0000928816-15-000457.txt : 20150331 0000928816-15-000457.hdr.sgml : 20150331 20150331100045 ACCESSION NUMBER: 0000928816-15-000457 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: 15737013 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 S000024275 Putnam Absolute Return 300 Fund C000071711 Class M C000071712 Class R C000071713 Class Y C000071714 Class A C000071715 Class B C000071716 Class C C000118005 Class R5 C000118006 Class R6 N-Q 1 a_absolutereturnthree.htm PUTNAM FUNDS TRUST a_absolutereturnthree.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: October 31, 2015
Date of reporting period: January 31, 2015



Item 1. Schedule of Investments:













Putnam Absolute Return 300 Fund

The fund's portfolio
1/31/15 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (45.0%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.6%)
Government National Mortgage Association Pass-Through Certificates
     4s, with due dates from March 20, 2044 to July 20, 2044 $1,464,115 $1,590,521
     4s, TBA, March 1, 2045 2,000,000 2,129,766
     4s, TBA, February 1, 2045 2,000,000 2,132,969
5,853,256
U.S. Government Agency Mortgage Obligations (44.4%)
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 April 1, 2041 to October 1, 2043 3,551,049 3,876,424
     3 1/2s, with due dates from April 1, 2042 to February 1, 2044 4,324,575 4,607,573
Federal National Mortgage Association Pass-Through Certificates
     4 1/2s, with due dates from May 1, 2041 to February 1, 2044 1,352,352 1,490,170
     4 1/2s, TBA, March 1, 2045 32,000,000 34,686,250
     4 1/2s, TBA, February 1, 2045 9,000,000 9,766,406
     4s, with due dates from April 1, 2042 to June 1, 2044 24,086,447 26,211,533
     4s, TBA, March 1, 2045 8,000,000 8,550,960
     4s, TBA, February 1, 2045 8,000,000 8,566,875
     3 1/2s, with due dates from May 1, 2042 to July 1, 2043 3,540,558 3,759,379
     3 1/2s, TBA, March 1, 2045 44,000,000 46,373,593
     3 1/2s, TBA, February 1, 2045 36,000,000 38,030,623
     3s, February 1, 2043 847,301 877,486
     3s, TBA, March 1, 2045 139,000,000 143,377,416
     3s, TBA, February 1, 2045 136,000,000 140,621,878
473,274,917
Total U.S. government and agency mortgage obligations (cost $475,239,943) $479,128,173

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Notes
     2s, September 30, 2020(SEGSF) $382,000 $395,934
     1.750%, September 30, 2019(i) 11,000 11,360
     1.000%, May 31, 2018(i) 167,000 167,846
Total U.S. treasury obligations (cost $561,010) $575,140

MORTGAGE-BACKED SECURITIES (42.7%)(a)
Principal amount Value
Agency collateralized mortgage obligations (16.9%)
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, 5.168s, 2024 $1,100,000 $1,113,200
Federal Home Loan Mortgage Corporation
     IFB Ser. 2976, Class LC, 23.809s, 2035 143,849 231,150
     IFB Ser. 3072, Class SM, 23.186s, 2035 336,743 527,062
     IFB Ser. 3072, Class SB, 23.039s, 2035 301,712 470,631
     IFB Ser. 3249, Class PS, 21.726s, 2036 229,244 352,253
     IFB Ser. 2990, Class LB, 16.52s, 2034 834,581 1,131,592
     IFB Ser. 4143, Class DS, IO, 5.954s, 2042 8,254,175 2,142,305
     IFB Ser. 4240, Class SA, IO, 5.834s, 2043 23,601,115 5,369,962
     IFB Ser. 4245, Class AS, IO, 5.834s, 2043 25,219,625 5,327,458
     IFB Ser. 271, Class S5, IO, 5.834s, 2042 10,776,734 2,690,950
     IFB Ser. 3852, Class NT, 5.834s, 2041 8,735,718 9,294,804
     IFB Ser. 317, Class S3, IO, 5.814s, 2043 10,833,121 2,947,746
     IFB Ser. 326, Class S2, IO, 5.784s, 2044 8,947,014 2,333,748
     IFB Ser. 310, Class S4, IO, 5.784s, 2043 3,321,742 887,304
     IFB Ser. 308, Class S1, IO, 5.784s, 2043 3,895,877 1,044,173
     IFB Ser. 269, Class S1, IO, 5.784s, 2042 5,455,191 1,338,704
     IFB Ser. 327, Class S8, IO, 5.754s, 2044 1,737,307 434,500
     IFB Ser. 314, Class AS, IO, 5.724s, 2043 3,761,904 965,147
     Ser. 4193, Class PI, IO, 4s, 2043 8,255,014 1,241,376
     Ser. 4213, Class GI, IO, 4s, 2041 7,455,188 911,024
     Ser. 4369, Class IA, IO, 3 1/2s, 2044 5,165,575 834,967
     Ser. 311, Class IO, IO, 3 1/2s, 2043 7,268,435 1,172,319
     Ser. 303, Class C19, IO, 3 1/2s, 2043 3,856,955 663,607
     Ser. 304, Class C22, IO, 3 1/2s, 2042 5,215,295 1,133,715
     Ser. 4141, Class IM, IO, 3 1/2s, 2042 5,164,561 888,063
     Ser. 4136, Class IW, IO, 3 1/2s, 2042 13,238,529 1,891,534
     Ser. 4166, Class PI, IO, 3 1/2s, 2041 7,010,079 1,084,950
     Ser. 4150, Class DI, IO, 3s, 2043 11,715,692 1,918,445
     Ser. 4158, Class TI, IO, 3s, 2042 8,646,993 1,010,315
     Ser. 4165, Class TI, IO, 3s, 2042 11,866,482 1,410,925
     Ser. 4206, Class IP, IO, 3s, 2041 7,261,971 869,113
     Ser. 304, Class C45, IO, 3s, 2027 13,359,842 1,529,387
     Ser. T-8, Class A9, IO, 0.464s, 2028 422,134 5,804
     Ser. T-59, Class 1AX, IO, 0.272s, 2043 1,017,686 12,403
     Ser. T-48, Class A2, IO, 0.212s, 2033 1,464,174 14,184
     Ser. 3835, Class FO, PO, zero %, 2041 18,670,465 16,814,434
Federal National Mortgage Association
     IFB Ser. 04-10, Class QC, 27.927s, 2031 607,218 724,037
     IFB Ser. 05-74, Class NK, 26.659s, 2035 95,565 159,668
     IFB Ser. 07-53, Class SP, 23.583s, 2037 286,789 457,647
     IFB Ser. 05-75, Class GS, 19.745s, 2035 247,140 349,648
     IFB Ser. 11-4, Class CS, 12.564s, 2040 2,535,888 3,121,191
     IFB Ser. 12-128, Class YS, IO, 6.032s, 2042 4,910,768 930,885
     IFB Ser. 12-153, Class SK, IO, 5.982s, 2043 5,658,916 1,346,539
     IFB Ser. 12-111, Class JS, IO, 5.932s, 2040 9,784,249 1,786,821
     IFB Ser. 13-128, Class SA, IO, 5.832s, 2043 11,281,763 2,815,477
     Ser. 13-98, Class SA, IO, 5.782s, 2043 6,664,767 1,776,160
     IFB Ser. 13-103, Class SK, IO, 5.752s, 2043 4,990,651 1,344,300
     Ser. 13-101, Class SE, IO, 5.732s, 2043 17,696,685 4,846,414
     IFB Ser. 13-136, Class SB, IO, 5.732s, 2044 4,133,011 1,001,015
     IFB Ser. 13-102, Class SH, IO, 5.732s, 2043 6,459,147 1,707,669
     Ser. 397, Class 2, IO, 5s, 2039 1,077,792 159,729
     Ser. 418, Class C24, IO, 4s, 2043 9,779,907 1,556,840
     Ser. 13-44, Class PI, IO, 4s, 2043 4,795,170 745,874
     Ser. 12-124, Class UI, IO, 4s, 2042 4,617,901 766,572
     Ser. 13-11, Class IP, IO, 4s, 2042 14,497,119 2,552,601
     Ser. 12-40, Class MI, IO, 4s, 2041 19,545,497 2,910,008
     Ser. 12-22, Class CI, IO, 4s, 2041 13,763,058 1,938,516
     Ser. 406, Class 2, IO, 4s, 2041 914,862 137,687
     Ser. 406, Class 1, IO, 4s, 2041 608,024 92,055
     Ser. 418, Class C15, IO, 3 1/2s, 2043 20,831,418 3,444,181
     Ser. 417, Class C24, IO, 3 1/2s, 2042 10,501,644 2,247,352
     Ser. 12-136, Class PI, IO, 3 1/2s, 2042 9,951,032 1,133,423
     Ser. 13-21, Class AI, IO, 3 1/2s, 2033 10,010,251 1,850,996
     Ser. 417, Class C19, IO, 3 1/2s, 2033 11,450,978 1,588,480
     Ser. 12-93, Class DI, IO, 3 1/2s, 2027 13,610,457 1,831,015
     Ser. 12-151, Class PI, IO, 3s, 2043 9,224,912 1,144,812
     Ser. 6, Class BI, IO, 3s, 2042 20,664,986 2,302,079
     Ser. 13-35, Class IP, IO, 3s, 2042 5,276,074 547,805
     Ser. 13-31, Class NI, IO, 3s, 2041 14,450,305 1,350,381
     Ser. 13-55, Class AI, IO, 3s, 2033 5,837,325 861,006
     Ser. 03-W10, Class 1, IO, 1.007s, 2043 342,750 8,488
     Ser. 98-W5, Class X, IO, 0.872s, 2028 775,941 38,312
     Ser. 98-W2, Class X, IO, 0.673s, 2028 2,671,593 140,259
     Ser. 07-44, Class CO, PO, zero %, 2037 70,472 65,074
Government National Mortgage Association
     IFB Ser. 12-38, Class SC, IO, 6.532s, 2040 8,263,473 1,139,533
     IFB Ser. 12-26, Class SP, IO, 6.482s, 2042 6,908,681 1,539,945
     IFB Ser. 11-56, Class MI, IO, 6.282s, 2041 1,850,668 346,093
     IFB Ser. 13-116, Class SA, IO, 5.982s, 2043 3,758,101 718,098
     IFB Ser. 14-90, Class HS, IO, 5.932s, 2044 6,900,710 1,744,154
     IFB Ser. 14-25, Class HS, IO, 5.932s, 2044 4,515,202 1,038,226
     IFB Ser. 14-32, Class CS, IO, 5.932s, 2044 7,081,421 1,522,505
     IFB Ser. 13-99, Class VS, IO, 5.932s, 2043 3,463,510 734,680
     IFB Ser. 12-34, Class SA, IO, 5.882s, 2042 17,127,441 3,949,588
     IFB Ser. 11-70, Class SN, IO, 5.732s, 2041 12,728,954 2,140,755
     IFB Ser. 11-70, Class SH, IO, 5.722s, 2041 15,001,000 2,628,625
     Ser. 14-25, Class QI, IO, 5s, 2044 9,530,987 1,822,325
     Ser. 14-2, Class IC, IO, 5s, 2044 3,780,090 695,045
     Ser. 13-3, Class IT, IO, 5s, 2043 9,549,035 1,908,802
     Ser. 11-116, Class IB, IO, 5s, 2040 4,464,798 229,519
     Ser. 10-35, Class UI, IO, 5s, 2040 3,421,290 722,748
     Ser. 10-20, Class UI, IO, 5s, 2040 12,318,895 1,953,161
     Ser. 10-9, Class UI, IO, 5s, 2040 29,251,192 5,820,762
     Ser. 09-121, Class UI, IO, 5s, 2039 26,303,239 4,668,562
     Ser. 13-24, Class IK, IO, 4 1/2s, 2043 7,161,155 1,104,107
     Ser. 12-129, Class IO, IO, 4 1/2s, 2042 6,921,786 1,422,496
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 574,394 69,054
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 7,671,317 1,406,244
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 4,082,717 893,462
     Ser. 10-103, Class DI, IO, 4 1/2s, 2038 6,445,757 448,135
     Ser. 12-106, Class QI, IO, 4s, 2042 7,071,269 1,161,527
     Ser. 12-47, Class CI, IO, 4s, 2042 2,418,994 365,873
     Ser. 12-41, Class IP, IO, 4s, 2041 7,346,775 1,279,905
     Ser. 13-53, Class IA, IO, 4s, 2026 9,487,580 1,068,871
     Ser. 13-76, Class IO, IO, 3 1/2s, 2043 7,341,704 753,626
     Ser. 13-79, Class PI, IO, 3 1/2s, 2043 7,797,552 911,066
     Ser. 13-100, Class MI, IO, 3 1/2s, 2043 10,327,201 1,078,676
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 4,143,273 466,615
     Ser. 12-92, Class AI, IO, 3 1/2s, 2042 5,388,954 722,012
     Ser. 12-71, Class JI, IO, 3 1/2s, 2041 19,628,489 1,769,543
     Ser. 12-48, Class KI, IO, 3 1/2s, 2039 3,758,798 393,697
     Ser. 183, Class AI, IO, 3 1/2s, 2039 9,177,268 1,091,093
     Ser. 14-145, Class PI, IO, 3 1/2s, 2029 7,420,052 912,741
     Ser. 14-46, Class KI, IO, 3s, 2036 6,561,194 763,526
     Ser. 14-115, Class QI, IO, 3s, 2029 13,784,780 1,381,097
     Ser. 10-151, Class KO, PO, zero %, 2037 1,677,550 1,542,088
GSMPS Mortgage Loan Trust 144A
     Ser. 99-2, IO, 0.773s, 2027 203,416 1,526
     Ser. 98-3, IO, zero %, 2027 110,895 1,629
     Ser. 98-2, IO, zero %, 2027 97,312 699
     Ser. 98-4, IO, zero %, 2026 153,138 3,769
180,126,473
Commercial mortgage-backed securities (18.9%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 2,861,000 2,959,009
     Ser. 06-5, Class A2, 5.317s, 2047 3,259,424 3,257,944
     Ser. 06-6, Class A2, 5.309s, 2045 136,975 137,173
     Ser. 07-1, Class XW, IO, 0.346s, 2049 4,403,037 37,655
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     FRB Ser. 04-3, Class D, 5.445s, 2039 2,832,319 2,862,002
     FRB Ser. 05-1, Class B, 5.294s, 2042 2,632,000 2,690,404
     FRB Ser. 05-5, Class B, 5.243s, 2045 2,825,000 2,837,713
     FRB Ser. 05-6, Class F, 5.153s, 2047 1,226,000 1,242,061
     FRB Ser. 04-4, Class D, 5.073s, 2042 761,000 789,062
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A
     Ser. 02-PB2, Class XC, IO, 0.266s, 2035 3,128,151 1,580
     Ser. 04-4, Class XC, IO, 0.207s, 2042 987,750 2,561
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-PW16, Class AJ, 5.707s, 2040 4,975,000 5,112,061
     FRB Ser. 06-PW11, Class AJ, 5.435s, 2039 3,565,000 3,658,581
     FRB Ser. 05-T18, Class D, 5.134s, 2042 1,206,000 1,234,269
     Ser. 05-PWR9, Class C, 5.055s, 2042 959,000 969,683
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW11, Class B, 5.435s, 2039 4,089,000 4,095,379
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class E, 5.537s, 2044 2,448,000 2,639,850
Citigroup Commercial Mortgage Trust FRB Ser. 06-C4, Class AJ, 5.772s, 2049 4,304,000 4,478,260
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class D, 4.458s, 2046 1,504,000 1,482,715
COMM Mortgage Pass-Through Certificates Ser. 14-UBS6, Class XA, IO, 1.088s, 2047 25,910,278 1,851,095
COMM Mortgage Trust 144A
     FRB Ser. 12-LC4, Class D, 5.647s, 2044 333,000 352,580
     FRB Ser. 14-CR18, Class D, 4.74s, 2047 1,250,000 1,196,424
     Ser. 12-LC4, Class E, 4 1/4s, 2044 1,361,000 1,220,666
     Ser. 13-LC13, Class E, 3.719s, 2046 1,503,000 1,152,643
     FRB Ser. 07-C9, Class AJFL, 0.856s, 2049 3,218,000 3,112,353
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 5.971s, 2041 3,152,000 3,274,424
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C3, Class B, 4.882s, 2037 1,140,000 1,136,124
Credit Suisse First Boston Mortgage Securities Corp. 144A
     Ser. 98-C1, Class F, 6s, 2040 1,245,954 1,348,746
     Ser. 03-C3, Class AX, IO, 1.829s, 2038 1,798,094 218
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.419s, 2044 2,381,000 2,575,467
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class F, 5.35s, 2035 984,246 989,039
First Union National Bank Commercial Mortgage 144A Ser. 01-C3, Class K, 6.155s, 2033 713,552 713,552
GE Capital Commercial Mortgage Corp. FRB Ser. 05-C1, Class B, 4.846s, 2048 1,295,000 1,294,456
GS Mortgage Securities Corp. II
     Ser. 05-GG4, Class B, 4.841s, 2039 9,299,000 9,285,237
     FRB Ser. 12-GCJ9, Class XA, IO, 2.358s, 2045(F) 9,677,958 1,147,169
     Ser. 13-GC10, Class XA, IO, 1.73s, 2046 26,320,158 2,566,479
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.414s, 2046 2,203,000 2,187,204
     FRB Ser. 13-GC10, Class E, 4.414s, 2046 1,864,000 1,654,841
GS Mortgage Securities Trust Ser. 13-GC12, Class XA, IO, 1.77s, 2046 19,699,881 1,838,185
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.637s, 2045 4,663,000 4,898,295
     Ser. 11-GC3, Class E, 5s, 2044 1,219,000 1,167,292
     FRB Ser. 13-GC12, Class D, 4.478s, 2046 1,299,000 1,281,545
JPMBB Commercial Mortgage Securities Trust
     FRB Ser. 13-C12, Class D, 4.087s, 2045 1,091,000 1,047,575
     Ser. 13-C12, Class XA, IO, 0.894s, 2045 104,392,170 4,217,590
JPMorgan Chase Commercial Mortgage Securities Corp. 144A
     FRB Ser. 12-C6, Class E, 5.207s, 2045 8,372,000 8,777,697
     FRB Ser. 12-LC9, Class D, 4.422s, 2047 1,668,000 1,736,999
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.074s, 2051 4,636,000 4,901,504
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 924,000 932,473
     FRB Ser. 06-LDP6, Class B, 5.498s, 2043 1,946,000 1,946,000
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 807,000 812,409
     FRB Ser. 05-LDP2, Class D, 4.941s, 2042 3,805,000 3,796,705
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.174s, 2051 2,059,000 2,096,989
     FRB Ser. 07-CB20, Class C, 6.174s, 2051 1,220,000 1,166,491
     FRB Ser. 11-C3, Class E, 5.567s, 2046 3,766,000 4,140,353
     FRB Ser. 12-C8, Class D, 4.666s, 2045 5,387,000 5,702,357
     Ser. 13-C10, Class E, 3 1/2s, 2047 1,963,000 1,434,168
JPMorgan Chase Commercial Mortgage Securities Trust Pass-Through Certificates 144A FRB Ser. 01-C1, Class H, 5.626s, 2035 1,886,052 1,917,492
LB-UBS Commercial Mortgage Trust
     Ser. 04-C8, Class F, 5.005s, 2039 1,765,000 1,771,001
     Ser. 07-C2, Class XW, IO, 0.539s, 2040 4,452,098 52,201
Merrill Lynch Mortgage Trust FRB Ser. 04-BPC1, Class C, 5.011s, 2041 1,668,000 1,662,562
Merrill Lynch Mortgage Trust 144A Ser. 05-MCP1, Class XC, IO, 0.608s, 2043 100,628,570 131,421
ML-CFC Commercial Mortgage Trust
     FRB Ser. 06-1, Class AJ, 5.566s, 2039 3,385,000 3,492,191
     Ser. 06-3, Class AJ, 5.485s, 2046 2,901,000 2,942,861
Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 13-C10, Class E, 4.083s, 2046 3,880,000 3,537,629
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class AJ, 5.389s, 2041 1,288,000 1,295,367
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 777,918 781,442
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C4, Class XA, IO, 1.849s, 2045 16,741,065 1,708,794
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C25, Class AJ, 5.712s, 2043 5,738,000 5,917,026
     Ser. 06-C24, Class AJ, 5.658s, 2045 1,656,000 1,689,286
     Ser. 05-C17, Class D, 5.396s, 2042 3,960,000 3,951,288
     FRB Ser. 05-C20, Class B, 5.237s, 2042 2,094,000 2,125,934
     Ser. 06-C29, IO, 0.386s, 2048 141,424,668 896,632
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 05-C17, Class F, 5.455s, 2042 1,636,000 1,632,810
     FRB Ser. 05-C19, Class G, 5.433s, 2044 3,072,500 3,065,249
     FRB Ser. 04-C11, Class G, 5.189s, 2041 1,500,000 1,497,930
WF-RBS Commercial Mortgage Trust Ser. 13-C14, Class XA, IO, 0.915s, 2046 23,658,665 1,269,524
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C4, Class E, 5.245s, 2044 1,006,000 1,078,488
     FRB Ser. 13-C16, Class D, 4.983s, 2046 1,559,000 1,584,240
     FRB Ser. 12-C7, Class D, 4.845s, 2045 5,321,000 5,742,849
     FRB Ser. 12-C7, Class E, 4.845s, 2045 1,787,000 1,829,565
     FRB Ser. 13-UBS1, Class D, 4.632s, 2046 5,607,000 5,658,192
     FRB Ser. 13-C15, Class D, 4.482s, 2046 604,000 597,154
     FRB Ser. 12-C10, Class D, 4.458s, 2045 1,608,000 1,601,970
     FRB Ser. 12-C10, Class E, 4.458s, 2045 1,658,000 1,468,884
     FRB Ser. 13-C12, Class D, 4.355s, 2048 5,508,000 5,473,300
     Ser. 13-C14, Class E, 3 1/4s, 2046 1,997,000 1,583,301
     Ser. 12-C10, Class XA, IO, 1.792s, 2045 30,554,732 3,021,863
     Ser. 13-C12, Class XA, IO, 1.494s, 2048 5,523,567 445,001
200,864,753
Residential mortgage-backed securities (non-agency) (6.9%)
BCAP, LLC Trust
     FRB Ser. 12-RR10, Class 9A2, 2.664s, 2035 300,000 279,780
     FRB Ser. 12-RR5, Class 4A8, 0.338s, 2035 3,750,000 3,416,703
BCAP, LLC Trust 144A
     FRB Ser. 12-RR2, Class 5A12, 6.268s, 2036 1,901,100 1,810,798
     FRB Ser. 14-RR2, Class 4A3, 0.439s, 2036 2,791,000 2,135,115
Bear Stearns Alt-A Trust
     FRB Ser. 05-7, Class 22A1, 2.644s, 2035 1,759,471 1,504,348
     FRB Ser. 04-6, Class M2, 1.893s, 2034 2,371,945 2,087,311
Bear Stearns Asset Backed Securities I Trust
     FRB Ser. 06-EC1, Class M3, 0.62s, 2035 2,821,000 2,115,750
     FRB Ser. 06-PC1, Class M3, 0.61s, 2035(F) 2,563,000 1,949,482
Citigroup Mortgage Loan Trust FRB Ser. 07-WFH2, Class M2, 0.618s, 2037(F) 1,500,000 1,072,500
Citigroup Mortgage Loan Trust 144A FRB Ser. 10-7, Class 3A5, 5.979s, 2035 2,000,000 2,129,917
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-WFH1, Class M1, 0.428s, 2037(F) 3,685,000 2,984,850
Countrywide Alternative Loan Trust
     FRB Ser. 05-27, Class 1A2, 1.514s, 2035 2,093,454 1,920,744
     FRB Ser. 05-38, Class A3, 0.518s, 2035 1,913,125 1,659,636
     FRB Ser. 05-59, Class 1A1, 0.499s, 2035 5,663,917 4,587,773
     FRB Ser. 05-62, Class 1A1, 0.468s, 2035 1,261,423 1,040,674
     FRB Ser. 06-HY11, Class A1, 0.288s, 2036 1,553,256 1,320,267
Countrywide Asset-Backed Certificates Trust FRB Ser. 06-13, Class 3AV3, 0.42s, 2037(F) 1,775,000 1,313,500
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 11-2R, Class 2A9, 2.609s, 2036 4,760,000 4,331,600
Credit Suisse Mortgage Trust 144A FRB Ser. 10-20R, Class 7A4, 3 1/2s, 2037 2,300,000 2,094,380
MortgageIT Trust FRB Ser. 05-1, Class 1M1, 0.888s, 2035 2,582,384 2,440,605
Newcastle Mortgage Securities Trust FRB Ser. 06-1, Class M2, 0.538s, 2036 3,296,000 2,599,885
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 05-WCW3, Class M2, 0.658s, 2035 3,150,000 2,462,985
RBSSP Resecuritization Trust 144A FRB Ser. 10-1, Class 3A2, 5.215s, 2035 6,859,473 6,690,044
Residential Accredit Loans, Inc. Trust FRB Ser. 07-QO3, Class A1, 0.328s, 2047 3,204,986 2,660,138
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 06-AR1, Class 2A1B, 1.184s, 2046 1,613,244 1,443,853
     FRB Ser. 04-AR13, Class A1B2, 1.148s, 2034 2,603,826 2,434,057
     FRB Ser. 05-AR13, Class A1C3, 0.658s, 2045 4,479,936 3,942,344
     FRB Ser. 05-AR1, Class A1B, 0.558s, 2045 1,039,740 951,362
     FRB Ser. 05-AR9, Class A1B, 0.548s, 2045 4,218,103 3,929,336
     FRB Ser. 05-AR15, Class A1B3, 0.508s, 2045 2,914,184 2,557,196
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.336s, 2047 2,400,000 1,775,984
73,642,917
Total mortgage-backed securities (cost $446,235,554) $454,634,143

CORPORATE BONDS AND NOTES (24.2%)(a)
Principal amount Value
Basic materials (1.6%)
Alcoa, Inc. sr. unsec. unsub. notes 5.4s, 2021 $900,000 $998,638
Archer-Daniels-Midland Co. sr. unsec. notes 5.45s, 2018 1,638,000 1,839,117
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 2,900,000 3,037,750
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 950,000 1,018,875
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 1,400,000 1,379,000
Rio Tinto Finance USA PLC company guaranty sr. unsec. unsub. notes 1 5/8s, 2017 (United Kingdom) 1,691,000 1,699,212
Rio Tinto Finance USA, Ltd. company guaranty sr. unsec. notes 9s, 2019 (Australia) 1,985,000 2,544,810
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 1,385,000 1,412,700
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 1,500,000 1,590,000
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 1,500,000 1,608,750
17,128,852
Capital goods (1.2%)
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 1,500,000 1,481,250
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 1,020,000 1,014,900
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 500,000 482,500
Bombardier, Inc. 144A sr. notes 4 1/4s, 2016 (Canada) 2,000,000 2,015,000
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 1,000,000 1,077,500
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6s, 2017 (Luxembourg) 1,692,000 1,900,143
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 1,180,000 1,271,450
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 1,500,000 1,567,500
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 1,500,000 1,590,000
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 460,000 478,400
12,878,643
Communication services (1.7%)
AT&T, Inc. sr. unsec. unsub. notes 1.7s, 2017 1,695,000 1,709,685
Comcast Corp. company guaranty sr. unsec. unsub. bonds 6 1/2s, 2017 1,700,000 1,883,338
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 840,000 861,000
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica) 510,000 517,650
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 2,194,000 2,232,395
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 465,000 473,138
Sprint Communications, Inc. sr. unsec. notes 6s, 2016 1,500,000 1,571,250
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 500,000 576,250
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 1,500,000 1,554,375
Verizon Communications, Inc. sr. unsec. notes 6.35s, 2019 584,000 684,063
Verizon Communications, Inc. 144A sr. unsec. notes 2 5/8s, 2020 1,522,000 1,539,526
Vodafone Group PLC sr. unsec. unsub. notes 1 1/4s, 2017 (United Kingdom) 2,930,000 2,915,209
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 480,000 500,400
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017 1,000,000 1,078,750
18,097,029
Consumer cyclicals (2.4%)
Amazon.com, Inc. sr. unsec. notes 1.2s, 2017 1,638,000 1,633,920
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018 2,008,000 2,272,032
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 552,000 609,960
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 300,000 307,500
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 1,500,000 1,605,000
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 1,000,000 1,031,250
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024 1,500,000 1,516,875
Dollar General Corp. sr. unsec. notes 1 7/8s, 2018 2,400,000 2,372,527
Ford Motor Credit Co., LLC sr. unsec. notes 12s, 2015 1,250,000 1,289,068
Host Hotels & Resorts LP sr. unsec. unsub. notes 6s, 2021(R) 596,000 697,591
Host Hotels & Resorts LP sr. unsec. unsub. notes 5 1/4s, 2022(R) 279,000 313,275
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 2,250,000 2,390,625
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 1,000,000 1,000,000
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 1,500,000 1,541,250
Owens Corning company guaranty sr. unsec. notes 9s, 2019 253,000 310,734
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 1,500,000 1,552,500
Toyota Motor Credit Corp. sr. unsec. unsub. notes Ser. MTN, 1 1/4s, 2017 1,695,000 1,703,221
Tri Pointe Holdings, Inc. 144A sr. unsec. unsub. notes 5 7/8s, 2024 1,330,000 1,280,125
Walt Disney Co. (The) sr. unsec. unsub. notes Ser. MTN, 1.1s, 2017 1,690,000 1,693,747
25,121,200
Consumer staples (1.3%)
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. notes 1 1/4s, 2018 1,695,000 1,697,319
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 1,500,000 1,469,063
Coca-Cola Co. (The) sr. unsec. unsub. notes 5.35s, 2017 1,050,000 1,173,080
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016 2,105,000 2,283,925
Costco Wholesale Corp. sr. unsec. unsub. notes 0.65s, 2015 2,180,000 2,185,206
CVS Health Corp. sr. unsec. unsub. notes 2 1/4s, 2018 1,690,000 1,732,167
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) 798,000 806,567
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 865,000 872,028
PepsiCo, Inc. sr. unsec. unsub. notes 1 1/4s, 2017 1,679,000 1,689,855
14,350,761
Energy (2.0%)
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.846s, 2017 (United Kingdom) 1,695,000 1,715,654
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.7s, 2017 (Canada) 1,695,000 1,840,014
Chesapeake Energy Corp. company guaranty sr. unsec. FRN notes 3.503s, 2019 1,500,000 1,455,000
Chevron Corp. sr. unsec. unsub. notes 1.104s, 2017 1,638,000 1,637,717
ConocoPhillips Co. company guaranty sr. unsec. notes 1.05s, 2017 1,695,000 1,687,854
Hess Corp. sr. unsec. unsub. notes 7.3s, 2031 180,000 226,065
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 400,000 397,000
Petrobras Global Finance BV company guaranty sr. unsec. notes 3 7/8s, 2016 (Brazil) 5,000,000 4,865,500
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 98,000 46,697
Petroleos Mexicanos 144A company guaranty sr. unsec. notes 4 1/2s, 2026 (Mexico) 1,500,000 1,498,752
Phillips 66 company guaranty sr. unsec. unsub. notes 2.95s, 2017 1,690,000 1,747,207
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5.2s, 2017 (Netherlands) 1,816,000 1,976,164
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5/8s, 2015 (Netherlands) 875,000 876,918
Total Capital International SA company guaranty sr. unsec. unsub. notes 1.55s, 2017 (France) 1,664,000 1,681,678
21,652,220
Financials (10.6%)
Abbey National Treasury Services PLC/London bank guaranty sr. unsec. unsub. notes 1 3/8s, 2017 (United Kingdom) 1,819,000 1,822,256
ABN Amro Bank NV 144A sr. unsec. FRN notes 1.056s, 2016 (Netherlands) 3,000,000 3,012,557
Ally Financial, Inc. company guaranty sr. unsec. notes 3 1/2s, 2016 1,500,000 1,507,500
American Express Bank FSB sr. unsec. FRN notes Ser. BKNT, 0.466s, 2017 2,000,000 1,991,295
American Express Co. sr. unsec. notes 7s, 2018 1,523,000 1,771,526
American Express Co. sr. unsec. notes 6.15s, 2017 923,000 1,032,549
Baggot Securities, Ltd. 144A jr. sub. notes 10.24s, perpetual maturity (Ireland) EUR 3,260,000 3,873,367
Bank of America Corp. sr. unsec. notes Ser. MTN, 1.7s, 2017 $1,000,000 1,005,856
Bank of America Corp. sr. unsec. unsub. notes 2s, 2018 2,358,000 2,372,924
Bank of America, NA unsec. sub. FRN notes Ser. BKNT, 0.521s, 2016 3,800,000 3,775,270
Bank of Montreal sr. unsec. unsub. notes Ser. MTN, 2 1/2s, 2017 (Canada) 1,638,000 1,685,391
Bank of Nova Scotia sr. unsec. unsub. FRN notes 0.641s, 2016 (Canada) 1,000,000 1,002,903
Bank of Nova Scotia sr. unsec. unsub. notes 1 3/8s, 2017 (Canada) 1,695,000 1,700,948
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. notes 1.2s, 2017 (Japan) 1,710,000 1,702,995
BNP Paribas SA bank guaranty sr. unsec. unsub. notes Ser. MTN, 1 3/8s, 2017 (France) 2,605,000 2,616,220
BPCE SA company guaranty sr. unsec. FRN notes Ser. MTN, 1.506s, 2016 (France) 975,000 984,709
Branch Banking & Trust Co. unsec. sub. FRN notes 0.561s, 2016 500,000 497,557
CIT Group, Inc. 144A sr. unsec. notes 4 3/4s, 2015 1,500,000 1,498,838
Citigroup, Inc. sr. unsec. sub. FRN notes 0.506s, 2016 2,100,000 2,082,394
Citigroup, Inc. sr. unsec. unsub. notes 4.45s, 2017 2,427,000 2,570,074
Commonwealth Bank of Australia/New York sr. unsec. unsub. bonds 1 1/8s, 2017 2,318,000 2,321,595
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA of Netherlands (Rabobank Nederland) bank guaranty sr. unsec. notes 3 3/8s, 2017 (Netherlands) 1,516,000 1,585,644
Credit Agricole SA/London 144A sr. unsec. FRN notes 1.413s, 2016 (United Kingdom) 2,980,000 3,005,357
Deutsche Bank AG/London sr. unsec. notes 6s, 2017 (United Kingdom) 2,358,000 2,626,272
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 1,250,000 1,337,500
General Electric Capital Corp. sr. unsec. notes Ser. MTN, 5.4s, 2017 2,507,000 2,730,291
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.3s, 2015 3,500,000 3,524,381
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2 3/8s, 2018 1,212,000 1,235,650
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4 7/8s, 2019 1,570,000 1,597,475
ING Bank NV 144A unsec. notes 3 3/4s, 2017 (Netherlands) 4,575,000 4,810,361
International Lease Finance Corp. sr. unsec. unsub. notes 3 7/8s, 2018 875,000 885,938
JPMorgan Chase & Co. sr. unsec. unsub. notes 2s, 2017 1,679,000 1,701,438
JPMorgan Chase Bank, NA unsec. sub. FRN notes 0.571s, 2016 1,000,000 995,010
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.3s, 2018 2,375,000 2,416,933
Kimco Realty Corp. sr. unsec. notes Ser. MTN, 4.904s, 2015(R) 2,000,000 2,003,290
MetLife, Inc. sr. unsec. unsub. notes 6 3/4s, 2016 1,710,000 1,841,552
Morgan Stanley sr. unsec. notes 4 3/4s, 2017 2,381,000 2,542,827
National Australia Bank, Ltd./New York sr. unsec. FRN notes 0.806s, 2016 (Australia) 2,000,000 2,008,924
National Australia Bank, Ltd./New York sr. unsec. notes 2.3s, 2018 (Australia) 1,175,000 1,202,173
New York Life Global Funding 144A notes 3s, 2015 4,560,000 4,590,593
PNC Bank NA sr. unsec. unsub. notes Ser. BKNT, 1 1/8s, 2017 1,700,000 1,707,830
Principal Life Global Funding II 144A notes 1s, 2015 1,740,000 1,747,491
Prudential Covered Trust 2012-1 144A company guaranty mtge. notes 2.997s, 2015 1,406,250 1,423,242
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.2s, 2018 (Canada) 1,700,000 1,739,761
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 2.55s, 2015 (United Kingdom) 737,000 744,188
Royal Bank of Scotland Group PLC unsec. sub. notes 4.7s, 2018 (United Kingdom) 3,880,000 4,047,845
Select Income REIT sr. unsec. unsub. notes 3.6s, 2020(R) 1,000,000 1,009,831
Select Income REIT sr. unsec. unsub. notes 2.85s, 2018(R) 1,000,000 1,006,479
Simon Property Group LP 144A sr. unsec. unsub. notes 1 1/2s, 2018(R) 1,535,000 1,538,397
Societe Generale SA bank guaranty sr. unsec. notes 2 3/4s, 2017 (France) 675,000 695,746
Svenska Handelsbanken AB bank guaranty sr. unsec. notes 2 7/8s, 2017 (Sweden) 874,000 906,446
UBS AG of Stamford, CT sr. unsec. unsub. notes Ser. BKNT, 5 7/8s, 2017 1,500,000 1,680,518
US Bank of NA of Cincinnati, OH sr. unsec. notes Ser. BKNT, 1.1s, 2017 1,750,000 1,758,584
Ventas Realty LP/Ventas Capital Corp. company guaranty sr. unsec. unsub. notes 3 1/8s, 2015(R) 3,000,000 3,053,857
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) 1,000,000 845,000
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia) 1,850,000 1,813,000
Wells Fargo & Co. sr. unsec. notes 2.1s, 2017 1,664,000 1,699,167
Wells Fargo Bank, NA unsec. sub. FRN notes 0.442s, 2016 1,228,000 1,224,325
Westpac Banking Corp. sr. unsec. unsub. notes 2 1/4s, 2018 (Australia) 306,000 312,801
112,914,841
Health care (1.3%)
AbbVie, Inc. sr. unsec. unsub. notes 1 3/4s, 2017 1,519,000 1,530,839
Amgen, Inc. sr. unsec. unsub. notes 2 1/8s, 2017 1,695,000 1,727,458
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) 1,695,000 1,904,512
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 500,000 516,875
ConvaTec Healthcare D SA 144A sr. notes 7 3/8s, 2017 (Luxembourg) EUR 510,000 597,220
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015 $900,000 924,750
HCA, Inc. sr. notes 6 1/2s, 2020 612,000 688,500
Johnson & Johnson sr. unsec. notes 5.15s, 2018 1,061,000 1,201,039
Merck & Co., Inc. sr. unsec. unsub. notes 1.3s, 2018 1,457,000 1,465,786
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 1,674,000 1,732,590
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 665,000 723,188
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 756,000 860,579
13,873,336
Technology (0.7%)
Cisco Systems, Inc. sr. unsec. unsub. notes 1.1s, 2017 768,000 773,695
eBay, Inc. sr. unsec. unsub. notes 1.35s, 2017 1,695,000 1,688,906
Hewlett-Packard Co. sr. unsec. unsub. notes 2.6s, 2017 1,444,000 1,484,926
Intel Corp. sr. unsec. unsub. notes 1.35s, 2017 1,700,000 1,712,900
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 1,500,000 1,500,000
Xerox Corp. sr. unsec. unsub. notes 4 1/4s, 2015 120,000 120,130
7,280,557
Transportation (0.3%)
Continental Airlines, Inc. pass-through certificates Ser. 97-4A, 6.9s, 2018 489,868 516,810
Continental Airlines, Inc. pass-through certificates Ser. 98-1A, 6.648s, 2017 567,016 592,531
Federal Express Corp. 2012 Pass Through Trust 144A notes 2 5/8s, 2018 1,919,353 1,955,109
3,064,450
Utilities and power (1.1%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 8s, 2017 1,005,000 1,124,344
Consolidated Edison Co. of New York sr. unsec. notes 7 1/8s, 2018 1,543,000 1,855,172
Electricite de France (EDF) 144A unsec. sub. FRN notes 5 1/4s, perpetual maturity (France) 905,000 950,250
FirstEnergy Corp. sr. unsec. unsub. notes 2 3/4s, 2018 3,140,000 3,212,854
Texas-New Mexico Power Co. 144A 1st mtge. bonds Ser. A, 9 1/2s, 2019 3,816,000 4,875,215
12,017,835
Total corporate bonds and notes (cost $256,382,880) $258,379,724

SENIOR LOANS (7.8%)(a)(c)
Principal amount Value
Basic materials (0.7%)
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
Exopack, LLC bank term loan FRN Ser. B, 5 1/4s, 2019 1,500,000 1,494,375
HD Supply, Inc. bank term loan FRN Ser. B, 4s, 2018 1,496,164 1,479,332
Ineos US Finance, LLC bank term loan FRN 3 3/4s, 2018 506,971 493,029
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017 976,015 929,654
TMS International Corp. bank term loan FRN Ser. B, 4 1/2s, 2020 1,500,000 1,432,500
Tronox, Ltd. bank term loan FRN Ser. B, 4s, 2020 741,410 732,142
7,255,342
Capital goods (0.7%)
Accudyne Industries Borrower SCA bank term loan FRN 4s, 2019 (Luxembourg) 457,687 426,984
ADS Waste Holdings, Inc. bank term loan FRN Ser. B, 3 3/4s, 2019 1,500,000 1,456,407
Gardner Denver, Inc. bank term loan FRN 4 1/4s, 2020 706,063 659,090
Gates Global, LLC/Gates Global Co. bank term loan FRN 4 1/4s, 2021 1,496,250 1,459,912
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 1,088,060 1,075,668
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
7,021,098
Communication services (1.2%)
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 1,514,722 1,504,308
Charter Communications Operating, LLC bank term loan FRN Ser. E, 3s, 2020 1,477,500 1,451,116
Crown Castle Operating Co. bank term loan FRN Ser. B2, 3s, 2021 970,297 953,317
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 2,000,000 1,980,000
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
SBA Senior Finance II, LLC bank term loan FRN Ser. B, 3 1/4s, 2021 1,990,000 1,953,931
Virgin Media Investment Holdings, Ltd. bank term loan FRN Ser. B, 3 1/2s, 2020 (United Kingdom) 1,500,000 1,476,563
Windstream Corp. bank term loan FRN Ser. B5, 3 1/2s, 2019 244,406 241,473
Zayo Group, LLC bank term loan FRN Ser. B, 4s, 2019 650,009 642,877
13,042,544
Consumer cyclicals (1.8%)
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 564,361 504,821
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 417,900 380,916
CCM Merger, Inc. bank term loan FRN Ser. B, 4 1/2s, 2021 1,166,709 1,160,875
Chrysler Group, LLC bank term loan FRN Ser. B, 3 1/2s, 2017 327,397 325,669
CityCenter Holdings, LLC bank term loan FRN Ser. B, 4 1/4s, 2020 591,022 587,328
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 1,350,000 1,333,125
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
Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, 3 1/2s, 2020 986,842 974,199
Interactive Data Corp. bank term loan FRN Ser. B, 4 3/4s, 2021 995,000 990,647
Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4s, 2018 1,178,329 1,142,980
Navistar, Inc. bank term loan FRN Ser. B, 5 3/4s, 2017 1,500,000 1,494,375
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 1,497,520 1,449,787
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
Tribune Co. bank term loan FRN Ser. B, 4s, 2020 1,475,382 1,453,713
Univision Communications, Inc. bank term loan FRN 4s, 2020 760,169 748,054
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019 1,385,245 1,229,405
19,064,117
Consumer staples (0.8%)
Amaya BV bank term loan FRN 5s, 2021 (Netherlands) 997,500 975,947
BC ULC bank term loan FRN Ser. B, 4 1/2s, 2021 (Canada) 1,500,000 1,500,704
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 563,408 562,088
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
8,981,044
Energy (0.3%)
American Energy-Marcellus, LLC bank term loan FRN 5 1/4s, 2020 690,000 569,681
EP Energy, LLC bank term loan FRN Ser. B3, 3 1/2s, 2018 513,667 477,068
Fieldwood Energy, LLC bank term loan FRN 3 7/8s, 2018 1,482,496 1,358,337
Offshore Group Investment, Ltd. bank term loan FRN Ser. B, 5s, 2017 (Cayman Islands) 985,530 704,654
3,109,740
Financials (0.3%)
Alliant Holdings I, Inc. bank term loan FRN 5s, 2019 1,040,000 1,036,100
Alliant Holdings I, Inc. bank term loan FRN 5s, 2019 245,449 242,995
Fifth Third Processing Solutions, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 255,643 253,726
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 418,842 365,789
3,343,942
Health care (1.3%)
AmSurg Corp. bank term loan FRN Ser. B, 3 3/4s, 2021 1,492,500 1,486,903
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021 1,366,200 1,364,920
Emergency Medical Services 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
HCA, Inc. bank term loan FRN Ser. B4, 3.005s, 2018 987,500 985,736
IASIS Healthcare, LLC/IASIS Capital Corp. bank term loan FRN Ser. B, 4 1/2s, 2018 968,095 965,674
Kinetic Concepts, Inc. bank term loan FRN 4s, 2018 884,769 874,500
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 1,047,816 1,041,704
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. C2, 3 1/2s, 2019 639,595 634,698
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. D2, 3 1/2s, 2019 639,595 634,898
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 1/2s, 2020 462,718 459,312
14,008,701
Technology (0.3%)
Avago Technologies, Ltd. bank term loan FRN Ser. B, 3 3/4s, 2020 1,422,850 1,419,293
Dell, Inc. bank term loan FRN Ser. B, 4 1/2s, 2020 1,481,250 1,481,250
Syniverse Holdings, Inc. bank term loan FRN Ser. B, 4s, 2019 950,228 916,970
3,817,513
Utilities and power (0.4%)
Calpine Construction Finance Co. LP bank term loan FRN Ser. B, 3s, 2020 591,000 571,349
Calpine Construction Finance Co. LP bank term loan FRN Ser. B2, 3 1/4s, 2022 1,187,975 1,151,742
Energy Transfer Equity LP bank term loan FRN 3 1/4s, 2019 715,000 676,748
NRG Energy, Inc. bank term loan FRN Ser. B, 2 3/4s, 2018 1,473,750 1,453,281
3,853,120
Total senior loans (cost $85,238,678) $83,497,161

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (4.2%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. bonds 7s, 2017 (Argentina) $2,810,000 $2,708,840
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015 (Argentina) 9,520,000 9,577,120
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4 7/8s, 2021 (Brazil) 1,710,000 1,799,115
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 11 3/4s, 2015 (Argentina) 2,675,000 2,648,250
Croatia (Republic of) 144A sr. unsec. notes 6 1/4s, 2017 (Croatia) 350,000 370,125
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 960,000 1,054,915
Hellenic (Republic of) sr. unsec. bonds 4 3/4s, 2019 (Greece) EUR 5,155,000 4,060,933
Hellenic (Republic of) sr. unsec. notes 3 3/8s, 2017 (Greece) EUR 5,669,000 4,527,905
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2038 (Greece)(STP) EUR 892,589 489,899
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2037 (Greece)(STP) EUR 112,696 62,081
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2036 (Greece)(STP) EUR 1,142,451 627,424
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2035 (Greece)(STP) EUR 645,941 356,336
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2034 (Greece)(STP) EUR 567,404 313,107
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2033 (Greece)(STP) EUR 501,823 277,162
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2032 (Greece)(STP) EUR 467,658 258,678
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2031 (Greece)(STP) EUR 442,123 243,534
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2030 (Greece)(STP) EUR 1,927,028 1,065,166
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2029 (Greece)(STP) EUR 459,773 254,691
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2028 (Greece)(STP) EUR 2,462,206 1,375,092
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2027 (Greece)(STP) EUR 1,534,622 867,928
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2026 (Greece)(STP) EUR 2,236,272 1,311,734
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2025 (Greece)(STP) EUR 4,284,952 2,672,394
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2024 (Greece)(STP) EUR 1,628,752 1,039,011
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 2s (3s, 2/24/15), 2023 (Greece)(STP) EUR 2,286,576 1,481,827
Indonesia (Republic of) 144A sr. unsec. notes 3 3/8s, 2023 (Indonesia) $1,290,000 1,262,420
Korea Development Bank sr. unsec. unsub. notes 4s, 2016 (South Korea) 2,000,000 2,088,686
Poland (Republic of) sr. unsec. bonds 5s, 2022 (Poland) 815,000 935,294
Russia (Federation of) 144A sr. unsec. notes 4 1/2s, 2022 (Russia) 450,000 378,792
Russia (Federation of) 144A sr. unsec. unsub. bonds 7 1/2s, 2030 (Russia) 278,375 281,159
Total foreign government and agency bonds and notes (cost $52,385,352) $44,389,618

ASSET-BACKED SECURITIES (3.9%)(a)
Principal amount Value
Station Place Securitization Trust 144A FRB Ser. 14-2, Class A, 1.055s, 2016 $41,911,000 $41,911,000
Total asset-backed securities (cost $41,911,000) $41,911,000

PURCHASED SWAP OPTIONS OUTSTANDING (0.6%)(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 $16,414,400 $224,549
     (2.0575)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.0575 32,828,800 30,531
     (2.1575)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.1575 32,828,800 9,849
     (2.254)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.254 32,828,800 328
     (2.354)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.354 32,828,800 33
Barclays Bank PLC
     (2.21)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.21 32,828,800 328
     (2.31)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.31 32,828,800 98
Citibank, N.A.
     2.20/3 month USD-LIBOR-BBA/May-25 May-15/2.20 32,500,100 1,170,654
     (2.245)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.245 16,414,400 164
     (2.219)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.219 16,414,400 164
     (2.319)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.319 16,414,400 33
     (2.345)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.345 16,414,400 16
Credit Suisse International
     2.25/3 month USD-LIBOR-BBA/May-25 May-15/2.25 60,364,600 2,401,911
     2.09125/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.09125 32,772,000 913,028
     2.09/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.09 32,772,000 910,078
     (2.1175)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.1175 49,243,200 18,712
     (2.2175)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.2175 49,243,200 5,417
     (2.60)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.60 74,080,700 74
Goldman Sachs International
     2.34/3 month USD-LIBOR-BBA/Mar-45 Mar-15/2.34 12,440,300 626,120
     (2.22)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.22 32,828,800 328
     (2.32)/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.32 32,828,800 328
     (2.89)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.89 12,440,300 124
     (2.94)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.94 12,440,300 12
     (3.04)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/3.04 12,440,300 12
Total purchased swap options outstanding (cost $5,536,195) $6,312,891

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/$103.07 $31,000,000 $311,240
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/102.78 32,000,000 275,840
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/100.37 32,000,000 32
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.22 12,000,000 12
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.41 12,000,000 12
Total purchased options outstanding (cost $1,719,063) $587,136

MUNICIPAL BONDS AND NOTES (0.3%)(a)
Principal amount Value
Union Cnty., Indl. Dev. VRDN (Del-Tin Fiber LLC), 0.29s, 10/1/27 $3,600,000 $3,600,000
Total municipal bonds and notes (cost $3,600,000) $3,600,000

SHORT-TERM INVESTMENTS (13.6%)(a)
Principal amount/shares Value
Agrium, Inc. commercial paper with a yield of 0.48%, February 13, 2015 $5,000,000 $4,999,200
Amphenol Corp. commercial paper with an effective yield of 0.35%, March 4, 2015 3,191,000 3,189,936
Bacardi USA, Inc. 144A commercial paper with an effective yield of 0.46%, February 4, 2015 4,000,000 3,999,840
BorgWarner, Inc. commercial paper with a yield of 0.40%, February 4, 2015 5,000,000 4,999,833
Cabot Corp. commercial paper with an effective yield of 0.43%, February 17, 2015 5,000,000 4,999,000
Cabot Corp. commercial paper with a yield of 0.38%, February 2, 2015 5,000,000 4,999,947
Canadian Natural Resources, Ltd. commercial paper with a yield of 0.49%, February 24, 2015 4,000,000 3,998,748
Canadian Pacific Railway Co. commercial paper with a yield of 0.52%, February 5, 2015 1,000,000 999,939
Experian Finance PLC commercial paper with a yield of 0.47%, March 27, 2015 5,000,000 4,996,475
FMC Corp. commercial paper with an effective yield of 0.47%, February 4, 2015 5,000,000 4,999,796
GATX Corp. commercial paper with an effective yield of 0.26%, February 2, 2015 5,000,000 4,999,951
Intensa Sanpaolo SpA/New York, NY certificates of deposit, 1.65%, April 7, 2015 2,000,000 2,003,259
KCP&L Greater Missouri Operations Co. commercial paper with a yield of 0.35%, February 2, 2015 5,000,000 4,999,951
Marriott International, Inc./Maryland commercial paper with a yield of 0.45%, March 9, 2015 5,000,000 4,997,750
Putnam Short Term Investment Fund 0.10%(AFF) Shares 36,416,780 36,416,780
SSgA Prime Money Market Fund Class N 0.01%(P) Shares 3,260,000 3,260,000
Starwood Hotels and Resorts Worldwide, Inc. commercial paper with a yield of 0.37%, February 4, 2015 $6,000,000 5,999,815
Time Warner Cable, Inc. commercial paper with a yield of 0.50%, March 4, 2015 5,000,000 4,997,847
U.S. Treasury Bills with an effective yield of 0.09%, June 11, 2015(SEG) $185,000 184,988
U.S. Treasury Bills with an effective yield of 0.02%, April 23, 2015(SEG)(SEGSF)(SEGCCS) 6,640,000 6,639,887
U.S. Treasury Bills with an effective yield of 0.03%, April 16, 2015(SEG)(SEGSF)(SEGCCS) 8,975,000 8,974,865
U.S. Treasury Bills with an effective yield of 0.03%, April 9, 2015(SEGCCS) 560,000 559,995
U.S. Treasury Bills with an effective yield of 0.01%, April 2, 2015(SEGSF) 325,000 324,996
U.S. Treasury Bills with an effective yield of 0.01%, February 12, 2015(SEGCCS) 3,197,000 3,196,993
U.S. Treasury Bills with an effective yield of 0.01%, February 5, 2015(SEG)(SEGSF)(SEGCCS) 4,853,000 4,852,992
Whirlpool Corp. commercial paper with a yield of 0.40%, February 6, 2015 5,000,000 4,999,722
Williams Partners LP commercial paper with a yield of 0.46%, February 17, 2015 5,000,000 4,998,978
Total short-term investments (cost $144,589,763) $144,591,483

TOTAL INVESTMENTS
Total investments (cost $1,513,399,438)(b) $1,517,606,469













FORWARD CURRENCY CONTRACTS at 1/31/15 (aggregate face value $294,430,931) (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 $1,904,794 $1,969,157 $64,363
British Pound Buy 3/18/15 2,677,253 2,690,965 (13,712)
Canadian Dollar Sell 4/15/15 4,050,424 4,294,107 243,683
Chinese Yuan (Offshore) Sell 2/13/15 2,679,556 2,654,603 (24,953)
Euro Sell 3/18/15 3,583,335 3,740,349 157,014
Norwegian Krone Sell 3/18/15 2,593,060 2,576,570 (16,490)
South Korean Won Buy 2/13/15 2,801,093 2,761,580 39,513
South Korean Won Sell 2/13/15 2,801,093 2,803,749 2,656
Barclays Bank PLC
Australian Dollar Sell 4/15/15 1,107,894 1,135,400 27,506
Canadian Dollar Sell 4/15/15 3,711,395 3,959,586 248,191
Chinese Yuan (Offshore) Buy 2/13/15 2,669,672 2,767,883 (98,211)
Euro Sell 3/18/15 2,380,789 2,459,382 78,593
Japanese Yen Sell 2/13/15 1,274,107 1,326,159 52,052
Mexican Peso Buy 4/15/15 2,611,386 2,648,983 (37,597)
New Zealand Dollar Buy 4/15/15 1,351,652 1,355,405 (3,753)
South Korean Won Buy 2/13/15 2,729,187 2,703,356 25,831
South Korean Won Sell 2/13/15 2,729,187 2,732,550 3,363
Swiss Franc Sell 3/18/15 788,712 499,203 (289,509)
Citibank, N.A.
Canadian Dollar Sell 4/15/15 1,549,298 1,640,141 90,843
Euro Sell 3/18/15 11,607,321 12,408,132 800,811
Japanese Yen Sell 2/13/15 940,394 1,013,803 73,409
Mexican Peso Buy 4/15/15 2,697,498 2,636,571 60,927
New Zealand Dollar Buy 4/15/15 3,773,599 3,981,447 (207,848)
New Zealand Dollar Sell 4/15/15 3,765,000 4,005,397 240,397
Norwegian Krone Sell 3/18/15 2,220,472 2,474,644 254,172
Philippine Peso Buy 5/20/15 1,334,323 1,339,168 (4,845)
Swiss Franc Sell 3/18/15 2,834,605 2,686,932 (147,673)
Credit Suisse International
Australian Dollar Sell 4/15/15 1,260,563 1,304,836 44,273
British Pound Buy 3/18/15 242,881 328,873 (85,992)
Canadian Dollar Sell 4/15/15 3,418,046 3,517,088 99,042
Euro Sell 3/18/15 1,446,380 2,033,868 587,488
Indian Rupee Buy 2/13/15 5,204,622 5,186,130 18,492
Japanese Yen Buy 2/13/15 2,767,797 2,753,164 14,633
Japanese Yen Sell 2/13/15 2,767,797 2,736,780 (31,017)
New Zealand Dollar Buy 4/15/15 2,553,160 2,694,052 (140,892)
Norwegian Krone Sell 3/18/15 2,124,326 2,447,774 323,448
Singapore Dollar Sell 2/13/15 103,906 83,326 (20,580)
Swedish Krona Buy 3/18/15 1,253,898 1,362,272 (108,374)
Swedish Krona Sell 3/18/15 1,335,545 1,335,847 302
Swiss Franc Buy 3/18/15 2,612,377 2,758,142 (145,765)
Swiss Franc Sell 3/18/15 2,834,605 2,687,048 (147,557)
Deutsche Bank AG
Australian Dollar Sell 4/15/15 1,043,805 1,080,295 36,490
British Pound Buy 3/18/15 2,160,775 2,186,732 (25,957)
Canadian Dollar Sell 4/15/15 4,492,845 4,785,778 292,933
Euro Sell 3/18/15 3,981,132 4,554,080 572,948
New Zealand Dollar Buy 4/15/15 3,795,419 3,910,247 (114,828)
Norwegian Krone Buy 3/18/15 269,357 24,729 244,628
Polish Zloty Buy 3/18/15 1,664,657 1,804,343 (139,686)
Swedish Krona Buy 3/18/15 1,303,275 1,363,911 (60,636)
Turkish Lira Buy 3/18/15 2,492,750 2,765,613 (272,863)
Goldman Sachs International
Australian Dollar Sell 4/15/15 1,507,313 1,560,260 52,947
British Pound Buy 3/18/15 1,315,438 1,343,553 (28,115)
Canadian Dollar Sell 4/15/15 3,482,519 3,624,701 142,182
Euro Sell 3/18/15 7,448,938 8,406,282 957,344
Japanese Yen Buy 2/13/15 2,826,430 2,820,726 5,704
Japanese Yen Sell 2/13/15 2,826,430 2,828,375 1,945
New Zealand Dollar Buy 4/15/15 1,443,053 1,524,277 (81,224)
Norwegian Krone Sell 3/18/15 749,957 757,335 7,378
Swedish Krona Sell 3/18/15 1,233,042 1,336,022 102,980
HSBC Bank USA, National Association
Australian Dollar Sell 4/15/15 1,097,742 1,136,104 38,362
British Pound Buy 3/18/15 1,530,762 1,590,140 (59,378)
Canadian Dollar Sell 4/15/15 3,640,239 3,786,400 146,161
Chinese Yuan (Offshore) Buy 2/13/15 2,687,264 2,743,049 (55,785)
Euro Sell 3/18/15 4,520,571 4,802,446 281,875
Japanese Yen Sell 2/13/15 627,190 677,717 50,527
New Zealand Dollar Buy 4/15/15 1,268,343 1,338,220 (69,877)
Swedish Krona Buy 3/18/15 191,440 228,384 (36,944)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 4/15/15 1,228,790 1,240,381 11,591
British Pound Buy 3/18/15 2,101,749 2,149,012 (47,263)
Canadian Dollar Sell 4/15/15 5,848,883 6,174,547 325,664
Euro Buy 3/18/15 590,308 695,194 (104,886)
Indian Rupee Buy 2/13/15 2,621,660 2,561,582 60,078
Japanese Yen Buy 2/13/15 2,768,960 2,742,295 26,665
Japanese Yen Sell 2/13/15 2,768,960 2,738,004 (30,956)
Malaysian Ringgit Sell 2/13/15 2,458,871 2,660,567 201,696
Mexican Peso Buy 4/15/15 2,573,428 2,560,736 12,692
New Taiwan Dollar Sell 2/13/15 72,531 153,118 80,587
New Zealand Dollar Buy 4/15/15 301,732 323,354 (21,622)
Norwegian Krone Sell 3/18/15 2,143,758 2,508,492 364,734
Philippine Peso Buy 5/20/15 1,334,321 1,339,470 (5,149)
Singapore Dollar Sell 2/13/15 2,645,773 2,743,477 97,704
Swedish Krona Sell 3/18/15 946,801 931,555 (15,246)
Swiss Franc Sell 3/18/15 2,200,885 1,930,160 (270,725)
Royal Bank of Scotland PLC (The)
Australian Dollar Sell 4/15/15 2,951,311 2,952,317 1,006
British Pound Buy 3/18/15 1,301,284 1,359,711 (58,427)
Canadian Dollar Sell 4/15/15 2,427,848 2,616,454 188,606
Euro Sell 3/18/15 1,154,842 1,352,940 198,098
New Zealand Dollar Buy 4/15/15 2,515,516 2,651,824 (136,308)
Norwegian Krone Sell 3/18/15 1,631,392 1,825,924 194,532
Singapore Dollar Sell 2/13/15 5,307,953 5,454,466 146,513
Swedish Krona Sell 3/18/15 1,339,813 1,318,753 (21,060)
State Street Bank and Trust Co.
Australian Dollar Sell 4/15/15 1,926,493 1,964,801 38,308
British Pound Buy 3/18/15 3,362,076 3,358,279 3,797
Canadian Dollar Sell 4/15/15 3,433,378 3,564,248 130,870
Chinese Yuan (Offshore) Sell 2/13/15 2,669,529 2,670,206 677
Euro Sell 3/18/15 520,900 434,355 (86,545)
Hungarian Forint Sell 3/18/15 2,653,111 2,680,364 27,253
Israeli Shekel Sell 4/15/15 2,614,134 2,599,750 (14,384)
Japanese Yen Sell 2/13/15 1,354,327 1,362,375 8,048
Malaysian Ringgit Sell 2/13/15 2,595,077 2,705,306 110,229
New Taiwan Dollar Buy 2/13/15 72,531 75,057 (2,526)
New Zealand Dollar Buy 4/15/15 110,909 54,334 56,575
Norwegian Krone Sell 3/18/15 1,251,475 1,370,874 119,399
Singapore Dollar Sell 2/13/15 2,678,882 2,680,564 1,682
Swedish Krona Sell 3/18/15 477,789 371,539 (106,250)
Swiss Franc Sell 3/18/15 3,892,479 3,539,657 (352,822)
Turkish Lira Buy 3/18/15 5,104,188 5,460,029 (355,841)
UBS AG
Australian Dollar Sell 4/15/15 1,625,264 1,682,351 57,087
British Pound Buy 3/18/15 829,526 823,409 6,117
Canadian Dollar Sell 4/15/15 3,264,572 3,513,482 248,910
Euro Sell 3/18/15 3,070,688 3,289,469 218,781
Hungarian Forint Buy 3/18/15 2,454,824 2,726,768 (271,944)
Hungarian Forint Sell 3/18/15 2,454,826 2,749,610 294,784
Japanese Yen Sell 2/13/15 1,097,342 1,081,921 (15,421)
New Zealand Dollar Buy 4/15/15 3,788,626 3,930,942 (142,316)
WestPac Banking Corp.
Australian Dollar Sell 4/15/15 1,507,314 1,560,483 53,169
Canadian Dollar Buy 4/15/15 440,534 440,837 (303)
Euro Sell 3/18/15 8,219,436 9,090,555 871,119
Japanese Yen Buy 2/13/15 143,072 147,707 (4,635)
Japanese Yen Sell 2/13/15 143,072 142,684 (388)
New Zealand Dollar Buy 4/15/15 3,588,123 3,785,855 (197,732)
South Korean Won Buy 2/13/15 130,910 114,646 16,264
Total $5,925,831












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


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bobl 5 yr (Short) 217 $32,095,528             Mar-15 $(270,295)
Euro-Bund 10 yr (Long) 146 26,296,155             Mar-15 788,112
Euro-Buxl 30 yr (Short) 22 4,186,423             Mar-15 (510,189)
U.S. Treasury Bond 30 yr (Long) 54 8,169,188             Mar-15 118,257
U.S. Treasury Bond Ultra 30 yr (Short) 6 1,073,625             Mar-15 (127,418)
U.S. Treasury Note 2 yr (Short) 26 5,713,906             Mar-15 (7,362)
U.S. Treasury Note 5 yr (Short) 71 8,615,406             Mar-15 (52,213)
U.S. Treasury Note 10 yr (Long) 101 13,218,375             Mar-15 18,355
Total $(42,753)












WRITTEN SWAP OPTIONS OUTSTANDING at 1/31/15 (premiums $6,119,204) (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        $32,828,800 $2,298
1.9575/3 month USD-LIBOR-BBA/Feb-25 Feb-15/1.9575        32,828,800 80,759
1.66/3 month USD-LIBOR-BBA/Jul-20 Jul-15/1.66        32,828,800 258,034

Barclays Bank PLC
2.11/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.11        32,828,800 2,955

Citibank, N.A.
2.145/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.145        16,414,400 821
2.119/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.119        16,414,400 1,313

Credit Suisse International
2.0175/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.0175        49,243,200 58,599
(1.80)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.80        32,772,000 393,919
(1.80125)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.80125        32,772,000 395,558
(1.94)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.94        32,772,000 606,937
(1.94125)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.94125        32,772,000 609,231

Goldman Sachs International
2.84/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.84        12,440,300 12
2.12/3 month USD-LIBOR-BBA/Feb-25 Feb-15/2.12        32,828,800 2,626
(2.095)/3 month USD-LIBOR-BBA/Mar-45 Mar-15/2.095        12,440,300 262,117
(2.2175)/3 month USD-LIBOR-BBA/Mar-45 Mar-15/2.2175        12,440,300 414,884
(2.49)/3 month USD-LIBOR-BBA/Feb-45 Feb-15/2.49        12,440,300 901,797

JPMorgan Chase Bank N.A.
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        10,748,000 1,770,306
Total $5,762,166












WRITTEN OPTIONS OUTSTANDING at 1/31/15 (premiums $1,688,906) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/$102.07        $31,000,000 $179,180
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/101.78        32,000,000 156,160
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/101.07        31,000,000 97,960
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/100.78        32,000,000 84,480
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.48        32,000,000 32
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/99.42        32,000,000 32
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.53        12,000,000 12
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/97.66        12,000,000 12
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/97.47        12,000,000 12
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Feb-15/98.34        12,000,000 12
Total $517,892













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

Goldman Sachs International
     (2.82)/3 month USD-LIBOR-BBA/Jan-46 (Purchased) Jan-16/2.82 $12,440,300 $(373,209) $(23,014)
     (1.885)/3 month USD-LIBOR-BBA/Jan-46 (Written) Jan-16/1.885 12,440,300 373,209 (84,221)

JPMorgan Chase Bank N.A.
     (2.0975)/3 month USD-LIBOR-BBA/Feb-25 (Purchased) Feb-15/2.0975 24,622,000 (72,019) (71,404)
     (1.7975)/3 month USD-LIBOR-BBA/Feb-25 (Written) Feb-15/1.7975 24,622,000 72,019 (14,773)
Total $— $(193,412)












TBA SALE COMMITMENTS OUTSTANDING at 1/31/15 (proceeds receivable $235,251,523) (Unaudited)


Principal       Settlement
Agency amount       date Value
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 9,000,000       2/12/15 9,766,406
Federal National Mortgage Association, 4s, March 1, 2045 12,000,000       3/12/15 12,826,440
Federal National Mortgage Association, 4s, February 1, 2045 8,000,000       2/12/15 8,566,875
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 36,000,000       2/12/15 38,030,623
Federal National Mortgage Association, 3s, February 1, 2045 136,000,000       2/12/15 140,621,878
Government National Mortgage Association, 4s, February 1, 2045 2,000,000       2/19/15 2,132,969
Total $236,665,933















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/15 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty/ premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Bank of America N.A.
CAD 13,428,000 $—      1/12/20 3 month CAD-BA-CDOR 1.62% $270,658
Citibank, N.A.
AUD 14,292,000 (E) —      7/31/24 4.5175% 6 month AUD-BBR-BBSW (688,007)
AUD 2,681,000 (E) —      8/6/24 4.63% 6 month AUD-BBR-BBSW (138,608)
AUD 19,692,000 (E) —      10/16/24 6 month AUD-BBR-BBSW 4.232% 743,945
AUD 11,710,000 —      12/05/24 6 month AUD-BBR-BBSW 3.4525% 589,628
AUD 2,907,000 —      12/05/24 6 month AUD-BBR-BBSW 3.4575% 147,389
Credit Suisse International
AUD 8,070,000 (E) —      10/16/24 6 month AUD-BBR-BBSW 4.1975% 295,893
CAD 13,272,000 —      1/12/20 3 month CAD-BA-CDOR 1.62% 267,514
NOK 20,760,000 —      11/06/24 6 month NOK-NIBOR-NIBR 2.29% 159,477
SEK 41,793,000 —      11/11/19 0.78% 3 month SEK-STIBOR-SIDE (92,889)
SEK 21,677,000 —      11/11/24 3 month SEK-STIBOR-SIDE 1.49% 140,829
Deutsche Bank AG
NOK 20,760,000 —      11/06/24 6 month NOK-NIBOR-NIBR 2.29% 159,477
PLN 17,860,000 —      3/17/24 4.1072% 6 month PLN-WIBOR-WIBO (1,103,076)
PLN 8,905,000 —      3/18/24 4.12875% 6 month PLN-WIBOR-WIBO (554,847)
PLN 7,747,000 —      3/27/24 4.045% 6 month PLN-WIBOR-WIBO (475,537)
ZAR 33,758,000 —      1/26/25 3 month ZAR-JIBAR-SAFEX 7.09% 11,115
ZAR 22,505,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.08% 6,268
Goldman Sachs International
AUD 3,873,000 (E) —      8/6/24 4.525% 6 month AUD-BBR-BBSW (187,029)
KRW 6,202,000,000 —      10/30/19 3 month KRW-CD-KSDA-BLOOMBERG 2.2875% 84,184
KRW 9,557,000,000 —      11/05/19 3 month KRW-CD-KSDA-BLOOMBERG 2.165% 81,876
KRW 3,045,000,000 —      11/06/19 3 month KRW-CD-KSDA-BLOOMBERG 2.17% 26,731
NOK 5,581,000 —      12/31/24 6 month NOK-NIBOR-NIBR 1.955% 19,742
NZD 1,804,000 —      10/31/24 3 month NZD-BBR-FRA 4.425% 101,098
NZD 2,255,000 —      10/31/24 3 month NZD-BBR-FRA 4.42% 125,677
NZD 2,255,000 —      11/3/24 3 month NZD-BBR-FRA 4.415% 108,637
SEK 44,055,000 —      11/10/19 0.775% 3 month SEK-STIBOR-SIDE (97,334)
SEK 22,373,000 —      11/10/24 3 month SEK-STIBOR-SIDE 1.4775% 142,170
JPMorgan Chase Bank N.A.
AUD 7,192,000 (E) —      8/6/24 4.5175% 6 month AUD-BBR-BBSW (345,552)
CAD 13,695,000 —      1/12/20 3 month CAD-BA-CDOR 1.63% 281,339
CAD 6,048,000 —      1/16/25 3 month CAD-BA-CDOR 1.99% 138,343
CAD 6,048,000 —      1/16/25 3 month CAD-BA-CDOR 2.00% 142,886
KRW 6,202,000,000 —      11/06/19 3 month KRW-CD-KSDA-BLOOMBERG 2.165% 53,090
KRW 3,045,000,000 —      11/3/19 3 month KRW-CD-KSDA-BLOOMBERG 2.245% 36,726
KRW 3,045,000,000 —      11/04/19 3 month KRW-CD-KSDA-BLOOMBERG 2.195% 30,057
MXN 35,667,000 —      7/24/29 1 month MXN-TIIE-BANXICO 6.565% 203,120
NZD 2,650,000 —      11/4/24 3 month NZD-BBR-FRA 4.38% 121,868
SEK 41,236,000 —      11/10/19 0.78% 3 month SEK-STIBOR-SIDE (93,084)
SEK 21,454,000 —      11/10/24 3 month SEK-STIBOR-SIDE 1.485% 138,241
SEK 21,454,000 —      11/11/24 3 month SEK-STIBOR-SIDE 1.485% 138,108
SEK 41,236,000 —      11/11/19 0.775% 3 month SEK-STIBOR-SIDE (91,676)
ZAR 23,349,000 —      1/22/25 3 month ZAR-JIBAR-SAFEX 7.14% 15,333
ZAR 70,047,000 —      1/23/25 3 month ZAR-JIBAR-SAFEX 7.0633% 12,204
Total$—     $925,984
(E)   Extended effective date.













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)
$24,880,600 $71,825      1/6/25 2.28% 3 month USD-LIBOR-BBA $(1,052,274)
24,880,600 308,191      1/6/25 2.53% 3 month USD-LIBOR-BBA (1,398,577)
591,835,000 (E) 2,765,636      3/18/17 1.25% 3 month USD-LIBOR-BBA (2,798,795)
212,749,000 (E) 3,851,036      3/18/20 2.25% 3 month USD-LIBOR-BBA (4,934,221)
219,344,000 (E) 16,715,302      3/18/25 3.00% 3 month USD-LIBOR-BBA (7,028,031)
14,889,000 (E) (2,393,427)     3/18/45 3 month USD-LIBOR-BBA 3.50% 2,099,821
97,768,000 (E) (543)     12/16/17 1.897% 3 month USD-LIBOR-BBA (1,301,737)
49,031,000 (E) (272)     12/16/17 1.86625% 3 month USD-LIBOR-BBA (622,966)
66,877,000 (E) (371)     12/16/17 1.905% 3 month USD-LIBOR-BBA (901,004)
16,296,000 (E) (90)     12/16/17 1.8625% 3 month USD-LIBOR-BBA (205,844)
55,360,000 (E) (307)     12/16/17 3 month USD-LIBOR-BBA 1.80% 630,132
39,156,000 (E) (315)     12/16/18 2.34% 3 month USD-LIBOR-BBA (1,068,178)
29,367,000 (E) (236)     12/16/18 2.3795% 3 month USD-LIBOR-BBA (835,287)
10,107,000 (41)     12/19/19 1.742% 3 month USD-LIBOR-BBA (212,889)
34,388,000 (454)     1/9/25 3 month USD-LIBOR-BBA 2.07875% 899,112
26,438,000 26,089      1/16/25 3 month USD-LIBOR-BBA 2.12% 809,014
60,326,000 (486)     1/12/20 3 month USD-LIBOR-BBA 1.6457% 912,157
24,375,075 (1,947)     1/23/25 3 month USD-LIBOR-BBA 2.14% 755,442
5,412,000 (E) (30)     12/16/17 3 month USD-LIBOR-BBA 1.924% 74,888
9,789,000 (E) (79)     12/16/18 2.337% 3 month USD-LIBOR-BBA (266,183)
17,913,000 (E) (144)     12/16/18 2.0025% 3 month USD-LIBOR-BBA (310,684)
31,154,000 (E) (13,582)     12/16/18 1.9525% 3 month USD-LIBOR-BBA (507,810)
35,450,500 (E) (397)     10/22/24 3 month USD-LIBOR-BBA 3.14875% 1,362,533
35,450,500 (E) (397)     10/22/24 3 month USD-LIBOR-BBA 3.145% 1,356,542
14,619,000 (E) 1,113,375      3/18/25 2.90% 3 month USD-LIBOR-BBA (332,590)
12,735,000 (103)     12/19/19 1.7285% 3 month USD-LIBOR-BBA (259,893)
10,107,000 (41)     12/19/19 1.734% 3 month USD-LIBOR-BBA (208,934)
22,595,300 (298)     1/22/25 3 month USD-LIBOR-BBA 2.09% 597,374
6,732,000 (89)     1/9/25 3 month USD-LIBOR-BBA 2.081% 177,432
90,973,000 (732)     1/9/20 1.62% 3 month USD-LIBOR-BBA (1,277,442)
62,663,235 (827)     1/14/25 3 month USD-LIBOR-BBA 2.10% 1,744,799
44,785,080 (322)     1/15/25 3 month USD-LIBOR-BBA 2.09% 1,202,931
26,438,000 (349)     1/22/25 3 month USD-LIBOR-BBA 2.095% 711,347
127,770,000 (E) (709)     12/20/19 2.315% 3 month USD-LIBOR-BBA (1,021,464)
31,777,000 (419)     1/12/25 2.14412% 3 month USD-LIBOR-BBA (1,020,574)
60,326,000 (486)     1/12/20 3 month USD-LIBOR-BBA 1.65338% 934,782
31,774,000 (419)     1/12/25 2.1372% 3 month USD-LIBOR-BBA (999,868)
31,775,000 (419)     1/12/25 2.142% 3 month USD-LIBOR-BBA (1,014,215)
60,326,000 (486)     1/12/20 3 month USD-LIBOR-BBA 1.648% 918,926
31,774,000 (419)     1/12/25 2.14055% 3 month USD-LIBOR-BBA (1,009,837)
60,326,000 (486)     1/12/20 3 month USD-LIBOR-BBA 1.6464% 914,230
31,773,000 (419)     1/12/25 2.138% 3 month USD-LIBOR-BBA (1,002,233)
60,326,000 (486)     1/12/20 3 month USD-LIBOR-BBA 1.64084% 897,825
780,000 (27)     1/27/45 2.326% 3 month USD-LIBOR-BBA (26,240)
12,311,000 (163)     1/20/25 3 month USD-LIBOR-BBA 1.949% 164,435
12,236,000 (162)     1/20/25 1.875% 3 month USD-LIBOR-BBA (78,868)
4,880,000 (18)     1/22/17 3 month USD-LIBOR-BBA 0.73125% 3,566
43,765,000 (352)     1/22/20 1.45125% 3 month USD-LIBOR-BBA (224,889)
3,810,000 (50)     1/22/25 1.921% 3 month USD-LIBOR-BBA (40,554)
2,203,000 (75)     1/22/45 2.31125% 3 month USD-LIBOR-BBA (67,193)
5,385,000 (71)     1/22/25 1.92125% 3 month USD-LIBOR-BBA (57,443)
13,711,000 (110)     1/23/20 1.4975% 3 month USD-LIBOR-BBA (100,742)
19,040,000 (153)     1/26/20 1.517% 3 month USD-LIBOR-BBA (154,968)
4,169,000 (142)     1/26/45 3 month USD-LIBOR-BBA 2.384% 196,153
9,780,000 (129)     1/27/25 3 month USD-LIBOR-BBA 1.9625% 139,094
9,780,000 (129)     1/27/25 3 month USD-LIBOR-BBA 1.963% 139,554
2,616,000 (35)     1/27/25 1.968% 3 month USD-LIBOR-BBA (38,623)
28,199,000 (372)     1/27/25 3 month USD-LIBOR-BBA 1.95475% 380,614
6,618,000 (E) (225)     2/2/46 3 month USD-LIBOR-BBA 2.335% 107,576
12,617,000 (167)     2/3/25 3 month USD-LIBOR-BBA 1.791% (27,924)
EUR 16,793,000 (E) (312,699)     3/18/20 6 month EUR-EURIBOR-REUTERS 0.75% 98,551
EUR 160,000 (E) (10,131)     3/18/25 6 month EUR-EURIBOR-REUTERS 1.50% 4,177
EUR 1,000 (E) 197      3/18/45 2.25% 6 month EUR-EURIBOR-REUTERS (115)
EUR 26,538,000 (E) (379)     10/22/24 1.75% 6 month EUR-EURIBOR-REUTERS (1,057,844)
EUR 26,538,000 (E) (380)     10/22/24 1.757% 6 month EUR-EURIBOR-REUTERS (1,068,130)
GBP 31,006,000 (E) 864,410      3/18/17 2.00% 6 month GBP-LIBOR-BBA (185,620)
GBP 26,283,000 (E) (1,717,488)     3/18/20 6 month GBP-LIBOR-BBA 2.50% 790,812
GBP 21,939,000 (E) 3,436,469      3/18/25 3.00% 6 month GBP-LIBOR-BBA (1,388,460)
GBP 6,300,000 (E) (1,802,918)     3/18/45 6 month GBP-LIBOR-BBA 3.25% 1,646,747
GBP 34,160,000 (E) (194)     1/12/17 0.89875% 3 month GBP-LIBOR-BBA (21,135)
GBP 29,527,000 (E) (168)     1/12/17 0.8945% 3 month GBP-LIBOR-BBA (16,400)
JPY 58,423,000 (20)     3/24/44 6 month JPY-LIBOR-BBA 1.80% 69,611
JPY 114,399,000 (38)     3/24/44 6 month JPY-LIBOR-BBA 1.79625% 135,342
JPY 3,191,100,000 (125)     3/14/19 6 month JPY-LIBOR-BBA 0.3175% 161,557
JPY 698,200,000 (122)     3/14/44 1.795% 6 month JPY-LIBOR-BBA (826,615)
JPY 56,638,000 (10)     3/24/44 6 month JPY-LIBOR-BBA 1.80125% 67,653
JPY 65,000,000 (20)     11/07/44 6 month JPY-LIBOR-BBA 1.5025% 32,308
JPY 384,000,000 (115)     11/07/44 6 month JPY-LIBOR-BBA 1.495% 184,308
JPY 2,006,000,000 (143)     11/07/19 0.2475% 6 month JPY-LIBOR-BBA (32,297)
JPY 1,185,100,000 (84)     11/07/19 0.25% 6 month JPY-LIBOR-BBA (20,341)
JPY 19,740,000 (6)     11/07/44 6 month JPY-LIBOR-BBA 1.4975% 9,587
$22,595,300 (298)     1/9/25 3 month USD-LIBOR-BBA 2.07% 572,265
Total$22,884,185     $(15,122,734)
(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.
$979,454 $—      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools $(23,096)
Barclays Bank PLC
739,344 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,915
171,668 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 704
2,902,729 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 11,591
2,401,297 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (65,513)
5,108,052 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 20,138
4,692,175 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 17,031
14,300,794 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (49,770)
6,424,402 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 23,318
2,381,613 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,644
1,590,673 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 4,692
1,190,807 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,322
1,464,112 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (12,321)
12,413,176 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (43,201)
15,444,762 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 56,059
4,770,270 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 14,070
557,553 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (13,555)
283,925 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (1,516)
819,275 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,974
2,381,613 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,644
9,078,428 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (31,595)
8,461,029 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 24,956
5,239,318 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (18,234)
15,394,495 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (407,963)
1,820,309 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (48,239)
1,267,608 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 5,062
912,553 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,598
5,875,415 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 23,461
26,381,131 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 95,754
6,523,239 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 23,677
329,853 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,197
647,929 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,554
2,101,225 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,284
1,523,328 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 6,005
12,347,454 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (42,972)
4,916,392 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (11,981)
1,866,341 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (3,766)
933,209 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,883)
933,209 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,883)
1,872,760 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (3,779)
4,864,026 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (9,816)
1,872,760 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (3,779)
1,019,975 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (16,929)
901,044 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,270
646,913 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (10,737)
988,613 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (5,280)
3,739,102 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (7,546)
1,200,035 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,176)
3,300,847 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (11,488)
1,417,854 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,146
Citibank, N.A.
1,328,543 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,822
1,102,687 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,002
EUR 14,700,000 —      2/21/19 (1.235%) Eurostat Eurozone HICP excluding tobacco (662,779)
EUR 7,660,000 —      2/21/24 1.69% Eurostat Eurozone HICP excluding tobacco 668,470
Credit Suisse International
$1,587,742 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 5,763
4,622,927 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (16,089)
4,481,575 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (74,383)
4,314,689 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 83,080
4,591,354 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 88,408
6,327,444 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (167,681)
9,972,351 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (165,516)
3,596,149 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (95,300)
EUR 4,280,000 —      3/27/19 (1.1913%) Eurostat Eurozone HICP excluding tobacco (184,799)
EUR 14,700,000 —      2/20/19 (1.2225%) Eurostat Eurozone HICP excluding tobacco (651,816)
EUR 7,660,000 —      2/20/24 1.68% Eurostat Eurozone HICP excluding tobacco 658,724
EUR 4,280,000 —      3/24/19 (1.1925%) Eurostat Eurozone HICP excluding tobacco (185,137)
GBP 3,620,000 —      3/20/19 3.05% GBP Non-revised UK Retail Price Index 230,747
GBP 3,620,000 —      3/25/19 3.0413% GBP Non-revised UK Retail Price Index 228,130
Deutsche Bank AG
$4,622,927 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (16,089)
Goldman Sachs International
3,606,654 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (19,262)
2,782,232 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (14,859)
9,135,879 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (76,879)
3,494,625 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (18,664)
7,758,899 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 28,162
5,959,081 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (162,577)
5,959,081 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (162,577)
4,321,050 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (15,038)
1,623,341 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,650)
1,977,616 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (46,634)
519,040 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (12,619)
122,049 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (1,027)
3,636,060 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (30,598)
5,919,504 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (20,601)
262,197 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (913)
699,218 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,433)
1,193,717 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (6,375)
3,952,526 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (21,109)
8,741,197 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (238,479)
6,557,443 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (55,181)
5,951,330 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (157,714)
5,880,997 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 113,240
JPMorgan Chase Bank N.A.
5,583,528 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (147,967)
5,951,746 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (157,725)
5,881,394 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 113,247
Total$—      $(1,840,627)











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 $11,962 $175,000 5/11/63 300 bp $11,871
  CMBX NA BBB- Index BBB-/P 22,719 377,000 5/11/63 300 bp 22,524
  CMBX NA BBB- Index BBB-/P 46,609 755,000 5/11/63 300 bp 46,219
  CMBX NA BBB- Index BBB-/P 44,403 779,000 5/11/63 300 bp 44,000
Barclays Bank PLC
  CMBX NA BBB- Index BBB-/P 69,177 624,000 5/11/63 300 bp 68,854
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 1,427 184,000 5/11/63 300 bp 1,332
  CMBX NA BBB- Index BBB-/P 19,849 259,000 5/11/63 300 bp 19,715
  CMBX NA BBB- Index BBB-/P 37,649 473,000 5/11/63 300 bp 37,405
  CMBX NA BBB- Index BBB-/P 4,084 570,000 5/11/63 300 bp 3,789
  CMBX NA BBB- Index BBB-/P 66,775 591,000 5/11/63 300 bp 66,470
  CMBX NA BBB- Index BBB-/P 39,799 605,000 5/11/63 300 bp 39,486
  CMBX NA BBB- Index BBB-/P 48,354 606,000 5/11/63 300 bp 48,040
  CMBX NA BBB- Index BBB-/P 46,921 606,000 5/11/63 300 bp 46,607
  CMBX NA BBB- Index BBB-/P 18,774 617,000 5/11/63 300 bp 18,455
  CMBX NA BBB- Index BBB-/P 10,889 618,000 5/11/63 300 bp 10,569
  CMBX NA BBB- Index BBB-/P 10,094 657,000 5/11/63 300 bp 9,755
  CMBX NA BBB- Index BBB-/P 8,092 697,000 5/11/63 300 bp 7,732
  CMBX NA BBB- Index BBB-/P 54,488 748,000 5/11/63 300 bp 54,102
  CMBX NA BBB- Index BBB-/P 4,098 899,000 5/11/63 300 bp 3,633
  CMBX NA BBB- Index BBB-/P 5,592 957,000 5/11/63 300 bp 5,097
  CMBX NA BBB- Index BBB-/P 49,531 1,207,000 5/11/63 300 bp 48,908
  CMBX NA BBB- Index BBB-/P 2,484 1,911,000 5/11/63 300 bp 1,497
  CMBX NA BBB- Index BBB-/P 6,096 345,000 1/17/47 300 bp (1,977)
  CMBX NA BBB- Index BBB-/P 13,663 559,000 1/17/47 300 bp 629
  CMBX NA BBB- Index BBB-/P 19,537 789,000 1/17/47 300 bp 1,140
  CMBX NA BBB- Index BBB-/P 37,272 1,576,000 1/17/47 300 bp 525
  CMBX NA BB Index — (5,339) 1,022,000 5/11/63 (500 bp) (1,938)
  CMBX NA BB Index — (3,001) 824,000 5/11/63 (500 bp) (259)
  CMBX NA BB Index — (11,876) 680,000 5/11/63 (500 bp) (9,613)
  CMBX NA BB Index — 8,506 550,000 5/11/63 (500 bp) 10,336
  CMBX NA BB Index — 13,969 529,000 5/11/63 (500 bp) 15,730
  CMBX NA BB Index — (3,110) 341,000 5/11/63 (500 bp) (1,976)
  CMBX NA BB Index — (2,603) 339,000 5/11/63 (500 bp) (1,475)
  CMBX NA BB Index — (3,238) 338,000 5/11/63 (500 bp) (2,113)
  CMBX NA BB Index — 3,184 308,000 5/11/63 (500 bp) 4,209
  CMBX NA BB Index — 5,499 275,000 5/11/63 (500 bp) 6,414
  CMBX NA BB Index — (13,092) 675,000 5/11/63 (500 bp) (10,846)
  CMBX NA BBB- Index BBB-/P (2,833) 297,000 5/11/63 300 bp (2,986)
  CMBX NA BBB- Index BBB-/P (1,796) 298,000 5/11/63 300 bp (1,950)
  CMBX NA BBB- Index BBB-/P (1,435) 424,000 5/11/63 300 bp (1,654)
  CMBX NA BBB- Index BBB-/P 23,451 490,000 5/11/63 300 bp 23,198
  CMBX NA BBB- Index BBB-/P (4,954) 592,000 5/11/63 300 bp (5,260)
  CMBX NA BBB- Index BBB-/P (5,951) 594,000 5/11/63 300 bp (6,257)
  CMBX NA BBB- Index BBB-/P (1,981) 594,000 5/11/63 300 bp (2,288)
  CMBX NA BBB- Index BBB-/P (1,992) 596,000 5/11/63 300 bp (2,300)
  CMBX NA BBB- Index BBB-/P 1,608 596,000 5/11/63 300 bp 1,300
  CMBX NA BBB- Index BBB-/P (5,598) 598,000 5/11/63 300 bp (5,907)
  CMBX NA BBB- Index BBB-/P 7,138 599,000 5/11/63 300 bp 6,828
  CMBX NA BBB- Index BBB-/P 5,955 599,000 5/11/63 300 bp 5,646
  CMBX NA BBB- Index BBB-/P 2,133 616,000 5/11/63 300 bp 1,815
  CMBX NA BBB- Index BBB-/P 428 617,000 5/11/63 300 bp 110
  CMBX NA BBB- Index BBB-/P 14,705 618,000 5/11/63 300 bp 14,386
  CMBX NA BBB- Index BBB-/P (11,580) 641,000 5/11/63 300 bp (11,911)
  CMBX NA BBB- Index BBB-/P 12,327 653,000 5/11/63 300 bp 11,990
  CMBX NA BBB- Index BBB-/P 14,141 653,000 5/11/63 300 bp 13,803
  CMBX NA BBB- Index BBB-/P 4,085 673,000 5/11/63 300 bp 3,737
  CMBX NA BBB- Index BBB-/P 3,327 718,000 5/11/63 300 bp 2,956
  CMBX NA BBB- Index BBB-/P 489 735,000 5/11/63 300 bp 110
  CMBX NA BBB- Index BBB-/P (8,950) 891,000 5/11/63 300 bp (9,411)
  CMBX NA BBB- Index BBB-/P 4,145 895,000 5/11/63 300 bp 3,682
  CMBX NA BBB- Index BBB-/P (24,878) 1,285,000 5/11/63 300 bp (25,542)
  CMBX NA BBB- Index BBB-/P (20,370) 1,351,000 5/11/63 300 bp (21,068)
  CMBX NA BBB- Index BBB-/P (16,648) 1,351,000 5/11/63 300 bp (17,346)
  CMBX NA BBB- Index BBB-/P 1,978 1,490,000 5/11/63 300 bp 1,208
  CMBX NA BBB- Index BBB-/P 59,500 2,432,000 5/11/63 300 bp 58,246
  CMBX NA BBB- Index BBB-/P 19,283 9,679,000 5/11/63 300 bp 14,282
Goldman Sachs International
  CMBX NA BBB- Index BBB-/P (3,548) 513,000 5/11/63 300 bp (3,813)
  CMBX NA BBB- Index BBB-/P 2,344 899,000 5/11/63 300 bp 1,880
  CMBX NA BBB- Index BBB-/P (4,332) 949,000 5/11/63 300 bp (4,822)
  CMBX NA BB Index — (5,599) 528,000 5/11/63 (500 bp) (3,842)
  CMBX NA BB Index — 495 408,000 5/11/63 (500 bp) 1,853
  CMBX NA BB Index — (3,246) 338,000 5/11/63 (500 bp) (2,121)
  CMBX NA BB Index — 6,218 275,000 5/11/63 (500 bp) 7,133
  CMBX NA BBB- Index BBB-/P (249) 93,000 5/11/63 300 bp (297)
  CMBX NA BBB- Index BBB-/P (3,240) 297,000 5/11/63 300 bp (3,393)
  CMBX NA BBB- Index BBB-/P (4,755) 592,000 5/11/63 300 bp (5,061)
  CMBX NA BBB- Index BBB-/P (5,558) 594,000 5/11/63 300 bp (5,865)
  CMBX NA BBB- Index BBB-/P (5,957) 594,000 5/11/63 300 bp (6,264)
  CMBX NA BBB- Index BBB-/P (5,957) 594,000 5/11/63 300 bp (6,264)
  CMBX NA BBB- Index BBB-/P (2,392) 596,000 5/11/63 300 bp (2,700)
  CMBX NA BBB- Index BBB-/P 3,568 598,000 5/11/63 300 bp 3,259
  CMBX NA BBB- Index BBB-/P (10,681) 641,000 5/11/63 300 bp (11,012)
  CMBX NA BBB- Index BBB-/P 7,392 647,000 5/11/63 300 bp 7,057
Total$719,467$639,991
*   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 currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
EUR Euro
GBP British Pound
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PLN Polish Zloty
SEK Swedish Krona
USD / $ United States Dollar
ZAR South African Rand
Key to holding's abbreviations
BKNT Bank Note
bp Basis Points
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
GMTN Global Medium Term Notes
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
OJSC Open Joint Stock Company
OTC Over-the-counter
PO Principal Only
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 $1,065,642,993.
(b) The aggregate identified cost on a tax basis is $1,513,924,900, resulting in gross unrealized appreciation and depreciation of $38,345,174 and $34,663,605, respectively, or net unrealized appreciation of $3,681,569.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(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 Short Term Investment Fund, which is 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 Short Term Investment Fund* $120,097,821 $181,234,455 $264,915,496 $18,548 $36,416,780
* Management fees charged to 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.
(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 $393,036,448 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 for hedging treasury term structure risk and for 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.
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 for hedging currency exposures 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, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
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, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
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, for gaining liquid exposure to individual names, to hedge market risk and for gaining 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 $3,510,018 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 $3,241,965 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,507,935 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $— $41,911,000
Corporate bonds and notes — 258,379,724 —
Foreign government and agency bonds and notes — 44,389,618 —
Mortgage-backed securities — 454,634,143 —
Municipal bonds and notes — 3,600,000 —
Purchased options outstanding — 587,136 —
Purchased swap options outstanding — 6,312,891 —
Senior loans — 83,497,161 —
U.S. government and agency mortgage obligations — 479,128,173 —
U.S. treasury obligations — 575,140 —
Short-term investments 39,676,780 104,914,703 —
Totals by level $39,676,780 $1,436,018,689 $41,911,000



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $5,925,831 $—
Futures contracts (42,753) — —
Written options outstanding — (517,892) —
Written swap options outstanding — (5,762,166) —
Forward premium swap option contracts — (193,412) —
TBA sale commitments — (236,665,933) —
Interest rate swap contracts — (37,080,935) —
Total return swap contracts — (1,840,627) —
Credit default contracts — (79,476) —
Totals by level $(42,753) $(276,214,610) $—


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/premiums Realized 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 $— $— $— $— $— $— $41,911,000 $41,911,000
Totals: $— $— $— $— $— $— $41,911,000 $41,911,000


† Transfers during the reporting period 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 the end of the reporting period.
During the reporting period, transfers between 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.

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 $24,725 $104,201
Foreign exchange contracts 10,658,641 4,732,810
Interest rate contracts 43,346,663 81,884,421
Total $54,030,029 $86,721,432


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)$116,800,000
Purchased swap option contracts (contract amount)$629,300,000
Written TBA commitment option contracts (contract amount)$233,500,000
Written swap option contracts (contract amount)$451,900,000
Futures contracts (number of contracts)600
Forward currency contracts (contract amount)$667,600,000
OTC interest rate swap contracts (notional)$184,000,000
Centrally cleared interest rate swap contracts (notional)$2,847,000,000
OTC total return swap contracts (notional)$463,900,000
OTC credit default contracts (notional)$62,500,000
   
  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:                                  
  OTC Interest rate swap contracts*#    $270,658  $–  $–  $1,480,962  $863,713  $176,860  $690,115  $–  $1,311,315  $–  $–  $–  $–  $–    $4,793,623
  Centrally cleared interest rate swap contracts§    –  –  4,774,484  –  –  –   –   –   –   –   –   –   –   –    4,774,484
  OTC Total return swap contracts*#    –  378,066  –  677,294  1,294,852  –  141,402   –  113,247   –   –   –   –   –    2,604,861
  OTC Credit default contracts*#    –  –  –  –  19,570  –  5,155   –   –   –   –   –   –   –    24,725
  Futures contracts§    –  –  –  –  –  –   –   –   –  13,880   –   –   –   –    13,880
  Forward currency contracts#    507,229  435,536  –  1,520,559  1,087,678  1,146,999  1,270,480  516,925  1,181,411   –  728,755  496,838  825,679  940,552    10,658,641
  Forward premium swap option contracts#    –  –  –  –  –  –   –   –   –   –   –   –   –   –     –
  Purchased swap options#    265,290  426  –  1,171,031  4,249,220  –  626,924   –   –   –   –   –   –   –    6,312,891
  Purchased options#    –  –  –  –  –  –   –   –  587,136   –   –   –   –   –    587,136
                                     
  Total Assets  $1,043,177  $814,028  $4,774,484  $4,849,846  $7,515,033  $1,323,859  $2,734,076  $516,925  $3,193,109  $13,880  $728,755  $496,838  $825,679  $940,552  $29,770,241
                                     
  Liabilities:                                  
  OTC Interest rate swap contracts*#    $–  $–  $–  $826,615  $92,889  $2,133,460  $284,363  $–  $530,312  $–  $–  $–  $–  $–    $3,867,639
  Centrally cleared interest rate swap contracts§    –  –  7,293,297  –  –  –   –   –   –   –   –   –   –   –    7,293,297
  OTC Total return swap contracts*#    23,096  827,922  –  662,779  1,540,721  16,089  1,069,189   –  305,692   –   –   –   –   –    4,445,488
  OTC Credit default contracts*#    1,079  323  –  –  98,869  –  3,930   –   –   –   –   –   –   –    104,201
  Futures contracts§    –  –  –  –  –  –   –   –   –   –   –   –   –   –     –
  Forward currency contracts#    55,155  429,070  –  360,366  680,177  613,970  109,339  221,984  495,847   –  215,795  918,368  429,681  203,058    4,732,810
  Forward premium swap option contracts#    –  –  –  –  –  –  107,235   –  86,177   –   –   –   –   –    193,412
  Written swap options#    341,091  2,955  –  2,134  2,064,244  –  1,581,436   –  1,770,306   –   –   –   –   –    5,762,166
  Written options#    –  –  –  –  –  –   –   –  517,892   –   –   –   –   –    517,892
                                     
  Total Liabilities  $420,421  $1,260,270  $7,293,297  $1,851,894  $4,476,900  $2,763,519  $3,155,492  $221,984  $3,706,226   $–  $215,795  $918,368  $429,681  $203,058  $26,916,905
                                     
  Total Financial and Derivative Net Assets    $622,756  $(446,242)  $(2,518,813)  $2,997,952  $3,038,133  $(1,439,660)  $(421,416)  $294,941  $(513,117)  $13,880  $512,960  $(421,530)  $395,998  $737,494    $2,853,336
  Total collateral received (pledged)##†    $380,000  $(446,242)   $–  $2,590,000  $2,876,010  $(1,422,935)   $–  $179,206  $(513,117)   $–  $507,316   $–  $395,998   $–    
  Net amount    $242,756   $–  $(2,518,813)  $407,952  $162,123  $(16,725)  $(421,416)  $115,735   $–  $13,880  $5,644  $(421,530)   $–  $737,494    
                                     
* 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_EC3certifications.htm EX-99.CERT b_EC3certifications.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