N-Q 1 a_absolutereturnfive.htm PUTNAM FUNDS TRUST a_absolutereturnfive.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, 2015
Date of reporting period: January 31, 2015



Item 1. Schedule of Investments:













Putnam Absolute Return 500 Fund

The fund's portfolio
1/31/15 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (34.4%)(a)
Principal amount Value
U.S. Government Agency Mortgage Obligations (34.4%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4 1/2s, May 1, 2044 $2,202,925 $2,478,351
     4s, with due dates from June 1, 2043 to October 1, 2043 968,935 1,055,264
     3 1/2s, with due dates from August 1, 2043 to February 1, 2044 2,704,581 2,881,902
     3s, March 1, 2043 863,998 893,630
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, TBA, March 1, 2045 3,000,000 3,351,563
     5 1/2s, TBA, February 1, 2045 3,000,000 3,355,078
     4 1/2s, with due dates from May 1, 2041 to February 1, 2044 2,320,230 2,547,913
     4 1/2s, TBA, March 1, 2045 30,000,000 32,518,359
     4 1/2s, TBA, February 1, 2045 12,000,000 13,021,874
     4s, with due dates from April 1, 2042 to June 1, 2044 10,092,495 10,969,358
     4s, TBA, March 1, 2045 6,000,000 6,413,220
     4s, TBA, February 1, 2045 6,000,000 6,425,156
     3 1/2s, July 1, 2043 911,127 967,930
     3 1/2s, TBA, March 1, 2045 23,000,000 24,240,742
     3 1/2s, TBA, February 1, 2045 15,000,000 15,846,093
     3s, TBA, March 1, 2045 87,000,000 89,739,807
     3s, TBA, February 1, 2045 85,000,000 87,888,674
304,594,914
Total U.S. government and agency mortgage obligations (cost $302,232,621) $304,594,914

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Bonds 3s, November 15, 2044(i) $143,000 $167,086
U.S. Treasury Notes
     2 1/4s, April 30, 2021(i) 33,000 34,828
     2s, February 15, 2023(i) 563,000 586,336
     1 5/8s, July 31, 2019(i) 151,000 154,304
     1s, May 31, 2018(i) 24,000 24,122
Total U.S. treasury obligations (cost $966,676) $966,676

COMMON STOCKS (21.7%)(a)
Shares Value
Basic materials (0.7%)
Airgas, Inc. 4,800 $540,672
Axalta Coating Systems, Ltd.(NON) 5,200 133,484
Bemis Co., Inc. 9,200 407,560
International Flavors & Fragrances, Inc. 5,581 592,200
Newmont Mining Corp. 40,800 1,026,120
Royal Gold, Inc. 6,300 456,498
SBA Communications Corp. Class A(NON) 11,700 1,365,390
Sherwin-Williams Co. (The) 7,300 1,980,271
6,502,195
Capital goods (1.3%)
Avery Dennison Corp. 8,400 439,068
Ball Corp. 12,100 766,293
General Dynamics Corp. 22,600 3,010,546
Lockheed Martin Corp. 15,700 2,957,409
Raytheon Co. 9,398 940,270
Rockwell Collins, Inc. 12,000 1,027,440
Stericycle, Inc.(NON) 4,600 603,934
TransDigm Group, Inc. 4,400 904,332
Waste Management, Inc. 22,100 1,136,603
11,785,895
Communication services (0.3%)
Verizon Communications, Inc. 60,396 2,760,701
2,760,701
Conglomerates (1.2%)
Danaher Corp. 34,600 2,850,348
Marubeni Corp. (Japan) 495,600 2,734,891
Mitsubishi Corp. (Japan) 181,500 3,168,707
Mitsui & Co., Ltd. (Japan) 148,900 1,889,621
10,643,567
Consumer cyclicals (2.7%)
Automatic Data Processing, Inc. 24,500 2,021,985
AutoZone, Inc.(NON) 3,010 1,796,850
Clorox Co. (The) 6,100 650,931
Discovery Communications, Inc.(NON) 20,800 579,904
Dollar General Corp.(NON) 27,900 1,870,974
Dollar Tree, Inc.(NON) 18,784 1,335,542
FactSet Research Systems, Inc. 2,900 416,411
Harley-Davidson, Inc. 19,200 1,184,640
Interpublic Group of Cos., Inc. (The) 37,200 741,768
Kohl's Corp. 6,000 358,320
Lear Corp. 1,600 160,560
Madison Square Garden Co. (The) Class A(NON) 5,600 424,200
NIKE, Inc. Class B 1,400 129,150
Omnicom Group, Inc. 17,452 1,270,506
Ralph Lauren Corp. 5,200 867,828
Scripps Networks Interactive Class A 9,600 682,464
Target Corp. 42,800 3,150,508
Vantiv, Inc. Class A(NON) 11,700 402,363
VF Corp. 23,000 1,595,510
Wal-Mart Stores, Inc. 13,200 1,121,736
Walt Disney Co. (The) 28,800 2,619,648
23,381,798
Consumer staples (2.4%)
Altria Group, Inc. 69,300 3,679,830
Bunge, Ltd. 11,400 1,020,642
Chipotle Mexican Grill, Inc.(NON) 400 283,936
Church & Dwight Co., Inc. 7,000 566,440
Colgate-Palmolive Co. 36,400 2,457,728
Costco Wholesale Corp. 23,900 3,417,461
Dr. Pepper Snapple Group, Inc. 16,400 1,267,228
McDonald's Corp. 38,600 3,568,184
Philip Morris International, Inc. 15,000 1,203,600
Pinnacle Foods, Inc. 4,800 172,656
Reynolds American, Inc. 21,600 1,467,720
Sumitomo Mitsui financial Group, Inc. (Japan) 167,700 1,653,630
Tupperware Brands Corp. 4,600 311,006
21,070,061
Energy (1.2%)
Exxon Mobil Corp. 71,302 6,233,221
HollyFrontier Corp. 17,700 635,784
National Oilwell Varco, Inc. 33,400 1,817,962
Spectra Energy Corp. 60,206 2,013,289
10,700,256
Financials (3.9%)
Alexandria Real Estate Equities, Inc.(R) 4,500 438,840
American Campus Communities, Inc.(R) 9,500 417,620
American Capital Agency Corp.(R) 32,400 698,220
Axis Capital Holdings, Ltd. 7,900 402,110
BB&T Corp. 51,500 1,817,435
Berkshire Hathaway, Inc. Class B(NON) 31,038 4,466,679
Brixmor Property Group, Inc.(R) 4,900 132,790
Capital One Financial Corp. 40,000 2,928,400
Chubb Corp. (The) 5,700 558,030
Cullen/Frost Bankers, Inc. 4,700 292,810
Everest Re Group, Ltd. 3,236 554,586
HCP, Inc.(R) 33,500 1,584,215
Health Care REIT, Inc.(R) 16,200 1,327,590
NASDAQ OMX Group, Inc. (The) 2,600 118,560
Northern Trust Corp. 13,100 856,478
PartnerRe, Ltd. 4,100 469,040
PNC Financial Services Group, Inc. 29,600 2,502,384
Public Storage(R) 6,600 1,325,544
RenaissanceRe Holdings, Ltd. 3,562 340,634
Spirit Realty Capital, Inc.(R) 36,000 462,960
Starwood Property Trust, Inc.(R) 20,100 480,993
Synchrony Financial(NON) 11,800 364,148
Taubman Centers, Inc.(R) 4,900 401,555
Travelers Cos., Inc. (The) 23,900 2,457,398
Visa, Inc. Class A 13,600 3,466,776
Wells Fargo & Co. 96,000 4,984,320
XL Group PLC 24,900 858,801
34,708,916
Health care (3.0%)
Abbott Laboratories 60,700 2,716,932
AmerisourceBergen Corp. 20,500 1,948,525
C.R. Bard, Inc. 5,927 1,013,695
Cardinal Health, Inc. 9,574 796,461
DaVita HealthCare Partners, Inc.(NON) 15,200 1,140,912
Edwards Lifesciences Corp.(NON) 9,600 1,203,360
Eli Lilly & Co. 47,699 3,434,328
Johnson & Johnson 52,900 5,297,406
Mednax, Inc.(NON) 7,300 495,597
Merck & Co., Inc. 71,300 4,297,964
Pfizer, Inc. 137,300 4,290,625
26,635,805
Technology (3.4%)
Accenture PLC Class A 34,100 2,865,423
Analog Devices, Inc. 17,100 890,996
Apple, Inc. 29,813 3,492,891
Broadcom Corp. Class A 48,200 2,045,367
Cisco Systems, Inc. 148,500 3,915,203
Computer Sciences Corp. 12,900 782,772
eBay, Inc.(NON) 63,400 3,360,200
EMC Corp. 124,500 3,228,285
Fidelity National Information Services, Inc. 11,600 724,188
Fiserv, Inc.(NON) 14,400 1,044,432
Gentex Corp. 26,600 443,954
Intuit, Inc. 20,600 1,788,492
L-3 Communications Holdings, Inc. 8,000 984,960
Linear Technology Corp. 10,100 453,894
Maxim Integrated Products, Inc. 25,700 850,413
Microsoft Corp. 6,919 279,528
Motorola Solutions, Inc. 3,000 187,230
NetApp, Inc. 28,500 1,077,300
Paychex, Inc. 29,600 1,339,696
29,755,224
Transportation (0.5%)
CH Robinson Worldwide, Inc. 13,500 961,470
Expeditors International of Washington, Inc. 4,800 209,664
United Parcel Service, Inc. Class B 34,286 3,388,828
4,559,962
Utilities and power (1.1%)
Alliant Energy Corp. 4,100 281,301
American Electric Power Co., Inc. 30,000 1,884,300
American Water Works Co., Inc. 8,800 494,032
Kinder Morgan, Inc. 81,200 3,333,260
Pinnacle West Capital Corp. 10,000 701,800
Southern Co. (The) 59,700 3,027,984
9,722,677
Total common stocks (cost $175,661,891) $192,227,057

MORTGAGE-BACKED SECURITIES (13.6%)(a)
Principal amount Value
Agency collateralized mortgage obligations (6.0%)
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, 5.168s, 2024 $393,000 $397,716
Federal Home Loan Mortgage Corporation
     IFB Ser. 2990, Class LB, 16.52s, 2034 138,727 188,097
     IFB Ser. 3232, Class KS, IO, 6.134s, 2036 736,642 98,065
     IFB Ser. 4143, Class DS, IO, 5.954s, 2042 1,807,258 469,059
     IFB Ser. 4104, Class S, IO, 5.934s, 2042 577,867 123,025
     IFB Ser. 3116, Class AS, IO, 5.934s, 2034 575,608 25,193
     IFB Ser. 4240, Class SA, IO, 5.834s, 2043 5,158,154 1,173,635
     IFB Ser. 4245, Class AS, IO, 5.834s, 2043 5,486,530 1,158,989
     IFB Ser. 271, Class S5, IO, 5.834s, 2042 5,142,855 1,284,171
     IFB Ser. 3852, Class NT, 5.834s, 2041 2,508,448 2,668,988
     IFB Ser. 317, Class S3, IO, 5.814s, 2043 2,422,761 659,245
     IFB Ser. 325, Class S1, IO, 5.784s, 2044 2,230,537 567,939
     IFB Ser. 326, Class S2, IO, 5.784s, 2044 4,929,463 1,285,806
     IFB Ser. 308, Class S1, IO, 5.784s, 2043 2,957,844 792,761
     IFB Ser. 269, Class S1, IO, 5.784s, 2042 1,532,628 376,107
     IFB Ser. 264, Class S1, IO, 5.784s, 2042 4,183,668 1,094,371
     IFB Ser. 327, Class S8, IO, 5.754s, 2044 812,012 203,084
     IFB Ser. 314, Class AS, IO, 5.724s, 2043 1,711,898 439,202
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 1,571,975 264,092
     Ser. 4193, Class PI, IO, 4s, 2043 2,844,080 427,688
     Ser. 4116, Class MI, IO, 4s, 2042 3,509,630 568,339
     Ser. 4213, Class GI, IO, 4s, 2041 1,039,290 127,001
     Ser. 304, Class C53, IO, 4s, 2032 2,043,230 325,956
     Ser. 311, Class IO, IO, 3 1/2s, 2043 1,750,811 282,386
     Ser. 303, Class C19, IO, 3 1/2s, 2043 2,165,732 372,624
     Ser. 304, Class C22, IO, 3 1/2s, 2042 2,418,167 525,668
     Ser. 4141, Class IM, IO, 3 1/2s, 2042 1,439,642 247,551
     Ser. 4121, Class AI, IO, 3 1/2s, 2042 4,207,428 813,514
     Ser. 4136, Class IW, IO, 3 1/2s, 2042 2,900,755 414,463
     Ser. 4166, Class PI, IO, 3 1/2s, 2041 2,301,225 356,161
     Ser. 304, IO, 3 1/2s, 2027 1,504,469 178,084
     Ser. 304, Class C37, IO, 3 1/2s, 2027 1,118,362 131,933
     Ser. 4150, Class DI, IO, 3s, 2043 2,069,575 338,893
     Ser. 4158, Class TI, IO, 3s, 2042 5,393,078 630,127
     Ser. 4165, Class TI, IO, 3s, 2042 4,581,700 544,764
     Ser. 4183, Class MI, IO, 3s, 2042 2,016,334 231,878
     Ser. 13-4206, Class IP, IO, 3s, 2041 3,398,709 406,757
     Ser. 4179, Class EI, IO, 3s, 2030 3,642,182 393,683
     Ser. 304, Class C45, IO, 3s, 2027 1,981,668 226,854
     Ser. 3939, Class EI, IO, 3s, 2026 3,999,695 363,675
     Ser. 13-4176, Class IA, IO, 2 1/2s, 2028 4,803,957 509,748
     Ser. T-8, Class A9, IO, 0.464s, 2028 233,381 3,209
     Ser. T-59, Class 1AX, IO, 0.272s, 2043 562,712 6,858
     Ser. T-48, Class A2, IO, 0.212s, 2033 809,548 7,843
     Ser. 3206, Class EO, PO, zero %, 2036 47,108 43,088
     Ser. 3175, Class MO, PO, zero %, 2036 39,049 36,424
Federal National Mortgage Association
     IFB Ser. 05-74, Class NK, 26.659s, 2035 65,417 109,297
     IFB Ser. 05-45, Class DA, 23.803s, 2035 258,291 412,890
     IFB Ser. 11-4, Class CS, 12.564s, 2040 954,054 1,174,258
     IFB Ser. 12-128, Class YS, IO, 6.032s, 2042 1,508,735 285,996
     IFB Ser. 13-19, Class SK, IO, 5.982s, 2043 1,431,334 279,823
     IFB Ser. 12-153, Class SK, IO, 5.982s, 2043 1,728,347 411,260
     IFB Ser. 12-111, Class JS, IO, 5.932s, 2040 2,220,808 405,569
     IFB Ser. 13-128, Class SA, IO, 5.832s, 2043 3,595,941 897,403
     Ser. 13-98, Class SA, IO, 5.782s, 2043 2,721,967 725,404
     IFB Ser. 13-124, Class SB, IO, 5.782s, 2043 1,210,742 321,215
     IFB Ser. 13-92, Class SA, IO, 5.782s, 2043 943,617 253,729
     IFB Ser. 13-103, Class SK, IO, 5.752s, 2043 1,017,984 274,208
     Ser. 13-101, Class SE, IO, 5.732s, 2043 1,370,197 375,242
     IFB Ser. 13-128, Class CS, IO, 5.732s, 2043 1,544,926 401,882
     IFB Ser. 13-102, Class SH, IO, 5.732s, 2043 1,274,622 336,985
     Ser. 397, Class 2, IO, 5s, 2039 37,682 5,585
     Ser. 10-13, Class EI, IO, 5s, 2038 64,865 694
     Ser. 418, Class C24, IO, 4s, 2043 1,913,254 304,566
     Ser. 13-44, Class PI, IO, 4s, 2043 911,281 141,747
     Ser. 12-124, Class UI, IO, 4s, 2042 3,878,390 643,813
     Ser. 13-11, Class IP, IO, 4s, 2042 3,034,107 534,235
     Ser. 12-96, Class PI, IO, 4s, 2041 1,889,175 262,879
     Ser. 12-22, Class CI, IO, 4s, 2041 3,116,780 438,996
     Ser. 406, Class 2, IO, 4s, 2041 143,105 21,537
     Ser. 406, Class 1, IO, 4s, 2041 141,278 21,390
     Ser. 409, Class C16, IO, 4s, 2040 612,081 88,197
     Ser. 12-104, Class HI, IO, 4s, 2027 3,479,303 409,158
     Ser. 418, Class C15, IO, 3 1/2s, 2043 4,074,598 673,677
     Ser. 417, Class C24, IO, 3 1/2s, 2042 2,094,645 448,254
     Ser. 12-136, Class PI, IO, 3 1/2s, 2042 2,206,876 251,363
     Ser. 14-10, Class IO, IO, 3 1/2s, 2042 1,714,588 185,437
     Ser. 12-101, Class PI, IO, 3 1/2s, 2040 2,596,611 246,649
     Ser. 13-21, Class AI, IO, 3 1/2s, 2033 2,856,984 528,285
     Ser. 417, Class C19, IO, 3 1/2s, 2033 1,705,457 236,581
     Ser. 12-93, Class DI, IO, 3 1/2s, 2027 3,524,865 474,200
     Ser. 12-151, Class PI, IO, 3s, 2043 2,093,848 259,847
     Ser. 13-8, Class NI, IO, 3s, 2042 4,009,657 505,914
     Ser. 6, Class BI, IO, 3s, 2042 3,787,443 421,921
     Ser. 13-35, Class IP, IO, 3s, 2042 3,472,097 360,501
     Ser. 13-23, Class PI, IO, 3s, 2041 6,226,714 572,733
     Ser. 13-31, Class NI, IO, 3s, 2041 4,882,007 456,224
     Ser. 13-7, Class EI, IO, 3s, 2040 2,444,166 378,724
     Ser. 13-55, Class MI, IO, 3s, 2032 2,475,934 295,849
     Ser. 03-W10, Class 1, IO, 1.007s, 2043 183,809 4,552
     Ser. 98-W5, Class X, IO, 0.872s, 2028 429,007 21,182
     Ser. 98-W2, Class X, IO, 0.673s, 2028 1,477,125 77,549
Government National Mortgage Association
     IFB Ser. 12-38, Class SC, IO, 6.532s, 2040 1,629,314 224,682
     IFB Ser. 11-93, Class SA, IO, 6.492s, 2041 4,915,934 1,118,258
     IFB Ser. 13-113, Class SL, IO, 6.062s, 2042 922,104 125,276
     IFB Ser. 13-116, Class SA, IO, 5.982s, 2043 1,189,215 227,235
     IFB Ser. 13-129, Class SN, IO, 5.982s, 2043 841,230 144,490
     IFB Ser. 13-129, Class CS, IO, 5.982s, 2042 2,122,634 312,813
     IFB Ser. 14-90, Class HS, IO, 5.932s, 2044 1,511,027 381,912
     IFB Ser. 14-25, Class HS, IO, 5.932s, 2044 1,107,431 254,643
     IFB Ser. 14-32, Class CS, IO, 5.932s, 2044 1,938,032 416,677
     IFB Ser. 13-99, Class VS, IO, 5.932s, 2043 942,577 199,939
     IFB Ser. 12-77, Class MS, IO, 5.932s, 2042 1,458,794 400,483
     IFB Ser. 12-34, Class SA, IO, 5.882s, 2042 1,598,420 368,596
     IFB Ser. 11-70, Class SN, IO, 5.732s, 2041 1,431,796 240,799
     IFB Ser. 11-70, Class SH, IO, 5.722s, 2041 1,799,000 315,239
     Ser. 14-25, Class QI, IO, 5s, 2044 3,283,347 627,776
     Ser. 14-2, Class IC, IO, 5s, 2044 932,515 171,462
     Ser. 13-3, Class IT, IO, 5s, 2043 1,519,359 303,712
     Ser. 11-116, Class IB, IO, 5s, 2040 1,279,483 65,774
     Ser. 10-35, Class UI, IO, 5s, 2040 1,461,049 308,647
     Ser. 10-20, Class UI, IO, 5s, 2040 1,070,234 169,686
     Ser. 10-9, Class UI, IO, 5s, 2040 5,178,008 1,030,384
     Ser. 09-121, Class UI, IO, 5s, 2039 2,270,287 402,953
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 98,001 11,782
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 1,997,278 303,227
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 2,522,957 436,369
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 1,247,534 185,296
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 910,355 166,879
     Ser. 09-121, Class CI, IO, 4 1/2s, 2039 2,785,968 624,447
     Ser. 10-103, Class DI, IO, 4 1/2s, 2038 3,330,971 231,583
     Ser. 13-24, Class PI, IO, 4s, 2042 1,431,753 220,476
     Ser. 12-47, Class CI, IO, 4s, 2042 2,449,516 370,489
     Ser. 14-104, Class IO, IO, 4s, 2042 3,452,032 566,340
     Ser. 12-50, Class PI, IO, 4s, 2041 1,711,287 218,874
     Ser. 12-41, Class IP, IO, 4s, 2041 3,126,713 544,715
     Ser. 14-133, Class AI, IO, 4s, 2036 4,495,812 624,468
     Ser. 13-102, Class IP, IO, 3 1/2s, 2043 2,043,601 199,567
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 1,736,527 178,254
     Ser. 13-79, Class PI, IO, 3 1/2s, 2043 3,672,730 429,122
     Ser. 13-100, Class MI, IO, 3 1/2s, 2043 2,912,423 304,203
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 1,886,328 212,438
     Ser. 13-14, Class IO, IO, 3 1/2s, 2042 2,646,928 309,214
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 882,553 102,729
     Ser. 12-92, Class AI, IO, 3 1/2s, 2042 1,022,623 137,011
     Ser. 13-37, Class LI, IO, 3 1/2s, 2042 1,473,035 179,931
     Ser. 12-141, Class WI, IO, 3 1/2s, 2041 1,618,341 161,397
     Ser. 12-71, Class JI, IO, 3 1/2s, 2041 1,520,062 137,036
     Ser. 13-90, Class HI, IO, 3 1/2s, 2040 5,206,669 331,717
     Ser. 183, Class AI, IO, 3 1/2s, 2039 3,412,277 405,689
     Ser. 14-115, Class QI, IO, 3s, 2029 2,793,752 279,906
GSMPS Mortgage Loan Trust 144A
     Ser. 99-2, IO, 0.773s, 2027 112,498 844
     Ser. 98-3, IO, zero %, 2027 61,328 901
     Ser. 98-2, IO, zero %, 2027 53,799 387
     Ser. 98-4, IO, zero %, 2026 84,669 2,084
53,410,925
Commercial mortgage-backed securities (5.2%)
FRB America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 534,000 552,293
     Ser. 06-6, Class A2, 5.309s, 2045 36,989 37,042
     Ser. 07-1, Class XW, IO, 0.346s, 2049 2,646,543 22,633
Banc of America Commercial Mortgage Trust 144A FRB Ser. 08-1, Class C, 6.268s, 2051 1,000,000 971,810
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     Ser. 04-3, Class D, 5.445s, 2039 639,000 645,697
     FRB Ser. 05-1, Class C, 5.294s, 2042 292,000 284,244
     FRB Ser. 05-5, Class D, 5.243s, 2045 366,000 371,051
     Ser. 05-3, Class AJ, 4.767s, 2043 225,000 220,507
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A
     Ser. 02-PB2, Class XC, IO, 0.266s, 2035 876,952 443
     Ser. 04-4, Class XC, IO, 0.207s, 2042 681,111 1,766
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 06-PW11, Class AJ, 5.435s, 2039 596,000 611,645
     Ser. 05-PWR7, Class D, 5.304s, 2041 375,000 371,415
     Ser. 05-PWR9, Class C, 5.055s, 2042 215,000 217,395
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.435s, 2039 3,084,000 3,088,811
     FRB Ser. 06-PW11, Class C, 5.435s, 2039 320,000 319,053
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class E, 6.124s, 2044 250,000 247,500
Citigroup Commercial Mortgage Trust FRB Ser. 06-C4, Class B, 5.772s, 2049 703,000 701,847
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class E, 4.458s, 2046 1,041,000 901,824
COMM Mortgage Trust FRB Ser. 07-C9, Class D, 5.795s, 2049 300,000 285,657
COMM Mortgage Trust 144A
     FRB Ser. 12-LC4, Class D, 5.647s, 2044 152,000 160,938
     FRB Ser. 14-CR18, Class D, 4.74s, 2047 480,000 459,427
     Ser. 12-LC4, Class E, 4 1/4s, 2044 266,000 238,573
     FRB Ser. 14-UBS6, Class D, 3.967s, 2047 615,000 536,535
     FRB Ser. 07-C9, Class AJFL, 0.856s, 2049 140,000 135,404
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C3, Class B, 4.882s, 2037 203,000 202,310
Credit Suisse First Boston Mortgage Securities Corp. 144A
     Ser. 98-C1, Class F, 6s, 2040 390,699 422,931
     Ser. 03-C3, Class AX, IO, 1.829s, 2038 214,806 26
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.419s, 2044 411,000 444,568
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class F, 5.35s, 2035 197,668 198,631
First Union National Bank Commercial Mortgage 144A Ser. 01-C3, Class K, 6.155s, 2033 187,208 187,208
GCCFC Commercial Mortgage Trust
FRB Ser. 05-GG3, Class D, 4.986s, 2042 189,000 188,755
FRB Ser. 05-GG3, Class E, 5.087s, 2042 243,000 242,687
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.275s, 2044 2,044,000 2,068,242
GE Commercial Mortgage Corp Trust Ser. 07-C1, Class A3, 5.481s, 2049 856,008 857,167
GS Mortgage Securities Corp. II Ser. 05-GG4, Class B, 4.841s, 2039 396,000 395,414
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.414s, 2046 391,000 388,197
     FRB Ser. 13-GC10, Class E, 4.414s, 2046 850,000 754,622
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.637s, 2045 100,000 105,046
     FRB Ser. 13-GC16, Class D, 5.315s, 2046(F) 488,000 504,994
     Ser. 06-GG8, Class X, IO, 0.582s, 2039 37,116,437 296,931
JP Morgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 12-C6, Class F, 5.207s, 2045 334,000 317,193
     FRB Ser. 12-C6, Class G, 2.972s, 2045 366,000 287,868
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class D, 4.087s, 2045 242,000 232,368
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C14, Class E, 4.561s, 2046 675,000 630,719
     FRB Ser. 13-C12, Class E, 4.087s, 2045 800,000 693,351
     FRB Ser. 14-C25, Class D, 3.95s, 2047 430,000 381,658
JPMorgan Chase Commercial Mortgage Securities Corp. 144A FRB Ser. 04-CB8, Class F, 5.048s, 2039 500,000 498,890
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.074s, 2051 755,000 798,239
     FRB Ser. 06-LDP7, Class B, 5 7/8s, 2045 556,000 378,002
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 435,000 438,989
     FRB Ser. 05-LDP3, Class D, 5.193s, 2042 547,000 548,039
     FRB Ser. 05-LDP2, Class D, 4.941s, 2042 850,000 848,147
     FRB Ser. 13-LC11, Class D, 4.24s, 2046 112,000 109,578
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.174s, 2051 736,000 749,579
     FRB Ser. 07-CB20, Class C, 6.174s, 2051 501,000 479,026
     FRB Ser. 11-C3, Class E, 5.567s, 2046 103,000 113,239
     FRB Ser. 13-C13, Class D, 4.056s, 2046 469,000 453,507
     Ser. 13-C13, Class E, 3.986s, 2046 494,000 414,971
     Ser. 13-C10, Class E, 3 1/2s, 2047 354,000 258,632
JPMorgan Chase Commercial Mortgage Securities Trust Pass-Through Certificates 144A FRB Ser. 01-C1, Class H, 5.626s, 2035 527,216 536,004
Key Commercial Mortgage Securities Trust 2007-SL1 FRB Ser. 07-SL1, Class A2, 5.568s, 2040 69,689 68,905
LB-UBS Commercial Mortgage Trust
     Ser. 06-C6, Class D, 5.502s, 2039 640,000 627,443
     Ser. 07-C1, Class AJ, 5.484s, 2040 87,000 88,073
     FRB Ser. 06-C6, Class C, 5.482s, 2039 878,000 861,538
     Ser. 05-C7, Class C, 5.35s, 2040 474,000 474,545
     FRB Ser. 05-C2, Class C, 5.274s, 2040 1,050,000 1,055,103
     Ser. 07-C2, Class XW, IO, 0.539s, 2040 2,062,356 24,181
Merrill Lynch Mortgage Trust
     FRB Ser. 05-CKI1, Class B, 5.288s, 2037 476,000 477,476
     FRB Ser. 05-CIP1, Class C, 5.266s, 2038 351,000 334,503
     Ser. 04-KEY2, Class D, 5.046s, 2039 250,000 250,000
Merrill Lynch Mortgage Trust 144A Ser. 05-MCP1, Class XC, IO, 0.608s, 2043 10,962,106 14,317
ML-CFC Commercial Mortgage Trust
     Ser. 06-3, Class AJ, 5.485s, 2046 224,000 227,232
     Ser. 06-4, Class AJ, 5.239s, 2049 238,000 240,332
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 13-C11, Class E, 4.416s, 2046 600,000 550,440
     FRB Ser. 13-C11, Class F, 4.416s, 2046 696,000 596,132
     Ser. 13-C13, Class F, 3.707s, 2046 1,285,000 1,027,383
Morgan Stanley Capital I Trust
     FRB Ser. 07-HQ11, Class D, 5.587s, 2044 238,000 224,957
     Ser. 07-HQ11, Class C, 5.558s, 2044 611,000 604,798
     FRB Ser. 06-HQ8, Class C, 5.488s, 2044 950,000 950,405
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 404,834 406,668
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class D, 4.958s, 2049 233,000 238,936
     FRB Ser. 13-C6, Class D, 4.353s, 2046 83,000 80,576
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.002s, 2045 365,000 367,573
     Ser. 06-C24, Class AJ, 5.658s, 2045 268,000 273,387
     Ser. 2004-C12, Class F, 5.417s, 2041 868,000 872,852
     Ser. 06-C29, IO, 0.386s, 2048 36,721,965 232,817
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 05-C21, Class E, 5.242s, 2044 1,487,000 1,483,758
     Ser. 07-C31, IO, 0.215s, 2047 56,424,985 224,818
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.302s, 2046 839,000 805,115
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C4, Class E, 5.245s, 2044 321,000 344,130
     Ser. 12-C6, Class E, 5s, 2045 412,000 389,723
     Ser. 11-C4, Class F, 5s, 2044 504,000 487,585
     FRB Ser. 11-C3, Class E, 5s, 2044 367,000 350,058
     FRB Ser. 13-C18, Class D, 4.673s, 2046 364,000 364,352
     FRB Ser. 13-UBS1, Class D, 4.632s, 2046 260,000 262,374
     FRB Ser. 13-C15, Class D, 4.482s, 2046 161,000 159,175
     FRB Ser. 12-C10, Class E, 4.458s, 2045 316,000 279,956
     FRB Ser. 13-C12, Class D, 4.355s, 2048 231,000 229,545
     FRB Ser. 13-C13, Class E, 4.138s, 2045 343,000 264,384
     Ser. 13-C12, Class E, 3 1/2s, 2048 462,000 373,042
     Ser. 13-C14, Class E, 3 1/4s, 2046 575,000 455,883
45,453,708
Residential mortgage-backed securities (non-agency) (2.4%)
Banc of America Funding Trust FRB Ser. 06-G, Class 3A3, 5 3/4s, 2036 274,205 268,721
BCAP, LLC Trust
     FRB Ser. 12-RR5, Class 4A8, 0.338s, 2035 2,000,000 1,822,242
     FRB Ser. 12-RR10, Class 9A2, 2.664s, 2035 220,000 205,172
BCAP, LLC Trust 144A
     FRB Ser. 15-RR2, Class 26A2, 2.613s, 2036 253,000 224,636
     FRB Ser. 14-RR1, Class 2A2, 2.354s, 2036 350,000 294,000
144A FRB Ser. 14-RR2, Class 4A3, 0.439s, 2036 525,000 401,625
Bear Stearns Alt-A Trust
     FRB Ser. 05-7, Class 22A1, 2.644s, 2035 579,250 495,259
     FRB Ser. 04-6, Class M2, 1.893s, 2034 845,111 743,698
Citigroup Mortgage Loan Trust FRB Ser. 07-WFH2, Class M2, 0.618s, 2037(F) 300,000 214,500
Citigroup Mortgage Loan Trust 144A FRB Ser. 10-7, Class 3A5, 5.979s, 2035 350,000 372,735
Countrywide Alternative Loan Trust
     FRB Ser. 05-38, Class A3, 0.518s, 2035 2,228,791 1,933,476
     FRB Ser. 05-59, Class 1A1, 0.499s, 2035 749,195 606,848
     FRB Ser. 06-HY11, Class A1, 0.288s, 2036 714,498 607,323
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 11-2R, Class 2A9, 2.609s, 2036 600,000 546,000
Credit Suisse Mortgage Trust 144A FRB Ser. 10-20R, Class 7A4, 3 1/2s, 2037 750,000 682,950
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.671s, 2025 366,000 371,476
Jefferies Resecuritization Trust 144A FRB Ser. 09-R7, Class 12A2, 2.616s, 2036 1,134,304 1,003,859
Newcastle Mortgage Securities Trust FRB Ser. 06-1, Class M2, 0.538s, 2036 250,000 197,200
RBSSP Resecuritization Trust 144A FRB Ser. 10-1, Class 3A2, 5.215s, 2035 600,000 585,180
Residential Accredit Loans, Inc. Trust FRB Ser. 06-QO7, Class 2A1, 0.964s, 2046(F) 1,185,234 826,701
Residential Asset Mortgage Products Trust FRB Ser. 05-EFC2, Class M6, 0.878s, 2035 500,000 351,120
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 06-AR1, Class 2A1B, 1.184s, 2046 1,411,588 1,263,372
     FRB Ser. 04-AR13, Class A1B2, 1.148s, 2034 492,616 460,497
     FRB Ser. 06-AR3, Class A1B, 1.114s, 2046 421,895 343,001
     FRB Ser. 06-AR4, Class 1A1B, 1.053s, 2046 295,016 255,189
     FRB Ser. 05-AR11, Class A1C3, 0.678s, 2045(F) 2,262,625 2,019,393
     FRB Ser. 05-AR13, Class A1C3, 0.658s, 2045 1,621,207 1,426,662
     FRB Ser. 05-AR9, Class A1B, 0.548s, 2045 1,131,686 1,054,212
     FRB Ser. 05-AR13, Class A1B3, 0.528s, 2045 201,437 180,286
     FRB Ser. 05-AR15, Class A1B3, 0.508s, 2045 464,412 407,521
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR6, Class 7A2, 5.017s, 2036 713,206 708,132
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.336s, 2047 625,000 462,500
21,335,486
Total mortgage-backed securities (cost $116,091,564) $120,200,119

SENIOR LOANS (8.7%)(a)(c)
Principal amount Value
Basic materials (0.2%)
AIlnex Luxembourg & CY SCA bank term loan FRN Ser. B1, 4 1/2s, 2019 (Luxembourg) $461,163 $457,128
AIlnex Luxembourg & CY SCA bank term loan FRN Ser. B2, 4 1/2s, 2019 (Luxembourg) 239,275 237,182
Ineos US Finance, LLC bank term loan FRN 3 3/4s, 2018 504,976 491,089
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 312,738 297,883
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany) 415,000 388,025
1,871,307
Capital goods (0.4%)
Accudyne Industries Borrower SCA bank term loan FRN 4s, 2019 (Luxembourg) 457,687 426,984
Gardner Denver, Inc. bank term loan FRN 4 1/4s, 2020 706,063 659,090
Generac Power Systems, Inc. bank term loan FRN Ser. B, 3 1/4s, 2020 690,000 674,906
Reynolds Group Holdings, Inc. bank term loan FRN Ser. B, 4s, 2018 588,060 581,363
TransDigm, Inc. bank term loan FRN Ser. C, 3 3/4s, 2020 492,462 484,734
TransDigm, Inc. bank term loan FRN Ser. D, 3 3/4s, 2021 796,000 783,397
3,610,474
Communication services (1.1%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021 480,000 475,000
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 1,514,722 1,504,308
Asurion, LLC bank term loan FRN Ser. B2, 4 1/4s, 2020 985,000 963,453
Intelsat Jackson Holdings SA bank term loan FRN Ser. B2, 3 3/4s, 2019 (Bermuda) 1,419,814 1,403,249
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 1,000,000 990,000
Numericable US, LLC bank term loan FRN Ser. B1, 4 1/2s, 2020 (France) 774,742 769,761
Numericable US, LLC bank term loan FRN Ser. B2, 4 1/2s, 2020 (France) 670,258 665,949
Virgin Media Investment Holdings, Ltd. bank term loan FRN Ser. B, 3 1/2s, 2020 (United Kingdom) 1,500,000 1,476,563
Zayo Group, LLC bank term loan FRN Ser. B, 4s, 2019 975,013 964,316
9,212,599
Consumer cyclicals (3.1%)
Academy, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2018 2,110,330 2,087,117
American Casino & Entertainment Properties, LLC bank term loan FRN 4 1/2s, 2019 989,950 980,050
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 7.005s, 2017 849,835 760,177
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 9 3/4s, 2017 562,175 497,525
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 631,825 575,908
CCM Merger, Inc. bank term loan FRN Ser. B, 4 1/2s, 2021 732,819 729,155
Chrysler Group, LLC bank term loan FRN Ser. B, 3 1/2s, 2017 327,396 325,668
CityCenter Holdings, LLC bank term loan FRN Ser. B, 4 1/4s, 2020 886,533 880,992
FCA US,LLC bank term loan FRN Ser. B, 3 1/4s, 2018 794,000 788,442
Garda World Security Corp. bank term loan FRN Ser. B, 4s, 2020 (Canada) 786,343 764,718
Garda World Security Corp. bank term loan FRN Ser. DD, 4s, 2020 (Canada) 201,157 195,626
Golden Nugget, Inc. bank term loan FRN Ser. B, 5 1/2s, 2019 606,375 599,174
Golden Nugget, Inc. bank term loan FRN Ser. DD, 5 1/2s, 2019 259,875 256,789
Interactive Data Corp. bank term loan FRN Ser. B, 4 3/4s, 2021 995,000 990,647
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 1,000,000 968,750
Jeld-Wen, Inc. bank term loan FRN 5 1/4s, 2021 1,000,000 995,000
Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4s, 2018 636,298 617,209
MGM Resorts International bank term loan FRN Ser. B, 3 1/2s, 2019 980,000 964,075
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 1,264,032 1,223,741
Petco Animal Supplies, Inc. bank term loan FRN 4s, 2017 960,000 947,143
Realogy Group, LLC bank term loan FRN Ser. B, 3 3/4s, 2020 1,473,863 1,448,438
Roofing Supply Group, LLC bank term loan FRN Ser. B, 5s, 2019 977,500 952,248
Sabre GLBL, Inc. bank term loan FRN Ser. B, 4s, 2019 1,225,000 1,205,094
Scientific Games International, Inc. bank term loan FRN Ser. B2, 6s, 2021 1,500,000 1,479,141
Station Casinos, LLC bank term loan FRN Ser. B, 4 1/4s, 2020 1,189,147 1,169,823
Travelport Finance Sarl bank term loan FRN Ser. B, 6s, 2021 (Luxembourg) 1,145,000 1,146,145
Tribune Media Co. bank term loan FRN Ser. B, 4s, 2020 1,475,382 1,453,713
Univision Communications, Inc. bank term loan FRN 4s, 2020 1,136,284 1,118,175
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019 1,385,245 1,229,405
27,350,088
Consumer staples (0.9%)
Amaya BV bank term loan FRN 5s, 2021 (Netherlands) 997,500 975,947
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4s, 2021 426,775 415,305
Del Monte Foods, Inc. bank term loan FRN 4 1/4s, 2021 950,400 880,308
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020 832,010 830,060
Landry's, Inc. bank term loan FRN Ser. B, 4s, 2018 1,329,975 1,323,880
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 995,000 972,613
Rite Aid Corp. bank term loan FRN 4 7/8s, 2021 1,000,000 999,167
Sprouts Farmers Markets, Inc. bank term loan FRN 4s, 2020 370,714 369,479
US Foods, Inc. bank term loan FRN 4 1/2s, 2019 985,000 981,553
7,748,312
Energy (0.3%)
American Energy-Marcellus, LLC bank term loan FRN 5 1/4s, 2020 460,000 379,788
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 1,060,000 632,820
Offshore Group Investment, Ltd. bank term loan FRN Ser. B, 5s, 2017 (Cayman Islands) 989,235 707,303
Shelf Drilling Holdings, Ltd. bank term loan FRN 10s, 2018(PIK) 630,000 453,600
Tervita Corp. bank term loan FRN Ser. B, 6 1/4s, 2018 (Canada) 624,040 585,038
2,758,549
Financials (0.5%)
Fifth Third Processing Solutions, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 255,643 253,726
HUB International, Ltd. bank term loan FRN Ser. B, 4 1/4s, 2020 992,500 960,740
iStar Financial, Inc. bank term loan FRN Ser. A2, 7s, 2017(R) 708,603 723,661
USI, Inc. bank term loan FRN Ser. B, 4 1/4s, 2019 1,470,141 1,445,332
Walter Investment Management Corp. bank term loan FRN Ser. B, 4 3/4s, 2020 1,455,477 1,271,116
4,654,575
Health care (1.3%)
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018 911,034 909,611
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021 1,366,200 1,364,920
Envision Healthcare Corp. bank term loan FRN Ser. B, 4s, 2018 476,092 473,266
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.169s, 2021 1,652,513 1,631,668
IASIS Healthcare, LLC bank term loan FRN Ser. B, 4 1/2s, 2018 968,095 965,674
Kinetic Concepts, Inc. bank term loan FRN 4s, 2018 1,324,710 1,309,334
MPH Acquisition Holdings, LLC bank term loan FRN Ser. B, 3 3/4s, 2021 1,033,455 1,006,757
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 592,025 567,234
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4s, 2019 501,824 491,286
Pharmaceutical Product Development, Inc. bank term loan FRN Ser. B, 4s, 2018 620,928 617,306
Quintiles Transnational Corp. bank term loan FRN Ser. B3, 3 3/4s, 2018 1,409,078 1,390,145
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 1/2s, 2020 462,718 459,312
11,186,513
Technology (0.7%)
Avago Technologies, Ltd. bank term loan FRN Ser. B, 3 3/4s, 2020 1,422,850 1,419,293
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 1,482,492 1,446,665
First Data Corp. bank term loan FRN Ser. B, 3.668s, 2018 1,500,000 1,470,626
Infor US, Inc. bank term loan FRN Ser. B5, 3 3/4s, 2020 872,044 849,879
Syniverse Holdings, Inc. bank term loan FRN Ser. B, 4s, 2019 950,228 916,970
6,103,433
Transportation (0.1%)
Air Medical Group Holdings, Inc. bank term loan FRN 7 5/8s, 2018(PIK) 1,125,000 1,113,750
1,113,750
Utilities and power (0.1%)
Energy Transfer Equity LP bank term loan FRN 3 1/4s, 2019 715,000 676,748
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.661s, 2017 710,555 448,760
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.661s, 2017 7,293 4,606
1,130,114
Total senior loans (cost $79,167,188) $76,739,714

INVESTMENT COMPANIES (5.3%)(a)
Shares Value
Consumer Staples Select Sector SPDR Fund 161,400 $7,750,428
Health Care Select Sector SPDR Fund 220,400 15,267,108
Materials Select Sector SPDR Fund 161,100 7,682,859
Utility Select Sector SPDR Fund ETF 336,200 16,245,184
Total investment companies (cost $44,939,703) $46,945,579

COMMODITY LINKED NOTES (3.5%)(a)(CLN)
Principal amount Value
Deutsche Bank AG/London 144A notes, 1-month USD LIBOR less 0.16%, 2015 (Indexed to the DB Commodity Backwardation Alpha 22 Total Return Index multiplied by 3) (United Kingdom) $2,791,000 $2,024,033
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2015 (Indexed to the UBSIF3AT Index multiplied by 3) (United Kingdom) 14,300,000 15,175,365
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2015 (Indexed to the UBSIF3AT Index multiplied by 3) (United Kingdom) 6,480,000 6,886,297
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2015 (Indexed to the S&P GSCI Light Energy Index Excess Return multiplied by 3) (United Kingdom) 4,261,000 7,342,236
Total commodity Linked Notes (cost $27,832,000) $31,427,931

CORPORATE BONDS AND NOTES (2.5%)(a)
Principal amount Value
Basic materials (0.3%)
ArcelorMittal SA sr. unsec. unsub. notes 6 1/8s, 2018 (France) $339,000 $360,188
Cemex SAB de CV 144A company guaranty sr. FRN notes 5.003s, 2018 (Mexico) 1,500,000 1,530,000
Vale Overseas, Ltd. company guaranty sr. unsec. unsub. notes 6 1/4s, 2017 (Brazil) 395,000 420,130
2,310,318
Capital goods (—%)
KION Finance SA 144A sr. unsub. notes 6 3/4s, 2020 (Luxembourg) EUR 145,000 177,117
177,117
Communication services (0.8%)
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) $840,000 861,000
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 1,500,000 1,526,250
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 700,000 712,250
Sprint Communications, Inc. sr. unsec. notes 6s, 2016 265,000 277,588
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 770,000 835,450
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 500,000 516,250
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 130,000 164,944
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 185,000 226,297
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 530,000 841,570
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 $1,110,000 1,143,300
7,104,899
Consumer cyclicals (—%)
Owens Corning company guaranty sr. unsec. notes 9s, 2019 36,000 44,215
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 575,000 483,000
527,215
Consumer staples (0.1%)
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 895,000 902,272
902,272
Energy (0.2%)
Chesapeake Energy Corp. company guaranty sr. unsec. FRN notes 3.503s, 2019 1,500,000 1,455,000
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 237,000 112,931
1,567,931
Financials (0.6%)
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018 900,000 933,750
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 90,000 96,300
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. FRB bonds 8 1/8s, 2038 530,000 598,900
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4 7/8s, 2019 1,070,000 1,088,725
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. notes 5.942s, 2023 (Russia) 200,000 133,216
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 250,000 171,070
VTB Bank OJSC Via VTB Capital SA sr. unsec. notes Ser. 6, 6 1/4s, 2035 (Russia) 500,000 490,000
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,600,000 1,352,000
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 600,000 393,000
5,256,961
Health care (0.3%)
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 555,000 573,731
ConvaTec Healthcare D SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 415,000 485,973
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 $235,000 241,463
HCA, Inc. sr. notes 6 1/2s, 2020 610,000 686,250
Service Corporation International sr. unsec. notes 7s, 2017 170,000 184,450
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 665,000 723,188
2,895,055
Utilities and power (0.2%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 9 3/4s, 2016 93,000 100,905
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017 1,035,000 1,157,906
Texas-New Mexico Power Co. 144A 1st mtge. bonds Ser. A, 9 1/2s, 2019 175,000 223,575
1,482,386
Total corporate bonds and notes (cost $22,681,956) $22,224,154

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.6%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $325,000 $313,300
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 2,425,000 2,439,550
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina) 1,225,000 1,212,750
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 650,000 687,375
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 240,000 263,729
Financing of Infrastructural Projects State Enterprise 144A govt. guaranty sr. unsec. notes 8 3/8s, 2017 (Ukraine) 200,000 101,000
Total foreign government and agency bonds and notes (cost $5,022,588) $5,017,704

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.
     (2.0875)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.0875 $1,454,000 $19,891
     (2.0575)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.0575 2,908,000 2,704
     (2.1575)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.1575 2,908,000 872
     (2.254)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.254 2,908,000 29
     (2.354)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.354 2,908,000 3
Barclays Bank PLC
     (2.21)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.21 2,908,000 29
     (2.31)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.31 2,908,000 9
Citibank, N.A.
     2.20/3 month USD-LIBOR-BBA/May-25 May-15/2.20 4,886,100 175,997
     (2.245)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.245 1,454,000 15
     (2.219)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.219 1,454,000 15
     (2.319)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.319 1,454,000 3
     (2.345)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.345 1,454,000 1
Credit Suisse International
     2.25/3 month USD-LIBOR-BBA/May-25 May-15/2.25 7,881,000 313,585
     2.09125/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.09125 2,906,000 80,961
     2.09/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.09 2,906,000 80,700
     (2.1175)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.1175 4,362,000 1,658
     (2.2175)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.2175 4,362,000 480
     (2.60)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.60 17,815,700 18
Goldman Sachs International
     2.34/3 month USD-LIBOR-BBA/Mar-45 Mar-15/2.34 1,743,950 87,773
     (2.22)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.22 2,908,000 29
     (2.32)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.32 2,908,000 29
     (2.89)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.89 1,743,950 17
     (2.94)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.94 1,743,950 2
     (3.04)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/3.04 1,743,950 2
Total purchased swap options outstanding (cost $699,429) $764,822

PURCHASED OPTIONS OUTSTANDING (0.6%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/$103.07 $4,000,000 $40,160
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/102.78 4,000,000 34,480
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.22 5,000,000 5
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.41 5,000,000 5
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/100.37 4,000,000 4
SPDR S&P 500 ETF Trust (Put) Jan-16/170.00 157,363 1,021,420
SPDR S&P 500 ETF Trust (Put) Dec-15/180.00 156,080 1,290,426
SPDR S&P 500 ETF Trust (Put) Nov-15/180.00 153,197 1,203,811
SPDR S&P 500 ETF Trust (Put) Oct-15/162.00 155,226 592,335
SPDR S&P 500 ETF Trust (Put) Sep-15/170.00 156,204 702,774
SPDR S&P 500 ETF Trust (Put) Aug-15/170.00 156,204 597,549
Total purchased options outstanding (cost $6,692,381) $5,482,969

SHORT-TERM INVESTMENTS (40.0%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.07%(AFF) Shares 158,090,532 $158,090,532
Putnam Short Term Investment Fund 0.10%(AFF) Shares 171,699,300 171,699,300
SSgA Prime Money Market Fund Class N 0.01%(P) Shares 10,607,000 10,607,000
U.S. Treasury Bills with effective yields ranging from 0.02% to 0.03%, April 23, 2015(SEG)(SEGCCS) $715,000 714,988
U.S. Treasury Bills with an effective yield of 0.03%, April 16, 2015(SEG)(SEGSF)(SEGCCS) 8,650,000 8,649,870
U.S. Treasury Bills with effective yields ranging from 0.03% to 0.04%, April 9, 2015(SEG)(SEGCCS) 610,000 609,995
U.S. Treasury Bills with an effective yield of 0.02%, February 26, 2015(SEGCCS) 1,900,000 1,899,977
U.S. Treasury Bills with effective yields ranging from zero% to 0.02%, February 5, 2015(SEGCCS) 2,437,000 2,436,997
Total short-term investments (cost $354,708,255) $354,708,659

TOTAL INVESTMENTS
Total investments (cost $1,136,696,252)(b) $1,161,300,298













FORWARD CURRENCY CONTRACTS at 1/31/15 (aggregate face value $111,121,009) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Sell 4/15/15 $395,621 $410,054 $14,433
British Pound Buy 3/18/15 434,564 435,997 (1,433)
Canadian Dollar Sell 4/15/15 796,388 857,619 61,231
Chinese Yuan (Offshore) Sell 2/13/15 887,613 879,747 (7,866)
Euro Sell 3/18/15 3,059,157 3,034,539 (24,618)
Japanese Yen Sell 2/13/15 708,207 731,209 23,002
Norwegian Krone Sell 3/18/15 867,951 862,439 (5,512)
South Korean Won Buy 2/13/15 898,496 885,821 12,675
South Korean Won Sell 2/13/15 898,496 899,133 637
Barclays Bank PLC
Australian Dollar Sell 4/15/15 566,812 590,658 23,846
Canadian Dollar Sell 4/15/15 764,546 845,131 80,585
Chinese Yuan (Offshore) Buy 2/13/15 839,588 871,058 (31,470)
Euro Sell 3/18/15 1,293,319 1,319,320 26,001
Japanese Yen Sell 2/13/15 1,483,881 1,536,982 53,101
Mexican Peso Buy 4/15/15 853,096 865,378 (12,282)
New Zealand Dollar Buy 4/15/15 1,044,284 1,063,313 (19,029)
South Korean Won Buy 2/13/15 871,053 858,147 12,906
South Korean Won Sell 2/13/15 871,053 872,126 1,073
Swiss Franc Sell 3/18/15 408,545 307,286 (101,259)
Citibank, N.A.
Canadian Dollar Sell 4/15/15 851,426 854,486 3,060
Euro Sell 3/18/15 3,364,711 3,403,595 38,884
Japanese Yen Sell 2/13/15 1,598,890 1,639,616 40,726
Mexican Peso Buy 4/15/15 881,310 861,481 19,829
New Zealand Dollar Sell 4/15/15 217,050 239,699 22,649
Norwegian Krone Sell 3/18/15 287,042 364,207 77,165
Philippine Peso Buy 5/20/15 439,966 441,564 (1,598)
Swiss Franc Sell 3/18/15 912,596 865,053 (47,543)
Credit Suisse International
Australian Dollar Sell 4/15/15 807,904 836,279 28,375
British Pound Sell 3/18/15 907,676 872,564 (35,112)
Canadian Dollar Sell 4/15/15 1,308,863 1,377,710 68,847
Euro Sell 3/18/15 3,655,230 4,032,970 377,740
Indian Rupee Buy 2/13/15 1,714,842 1,708,776 6,066
Japanese Yen Sell 2/13/15 3,592,097 3,632,444 40,347
New Zealand Dollar Buy 4/15/15 545,372 575,467 (30,095)
Norwegian Krone Buy 3/18/15 27,201 3,895 23,306
Swedish Krona Sell 3/18/15 29,658 41 (29,617)
Swiss Franc Buy 3/18/15 847,980 895,296 (47,316)
Swiss Franc Sell 3/18/15 912,706 865,194 (47,512)
Deutsche Bank AG
British Pound Buy 3/18/15 431,402 436,382 (4,980)
British Pound Sell 3/18/15 424,325 441,984 17,659
Canadian Dollar Sell 4/15/15 392,887 406,611 13,724
Euro Buy 3/18/15 80,938 66,437 14,501
Japanese Yen Sell 2/13/15 2,018,442 2,084,276 65,834
New Zealand Dollar Buy 4/15/15 597,611 593,761 3,850
Norwegian Krone Sell 3/18/15 816,834 1,004,676 187,842
Swedish Krona Sell 3/18/15 64,152 47,133 (17,019)
Turkish Lira Buy 3/18/15 781,986 868,459 (86,473)
Goldman Sachs International
Australian Dollar Sell 4/15/15 1,679,356 1,710,868 31,512
British Pound Buy 3/18/15 419,808 428,780 (8,972)
Canadian Dollar Sell 4/15/15 1,067,171 1,095,698 28,527
Euro Sell 3/18/15 2,613,430 2,607,478 (5,952)
Japanese Yen Sell 2/13/15 1,909,947 1,976,030 66,083
New Zealand Dollar Buy 4/15/15 408,306 430,866 (22,560)
HSBC Bank USA, National Association
Australian Dollar Sell 4/15/15 1,312,331 1,346,446 34,115
British Pound Buy 3/18/15 420,109 435,968 (15,859)
Canadian Dollar Sell 4/15/15 1,518,241 1,591,747 73,506
Chinese Yuan (Offshore) Buy 2/13/15 864,967 882,952 (17,985)
Euro Sell 3/18/15 158,147 115,117 (43,030)
Japanese Yen Sell 2/13/15 1,803,233 1,858,729 55,496
New Zealand Dollar Buy 4/15/15 818,635 863,737 (45,102)
Swedish Krona Buy 3/18/15 30,335 33,084 (2,749)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 4/15/15 1,250,256 1,257,002 6,746
British Pound Buy 3/18/15 1,288,334 1,299,761 (11,427)
Canadian Dollar Sell 4/15/15 1,876,061 1,982,551 106,490
Euro Sell 3/18/15 1,674,838 1,843,470 168,632
Hungarian Forint Buy 3/18/15 798,878 888,308 (89,430)
Hungarian Forint Sell 3/18/15 798,878 892,947 94,069
Indian Rupee Buy 2/13/15 869,498 849,989 19,509
Japanese Yen Sell 2/13/15 1,876,843 1,986,256 109,413
Malaysian Ringgit Sell 2/13/15 781,484 845,588 64,104
Mexican Peso Buy 4/15/15 857,646 853,850 3,796
New Taiwan Dollar Sell 2/13/15 20,337 46,654 26,317
New Zealand Dollar Buy 4/15/15 644,865 682,898 (38,033)
Norwegian Krone Sell 3/18/15 1,137,437 1,253,634 116,197
Philippine Peso Buy 5/20/15 439,966 441,664 (1,698)
Singapore Dollar Sell 2/13/15 851,354 882,792 31,438
Swedish Krona Sell 3/18/15 15,185 14,073 (1,112)
Swiss Franc Sell 3/18/15 895,242 795,927 (99,315)
Royal Bank of Scotland PLC (The)
Australian Dollar Sell 4/15/15 2,527,791 2,551,849 24,058
British Pound Sell 3/18/15 1,142,426 1,111,549 (30,877)
Canadian Dollar Sell 4/15/15 1,205,393 1,274,737 69,344
Euro Sell 3/18/15 362,527 424,240 61,713
New Zealand Dollar Buy 4/15/15 798,332 841,591 (43,259)
Norwegian Krone Buy 3/18/15 27,201 3,872 23,329
Singapore Dollar Sell 2/13/15 1,711,649 1,758,732 47,083
Swedish Krona Sell 3/18/15 445,678 439,291 (6,387)
State Street Bank and Trust Co.
Australian Dollar Sell 4/15/15 1,793,044 1,846,330 53,286
British Pound Sell 3/18/15 899,244 896,883 (2,361)
Canadian Dollar Sell 4/15/15 1,381,040 1,439,122 58,082
Chinese Yuan (Offshore) Sell 2/13/15 872,086 872,308 222
Euro Buy 3/18/15 427,640 455,834 (28,194)
Hungarian Forint Sell 3/18/15 861,409 870,258 8,849
Israeli Shekel Sell 4/15/15 825,796 821,252 (4,544)
Japanese Yen Sell 2/13/15 2,302,429 2,365,594 63,165
Malaysian Ringgit Sell 2/13/15 839,520 875,179 35,659
New Taiwan Dollar Buy 2/13/15 20,337 21,046 (709)
New Zealand Dollar Buy 4/15/15 977,666 1,000,684 (23,018)
Norwegian Krone Sell 3/18/15 897,466 941,724 44,258
Singapore Dollar Sell 2/13/15 883,279 883,834 555
Swedish Krona Sell 3/18/15 440,321 438,400 (1,921)
Swiss Franc Sell 3/18/15 1,013,341 910,780 (102,561)
Turkish Lira Buy 3/18/15 1,631,152 1,745,248 (114,096)
WestPac Banking Corp.
Australian Dollar Sell 4/15/15 451,186 467,102 15,916
Canadian Dollar Sell 4/15/15 1,092,960 1,188,981 96,021
Euro Sell 3/18/15 678,029 749,889 71,860
Japanese Yen Sell 2/13/15 1,145,509 1,182,616 37,107
New Zealand Dollar Buy 4/15/15 1,159,890 1,223,808 (63,918)
South Korean Won Buy 2/13/15 902,659 888,365 14,294
South Korean Won Sell 2/13/15 902,659 889,034 (13,625)
Total $1,731,217












FUTURES CONTRACTS OUTSTANDING at 1/31/15 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
DAX Index (Long) 1 $302,134             Mar-15 $32,471
Euro-CAC 40 Index (Short) 4 208,259             Feb-15 (13,662)
FTSE 100 Index (Long) 8 808,047             Mar-15 29,380
S&P 500 Index E-Mini (Short) 429 42,651,180             Mar-15 496,026
S&P Mid Cap 400 Index E-Mini (Long) 143 20,469,020             Mar-15 238,524
SPI 200 Index (Short) 5 539,306             Mar-15 (34,135)
Tokyo Price Index (Long) 55 6,625,011             Mar-15 226,392
U.S. Treasury Bond 30 yr (Long) 61 9,228,156             Mar-15 88,197
U.S. Treasury Bond Ultra 30 yr (Short) 34 6,083,875             Mar-15 (722,033)
U.S. Treasury Note 5 yr (Short) 24 2,912,250             Mar-15 (16,757)
U.S. Treasury Note 10 yr (Long) 2,675 350,090,625             Mar-15 12,766,199
Total $13,090,602












WRITTEN SWAP OPTIONS OUTSTANDING at 1/31/15 (premiums $1,449,131) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value
Bank of America N.A.
    2.154/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.154        $2,908,000 $204
    1.9575/3 month USD-LIBOR-BBA/Feb-25 Feb-15/1.9575 2,908,000 7,154
    1.66/3 month USD-LIBOR-BBA/Jul-20 Jul-15/1.66        2,908,000 22,857

Barclays Bank PLC
    2.11/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.11        2,908,000 262

Citibank, N.A.
    2.145/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.145        1,454,000 73
    2.119/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.119        1,454,000 116

Credit Suisse International
    2.0175/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.0175        4,362,000 5,191
    (1.80)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.80        2,906,000 34,930
    (1.80125)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.80125        2,906,000 35,075
    (1.94)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.94        2,906,000 53,819
    (1.94125)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.94125        2,906,000 54,023

Goldman Sachs International
    2.84/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.84        1,743,950 2
    2.12/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.12        2,908,000 233
    (2.095)/3 month USD-LIBOR-BBA/Mar-45 Mar-15/2.095        1,743,950 36,745
    (2.2175)/3 month USD-LIBOR-BBA/Mar-45 Mar-15/2.2175        1,743,950 58,161
    (2.49)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.49        1,743,950 126,419

JPMorgan Chase Bank N.A.
    (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        5,792,000 953,998
Total $1,389,262












WRITTEN OPTIONS OUTSTANDING at 1/31/15 (premiums $784,732) (Unaudited)


Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/$102.07 $4,000,000 $23,120
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/101.78 4,000,000 19,520
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/101.07 4,000,000 12,640
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/100.78 4,000,000 10,560
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.53 5,000,000 5
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/97.66 5,000,000 5
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/97.47 5,000,000 5
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.34 5,000,000 5
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.48 4,000,000 4
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.42 4,000,000 4
SPDR S&P 500 ETF Trust (Call) Feb-15/209.00 375,279 172,628
SPDR S&P 500 ETF Trust (Call) Feb-15/210.00 317,653 49,036
SPDR S&P 500 ETF Trust (Call) Feb-15/212.00 74,464 5,529
SPDR S&P 500 ETF Trust (Call) Feb-15/209.00 79,413 7,874
SPDR S&P 500 ETF Trust (Call) Feb-15/211.00 77,000 1,164
Total $302,099













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/15 (Unaudited)
Counterparty PremiumUnrealized
Fixed right or obligation % to receive or (pay)/ Expiration       Contract receivable/appreciation/
Floating rate index/Maturity date date/strike       amount (payable)(depreciation)

Goldman Sachs International
     (2.82)/3 month USD-LIBOR-BBA/Jan-46 (Purchased) Jan-16/2.82 $1,743,950 $(52,319)$(3,226)
     (1.885)/3 month USD-LIBOR-BBA/Jan-46 (Written) Jan-16/1.885 1,743,950 52,319(11,807)

JPMorgan Chase Bank N.A.
     (2.0975)/3 month USD-LIBOR-BBA/Feb-25 (Purchased) Feb-15/2.0975 2,182,000 (6,382)(6,328)
     (1.7975)/3 month USD-LIBOR-BBA/Feb-25 (Written) Feb-15/1.7975 2,182,000 6,382(1,309)
Total $—$(22,670)












TBA SALE COMMITMENTS OUTSTANDING at 1/31/15 (proceeds receivable $156,776,367) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 5 1/2s, February 1, 2045 $3,000,000       2/12/15 $3,355,078
Federal National Mortgage Association, 4 1/2s, March 1, 2045 16,000,000       3/12/15 17,343,125
Federal National Mortgage Association, 4 1/2s, February 1, 2045 12,000,000       2/12/15 13,021,874
Federal National Mortgage Association, 4s, March 1, 2045 6,000,000       3/12/15 6,413,220
Federal National Mortgage Association, 4s, February 1, 2045 6,000,000       2/12/15 6,425,156
Federal National Mortgage Association, 3 1/2s, March 1, 2045 7,000,000       3/12/15 7,377,617
Federal National Mortgage Association, 3 1/2s, February 1, 2045 15,000,000       2/12/15 15,846,093
Federal National Mortgage Association, 3s, February 1, 2045 85,000,000       2/12/15 87,888,675
Total $157,670,838















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$3,487,900 $10,069      1/6/25 2.28% 3 month USD-LIBOR-BBA $(147,514)
3,487,900 43,204      1/6/25 2.53% 3 month USD-LIBOR-BBA (196,060)
800 (67)     12/17/44 3 month USD-LIBOR-BBA 3.50% 179
194,373,000 (E) 957,032      3/18/17 1.25% 3 month USD-LIBOR-BBA (870,461)
58,992,000 (E) 1,052,091      3/18/20 2.25% 3 month USD-LIBOR-BBA (1,383,925)
78,794,000 (E) 6,059,002      3/18/25 3.00% 3 month USD-LIBOR-BBA (2,470,218)
10,076,000 (E) (1,602,216)     3/18/45 3 month USD-LIBOR-BBA 3.50% 1,438,550
3,883,000 (51)     1/9/25 3 month USD-LIBOR-BBA 2.07875% 101,525
3,508,800 3,462      1/16/25 3 month USD-LIBOR-BBA 2.12% 107,371
6,442,000 (52)     1/12/20 3 month USD-LIBOR-BBA 1.6457% 97,406
3,664,575 (293)     1/23/25 3 month USD-LIBOR-BBA 2.14% 113,574
2,531,900 (33)     1/22/25 3 month USD-LIBOR-BBA 2.09% 66,938
760,000 (10)     1/9/25 3 month USD-LIBOR-BBA 2.081% 20,031
10,271,000 (83)     1/9/20 1.62% 3 month USD-LIBOR-BBA (144,225)
10,457,220 (138)     1/14/25 3 month USD-LIBOR-BBA 2.10% 291,172
6,278,220 (45)     1/15/25 3 month USD-LIBOR-BBA 2.09% 168,633
3,508,800 (46)     1/22/25 3 month USD-LIBOR-BBA 2.095% 94,409
3,393,000 (45)     1/12/25 2.14412% 3 month USD-LIBOR-BBA (108,972)
6,442,000 (52)     1/12/20 3 month USD-LIBOR-BBA 1.65338% 99,822
3,393,000 (45)     1/12/25 2.1372% 3 month USD-LIBOR-BBA (106,771)
3,393,000 (45)     1/12/25 2.142% 3 month USD-LIBOR-BBA (108,300)
6,442,000 (52)     1/12/20 3 month USD-LIBOR-BBA 1.648% 98,129
3,393,000 (45)     1/12/25 2.14055% 3 month USD-LIBOR-BBA (107,836)
6,442,000 (52)     1/12/20 3 month USD-LIBOR-BBA 1.6464% 97,627
3,393,000 (45)     1/12/25 2.138% 3 month USD-LIBOR-BBA (107,027)
6,442,000 (52)     1/12/20 3 month USD-LIBOR-BBA 1.64084% 95,876
1,762,000 (60)     1/27/45 2.326% 3 month USD-LIBOR-BBA (59,275)
1,091,000 (14)     1/20/25 3 month USD-LIBOR-BBA 1.949% 14,572
124,463,000 (1,643)     1/20/25 3 month USD-LIBOR-BBA 1.886% 928,188
2,791,000 (22)     1/22/20 3 month USD-LIBOR-BBA 1.45125% 14,297
19,812,000 (262)     1/22/25 3 month USD-LIBOR-BBA 1.921% 210,359
4,876,000 (166)     1/22/45 3 month USD-LIBOR-BBA 2.31125% 148,389
11,921,000 (157)     1/22/25 3 month USD-LIBOR-BBA 1.92125% 126,849
3,191,000 (26)     1/23/20 1.4975% 3 month USD-LIBOR-BBA (23,446)
1,692,000 (14)     1/26/20 1.517% 3 month USD-LIBOR-BBA (13,771)
370,000 (13)     1/26/45 3 month USD-LIBOR-BBA 2.384% 17,409
1,313,000 (17)     1/27/25 3 month USD-LIBOR-BBA 1.9625% 18,674
1,313,000 (17)     1/27/25 3 month USD-LIBOR-BBA 1.963% 18,736
5,910,000 (78)     1/27/25 1.968% 3 month USD-LIBOR-BBA (87,257)
8,296,000 (110)     1/27/25 3 month USD-LIBOR-BBA 1.95475% 111,975
928,000 (E) (32)     2/2/46 3 month USD-LIBOR-BBA 2.335% 15,085
6,451,000 (85)     2/3/25 3 month USD-LIBOR-BBA 1.791% (14,277)
2,531,900 (33)     1/9/25 3 month USD-LIBOR-BBA 2.07% 64,125
Total$6,518,644     $(1,369,435)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/15 (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.
baskets 1,371,274 $—      10/19/15 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF4) of common stocks $521,554
units 35,031 —      10/19/15 3 month USD-LIBOR-BBA minus 0.07% Russell 1000 Total Return Index 1,235,856
Barclays Bank PLC
$284,939 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,123
355,882 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (9,709)
1,430,334 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,978)
1,316,974 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,192
1,209,463 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,390
10,820,449 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (286,748)
3,668,370 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (12,767)
396,936 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,441
498,617 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,471
396,936 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,441
312,042 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (2,626)
3,200,067 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,137)
3,981,661 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 14,452
1,229,767 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 3,627
143,837 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (3,497)
38,756 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (207)
244,512 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 887
1,984,678 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,204
3,621,293 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (12,603)
2,917,596 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 8,606
1,350,665 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,701)
3,474,842 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 13,875
3,035,216 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 12,120
292,958 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,155
648,299 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 2,589
9,565,750 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 34,720
2,335,966 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,479
249,656 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 984
809,911 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,193
587,252 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,315
3,687,324 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (12,833)
1,325,785 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (3,231)
557,358 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,125)
278,718 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (562)
278,718 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (562)
559,291 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,129)
1,452,518 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,931)
559,291 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,129)
849,422 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (14,098)
538,785 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (8,942)
642,125 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (3,429)
1,116,650 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,253)
770,055 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 14,828
17,413 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (61)
874,041 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,042)
418,767 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,520
Citibank, N.A.
966,141 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,507
472,353 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,714
baskets 72,697 —      6/2/15 3 month USD-LIBOR-BBA minus 0.60% A basket (CGPUTED1) of common stocks 973,572
baskets 219,771 —      11/10/15 3 month USD-LIBOR-BBA minus 1.00% A basket (CGPUTS32) of common stocks 837,648
baskets 290 —      12/17/15 (3 month USD-LIBOR-BBA plus 42 bp) A basket (CGPUTQL2) of common stocks (251,686)
units 1,354 —      6/2/15 (3 month USD-LIBOR-BBA minus 0.40%) Russell 2000 Total Return Index (2,297)
units 31 —      6/2/15 (3 month USD-LIBOR-BBA minus 0.40%) Russell 2000 Total Return Index (53)
units 6,337 —      12/17/15 3 month USD-LIBOR-BBA plus 15 bp Russell 1000 Total Return Index 162,521
Credit Suisse International
$793,871 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,881
1,322,438 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (21,949)
1,344,818 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 25,895
1,079,268 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 20,782
2,760,808 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (45,822)
2,129,512 9,317      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (47,117)
Deutsche Bank AG
894,612 —      1/12/34 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 8,839
baskets 313,665 —      5/8/15 (3 month USD-LIBOR-BBA plus 31 bp) A basket (DBCTPL5P) of common stocks 823,967
baskets 313,665 —      5/8/15 3 month USD-LIBOR-BBA minus 45 bp A basket (DBCTPS6P) of common stocks 818,704
Goldman Sachs International
$984,375 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (5,257)
759,470 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (4,056)
2,504,829 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (21,078)
1,337,182 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (7,141)
1,048,704 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,806
882,692 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (24,082)
882,692 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (24,082)
1,113,971 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,877)
418,452 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,456)
894,612 —      1/12/34 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (8,839)
2,334 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (57)
971,435 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (8,175)
1,525,951 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,311)
71,578 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (249)
190,850 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (664)
39,988 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (214)
1,078,837 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (5,762)
2,118,149 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (57,788)
1,368,458 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (37,335)
1,815,002 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (15,273)
970,650 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (22,889)
1,782,074 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (47,226)
1,760,806 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 33,905
3,946,063 73,064      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (33,034)
baskets 940,782 —      10/2/15 (3 month USD-LIBOR-BBA plus 35 bp) A basket (GSCBPUR1) of common stocks (2,886,346)
baskets 16,010 —      12/15/15 (1 month USD-LIBOR-BBA plus 90 bp) A basket (GSCBSAUD) of common stocks 651,214
units 281,470 —      8/11/15 (0.45%) Goldman Sachs Volatility Carry US Scaled 3X Excess Return Strategy Index (35,282)
JPMorgan Chase Bank N.A.
$814,983 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (21,598)
2,935,352 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (77,789)
1,782,074 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (47,226)
1,761,203 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 33,912
baskets 936,774 —      10/2/15 3 month USD-LIBOR-BBA minus 20 bp A basket (JPCMPTSH) of common stocks 2,880,290
shares 301,025 —      1/25/16 3 month USD-LIBOR-BBA minus 30 bp iShares MSCI Emerging Markets Index 529,744
UBS AG
baskets 829,176 —      5/19/15 (3 month USD-LIBOR-BBA plus 125 bp) A basket (UBSEMBSK) of common stocks (1,892,970)
units 116,089 —      5/19/15 3 month USD-LIBOR-BBA minus 0.10% MSCI Emerging Markets TR Net USD 1,252,992
units 86,677 —      5/19/15 3 month USD-LIBOR-BBA minus 0.10% MSCI Emerging Markets TR Net USD 935,537
Total$82,381      $5,836,172











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/15 (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 $4,580 $67,000 5/11/63 300 bp $4,545
      CMBX NA BBB- Index BBB-/P 8,798 146,000 5/11/63 300 bp 8,723
      CMBX NA BBB- Index BBB-/P 18,088 293,000 5/11/63 300 bp 17,937
      CMBX NA BBB- Index BBB-/P 17,271 303,000 5/11/63 300 bp 17,114
Barclays Bank PLC
      CMBX NA BBB- Index BBB-/P 26,163 236,000 5/11/63 300 bp 26,041
Credit Suisse International
      CMBX NA BBB- Index BBB-/P 450 58,000 5/11/63 300 bp 420
      CMBX NA BBB- Index BBB-/P 595 182,000 5/11/63 300 bp 501
      CMBX NA BBB- Index BBB-/P 417 182,000 5/11/63 300 bp 323
      CMBX NA BBB- Index BBB-/P 15,760 198,000 5/11/63 300 bp 15,658
      CMBX NA BBB- Index BBB-/P 28,021 248,000 5/11/63 300 bp 27,893
      CMBX NA BBB- Index BBB-/P 2,949 254,000 5/11/63 300 bp 2,818
      CMBX NA BBB- Index BBB-/P 20,426 256,000 5/11/63 300 bp 20,294
      CMBX NA BBB- Index BBB-/P 19,821 256,000 5/11/63 300 bp 19,689
      CMBX NA BBB- Index BBB-/P 16,841 256,000 5/11/63 300 bp 16,708
      CMBX NA BBB- Index BBB-/P 7,820 257,000 5/11/63 300 bp 7,687
      CMBX NA BBB- Index BBB-/P 4,546 258,000 5/11/63 300 bp 4,412
      CMBX NA BBB- Index BBB-/P 4,148 270,000 5/11/63 300 bp 4,009
      CMBX NA BBB- Index BBB-/P 21,635 297,000 5/11/63 300 bp 21,482
      CMBX NA BBB- Index BBB-/P 23,911 312,000 5/11/63 300 bp 23,750
      CMBX NA BBB- Index BBB-/P (262) 401,000 5/11/63 300 bp (470)
      CMBX NA BBB- Index BBB-/P 21,503 524,000 5/11/63 300 bp 21,233
      CMBX NA BBB- Index BBB-/P (2,620) 615,000 5/11/63 300 bp (2,938)
      CMBX NA BBB- Index BBB-/P 3,359 737,000 5/11/63 300 bp 2,978
      CMBX NA BBB- Index BBB-/P 5,247 898,000 5/11/63 300 bp 4,783
      CMBX NA BBB- Index BBB-/P 2,153 939,000 5/11/63 300 bp 1,668
      CMBX NA BBB- Index BBB-/P 8,619 1,203,000 5/11/63 300 bp 7,997
      CMBX NA BBB- Index BBB-/P 2,186 1,682,000 5/11/63 300 bp 1,317
      CMBX NA BBB- Index BBB-/P 10,054 569,000 1/17/47 300 bp (3,261)
      CMBX NA BBB- Index BBB-/P 17,956 737,000 1/17/47 300 bp 771
      CMBX NA BBB- Index BBB-/P 26,494 1,070,000 1/17/47 300 bp 1,546
      CMBX NA BBB- Index BBB-/P 41,987 1,071,000 1/17/47 300 bp 17,015
      CMBX NA BBB- Index BBB-/P 28,133 1,151,000 1/17/47 300 bp 1,296
      CMBX NA BBB- Index BBB-/P 42,478 1,796,000 1/17/47 300 bp 598
      CMBX NA BB Index — (2,032) 389,000 5/11/63 (500 bp) (738)
      CMBX NA BB Index — (4,506) 258,000 5/11/63 (500 bp) (3,647)
      CMBX NA BB Index — 3,047 197,000 5/11/63 (500 bp) 3,702
      CMBX NA BB Index — 2,026 196,000 5/11/63 (500 bp) 2,678
      CMBX NA BB Index — 5,123 194,000 5/11/63 (500 bp) 5,769
      CMBX NA BB Index — (1,186) 130,000 5/11/63 (500 bp) (753)
      CMBX NA BB Index — (991) 129,000 5/11/63 (500 bp) (561)
      CMBX NA BB Index — (1,236) 129,000 5/11/63 (500 bp) (807)
      CMBX NA BB Index — (368) 101,000 5/11/63 (500 bp) (32)
      CMBX NA BB Index — 1,960 98,000 5/11/63 (500 bp) 2,286
      CMBX NA BB Index — (4,965) 256,000 5/11/63 (500 bp) (4,113)
      CMBX NA BBB- Index BBB-/P (609) 101,000 5/11/63 300 bp (661)
      CMBX NA BBB- Index BBB-/P (973) 102,000 5/11/63 300 bp (1,026)
      CMBX NA BBB- Index BBB-/P (501) 148,000 5/11/63 300 bp (577)
      CMBX NA BBB- Index BBB-/P 8,327 174,000 5/11/63 300 bp 8,238
      CMBX NA BBB- Index BBB-/P (2,014) 201,000 5/11/63 300 bp (2,117)
      CMBX NA BBB- Index BBB-/P (670) 201,000 5/11/63 300 bp (774)
      CMBX NA BBB- Index BBB-/P (1,682) 201,000 5/11/63 300 bp (1,786)
      CMBX NA BBB- Index BBB-/P (675) 202,000 5/11/63 300 bp (780)
      CMBX NA BBB- Index BBB-/P 2,419 203,000 5/11/63 300 bp 2,314
      CMBX NA BBB- Index BBB-/P 2,018 203,000 5/11/63 300 bp 1,913
      CMBX NA BBB- Index BBB-/P (1,900) 203,000 5/11/63 300 bp (2,005)
      CMBX NA BBB- Index BBB-/P 550 204,000 5/11/63 300 bp 445
      CMBX NA BBB- Index BBB-/P 5,044 212,000 5/11/63 300 bp 4,935
      CMBX NA BBB- Index BBB-/P 151 218,000 5/11/63 300 bp 39
      CMBX NA BBB- Index BBB-/P 755 218,000 5/11/63 300 bp 642
      CMBX NA BBB- Index BBB-/P (3,956) 219,000 5/11/63 300 bp (4,069)
      CMBX NA BBB- Index BBB-/P 1,378 227,000 5/11/63 300 bp 1,261
      CMBX NA BBB- Index BBB-/P 152 228,000 5/11/63 300 bp 34
      CMBX NA BBB- Index BBB-/P 1,126 243,000 5/11/63 300 bp 1,000
      CMBX NA BBB- Index BBB-/P 4,795 254,000 5/11/63 300 bp 4,664
      CMBX NA BBB- Index BBB-/P 5,500 254,000 5/11/63 300 bp 5,369
      CMBX NA BBB- Index BBB-/P (3,034) 302,000 5/11/63 300 bp (3,190)
      CMBX NA BBB- Index BBB-/P 1,408 304,000 5/11/63 300 bp 1,251
      CMBX NA BBB- Index BBB-/P (8,519) 440,000 5/11/63 300 bp (8,746)
      CMBX NA BBB- Index BBB-/P 592 446,000 5/11/63 300 bp 362
      CMBX NA BBB- Index BBB-/P (6,951) 461,000 5/11/63 300 bp (7,189)
      CMBX NA BBB- Index BBB-/P (5,693) 462,000 5/11/63 300 bp (5,932)
      CMBX NA BBB- Index BBB-/P 18,153 742,000 5/11/63 300 bp 17,770
Goldman Sachs International
      CMBX NA BBB- Index BBB-/P (408) 59,000 5/11/63 300 bp (439)
      CMBX NA BBB- Index BBB-/P 1,922 737,000 5/11/63 300 bp 1,541
      CMBX NA BBB- Index BBB-/P (3,788) 830,000 5/11/63 300 bp (4,217)
      CMBX NA BBB- Index BBB-/P 31,577 1,171,000 1/17/47 300 bp 4,273
      CMBX NA BB Index — (2,004) 189,000 5/11/63 (500 bp) (1,375)
      CMBX NA BB Index — (1,239) 129,000 5/11/63 (500 bp) (810)
      CMBX NA BB Index — 2,216 98,000 5/11/63 (500 bp) 2,542
      CMBX NA BB Index — 70 58,000 5/11/63 (500 bp) 263
      CMBX NA BBB- Index BBB-/P (48) 18,000 5/11/63 300 bp (57)
      CMBX NA BBB- Index BBB-/P (1,113) 102,000 5/11/63 300 bp (1,165)
      CMBX NA BBB- Index BBB-/P (1,614) 201,000 5/11/63 300 bp (1,718)
      CMBX NA BBB- Index BBB-/P (1,881) 201,000 5/11/63 300 bp (1,985)
      CMBX NA BBB- Index BBB-/P (2,016) 201,000 5/11/63 300 bp (2,120)
      CMBX NA BBB- Index BBB-/P (2,016) 201,000 5/11/63 300 bp (2,120)
      CMBX NA BBB- Index BBB-/P (811) 202,000 5/11/63 300 bp (915)
      CMBX NA BBB- Index BBB-/P 1,211 203,000 5/11/63 300 bp 1,106
      CMBX NA BBB- Index BBB-/P 2,467 216,000 5/11/63 300 bp 2,356
      CMBX NA BBB- Index BBB-/P (3,649) 219,000 5/11/63 300 bp (3,762)
Total$480,466 $301,104
*   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 January 31, 2015. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
EUR Euro
GBP British Pound
Key to holding's abbreviations
bp Basis Points
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
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
OJSC Open Joint Stock Company
PO Principal Only
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2014 through January 31, 2015 (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 $886,061,396.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(b) The aggregate identified cost on a tax basis is $1,136,925,184, resulting in gross unrealized appreciation and depreciation of $40,459,395 and $16,084,281, respectively, or net unrealized appreciation of $24,375,114.
(NON) This security is non-income-producing.
(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* $123,753,001 $36,511,092 $2,173,561 $28,996 $158,090,532
Putnam Short Term Investment Fund* 169,100,073 47,672,712 45,073,485 42,234 171,699,300
Totals $292,853,074 $84,183,804 $47,247,046 $71,230 $329,789,832
* 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.
(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) This 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. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $530,653,611 to cover certain derivative contracts, delayed delivery securities and the settlement of certain 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: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. 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.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. 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 gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, to enhance the return on securities owned, to gain exposure to securities and to manage downside risks.
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 prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
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, to gain exposure on interest rates and to hedge prepayment 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 manage exposure to sepcific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and 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 posted to the fund which cannot be sold or repledged totaled $5,632,241 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
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 $2,740,524 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $1,510,000 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
Common stocks*:
    Basic materials $6,502,195 $— $—
    Capital goods 11,785,895 — —
    Communication services 2,760,701 — —
    Conglomerates 2,850,348 7,793,219 —
    Consumer cyclicals 23,381,798 — —
    Consumer staples 19,416,431 1,653,630 —
    Energy 10,700,256 — —
    Financials 34,708,916 — —
    Health care 26,635,805 — —
    Technology 29,755,224 — —
    Transportation 4,559,962 — —
    Utilities and power 9,722,677 — —
Total common stocks 182,780,208 9,446,849 —
Commodity linked notes — 31,427,931 —
Corporate bonds and notes — 22,224,154 —
Foreign government and agency bonds and notes — 5,017,704 —
Investment companies 46,945,579 — —
Mortgage-backed securities — 120,200,119 —
Purchased options outstanding — 5,482,969 —
Purchased swap options outstanding — 764,822 —
Senior loans — 76,739,714 —
U.S. government and agency mortgage obligations — 304,594,914 —
U.S. treasury obligations — 966,676 —
Short-term investments 340,396,832 14,311,827 —
Totals by level $570,122,619 $591,177,679 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $1,731,217 $—
Futures contracts 13,090,602 — —
Written options outstanding — (302,099) —
Written swap options outstanding — (1,389,262) —
Forward premium swap option contracts — (22,670) —
TBA sale commitments — (157,670,838) —
Interest rate swap contracts — (7,888,079) —
Total return swap contracts — 5,753,791 —
Credit default contracts — (179,362) —
Totals by level $13,090,602 $(159,967,302) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers within the fair value hierarchy, if any, (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above) did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.

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 $8,489 $187,851
Foreign exchange contracts 3,120,645 1,389,428
Equity contracts 18,054,707 5,352,662
Interest rate contracts 20,156,808 17,368,779
Total $41,340,649 $24,298,720


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 equity option contracts (contract amount)$940,000
Purchased TBA commitment option contracts (contract amount)$23,800,000
Purchased swap option contracts (contract amount)$72,500,000
Written equity option contracts (contract amount)$930,000
Written TBA commitment option contracts (contract amount)$47,500,000
Written swap option contracts (contract amount) $57,200,000
Futures contracts (number of contracts)4,000
Forward currency contracts (contract amount)$252,900,000
Centrally cleared interest rate swap contracts (notional)$556,400,000
OTC total return swap contracts (notional)$1,128,600,000
OTC credit default contracts (notional)$28,300,000
   
  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. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  Centrally cleared interest rate swap contracts§    $–  $–  $1,833,830  $–  $–  $–  $–  $–  $–  $–  $–  $–  $–  $–    $1,833,830
  OTC Total return swap contracts*#    1,757,410  145,612 –  1,978,962  49,558  1,651,510  688,925  –  3,443,946  –  –  –  2,188,529  –    11,904,452
  OTC Credit default contracts*#   – – – –  6,912 –  1,577  –  –  –  –  –  –  –    8,489
  Futures contracts§   – – – – – –  –  –  –  2,595,021  –  –  –  –    2,595,021
  Forward currency contracts#    111,978  197,512 –  202,313  544,681  303,410  126,122  163,117  746,711  –  225,527  264,076  –  235,198    3,120,645
  Forward premium swap option contracts#   – – – – – –  –  –  –  –  –  –  –  –      –
  Purchased swap options#    23,499  38 –  176,031  477,402 –  87,852  –  –  –  –  –  –  –    764,822
  Purchased options#   –  1,203,811 – – – –  –  –  4,279,158  –  –  –  –  –    5,482,969
                                     
  Total Assets  $1,892,887  $1,546,973  $1,833,830  $2,357,306  $1,078,553  $1,954,920  $904,476  $163,117  $8,469,815  $2,595,021  $225,527  $264,076  $2,188,529  $235,198  $25,710,228
                                     
  Liabilities:                                  
  Centrally cleared interest rate swap contracts§   – –  1,300,132 – – –    –  –  –  –  –  –  –    1,300,132
  OTC Total return swap contracts*#   –  404,300 –  254,036  124,205 –  3,328,537  –  146,613  –  –  –  1,892,970  –    6,150,661
  OTC Credit default contracts*#    418  122 – –  158,256 –  29,055  –  –  –  –  –  –  –    187,851
  Futures contracts§   – – – – – –  –  –  –  189,648  –  –  –  –    189,648
  Forward currency contracts#    39,429  164,040 –  49,141  189,652  108,472  37,484  124,725  241,015  –  80,523  277,404  –  77,543    1,389,428
  Forward premium swap option contracts#   – – – – – –  15,033  –  7,637  –  –  –  –  –    22,670
  Written swap options#    30,215  262 –  189  183,038 –  221,560  –  953,998  –  –  –  –  –    1,389,262
  Written options#   – – – – –  235,067  –  –  67,032  –  –  –  –  –    302,099
                                     
  Total Liabilities  $70,062  $568,724  $1,300,132  $303,366  $655,151  $343,539  $3,631,669  $124,725  $1,416,295  $189,648  $80,523  $277,404  $1,892,970  $77,543  $10,931,751
                                     
  Total Financial and Derivative Net Assets    $1,822,825  $978,249  $533,698  $2,053,940  $423,402  $1,611,381  $(2,727,193)  $38,392  $7,053,520  $2,405,373  $145,004  $(13,328)  $295,559  $157,655    $14,778,477
  Total collateral received (pledged)##†    $1,757,000  $942,554   $–  $1,720,000  $391,070  $1,180,000  $(1,510,000)  $24,122  $5,950,000   $–  $123,055   $–  $295,559   $–    
  Net amount    $65,825  $35,695  $533,698  $333,940  $32,332  $431,381  $(1,217,193)  $14,270  $1,103,520  $2,405,373  $21,949  $(13,328)   $–  $157,655    
                                     
* 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: March 31, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: March 31, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 31, 2015