202,176 201,418
Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, 3 1/2s, 2020 1,065,789 1,060,239
Interactive Data Corp. bank term loan FRN Ser. B, 4 3/4s, 2021 1,000,000 1,003,125
Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4s, 2018 1,184,341 1,179,900
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 955,206 950,191
Petco Animal Supplies, Inc. bank term loan FRN 4s, 2017 965,000 965,603
Realogy Group, LLC bank term loan FRN Ser. B, 3 3/4s, 2020 1,481,306 1,480,844
Roofing Supply Group, LLC bank term loan FRN Ser. B, 5s, 2019 982,500 979,123
Tribune Co. bank term loan FRN Ser. B, 4s, 2020 1,592,000 1,589,612
Univision Communications, Inc. bank term loan FRN 4s, 2020 764,080 758,541
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019 1,411,423 1,333,795
19,360,146
Consumer staples (0.8%)
Affinion Group, Inc. bank term loan FRN 6 3/4s, 2018 962,467 952,642
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 428,925 425,279
Del Monte Foods, Inc. bank term loan FRN 4 1/4s, 2021 955,200 947,141
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 851,400 850,944
Landry's, Inc. bank term loan FRN Ser. B, 4s, 2018 1,404,620 1,406,025
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 1,000,000 993,750
Pinnacle Foods Finance, LLC/Pinnacle Foods Finance Corp. bank term loan FRN Ser. G, 3 1/4s, 2020 864,801 857,354
Rite Aid Corp. bank term loan FRN 4 7/8s, 2021 1,000,000 1,008,750
Sprouts Farmers Markets, Inc. bank term loan FRN 4s, 2020 447,143 446,397
US Foods, Inc. bank term loan FRN 4 1/2s, 2019 990,000 988,763
8,877,045
Energy (0.5%)
American Energy-Marcellus, LLC bank term loan FRN 5 1/4s, 2020 690,000 689,138
EP Energy, LLC bank term loan FRN Ser. B3, 3 1/2s, 2018 856,667 852,026
Fieldwood Energy, LLC bank term loan FRN 3 7/8s, 2018 1,489,998 1,489,998
MEG Energy Corp. bank term loan FRN Ser. B, 3 3/4s, 2020 (Canada) 1,442,565 1,441,792
Offshore Group Investment, Ltd. bank term loan FRN Ser. B, 5s, 2017 (Cayman Islands) 1,052,030 1,046,331
5,519,285
Financials (0.3%)
Fifth Third Processing Solutions, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 300,000 300,750
Nuveen Investments, Inc. bank term loan FRN 4.155s, 2017 1,500,000 1,498,751
USI, Inc. bank term loan FRN Ser. B, 4 1/4s, 2019 1,477,584 1,475,737
Walter Investment Management Corp. bank term loan FRN Ser. B, 4 3/4s, 2020 420,958 415,038
3,690,276
Health care (1.3%)
AmSurg Corp. bank term loan FRN Ser. B, 3 3/4s, 2021 1,500,000 1,498,437
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021 1,373,100 1,375,769
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018 478,561 478,262
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.15s, 2021 1,660,838 1,652,274
HCA, Inc. bank term loan FRN Ser. B4, 2.984s, 2018 992,500 991,044
IASIS Healthcare, LLC/IASIS Capital Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 973,034 974,250
Kinetic Concepts, Inc. bank term loan FRN 4s, 2018 889,238 888,278
MPH Acquistion Holdings, LLC bank term loan FRN Ser. B, 4s, 2021 1,128,364 1,122,722
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 595,000 594,256
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4s, 2019 503,866 502,426
Pharmaceutical Product Development, Inc. bank term loan FRN Ser. B, 4s, 2018 1,053,162 1,053,162
Quintiles Transnational Corp. bank term loan FRN Ser. B3, 3 3/4s, 2018 1,430,000 1,427,140
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. C2, 3 3/4s, 2019 639,595 638,476
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. D2, 3 3/4s, 2019 639,595 638,396
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 462,718 461,497
14,296,389
Technology (0.6%)
Alcatel-Lucent USA, Inc. bank term loan FRN Ser. C, 4 1/2s, 2019 1,240,554 1,239,003
Avago Technologies, Ltd. bank term loan FRN Ser. B, 3 3/4s, 2020 1,430,000 1,426,640
Dell, Inc. bank term loan FRN Ser. B, 4 1/2s, 2020 1,488,750 1,489,520
Epicor Software Corp. bank term loan FRN Ser. B, 4s, 2018 823,129 822,306
Syniverse Holdings, Inc. bank term loan FRN Ser. B, 4s, 2019 950,228 947,556
5,925,025
Transportation (0.2%)
Livingston International, Inc. bank term loan FRN 5s, 2019 (Canada) 1,485,000 1,483,763
1,483,763
Utilities and power (0.4%)
Calpine Construction Finance Co. LP bank term loan FRN Ser. B, 3s, 2020 594,000 581,656
Calpine Construction Finance Co. LP bank term loan FRN Ser. B2, 3 1/4s, 2022 1,193,988 1,178,068
Energy Transfer Equity LP bank term loan FRN 3 1/4s, 2019 715,000 704,020
NRG Energy, Inc. bank term loan FRN Ser. B, 2 3/4s, 2018 1,481,250 1,465,281
3,929,025
Total senior loans (cost $87,764,296) $87,670,621

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (4.6%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $2,810,000 $2,564,125
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 9,520,000 9,186,800
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 1,710,000 1,851,896
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina) 2,675,000 2,527,875
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9 3/8s, 2018 (Argentina) 225,000 202,500
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 350,000 375,813
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 960,000 1,051,200
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 3,837,000 5,249,690
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 2,700,000 3,602,383
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece)(STP) EUR 696,589 608,678
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece)(STP) EUR 112,696 98,460
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece)(STP) EUR 782,451 689,875
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece)(STP) EUR 645,941 576,012
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece)(STP) EUR 567,404 505,901
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece)(STP) EUR 501,823 452,482
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece)(STP) EUR 824,377 749,558
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece)(STP) EUR 442,123 405,655
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece)(STP) EUR 1,927,028 1,794,685
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece)(STP) EUR 459,773 434,003
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece)(STP) EUR 1,523,206 1,452,883
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece)(STP) EUR 685,622 666,574
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece)(STP) EUR 1,837,272 1,849,726
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece)(STP) EUR 3,967,952 4,129,327
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 642,752 694,756
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 1,736,576 1,919,773
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) $1,290,000 1,218,973
Ireland (Republic of) unsec. bonds 5s, 2020 (Ireland) EUR 910,000 1,491,914
Korea Development Bank sr. unsec. unsub. notes 4s, 2016 (South Korea) $2,000,000 2,112,982
Poland (Republic of) sr. unsec. bonds 5s, 2022 (Poland) 815,000 907,706
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 450,000 442,215
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 291,125 329,554
Total foreign government and agency bonds and notes (cost $46,831,832) $50,143,974

ASSET-BACKED SECURITIES (3.9%)(a)
Principal amount Value
Station Place Securitization Trust 144A FRN Ser. 14-2, Class A, 1-month LIBOR plus 0.90%, 2016 $41,911,000 $41,911,000
Total asset-backed securities (cost $41,911,000) $41,911,000

PURCHASED OPTIONS OUTSTANDING (0.4%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call) Aug-14/$99.55 $41,000,000 $954,480
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Oct-14/102.00 54,000,000 696,600
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Oct-14/101.91 32,000,000 395,200
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Oct-14/99.00 54,000,000 131,760
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Oct-14/98.91 32,000,000 73,600
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.22 53,000,000 501,910
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.50 17,000,000 193,460
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.31 17,000,000 171,530
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.50 17,000,000 191,590
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.31 17,000,000 169,320
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.50 17,000,000 189,550
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/102.31 17,000,000 167,280
Total purchased options outstanding (cost $3,068,984) $3,836,280

PURCHASED SWAP OPTIONS OUTSTANDING (0.1%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     2.8425/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.8425 $31,216,000 $404,872
Credit Suisse International
     (2.75)/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.75 80,486,000 204,434
     (2.75)/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.75 80,486,000 185,923
     (2.745)/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.745 40,243,000 146,887
     (2.97)/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.97 40,243,000 37,426
     2.55/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.55 80,486,000 24,146
     2.55375/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.55375 40,243,000 22,536
     2.55/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.55 40,243,000 20,926
     2.55/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.55 80,486,000 19,317
Goldman Sachs International
     (2.72)/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.72 25,250,000 186,850
     (2.7175)/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.7175 25,250,000 182,052
Total purchased swap options outstanding (cost $2,207,064) $1,435,369

SHORT-TERM INVESTMENTS (17.7%)(a)
Principal amount/shares Value
ABN AMRO Funding USA, LLC commercial paper with an effective yield of 0.32%, December 5, 2014 $2,000,000 $1,998,328
BorgWarner, Inc. 144A commercial paper with a yield of 0.23%, August 7, 2014 5,000,000 4,999,808
Church & Dwight Co., Inc. 144A commercial paper with a yield of 0.28%, September 8, 2014 5,000,000 4,998,522
CRC Funding, LLC asset backed commercial paper with a yield of 0.50%, August 1, 2014 3,000,000 3,000,000
DCP Midstream, LLC commercial paper with a yield of 0.55%, August 6, 2014 5,000,000 4,999,618
ERAC USA Finance, LLC commercial paper with a yield of 0.32%, August 12, 2014 5,000,000 4,999,511
Hawaiian Electric Co., Inc. commercial paper with a yield of 0.57%, August 5, 2014 5,000,000 4,999,683
Intesa Funding, LLC commercial paper with a yield of 0.50%, September 22, 2014 2,500,000 2,498,194
Kroger Co. (The) commercial paper with a yield of 0.22%, August 11, 2014 6,000,000 5,999,633
Marsh & McLennan Cos., Inc. commercial paper with a yield of 0.27%, August 14, 2014 5,000,000 4,999,513
Molson Coors Brewing Co. commercial paper with a yield of 0.31%, August 11, 2014 5,000,000 4,999,569
Mondelez International, Inc. commercial paper with a yield of 0.33%, September 9, 2014 3,500,000 3,498,749
Monsanto Co. 144A commercial paper with a yield of 0.28%, August 28, 2014 5,000,000 4,998,950
NBCUniversal Enterprise, Inc. 144A commercial paper with a yield of 0.23%, August 15, 2014 1,500,000 1,499,866
Putnam Short Term Investment Fund 0.05%(AFF) Shares 73,733,603 73,733,603
Time Warner Cable, Inc. commercial paper with a yield of 0.29%, August 11, 2014 $5,510,000 5,509,556
U.S. Treasury Bills with an effective yield of 0.13%, August 21, 2014(SEG)(SEGSF)(SEGCCS) 40,000,000 39,997,056
Westar Energy, Inc. commercial paper with a yield of 0.25%, August 11, 2014 5,000,000 4,999,653
Whirlpool Corp. commercial paper with a yield of 0.28%, August 7, 2014 6,000,000 5,999,720
WPP CP, LLC commercial paper with a yield of 0.38%, September 17, 2014 4,000,000 3,998,016
Total short-term investments (cost $192,726,980) $192,727,548

TOTAL INVESTMENTS
Total investments (cost $1,158,571,753)(b) $1,187,271,221













FORWARD CURRENCY CONTRACTS at 7/31/14 (aggregate face value $305,813,606) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
British Pound Buy 9/17/14 $1,071,181 $1,081,941 $(10,760)
Canadian Dollar Sell 10/15/14 1,105,578 1,130,390 24,812
Euro Sell 9/17/14 6,443,069 6,549,042 105,973
Singapore Dollar Buy 8/20/14 8,016 27,931 (19,915)
Barclays Bank PLC
Australian Dollar Buy 10/15/14 2,873,741 2,909,414 (35,673)
British Pound Buy 9/17/14 3,100,636 3,143,390 (42,754)
Canadian Dollar Sell 10/15/14 2,651,062 2,711,000 59,938
Chinese Yuan (Offshore) Buy 8/20/14 2,708,678 2,708,674 4
Euro Sell 9/17/14 15,478,098 15,604,342 126,244
Japanese Yen Buy 8/20/14 801,362 840,299 (38,937)
Mexican Peso Sell 10/15/14 133,247 128,112 (5,135)
Norwegian Krone Buy 9/17/14 4,988,697 5,226,396 (237,699)
Polish Zloty Buy 9/17/14 852,608 867,180 (14,572)
South African Rand Buy 10/15/14 70,337 100,962 (30,625)
South Korean Won Buy 8/20/14 3,021,785 3,018,191 3,594
Swedish Krona Sell 9/17/14 2,454,154 2,528,031 73,877
Swiss Franc Sell 9/17/14 2,676,562 2,704,699 28,137
Citibank, N.A.
Australian Dollar Buy 10/15/14 2,653,743 2,668,304 (14,561)
Australian Dollar Sell 10/15/14 2,633,399 2,681,218 47,819
Brazilian Real Sell 10/2/14 152,645 148,227 (4,418)
Canadian Dollar Sell 10/15/14 401,363 410,458 9,095
Chilean Peso Buy 10/15/14 1,596,839 1,613,257 (16,418)
Chilean Peso Sell 10/15/14 1,596,839 1,639,892 43,053
Euro Sell 9/17/14 15,712,197 15,918,864 206,667
Japanese Yen Buy 8/20/14 104,364 142,247 (37,883)
Mexican Peso Buy 10/15/14 928,616 946,748 (18,132)
New Zealand Dollar Sell 10/15/14 244,892 197,375 (47,517)
Norwegian Krone Buy 9/17/14 2,629,352 2,780,576 (151,224)
Swiss Franc Sell 9/17/14 2,680,855 2,709,061 28,206
Thai Baht Buy 8/20/14 1,624,012 1,608,402 15,610
Thai Baht Sell 8/20/14 1,624,012 1,601,682 (22,330)
Credit Suisse International
Australian Dollar Buy 10/15/14 90,625 61,482 29,143
British Pound Buy 9/17/14 2,713,647 2,713,661 (14)
Canadian Dollar Sell 10/15/14 2,772,918 2,809,807 36,889
Euro Sell 9/17/14 9,558,403 9,654,224 95,821
Indian Rupee Sell 8/20/14 213,019 221,959 8,940
Japanese Yen Buy 8/20/14 9,754 15,433 (5,679)
Mexican Peso Sell 10/15/14 1,577,440 1,603,183 25,743
New Zealand Dollar Buy 10/15/14 2,206,139 2,354,667 (148,528)
Norwegian Krone Buy 9/17/14 4,039,450 4,151,426 (111,976)
Singapore Dollar Buy 8/20/14 907,335 940,034 (32,699)
South Korean Won Sell 8/20/14 15,981 17,632 1,651
Swedish Krona Sell 9/17/14 3,713,009 3,769,307 56,298
Swiss Franc Sell 9/17/14 2,680,855 2,709,013 28,158
Deutsche Bank AG
Australian Dollar Buy 10/15/14 173,852 159,409 14,443
British Pound Buy 9/17/14 69,702 69,160 542
Canadian Dollar Sell 10/15/14 2,367,069 2,421,107 54,038
Czech Koruna Buy 9/17/14 1,583,054 1,625,080 (42,026)
Czech Koruna Sell 9/17/14 1,583,054 1,618,244 35,190
Euro Sell 9/17/14 6,882,071 6,970,355 88,284
Japanese Yen Sell 8/20/14 1,715,272 1,717,152 1,880
New Zealand Dollar Buy 10/15/14 2,069,816 2,149,612 (79,796)
Norwegian Krone Buy 9/17/14 5,395,453 5,577,186 (181,733)
Polish Zloty Buy 9/17/14 1,546,283 1,577,781 (31,498)
Swedish Krona Sell 9/17/14 5,258,014 5,384,473 126,459
Swiss Franc Buy 9/17/14 290,155 294,629 (4,474)
Goldman Sachs International
Australian Dollar Sell 10/15/14 6,381 6,498 117
Canadian Dollar Sell 10/15/14 3,425,498 3,457,977 32,479
Euro Sell 9/17/14 12,857,078 13,034,434 177,356
Japanese Yen Sell 8/20/14 2,519,895 2,522,927 3,032
Norwegian Krone Buy 9/17/14 5,221,871 5,375,109 (153,238)
Swedish Krona Sell 9/17/14 2,484,302 2,656,568 172,266
HSBC Bank USA, National Association
Australian Dollar Buy 10/15/14 397,456 381,031 16,425
Euro Sell 9/17/14 8,856,107 8,913,594 57,487
Indonesian Rupiah Buy 8/20/14 3,170,317 3,151,488 18,829
Indonesian Rupiah Sell 8/20/14 3,170,317 3,113,692 (56,625)
Japanese Yen Buy 8/20/14 7,325 7,334 (9)
Japanese Yen Sell 8/20/14 7,325 7,423 98
Swedish Krona Sell 9/17/14 2,789,438 2,890,560 101,122
JPMorgan Chase Bank N.A.
Australian Dollar Buy 10/15/14 2,726,614 2,738,270 (11,656)
Brazilian Real Buy 10/2/14 558,733 548,961 9,772
British Pound Buy 9/17/14 5,861,708 5,832,711 28,997
Canadian Dollar Sell 10/15/14 3,650,258 3,709,827 59,569
Euro Sell 9/17/14 8,396,481 8,507,230 110,749
Hungarian Forint Sell 9/17/14 2,031,496 2,111,303 79,807
Indian Rupee Sell 8/20/14 149,550 156,125 6,575
Japanese Yen Sell 8/20/14 4,879,724 4,904,717 24,993
Mexican Peso Sell 10/15/14 992,188 1,004,789 12,601
New Taiwan Dollar Sell 8/20/14 2,602,327 2,601,245 (1,082)
New Zealand Dollar Sell 10/15/14 2,801,877 2,890,818 88,941
Norwegian Krone Buy 9/17/14 2,391,396 2,646,058 (254,662)
Singapore Dollar Sell 8/20/14 166,092 165,039 (1,053)
South Korean Won Sell 8/20/14 3,182,104 3,178,098 (4,006)
Swedish Krona Sell 9/17/14 2,346,524 2,472,983 126,459
Swiss Franc Sell 9/17/14 5,367,875 5,394,196 26,321
Thai Baht Buy 8/20/14 20,922 20,702 220
Thai Baht Sell 8/20/14 20,922 20,686 (236)
State Street Bank and Trust Co.
Australian Dollar Buy 10/15/14 2,599,738 2,634,632 (34,894)
Brazilian Real Sell 10/2/14 303,730 310,610 6,880
British Pound Buy 9/17/14 5,451,766 5,469,332 (17,566)
Canadian Dollar Sell 10/15/14 2,663,330 2,707,847 44,517
Chilean Peso Buy 10/15/14 61,310 61,142 168
Chilean Peso Sell 10/15/14 61,310 63,142 1,832
Euro Sell 9/17/14 7,114,831 7,267,448 152,617
Japanese Yen Sell 8/20/14 5,344,180 5,365,837 21,657
New Taiwan Dollar Buy 8/20/14 76,224 74,654 1,570
New Zealand Dollar Sell 10/15/14 2,824,569 2,873,223 48,654
Norwegian Krone Buy 9/17/14 5,118,602 5,334,295 (215,693)
Singapore Dollar Sell 8/20/14 89,379 69,686 (19,693)
Swedish Krona Sell 9/17/14 2,404,658 2,450,912 46,254
Swiss Franc Sell 9/17/14 2,676,673 2,704,714 28,041
UBS AG
Canadian Dollar Sell 10/15/14 2,373,844 2,427,514 53,670
Japanese Yen Sell 8/20/14 2,442,415 2,462,813 20,398
Mexican Peso Buy 10/15/14 1,558,989 1,588,968 (29,979)
Singapore Dollar Sell 8/20/14 39,840 39,754 (86)
WestPac Banking Corp.
Australian Dollar Buy 10/15/14 2,665,026 2,673,671 (8,645)
British Pound Buy 9/17/14 2,673,819 2,692,708 (18,889)
Euro Sell 9/17/14 12,749,135 12,921,259 172,124
Japanese Yen Sell 8/20/14 1,073,420 1,071,745 (1,675)
New Zealand Dollar Buy 10/15/14 1,157,227 1,192,986 (35,759)
Total $876,683












FUTURES CONTRACTS OUTSTANDING at 7/31/14 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bobl 5 yr (Short) 20 $3,437,877             Sep-14 $742
Euro-Bund 10 yr (Short) 75 14,862,453             Sep-14 (315,577)
Euro-Buxl 30 yr (Short) 22 4,045,913             Sep-14 (169,163)
U.S. Treasury Bond 30 yr (Short) 602 82,718,563             Sep-14 (663,730)
U.S. Treasury Bond Ultra 30 yr (Short) 61 9,201,469             Sep-14 (284,553)
U.S. Treasury Note 5 yr (Long) 108 12,834,281             Sep-14 (83,736)
U.S. Treasury Note 10 yr (Short) 396 49,345,313             Sep-14 203,737
Total $(1,312,280)












WRITTEN SWAP OPTIONS OUTSTANDING at 7/31/14 (premiums $4,937,159) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
(2.6425)/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.6425 $31,216,000 $109,568
(2.7425)/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.7425   31,216,000 229,438
(2.60)/3 month USD-LIBOR-BBA/Jan-25 Jan-15/2.60   49,072,700 363,138

Credit Suisse International
(2.6475)/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.6475   20,121,500 45,072
(2.6475)/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.6475   20,121,500 45,072
(2.65)/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.65   40,243,000 67,608
(2.65)/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.65   40,243,000 74,047
2.6475/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.6475   20,121,500 170,429
2.65/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.65   40,243,000 283,713
2.65/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.65   40,243,000 293,371

Goldman Sachs International
2.9175/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.9175   25,250,000 38,380
2.92/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.92   25,250,000 41,410
2.8175/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.8175   25,250,000 89,385
2.82/3 month USD-LIBOR-BBA/Sep-24 Sep-14/2.82   25,250,000 93,678

JPMorgan Chase Bank N.A.
(2.515)/3 month USD-LIBOR-BBA/Aug-24 Aug-14/2.515   41,475,600 27,789
(2.60)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.60   24,536,400 185,250
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00   10,748,000 1,870,367
Total $4,027,715












WRITTEN OPTIONS OUTSTANDING at 7/31/14 (premiums $2,718,047) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call) Aug-14/$100.55      $41,000,000 $545,710
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call) Aug-14/101.55        41,000,000 175,070
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Oct-14/101.00        54,000,000 424,440
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Oct-14/100.00        54,000,000 242,460
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Oct-14/100.91        32,000,000 239,040
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Oct-14/99.91        32,000,000 136,000
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.22        53,000,000 233,200
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.75        17,000,000 114,920
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.56        17,000,000 99,280
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/100.22        53,000,000 91,690
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.00        17,000,000 61,880
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/100.81        17,000,000 52,190
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.75        17,000,000 112,370
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.56        17,000,000 96,730
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.00        17,000,000 59,500
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/100.81        17,000,000 49,980
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.75        17,000,000 109,990
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.56        17,000,000 94,350
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/101.00        17,000,000 57,120
Federal National Mortgage Association 30 yr 3.5s TBA commitments (Put) Sep-14/100.81        17,000,000 47,600
Total $3,043,520













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 7/31/14 (Unaudited)
Counterparty        Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract receivable/ appreciation
Floating rate index/Maturity date date/strike       amount (payable) (depreciation)

Citibank, N.A.
     (3.60)/3 month USD-LIBOR-BBA/Aug-44 (Purchased) Aug-14/3.60 $9,127,000 $(91,270) $(91,270)
     (3.20)/3 month USD-LIBOR-BBA/Aug-44 (Written) Aug-14/3.20 9,127,000 87,847 85,976 

JPMorgan Chase Bank N.A.
     (2.95)/3 month USD-LIBOR-BBA/Sep-24 (Purchased) Sep-14/2.95 40,243,000 (32,195) 13,280 
     (3.6275)/3 month USD-LIBOR-BBA/Aug-44 (Purchased) Aug-14/3.6275 9,127,000 (95,833) (95,833)
     (3.2275)/3 month USD-LIBOR-BBA/Aug-44 (Written) Aug-14/3.2275 9,127,000 90,814 71,008 
Total $(40,637) $(16,839)












TBA SALE COMMITMENTS OUTSTANDING at 7/31/14 (proceeds receivable $54,799,512) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, August 1, 2044 $8,000,000       8/12/14 $8,613,125
Federal National Mortgage Association, 4s, August 1, 2044 17,000,000       8/12/14 17,872,578
Federal National Mortgage Association, 3 1/2s, August 1, 2044 13,000,000       8/12/14 13,241,719
Federal National Mortgage Association, 3s, August 1, 2044 10,000,000       8/12/14 9,795,312
Federal National Mortgage Association, 3s, July 1, 2044 1,000,000       7/14/14 980,352
Government National Mortgage Association, 4s, August 1, 2044 4,000,000       8/12/14 4,238,437
Total $54,741,523















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 7/31/14 (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.
CAD 13,320,000 $—      6/23/24 2.7425% 3 month CAD-BA-CDOR $(181,746)
MYR 17,495,000 —      3/19/19 4.0275% 3 month MYR-KLIBOR-BNM 332
Citibank, N.A.
AUD 14,292,000 (E) —      7/30/24 4.55% 6 month AUD-BBR-BBSW 20,321
AUD 14,292,000 (E) —      7/31/24 4.5175% 6 month AUD-BBR-BBSW 37,188
Deutsche Bank AG
MYR 17,495,000 —      3/19/19 4.035% 3 month MYR-KLIBOR-BNM (1,452)
PLN 17,860,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (427,762)
PLN 8,905,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (218,471)
PLN 7,747,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (171,313)
PLN 88,191,000 —      7/14/16 6 month PLN-WIBOR-WIBO 2.48% (29,253)
Goldman Sachs International
CAD 3,576,000 —      5/30/23 2.534% 3 month CAD-BA-CDOR (23,880)
EUR 74,426,000 —      8/30/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (29,545)
EUR 74,426,000 —      8/30/14 0.309% 3 month EUR-EURIBOR-REUTERS (236,349)
EUR 74,426,000 —      8/31/14 1 year EUR-EONIA-OIS-COMPOUND 0.11% (29,295)
EUR 74,426,000 —      8/31/14 0.314% 3 month EUR-EURIBOR-REUTERS (241,384)
EUR 74,426,000 —      9/3/14 1 year EUR-EONIA-OIS-COMPOUND 0.086% (54,119)
EUR 74,426,000 —      9/3/14 0.283% 3 month EUR-EURIBOR-REUTERS (210,592)
JPMorgan Chase Bank N.A.
CAD 3,487,000 —      2/6/24 3 month CAD-BA-CDOR 2.855% 108,453
MXN 46,619,000 —      5/3/24 1 month MXN-TIIE-BANXICO 6.25% 29,187
Total$—     $(1,659,680)
(E)   Extended effective date.













CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 7/31/14 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$342,450,000 (E) $1,665,933      9/17/16 3 month USD-LIBOR-BBA 1.00% $480,714
217,391,000 (E) 3,234,048      9/17/19 3 month USD-LIBOR-BBA 2.25% 188,835
18,742,000 (E) 766,471      9/17/24 3 month USD-LIBOR-BBA 3.25% (100,066)
853,000 (E) 87,178      9/17/44 3 month USD-LIBOR-BBA 4.00% (30,332)
34,300,000 (E) 13,971      6/15/19 3 month USD-LIBOR-BBA 2.64% (9,902)
294,000 (E) (2,621)     9/17/19 3 month USD-LIBOR-BBA 2.15% 76
133,520,000 (E) (49,116)     12/16/17 3 month USD-LIBOR-BBA 1.835% 345,302
97,768,000 (E) (543)     12/16/17 3 month USD-LIBOR-BBA 1.897% 169,476
49,031,000 (E) (272)     12/16/17 3 month USD-LIBOR-BBA 1.86625% 114,558
19,168,000 (E) 23,772      9/17/16 3 month USD-LIBOR-BBA 0.90% (4,347)
66,877,000 (E) (371)     12/16/17 3 month USD-LIBOR-BBA 1.905% 105,495
16,296,000 (E) (90)     12/16/17 3 month USD-LIBOR-BBA 1.8625% 39,264
111,320,000 (E) (158,336)     12/16/17 3 month USD-LIBOR-BBA 1.882% 67,978
EUR 16,041,000 (E) (858,879)     9/17/19 1.50% 6 month EUR-EURIBOR-REUTERS 19,985
EUR 17,048,000 (E) 1,761,350      9/17/24 6 month EUR-EURIBOR-REUTERS 2.25% (101,950)
EUR 1,000 (E) 123      9/17/44 6 month EUR-EURIBOR-REUTERS 2.75% (86)
EUR 17,030,000 (306)     6/17/24 6 month EUR-EURIBOR-REUTERS 1.609% 579,579
EUR 17,030,000 (167)     6/17/24 6 month EUR-EURIBOR-REUTERS 1.622% 608,340
EUR 4,267,000 (E) (491,873)     9/17/34 6 month EUR-EURIBOR-REUTERS 2.75% 250,848
EUR 70,562,000 (E) (6,564,952)     9/17/21 6 month EUR-EURIBOR-REUTERS 2.00% 44,631
GBP 4,000 (E) (9)     9/17/16 6 month GBP-LIBOR-BBA 1.50% (16)
GBP 5,000 (E) 3      9/17/19 6 month GBP-LIBOR-BBA 2.25% (1)
GBP 1,395,000 (E) (27)     7/29/24 6 month GBP-LIBOR-BBA 3.2575% (8,623)
GBP 1,314,000 (E) (25)     7/29/24 6 month GBP-LIBOR-BBA 3.25% (8,823)
GBP 5,220,000 (E) (99)     7/29/24 6 month GBP-LIBOR-BBA 3.256% (32,821)
GBP 2,511,000 (E) (48)     7/29/24 6 month GBP-LIBOR-BBA 3.285% (10,599)
JPY 58,423,000 (20)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 18,380
JPY 114,399,000 (38)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 34,911
JPY 3,191,100,000 (125)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 124,258
JPY 698,200,000 (122)     3/14/44 6 month JPY-LIBOR-BBA 1.795% (214,801)
JPY 56,638,000 (10)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 18,005
$20,737,800 (148,548)     7/2/24 2.6025% 3 month USD-LIBOR-BBA (40,467)
Total$(723,748)    $2,647,801
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 7/31/14 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$1,081,818 $—      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools $519
5,550,000 (E) —      6/24/24 (2.865%) USA Non Revised Consumer Price Index- Urban (CPI-U) 2,808
7,214,000 (E) —      6/24/24 (2.865%) USA Non Revised Consumer Price Index- Urban (CPI-U) 3,650
Barclays Bank PLC
836,458 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,008)
192,063 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (201)
3,262,460 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (6,313)
2,588,836 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,680)
5,778,998 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (6,963)
5,231,110 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (7,939)
16,679,066 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (34,764)
7,162,297 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (10,869)
2,655,161 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (4,029)
1,743,614 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (7,644)
1,327,580 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,015)
1,727,669 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 9,219
14,477,530 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (30,175)
17,218,719 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (26,130)
5,228,922 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (22,925)
611,160 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (59)
331,142 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,647
913,375 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,386)
2,655,161 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (4,029)
10,588,201 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (22,069)
9,274,541 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools (40,662)
6,110,634 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (12,736)
16,664,705 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,823)
1,970,504 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (807)
1,424,701 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (2,757)
1,032,417 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,244)
6,603,547 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools (12,779)
29,411,218 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (44,633)
7,272,486 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (11,036)
367,740 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (558)
733,035 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (883)
2,377,221 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,864)
1,723,417 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,077)
14,400,878 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (30,015)
5,801,398 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (6,943)
2,198,491 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 12,718
1,099,291 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 6,359
1,099,291 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 6,359
2,206,052 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 12,762
5,729,668 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 33,146
2,206,052 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 12,762
1,141,154 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 5,485
1,004,536 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,524)
723,770 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 3,479
1,153,023 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 5,735
4,404,543 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools 25,481
1,399,605 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,917)
3,849,789 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,024)
7,470,000 —      3/20/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) 78,360
5,972,000 —      3/21/24 (2.505%) USA Non Revised Consumer Price Index- Urban (CPI-U) 62,712
Citibank, N.A.
1,481,137 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,248)
1,229,340 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (1,866)
7,512,000 —      3/27/24 (2.4825%) USA Non Revised Consumer Price Index- Urban (CPI-U) 93,074
EUR 14,700,000 —      2/21/19 (1.235%) Eurostat Eurozone HICP excluding tobacco (179,715)
EUR 7,660,000 —      2/21/24 1.69% Eurostat Eurozone HICP excluding tobacco 145,343
Credit Suisse International
$1,770,107 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (2,686)
5,391,736 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,238)
5,014,009 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools 24,099
4,810,267 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,835)
5,118,708 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (9,401)
6,849,526 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,804)
11,157,115 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 53,624
3,892,870 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,594)
EUR 4,280,000 —      3/27/19 (1.1913%) Eurostat Eurozone HICP excluding tobacco (39,310)
EUR 14,700,000 —      2/20/19 (1.2225%) Eurostat Eurozone HICP excluding tobacco (166,925)
EUR 7,660,000 —      2/20/24 1.68% Eurostat Eurozone HICP excluding tobacco 134,573
EUR 4,280,000 —      3/24/19 (1.1925%) Eurostat Eurozone HICP excluding tobacco (39,682)
GBP 3,620,000 —      3/20/19 3.05% GBP Non-revised UK Retail Price Index 33,113
GBP 3,620,000 —      3/25/19 3.0413% GBP Non-revised UK Retail Price Index 30,357
Deutsche Bank AG
$5,391,736 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,238)
Goldman Sachs International
4,206,453 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 20,921
3,244,926 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 16,139
10,780,441 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 57,524
4,075,793 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 20,272
8,650,072 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools (13,127)
6,424,480 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,649)
6,424,480 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (6,649)
5,039,656 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (10,504)
1,893,308 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,946)
2,184,300 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools 1,047
568,945 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (54)
144,019 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 768
4,290,592 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 22,894
6,903,938 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (14,390)
305,801 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (637)
815,500 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,700)
1,392,236 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 6,925
4,609,844 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 22,928
9,423,878 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (9,754)
7,737,857 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 41,289
2,220,000 —      7/14/44 (2.83%) USA Non Revised Consumer Price Index- Urban (CPI-U) (21,268)
12,764,000 (E) —      6/19/24 (2.83%) USA Non Revised Consumer Price Index- Urban (CPI-U) 25,515
1,521,000 —      7/29/44 (2.7975%) USA Non Revised Consumer Price Index- Urban (CPI-U) (6,510)
Total$—     $80,396
(E)   Extended effective date.











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 7/31/14 (Unaudited)
Upfront 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.
  CMBX NA BBB- Index BBB-/P $44,403 $779,000 5/11/63 300 bp $46,727
  CMBX NA BBB- Index BBB-/P 46,609 755,000 5/11/63 300 bp 48,862
  CMBX NA BBB- Index BBB-/P 22,719 377,000 5/11/63 300 bp 23,844
  CMBX NA BBB- Index BBB-/P 11,962 175,000 5/11/63 300 bp 12,484
Barclays Bank PLC
  CMBX NA BBB- Index BBB-/P 69,177 624,000 5/11/63 300 bp 71,038
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 49,531 1,207,000 5/11/63 300 bp 53,132
  CMBX NA BBB- Index BBB-/P 82,769 1,080,000 5/11/63 300 bp 85,991
  CMBX NA BBB- Index BBB-/P 54,488 748,000 5/11/63 300 bp 56,720
  CMBX NA BBB- Index BBB-/P 8,092 697,000 5/11/63 300 bp 10,172
  CMBX NA BBB- Index BBB-/P 10,094 657,000 5/11/63 300 bp 12,054
  CMBX NA BBB- Index BBB-/P 10,889 618,000 5/11/63 300 bp 12,732
  CMBX NA BBB- Index BBB-/P 18,774 617,000 5/11/63 300 bp 20,614
  CMBX NA BBB- Index BBB-/P 48,354 606,000 5/11/63 300 bp 50,162
  CMBX NA BBB- Index BBB-/P 46,921 606,000 5/11/63 300 bp 48,728
  CMBX NA BBB- Index BBB-/P 39,799 605,000 5/11/63 300 bp 41,604
  CMBX NA BBB- Index BBB-/P 66,775 591,000 5/11/63 300 bp 68,539
  CMBX NA BBB- Index BBB-/P 37,649 473,000 5/11/63 300 bp 39,060
  CMBX NA BBB- Index BBB-/P 1,427 184,000 5/11/63 300 bp 1,976
  CMBX NA BB Index — (5,339) 1,022,000 5/11/63 (500 bp) (5,924)
  CMBX NA BB Index — (11,876) 680,000 5/11/63 (500 bp) (12,265)
  CMBX NA BB Index — 8,506 550,000 5/11/63 (500 bp) 8,191
  CMBX NA BB Index — 13,969 529,000 5/11/63 (500 bp) 13,667
  CMBX NA BB Index — (2,603) 339,000 5/11/63 (500 bp) (2,797)
  CMBX NA BB Index — (3,110) 341,000 5/11/63 (500 bp) (3,306)
  CMBX NA BB Index — (3,238) 338,000 5/11/63 (500 bp) (3,431)
  CMBX NA BB Index — 3,184 308,000 5/11/63 (500 bp) 3,008
  CMBX NA BB Index — 5,499 275,000 5/11/63 (500 bp) 5,342
  CMBX NA BB Index — (13,092) 675,000 5/11/63 (500 bp) (13,478)
  CMBX NA BBB- Index BBB-/P 59,500 2,432,000 5/11/63 300 bp 66,756
  CMBX NA BBB- Index BBB-/P (20,370) 1,351,000 5/11/63 300 bp (16,339)
  CMBX NA BBB- Index BBB-/P (16,648) 1,351,000 5/11/63 300 bp (12,617)
  CMBX NA BBB- Index BBB-/P (24,878) 1,285,000 5/11/63 300 bp (21,044)
  CMBX NA BBB- Index BBB-/P 12,327 653,000 5/11/63 300 bp 14,275
  CMBX NA BBB- Index BBB-/P 14,141 653,000 5/11/63 300 bp 16,089
  CMBX NA BBB- Index BBB-/P (11,580) 641,000 5/11/63 300 bp (9,668)
  CMBX NA BBB- Index BBB-/P 14,705 618,000 5/11/63 300 bp 16,549
  CMBX NA BBB- Index BBB-/P 428 617,000 5/11/63 300 bp 2,269
  CMBX NA BBB- Index BBB-/P 2,133 616,000 5/11/63 300 bp 3,971
  CMBX NA BBB- Index BBB-/P 26,440 612,000 5/11/63 300 bp 28,266
  CMBX NA BBB- Index BBB-/P (2,021) 597,000 5/11/63 300 bp (588)
  CMBX NA BBB- Index BBB-/P 23,451 490,000 5/11/63 300 bp 24,913
  CMBX NA BBB- Index BBB-/P (2,833) 297,000 5/11/63 300 bp (2,120)
  CMBX NA BBB- Index — (35,196) 623,000 1/17/47 (300 bp) (26,090)
  CMBX NA BBB- Index — (28,770) 613,000 1/17/47 (300 bp) (19,810)
Goldman Sachs International
  CMBX NA BB Index — (3,246) 338,000 5/11/63 (500 bp) (3,439)
  CMBX NA BB Index — 6,218 275,000 5/11/63 (500 bp) 6,061
  CMBX NA BBB- Index BBB-/P (10,677) 641,000 5/11/63 300 bp (8,769)
  CMBX NA BBB- Index BBB-/P (3,240) 297,000 5/11/63 300 bp (2,527)
Total$662,216$749,584
*   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 July 31, 2014. Securities rated by Putnam are indicated by “/P.”  










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
MXN Mexican Peso
MYR Malaysian Ringgit
PLN Polish Zloty
USD / $ United States Dollar
Key to holding's abbreviations
BKNT Bank Note
bp Basis Points
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
GMTN Global Medium Term Notes
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2013 through July 31, 2014 (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 $1,086,102,921.
(b) The aggregate identified cost on a tax basis is $1,159,549,054, resulting in gross unrealized appreciation and depreciation of $33,545,222 and $5,823,055, respectively, or net unrealized appreciation of $27,722,167.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(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 Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Money Market Liquidity Fund * $73,136,172 $— $73,136,172 $2,034 $—
Putnam Short Term Investment Fund * 47,874,172 639,205,955 613,346,524 51,774 73,733,603 —
Totals $121,010,344 $639,205,955 $686,482,696 $53,808 $73,733,603
* 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.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) Security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(R) Real Estate Investment Trust.
(U) This security, in part or in entirety, represents an unfunded loan commitment. As of the close of the reporting period, the fund had unfunded loan commitments of $363,158, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:
Borrower
Unfunded commitments
WR Grace & Co. $363,158
Totals $363,158

At the close of the reporting period, the fund maintained liquid assets totaling $238,011,597 to cover certain derivatives contracts and delayed delivery securities.
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: 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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
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.
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.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to hedge against changes in values of securities it owns, owned or expects to own and to hedge prepayment risk.
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.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
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 interest rate risk and to gain exposure to interest rates.
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 fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair 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.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, 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. 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 settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. 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, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing 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 and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific sectors or industries and to hedge inflation in specific regions or countries.
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 and/or centrally cleared credit default contracts to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes 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. For OTC credit default contracts, 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. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair 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 and centrally cleared 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 for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. 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.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. 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.
The fund may also 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. 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.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage backed and other asset backed securities that may result in delayed delivery (Master Agreements) with certain counterparties 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.
With respect to ISDA Master Agreements, 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 or 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 $2,929,258 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $4,154,000 and may include amounts related to unsettled agreements.












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
Asset-backed securities $— $41,911,000 $—
Corporate bonds and notes — 241,114,021 —
Foreign government and agency bonds and notes — 50,143,974 —
Mortgage-backed securities — 434,609,399 —
Purchased options outstanding — 3,836,280 —
Purchased swap options outstanding — 1,435,369 —
Senior loans — 87,670,621 —
U.S. government and agency mortgage obligations — 133,319,679 —
U.S. treasury obligations — 503,330 —
Short-term investments 73,733,603 118,993,945 —
Totals by level $73,733,603 $1,113,537,618 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $876,683 $—
Futures contracts (1,312,280) — —
Written options outstanding — (3,043,520) —
Written swap options outstanding — (4,027,715) —
Forward premium swap option contracts — (16,839) —
TBA sale commitments — (54,741,523) —
Interest rate swap contracts — 1,711,869 —
Total return swap contracts — 80,396 —
Credit default contracts — 87,368 —
Totals by level $(1,312,280) $(59,073,281) $—



Fair Value 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 Fair value Fair value
Credit contracts $90,611 $3,243
Foreign exchange contracts 3,129,105 2,252,422
Interest rate contracts 17,652,365 18,988,805
Total $20,872,081 $21,244,470


The 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 based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$192,700,000
Purchased swap option contracts (contract amount)$472,500,000
Written TBA commitment option contracts (contract amount)$328,200,000
Written swap option contracts (contract amount)$395,900,000
Futures contracts (number of contracts)1,000
Forward currency contracts (contract amount)$598,200,000
OTC interest rate swap contracts (notional)$967,400,000
Centrally cleared interest rate swap contracts (notional)$2,093,000,000
OTC total return swap contracts (notional)$573,200,000
OTC credit default contracts (notional)$23,100,000
 
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
                                     
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc. State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  OTC Interest rate swap contracts*#    $332  $—  $—  $57,509  $—  $—  $—  $—  $137,640  $—  $—  $—  $—    $195,481
  Centrally cleared interest rate swap contracts§    —  —  1,645,080  —  —  —  —  —  —  —  —  —  —    1,645,080
  OTC Total return swap contracts*#    6,977  276,224  —  238,417  275,766  —  236,222  —  —  —  —  —  —    1,033,606
  OTC Credit default contracts*#    6,224  1,861  —  —  79,905  —  2,621  —  —  —  —  —  —    90,611
  Futures contracts§    —  —  —  —  —  —  —  —  —  72,312  —  —  —    72,312
  Forward currency contracts#    130,785  291,794  —  350,450  282,643  320,836  385,250  193,961  575,004  —  352,190  74,068  172,124    3,129,105
  Forward premium swap option contracts#    —  —  —  85,976  —  —  —  —  84,288  —  —  —  —    170,264
  Purchased swap options#    404,872  —  —  —  661,595  —  368,902  —  —  —  —  —  —    1,435,369
  Purchased options#    —  —  —  —  —  —  —  —  3,836,280  —  —  —  —    3,836,280
                                     
  Total Assets  $549,190  $569,879  $1,645,080  $732,352  $1,299,909  $320,836  $992,995  $193,961  $4,633,212  $72,312  $352,190  $74,068  $172,124  $11,608,108
                                     
  Liabilities:                                  
  OTC Interest rate swap contracts*#    $181,746  $—  $—  $—  $—  $848,251  $825,164  $—  $—  $—  $—  $—  $—    $1,855,161
  Centrally cleared interest rate swap contracts§    —  —  1,210,722  —  —  —  —  —  —  —  —  —  —    1,210,722
  OTC Total return swap contracts*#    —  380,480  —  183,829  282,475  11,238  95,188  —  —  —  —  —  —    953,210
  OTC Credit default contracts*#    —  —  —  —  2,893  —  350  —  —  —  —  —  —    3,243
  Futures contracts§    —  —  —  —  —  —  —  —  —  —  —  —  —    —
  Forward currency contracts#    30,675  405,395  —  312,483  298,896  339,527  153,238  56,634  272,695  —  287,846  30,065  64,968    2,252,422
  Forward premium swap option contracts#    —  —  —  91,270  —  —  —  —  95,833  —  —  —  —    187,103
  Written swap options#    702,144  —  —  —  979,312  —  262,853  —  2,083,406  —  —  —  —    4,027,715
  Written options#    —  —  —  —  —  —  —  —  3,043,520  —  —  —  —    3,043,520
                                     
  Total Liabilities  $914,565  $785,875  $1,210,722  $587,582  $1,563,576  $1,199,016  $1,336,793  $56,634  $5,495,454  $—  $287,846  $30,065  $64,968  $13,533,096
                                     
  Total Financial and Derivative Net Assets    $(365,375)  $(215,996)  $434,358  $144,770  $(263,667)  $(878,180)  $(343,798)  $137,327  $(862,242)  $72,312  $64,344  $44,003  $107,156    $(1,924,988)
  Total collateral received (pledged)##†    $(365,375)  $(191,000)  $—  $—  $(263,667)  $(710,000)  $(343,798)  $123,031  $(862,242)  $—  $—  $—  $—    
  Net amount    $—  $(24,996)  $434,358  $144,770  $—  $(168,180)  $—  $14,296  $—  $72,312  $64,344  $44,003  $107,156    
                                     
* Excludes premiums, if any.
                                     
†  Additional collateral may be required from certain brokers based on individual agreements.
                                     
# Covered by master netting agreement.
                                     
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                     
§ Includes current day's variation margin only, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio. 

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
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: September 26, 2014

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: September 26, 2014

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: September 26 2014