0000928816-15-000456.txt : 20150331 0000928816-15-000456.hdr.sgml : 20150331 20150331100042 ACCESSION NUMBER: 0000928816-15-000456 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20150131 FILED AS OF DATE: 20150331 DATE AS OF CHANGE: 20150331 EFFECTIVENESS DATE: 20150331 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM FUNDS TRUST CENTRAL INDEX KEY: 0001005942 IRS NUMBER: 043299786 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-07513 FILM NUMBER: 15737004 BUSINESS ADDRESS: STREET 1: ONE POST STREET 2: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6172921010 MAIL ADDRESS: STREET 1: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 0001005942 S000024274 Putnam Absolute Return 100 Fund C000071705 Class A C000071706 Class B C000071707 Class C C000071708 Class M C000071709 Class R C000071710 Class Y C000118003 Class R5 C000118004 Class R6 N-Q 1 a_absolutereturnone.htm PUTNAM FUNDS TRUST a_absolutereturnone.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 100 Fund

The fund's portfolio
1/31/15 (Unaudited)
CORPORATE BONDS AND NOTES (34.3%)(a)
Principal amount Value
Banking (16.3%)
Abbey National Treasury Services PLC/London bank guaranty sr. unsec. unsub. notes 1 3/8s, 2017 (United Kingdom) $462,000 $462,827
ABN Amro Bank NV 144A sr. unsec. FRN notes 1.056s, 2016 (Netherlands) 2,000,000 2,008,371
American Express Bank FSB sr. unsec. FRN notes Ser. BKNT, 0.466s, 2017 586,000 583,449
Bank of America Corp. sr. unsec. unsub. notes 2s, 2018 1,159,000 1,166,335
Bank of America, NA unsec. sub. FRN notes Ser. BKNT, 0.521s, 2016 1,740,000 1,728,676
Bank of Montreal sr. unsec. unsub. notes Ser. MTN, 2 1/2s, 2017 (Canada) 423,000 435,238
Bank of New York Mellon Corp. (The) sr. unsec. FRN notes 0.487s, 2015 1,700,000 1,702,168
Bank of Nova Scotia sr. unsec. unsub. FRN notes 0.641s, 2016 (Canada) 1,300,000 1,303,774
Bank of Nova Scotia sr. unsec. unsub. notes 1 3/8s, 2017 (Canada) 430,000 431,509
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. notes 1.2s, 2017 (Japan) 430,000 428,238
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. unsub. FRN notes 0.684s, 2016 (Japan) 1,000,000 1,000,523
BB&T Corp. unsec. sub. notes 5.2s, 2015 1,000,000 1,037,375
BNP Paribas SA bank guaranty sr. unsec. unsub. notes Ser. MTN, 1 3/8s, 2017 (France) 490,000 492,111
BNP Paribas/BNP Paribas US Medium-Term Note Program, LLC 144A bank guaranty unsec. sub. notes 4.8s, 2015 (France) 1,000,000 1,015,635
BPCE SA company guaranty sr. unsec. FRN notes Ser. MTN, 1.506s, 2016 (France) 1,000,000 1,009,958
Branch Banking & Trust Co. unsec. sub. FRN notes 0.561s, 2016 250,000 248,779
Citigroup, Inc. sr. unsec. sub. FRN notes 0.506s, 2016 500,000 495,808
Citigroup, Inc. sr. unsec. unsub. notes 4.45s, 2017 456,000 482,882
Commonwealth Bank of Australia/New York sr. unsec. unsub. bonds 1 1/8s, 2017 588,000 588,912
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA of Netherlands (Rabobank Nederland) bank guaranty sr. unsec. notes 3 3/8s, 2017 (Netherlands) 385,000 402,687
Credit Agricole SA/London 144A sr. unsec. FRN notes 1.413s, 2016 (United Kingdom) 1,950,000 1,966,593
Deutsche Bank AG/London sr. unsec. notes 6s, 2017 (United Kingdom) 449,000 500,080
Dexia Credit Local SA/New York 144A government guaranty sr. unsec. unsub. notes 1 1/4s, 2016 (France) 2,000,000 2,014,390
HBOS PLC unsec. sub. FRN notes Ser. EMTN, 0.935s, 2017 (United Kingdom) 1,000,000 992,832
HSBC Finance Corp. sr. unsec. unsub. FRN notes 0.664s, 2016 1,000,000 998,314
ING Bank NV 144A unsec. notes 3 3/4s, 2017 (Netherlands) 620,000 651,896
JPMorgan Chase & Co. sr. unsec. unsub. notes 2s, 2017 428,000 433,720
JPMorgan Chase Bank, NA unsec. sub. FRN notes 0.571s, 2016 1,000,000 995,010
KeyBank NA/Cleveland, OH unsec. sub. notes Ser. MTN, 5.45s, 2016 1,115,000 1,170,664
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.3s, 2018 447,000 454,892
Mizuho Securities USA, Inc. 144A unsec. FRN notes 0.635s, 2015 1,500,000 1,499,912
National Australia Bank, Ltd./New York sr. unsec. notes 1.6s, 2015 (Australia) 750,000 754,039
Nationwide Building Society 144A unsec. sub. notes (United Kingdom) 1,500,000 1,528,050
Nordea Bank AB 144A sr. unsec. FRN notes 0.693s, 2016 (Sweden) 1,525,000 1,530,477
PNC Bank NA sr. unsec. unsub. notes Ser. BKNT, 1 1/8s, 2017 430,000 431,981
Royal Bank of Canada sr. unsec. unsub. FRN notes Ser. GMTN, 0.696s, 2016 (Canada) 1,000,000 1,003,663
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.2s, 2018 (Canada) 435,000 445,174
Royal Bank of Scotland Group PLC unsec. sub. notes 4.7s, 2018 (United Kingdom) 1,535,000 1,601,403
Santander US Debt SAU company guaranty sr. unsec. unsub. notes Ser. REGS, 3.781s, 2015 (Spain) 1,000,000 1,019,662
Svenska Handelsbanken AB bank guaranty sr. unsec. notes 2 7/8s, 2017 (Sweden) 250,000 259,281
Svenska Handelsbanken AB sr. unsec. FRN notes 0.697s, 2016 (Sweden) 1,000,000 1,003,407
UBS AG of Stamford, CT sr. unsec. unsub. notes Ser. BKNT, 5 7/8s, 2017 374,000 419,009
UBS AG/Stamford, CT unsec. sub. notes 7 3/8s, 2015 775,000 797,956
US Bank NA unsec. sub. notes Ser. BKNT, 4.8s, 2015 1,450,000 1,463,571
US Bank of NA of Cincinnati, OH sr. unsec. notes Ser. BKNT, 1.1s, 2017 450,000 452,207
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 200,000 196,000
Wells Fargo & Co. sr. unsec. notes 2.1s, 2017 423,000 431,940
Westpac Banking Corp. sr. unsec. unsub. notes 2 1/4s, 2018 (Australia) 78,000 79,734
42,121,112
Basic materials (0.9%)
Archer-Daniels-Midland Co. sr. unsec. notes 5.45s, 2018 423,000 474,937
Rio Tinto Finance USA PLC company guaranty sr. unsec. unsub. notes 1 5/8s, 2017 (United Kingdom) 430,000 432,088
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes 9s, 2019 (Australia) 245,000 314,095
Rockwood Specialties Group, Inc. company guaranty sr. unsec. notes 4 5/8s, 2020 1,000,000 1,040,000
2,261,120
Capital goods (0.2%)
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6s, 2017 (Luxembourg) 430,000 482,897
482,897
Communication services (1.9%)
AT&T, Inc. sr. unsec. unsub. FRN notes 0.618s, 2016 1,000,000 1,000,357
AT&T, Inc. sr. unsec. unsub. notes 1.7s, 2017 430,000 433,726
Comcast Corp. company guaranty sr. unsec. unsub. bonds 6 1/2s, 2017 430,000 476,374
Verizon Communications, Inc. sr. unsec. notes 6.35s, 2019 313,000 366,629
Verizon Communications, Inc. sr. unsec. unsub. FRN notes 1.771s, 2016 1,000,000 1,018,031
Verizon Communications, Inc. 144A sr. unsec. notes 2 5/8s, 2020 815,000 824,385
Vodafone Group PLC sr. unsec. unsub. notes 1 1/4s, 2017 (United Kingdom) 744,000 740,244
4,859,746
Consumer cyclicals (2.1%)
Amazon.com, Inc. sr. unsec. notes 1.2s, 2017 423,000 421,946
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 365,000 412,994
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 100,000 110,500
Dollar General Corp. sr. unsec. notes 1 7/8s, 2018 300,000 296,566
Ford Motor Credit Co., LLC sr. unsec. unsub. FRN notes 1.482s, 2016 1,000,000 1,007,157
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 750,000 796,875
Toyota Motor Credit Corp. sr. unsec. unsub. notes Ser. MTN, 1 1/4s, 2017 430,000 432,086
Volkswagen International Finance NV 144A company guaranty sr. unsec. FRN notes 0.672s, 2016 (Germany) 1,000,000 1,002,517
Volkswagen International Finance NV 144A company guaranty sr. unsec. notes 1 5/8s, 2015 (Germany) 500,000 500,756
Walt Disney Co. (The) sr. unsec. unsub. notes Ser. MTN, 1.1s, 2017 430,000 430,953
5,412,350
Consumer finance (0.6%)
American Express Co. sr. unsec. notes 7s, 2018 286,000 332,670
American Express Co. sr. unsec. notes 6.15s, 2017 174,000 194,652
American Express Credit Corp. sr. unsec. sub. FRN notes 1.34s, 2015 900,000 903,174
1,430,496
Consumer staples (1.8%)
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. notes 1 1/4s, 2018 430,000 430,588
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. FRN notes 0.446s, 2017 700,000 698,462
Coca-Cola Co. (The) sr. unsec. unsub. notes 5.35s, 2017 266,000 297,180
ConAgra Foods, Inc. sr. unsec. unsub. notes 1.35s, 2015 1,000,000 1,003,863
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 283,000 307,055
Costco Wholesale Corp. sr. unsec. unsub. notes 0.65s, 2015 320,000 320,764
CVS Health Corp. sr. unsec. unsub. notes 2 1/4s, 2018 430,000 440,729
Delhaize Group SA company guaranty sr. unsec. notes 4 1/8s, 2019 (Belgium) 416,000 441,551
Diageo Capital PLC company guaranty sr. unsec. unsub. notes 1 1/2s, 2017 (United Kingdom) 202,000 204,168
PepsiCo, Inc. sr. unsec. unsub. notes 1 1/4s, 2017 427,000 429,761
4,574,121
Energy (1.3%)
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.846s, 2017 (United Kingdom) 430,000 435,240
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.7s, 2017 (Canada) 430,000 466,788
Chevron Corp. sr. unsec. unsub. notes 1.104s, 2017 423,000 422,927
ConocoPhillips Co. company guaranty sr. unsec. notes 1.05s, 2017 430,000 428,187
Hess Corp. sr. unsec. unsub. notes 7.3s, 2031 25,000 31,398
Petroleos Mexicanos 144A company guaranty sr. unsec. notes 4 1/2s, 2026 (Mexico) 185,000 184,846
Phillips 66 company guaranty sr. unsec. unsub. notes 2.95s, 2017 430,000 444,556
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5.2s, 2017 (Netherlands) 462,000 502,747
Shell International Finance BV company guaranty sr. unsec. unsub. notes 0 5/8s, 2015 (Netherlands) 125,000 125,274
Total Capital International SA company guaranty sr. unsec. unsub. notes 1.55s, 2017 (France) 423,000 427,494
3,469,457
Financial (1.6%)
General Electric Capital Corp. sr. unsec. FRN notes Ser. GMTN, 0.902s, 2016 500,000 503,625
General Electric Capital Corp. sr. unsec. notes Ser. MTN, 5.4s, 2017 638,000 694,825
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.3s, 2015 1,500,000 1,510,449
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2 3/8s, 2018 229,000 233,468
Morgan Stanley sr. unsec. notes 4 3/4s, 2017 1,204,000 1,285,831
4,228,198
Health care (1.3%)
AbbVie, Inc. sr. unsec. unsub. notes 1 3/4s, 2017 385,000 388,001
Amgen, Inc. sr. unsec. unsub. notes 2 1/8s, 2017 430,000 438,234
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) 430,000 483,151
Johnson & Johnson sr. unsec. notes 5.15s, 2018 269,000 304,505
Merck & Co., Inc. sr. unsec. unsub. notes 1.3s, 2018 371,000 373,237
Mylan, Inc. company guaranty sr. unsec. notes 1.8s, 2016 1,000,000 1,008,758
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 192,000 218,560
Zoetis, Inc. sr. unsec. notes 1.15s, 2016 265,000 265,438
3,479,884
Insurance (2.0%)
Aflac, Inc. sr. unsec. notes 3.45s, 2015 1,000,000 1,014,394
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. FRB bonds 8 1/8s, 2038 235,000 265,550
MetLife, Inc. sr. unsec. unsub. notes 6 3/4s, 2016 430,000 463,080
Metropolitan Life Global Funding I 144A notes 3s, 2023 790,000 811,968
New York Life Global Funding 144A notes 3s, 2015 930,000 936,239
Principal Life Global Funding II 144A notes 1s, 2015 260,000 261,119
Prudential Covered Trust 2012-1 144A company guaranty mtge. notes 2.997s, 2015 1,271,250 1,286,611
5,038,961
Real estate (1.6%)
Kimco Realty Corp. sr. unsec. notes Ser. MTN, 4.904s, 2015(R) 900,000 901,481
Liberty Property LP sr. unsec. unsub. notes 3 3/8s, 2023(R) 550,000 555,671
Select Income REIT sr. unsec. unsub. notes 3.6s, 2020(R) 130,000 131,278
Select Income REIT sr. unsec. unsub. notes 2.85s, 2018(R) 130,000 130,842
Simon Property Group LP sr. unsec. unsub. notes 5.1s, 2015(R) 700,000 711,855
Simon Property Group LP 144A sr. unsec. unsub. notes 1 1/2s, 2018(R) 389,000 389,861
Ventas Realty LP/Ventas Capital Corp. company guaranty sr. unsec. unsub. notes 3 1/8s, 2015(R) 1,400,000 1,425,133
4,246,121
Technology (0.9%)
Cisco Systems, Inc. sr. unsec. unsub. notes 1.1s, 2017 195,000 196,446
eBay, Inc. sr. unsec. unsub. notes 1.35s, 2017 430,000 428,454
Hewlett-Packard Co. sr. unsec. unsub. notes 2.6s, 2017 366,000 376,373
Intel Corp. sr. unsec. unsub. notes 1.35s, 2017 430,000 433,263
Western Union Co. (The) sr. unsec. unsub. FRN notes 1.231s, 2015 1,000,000 1,002,840
2,437,376
Transportation (0.4%)
Continental Airlines, Inc. pass-through certificates Ser. 97-4A, 6.9s, 2018 677,381 714,637
Continental Airlines, Inc. pass-through certificates Ser. 98-1A, 6.648s, 2017 69,813 72,955
Federal Express Corp. 2012 Pass Through Trust 144A notes 2 5/8s, 2018 261,730 266,606
1,054,198
Utilities and power (1.4%)
Consolidated Edison Co. of New York sr. unsec. notes 7 1/8s, 2018 289,000 347,469
Dayton Power & Light Co. (The) sr. bonds 1 7/8s, 2016 1,500,000 1,516,887
Electricite de France (EDF) 144A unsec. sub. FRN notes 5 1/4s, perpetual maturity (France) 260,000 273,000
Potomac Edison Co. (The) sr. unsub. notes 5 1/8s, 2015 750,000 767,557
Texas-New Mexico Power Co. 144A 1st mtge. bonds Ser. A, 9 1/2s, 2019 654,000 835,532
3,740,445
Total corporate bonds and notes (cost $88,218,262) $88,836,482

MORTGAGE-BACKED SECURITIES (24.7%)(a)
Principal amount Value
Agency collateralized mortgage obligations (6.7%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 2976, Class LC, 23.809s, 2035 $31,336 $50,354
     Ser. 2430, Class UD, 6s, 2017 29,874 31,041
     IFB Ser. 4240, Class SA, IO, 5.834s, 2043 1,847,832 420,437
     IFB Ser. 314, Class AS, IO, 5.724s, 2043 7,253,508 1,860,947
     Ser. 3724, Class CM, 5 1/2s, 2037 90,976 101,926
     Ser. 2533, Class HB, 5 1/2s, 2017 68,327 71,539
     Ser. 3331, Class NV, 5s, 2029 264,000 272,774
     Ser. 2513, Class DB, 5s, 2017 36,590 38,154
     Ser. 3539, Class PM, 4 1/2s, 2037 81,590 87,241
     Ser. 311, Class IO, IO, 3 1/2s, 2043 1,647,079 265,656
     Ser. 3805, Class AK, 3 1/2s, 2024 107,244 110,322
     Ser. 3876, Class CA, 2 3/4s, 2026 108,873 112,056
     Ser. 3683, Class JH, 2 1/2s, 2023 43,716 44,069
     Ser. 3609, Class LK, 2s, 2024 582,626 590,142
     Ser. T-8, Class A9, IO, 0.464s, 2028 147,574 2,029
     Ser. T-59, Class 1AX, IO, 0.272s, 2043 355,826 4,337
     Ser. T-48, Class A2, IO, 0.212s, 2033 511,840 4,958
     Ser. 3835, Class FO, PO, zero %, 2041 2,488,898 2,241,476
Federal National Mortgage Association
     IFB Ser. 04-10, Class QC, 27.927s, 2031 124,229 148,129
     IFB Ser. 05-75, Class GS, 19.745s, 2035 235,304 332,902
     IFB Ser. 11-4, Class CS, 12.564s, 2040 357,582 440,115
     Ser. 06-10, Class GC, 6s, 2034 455,838 462,676
     IFB Ser. 13-101, Class AS, IO, 5.782s, 2043 2,068,702 569,948
     IFB Ser. 13-92, Class SA, IO, 5.782s, 2043 4,251,836 1,143,276
     IFB Ser. 13-103, Class SK, IO, 5.752s, 2043 4,410,953 1,188,151
     IFB Ser. 13-102, Class SH, IO, 5.732s, 2043 4,157,719 1,099,218
     Ser. 06-124, Class A, 5 5/8s, 2036 45,932 47,437
     Ser. 05-68, Class PC, 5 1/2s, 2035 68,522 73,768
     Ser. 09-86, Class PC, 5s, 2037 469,371 474,064
     Ser. 02-65, Class HC, 5s, 2017 21,602 22,283
     Ser. 09-100, Class PA, 4 1/2s, 2039 29,220 30,053
     Ser. 11-60, Class PA, 4s, 2039 61,113 64,093
     Ser. 03-43, Class YA, 4s, 2033 459,252 473,510
     Ser. 11-89, Class VA, 4s, 2023 604,277 610,711
     Ser. 04-2, Class QL, 4s, 2019 205,783 215,032
     Ser. 418, Class C15, IO, 3 1/2s, 2043 2,399,096 396,657
     Ser. 10-155, Class A, 3 1/2s, 2025 54,558 55,967
     Ser. 10-81, Class AP, 2 1/2s, 2040 202,538 206,518
     Ser. 03-W10, Class 1, IO, 1.007s, 2043 67,567 1,673
     Ser. 98-W5, Class X, IO, 0.872s, 2028 271,247 13,393
     Ser. 98-W2, Class X, IO, 0.673s, 2028 933,929 49,031
Government National Mortgage Association
     IFB Ser. 11-56, Class MI, IO, 6.282s, 2041 1,301,476 243,389
     IFB Ser. 12-34, Class SA, IO, 5.882s, 2042 1,778,972 410,231
     Ser. 09-32, Class AB, 4s, 2039 53,298 56,393
     Ser. 08-31, Class PN, 4s, 2036 3,062 3,067
     Ser. 08-38, Class PS, 3 1/2s, 2037 15,608 15,668
     Ser. 09-93, Class EJ, 3 1/2s, 2035 3,159 3,161
     Ser. 13-23, Class IK, IO, 3s, 2037 15,012,046 1,892,569
     Ser. 10-151, Class KO, PO, zero %, 2037 279,592 257,015
GSMPS Mortgage Loan Trust 144A
     Ser. 99-2, IO, 0.773s, 2027 71,139 534
     Ser. 98-3, IO, zero %, 2027 38,779 570
     Ser. 98-2, IO, zero %, 2027 34,007 244
     Ser. 98-4, IO, zero %, 2026 53,523 1,317
17,312,221
Commercial mortgage-backed securities (16.0%)
Banc of America Commercial Mortgage Trust
     Ser. 07-2, Class A2, 5.634s, 2049 61,286 61,347
     Ser. 06-5, Class A2, 5.317s, 2047 593,550 593,281
     Ser. 06-6, Class A2, 5.309s, 2045 39,165 39,221
     Ser. 07-1, Class XW, IO, 0.346s, 2049 808,420 6,914
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     FRB Ser. 04-3, Class D, 5.445s, 2039 626,000 632,560
     FRB Ser. 04-4, Class D, 5.073s, 2042 200,000 207,375
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A
     Ser. 02-PB2, Class XC, IO, 0.266s, 2035 777,957 393
     Ser. 04-4, Class XC, IO, 0.207s, 2042 208,055 539
Bear Stearns Commercial Mortgage Securities Trust Ser. 05-PWR9, Class AJ, 4.985s, 2042 365,000 368,760
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW11, Class B, 5.435s, 2039 792,000 793,236
Citigroup Commercial Mortgage Trust FRB Ser. 05-C3, Class AJ, 4.96s, 2043 700,000 699,482
COMM Mortgage Trust
     Ser. 07-C9, Class AJ, 5.65s, 2049 613,000 649,627
     Ser. 05-C6, Class AJ, 5.209s, 2044 1,110,000 1,127,852
     FRB Ser. 14-CR18, Class C, 4.74s, 2047 1,407,000 1,490,314
     Ser. 13-LC13, Class XA, IO, 1.437s, 2046 7,959,161 584,282
     Ser. 14-CR17, Class XA, IO, 1.21s, 2047 6,846,835 508,935
COMM Mortgage Trust 144A FRB Ser. 07-C9, Class AJFL, 0.856s, 2049 1,500,000 1,450,755
COMM Mortgage Trust Pass-Through Certificates Ser. 14-CR14, Class XA, IO, 0.901s, 2047 8,030,832 393,511
Credit Suisse First Boston Mortgage Securities Corp. 144A
     Ser. 98-C1, Class F, 6s, 2040 342,530 370,789
     Ser. 03-C3, Class AX, IO, 1.829s, 2038 504,475 61
DBRR Trust 144A FRB Ser. 13-EZ3, Class A, 1.636s, 2049 516,837 519,946
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.419s, 2044 355,000 383,994
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class F, 5.35s, 2035 174,216 175,064
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class D, 4.949s, 2048 972,000 944,784
GE Capital Commercial Mortgage Corp. 144A Ser. 05-C3, Class XC, IO, 0.142s, 2045 53,969,649 20,485
GE Commercial Mortgage Corp Trust Ser. 07-C1, Class A3, 5.481s, 2049 911,264 912,499
GS Mortgage Securities Corp. II
     Ser. 05-GG4, Class B, 4.841s, 2039 1,751,000 1,748,409
     FRB Ser. 12-GCJ9, Class XA, IO, 2.358s, 2045(F) 2,816,748 333,881
GS Mortgage Securities Corp. II 144A FRB Ser. 13-GC10, Class D, 4.414s, 2046 428,000 424,931
GS Mortgage Securities Trust
     Ser. 13-GC12, Class XA, IO, 1.77s, 2046 4,917,665 458,865
     Ser. 14-GC22, Class XA, IO, 1.088s, 2047(F) 4,154,646 300,350
GS Mortgage Securities Trust 144A FRB Ser. 12-GC6, Class D, 5.637s, 2045 275,000 288,877
JP Morgan Chase Commercial Mortgage Securities Corp. Ser. 12-C6, Class XA, IO, 1.928s, 2045 4,754,810 423,097
JP Morgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 12-C6, Class E, 5.207s, 2045 1,727,000 1,810,688
     FRB Ser. 12-LC9, Class D, 4.422s, 2047 326,000 339,485
JPMorgan Chase Commercial Mortgage Securities Trust
     Ser. 08-C2, Class ASB, 6 1/8s, 2051 291,776 306,701
     FRB Ser. 07-CB20, Class AJ, 6.074s, 2051 573,500 606,344
     FRB Ser. 05-CB11, Class C, 5.542s, 2037 500,000 528,251
     FRB Ser. 06-LDP6, Class B, 5.498s, 2043 475,000 475,000
     Ser. 06-LDP8, Class AJ, 5.48s, 2045 1,861,000 1,924,107
     Ser. 04-LN2, Class A2, 5.115s, 2041 77,118 77,287
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 11-C3, Class E, 5.567s, 2046 615,000 676,133
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C6, Class AJ, 5.452s, 2039 350,000 368,171
     Ser. 06-C7, Class A2, 5.3s, 2038 417,670 419,466
     Ser. 04-C8, Class F, 5.005s, 2039 750,000 752,550
     Ser. 07-C2, Class XW, IO, 0.539s, 2040 893,688 10,478
Merrill Lynch Mortgage Trust
     FRB Ser. 07-C1, Class A3, 5.837s, 2050 353,031 353,809
     Ser. 04-KEY2, Class D, 5.046s, 2039 416,000 416,000
Merrill Lynch Mortgage Trust 144A Ser. 05-MCP1, Class XC, IO, 0.608s, 2043 34,004,440 44,410
ML-CFC Commercial Mortgage Trust 144A Ser. 06-4, Class XC, IO, 0.635s, 2049 56,432,000 685,084
Morgan Stanley Bank of America Merrill Lynch Trust Ser. 14-C17, Class XA, IO, 1.287s, 2047 1,871,851 147,670
Morgan Stanley Capital I Trust
     FRB Ser. 07-T27, Class AJ, 5.651s, 2042 413,000 450,096
     Ser. 07-IQ14, Class A2, 5.61s, 2049 152,700 153,827
     FRB Ser. 07-HQ12, Class A2, 5.607s, 2049 28,839 28,882
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 242,000 243,384
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class E, 5.183s, 2049 349,000 365,752
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 529,327 531,725
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class C, 4.958s, 2049 300,000 326,766
     Ser. 12-C4, Class XA, IO, 1.849s, 2045 6,437,748 657,114
     Ser. 12-C2, Class XA, IO, 1.754s, 2063 11,935,980 926,578
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C25, Class AJ, 5.712s, 2043 1,207,000 1,244,658
     Ser. 06-C24, Class AJ, 5.658s, 2045 338,000 344,794
     Ser. 05-C17, Class D, 5.396s, 2042 580,000 578,724
     FRB Ser. 05-C20, Class B, 5.237s, 2042 1,020,000 1,035,555
     Ser. 06-C29, IO, 0.386s, 2048 34,524,094 218,883
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 05-C17, Class F, 5.455s, 2042 346,000 345,325
     Ser. 07-C31, IO, 0.215s, 2047 81,595,330 325,106
Wells Fargo Commercial Mortgage Trust FRB Ser. 13-LC12, Class C, 4.302s, 2046 500,000 525,015
WF-RBS Commercial Mortgage Trust
     Ser. 14-C19, Class C, 4.646s, 2047 655,000 703,798
     Ser. 13-C17, Class XA, IO, 1.591s, 2046 7,972,219 668,537
     Ser. 13-C14, Class XA, IO, 0.915s, 2046 5,804,747 311,483
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C5, Class E, 5.635s, 2044 399,000 441,705
     FRB Ser. 11-C2, Class D, 5.466s, 2044 1,574,000 1,718,131
     FRB Ser. 11-C4, Class D, 5.245s, 2044 1,045,000 1,149,009
     FRB Ser. 11-C4, Class E, 5.245s, 2044 285,000 305,536
     FRB Ser. 12-C10, Class D, 4.458s, 2045 346,000 344,703
     Ser. 12-C10, Class XA, IO, 1.792s, 2045 5,803,870 574,003
     Ser. 13-C12, Class XA, IO, 1.494s, 2048 1,348,025 108,602
41,483,741
Residential mortgage-backed securities (non-agency) (2.0%)
BCAP, LLC Trust 144A FRB Ser. 14-RR1, Class 2A2, 2.354s, 2036 500,000 420,000
Countrywide Alternative Loan Trust FRB Ser. 05-38, Class A3, 0.518s, 2035 286,969 248,945
MortgageIT Trust FRB Ser. 05-1, Class 1M1, 0.888s, 2035 913,472 863,320
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 06-AR1, Class 2A1B, 1.184s, 2046 1,310,761 1,173,131
     FRB Ser. 04-AR13, Class A1B2, 1.148s, 2034 591,139 552,597
     FRB Ser. 05-AR17, Class A1B2, 0.578s, 2045 1,469,521 1,273,046
     FRB Ser. 05-AR13, Class A1B3, 0.528s, 2045 707,658 633,354
5,164,393
Total mortgage-backed securities (cost $60,711,706) $63,960,355

ASSET-BACKED SECURITIES (3.8%)(a)
Principal amount Value
Station Place Securitization Trust 144A FRB Ser. 14-2, Class A, 1.055s, 2016 $9,902,000 $9,902,000
Total asset-backed securities (cost $9,902,000) $9,902,000

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (3.5%)(a)
Principal amount Value
U.S. Government Agency Mortgage Obligations (3.5%)
Federal Home Loan Mortgage Corporation 4 1/2s, October 1, 2018 $30,824 $32,093
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     6s, September 1, 2017 199,509 209,882
     4 1/2s, August 1, 2018 24,735 25,905
     4s, June 1, 2043 172,827 188,813
Federal National Mortgage Association Pass-Through Certificates
     6s, with due dates from September 1, 2018 to September 1, 2019 80,767 85,458
     4 1/2s, TBA, March 1, 2045 1,000,000 1,083,945
     4 1/2s, TBA, February 1, 2045 1,000,000 1,085,156
     4s, TBA, March 1, 2045 1,000,000 1,068,789
     4s, TBA, February 1, 2045 1,000,000 1,070,859
     3s, TBA, March 1, 2045 2,000,000 2,062,984
     3s, TBA, February 1, 2045 2,000,000 2,067,969
8,981,853
Total U.S. government and agency mortgage obligations (cost $8,924,683) $8,981,853

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Notes 2s, September 30, 2020(SEGSF) $58,000 $60,116
Total U.S. treasury obligations (cost $57,970) $60,116

MUNICIPAL BONDS AND NOTES (1.2%)(a)
Principal amount Value
Union Cnty., AZ Indl. Dev. VRDN (Del-Tin Fiber LLC), 0.29s, 10/1/27 $1,700,000 $1,700,000
WI Hsg. & Econ. Dev. Auth. VRDN, Ser. D, 0.1s, 3/1/38 1,500,000 1,500,000
Total municipal bonds and notes (cost $3,200,000) $3,200,000

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.9%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) $1,340,000 $1,348,040
Argentina (Republic of) sr. unsec. unsub. notes Ser. 1, 8 3/4s, 2017 (Argentina) (In default)(NON) 500,000 465,000
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 200,000 211,500
Korea Development Bank sr. unsec. unsub. notes 4s, 2016 (South Korea) 300,000 313,303
Total foreign government and agency bonds and notes (cost $2,309,154) $2,337,843

PURCHASED SWAP OPTIONS OUTSTANDING (0.2%)(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 $1,330,800 $18,205
     (2.0575)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.0575 2,661,600 2,475
     (2.1575)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.1575 2,661,600 798
     (2.254)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.254 2,661,600 27
     (2.354)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.354 2,661,600 3
Barclays Bank PLC
     (2.21)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.21 2,661,600 27
     (2.31)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.31 2,661,600 8
Citibank, N.A.
     2.20/3 month USD-LIBOR-BBA/May-25 May-15/2.20 2,696,500 97,128
     (2.245)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.245 1,330,800 13
     (2.219)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.219 1,330,800 13
     (2.319)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.319 1,330,800 3
     (2.345)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.345 1,330,800 1
Credit Suisse International
     2.25/3 month USD-LIBOR-BBA/May-25 May-15/2.25 4,606,600 183,297
     2.09125/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.09125 2,637,000 73,467
     2.09/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.09 2,637,000 73,229
     (2.1175)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.1175 3,992,400 1,517
     (2.2175)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.2175 3,992,400 439
     (2.60)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.60 5,906,700 6
Goldman Sachs International
     2.34/3 month USD-LIBOR-BBA/Mar-45 Mar-15/2.34 232,800 11,717
     (2.22)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.22 2,661,600 27
     (2.32)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.32 2,661,600 27
     (2.89)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.89 232,800 2
     (2.94)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.94 232,800 —
     (3.04)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/3.04 232,800 —
Total purchased swap options outstanding (cost $392,238) $462,429

PURCHASED OPTIONS OUTSTANDING (—%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/$103.07 $2,000,000 $20,080
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/102.78 2,000,000 17,240
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/100.37 2,000,000 2
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.22 2,000,000 2
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.41 2,000,000 2
Total purchased options outstanding (cost $132,657) $37,326

SHORT-TERM INVESTMENTS (36.1%)(a)
Principal amount/shares Value
Agrium, Inc. commercial paper with a yield of 0.44%, February 13, 2015 $1,500,000 $1,499,760
Amphenol Corp. commercial paper with a yield of 0.38%, March 4, 2015 1,500,000 1,499,500
Bacardi USA, Inc. 144A commercial paper with a yield of 0.35%, February 4, 2015 1,500,000 1,499,940
BorgWarner, Inc. commercial paper with a yield of 0.29%, February 4, 2015 1,500,000 1,499,950
Cabot Corp. commercial paper with a yield of 0.42%, February 17, 2015 1,500,000 1,499,700
Campbell Soup Co. commercial paper with a yield of 0.21%, March 17, 2015 1,500,000 1,499,230
Canadian National Resources, Ltd. commercial paper with a yield of 0.26%, February 24, 2015 (Canada) 1,000,000 999,687
Canadian Pacific Railway Co. commercial paper with a yield of 0.28%, February 5, 2015 1,500,000 1,499,917
Duke Energy Corp. commercial paper with a yield of 0.42%, February 17, 2015 1,500,000 1,499,700
Experian Finance PLC commercial paper with a yield of 0.29%, March 27, 2015 1,500,000 1,498,943
FMC Corp. commercial paper with a yield of 0.35%, February 4, 2015 1,500,000 1,499,939
Intensa Sanpaolo SpA/New York, NY certificate of deposit with a yield of 0.63%, April 7, 2015 1,500,000 1,502,444
Kansas City Southern Railway Co. (The) commercial paper with a yield of 0.41%, February 9, 2015 1,500,000 1,499,760
KCP&L Greater Missouri Operations Co. commercial paper with a yield of 0.30%, February 2, 2015 1,500,000 1,499,985
Marriott International, Inc./Maryland commercial paper with a yield of 0.44%, March 9, 2015 1,500,000 1,499,325
Mohawk Industries, Inc. commercial paper with a yield of 0.55%, February 12, 2015 1,500,000 1,499,698
Putnam Money Market Liquidity Fund 0.07%(AFF) Shares 12,107,018 12,107,018
Putnam Short Term Investment Fund 0.10%(AFF) Shares 43,349,983 43,349,983
SSgA Prime Money Market Fund Class N 0.01%(P) Shares 110,000 110,000
Starwood Hotels and Resorts Worldwide, Inc. commercial paper with a yield of 0.28%, February 4, 2015 $1,500,000 1,499,954
Thunder Bay Funding, LLC asset backed commercial paper with a yield of 0.18%, February 2, 2015 2,300,000 2,299,990
Time Warner Cable, Inc. commercial paper with a yield of 0.49%, March 4, 2015 1,500,000 1,499,354
U.S. Treasury Bills with an effective yield of 0.03%, April 16, 2015(SEG)(SEGSF)(SEGCCS) 2,830,000 2,829,958
U.S. Treasury Bills with an effective yield of 0.03%, April 9, 2015(SEGCCS) 50,000 50,000
U.S. Treasury Bills with effective yields ranging from 0.005% to 0.11%, February 5, 2015(SEGSF)(SEGCCS) 1,702,000 1,701,986
Whirlpool Corp. commercial paper with a yield of 0.33%, February 6, 2015 1,500,000 1,499,917
Williams Partners LP commercial paper with a yield of 0.25%, February 17, 2015 1,500,000 1,499,693
Wyndham Worldwide Corp. 144A commercial paper with a yield of 0.52%, February 5, 2015 1,500,000 1,499,883
Total short-term investments (cost $93,444,299) $93,445,214

TOTAL INVESTMENTS
Total investments (cost $267,292,969)(b) $271,223,618













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


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
U.S. Treasury Bond 30 yr (Short) 4 $605,125             Mar-15 $(5,133)
U.S. Treasury Bond Ultra 30 yr (Long) 1 178,938             Mar-15 21,233
U.S. Treasury Note 10 yr (Long) 7 916,125             Mar-15 4,580
U.S. Treasury Note 5 yr (Short) 13 1,577,469             Mar-15 (9,282)
Total $11,398












WRITTEN SWAP OPTIONS OUTSTANDING at 1/31/15 (premiums $3,223,968) (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        $2,661,600 $186
1.9575/3 month USD-LIBOR-BBA/Feb-25 Feb-15/1.9575        2,661,600 6,548
1.66/3 month USD-LIBOR-BBA/Jul-20 Jul-15/1.66        2,661,600 20,920

Barclays Bank PLC
2.11/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.11        2,661,600 240

Citibank, N.A.
2.145/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.145        1,330,800 67
2.119/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.119        1,330,800 106

Credit Suisse International
2.0175/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.0175        3,992,400 4,751
(1.80)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.80        2,637,000 31,697
(1.80125)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.80125        2,637,000 31,829
(1.94)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.94        2,637,000 48,837
(1.94125)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.94125        2,637,000 49,021

Goldman Sachs International
2.84/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.84        232,800 —
2.12/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.12        2,661,600 213
(2.095)/3 month USD-LIBOR-BBA/Mar-45 Mar-15/2.095        232,800 4,905
(2.2175)/3 month USD-LIBOR-BBA/Mar-45 Mar-15/2.2175        232,800 7,764
(2.49)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.49        232,800 16,876

JPMorgan Chase Bank N.A.
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        16,499,000 2,717,550
Total $2,941,510












WRITTEN OPTIONS OUTSTANDING at 1/31/15 (premiums $129,219) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/$102.07        $2,000,000 $11,560
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/101.78        2,000,000 9,760
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/101.07        2,000,000 6,320
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/100.78        2,000,000 5,280
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.48        2,000,000 2
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.42        2,000,000 2
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.53        2,000,000 2
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/97.66        2,000,000 2
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/97.47        2,000,000 2
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.34        2,000,000 2
Total $32,932













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/15 (Unaudited)
Counterparty       Premium
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ Unrealized
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 $232,800 $(6,984) $(431)
     (1.885)/3 month USD-LIBOR-BBA/Jan-46 (Written) Jan-16/1.885 232,800 6,984 (1,576)

JPMorgan Chase Bank N.A.
     (2.0975)/3 month USD-LIBOR-BBA/Feb-25 (Purchased) Feb-15/2.0975 1,996,000 (5,838) (5,788)
     (1.7975)/3 month USD-LIBOR-BBA/Feb-25 (Written) Feb-15/1.7975 1,996,000 5,838 (1,198)
Total $— $(8,993)












TBA SALE COMMITMENTS OUTSTANDING at 1/31/15 (proceeds receivable $4,200,586) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, February 1, 2045 $1,000,000       2/12/15 $1,085,156
Federal National Mortgage Association, 4s, February 1, 2045 1,000,000       2/12/15 1,070,859
Federal National Mortgage Association, 3s, February 1, 2045 2,000,000       2/12/15 2,067,969
Total $4,223,984















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)
$465,600 $1,344      1/6/25 2.28% 3 month USD-LIBOR-BBA $(19,692)
465,600 5,767      1/6/25 2.53% 3 month USD-LIBOR-BBA (26,172)
39,579,000 (E) 173,748      3/18/17 1.25% 3 month USD-LIBOR-BBA (198,374)
29,168,000 (E) 526,058      3/18/20 2.25% 3 month USD-LIBOR-BBA (678,406)
19,245,000 (E) 1,199,380      3/18/25 3.00% 3 month USD-LIBOR-BBA (883,831)
618,000 (E) 86,606      3/18/45 3.50% 3 month USD-LIBOR-BBA (99,896)
1,330,000 (5)     12/19/19 1.742% 3 month USD-LIBOR-BBA (28,014)
1,639,000 (22)     1/9/25 3 month USD-LIBOR-BBA 2.07875% 42,853
1,426,400 1,408      1/16/25 3 month USD-LIBOR-BBA 2.12% 43,648
3,273,000 (26)     1/12/20 3 month USD-LIBOR-BBA 1.6457% 49,489
2,022,375 (162)     1/23/25 3 month USD-LIBOR-BBA 2.14% 62,678
1,676,000 (13)     12/19/19 1.7285% 3 month USD-LIBOR-BBA (34,203)
1,330,000 (5)     12/19/19 1.734% 3 month USD-LIBOR-BBA (27,494)
1,904,700 (25)     1/22/25 3 month USD-LIBOR-BBA 2.09% 50,356
320,000 (4)     1/9/25 3 month USD-LIBOR-BBA 2.081% 8,434
4,332,000 (35)     1/9/20 1.62% 3 month USD-LIBOR-BBA (60,830)
1,545,840 (20)     1/14/25 3 month USD-LIBOR-BBA 2.10% 43,042
838,080 (6)     1/15/25 3 month USD-LIBOR-BBA 2.09% 22,511
1,426,400 (19)     1/22/25 3 month USD-LIBOR-BBA 2.095% 38,379
1,724,000 (23)     1/12/25 2.14412% 3 month USD-LIBOR-BBA (55,369)
3,273,000 (26)     1/12/20 3 month USD-LIBOR-BBA 1.65338% 50,717
1,724,000 (23)     1/12/25 2.1372% 3 month USD-LIBOR-BBA (54,251)
1,724,000 (23)     1/12/25 2.142% 3 month USD-LIBOR-BBA (55,028)
3,273,000 (26)     1/12/20 3 month USD-LIBOR-BBA 1.648% 49,857
1,724,000 (23)     1/12/25 2.14055% 3 month USD-LIBOR-BBA (54,792)
3,273,000 (26)     1/12/20 3 month USD-LIBOR-BBA 1.6464% 49,602
1,724,000 (23)     1/12/25 2.138% 3 month USD-LIBOR-BBA (54,381)
3,273,000 (26)     1/12/20 3 month USD-LIBOR-BBA 1.64084% 48,712
998,000 (13)     1/20/25 3 month USD-LIBOR-BBA 1.949% 13,330
880,000 (12)     1/20/25 1.875% 3 month USD-LIBOR-BBA (5,672)
1,101,000 (15)     1/22/25 3 month USD-LIBOR-BBA 1.921% 11,690
470,000 (16)     1/22/45 2.31125% 3 month USD-LIBOR-BBA (14,335)
1,149,000 (15)     1/22/25 1.92125% 3 month USD-LIBOR-BBA (12,257)
1,620,000 (13)     1/23/20 1.4975% 3 month USD-LIBOR-BBA (11,903)
1,543,000 (12)     1/26/20 1.517% 3 month USD-LIBOR-BBA (12,559)
338,000 (11)     1/26/45 3 month USD-LIBOR-BBA 2.384% 15,903
1,487,000 (20)     1/27/25 3 month USD-LIBOR-BBA 1.9625% 21,149
1,487,000 (20)     1/27/25 3 month USD-LIBOR-BBA 1.963% 21,219
801,000 (11)     1/27/25 3 month USD-LIBOR-BBA 1.95475% 10,811
124,000 (E) (4)     2/2/46 3 month USD-LIBOR-BBA 2.335% 2,016
1,904,700 (25)     1/9/25 3 month USD-LIBOR-BBA 2.07% 48,240
Total$1,993,563     $(1,682,823)
(E)   Extended effective date.











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 $2,939 $43,000 5/11/63 300 bp $2,917
    CMBX NA BBB- Index BBB-/P 5,604 93,000 5/11/63 300 bp 5,556
    CMBX NA BBB- Index BBB-/P 11,483 186,000 5/11/63 300 bp 11,387
    CMBX NA BBB- Index BBB-/P 10,944 192,000 5/11/63 300 bp 10,845
Barclays Bank PLC
    CMBX NA BBB- Index BBB-/P 16,962 153,000 5/11/63 300 bp 16,883
Credit Suisse International
    CMBX NA BBB- Index BBB-/P 411 53,000 5/11/63 300 bp 384
    CMBX NA BBB- Index BBB-/P 9,711 122,000 5/11/63 300 bp 9,648
    CMBX NA BBB- Index BBB-/P 4,534 149,000 5/11/63 300 bp 4,457
    CMBX NA BBB- Index BBB-/P 2,625 149,000 5/11/63 300 bp 2,548
    CMBX NA BBB- Index BBB-/P 17,174 152,000 5/11/63 300 bp 17,092
    CMBX NA BBB- Index BBB-/P 12,288 154,000 5/11/63 300 bp 12,208
    CMBX NA BBB- Index BBB-/P 11,924 154,000 5/11/63 300 bp 11,844
    CMBX NA BBB- Index BBB-/P 10,131 154,000 5/11/63 300 bp 10,051
    CMBX NA BBB- Index BBB-/P 2,520 164,000 5/11/63 300 bp 2,435
    CMBX NA BBB- Index BBB-/P 1,927 166,000 5/11/63 300 bp 1,841
    CMBX NA BBB- Index BBB-/P 13,718 179,000 5/11/63 300 bp 13,626
    CMBX NA BBB- Index BBB-/P 13,549 186,000 5/11/63 300 bp 13,453
    CMBX NA BBB- Index BBB-/P 12,187 297,000 5/11/63 300 bp 12,035
    CMBX NA BB Index — (956) 183,000 5/11/63 (500 bp) (347)
    CMBX NA BB Index — (2,358) 135,000 5/11/63 (500 bp) (1,909)
    CMBX NA BB Index — (324) 89,000 5/11/63 (500 bp) (28)
    CMBX NA BB Index — 2,297 87,000 5/11/63 (500 bp) 2,587
    CMBX NA BB Index — 1,268 82,000 5/11/63 (500 bp) 1,541
    CMBX NA BB Index — (468) 61,000 5/11/63 (500 bp) (265)
    CMBX NA BB Index — (584) 61,000 5/11/63 (500 bp) (381)
    CMBX NA BB Index — (556) 61,000 5/11/63 (500 bp) (353)
    CMBX NA BB Index — 434 42,000 5/11/63 (500 bp) 574
    CMBX NA BB Index — 820 41,000 5/11/63 (500 bp) 956
    CMBX NA BB Index — (2,599) 134,000 5/11/63 (500 bp) (2,153)
    CMBX NA BBB- Index BBB-/P (563) 59,000 5/11/63 300 bp (593)
    CMBX NA BBB- Index BBB-/P (362) 60,000 5/11/63 300 bp (393)
    CMBX NA BBB- Index BBB-/P (305) 90,000 5/11/63 300 bp (351)
    CMBX NA BBB- Index BBB-/P 5,312 111,000 5/11/63 300 bp 5,255
    CMBX NA BBB- Index BBB-/P 318 118,000 5/11/63 300 bp 257
    CMBX NA BBB- Index BBB-/P (1,192) 119,000 5/11/63 300 bp (1,254)
    CMBX NA BBB- Index BBB-/P (400) 120,000 5/11/63 300 bp (462)
    CMBX NA BBB- Index BBB-/P (401) 120,000 5/11/63 300 bp (463)
    CMBX NA BBB- Index BBB-/P (1,133) 121,000 5/11/63 300 bp (1,195)
    CMBX NA BBB- Index BBB-/P (2,186) 121,000 5/11/63 300 bp (2,248)
    CMBX NA BBB- Index BBB-/P (1,029) 123,000 5/11/63 300 bp (1,093)
    CMBX NA BBB- Index BBB-/P 1,478 124,000 5/11/63 300 bp 1,414
    CMBX NA BBB- Index BBB-/P 1,233 124,000 5/11/63 300 bp 1,169
    CMBX NA BBB- Index BBB-/P 86 124,000 5/11/63 300 bp 22
    CMBX NA BBB- Index BBB-/P 429 124,000 5/11/63 300 bp 365
    CMBX NA BBB- Index BBB-/P 765 126,000 5/11/63 300 bp 700
    CMBX NA BBB- Index BBB-/P 3,046 128,000 5/11/63 300 bp 2,980
    CMBX NA BBB- Index BBB-/P 90 135,000 5/11/63 300 bp 20
    CMBX NA BBB- Index BBB-/P 681 147,000 5/11/63 300 bp 605
    CMBX NA BBB- Index BBB-/P (1,798) 179,000 5/11/63 300 bp (1,891)
    CMBX NA BBB- Index BBB-/P 857 185,000 5/11/63 300 bp 761
    CMBX NA BBB- Index BBB-/P (4,705) 243,000 5/11/63 300 bp (4,830)
    CMBX NA BBB- Index BBB-/P (3,265) 265,000 5/11/63 300 bp (3,402)
    CMBX NA BBB- Index BBB-/P (4,011) 266,000 5/11/63 300 bp (4,148)
    CMBX NA BBB- Index — (8,700) 154,000 1/17/47 (300 bp) (5,109)
    CMBX NA BBB- Index — (7,087) 151,000 1/17/47 (300 bp) (3,566)
Goldman Sachs International
    CMBX NA BBB- Index BBB-/P (906) 131,000 5/11/63 300 bp (974)
    CMBX NA BB Index — (1,251) 118,000 5/11/63 (500 bp) (859)
    CMBX NA BB Index — (586) 61,000 5/11/63 (500 bp) (383)
    CMBX NA BB Index — 52 43,000 5/11/63 (500 bp) 195
    CMBX NA BB Index — 927 41,000 5/11/63 (500 bp) 1,064
    CMBX NA BBB- Index BBB-/P (27) 10,000 5/11/63 300 bp (32)
    CMBX NA BBB- Index BBB-/P (644) 59,000 5/11/63 300 bp (674)
    CMBX NA BBB- Index BBB-/P (1,113) 119,000 5/11/63 300 bp (1,175)
    CMBX NA BBB- Index BBB-/P (1,193) 119,000 5/11/63 300 bp (1,255)
    CMBX NA BBB- Index BBB-/P (1,193) 119,000 5/11/63 300 bp (1,255)
    CMBX NA BBB- Index BBB-/P (482) 120,000 5/11/63 300 bp (544)
    CMBX NA BBB- Index BBB-/P (2,016) 121,000 5/11/63 300 bp (2,079)
    CMBX NA BBB- Index BBB-/P (988) 123,000 5/11/63 300 bp (1,051)
    CMBX NA BBB- Index BBB-/P 1,405 123,000 5/11/63 300 bp 1,342
    CMBX NA BBB- Index BBB-/P 740 124,000 5/11/63 300 bp 676
Total$127,488$134,978
*   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.”   










Key to holding's abbreviations
BKNT Bank Note
bp Basis Points
EMTN Euro Medium Term Notes
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
GMTN Global Medium Term Notes
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
OJSC Open Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
TBA To Be Announced Commitments
VRDN Variable Rate Demand Notes, which are floating-rate securities with long-term maturities that carry coupons that reset and are payable upon demand either daily, weekly or monthly. The rate shown is the current interest rate at the close of the reporting period.
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from 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 $259,202,191.
(b) The aggregate identified cost on a tax basis is $267,385,641, resulting in gross unrealized appreciation and depreciation of $5,419,077 and $1,581,100, respectively, or net unrealized appreciation of $3,837,977.
(NON) This security is non-income-producing.
(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* $— $22,252,602 $10,145,584 $766 $12,107,018
Putnam Short Term Investment Fund* 43,011,817 66,402,906 66,064,740 10,952 43,349,983
Totals $43,011,817 $88,655,508 $76,210,324 $11,718 $55,457,001
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(F) 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.
(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 $26,848,096 to cover certain derivative contracts and delayed delivery securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: 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 has 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.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, 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, 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 hedge treasury term structure risk and yield curve positioning.
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.
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 term structure risk and yield curve positioning.
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.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to gain liquid exposure to individual names, to hedge market risk, and to gain exposure to specific sectors.
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 $116,740 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 $2,746,558 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,685,116 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $— $9,902,000
Corporate bonds and notes — 88,836,482 —
Foreign government and agency bonds and notes — 2,337,843 —
Mortgage-backed securities — 63,960,355 —
Municipal bonds and notes — 3,200,000 —
Purchased options outstanding — 37,326 —
Purchased swap options outstanding — 462,429 —
U.S. government and agency mortgage obligations — 8,981,853 —
U.S. treasury obligations — 60,116 —
Short-term investments 55,567,001 37,878,213 —
Totals by level $55,567,001 $205,754,617 $9,902,000



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $11,398 $— $—
Written options outstanding — (32,932) —
Written swap options outstanding — (2,941,510) —
Forward premium swap option contracts — (8,993) —
TBA sale commitments — (4,223,984) —
Interest rate swap contracts — (3,676,386) —
Credit default contracts — 7,490 —
Totals by level $11,398 $(10,876,315) $—


The following is a reconciliation of Level 3 assets as of the close of the reporting period:

Investments in securities: Balance as of October 31, 2014 Accrued discounts/premiumsRealized gain/(loss) Change in net unrealized appreciation/(depreciation) Purchases Sales Net transfers in and/or out of Level 3† Balance as of January 31, 2015
Asset-backed securities $— $— $— $— $— $— $9,902,000 $9,902,000
Totals: $— $— $— $— $— $—$9,902,000 $9,902,000

† Transfers are accounted for using the end of period market value and include valuations provided by a single broker quote. Such valuations involve certain inputs and estimates that were unobservable at January 31, 2015.
During the reporting period, transfers beetween level 1 and level 2 within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.
Level 3 securities, which are fair valued, are not material to the fund.

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 $11,235 $3,745
Interest rate contracts 1,229,303 7,377,971
Total $1,240,538 $7,381,716


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$10,800,000
Purchased swap option contracts (contract amount)$47,000,000
Written TBA commitment option contracts (contract amount)$21,500,000
Written swap option contracts (contract amount)$50,300,000
Futures contracts (number of contracts)30
Centrally cleared interest rate swap contracts (notional)$137,200,000
OTC credit default contracts (notional)$8,700,000
   
  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 Goldman Sachs International JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc.   Total
                         
  Assets:                      
  Centrally cleared interest rate swap contracts§    $–  $–  $216,246  $–  $–  $–  $–  $–    $216,246
  OTC Credit default contracts*#    –  –  –  –  10,360  875  –  –    11,235
  Futures contracts§    –  –  –  –  –  –  –  –    –
  Forward premium swap option contracts#    –  –  –  –  –  –  –  –    –
  Purchased swap options#    21,508  35  –  97,158  331,955  11,773  –  –    462,429
  Purchased options#    –  –  –  –  –  –  37,326  –    37,326
                         
  Total Assets  $21,508  $35  $216,246  $97,158  $342,315  $12,648  $37,326  $–  $727,236
                         
  Liabilities:                      
  Centrally cleared interest rate swap contracts§    –  –  453,638  –  –    –  –    453,638
  OTC Credit default contracts*#    265  79  –  –  2,797  604  –  –    3,745
  Futures contracts§    –  –  –  –  –  –  –  7,152    7,152
  Forward premium swap option contracts#    –  –  –  –  –  2,007  6,986  –    8,993
  Written swap options#    27,654  240  –  173  166,135  29,758  2,717,550  –    2,941,510
  Written options#    –  –  –  –  –  –  32,932  –    32,932
                         
  Total Liabilities  $27,919  $319  $453,638  $173  $168,932  $32,369  $2,757,468  $7,152  $3,447,970
                         
  Total Financial and Derivative Net Assets    $(6,411)  $(284)  $(237,392)  $96,985  $173,383  $(19,721)  $(2,720,142)  $(7,152)    $(2,720,734)
  Total collateral received (pledged)##†    $–  $–  $–  $96,985  $116,740  $–  $(2,685,116)  $–    
  Net amount    $(6,411)  $(284)  $(237,392)  $–  $56,643  $(19,721)  $(35,026)  $(7,152)    
                         
* 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

EX-99.CERT 2 b_EB3certifications.htm EX-99.CERT b_EB3certifications.htm

Certifications

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

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

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

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

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


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


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


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


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

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


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


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

/s/ Jonathan S. Horwitz
_____________________________

Date: March 30, 2015
Jonathan S. Horwitz
Principal Executive Officer













Certifications

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

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

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

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

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


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


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


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


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

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


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


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

/s/ Steven D. Krichmar
_______________________________

Date: March 30, 2015
Steven D. Krichmar
Principal Financial Officer














Attachment A

NQ

Period (s) ended January 31, 2015
               Putnam Managed Municipal Income Trust
               Putnam Municipal Opportunities Trust
               Putnam Multi-Cap Value Fund
               The Putnam Fund for Growth and Income
               Putnam Capital Opportunities Fund
               Putnam Income Fund
               Putnam Global Income Trust
               Putnam Global Equity Fund
               Putnam Convertible Securities Fund
               Putnam Absolute Return 100 Fund
               Putnam Absolute Return 300 Fund
               Putnam Absolute Return 500 Fund
               Putnam Absolute Return 700 Fund
               Putnam Capital Spectrum Fund
               Putnam Equity Spectrum Fund
               Putnam Asia Pacific Equity Fund
               Putnam Global Sector Fund
               Putnam Multi-Cap Core Fund