0000928816-15-000627.txt : 20150428 0000928816-15-000627.hdr.sgml : 20150428 20150428163016 ACCESSION NUMBER: 0000928816-15-000627 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20150228 FILED AS OF DATE: 20150428 DATE AS OF CHANGE: 20150428 EFFECTIVENESS DATE: 20150428 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: 15798997 BUSINESS ADDRESS: STREET 1: ONE POST STREET 2: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6172921010 MAIL ADDRESS: STREET 1: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 0001005942 S000024277 Putnam Dynamic Risk Allocation Fund C000071723 Class A C000071724 Class B C000071725 Class C C000071726 Class M C000071727 Class R C000071728 Class Y C000118009 Class R6 C000118010 Class R5 N-Q 1 a_dynamicriskall.htm PUTNAM FUNDS TRUST a_dynamicriskall.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: November 30, 2015
Date of reporting period: February 28, 2015



Item 1. Schedule of Investments:













Putnam Dynamic Risk Allocation Fund

The fund's portfolio
2/28/15 (Unaudited)
COMMON STOCKS (40.1%)(a)
Shares Value
Basic materials (1.9%)
Aceto Corp. 373 $7,986
Airgas, Inc. 1,193 139,843
Amcor, Ltd. (Australia) 9,135 97,363
Andersons, Inc. (The) 336 14,875
Antofagasta PLC (United Kingdom) 5,808 68,736
ArcelorMittal SA (France) 7,341 80,260
Axalta Coating Systems, Ltd.(NON) 1,331 37,800
BASF SE (Germany) 1,507 144,441
Bemis Co., Inc. 2,339 114,143
BHP Billiton PLC (Australia) 3,708 92,538
BHP Billiton, Ltd. (Australia) 4,525 118,742
Boise Cascade Co.(NON) 293 10,434
Cabot Corp. 254 11,460
Cambrex Corp.(NON) 1,819 62,301
Continental Building Products, Inc.(NON) 1,350 28,161
Domtar Corp. (Canada) 412 18,622
EMS-Chemie Holding AG (Switzerland) 219 96,251
Glencore Xstrata PLC (United Kingdom) 16,966 78,644
Hitachi Metals, Ltd. (Japan) 8,000 129,042
Innophos Holdings, Inc. 301 16,895
Innospec, Inc. 402 17,756
International Flavors & Fragrances, Inc. 1,426 173,872
KapStone Paper and Packaging Corp. 931 32,082
Koninklijke Boskalis Westminster NV (Netherlands) 1,932 89,777
Kraton Performance Polymers, Inc.(NON) 406 8,193
L.B. Foster Co. Class A 262 12,843
Limoneira Co. 264 5,518
LSB Industries, Inc.(NON) 898 33,747
Matrix Service Co.(NON) 583 10,844
Minerals Technologies, Inc. 137 10,033
Newmont Mining Corp. 10,165 267,644
Nippon Paint Holdings Co., Ltd. (Japan) 4,600 159,801
NN, Inc. 1,040 28,818
OM Group, Inc. 452 13,013
PolyOne Corp. 671 26,666
Rio Tinto PLC (United Kingdom) 1,931 95,159
Royal Gold, Inc. 1,565 112,837
SBA Communications Corp. Class A(NON) 2,910 362,906
Sherwin-Williams Co. (The) 1,838 524,198
Stillwater Mining Co.(NON) 1,626 23,577
Sumitomo Metal Mining Co., Ltd. (Japan) 7,000 110,661
Syngenta AG (Switzerland) 338 119,054
ThyssenKrupp AG (Germany) 6,570 174,908
Trex Co., Inc.(NON) 351 17,673
U.S. Silica Holdings, Inc. 393 12,737
UPM-Kymmene OYJ (Finland) 6,768 127,011
Wendel SA (France) 853 103,903
Zep, Inc. 828 13,770
4,057,538
Capital goods (2.4%)
ABB, Ltd. (Switzerland) 5,969 128,039
Airbus Group NV (France) 936 57,954
Altra Industrial Motion Corp. 828 22,604
American Axle & Manufacturing Holdings, Inc.(NON) 374 9,320
Astronics Corp.(NON) 110 7,652
Atlas Copco AB Class A (Sweden) 6,327 204,070
Avery Dennison Corp. 2,164 115,882
AZZ, Inc. 237 10,765
BAE Systems PLC (United Kingdom) 18,590 152,685
Ball Corp. 3,034 217,568
Canon, Inc. (Japan) 3,700 120,436
Chase Corp. 452 19,468
Cooper-Standard Holding, Inc.(NON) 348 18,865
Douglas Dynamics, Inc. 664 14,960
Generac Holdings, Inc.(NON) 321 15,822
General Dynamics Corp. 5,661 785,634
Greenbrier Cos., Inc. (The) 461 27,093
Hyster-Yale Materials Holdings, Inc. 158 10,439
Kadant, Inc. 464 20,527
Lockheed Martin Corp. 3,938 787,797
Meritor, Inc.(NON) 1,613 23,050
Middleby Corp. (The)(NON) 189 20,149
Miller Industries, Inc. 547 12,122
Mitsubishi Electric Corp. (Japan) 15,000 176,015
MSA Safety, Inc. 197 9,964
Orbital ATK, Inc. 92 6,098
OSRAM Licht AG (Germany) 1,641 75,254
Raytheon Co. 5,462 594,102
Rockwell Collins, Inc. 2,993 266,616
Safran SA (France) 2,934 206,519
Standard Motor Products, Inc. 755 31,650
Standex International Corp. 222 16,095
Stericycle, Inc.(NON) 1,142 154,136
Stoneridge, Inc.(NON) 1,268 14,645
Tenneco, Inc.(NON) 212 12,347
THK Co., Ltd. (Japan) 4,200 101,333
Tower International, Inc.(NON) 880 23,822
TransDigm Group, Inc. 1,090 236,377
Trinity Industries, Inc. 796 26,762
Triumph Group, Inc. 347 20,747
Wabash National Corp.(NON) 2,121 31,073
Waste Management, Inc. 5,531 301,329
5,107,785
Communication services (0.9%)
ARRIS Group, Inc.(NON) 154 4,525
Aruba Networks, Inc.(NON) 296 7,344
BT Group PLC (United Kingdom) 26,824 188,716
CalAmp Corp.(NON) 869 16,641
Deutsche Telekom AG (Germany) 8,451 157,650
EchoStar Corp. Class A(NON) 675 36,686
Frontier Communications Corp. 2,818 22,488
IDT Corp. Class B 480 10,104
Inteliquent, Inc. 702 10,355
Iridium Communications, Inc.(NON) 1,200 11,496
magicJack VocalTec, Ltd. (Israel)(NON) 1,859 14,351
NeuStar, Inc. Class A(NON) 503 13,340
NTT DoCoMo, Inc. (Japan) 6,900 122,951
Orange SA (France) 7,453 135,947
Qorvo, Inc.(NON) 725 50,315
ShoreTel, Inc.(NON) 1,272 9,476
Spok Holdings, Inc. 577 10,726
Tele2 AB Class B (Sweden) 4,338 50,914
Telefonica SA (Spain) 6,842 106,388
Telenor ASA (Norway) 4,456 89,398
Telstra Corp., Ltd. (Australia) 28,558 142,069
Ubiquiti Networks, Inc. 147 4,651
Verizon Communications, Inc. 15,086 746,003
Vodafone Group PLC (United Kingdom) 20,273 70,234
2,032,768
Conglomerates (0.5%)
Danaher Corp. 8,659 755,758
Exor SpA (Italy) 1,747 77,789
Marubeni Corp. (Japan) 5,000 30,752
Siemens AG (Germany) 1,919 214,359
1,078,658
Consumer cyclicals (5.0%)
Adidas AG (Germany) 828 64,332
ANN, Inc.(NON) 627 22,516
Automatic Data Processing, Inc. 6,154 546,721
AutoZone, Inc.(NON) 741 476,226
Babcock International Group PLC (United Kingdom) 5,578 86,977
Bayerische Motoren Werke (BMW) AG (Germany) 1,072 135,557
Big Lots, Inc. 538 25,668
Brown Shoe Co., Inc. 332 9,960
Brunswick Corp. 236 12,801
Bunzl PLC (United Kingdom) 4,160 121,769
Bureau Veritas SA (France) 3,239 76,334
CaesarStone Sdot-Yam, Ltd. (Israel) 182 11,905
Carmike Cinemas, Inc.(NON) 532 16,625
Children's Place, Inc. (The) 374 21,314
Clorox Co. (The) 1,497 162,634
Compagnie Financiere Richemont SA (Switzerland) 904 79,652
Compass Group PLC (United Kingdom) 6,784 120,655
Continental AG (Germany) 1,062 253,492
Cooper Tire & Rubber Co. 1,261 47,994
Corporate Executive Board Co. (The) 126 9,854
Dana Holding Corp. 835 18,245
Deckers Outdoor Corp.(NON) 115 8,538
Deluxe Corp. 725 48,249
Denso Corp. (Japan) 1,700 79,953
Dillards, Inc. Class A 252 32,800
Discovery Communications, Inc.(NON) 5,292 161,459
Dollar General Corp.(NON) 6,982 507,033
Dollar Tree, Inc.(NON) 4,684 373,221
DSW, Inc. Class A 353 13,305
Ennis, Inc. 641 8,942
Entravision Communications Corp. Class A 4,400 30,184
Eros International PLC(NON) 452 7,670
Experian PLC (United Kingdom) 5,239 96,897
FactSet Research Systems, Inc. 716 111,374
Five Below, Inc.(NON) 264 8,378
Fuji Heavy Industries, Ltd. (Japan) 5,700 194,065
G&K Services, Inc. Class A 283 20,373
Geberit International AG (Switzerland) 336 119,689
Global Cash Access Holdings, Inc.(NON) 1,467 10,430
Green Dot Corp. Class A(NON) 458 7,104
Harley-Davidson, Inc. 4,821 306,471
Horizon Pharma PLC(NON) 566 11,620
Host Hotels & Resorts, Inc.(R) 7,299 153,279
Iconix Brand Group, Inc.(NON) 716 24,179
Interpublic Group of Cos., Inc. (The) 9,385 209,286
ITV PLC (United Kingdom) 48,903 170,099
KAR Auction Services, Inc. 753 27,462
Kohl's Corp. 1,481 109,298
Landauer, Inc. 558 21,282
Lear Corp. 384 41,825
Lions Gate Entertainment Corp. 1,138 37,087
Live Nation Entertainment, Inc.(NON) 1,260 32,243
Lumber Liquidators Holdings, Inc.(NON)(S) 189 9,802
Madison Square Garden Co. (The) Class A(NON) 1,418 111,100
Marcus Corp. 1,024 19,958
Marriott Vacations Worldwide Corp. 272 20,688
Men's Wearhouse, Inc. (The) 509 25,547
MGM China Holdings, Ltd. (Hong Kong) 36,000 83,463
Monster Worldwide, Inc.(NON) 4,547 30,556
National CineMedia, Inc. 2,003 30,526
Next PLC (United Kingdom) 2,223 257,227
NIKE, Inc. Class B 328 31,855
Nu Skin Enterprises, Inc. Class A 454 24,598
Omnicom Group, Inc. 4,385 348,783
Panasonic Corp. (Japan) 10,800 135,190
Penn National Gaming, Inc.(NON) 443 7,216
PGT, Inc.(NON) 2,264 23,025
Pitney Bowes, Inc. 655 15,176
Ralph Lauren Corp. 1,322 181,656
RE/MAX Holdings, Inc. Class A 691 22,637
Remy International, Inc. 434 9,926
Renault SA (France) 1,181 113,459
Ryman Hospitality Properties(R) 3,434 206,383
Scripps Networks Interactive Class A 2,389 172,725
SeaWorld Entertainment, Inc. 1,124 21,064
Securitas AB (Sweden) 9,032 128,595
Select Comfort Corp.(NON) 459 14,734
Shimano, Inc. (Japan) 1,400 210,932
SJM Holdings, Ltd. (Hong Kong) 34,000 49,102
Steven Madden, Ltd.(NON) 253 9,237
Suzuki Motor Corp. (Japan) 6,300 199,314
Swatch Group AG (The) (Switzerland) 162 73,833
Target Corp. 10,727 824,155
TiVo, Inc.(NON) 1,997 22,326
Toyota Motor Corp. (Japan) 4,700 317,225
Vail Resorts, Inc. 106 9,308
Valeo SA (France) 721 108,519
Vantiv, Inc. Class A(NON) 2,883 106,642
VF Corp. 5,768 442,175
Vista Outdoor, Inc.(NON) 184 8,033
Visteon Corp.(NON) 153 15,381
Wal-Mart Stores, Inc. 3,313 278,060
Walt Disney Co. (The) 7,239 753,435
10,778,592
Consumer staples (3.7%)
Altria Group, Inc. 17,371 977,814
Anheuser-Busch InBev NV (Belgium) 1,440 183,220
Avon Products, Inc. 421 3,583
Beacon Roofing Supply, Inc.(NON) 621 18,642
Bloomin' Brands, Inc.(NON) 583 15,018
Boulder Brands, Inc.(NON) 261 2,691
Bright Horizons Family Solutions, Inc.(NON) 196 9,937
British American Tobacco (BAT) PLC (United Kingdom) 2,503 146,146
Bunge, Ltd. 2,836 231,928
Cal-Maine Foods, Inc. 303 11,402
Calbee, Inc. (Japan) 4,100 155,078
Carrefour SA (France) 3,528 116,723
Chipotle Mexican Grill, Inc.(NON) 102 67,827
Church & Dwight Co., Inc. 1,759 149,761
Colgate-Palmolive Co. 9,124 646,162
Core-Mark Holding Co., Inc. 309 21,729
Costco Wholesale Corp. 5,980 878,821
Coty, Inc. Class A(NON) 1,330 30,058
Diageo PLC (United Kingdom) 3,302 98,668
Distribuidora Internacional de Alimentacion SA (Spain) 9,667 73,594
Dr. Pepper Snapple Group, Inc. 4,114 324,142
Farmer Bros Co.(NON) 262 6,348
Geo Group, Inc. (The)(R) 3,970 171,306
Grand Canyon Education, Inc.(NON) 215 9,860
GrubHub, Inc.(NON) 254 10,671
Heineken Holding NV (Netherlands) 1,746 121,472
Imperial Tobacco Group PLC (United Kingdom) 3,033 149,512
ITT Educational Services, Inc.(NON) 335 2,479
Jack in the Box, Inc. 159 15,374
Kao Corp. (Japan) 3,700 165,693
Kforce, Inc. 911 21,500
Koninklijke Ahold NV (Netherlands) 8,426 158,079
Korn/Ferry International(NON) 492 15,055
Krispy Kreme Doughnuts, Inc.(NON) 454 9,906
L'Oreal SA (France) 659 119,652
McDonald's Corp. 9,647 954,088
Nestle SA (Switzerland) 5,857 457,084
Nutraceutical International Corp.(NON) 334 5,471
On Assignment, Inc.(NON) 760 29,040
Papa John's International, Inc. 318 19,665
Philip Morris International, Inc. 3,749 311,017
Pinnacle Foods, Inc. 1,751 63,561
Popeyes Louisiana Kitchen, Inc.(NON) 362 21,724
Reckitt Benckiser Group PLC (United Kingdom) 1,164 105,307
Reynolds American, Inc. 5,412 409,255
SABMiller PLC (United Kingdom) 1,615 91,629
Sanderson Farms, Inc. 200 17,042
Shutterfly, Inc.(NON) 105 5,041
Sonic Corp. 727 23,111
SpartanNash Co. 748 19,859
TrueBlue, Inc.(NON) 1,261 29,016
Tupperware Brands Corp. 1,120 79,968
Unilever NV ADR (Netherlands) 2,650 115,357
Unilever PLC (United Kingdom) 1,990 88,051
USANA Health Sciences, Inc.(NON) 96 9,601
Woolworths, Ltd. (Australia) 2,252 53,980
8,048,718
Energy (1.9%)
AMEC PLC (United Kingdom) 6,818 92,681
BG Group PLC (United Kingdom) 5,268 77,914
BP PLC (United Kingdom) 36,798 254,540
Callon Petroleum Co.(NON) 3,331 24,383
Delek US Holdings, Inc. 532 19,833
EP Energy Corp. Class A(NON) 1,205 13,556
Exxon Mobil Corp. 17,821 1,577,871
Gulfport Energy Corp.(NON) 184 8,429
HollyFrontier Corp. 4,445 195,536
National Oilwell Varco, Inc. 8,317 452,029
Northern Oil and Gas, Inc.(NON)(S) 3,908 33,687
REX American Resources Corp.(NON) 327 17,776
Rosetta Resources, Inc.(NON) 207 3,670
Royal Dutch Shell PLC Class A (United Kingdom) 5,973 195,310
Royal Dutch Shell PLC Class B (United Kingdom) 5,442 185,298
SM Energy Co. 305 14,799
Spectra Energy Corp. 15,127 536,857
Statoil ASA (Norway) 7,208 135,866
Stone Energy Corp.(NON) 452 7,657
Total SA (France) 3,916 211,375
Triangle Petroleum Corp.(NON) 2,196 10,892
Unit Corp.(NON) 201 6,139
Vaalco Energy, Inc.(NON) 1,434 6,941
W&T Offshore, Inc. 465 2,776
Whiting Petroleum Corp.(NON) 465 15,731
Woodside Petroleum, Ltd. (Australia) 2,741 75,136
4,176,682
Financials (11.5%)
Access National Corp. 429 8,125
AG Mortgage Investment Trust, Inc.(R) 245 4,608
Ageas (Belgium) 3,415 123,035
Agree Realty Corp.(R) 401 13,165
AIA Group, Ltd. (Hong Kong) 30,400 178,663
Alexander & Baldwin, Inc. 235 9,501
Alexandria Real Estate Equities, Inc.(R) 3,747 359,375
Allianz SE (Germany) 1,154 193,191
Allied World Assurance Co. Holdings AG 771 31,187
American Campus Communities, Inc.(R) 2,407 99,337
American Capital Agency Corp.(R) 8,040 172,337
American Equity Investment Life Holding Co. 1,009 28,746
American Realty Capital Properties, Inc.(R) 5,272 51,718
Amtrust Financial Services, Inc.(S) 509 27,435
Apartment Investment & Management Co. Class A(R) 4,584 172,725
Apollo Commercial Real Estate Finance, Inc.(R) 637 10,886
Arlington Asset Investment Corp. Class A 272 6,797
ARMOUR Residential REIT, Inc.(R) 1,303 4,144
Ashford Hospitality Trust, Inc.(R) 1,628 17,338
Ashford, Inc.(NON) 20 2,760
Assicurazioni Generali SpA (Italy) 7,503 154,491
Australia & New Zealand Banking Group, Ltd. (Australia) 3,685 101,670
AvalonBay Communities, Inc.(R) 2,656 447,111
AXA SA (France) 4,311 109,462
Axis Capital Holdings, Ltd. 1,957 101,431
Banco Bilbao Vizcaya Argentaria SA (Spain) 8,936 89,798
Banco Latinoamericano de Exportaciones SA Class E (Panama) 939 29,532
Banco Santander SA (Spain) 16,637 121,629
Bank of Yokohama, Ltd. (The) (Japan) 19,000 117,905
Bankia SA (Spain)(NON) 56,749 82,429
Barclays PLC (United Kingdom) 13,664 54,194
BB&T Corp. 12,903 490,959
Berkshire Hathaway, Inc. Class B(NON) 7,760 1,143,902
BNP Paribas SA (France) 1,744 101,660
BofI Holding, Inc.(NON) 279 24,664
Boston Properties, Inc.(R) 3,282 450,980
Brixmor Property Group, Inc.(R) 8,653 219,786
Camden Property Trust(R) 2,826 205,705
Capital One Financial Corp. 10,018 788,517
Cardinal Financial Corp. 864 16,908
CBL & Associates Properties, Inc.(R) 556 11,131
Chubb Corp. (The) 1,451 145,753
Citizens & Northern Corp. 485 9,336
CNO Financial Group, Inc. 1,073 17,447
CNP Assurances (France) 9,338 154,812
Commonwealth Bank of Australia (Australia) 4,736 339,811
Corporate Office Properties Trust(R) 6,211 182,603
Credit Acceptance Corp.(NON) 105 19,247
Credit Agricole SA (France) 11,716 164,803
Credit Suisse Group AG (Switzerland) 2,668 65,122
Cullen/Frost Bankers, Inc. 1,221 82,784
Customers Bancorp, Inc.(NON) 1,079 23,889
CYS Investments, Inc.(R) 850 7,727
DBS Group Holdings, Ltd. (Singapore) 8,100 116,204
DDR Corp.(R) 820 15,531
Deutsche Bank AG (Germany) 2,813 92,469
Dexus Property Group (Australia)(R) 17,092 105,387
DiamondRock Hospitality Co.(R) 12,671 183,476
Digital Realty Trust, Inc.(R) 715 47,462
Duke Realty Corp.(R) 9,970 212,959
DuPont Fabros Technology, Inc.(R) 8,036 251,607
East West Bancorp, Inc. 287 11,466
Education Realty Trust, Inc.(R) 772 27,066
Employers Holdings, Inc. 1,095 25,831
Encore Capital Group, Inc.(NON) 581 23,223
EPR Properties(R) 237 14,459
Equity Commonwealth(R) 568 15,024
Equity Residential Trust(R) 6,524 502,544
Essent Group, Ltd. (Bermuda)(NON) 350 8,127
Essex Property Trust, Inc.(R) 564 125,451
Everest Re Group, Ltd. 819 145,315
Extra Space Storage, Inc.(R) 449 29,535
Farmers Capital Bank Corp.(NON) 376 8,734
FCB Financial Holdings, Inc. Class A(NON) 790 20,066
Federal Agricultural Mortgage Corp. Class C 374 11,946
Federal Realty Investment Trust(R) 433 61,499
Federated National Holding Co. 1,252 36,220
Financial Institutions, Inc. 517 11,643
First Community Bancshares Inc. 506 8,136
First Industrial Realty Trust(R) 533 11,342
First NBC Bank Holding Co.(NON) 577 18,879
FirstMerit Corp. 615 11,162
Flushing Financial Corp. 543 10,632
Gain Capital Holdings, Inc. 1,400 13,286
General Growth Properties(R) 13,284 385,369
Genworth Financial, Inc. Class A(NON) 1,989 15,415
GPT Group (Australia)(R) 31,738 116,472
Hammerson PLC (United Kingdom)(R) 7,850 81,865
Hang Seng Bank, Ltd. (Hong Kong) 7,300 133,043
Hanmi Financial Corp. 1,040 20,519
HCI Group, Inc. 549 25,979
HCP, Inc.(R) 14,169 600,199
Health Care REIT, Inc.(R) 8,216 633,536
Healthcare Realty Trust, Inc.(R) 5,703 162,764
Heartland Financial USA, Inc. 336 10,319
Heritage Financial Group, Inc. 509 13,178
Heritage Insurance Holdings, Inc.(NON) 1,266 25,193
Hersha Hospitality Trust(R) 3,393 22,767
Highwoods Properties, Inc.(R) 4,484 204,515
HSBC Holdings PLC (United Kingdom) 28,606 254,955
Insurance Australia Group, Ltd. (Australia) 28,589 136,146
Invesco Mortgage Capital, Inc.(R) 374 5,973
Investors Real Estate Trust(R) 1,202 9,207
Joyo Bank, Ltd. (The) (Japan) 19,000 102,084
KCG Holdings, Inc. Class A(NON) 1,971 24,795
Kimco Realty Corp.(R) 11,481 301,721
Legal & General Group PLC (United Kingdom) 32,615 140,736
Lexington Realty Trust(R) 2,265 24,530
Liberty Property Trust(R) 4,935 183,681
Lloyds Banking Group PLC (United Kingdom)(NON) 210,560 256,808
LTC Properties, Inc.(R) 551 24,591
Macerich Co. (The)(R) 1,125 94,106
Maiden Holdings, Ltd. (Bermuda) 869 12,435
MainSource Financial Group, Inc. 778 14,556
Medical Properties Trust, Inc.(R) 15,610 236,335
Meta Financial Group, Inc. 299 10,665
MFA Financial, Inc.(R) 1,402 11,160
Mid-America Apartment Communities, Inc.(R) 203 14,711
Mitsubishi UFJ Financial Group (MUFG), Inc. (Japan) 23,000 149,786
Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) 23,100 111,758
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 416 86,355
NASDAQ OMX Group, Inc. (The) 689 34,560
National Australia Bank, Ltd. (Australia) 3,913 115,742
National Health Investors, Inc.(R) 2,563 182,434
Nelnet, Inc. Class A 604 28,158
New Residential Investment Corp.(R) 2,373 35,856
Northern Trust Corp. 3,283 229,252
OFG Bancorp (Puerto Rico) 512 8,934
One Liberty Properties, Inc.(R) 570 13,498
Opus Bank 475 13,837
Pacific Premier Bancorp, Inc.(NON) 551 8,695
PacWest Bancorp 454 20,809
PartnerRe, Ltd. 1,027 117,592
Peoples Bancorp, Inc. 517 12,274
Performant Financial Corp.(NON) 1,762 9,251
PHH Corp.(NON) 448 10,877
PNC Financial Services Group, Inc. 7,444 684,550
Popular, Inc. (Puerto Rico)(NON) 406 14,011
Post Properties, Inc.(R) 2,900 164,923
PRA Group, Inc.(NON) 512 25,646
Prologis, Inc.(R) 10,291 439,529
Prudential PLC (United Kingdom) 4,133 103,974
Public Storage(R) 4,288 845,679
Ramco-Gershenson Properties Trust(R) 643 12,037
Realty Income Corp.(R) 1,850 92,611
Regency Centers Corp.(R) 204 13,389
Regional Management Corp.(NON) 596 9,298
RenaissanceRe Holdings, Ltd. 925 94,840
Republic Bancorp, Inc. Class A 349 8,345
Resona Holdings, Inc. (Japan) 34,900 196,210
Scentre Group (Australia)(R) 10,503 31,646
Select Income REIT(R) 450 11,111
Simon Property Group, Inc.(R) 5,337 1,015,951
Skandinaviska Enskilda Banken AB (Sweden) 9,823 123,951
SL Green Realty Corp.(R) 768 97,482
Sovran Self Storage, Inc.(R) 115 10,582
Spirit Realty Capital, Inc.(R) 14,416 176,596
Starwood Property Trust, Inc.(R) 5,329 130,028
Sumitomo Mitsui Financial Group, Inc. (Japan) 2,300 91,626
Summit Hotel Properties, Inc.(R) 1,492 19,590
Sunstone Hotel Investors, Inc.(R) 11,901 207,672
Swedbank AB Class A (Sweden) 4,735 123,245
Symetra Financial Corp. 869 19,622
Synchrony Financial(NON) 2,881 92,048
Talmer Bancorp, Inc. Class A 879 12,420
Taubman Centers, Inc.(R) 3,857 279,015
Tokyo Tatemono Co., Ltd. (Japan) 18,000 134,070
Travelers Cos., Inc. (The) 5,991 643,673
UBS Group AG (Switzerland) 6,713 117,945
UDR, Inc.(R) 1,289 41,171
UniCredit SpA (Italy) 12,656 84,197
United Community Banks, Inc. 534 10,157
United Insurance Holdings Corp. 1,425 34,784
Universal Health Realty Income Trust(R) 123 6,252
Visa, Inc. Class A 3,405 923,811
Vornado Realty Trust(R) 1,788 196,752
Washington Real Estate Investment Trust(R) 4,380 124,129
Weingarten Realty Investors(R) 5,649 204,607
Wells Fargo & Co. 24,072 1,318,905
Westfield Group (Australia) 7,417 56,792
Westpac Banking Corp. (Australia) 4,368 129,942
Wheelock and Co., Ltd. (Hong Kong) 29,000 155,467
WP Carey, Inc.(R) 287 19,682
XL Group PLC 6,227 225,417
24,844,328
Health care (5.0%)
Abbott Laboratories 15,139 717,134
ACADIA Pharmaceuticals, Inc.(NON) 406 15,416
Accuray, Inc.(NON) 1,045 9,384
Actelion, Ltd. (Switzerland) 1,648 197,238
Alere, Inc.(NON) 980 44,561
Alkermes PLC(NON) 163 11,451
AMAG Pharmaceuticals, Inc.(NON)(S) 1,324 65,181
Amedisys, Inc.(NON) 459 13,848
AmerisourceBergen Corp. 5,100 524,076
AmSurg Corp.(NON) 339 20,374
Applied Genetic Technologies Corp.(NON) 375 7,609
ARIAD Pharmaceuticals, Inc.(NON) 4,782 38,878
Astellas Pharma, Inc. (Japan) 8,900 141,618
AstraZeneca PLC (United Kingdom) 3,266 225,362
AtriCure, Inc.(NON) 474 8,380
Bayer AG (Germany) 1,977 292,142
Biospecifics Technologies Corp.(NON) 217 8,454
C.R. Bard, Inc. 1,466 247,959
Capital Senior Living Corp.(NON) 1,476 36,900
Cardinal Health, Inc. 2,408 211,880
Cardiome Pharma Corp. (Canada)(NON) 1,977 19,335
Centene Corp.(NON) 194 11,923
Chemed Corp. 404 47,058
Coloplast A/S Class B (Denmark) 2,529 201,951
Computer Programs & Systems, Inc. 88 4,629
Conatus Pharmaceuticals, Inc.(NON) 167 1,062
Conmed Corp. 404 20,725
DaVita HealthCare Partners, Inc.(NON) 3,817 284,748
DexCom, Inc.(NON) 224 13,606
Dyax Corp.(NON) 796 12,028
Dynavax Technologies Corp.(NON) 1,204 21,190
Edwards Lifesciences Corp.(NON) 2,409 320,445
Eli Lilly & Co. 11,950 838,532
Emergent BioSolutions, Inc.(NON) 660 19,780
Enanta Pharmaceuticals, Inc.(NON) 152 5,445
GlaxoSmithKline PLC (United Kingdom) 8,949 212,972
Globus Medical, Inc. Class A(NON) 513 12,456
Greatbatch, Inc.(NON) 608 32,309
Health Net, Inc./CA(NON) 322 18,467
HealthSouth Corp. 579 25,163
Hill-Rom Holdings, Inc. 550 26,356
Hisamitsu Pharmaceutical Co., Inc. (Japan) 1,700 63,511
Hyperion Therapeutics, Inc.(NON) 463 13,682
ICU Medical, Inc.(NON) 448 39,832
Impax Laboratories, Inc.(NON) 649 26,148
Indivior PLC (United Kingdom)(NON) 1,432 3,864
Inovio Pharmaceuticals, Inc.(NON) 291 2,059
Insulet Corp.(NON) 355 11,264
Insys Therapeutics, Inc.(NON) 456 27,387
Isis Pharmaceuticals, Inc.(NON) 333 22,830
Jazz Pharmaceuticals PLC(NON) 596 101,374
Johnson & Johnson 13,250 1,358,258
Kindred Healthcare, Inc. 662 14,048
Medicines Co. (The)(NON) 388 11,161
Mednax, Inc.(NON) 1,810 129,361
Merck & Co., Inc. 17,891 1,047,339
Merck KGaA (Germany) 872 89,970
Merrimack Pharmaceuticals, Inc.(NON) 1,181 12,660
MiMedx Group, Inc.(NON) 1,068 11,054
Nektar Therapeutics(NON) 791 10,338
Novartis AG (Switzerland) 2,586 264,337
Novo Nordisk A/S Class B (Denmark) 3,527 169,093
Omega Healthcare Investors, Inc.(R) 278 11,137
OraSure Technologies, Inc.(NON) 1,874 13,418
Otsuka Holdings Company, Ltd. (Japan) 3,500 104,966
Pfizer, Inc. 34,356 1,179,098
POZEN, Inc.(NON) 1,643 12,043
Prestige Brands Holdings, Inc.(NON) 488 18,808
Prothena Corp. PLC (Ireland)(NON) 897 23,842
Providence Service Corp. (The)(NON) 385 17,710
PTC Therapeutics, Inc.(NON) 145 10,343
Puma Biotechnology, Inc.(NON) 46 9,798
RadNet, Inc.(NON) 1,494 13,087
Receptos, Inc.(NON) 150 18,996
Repligen Corp.(NON) 545 14,012
Roche Holding AG-Genusschein (Switzerland) 1,074 291,552
Sanofi (France) 1,874 183,916
Select Medical Holdings Corp. 1,681 22,794
Shire PLC (United Kingdom) 1,115 90,804
Sientra, Inc.(NON) 240 4,411
Spectranetics Corp. (The)(NON) 512 17,311
STAAR Surgical Co.(NON) 846 5,804
Steris Corp. 145 9,355
Sucampo Pharmaceuticals, Inc. Class A(NON) 783 12,043
Surgical Care Affiliates, Inc.(NON) 550 17,864
Suzuken Co., Ltd. (Japan) 1,300 41,069
TESARO, Inc.(NON) 222 11,839
Threshold Pharmaceuticals, Inc.(NON) 1,294 5,655
Trevena, Inc.(NON) 642 3,460
Trinity Biotech PLC ADR (Ireland) 319 5,665
Triple-S Management Corp. Class B (Puerto Rico)(NON) 283 5,335
Ventas, Inc.(R) 3,478 259,007
West Pharmaceutical Services, Inc. 532 29,111
XenoPort, Inc.(NON) 2,136 14,632
10,896,480
Technology (4.9%)
Accenture PLC Class A 8,526 767,596
Advanced Energy Industries, Inc.(NON) 989 26,327
Analog Devices, Inc. 4,291 251,195
AOL, Inc.(NON) 635 25,743
Apple, Inc. 7,451 957,155
ASML Holding NV (Netherlands) 1,505 162,708
Aspen Technology, Inc.(NON) 310 11,968
AVG Technologies NV (Netherlands)(NON) 458 10,337
Broadcom Corp. Class A 12,063 545,609
Brother Industries, Ltd. (Japan) 7,100 119,856
CACI International, Inc. Class A(NON) 339 29,591
Cavium, Inc.(NON) 94 6,438
Ceva, Inc.(NON) 644 12,822
Cirrus Logic, Inc.(NON) 368 11,080
Cisco Systems, Inc. 37,252 1,099,307
Computer Sciences Corp. 3,249 230,419
Constant Contact, Inc.(NON) 295 12,192
Cray, Inc.(NON) 361 10,783
Cypress Semiconductor Corp.(NON) 563 8,304
eBay, Inc.(NON) 15,841 917,352
EMC Corp. 31,198 902,870
EnerSys 551 35,980
Engility Holdings, Inc. 742 26,786
Fairchild Semiconductor International, Inc.(NON) 594 10,359
FANUC Corp. (Japan) 1,100 211,247
Fidelity National Information Services, Inc. 2,895 195,673
Fiserv, Inc.(NON) 3,607 281,598
Freescale Semiconductor, Ltd.(NON) 622 22,460
FUJIFILM Holdings Corp. (Japan) 3,400 117,274
Fujitsu, Ltd. (Japan) 15,000 90,497
GenMark Diagnostics, Inc.(NON) 1,119 14,222
Gentex Corp. 6,619 116,627
Glu Mobile, Inc.(NON) 4,765 23,968
Hoya Corp. (Japan) 5,600 226,264
Integrated Silicon Solution, Inc. (ISSI) 1,601 26,320
IntraLinks Holdings, Inc.(NON) 1,383 14,342
Intuit, Inc. 5,164 504,161
Iron Mountain, Inc.(R) 5,647 207,527
L-3 Communications Holdings, Inc. 1,996 258,342
Lexmark International, Inc. Class A 275 11,732
Linear Technology Corp. 2,572 123,932
LivePerson, Inc.(NON) 470 5,421
Manhattan Associates, Inc.(NON) 321 16,002
Maxim Integrated Products, Inc. 6,440 221,504
MAXIMUS, Inc. 187 11,076
Mellanox Technologies, Ltd. (Israel)(NON) 201 9,576
Mentor Graphics Corp. 2,103 49,336
Microsemi Corp.(NON) 355 11,445
Microsoft Corp. 1,813 79,500
MobileIron, Inc.(NON) 934 8,341
Monolithic Power Systems, Inc. 184 9,702
Motorola Solutions, Inc. 813 55,235
MTS Systems Corp. 128 9,274
NetApp, Inc. 7,092 274,106
Netscout Systems, Inc.(NON) 239 9,636
NIC, Inc. 432 7,560
Nimble Storage, Inc.(NON) 336 8,487
NTT Data Corp. (Japan) 1,500 61,950
Paychex, Inc. 7,387 368,131
Perficient, Inc.(NON) 699 13,896
Plantronics, Inc. 115 5,801
Plexus Corp.(NON) 602 24,231
Power Integrations, Inc. 221 12,124
Proofpoint, Inc.(NON) 217 12,291
PROS Holdings, Inc.(NON) 335 8,197
QAD, Inc. Class A 604 12,986
QLogic Corp.(NON) 2,889 43,364
Quantum Corp.(NON) 6,541 10,662
Rovi Corp.(NON) 659 16,396
Sanmina Corp.(NON) 580 13,166
SAP AG (Germany) 874 61,461
Semtech Corp.(NON) 345 9,981
SoftBank Corp. (Japan) 2,500 154,152
SolarWinds, Inc.(NON) 593 30,083
Spansion, Inc. Class A(NON) 691 24,931
SS&C Technologies Holdings, Inc. 291 17,658
Synaptics, Inc.(NON) 537 46,155
Synchronoss Technologies, Inc.(NON) 278 12,304
SYNNEX Corp. 425 32,406
Tyler Technologies, Inc.(NON) 141 16,831
Ultimate Software Group, Inc.(NON) 84 13,830
Ultra Clean Holdings, Inc.(NON) 2,021 16,693
United Internet AG (Germany) 2,361 105,881
Veeva Systems, Inc. Class A(NON) 310 9,570
VeriFone Systems, Inc.(NON) 272 9,572
Verint Systems, Inc.(NON) 296 18,019
Xcerra Corp.(NON) 2,934 26,641
Yelp, Inc.(NON) 265 12,720
10,647,247
Transportation (0.9%)
Aegean Marine Petroleum Network, Inc. (Greece) 2,036 29,848
ANA Holdings, Inc. (Japan) 66,000 178,946
ArcBest Corp. 622 26,049
CH Robinson Worldwide, Inc. 3,351 248,979
ComfortDelgro Corp., Ltd. (Singapore) 55,200 119,064
Deutsche Post AG (Germany) 3,205 109,139
Expeditors International of Washington, Inc. 1,164 56,221
Hawaiian Holdings, Inc.(NON) 1,421 26,303
JetBlue Airways Corp.(NON) 2,527 43,439
Landstar System, Inc. 184 12,920
Matson, Inc. 205 8,091
Quality Distribution, Inc.(NON) 2,706 29,739
Saia, Inc.(NON) 549 25,270
Scorpio Tankers, Inc. 1,574 13,631
Spirit Airlines, Inc.(NON) 354 27,534
Swift Transportation Co.(NON) 1,844 52,148
United Parcel Service, Inc. Class B 8,581 872,945
Universal Truckload Services, Inc. 67 1,712
1,881,978
Utilities and power (1.5%)
Alliant Energy Corp. 1,033 65,699
American Electric Power Co., Inc. 7,549 434,671
American Water Works Co., Inc. 2,171 117,408
Centrica PLC (United Kingdom) 22,540 85,012
Enel SpA (Italy) 26,344 121,400
EnerNOC, Inc.(NON) 712 9,605
ENI SpA (Italy) 5,931 110,707
Kinder Morgan, Inc. 20,402 836,686
Pinnacle West Capital Corp. 2,518 161,353
Red Electrica Corporacion SA (Spain) 2,525 215,141
Southern Co. (The) 14,946 684,377
Tokyo Gas Co., Ltd. (Japan) 25,000 152,344
United Utilities Group PLC (United Kingdom) 9,080 132,612
3,127,015
Total common stocks (cost $74,477,687) $86,677,789

CORPORATE BONDS AND NOTES (20.7%)(a)
Principal amount Value
Basic materials (1.4%)
Agrium, Inc. sr. unsec. notes 3 3/8s, 2025 (Canada) $40,000 $39,842
Agrium, Inc. sr. unsec. unsub. 5 1/4s, 2045 (Canada) 10,000 11,425
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada) 13,000 13,553
Alcoa, Inc. sr. unsec. unsub. notes 5.4s, 2021 10,000 10,985
Alcoa, Inc. sr. unsec. unsub. notes 5 1/8s, 2024 10,000 10,875
ArcelorMittal SA sr. unsec. bonds 10.6s, 2019 (France) 135,000 166,725
ArcelorMittal SA sr. unsec. unsub. notes 7 3/4s, 2039 (France) 15,000 16,088
Archer-Daniels-Midland Co. sr. unsec. notes 5.45s, 2018 143,000 160,045
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 60,000 63,000
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 25,000 25,313
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 140,000 152,250
CF Industries, Inc. company guaranty sr. unsec. notes 5 3/8s, 2044 15,000 17,132
CF Industries, Inc. company guaranty sr. unsec. notes 5.15s, 2034 10,000 11,092
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 50,000 48,500
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 65,000 65,975
Dow Chemical Co. (The) sr. unsec. unsub. notes 3 1/2s, 2024 70,000 71,304
Eastman Chemical Co. sr. unsec. unsub. notes 3.8s, 2025 20,000 20,810
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 15,000 14,833
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 30,000 27,825
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 75,000 80,250
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 35,000 40,250
HD Supply, Inc. 144A company guaranty sr. notes 5 1/4s, 2021 70,000 72,713
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 10,000 9,550
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018 35,000 29,488
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 60,000 61,500
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 55,000 56,375
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 25,000 26,917
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 105,000 108,019
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 15,000 15,413
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 90,000 98,550
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 60,000 64,050
LyondellBasell Industries NV sr. unsec. unsub. notes 4 5/8s, 2055 25,000 24,669
Mercer International, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 55,000 57,613
Methanex Corp. sr. unsec. unsub. notes 5.65s, 2044 (Canada) 30,000 31,200
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 45,000 39,938
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) 45,000 —
Monsanto Company sr. unsec. notes 5 1/2s, 2025 60,000 72,339
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 35,000 35,263
PQ Corp. 144A sr. notes 8 3/4s, 2018 60,000 61,800
PSPC Escrow Corp. 144A sr. unsec. notes 6 1/2s, 2022 45,000 47,475
Rio Tinto Finance USA PLC company guaranty sr. unsec. unsub. notes 1 5/8s, 2017 (United Kingdom) 145,000 145,635
Rockwood Specialties Group, Inc. company guaranty sr. unsec. notes 4 5/8s, 2020 160,000 166,280
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 65,000 66,463
SBA Communications Corp. 144A sr. unsec. notes 4 7/8s, 2022 45,000 45,000
Sealed Air Corp. 144A company guaranty sr. unsec. notes 8 3/8s, 2021 25,000 28,281
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 15,000 15,750
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 85,000 96,280
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 50,000 53,438
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 25,000 26,125
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 20,000 20,600
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 33,000 33,990
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 30,000 31,125
Steel Dynamics, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 10,000 10,250
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 55,000 55,550
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 10,000 10,500
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 10,000 10,225
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 40,000 37,950
Westvaco Corp. company guaranty sr. unsec. unsub. notes 8.2s, 2030 30,000 42,129
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 75,000 80,625
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 40,000 41,400
2,998,540
Capital goods (0.9%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 130,000 135,200
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 10,000 11,425
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 40,000 40,000
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 25,000 25,000
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 25,000 25,625
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 30,000 30,000
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 20,000 20,900
Bombardier, Inc. 144A sr. unsec. notes 7 1/2s, 2025 (Canada) 35,000 35,000
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 80,000 87,600
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6s, 2017 (Luxembourg) 145,000 162,064
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 60,000 61,350
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 35,000 39,813
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 100,000 107,625
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 90,000 86,400
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 25,000 26,219
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 20,000 20,425
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 15,000 21,298
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 80,000 86,200
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 52,000 49,270
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 25,000 25,813
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 135,000 138,375
Oshkosh Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 30,000 30,675
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 50,000 52,188
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 96,000 102,120
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 115,000 119,456
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 65,000 67,925
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 55,000 58,633
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 30,000 31,500
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 153,000 157,016
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 60,000 63,975
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 85,000 86,913
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 40,000 43,200
2,049,203
Communication services (2.6%)
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 200,000 206,500
AT&T, Inc. sr. unsec. unsub. notes 1.7s, 2017 145,000 145,449
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 45,000 47,363
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 195,000 200,363
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 25,000 25,188
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 3/4s, 2024 55,000 56,925
CCOH Safari, LLC company guaranty sr. unsec. bonds 5 1/2s, 2022 40,000 41,350
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 85,000 95,997
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 15,000 16,050
Comcast Corp. company guaranty sr. unsec. unsub. bonds 6 1/2s, 2017 145,000 159,778
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.95s, 2037 30,000 42,927
Comcast Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2035 85,000 117,021
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 115,000 121,325
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 25,000 26,125
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 220,000 247,775
CSC Holdings, LLC 144A sr. unsec. notes 5 1/4s, 2024 35,000 35,744
Deutsche Telekom International Finance BV company guaranty 8 3/4s, 2030 (Netherlands) 16,000 24,261
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 60,000 59,700
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 70,000 79,450
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 5,000 5,138
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 20,000 21,350
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021 30,000 33,300
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 20,000 19,550
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 315,000 329,963
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 90,000 83,700
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 125,000 115,781
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 20,000 20,550
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 145,000 153,519
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 45,000 46,688
NII International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) (In default)(NON) 30,000 28,725
Numericable Group SA 144A sr. notes 6s, 2022 (France) 200,000 203,500
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 70,000 73,150
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 295,000 251,615
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 $78,000 90,012
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 330,000 339,075
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 120,000 123,900
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 195,000 198,778
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 10,000 10,700
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 25,000 26,500
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 80,000 84,900
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 25,000 25,938
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 30,000 31,350
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 75,000 78,750
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 25,000 26,313
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 20,000 20,860
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045s, 2036 (Spain) 220,000 299,499
Time Warner Entertainment Co. LP company guaranty sr. unsec. bonds 8 3/8s, 2033 15,000 21,606
Verizon Communications, Inc. sr. unsec. notes 6.4s, 2038 212,000 266,853
Verizon Communications, Inc. sr. unsec. notes 6.35s, 2019 36,000 41,892
Verizon Communications, Inc. sr. unsec. unsub. notes 6.4s, 2033 46,000 58,363
Verizon Communications, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 30,000 32,997
Verizon Communications, Inc. sr. unsec. unsub. notes 4.4s, 2034 30,000 30,582
Verizon Communications, Inc. 144A sr. unsec. notes 2 5/8s, 2020 95,000 95,862
Verizon New York, Inc. company guaranty sr. unsec. notes Ser. B, 7 3/8s, 2032 31,000 39,188
Vodafone Group PLC sr. unsec. unsub. notes 1 1/4s, 2017 (United Kingdom) 251,000 250,065
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 45,000 43,763
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 95,000 100,463
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 90,000 90,900
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 40,000 36,800
5,601,729
Consumer cyclicals (3.2%)
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. debs. 7 3/4s, 2045 79,000 120,745
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 55,000 54,863
Amazon.com, Inc. sr. unsec. notes 1.2s, 2017 143,000 142,431
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 95,000 104,500
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 35,000 36,313
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 10,000 10,425
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 105,000 114,450
Bed Bath & Beyond, Inc. sr. unsec. notes 5.165s, 2044 115,000 124,782
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 15,000 12,113
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 120,000 125,400
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 35,000 36,400
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 25,000 26,875
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 95,000 97,850
CBS Corp. company guaranty sr. unsec. debs. 7 7/8s, 2030 137,000 193,709
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 45,000 46,179
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 10,000 10,200
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 15,000 15,356
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 25,000 24,875
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 50,000 52,875
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 35,000 36,925
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024 30,000 31,013
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 55,000 58,438
Dana Holding Corp. sr. unsec. unsub. notes 5 3/8s, 2021 15,000 15,750
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 65,000 68,088
Dollar General Corp. sr. unsec. notes 3 1/4s, 2023 25,000 24,137
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 3/4s, 2023 20,000 21,050
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 1/4s, 2020 15,000 15,675
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R) 100,000 104,500
First Cash Financial Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 (Mexico) 25,000 25,906
Ford Motor Co. sr. unsec. unsub. notes 9.98s, 2047 115,000 189,837
Ford Motor Co. sr. unsec. unsub. notes 7.45s, 2031 192,000 268,179
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 35,000 36,488
Gannett Co., Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 40,000 41,900
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 30,000 30,713
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) 80,000 77,864
General Motors Co. sr. unsec. unsub. notes 6 1/4s, 2043 95,000 117,878
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 40,000 44,285
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4s, 2025 10,000 10,248
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 40,000 39,400
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 60,000 62,700
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 35,000 36,400
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 60,000 62,400
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020 30,000 18,375
Host Hotels & Resorts LP sr. unsec. unsub. notes 5 1/4s, 2022(R) 77,000 84,870
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 65,000 68,331
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 70,000 70,613
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 330,000 325,875
INVISTA Finance, LLC 144A company guaranty sr. notes 4 1/4s, 2019 37,000 37,046
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 35,000 36,313
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 60,000 59,850
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 40,000 37,500
Johnson Controls, Inc. sr. unsec. notes 4.95s, 2064 35,000 36,959
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 35,000 40,075
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 50,000 53,125
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 20,000 21,200
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 45,000 47,869
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 110,000 112,200
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 25,000 25,750
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 4.3s, 2043 32,000 32,215
Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 7s, 2028 25,000 32,251
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 5,000 5,325
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 60,000 58,050
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 15,000 15,338
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 40,000 43,725
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 55,000 56,100
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 125,000 143,750
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 5,000 5,388
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 85,000 92,225
Navistar International Corp. sr. notes 8 1/4s, 2021 65,000 65,813
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 80,000 81,800
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 40,000 42,050
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 30,000 31,538
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 95,000 98,563
Nordstrom, Inc. sr. unsec. notes 5s, 2044 15,000 17,367
Nordstrom, Inc. sr. unsec. unsub. notes 6.95s, 2028 35,000 46,350
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 80,000 84,300
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 55,000 59,125
Outfront Media Capital LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 7/8s, 2025 30,000 31,800
Outfront Media Capital LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 5/8s, 2024 55,000 58,575
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 75,000 74,438
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 30,000 31,425
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 45,000 46,575
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 25,000 25,750
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 6s, 2035 90,000 89,550
QVC, Inc. company guaranty sr. unsub. notes 4.45s, 2025 55,000 55,564
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 60,000 60,750
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 25,000 25,625
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 150,000 156,375
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 6,000 6,450
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 15,000 13,425
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 15,000 11,550
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 50,000 51,500
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 10s, 2022 125,000 122,500
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 50,000 53,000
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 20,000 20,400
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 10,000 10,525
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 15,000 15,188
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 55,000 58,438
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 50,000 52,500
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 90,000 92,133
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 5,000 5,388
Spectrum Brands, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2024 30,000 32,250
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 50,000 52,500
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 25,000 25,500
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 50,000 48,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 20,000 19,600
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 53,000 52,073
Tiffany & Co. 144A sr. unsec. notes 4.9s, 2044 30,000 31,051
Townsquare Radio, LLC/Townsquare Radio, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 35,000 37,363
Toyota Motor Credit Corp. sr. unsec. unsub. notes Ser. MTN, 1 1/4s, 2017 145,000 145,447
Tri Pointe Holdings, Inc. 144A sr. unsec. unsub. notes 5 7/8s, 2024 65,000 65,081
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 15,000 15,150
Univision Communications, Inc. 144A company guaranty sr. notes 5 1/8s, 2025 15,000 15,188
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 30,000 32,213
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 15,000 16,106
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6 1/2s, 2037 34,000 47,856
Walt Disney Co. (The) sr. unsec. unsub. notes Ser. MTN, 1.1s, 2017 145,000 145,005
6,807,146
Consumer staples (1.5%)
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.85s, 2022 31,000 30,955
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. notes 1 1/4s, 2018 145,000 145,009
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 8.2s, 2039 106,000 164,320
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 65,000 70,688
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 95,000 99,513
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 10,000 10,225
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 115,000 119,600
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 70,000 72,625
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 35,000 33,950
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 35,000 36,400
Coca-Cola Co. (The) sr. unsec. unsub. notes 5.35s, 2017 90,000 100,127
Coca-Cola Co. (The) sr. unsec. unsub. notes 3.2s, 2023 30,000 31,573
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 15,000 15,581
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 65,000 74,425
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2024 5,000 5,350
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 3 7/8s, 2019 5,000 5,188
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 124,000 124,000
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 15,000 15,150
CVS Health Corp. sr. unsec. unsub. notes 2 1/4s, 2018 145,000 148,347
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023 45,000 45,281
Diageo Capital PLC company guaranty sr. unsec. unsub. notes 1 1/2s, 2017 (United Kingdom) 32,000 32,272
Diageo Investment Corp. company guaranty sr. unsec. debs. 8s, 2022 9,000 11,976
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 90,000 81,000
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4 1/2s, 2045 50,000 50,629
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7s, 2037 200,000 268,301
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85s, 2024 79,000 81,970
HJ Heinz Co. company guaranty notes 4 1/4s, 2020 125,000 126,850
HJ Heinz Co. 144A company guaranty notes 4 7/8s, 2025 40,000 40,200
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 125,000 131,487
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 20,000 21,038
Kroger Co. (The) company guaranty sr. unsec. notes 6.9s, 2038 45,000 61,392
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 15,000 15,656
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 130,000 140,238
Molson Coors Brewing Co. company guaranty sr. unsec. unsub. notes 5s, 2042 11,000 11,437
PepsiCo, Inc. sr. unsec. unsub. notes 4 1/4s, 2044 45,000 47,151
PepsiCo, Inc. sr. unsec. unsub. notes 1 1/4s, 2017 144,000 144,559
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 50,000 50,750
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 75,000 76,875
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020 125,000 138,438
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4 7/8s, 2034 23,000 25,792
Tyson Foods, Inc. company guaranty sr. unsec. unsub. bonds 5.15s, 2044 32,000 37,675
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 5,000 5,538
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 25,000 26,375
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 75,000 80,438
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 55,000 55,550
Walgreens Boots Alliance, Inc. company guaranty sr. unsec. unsub. notes 3.3s, 2021 35,000 35,973
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 65,000 69,794
3,217,661
Energy (2.1%)
Anadarko Petroleum Corp. sr. unsec. notes 6.45s, 2036 130,000 165,814
Antero Resources Corp. company guaranty sr. unsec. notes 5 1/8s, 2022 35,000 35,000
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 45,000 45,338
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 55,000 51,879
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 5,000 4,763
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 2.315s, 2020 (United Kingdom) 110,000 110,325
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.846s, 2017 (United Kingdom) 145,000 146,941
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 40,000 35,900
California Resources Corp. 144A company guaranty sr. unsec. notes 6s, 2024 100,000 89,125
California Resources Corp. 144A company guaranty sr. unsec. notes 5s, 2020 60,000 55,050
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.7s, 2017 (Canada) 145,000 157,425
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 20,000 20,875
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 25,000 24,688
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 80,000 85,000
Chevron Corp. sr. unsec. unsub. notes 1.104s, 2017 143,000 142,963
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 55,000 57,200
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 55,000 56,925
ConocoPhillips Co. company guaranty sr. unsec. notes 1.05s, 2017 145,000 144,333
CONSOL Energy, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 120,000 115,200
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 7 3/4s, 2023 15,000 15,488
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 70,000 65,450
Ecopetrol SA sr. unsec. unsub. bonds 4 1/8s, 2025 (Colombia) 45,000 42,827
EQT Midstream Partners LP company guaranty sr. unsec. notes 4s, 2024 5,000 4,972
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 35,000 26,513
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2022 55,000 50,325
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 43,000 45,365
FTS International, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 35,000 27,475
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 70,000 72,100
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 30,000 30,900
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 15,000 11,550
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 130,000 98,800
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 40,000 43,700
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 10,000 10,413
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 20,000 18,850
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 130,000 90,675
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 25,000 21,000
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 135,000 115,088
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 60,000 62,850
Noble Holding International, Ltd. company guaranty sr. unsec. notes 6.05s, 2041 19,000 16,607
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 115,000 112,700
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 50,000 32,375
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 55,000 35,888
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 30,000 12,150
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 95,000 38,000
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 200,000 201,548
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 85,000 38,888
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 135,000 88,979
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 110,000 35,475
Petroleos Mexicanos 144A company guaranty sr. unsec. notes 4 1/2s, 2026 (Mexico) 15,000 15,361
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2046 (Mexico) 95,000 97,894
Phillips 66 company guaranty sr. unsec. unsub. notes 2.95s, 2017 145,000 150,173
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 30,000 29,925
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 50,000 47,250
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 60,000 57,150
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 145,000 148,263
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 20,000 20,650
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 110,000 37,400
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 60,000 62,250
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 50,000 26,500
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 95,000 76,000
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5.2s, 2017 (Netherlands) 156,000 169,366
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 15,000 9,831
Total Capital International SA company guaranty sr. unsec. unsub. notes 1.55s, 2017 (France) 143,000 144,472
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 25,000 20,500
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 25,000 24,938
Weatherford International, Ltd. of Bermuda company guaranty sr. unsec. notes 9 7/8s, 2039 (Bermuda) 30,000 34,371
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 125,000 123,750
Williams Cos., Inc. (The) notes 8 3/4s, 2032 23,000 27,088
Williams Cos., Inc. (The) sr. unsec. notes 4.55s, 2024 30,000 29,393
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 120,000 123,600
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 35,000 34,650
4,522,470
Financials (5.2%)
Abbey National Treasury Services PLC/London bank guaranty sr. unsec. unsub. notes 1 3/8s, 2017 (United Kingdom) 156,000 156,462
Aflac, Inc. sr. unsec. notes 6.9s, 2039 17,000 23,631
Air Lease Corp. sr. unsec. unsub. notes 3 3/4s, 2022 20,000 20,307
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 230,000 248,400
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 90,000 116,100
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 30,000 35,700
American Express Co. jr. unsec. sub. FRN notes Ser. C, 4.9s, perpetual maturity 35,000 34,920
American Express Co. sr. unsec. notes 7s, 2018 94,000 108,562
American Express Co. sr. unsec. notes 6.15s, 2017 57,000 63,513
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2058 420,000 581,700
ARC Properties Operating Partnership LP/Clark Acquisition, LLC company guaranty sr. unsec. unsub. notes 4.6s, 2024(R) 60,000 58,745
Bank of America Corp. jr. unsec. sub. FRN notes Ser. Z, 6 1/2s, perpetual maturity 25,000 26,492
Bank of America Corp. sr. unsec. notes Ser. MTN, 1.7s, 2017 95,000 95,450
Bank of America Corp. sr. unsec. unsub. notes 2s, 2018 149,000 149,916
Bank of Montreal sr. unsec. unsub. notes Ser. MTN, 2 1/2s, 2017 (Canada) 143,000 146,864
Bank of Nova Scotia sr. unsec. unsub. notes 1 3/8s, 2017 (Canada) 145,000 144,985
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. notes 1.2s, 2017 (Japan) 250,000 248,731
Barclays Bank PLC 144A sub. notes 10.179s, 2021 (United Kingdom) 270,000 372,110
BNP Paribas SA bank guaranty sr. unsec. unsub. notes Ser. MTN, 1 3/8s, 2017 (France) 162,000 162,028
BPCE SA 144A unsec. sub. notes 5.15s, 2024 (France) 200,000 215,373
CBL & Associates LP company guaranty sr. unsec. unsub. notes 5 1/4s, 2023(R) 180,000 193,556
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 25,000 27,250
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 40,000 42,000
CIT Group, Inc. sr. unsec. notes 5s, 2023 35,000 37,013
CIT Group, Inc. sr. unsec. notes 5s, 2022 115,000 122,260
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 20,000 20,175
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 155,000 165,649
Citigroup, Inc. jr. unsec. sub. FRB bonds Ser. B, 5.9s, perpetual maturity 3,000 3,011
Citigroup, Inc. sr. unsec. unsub. notes 4.45s, 2017 151,000 159,227
Commonwealth Bank of Australia/New York sr. unsec. unsub. bonds 1 1/8s, 2017 342,000 342,420
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA of Netherlands (Rabobank Nederland) bank guaranty sr. unsec. notes 3 3/8s, 2017 (Netherlands) 130,000 135,427
Credit Acceptance Corp. company guaranty sr. unsec. bonds 6 1/8s, 2021 80,000 79,200
Credit Suisse Group AG 144A jr. unsec. sub. FRN notes 7 1/2s, perpetual maturity (Switzerland) 200,000 214,750
DDR Corp. sr. unsec. unsub. notes 7 7/8s, 2020(R) 11,000 13,678
Deutsche Bank AG/London sr. unsec. notes 6s, 2017 (United Kingdom) 149,000 165,441
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 55,000 45,375
Dresdner Funding Trust I 144A bonds 8.151s, 2031 180,000 219,600
Duke Realty LP company guaranty sr. unsec. unsub. notes 4 3/8s, 2022(R) 21,000 22,480
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 80,000 85,900
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 50,000 52,750
EPR Properties unsec. notes 5 1/4s, 2023(R) 60,000 64,394
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 60,000 58,650
Fifth Third Bancorp jr. unsec. sub. FRB bonds 5.1s, perpetual maturity 38,000 35,891
General Electric Capital Corp. sr. unsec. notes 6 3/4s, 2032 202,000 280,013
General Electric Capital Corp. sr. unsec. notes Ser. MTN, 5.4s, 2017 143,000 155,194
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB bonds 6.15s, 2066 160,000 102,800
Goldman Sachs Group, Inc. (The) sr. notes 7 1/2s, 2019 44,000 52,528
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2 3/8s, 2018 2,000 2,037
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) 95,000 111,277
Hospitality Properties Trust sr. unsec. unsub. notes 4 1/2s, 2025(R) 20,000 20,575
HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021 122,000 145,875
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) 10,000 9,950
Hub International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 80,000 82,200
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 145,000 155,150
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 60,000 62,925
ING Bank NV 144A unsec. sub. notes 5.8s, 2023 (Netherlands) 220,000 252,722
iStar Financial, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2018(R) 45,000 45,113
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 30,000 32,100
iStar Financial, Inc. sr. unsec. notes 5s, 2019(R) 20,000 20,000
JPMorgan Chase & Co. sr. unsec. unsub. notes 2s, 2017 144,000 145,989
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.3s, 2018 4,000 4,058
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 240,000 288,000
Lloyds Banking Group PLC jr. unsec. sub. FRB bonds 7 1/2s, perpetual maturity (United Kingdom) 512,000 536,320
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN notes 6.657s, perpetual maturity (United Kingdom) 30,000 33,750
Merrill Lynch & Co., Inc. unsec. sub. notes 6.11s, 2037 170,000 207,493
MetLife, Inc. sr. unsec. unsub. notes 6 3/4s, 2016 145,000 155,563
Mid-America Apartments LP sr. unsec. notes 4.3s, 2023(R) 60,000 63,763
Morgan Stanley sr. unsec. notes 4 3/4s, 2017 149,000 158,931
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 35,000 37,975
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 40,000 40,200
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 30,000 28,875
Nationwide Mutual Insurance Co. 144A notes 9 3/8s, 2039 20,000 32,265
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 36,000 38,520
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2019 25,000 22,125
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 50,000 52,625
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 35,000 37,100
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 80,000 78,200
PNC Bank NA sr. unsec. unsub. notes Ser. BKNT, 1 1/8s, 2017 250,000 250,906
Progressive Corp. (The) jr. unsec. sub. FRN notes 6.7s, 2037 116,000 124,990
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 75,000 72,094
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.2s, 2018 (Canada) 145,000 147,948
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom) 200,000 220,000
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom) 35,000 39,175
Select Income REIT sr. unsec. unsub. notes 3.6s, 2020(R) 35,000 35,450
Select Income REIT sr. unsec. unsub. notes 2.85s, 2018(R) 35,000 35,139
Simon Property Group LP 144A sr. unsec. unsub. notes 1 1/2s, 2018(R) 131,000 131,059
Societe Generale SA bank guaranty sr. unsec. notes 2 3/4s, 2017 (France) 250,000 256,636
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 20,000 20,400
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 15,000 16,950
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 30,000 30,825
State Street Capital Trust IV company guaranty jr. unsec. sub. FRB bonds 1.241s, 2037 220,000 183,975
Svenska Handelsbanken AB bank guaranty sr. unsec. notes 2 7/8s, 2017 (Sweden) 250,000 258,263
TIERS Trust/United States 144A bonds stepped-coupon zero % (8 1/8s, 3/15/18), 2046(STP) 100,000 104,000
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 20,000 16,100
Travelers Property Casualty Corp. sr. unsec. unsub. bonds 7 3/4s, 2026 9,000 12,264
UBS AG of Stamford, CT sr. unsec. unsub. notes Ser. BKNT, 5 7/8s, 2017 130,000 145,169
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 45,000 41,288
Wells Fargo & Co. jr. unsec. sub. FRB bonds Ser. U, 5 7/8s, perpetual maturity 70,000 73,675
Wells Fargo & Co. sr. unsec. notes 2.1s, 2017 143,000 146,073
Westpac Banking Corp. sr. unsec. unsub. notes 2 1/4s, 2018 (Australia) 26,000 26,442
11,197,118
Health care (1.5%)
AbbVie, Inc. sr. unsec. unsub. notes 2.9s, 2022 18,000 18,022
AbbVie, Inc. sr. unsec. unsub. notes 1 3/4s, 2017 130,000 131,023
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 60,000 62,400
Acadia Healthcare Co., Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 35,000 35,175
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 15,000 15,488
Amgen, Inc. sr. unsec. unsub. notes 2 1/8s, 2017 145,000 147,682
AstraZeneca PLC sr. unsec. unsub. notes 6.45s, 2037 (United Kingdom) 16,000 21,842
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) 145,000 162,522
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 6s, 2021 60,000 64,200
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 50,000 50,938
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021 75,000 78,094
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 55,000 56,788
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 60,000 62,550
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 15,000 16,041
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 65,000 60,288
DaVita HealthCare Partners, Inc. company guaranty sr. unsec. notes 5 1/8s, 2024 55,000 57,063
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 50,000 52,500
Endo Finance, LLC & Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 40,000 40,700
Halyard Health, Inc. 144A sr. unsec. notes 6 1/4s, 2022 45,000 47,250
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 50,000 51,063
HCA, Inc. company guaranty sr. unsec. bonds 5 3/8s, 2025 15,000 15,900
HCA, Inc. sr. notes 6 1/2s, 2020 195,000 221,813
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 55,000 57,269
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 55,000 56,299
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 65,000 66,788
Johnson & Johnson sr. unsec. notes 5.15s, 2018 91,000 102,549
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 85,000 93,075
Medtronic PLC 144A sr. unsec. notes 4 3/8s, 2035 15,000 16,339
Medtronic PLC 144A sr. unsec. notes 3 1/2s, 2025 15,000 15,657
Merck & Co., Inc. sr. unsec. unsub. notes 1.3s, 2018 125,000 124,735
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 149,000 156,450
Omnicare, Inc. sr. unsec. notes 5s, 2024 10,000 10,538
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022 95,000 99,156
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 165,000 174,900
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 20,000 22,400
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 240,000 253,800
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 50,000 52,500
Teleflex, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2024 15,000 15,188
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 30,000 30,150
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 45,000 45,056
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 100,000 109,250
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 55,000 59,813
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 10,000 10,300
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 65,000 73,638
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.7s, 2021 58,000 65,347
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 5,000 5,250
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 5,000 5,088
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 25,000 25,219
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 3/4s, 2018 45,000 47,813
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 60,000 63,000
3,326,909
Technology (0.9%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 40,000 41,800
Apple, Inc. sr. unsec. unsub. notes 3.85s, 2043 100,000 100,964
Apple, Inc. sr. unsec. unsub. notes 3.45s, 2045 69,000 64,894
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 15,000 13,088
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 300,000 303,000
Cisco Systems, Inc. sr. unsec. unsub. notes 1.1s, 2017 66,000 66,328
eBay, Inc. sr. unsec. unsub. notes 1.35s, 2017 145,000 144,535
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 53,000 61,745
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 340,000 364,650
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 25,000 26,250
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 40,000 43,100
Hewlett-Packard Co. sr. unsec. notes 5 1/2s, 2018 75,000 83,249
Hewlett-Packard Co. sr. unsec. unsub. notes 2.6s, 2017 124,000 127,441
Intel Corp. sr. unsec. unsub. notes 1.35s, 2017 145,000 145,836
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 60,000 63,000
Jabil Circuit, Inc. sr. unsec. notes 8 1/4s, 2018 14,000 16,170
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022 55,000 58,094
Micron Technology, Inc. 144A sr. unsec. notes 5 1/4s, 2023 50,000 51,188
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 200,000 203,380
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 30,000 31,200
2,009,912
Transportation (0.1%)
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes 5 3/4s, 2040 15,000 18,906
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 90,000 84,375
United Airlines 2014-2 Class A Pass Through Trust sr. notes Ser. A, 3 3/4s, 2026 25,000 26,031
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 70,000 70,350
199,662
Utilities and power (1.3%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 240,000 275,400
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 25,000 24,500
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 110,000 112,200
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 50,000 54,563
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 15,000 16,219
Consolidated Edison Co. of New York sr. unsec. notes 7 1/8s, 2018 96,000 113,823
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 5/8s, 2024 5,000 5,306
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 7 3/8s, 2022 5,000 5,294
Dynegy Finance I, Inc./Dynegy Finance II, Inc. 144A company guaranty sr. notes 6 3/4s, 2019 80,000 83,700
Electricite de France (EDF) 144A jr. unsec. sub. FRN notes 5 5/8s, perpetual maturity (France) 695,000 753,033
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 60,000 71,850
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. notes 4.85s, 2042 18,000 19,851
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 5,000 5,138
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 125,000 133,125
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45s, 2044 130,000 145,030
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 92,500
Kinder Morgan Energy Partners LP sr. unsec. unsub. notes 5.4s, 2044 44,000 46,657
Kinder Morgan, Inc./DE company guaranty sr. unsec. unsub. notes 4.3s, 2025 60,000 62,592
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 265,000 287,186
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036 10,000 13,232
MidAmerican Funding, LLC sr. bonds 6.927s, 2029 20,000 26,932
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 115,000 125,005
NRG Yield Operating, LLC 144A company guaranty sr. unsec. notes 5 3/8s, 2024 30,000 31,650
Puget Sound Energy, Inc. jr. sub. FRN notes Ser. A, 6.974s, 2067 90,000 91,463
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 80,000 87,400
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 30,000 31,350
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 30,000 31,800
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 55,000 56,238
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 65,000 66,788
2,869,825
Total corporate bonds and notes (cost $44,601,737) $44,800,175

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (10.8%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (1.9%)
Government National Mortgage Association Pass-Through Certificates 3 1/2s, TBA, March 1, 2045 $4,000,000 $4,197,188
4,197,188
U.S. Government Agency Mortgage Obligations (8.9%)
Federal National Mortgage Association Pass-Through Certificates
     6s, TBA, March 1, 2045 2,000,000 2,273,125
     4s, TBA, April 1, 2045 4,000,000 4,268,125
     4s, TBA, March 1, 2045 8,000,000 8,554,375
     3s, TBA, March 1, 2045 2,000,000 2,037,352
     3s, TBA, March 1, 2030 2,000,000 2,094,375
19,227,352
Total U.S. government and agency mortgage obligations (cost $23,379,532) $23,424,540

COMMODITY LINKED NOTES (3.8%)(a)(CLN)
Principal amount Value
Deutsche Bank AG/London 144A sr. unsec. notes, 1-month USD LIBOR less 0.16%, 2016 (Indexed to the S&P GSCI 3-Month Forward Index - Total Return multiplied by 3) (United Kingdom) $4,606,000 $4,062,031
UBS AG/London 144A sr. notes 3-month LIBOR less 0.10%, 2016 (Indexed to the S&P GSCI Light Energy Total Return Index multiplied by 3) (United Kingdom) 3,900,000 4,159,644
Total commodity linked notes (cost $8,506,000) $8,221,675

MORTGAGE-BACKED SECURITIES (3.4%)(a)
Principal amount Value
Commercial mortgage-backed securities (2.6%)
Banc of America Commercial Mortgage Trust
     FRB Ser. 07-3, Class A3, 5.576s, 2049 $32,727 $32,814
     Ser. 06-5, Class A2, 5.317s, 2047 26,701 26,683
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     FRB Ser. 05-1, Class AJ, 5.303s, 2042 325,000 324,581
     Ser. 05-4, Class B, 5.118s, 2045 212,000 214,120
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 06-PW12, Class AJ, 5.74s, 2038 48,000 49,293
     FRB Ser. 06-PW11, Class AJ, 5.435s, 2039 68,000 69,615
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.568s, 2047 100,000 108,220
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.772s, 2049 175,000 181,292
     Ser. 14-GC19, Class X, IO, 1.33s, 2047 1,547,640 127,587
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class D, 4.458s, 2046 100,000 97,929
COMM Mortgage Trust
     Ser. 14-LC15, Class XA, IO, 1.416s, 2047 634,722 51,739
     Ser. 14-CR16, Class XA, IO, 1.269s, 2047 665,662 49,344
     Ser. 14-CR17, Class XA, IO, 1.208s, 2047 1,225,133 89,779
COMM Mortgage Pass-Through Certificates Ser. 14-UBS6, Class XA, IO, 1.088s, 2047 1,494,182 105,377
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3, Class D, 4.986s, 2042 44,000 43,950
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.275s, 2044 120,000 121,490
GS Mortgage Securities Corp. II
     Ser. 05-GG4, Class B, 4.841s, 2039 55,000 54,931
     Ser. 05-GG4, Class AJ, 4.782s, 2039 30,000 30,030
GS Mortgage Securities Trust Ser. 14-GC22, Class XA, IO, 1.087s, 2047 2,111,949 149,388
GS Mortgage Securities Trust 144A Ser. 10-C1, Class D, 6.039s, 2043 158,403 176,698
JP Morgan Chase Commercial Mortgage Securities Corp. 144A FRB Ser. 12-C6, Class E, 5.207s, 2045 114,000 117,924
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 06-LDP7, Class B, 5.876s, 2045 118,000 81,562
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 96,000 96,816
     Ser. 06-LDP8, Class AJ, 5.48s, 2045 386,000 397,800
     Ser. 04-LN2, Class A2, 5.115s, 2041 14,135 14,166
     FRB Ser. 13-LC11, Class D, 4.24s, 2046 53,000 51,121
     FRB Ser. 13-C10, Class C, 4.159s, 2047 108,000 111,597
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 10-C1, Class D, 6.328s, 2043 142,000 160,239
     FRB Ser. 11-C3, Class E, 5.567s, 2046 213,000 230,704
LB-UBS Commercial Mortgage Trust
     FRB Ser. 07-C6, Class A4, 5.858s, 2040 75,136 78,914
     Ser. 06-C6, Class E, 5.541s, 2039 125,000 121,838
     Ser. 06-C6, Class D, 5.502s, 2039 125,000 123,344
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 47,000 47,677
Morgan Stanley Bank of America Merrill Lynch Trust
     FRB Ser. 13-C11, Class C, 4.416s, 2046 83,000 86,450
     Ser. 14-C17, Class XA, IO, 1.286s, 2047 321,737 24,993
     Ser. 13-C12, Class XA, IO, 1.008s, 2046 632,131 31,438
Morgan Stanley Capital I Trust
     FRB Ser. 06-HQ8, Class D, 5.493s, 2044 125,000 123,779
     Ser. 06-HQ10, Class AJ, 5.389s, 2041 54,000 54,395
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class E, 5.183s, 2049 81,000 87,132
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class C, 4.958s, 2049 50,000 54,246
     FRB Ser. 12-C3, Class D, 4.958s, 2049 72,000 73,756
     FRB Ser. 13-C6, Class D, 4.353s, 2046 110,000 106,548
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C25, Class AJ, 5.712s, 2043 270,000 278,343
WF-RBS Commercial Mortgage Trust
     Ser. 14-C19, Class C, 4.646s, 2047 71,000 76,268
     Ser. 13-C17, Class XA, IO, 1.589s, 2046 1,452,820 119,122
     FRB Ser. C19, Class XA, IO, 1.313s, 2047 1,169,260 90,115
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class D, 5.466s, 2044 194,000 211,055
     FRB Ser. 13-C16, Class D, 4.983s, 2046 77,000 78,142
     FRB Ser. 12-C10, Class D, 4.458s, 2045 60,000 59,625
     Ser. 12-C9, Class XA, IO, 2.207s, 2045 628,469 69,383
     FRB Ser. C5, Class XA, IO, 1.98s, 2044 547,503 47,200
     Ser. 12-C10, Class XA, IO, 1.789s, 2045 2,751,557 266,653
     Ser. 13-C12, Class XA, IO, 1.492s, 2048 257,761 20,342
5,697,547
Residential mortgage-backed securities (non-agency) (0.8%)
Bear Stearns Alt-A Trust FRB Ser. 05-7, Class 11A2, 0.851s, 2035 77,486 70,706
Credit Suisse Mortgage Trust 144A FRB Ser. 13-5R, Class 1A6, 0.432s, 2036(F) 110,000 90,343
Nomura Resecuritization Trust 144A FRB Ser. 14-7R, Class 2A3, 0.368s, 2035(F) 124,772 103,099
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 05-WCW3, Class M2, 0.661s, 2035(F) 175,000 136,833
RBSSP Resecuritization Trust 144A
     FRB Ser. 10-1, Class 3A2, 5.244s, 2035(F) 80,000 78,024
     FRB Ser. 09-12, Class 16A2, 2.395s, 2035 75,000 67,313
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 04-AR12, Class A2B, 0.648s, 2044(F) 414,401 368,817
     FRB Ser. 05-AR11, Class A1B3, 0.571s, 2045(F) 322,061 290,660
     FRB Ser. 05-AR9, Class A1B, 0.551s, 2045 411,640 385,185
Wells Fargo Mortgage Loan Trust FRB Ser. 12-RR2, Class 1A2, 0.337s, 2047 60,000 44,400
1,635,380
Total mortgage-backed securities (cost $7,315,585) $7,332,927

ASSET-BACKED SECURITIES (2.0%)(a)
Principal amount Value
Station Place Securitization Trust FRB Ser. 14-3, Class A, 1.056s, 2016 $2,682,000 $2,682,000
Station Place Securitization Trust 144A FRB Ser. 14-2, Class A, 1.055s, 2016 1,712,000 1,712,000
Total asset-backed securities (cost $4,394,000) $4,394,000

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.5%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) $719,245 $651,816
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default)(NON) 121,977 121,367
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) 150,000 151,500
United Mexican States sr. unsec. unsub. notes Ser. MTN, 4 3/4s, 2044 (Mexico) 120,000 128,689
Total foreign government and agency bonds and notes (cost $1,015,101) $1,053,372

PURCHASED OPTIONS OUTSTANDING (0.4%)(a)
Expiration Contract
date/strike price amount Value
SPDR S&P 500 ETF Trust (Put) Feb-16/$183.00 $36,576 $221,822
SPDR S&P 500 ETF Trust (Put) Jan-16/170.00 37,854 135,729
SPDR S&P 500 ETF Trust (Put) Dec-15/180.00 38,482 177,235
SPDR S&P 500 ETF Trust (Put) Nov-15/180.00 38,482 157,652
SPDR S&P 500 ETF Trust (Put) Oct-15/162.00 38,482 70,112
SPDR S&P 500 ETF Trust (Put) Sep-15/170.00 38,482 79,665
Total purchased options outstanding (cost $1,601,381) $842,215

SENIOR LOANS (0.2%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 9.005s, 2017 $243,508 $223,825
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 9 3/4s, 2017 19,900 18,358
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 55,000 42,144
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.171s, 2021 64,674 64,520
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 74,250 73,631
Total senior loans (cost $446,941) $422,478

PREFERRED STOCKS (0.2%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 86 $86,228
Citigroup, Inc. Ser. K, $1.719 ARP 2,640 70,831
HSBC USA, Inc. $0.88 pfd. (United Kingdom) 6,280 139,165
M/I Homes, Inc. Ser. A, $2.438 pfd. 1,230 31,734
Total preferred stocks (cost $320,929) $327,958

CONVERTIBLE BONDS AND NOTES (—%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $35,000 $42,503
Total convertible bonds and notes (cost $36,710) $42,503

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
EPR Properties Ser. C, $1.44 cv. pfd.(R) 1,550 $38,363
Total convertible preferred stocks (cost $34,286) $38,363

INVESTMENT COMPANIES (—%)(a)
Shares Value
Hercules Technology Growth Capital, Inc. 905 $14,073
Solar Capital, Ltd. 736 14,808
Total investment companies (cost $26,716) $28,881

SHORT-TERM INVESTMENTS (30.7%)(a)
Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 0.20%(d) Shares 93,812 $93,812
Putnam Money Market Liquidity Fund 0.07%(AFF) Shares 13,989,949 13,989,949
Putnam Short Term Investment Fund 0.10%(AFF) Shares 41,135,763 41,135,763
SSgA Prime Money Market Fund Class N 0.02%(P) Shares 90,000 90,000
U.S. Treasury Bills with an effective yield of 0.09%, June 11, 2015(SEG)(SEGSF)(SEGCCS) $388,000 387,962
U.S. Treasury Bills with an effective yield of 0.03%, April 2, 2015(SEG)(SEGSF)(SEGCCS) 450,000 449,987
U.S. Treasury Bills with effective yields ranging from 0.03% to 0.04%, April 16, 2015(SEG)(SEGSF)(SEGCCS) 6,650,000 6,649,778
U.S. Treasury Bills with effective yields ranging from 0.02% to 0.04%, April 9, 2015(SEG)(SEGSF)(SEGCCS) 365,000 364,984
U.S. Treasury Bills with effective yields ranging from 0.02% to 0.03%, April 23, 2015(SEG)(SEGSF)(SEGCCS) 1,464,000 1,463,946
U.S. Treasury Bills with effective yields ranging from 0.005% to 0.01%, May 14, 2015(SEGSF) 225,000 224,991
U.S. Treasury Bills with effective yields ranging from zero% to 0.02%, May 21, 2015(SEG)(SEGSF)(SEGCCS) 200,000 199,991
U.S. Treasury Bills with effective yields ranging from zero% to 0.01%, May 28, 2015(SEGSF) 100,000 99,993
U.S. Treasury Bills with effective yields ranging from zero% to 0.01%, May 7, 2015(SEGSF)(SEGCCS) 1,240,000 1,239,949
Total short-term investments (cost $66,391,074) $66,391,105

TOTAL INVESTMENTS
Total investments (cost $232,547,679)(b) $243,997,981













FORWARD CURRENCY CONTRACTS at 2/28/15 (aggregate face value $35,550,836) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 4/15/15 $173,046 $168,588 $4,458
British Pound Buy 3/18/15 159,772 156,361 3,411
Canadian Dollar Sell 4/15/15 293,072 310,399 17,327
Euro Buy 3/18/15 431,019 475,966 (44,947)
Euro Sell 3/18/15 437,511 475,318 37,807
Norwegian Krone Sell 3/18/15 313,735 309,087 (4,648)
Barclays Bank PLC
Australian Dollar Sell 4/15/15 207,109 219,771 12,662
Canadian Dollar Sell 4/15/15 261,895 298,701 36,806
Euro Sell 3/18/15 306,896 318,436 11,540
Hong Kong Dollar Sell 5/20/15 431,589 431,646 57
Japanese Yen Sell 5/20/15 557,324 557,529 205
Mexican Peso Buy 4/15/15 309,027 311,717 (2,690)
New Zealand Dollar Buy 4/15/15 68,097 63,066 5,031
Singapore Dollar Sell 5/20/15 37,133 37,598 465
Swedish Krona Buy 3/18/15 161,795 162,057 (262)
Swiss Franc Sell 3/18/15 39,042 9,366 (29,676)
Citibank, N.A.
Australian Dollar Buy 4/15/15 117,936 118,221 (285)
British Pound Buy 3/18/15 159,463 158,992 471
Canadian Dollar Buy 4/15/15 117,677 119,823 (2,146)
Danish Krone Sell 3/18/15 511,945 540,191 28,246
Euro Buy 3/18/15 807,084 866,027 (58,943)
Japanese Yen Sell 5/20/15 230,176 234,269 4,093
Mexican Peso Buy 4/15/15 313,282 304,420 8,862
New Zealand Dollar Buy 4/15/15 110,356 102,331 8,025
Norwegian Krone Sell 3/18/15 111,837 139,272 27,435
Philippine Peso Buy 5/20/15 157,857 158,323 (466)
Swiss Franc Sell 3/18/15 462,314 448,165 (14,149)
Credit Suisse International
Australian Dollar Sell 4/15/15 457,479 480,553 23,074
British Pound Buy 3/18/15 474,684 473,962 722
Canadian Dollar Sell 4/15/15 676,241 696,143 19,902
Euro Sell 3/18/15 360,507 440,354 79,847
Indian Rupee Buy 5/20/15 356,844 360,913 (4,069)
Japanese Yen Buy 5/20/15 1,070,275 1,088,894 (18,619)
New Zealand Dollar Buy 4/15/15 210,693 212,690 (1,997)
Norwegian Krone Buy 3/18/15 163,381 156,850 6,531
Swedish Krona Sell 3/18/15 170,252 164,648 (5,604)
Swiss Franc Buy 3/18/15 292,292 320,942 (28,650)
Swiss Franc Sell 3/18/15 310,028 305,643 (4,385)
Deutsche Bank AG
Australian Dollar Sell 4/15/15 161,743 160,123 (1,620)
British Pound Buy 3/18/15 159,617 157,494 2,123
British Pound Sell 3/18/15 154,678 157,157 2,479
Canadian Dollar Sell 4/15/15 142,779 143,269 490
Euro Buy 3/18/15 184,787 194,525 (9,738)
New Zealand Dollar Buy 4/15/15 211,446 200,809 10,637
Norwegian Krone Sell 3/18/15 252,829 313,280 60,451
Polish Zloty Sell 3/18/15 314,274 317,373 3,099
Swedish Krona Sell 3/18/15 305,631 317,167 11,536
Turkish Lira Buy 3/18/15 361,828 399,978 (38,150)
Goldman Sachs International
British Pound Sell 3/18/15 179,222 184,616 5,394
Canadian Dollar Sell 4/15/15 89,696 80,714 (8,982)
Euro Sell 3/18/15 171,020 237,986 66,966
New Zealand Dollar Buy 4/15/15 154,197 156,076 (1,879)
Norwegian Krone Sell 3/18/15 63,527 70,179 6,652
HSBC Bank USA, National Association
Australian Dollar Sell 4/15/15 397,069 403,799 6,730
British Pound Buy 3/18/15 155,295 157,199 (1,904)
Canadian Dollar Sell 4/15/15 416,665 434,559 17,894
Euro Buy 3/18/15 492,242 560,453 (68,211)
New Zealand Dollar Buy 4/15/15 150,129 151,935 (1,806)
Swedish Krona Sell 3/18/15 134,671 149,660 14,989
JPMorgan Chase Bank N.A.
Australian Dollar Buy 4/15/15 272,508 281,659 (9,151)
British Pound Sell 3/18/15 2,081,046 2,129,853 48,807
Canadian Dollar Sell 4/15/15 135,024 139,847 4,823
Euro Sell 3/18/15 499,629 540,797 41,168
Indian Rupee Sell 5/20/15 51,223 48,435 (2,788)
Japanese Yen Sell 5/20/15 97,429 99,088 1,659
Malaysian Ringgit Sell 5/20/15 286,921 284,907 (2,014)
Mexican Peso Buy 4/15/15 305,747 302,647 3,100
New Zealand Dollar Sell 4/15/15 130,393 125,971 (4,422)
Norwegian Krone Sell 3/18/15 372,751 406,872 34,121
Philippine Peso Buy 5/20/15 157,855 158,357 (502)
Singapore Dollar Sell 5/20/15 344,235 348,399 4,164
Swedish Krona Buy 3/18/15 316,416 316,616 (200)
Swiss Franc Sell 3/18/15 1,476,676 1,442,173 (34,503)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 4/15/15 242,809 243,400 (591)
British Pound Buy 3/18/15 583,514 585,606 (2,092)
Canadian Dollar Sell 4/15/15 441,927 459,647 17,720
Euro Sell 3/18/15 433,929 479,697 45,768
New Zealand Dollar Sell 4/15/15 20,263 15,265 (4,998)
Norwegian Krone Sell 3/18/15 114,758 128,246 13,488
Singapore Dollar Sell 5/20/15 610,394 617,782 7,388
Swedish Krona Buy 3/18/15 327,980 326,673 1,307
State Street Bank and Trust Co.
Australian Dollar Sell 4/15/15 663,029 678,865 15,836
British Pound Buy 3/18/15 322,631 314,468 8,163
Canadian Dollar Sell 4/15/15 528,905 551,301 22,396
Euro Buy 3/18/15 182,324 208,589 (26,265)
Hungarian Forint Buy 3/18/15 321,265 331,144 (9,879)
Israeli Shekel Buy 4/15/15 22,648 30,629 (7,981)
Japanese Yen Sell 5/20/15 156,042 158,756 2,714
Malaysian Ringgit Sell 5/20/15 302,492 298,774 (3,718)
New Zealand Dollar Buy 4/15/15 52,202 49,445 2,757
Norwegian Krone Buy 3/18/15 158,074 160,261 (2,187)
Norwegian Krone Sell 3/18/15 146,730 159,359 12,629
Singapore Dollar Sell 5/20/15 313,913 317,753 3,840
Swedish Krona Buy 3/18/15 277,487 311,847 (34,360)
Swedish Krona Sell 3/18/15 223,060 231,271 8,211
Swiss Franc Buy 3/18/15 602,110 626,314 (24,204)
Swiss Franc Sell 3/18/15 646,085 637,647 (8,438)
Turkish Lira Buy 3/18/15 579,060 632,020 (52,960)
UBS AG
Australian Dollar Sell 4/15/15 150,752 155,143 4,391
British Pound Buy 3/18/15 160,389 157,790 2,599
Canadian Dollar Sell 4/15/15 371,257 393,441 22,184
Euro Buy 3/18/15 36,375 16,128 20,247
Hungarian Forint Buy 3/18/15 288,715 315,346 (26,631)
Hungarian Forint Sell 3/18/15 288,715 318,023 29,308
Japanese Yen Sell 5/20/15 95,092 96,794 1,702
New Zealand Dollar Buy 4/15/15 457,845 455,627 2,218
Swedish Krona Sell 3/18/15 32,858 36,928 4,070
WestPac Banking Corp.
Australian Dollar Sell 4/15/15 176,319 181,481 5,162
British Pound Buy 3/18/15 305,805 311,673 (5,868)
Canadian Dollar Sell 4/15/15 324,970 348,454 23,484
Euro Buy 3/18/15 57,529 64,262 (6,733)
New Zealand Dollar Buy 4/15/15 369,334 373,783 (4,449)
Total $333,081












FUTURES CONTRACTS OUTSTANDING at 2/28/15 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bobl 5 yr (Long) 49 $7,193,053             Mar-15 $87,967
Euro-Bund 10 yr (Long) 44 7,851,524             Mar-15 317,274
Euro-Buxl 30 yr (Long) 21 3,917,459             Mar-15 420,190
Euro-Schatz 2 yr (Long) 13 1,619,372             Mar-15 5,465
Japanese Government Bond 10 yr 21 25,963,636             Mar-15 136,890
Russell 2000 Index Mini (Short) 28 3,448,480             Mar-15 (205,856)
S&P 500 Index E-Mini (Long) 9 946,258             Mar-15 23,378
Tokyo Price Index (Long) 32 4,080,752             Mar-15 238,224
U.K. Gilt 10 yr (Long) 33 6,040,795             Jun-15 (14,856)
U.S. Treasury Bond 30 yr (Long) 12 1,942,125             Jun-15 (8,171)
U.S. Treasury Bond Ultra 30 yr (Long) 19 3,197,344             Jun-15 74,212
U.S. Treasury Bond Ultra 30 yr (Short) 1 168,281             Jun-15 (3,924)
U.S. Treasury Note 10 yr (Long) 23 2,939,328             Jun-15 18,462
U.S. Treasury Note 10 yr (Short) 81 10,351,547             Jun-15 (62,810)
U.S. Treasury Note 5 yr (Long) 62 7,395,438             Jun-15 25,548
U.S. Treasury Note 5 yr (Short) 21 2,504,906             Jun-15 (6,464)
U.S. Treasury Note 2 yr (Long) 33 7,213,078             Jun-15 7,153
Total $1,052,682












WRITTEN OPTIONS OUTSTANDING at 2/28/15 (premiums $24,808) (Unaudited)


Expiration       Contract
date/strike price       amount Value
SPDR S&P 500 ETF Trust (Call) Mar-15/$217.00        $95,416 $24,808
Total $24,808












TBA SALE COMMITMENTS OUTSTANDING at 2/28/15 (proceeds receivable $8,548,750) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4s, March 1, 2045 $8,000,000       3/12/15 $8,554,375
Total $8,554,375















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/28/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$5,300,000 (E) $(37,017)     3/18/17 3 month USD-LIBOR-BBA 1.25% $(527)
14,966,000 (E) 62,933      3/18/17 1.25% 3 month USD-LIBOR-BBA (40,107)
7,300,000 (E) (171,647)     3/18/20 3 month USD-LIBOR-BBA 2.25% 33,365
3,466,000 (E) 60,953      3/18/20 2.25% 3 month USD-LIBOR-BBA (36,386)
56,300,000 (E) (3,569,739)     3/18/25 3 month USD-LIBOR-BBA 3.00% 894,794
3,049,000 (E) 173,795      3/18/25 3.00% 3 month USD-LIBOR-BBA (67,987)
1,500,000 (E) (238,497)     3/18/45 3 month USD-LIBOR-BBA 3.50% 95,218
423,000 (E) 59,279      3/18/45 3.50% 3 month USD-LIBOR-BBA (34,829)
1,800,000 (E) (7,243)     3/18/25 3 month USD-LIBOR-BBA 2.00% (30,210)
400,000 (E) (16,583)     3/18/45 3 month USD-LIBOR-BBA 2.50% (15,969)
60,000 (1)     2/6/25 1.9805% 3 month USD-LIBOR-BBA 706
60,000 (1)     2/6/25 1.98407% 3 month USD-LIBOR-BBA 686
2,542,000 84      2/6/17 3 month USD-LIBOR-BBA 0.776% (2,250)
443,000 (506)     2/6/25 1.9575% 3 month USD-LIBOR-BBA 5,654
32,000 92      2/6/45 2.36% 3 month USD-LIBOR-BBA 947
50,000 (2)     3/3/45 2.4925% 3 month USD-LIBOR-BBA (63)
779,000 (6)     3/3/20 3 month USD-LIBOR-BBA 1.65028% 30
1,111,000 (4)     3/3/17 3 month USD-LIBOR-BBA 0.8775% 80
389,000 (5)     3/3/25 2.124% 3 month USD-LIBOR-BBA (61)
50,000 (2)     3/3/45 2.4995% 3 month USD-LIBOR-BBA (140)
Total$(3,684,117)     $802,951
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/15 (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.
$3,800,000 $—      9/21/21 (2.305%) USA Non Revised Consumer Price Index- Urban (CPI-U) $(238,328)
5,000,000 —      7/19/23 (2.585%) USA Non Revised Consumer Price Index- Urban (CPI-U) (391,315)
4,000,000 —      6/10/24 (2.50%) USA Non Revised Consumer Price Index- Urban (CPI-U) (253,196)
1,000,000 —      11/7/24 (2.2625%) USA Non Revised Consumer Price Index- Urban (CPI-U) (34,078)
1,000,000 —      12/8/24 (2.075%) USA Non Revised Consumer Price Index- Urban (CPI-U) (13,964)
baskets 225,115 —      10/19/15 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF4) of common stocks 2,248,817
units 5,751 —      10/19/15 3 month USD-LIBOR-BBA minus 0.07% Russell 1000 Total Return Index (1,736,482)
Barclays Bank PLC
$3,986,260 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 10,843
3,700,000 —      5/8/23 (2.59%) USA Non Revised Consumer Price Index- Urban (CPI-U) (317,497)
3,600,000 —      7/19/23 (2.569%) USA Non Revised Consumer Price Index- Urban (CPI-U) (272,383)
Citibank, N.A.
1,500,000 —      8/7/22 2.515% USA Non Revised Consumer Price Index- Urban (CPI-U) 120,525
baskets 69 —      12/17/15 (3 month USD-LIBOR-BBA plus 42 bp) A basket (CGPUTQL2) of common stocks 462,768
units 1,512 —      12/17/15 3 month USD-LIBOR-BBA plus 15 bp Russell 1000 Total Return Index (469,626)
Credit Suisse International
$2,600,000 —      1/9/23 (2.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) (278,541)
3,400,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (275,879)
1,600,000 —      8/8/22 (2.5325%) USA Non Revised Consumer Price Index- Urban (CPI-U) (132,682)
700,000 —      9/10/22 (2.5925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (60,054)
3,300,000 —      2/8/23 (2.81%) USA Non Revised Consumer Price Index- Urban (CPI-U) (359,208)
6,900,000 —      7/19/23 (2.57%) USA Non Revised Consumer Price Index- Urban (CPI-U) (530,555)
shares 94,529 —      7/1/15 (3 month USD-LIBOR-BBA plus 15 bp) Common stock of Vanguard FTSE Emerging Markets ETF 209,304
shares 18,900 —      6/8/15 (3 month USD-LIBOR-BBA plus 20 bp) Common stock of Vanguard FTSE Emerging Markets ETF 20,658
shares 37,583 —      9/21/15 (3 month USD-LIBOR-BBA plus 0.20%) Vanguard Index Funds - MSCI Emerging Markets ETF 85,263
Deutsche Bank AG
$500,000 —      11/7/21 (2.43%) USA Non Revised Consumer Price Index- Urban (CPI-U) (38,844)
Goldman Sachs International
1,500,000 —      10/5/22 (2.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) (151,350)
1,700,000 —      4/5/23 (2.7475%) USA Non Revised Consumer Price Index- Urban (CPI-U) (172,465)
4,400,000 —      7/19/23 (2.58%) USA Non Revised Consumer Price Index- Urban (CPI-U) (343,112)
baskets 3,859 —      12/15/15 (1 month USD-LIBOR-BBA plus 90 bp) A basket (GSCBSAUD) of common stocks (69,698)
JPMorgan Chase Bank N.A.
$13,500,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (1,087,855)
shares 11,620 —      7/14/15 (3 month USD-LIBOR-BBA plus 26 bp) Common stock of Vanguard FTSE Emerging Markets ETF 22,123
Total$—     $(4,046,811)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/28/15 (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)
Barclays Bank PLC
  EM Series 22 Index BBB-/P $84,700 $700,000 12/20/19 100 bp $3,967
  EM Series 22 Index BBB-/P 158,730 1,300,000 12/20/19 100 bp 9,844
  EM Series 22 Index BBB-/P 151,290 2,050,000 12/20/19 100 bp (82,581)
  EM Series 22 Index BBB-/P 1,196,246 14,500,000 12/20/19 100 bp (457,958)
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 28,126 367,000 5/11/63 300 bp 31,955
  CMBX NA BBB- Index BBB-/P 1,641 40,000 5/11/63 300 bp 2,059
  CMBX NA BBB- Index BBB-/P 353 23,000 5/11/63 300 bp 593
  CMBX NA BBB- Index BBB-/P 1,940 20,000 5/11/63 300 bp 2,149
  CMBX NA BBB- Index BBB-/P 1,596 20,000 5/11/63 300 bp 1,804
  CMBX NA BBB- Index BBB-/P 1,549 20,000 5/11/63 300 bp 1,757
  CMBX NA BBB- Index BBB-/P 1,316 20,000 5/11/63 300 bp 1,524
  CMBX NA BBB- Index BBB-/P 243 8,000 5/11/63 300 bp 327
  CMBX NA BB Index — (22) 6,000 5/11/63 (500 bp) (85)
  CMBX NA BB Index BB/P 33 6,000 5/11/63 (500 bp) (31)
  CMBX NA BB Index — (77) 10,000 5/11/63 (500 bp) (182)
  CMBX NA BB Index — (96) 10,000 5/11/63 (500 bp) (201)
  CMBX NA BB Index — (91) 10,000 5/11/63 (500 bp) (197)
  CMBX NA BB Index — 220 11,000 5/11/63 (500 bp) 104
  CMBX NA BB Index — 581 22,000 5/11/63 (500 bp) 349
  CMBX NA BB Index — 340 22,000 5/11/63 (500 bp) 108
  CMBX NA BB Index — 227 22,000 5/11/63 (500 bp) (5)
  CMBX NA BB Index — (384) 22,000 5/11/63 (500 bp) (616)
  CMBX NA BB Index — (157) 30,000 5/11/63 (500 bp) (473)
  CMBX NA BB Index — (427) 22,000 5/11/63 (500 bp) (659)
  CMBX NA BBB- Index BBB-/P 44 33,000 5/11/63 300 bp 388
  CMBX NA BBB- Index BBB-/P 102 22,000 5/11/63 300 bp 331
  CMBX NA BBB- Index BBB-/P (221) 22,000 5/11/63 300 bp 9
  CMBX NA BBB- Index BBB-/P 83 18,000 5/11/63 300 bp 271
  CMBX NA BBB- Index BBB-/P 179 15,000 5/11/63 300 bp 335
  CMBX NA BBB- Index BBB-/P 149 15,000 5/11/63 300 bp 306
  CMBX NA BBB- Index BBB-/P (140) 15,000 5/11/63 300 bp 16
  CMBX NA BBB- Index BBB-/P (150) 15,000 5/11/63 300 bp 6
  CMBX NA BBB- Index BBB-/P (50) 15,000 5/11/63 300 bp 106
  CMBX NA BBB- Index BBB-/P (50) 15,000 5/11/63 300 bp 106
  CMBX NA BBB- Index BBB-/P (126) 15,000 5/11/63 300 bp 31
  CMBX NA BBB- Index BBB-/P 79 13,000 5/11/63 300 bp 215
  CMBX NA BBB- Index BBB-/P 7 11,000 5/11/63 300 bp 122
  CMBX NA BBB- Index BBB-/P (42) 7,000 5/11/63 300 bp 31
  CMBX NA BBB- Index BBB-/P 11 4,000 5/11/63 300 bp 53
  CMBX NA BBB- Index — (1,220) 26,000 1/17/47 (300 bp) (964)
  CMBX NA BBB- Index — (1,469) 26,000 1/17/47 (300 bp) (1,212)
Deutsche Bank AG
  EM Series 22 Index BBB-/P 60,550 700,000 12/20/19 100 bp (19,308)
Goldman Sachs International
  CMBX NA BBB- Index BBB-/P (166) 24,000 5/11/63 300 bp 84
  CMBX NA BB Index BB/P 31 3,000 5/11/63 (500 bp) (1)
  CMBX NA BB Index — 4 3,000 5/11/63 (500 bp) (28)
  CMBX NA BB Index — (96) 10,000 5/11/63 (500 bp) (202)
  CMBX NA BB Index — 249 11,000 5/11/63 (500 bp) 133
  CMBX NA BB Index — (201) 19,000 5/11/63 (500 bp) (403)
  CMBX NA BBB- Index BBB-/P (120) 15,000 5/11/63 300 bp 36
  CMBX NA BBB- Index BBB-/P (140) 15,000 5/11/63 300 bp 16
  CMBX NA BBB- Index BBB-/P (150) 15,000 5/11/63 300 bp 6
  CMBX NA BBB- Index BBB-/P (150) 15,000 5/11/63 300 bp 6
  CMBX NA BBB- Index BBB-/P (60) 15,000 5/11/63 300 bp 96
  CMBX NA BBB- Index BBB-/P 84 14,000 5/11/63 300 bp 230
  CMBX NA BBB- Index BBB-/P 160 14,000 5/11/63 300 bp 306
Total$1,685,058$(505,327)
*   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 February 28, 2015. Securities rated by Putnam are indicated by “/P.”   











CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/28/15 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
  NA HY Series 23 Index — $(391,500) $6,454,800 12/20/19 (500 bp) $160,801
  NA IG Series 23 Index — (168,477) 12,200,000 12/20/19 (100 bp) 68,720
Total$(559,977)$229,521
*   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 February 28, 2015.   










Key to holding's currency abbreviations
CAD Canadian Dollar
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
ADS American Depository Shares: represents ownership of foreign securities on deposit with a custodian bank
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period.
BKNT Bank Note
bp Basis Points
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
GMTN Global Medium Term Notes
IO Interest Only
MTN Medium Term Notes
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from June 1, 2014 through February 28, 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 $215,989,147.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(b) The aggregate identified cost on a tax basis is $232,636,992, resulting in gross unrealized appreciation and depreciation of $15,075,838 and $3,808,661, respectively, or net unrealized appreciation of $11,267,177.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Money Market Liquidity Fund* $10,960,847 $28,992,041 $25,962,939 $7,965 $13,989,949
Putnam Short Term Investment Fund* 35,761,784 54,283,264 48,909,285 20,856 41,135,763
Totals $46,722,631 $83,275,305 $74,872,224 $28,821 $55,125,712
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(d) Affiliated company. The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral.
The fund received cash collateral of $93,812, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $92,022. Certain of these securities were sold prior to the close of the reporting period.
(F) This security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(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.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
At the close of the reporting period, the fund maintained liquid assets totaling $134,575,501 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 have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, to enhance the return on securities owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates, and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates, and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, to gain exposure to specific sectors or industries, and to generate additional income for the portfolio.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk, and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage backed and other asset backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral 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 $5,326,384 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $5,989,973 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Basic materials $3,441,929 $615,609 $—
    Capital goods 4,710,001 397,784 —
    Communication services 1,767,748 265,020 —
    Conglomerates 1,047,906 30,752 —
    Consumer cyclicals 9,509,348 1,269,244 —
    Consumer staples 7,673,967 374,751 —
    Energy 4,101,546 75,136 —
    Financials 22,223,904 2,620,424 —
    Health care 10,545,316 351,164 —
    Technology 9,666,007 981,240 —
    Transportation 1,583,968 298,010 —
    Utilities and power 2,974,671 152,344 —
Total common stocks 79,246,311 7,431,478 —
Asset-backed securities — — 4,394,000
Commodity linked notes — 8,221,675 —
Convertible bonds and notes — 42,503 —
Convertible preferred stocks — 38,363 —
Corporate bonds and notes — 44,800,175 —**
Foreign government and agency bonds and notes — 1,053,372 —
Investment companies 28,881 — —
Mortgage-backed securities — 7,332,927 —
Preferred stocks 209,996 117,962 —
Purchased options outstanding — 842,215 —
Senior loans — 422,478 —
U.S. government and agency mortgage obligations — 23,424,540 —
Short-term investments 55,215,712 11,175,393 —
Totals by level $134,700,900 $104,903,081 $4,394,000



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $333,081 $—
Futures contracts 1,052,682 — —
Written options outstanding — (24,808) —
TBA sale commitments — (8,554,375) —
Interest rate swap contracts — 4,487,068 —
Total return swap contracts — (4,046,811) —
Credit default contracts — (1,400,887) —
Totals by level $1,052,682 $(9,206,732) $—


** Value of Level 3 security is $—.
During the reporting period, transfers within the fair value hierarchy, if any, (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above) did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.
The following is a reconciliation of Level 3 assets as of the close of the reporting period:

Investments in securities: Balance as of May 31, 2014Accrued 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 February 28, 2015
Asset-backed securities $—$—$—$—$—$—$4,394,000$4,394,000
Totals: $— $— $— $— $— $— $4,394,000 $4,394,000

† Transfers during the 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.

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 $799,188 $2,200,075
Foreign exchange contracts 961,841 628,760
Equity contracts 4,152,750 2,506,470
Interest rate contracts 6,273,422 5,609,356
Total $12,187,201 $10,944,661


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased equity option contracts (contract amount)$250,000
Written equity option contracts (contract amount)$170,000
Futures contracts (number of contracts)600
Forward currency contracts (contract amount)$89,600,000
Centrally cleared interest rate swap contracts (notional)$88,400,000
OTC total return swap contracts (notional)$160,400,000
OTC credit default contracts (notional)$17,900,000
Centrally cleared credit default contracts (notional)$28,300,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  Centrally cleared interest rate swap contracts§    –  –  81,949  –  –  –  –  –  –  –  –  –  –  –    81,949
  OTC Total return swap contracts*#    2,248,817  10,843  –  583,293  315,225  –  –  –  22,123  –  –  –  –  –    3,180,301
  OTC Credit default contracts*#    –  –  –  –  8,368  –  1,322  –  –  –  –  –  –  –    9,690
  Centrally cleared credit default contracts§    –  –  5,769  –  –  –  –  –  –  –  –  –  –  –    5,769
  Futures contracts§    –  –  –  –  –  –  –  –  –  50,805  –  –  –  –    50,805
  Forward currency contracts#    63,003  66,766  –  77,132  130,076  90,815  79,012  39,613  137,842  –  85,671  76,546  86,719  28,646    961,841
  Purchased options#    –  157,652  –  –  –  –  –  –  684,563  –  –  –  –  –    842,215
                                     
  Total Assets  $2,311,820  $235,261  $87,718  $660,425  $453,669  $90,815  $80,334  $39,613  $844,528  $50,805  $85,671  $76,546  $86,719  $28,646  $5,132,570
                                     
  Liabilities:                                  
  Centrally cleared interest rate swap contracts§    –  –  5,920  –  –  –    –  –  –  –  –  –  –    5,920
  OTC Total return swap contracts*#    2,667,363  589,880  –  469,626  1,636,919  38,844  736,625  –  1,087,855  –  –  –  –  –    7,227,112
  OTC Credit default contracts*#    –  2,117,694  –  –  2,035  79,858  488  –  –  –  –  –  –  –    2,200,075
  Centrally cleared credit default contracts§    –  –  –  –  –  –  –  –  –  –  –  –  –  –    –
  Futures contracts§    –  –  –  –  –  –  –  –  –  89,783  –  –  –  –    89,783
  Forward currency contracts#    49,595  32,628  –  75,989  63,324  49,508  10,861  71,921  53,580  –  7,681  169,992  26,631  17,050    628,760
  Written options#    –  –  –  24,808  –  –  –  –  –  –  –  –  –  –    24,808
                                     
  Total Liabilities  $2,716,958  $2,740,202  $5,920  $570,423  $1,702,278  $168,210  $747,974  $71,921  $1,141,435  $89,783  $7,681  $169,992  $26,631  $17,050  $10,176,458
                                     
  Total Financial and Derivative Net Assets    $(405,138)  $(2,504,941)  $81,798  $90,002  $(1,248,609)  $(77,395)  $(667,640)  $(32,308)  $(296,907)  $(38,978)  $77,990  $(93,446)  $60,088  $11,596    $(5,043,888)
  Total collateral received (pledged)##†    $(405,138)  $(2,504,941)  $–  $90,000  $(1,248,609)  $(77,395)  $(667,640)  $–  $(296,907)  $–  $–  $–  $–  $–    
  Net amount    $–  $–  $81,798  $2  $–  $–  $–  $(32,308)  $–  $(38,978)  $77,990  $(93,446)  $60,088  $11,596    
                                     
* 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: April 28, 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: April 28, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: April 28, 2015

EX-99.CERT 2 b_ec2certifications.htm EX-99.CERT b_ec2certifications.htm

Certifications

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

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

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

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

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


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


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


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


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

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


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


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

/s/ Jonathan S. Horwitz
_____________________________

Date: April 28, 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: April 28, 2015
Steven D. Krichmar
Principal Financial Officer














Attachment A

NQ

Period (s) ended February 28, 2015
               Putnam Arizona Tax Exempt Income Fund
               Putnam Minnesota Tax Exempt Income Fund
               Putnam Massachusetts Tax Exempt Income Fund
               Putnam New York Tax Exempt Income Fund
               Putnam High Yield Advantage Fund
               Putnam Equity Income Fund
               Putnam Pennsylvania Tax Exempt Income Fund
               Putnam Ohio Tax Exempt Income Fund
               Putnam New Jersey Tax Exempt Income Fund
               Putnam Michigan Tax Exempt Income Fund
               Putnam Dynamic Asset Allocation Equity Fund
               Putnam Dynamic Risk Allocation Fund
               Putnam Short Term Municipal Income Fund
               Putnam Intermediate Term Municipal Income Fund
               Putnam Emerging Markets Income Fund
               Putnam Global Dividend Fund