N-Q 1 a_dynamicriskallocation.htm PUTNAM FUNDS TRUST a_dynamicriskallocation.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: May 31, 2016
Date of reporting period: August 31, 2015



Item 1. Schedule of Investments:













Putnam Dynamic Risk Allocation Fund

The fund's portfolio
8/31/15 (Unaudited)
COMMON STOCKS (38.2%)(a)
Shares Value
Basic materials (1.4%)
Aceto Corp. 378 $8,471
Airgas, Inc. 1,178 113,701
Amcor, Ltd. (Australia) 13,121 128,111
American Vanguard Corp. 1,460 19,506
Andersons, Inc. (The) 330 11,675
Antofagasta PLC (Chile) 5,420 50,198
ArcelorMittal SA (France) 6,851 53,042
BASF SE (Germany) 1,507 121,456
Bemis Co., Inc. 2,185 92,688
BHP Billiton PLC (Australia) 2,110 36,224
BHP Billiton, Ltd. (Australia) 4,223 75,673
Cabot Corp. 257 8,705
Cambrex Corp.(NON) 602 28,782
Chicago Bridge & Iron Co. NV(S) 473 20,944
Continental Building Products, Inc.(NON) 1,324 26,467
Domtar Corp. (Canada) 371 14,918
EMS-Chemie Holding AG (Switzerland) 204 91,697
Evonik Industries AG (Germany) 968 36,069
Fortescue Metals Group, Ltd. (Australia)(S) 36,648 49,814
Glencore PLC (United Kingdom) 15,833 35,824
Innophos Holdings, Inc. 296 14,229
Innospec, Inc. 383 18,805
KapStone Paper and Packaging Corp. 1,088 23,708
Royal Boskalis Westminster NV (Netherlands) 1,435 74,616
Kraton Performance Polymers, Inc.(NON) 411 8,676
Kuraray Co., Ltd. (Japan) 3,700 43,795
Minerals Technologies, Inc. 138 7,423
Mitsubishi Gas Chemical Co., Inc. (Japan) 5,000 24,415
Mitsubishi Materials Corp. (Japan) 26,000 83,639
Nitto Denko Corp. (Japan) 2,300 155,034
NN, Inc. 1,055 25,542
Orion Engineered Carbons SA (Luxembourg) 919 15,072
Patrick Industries, Inc.(NON) 664 25,093
Rio Tinto PLC (United Kingdom) 1,802 65,252
SBA Communications Corp. Class A(NON) 314 37,115
Sherwin-Williams Co. (The) 646 165,253
Sumitomo Metal Mining Co., Ltd. (Japan) 6,000 76,265
ThyssenKrupp AG (Germany) 6,463 140,247
Trex Co., Inc.(NON) 139 5,395
UPM-Kymmene OYJ (Finland) 6,512 108,061
US Concrete, Inc.(NON) 353 18,278
voestalpine AG (Austria) 595 21,670
Wendel SA (France) 796 101,889
WestRock Co. 9,844 584,241
2,867,678
Capital goods (2.6%)
ABB, Ltd. (Switzerland) 5,969 115,068
Airbus Group SE (France) 624 40,381
Allison Transmission Holdings, Inc. 8,846 252,996
Altra Industrial Motion Corp. 585 14,631
Argan, Inc. 492 19,262
Avery Dennison Corp. 4,222 245,214
AZZ, Inc. 226 11,436
BAE Systems PLC (United Kingdom) 18,590 127,934
Boeing Co. (The) 3,582 468,096
Chase Corp. 195 7,703
Cooper-Standard Holding, Inc.(NON) 342 19,638
Cubic Corp. 606 25,525
Deere & Co. 8,246 674,358
Douglas Dynamics, Inc. 304 6,755
General Dynamics Corp. 5,339 758,298
Hyster-Yale Materials Holdings, Inc. 160 9,722
Kadant, Inc. 456 20,287
MasTec, Inc.(NON) 1,333 22,074
Matrix Service Co.(NON) 1,011 20,220
Miller Industries, Inc. 554 12,016
Mitsubishi Electric Corp. (Japan) 15,000 149,833
MSA Safety, Inc. 188 8,550
Orbital ATK, Inc. 1,807 136,808
OSRAM Licht AG (Germany) 1,531 80,980
Safran SA (France) 2,655 206,346
Sandvik AB (Sweden) 13,811 132,852
Standex International Corp. 212 16,964
Staples, Inc. 45,232 642,747
Stoneridge, Inc.(NON) 1,286 15,702
Tetra Tech, Inc. 1,213 31,514
THK Co., Ltd. (Japan) 3,900 67,844
TransDigm Group, Inc.(NON) 1,084 249,136
Trinseo SA(NON)(S) 1,386 40,388
Triumph Group, Inc. 343 16,941
Wabash National Corp.(NON)(S) 2,079 25,426
Waste Management, Inc. 9,521 476,621
5,170,266
Communication services (1.3%)
AT&T, Inc. 10,266 340,831
BT Group PLC (United Kingdom) 26,389 175,805
CalAmp Corp.(NON) 1,069 17,767
Cincinnati Bell, Inc.(NON) 5,149 17,661
Deutsche Telekom AG (Germany) 8,314 142,234
EchoStar Corp. Class A(NON) 658 29,347
Frontier Communications Corp. 3,363 17,050
IDT Corp. Class B 457 7,138
Inteliquent, Inc. 667 12,219
Iridium Communications, Inc.(NON)(S) 1,177 8,769
NeuStar, Inc. Class A(NON) 492 13,751
Nippon Telegraph & Telephone (NTT) Corp. (Japan) 3,500 133,652
NTT DoCoMo, Inc. (Japan) 6,900 144,477
Orange SA (France) 7,171 113,106
ShoreTel, Inc.(NON) 1,207 8,980
Sky PLC (United Kingdom) 13,803 220,359
Spok Holdings, Inc. 585 9,658
Telefonica SA (Spain) 4,731 66,728
Telenor ASA (Norway) 4,158 82,869
Telstra Corp., Ltd. (Australia) 28,558 117,265
Ubiquiti Networks, Inc. 282 9,915
Verizon Communications, Inc. 18,903 869,727
Vodafone Group PLC (United Kingdom) 18,919 65,284
2,624,592
Conglomerates (—%)
Siemens AG (Germany) 909 90,233
90,233
Consumer cyclicals (4.9%)
Adecco SA (Switzerland) 1,966 154,097
Ascena Retail Group, Inc.(NON) 1,309 15,800
Automatic Data Processing, Inc. 9,789 756,885
Big Lots, Inc. 528 25,339
Brunswick Corp. 386 19,188
CaesarStone Sdot-Yam, Ltd. (Israel) 178 7,083
Caleres, Inc. 714 23,776
Carmike Cinemas, Inc.(NON) 846 20,177
Carter's, Inc. 1,201 118,070
CEB, Inc. 120 8,594
Cedar Fair LP 356 19,644
Children's Place, Inc. (The) 268 16,059
Cie Generale des Etablissements Michelin (France) 1,680 162,267
Clorox Co. (The) 1,472 163,642
Conn's, Inc.(NON) 516 15,403
Continental AG (Germany) 1,045 222,217
Cooper Tire & Rubber Co. 695 26,827
Dai Nippon Printing Co., Ltd. (Japan) 22,000 226,560
Deckers Outdoor Corp.(NON) 262 16,870
Deluxe Corp. 735 42,637
Dillards, Inc. Class A 247 22,850
Discovery Communications, Inc. Class A(NON)(S) 809 21,519
Discovery Communications, Inc. Class C(NON) 5,066 128,474
Dollar General Corp. 6,743 502,286
DSW, Inc. Class A 570 16,923
Ennis, Inc. 650 10,615
Eros International PLC(NON) 445 14,738
Ethan Allen Interiors, Inc. 1,012 30,107
Everi Holdings, Inc.(NON) 1,488 7,693
Express, Inc.(NON) 1,088 22,195
FactSet Research Systems, Inc. 706 111,492
Five Below, Inc.(NON) 251 9,706
Fuji Heavy Industries, Ltd. (Japan) 5,700 200,782
G&K Services, Inc. Class A 277 18,728
G-III Apparel Group, Ltd.(NON) 219 15,183
Gartner, Inc.(NON) 1,479 126,469
Gray Television, Inc.(NON) 2,683 31,096
Harley-Davidson, Inc. 775 43,439
Heartland Payment Systems, Inc. 170 10,129
Host Hotels & Resorts, Inc.(R) 4,748 84,182
Inditex SA (Spain) 3,293 109,697
ITV PLC (United Kingdom) 55,076 209,476
KAR Auction Services, Inc. 739 27,373
Kingfisher PLC (United Kingdom) 39,247 212,753
Lagardere SCA (France) 4,990 135,220
Landauer, Inc. 549 21,087
Lear Corp. 400 41,116
Liberty Media Corp.(NON) 732 26,513
LifeLock, Inc.(NON) 597 5,045
Lions Gate Entertainment Corp. 1,115 40,909
Live Nation Entertainment, Inc.(NON) 773 19,031
Macy's, Inc. 8,103 474,917
Malibu Boats, Inc. Class A(NON) 962 16,614
Marcus Corp. 1,004 19,488
Marks & Spencer Group PLC (United Kingdom) 19,938 158,090
Marriott Vacations Worldwide Corp. 275 19,528
MCBC Holdings, Inc.(NON) 821 12,233
Men's Wearhouse, Inc. (The) 500 28,225
Morningstar, Inc. 328 26,168
National CineMedia, Inc. 1,286 16,911
Next PLC (United Kingdom) 313 38,064
NIKE, Inc. Class B 7,581 847,177
Omnicom Group, Inc. 8,741 585,472
Oxford Industries, Inc. 329 27,689
Panasonic Corp. (Japan) 13,100 144,523
PayPal Holdings, Inc.(NON) 2,632 92,120
Penn National Gaming, Inc.(NON) 990 17,978
Peugeot SA (France)(NON) 5,736 98,707
PGT, Inc.(NON) 2,220 29,681
Pitney Bowes, Inc. 664 13,154
Publicis Groupe SA (France) 1,311 93,093
RE/MAX Holdings, Inc. Class A 678 24,869
Regal Entertainment Group Class A 1,287 24,479
Rollins, Inc. 2,393 66,813
Ryman Hospitality Properties(R) 2,234 114,448
Scotts Miracle-Gro Co. (The) Class A 431 26,804
Scripps Networks Interactive Class A 6,182 328,202
SeaWorld Entertainment, Inc. 1,102 19,616
Securitas AB Class B (Sweden) 9,032 114,821
Sequential Brands Group, Inc.(NON) 669 10,952
Shimamura Co., Ltd. (Japan) 500 46,233
Smith & Wesson Holding Corp.(NON) 1,517 27,427
Sotheby's Class A 349 12,288
Steven Madden, Ltd.(NON) 241 9,847
Target Corp. 10,100 784,871
Thomson Reuters Corp. (Canada) 4,152 161,181
Thor Industries, Inc. 1,799 98,189
Toppan Printing Co., Ltd. (Japan) 11,000 91,368
Vail Resorts, Inc. 102 11,007
Valeo SA (France) 1,004 125,822
Vantiv, Inc. Class A(NON) 2,849 125,470
Vince Holding Corp.(NON) 394 3,617
Vista Outdoor, Inc.(NON) 186 8,697
Visteon Corp.(NON) 221 22,025
Wal-Mart Stores, Inc. 4,355 281,899
Wolverine World Wide, Inc. 687 18,515
9,657,253
Consumer staples (3.6%)
Altria Group, Inc. 16,750 897,465
Avis Budget Group, Inc.(NON) 611 26,963
Avon Products, Inc. 985 5,112
Barrett Business Services, Inc. 139 4,955
Beacon Roofing Supply, Inc.(NON) 610 22,113
Bloomin' Brands, Inc. 1,125 23,288
Bright Horizons Family Solutions, Inc.(NON) 239 14,608
Brinker International, Inc. 452 24,015
British American Tobacco PLC (United Kingdom) 1,915 101,950
Buffalo Wild Wings, Inc.(NON) 41 7,777
Bunge, Ltd. 2,770 200,687
Cal-Maine Foods, Inc. 364 19,336
Colgate-Palmolive Co. 8,786 551,849
ConAgra Foods, Inc. 6,663 277,714
Coty, Inc. Class A(NON) 1,130 34,250
Distribuidora Internacional de Alimentacion SA (Spain) 9,022 54,265
Dunkin' Brands Group, Inc. 7,826 392,552
Farmer Bros. Co.(NON) 249 5,692
Geo Group, Inc. (The)(R) 2,464 73,994
Grand Canyon Education, Inc.(NON) 574 21,215
Groupon, Inc.(NON) 1,933 8,699
Imperial Tobacco Group PLC (United Kingdom) 3,033 145,711
ITOCHU Corp. (Japan) 4,500 54,025
ITT Educational Services, Inc.(NON) 339 1,292
J Sainsbury PLC (United Kingdom) 9,594 35,435
John B. Sanfilippo & Son, Inc. 634 32,771
Kao Corp. (Japan) 3,600 164,863
Kforce, Inc. 894 23,950
Koninklijke Ahold NV (Netherlands) 9,915 195,466
Korn/Ferry International 482 16,422
Kraft Heinz Co. (The) 10,015 727,690
Kroger Co. (The) 19,904 686,688
L'Oreal SA (France) 377 64,255
McDonald's Corp. 7,923 752,843
METRO AG (Germany) 670 19,571
Monster Worldwide, Inc.(NON) 4,466 32,468
Nestle SA (Switzerland) 5,762 423,340
Nomad Foods, Ltd. (British Virgin Islands)(NON) 301 5,957
Nutraceutical International Corp.(NON) 318 7,708
On Assignment, Inc.(NON) 906 32,598
Papa John's International, Inc. 210 14,123
Paylocity Holding Corp.(NON) 177 5,845
Pinnacle Foods, Inc. 6,914 310,024
Reckitt Benckiser Group PLC (United Kingdom) 1,087 95,344
Sally Beauty Holdings, Inc.(NON) 638 16,677
Shutterfly, Inc.(NON) 101 3,925
Sonic Corp. 713 19,251
SpartanNash Co. 758 21,451
Swedish Match AB (Sweden) 3,756 110,768
Team Health Holdings, Inc.(NON) 143 8,400
TrueBlue, Inc.(NON) 890 21,360
Unilever NV ADR (Netherlands) 2,549 101,931
Unilever PLC (United Kingdom) 1,857 74,307
WH Group, Ltd. 144A (Hong Kong)(NON) 75,000 39,387
Woolworths, Ltd. (Australia) 1,462 27,467
7,061,812
Energy (2.2%)
BP PLC (United Kingdom) 46,749 256,361
Callon Petroleum Co.(NON) 3,263 29,922
Columbia Pipeline Group, Inc. 13,227 335,437
Delek US Holdings, Inc. 520 15,995
Diamondback Energy, Inc.(NON) 95 6,488
EP Energy Corp. Class A(NON) 1,182 8,380
Exxon Mobil Corp. 18,145 1,365,230
Gulfport Energy Corp.(NON) 309 11,071
Neste Oil OYJ (Finland) 2,972 75,997
Northern Oil and Gas, Inc.(NON)(S) 1,940 11,698
Occidental Petroleum Corp. 11,798 861,372
OMV AG (Austria) 8,278 212,307
Pacific Ethanol, Inc.(NON) 1,407 9,962
REX American Resources Corp.(NON) 321 17,212
Royal Dutch Shell PLC Class A (United Kingdom) 5,876 152,298
Royal Dutch Shell PLC Class B (United Kingdom) 5,354 139,700
Schlumberger, Ltd. 3,451 267,004
SM Energy Co. 300 11,010
Statoil ASA (Norway) 14,451 219,347
Stone Energy Corp.(NON) 458 2,597
Total SA (France) 3,852 175,248
Vestas Wind Systems A/S (Denmark) 3,403 181,093
Whiting Petroleum Corp.(NON) 457 8,834
Woodside Petroleum, Ltd. (Australia) 2,558 58,726
4,433,289
Financials (9.5%)
3i Group PLC (United Kingdom) 26,384 197,307
Access National Corp. 435 8,887
AG Mortgage Investment Trust, Inc.(R) 248 4,099
Ageas (Belgium) 3,415 139,281
Agree Realty Corp.(R) 406 11,551
AIA Group, Ltd. (Hong Kong) 4,400 24,328
Alexandria Real Estate Equities, Inc.(R) 1,712 147,215
Allianz SE (Germany) 1,135 181,183
Allied World Assurance Co. Holdings AG 4,700 187,718
American Capital Agency Corp.(R) 23,043 440,813
American Equity Investment Life Holding Co.(S) 1,023 24,818
American Financial Group, Inc. 1,499 103,521
Amtrust Financial Services, Inc. 500 29,075
Annaly Capital Management, Inc.(R) 51,029 513,352
Apartment Investment & Management Co. Class A(R) 2,982 107,441
Apollo Commercial Real Estate Finance, Inc.(R) 646 10,575
Apollo Residential Mortgage, Inc.(R) 1,071 14,951
Apple Hospitality REIT, Inc.(R) 3,042 53,874
Arbor Realty Trust, Inc.(R) 2,456 15,694
Arlington Asset Investment Corp. Class A 275 4,579
ARMOUR Residential REIT, Inc.(R) 164 3,505
Ashford Hospitality Prime, Inc.(R) 66 913
Ashford Hospitality Trust, Inc.(R) 1,651 12,779
Aspen Insurance Holdings, Ltd. 1,855 85,163
Assurant, Inc. 3,530 262,456
Australia & New Zealand Banking Group, Ltd. (Australia) 3,012 59,868
AvalonBay Communities, Inc.(R) 1,728 285,224
AXA SA (France) 4,023 101,339
Banco Latinoamericano de Exportaciones SA Class E (Panama) 952 23,467
Banco Santander SA (Spain) 16,006 97,384
Bank Hapoalim BM (Israel) 6,339 32,136
Bank of Yokohama, Ltd. (The) (Japan) 17,000 104,102
Barclays PLC (United Kingdom) 10,031 40,085
Berkshire Hathaway, Inc. Class B(NON) 6,554 878,498
BNP Paribas SA/New York, NY (France) 2,198 137,788
BofI Holding, Inc.(NON) 146 16,913
Boston Properties, Inc.(R) 2,135 242,066
Brixmor Property Group, Inc.(R) 4,807 109,696
Camden Property Trust(R) 1,839 132,463
Campus Crest Communities, Inc.(R) 1,990 10,288
Capital One Financial Corp. 9,776 760,084
Cardinal Financial Corp. 876 19,544
Cardtronics, Inc.(NON) 503 17,354
Care Capital Properties, Inc.(NON)(R) 566 17,985
CBL & Associates Properties, Inc.(R) 564 8,392
CBOE Holdings, Inc. 2,770 175,230
Chimera Investment Corp.(R) 8,715 122,097
Citizens & Northern Corp. 492 9,830
Citizens Financial Group, Inc. 3,716 92,231
CNO Financial Group, Inc. 1,088 19,464
CNP Assurances (France) 9,186 141,457
Corporate Office Properties Trust(R) 4,040 84,961
Credit Agricole SA (France) 11,527 156,128
Credit Suisse Group AG (Switzerland) 2,190 58,824
Customers Bancorp, Inc.(NON) 1,064 26,079
CYS Investments, Inc.(R) 862 6,732
DDR Corp.(R) 534 8,165
Deutsche Bank AG (Germany) 2,625 77,435
Dexus Property Group (Australia)(R) 15,951 83,661
DiamondRock Hospitality Co.(R) 8,242 96,926
Digital Realty Trust, Inc.(R) 466 29,507
Duke Realty Corp.(R) 6,485 117,119
DuPont Fabros Technology, Inc.(R) 5,227 139,718
East West Bancorp, Inc. 291 11,759
Employers Holdings, Inc. 1,232 27,166
Encore Capital Group, Inc.(NON)(S) 570 23,159
Endurance Specialty Holdings, Ltd. 1,257 80,134
EPR Properties(R) 240 12,214
Equity Residential Trust(R) 4,244 302,385
Essent Group, Ltd. (Bermuda)(NON) 334 8,948
Essex Property Trust, Inc.(R) 367 78,766
Everest Re Group, Ltd. 771 135,550
Extra Space Storage, Inc.(R) 293 21,530
Farmers Capital Bank Corp.(NON) 381 9,883
FCB Financial Holdings, Inc. Class A(NON) 776 25,592
Federal Agricultural Mortgage Corp. Class C 379 8,971
Federal Realty Investment Trust(R) 282 36,401
Federated National Holding Co. 1,232 26,993
Financial Institutions, Inc. 524 12,979
First Community Bancshares, Inc. 513 9,085
First Industrial Realty Trust(R) 540 10,471
First NBC Bank Holding Co.(NON) 568 19,880
First Niagara Financial Group, Inc. 11,741 108,604
FirstMerit Corp. 623 11,189
Flushing Financial Corp. 550 10,973
Gain Capital Holdings, Inc. 1,373 11,341
General Growth Properties(R) 8,641 219,309
Genworth Financial, Inc. Class A(NON) 2,017 10,448
Hang Seng Bank, Ltd. (Hong Kong) 9,000 160,141
Hanmi Financial Corp. 1,055 25,573
HCI Group, Inc. 539 21,425
HCP, Inc.(R) 11,862 439,606
Health Care REIT, Inc.(R) 2,710 171,679
Healthcare Realty Trust, Inc.(R) 3,710 84,959
Heartland Financial USA, Inc. 340 12,366
Heritage Insurance Holdings, Inc.(NON) 1,243 21,840
Hersha Hospitality Trust(R) 430 10,509
Highwoods Properties, Inc.(R) 2,917 110,671
Horizon Bancorp 404 9,547
HSBC Holdings PLC (United Kingdom) 28,142 221,881
Invesco Mortgage Capital, Inc.(R) 379 5,154
Investor AB Class B (Sweden) 3,805 136,284
Investors Real Estate Trust(R) 1,219 8,155
Kerry Properties, Ltd. (Hong Kong) 26,000 77,832
Kimco Realty Corp.(R) 7,468 172,137
Legal & General Group PLC (United Kingdom) 32,615 125,301
Lexington Realty Trust(R) 2,297 18,537
Liberty Property Trust(R) 3,210 98,675
LTC Properties, Inc.(R) 558 22,761
Macerich Co. (The)(R) 732 55,764
Maiden Holdings, Ltd. (Bermuda) 881 12,625
MainSource Financial Group, Inc. 789 16,340
Medical Properties Trust, Inc.(R) 10,154 118,497
Meta Financial Group, Inc. 303 13,156
MFA Financial, Inc.(R) 12,907 91,769
Mid-America Apartment Communities, Inc.(R) 133 10,452
Mitsubishi UFJ Financial Group, Inc. (Japan) 22,600 149,150
Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) 23,100 111,656
Mizuho Financial Group, Inc. (Japan) 139,100 285,348
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 388 71,337
National Health Investors, Inc.(R) 1,990 109,649
Nelnet, Inc. Class A 612 23,042
New World Development Co., Ltd. (Hong Kong) 82,000 83,375
New York Community Bancorp, Inc.(S) 16,678 294,533
NN Group NV (Netherlands) 2,604 79,422
Nomura Real Estate Holdings, Inc. (Japan) 1,100 20,669
One Liberty Properties, Inc.(R) 578 12,618
Oppenheimer Holdings, Inc. Class A 528 10,534
Opus Bank 481 17,696
ORIX Corp. (Japan) 11,000 148,258
Pacific Premier Bancorp, Inc.(NON) 558 10,468
PacWest Bancorp 217 9,253
Peoples Bancorp, Inc. 524 11,518
PNC Financial Services Group, Inc. 7,135 650,141
Popular, Inc. (Puerto Rico)(NON) 411 12,067
Post Properties, Inc.(R) 1,830 101,309
PRA Group, Inc.(NON) 509 27,125
ProAssurance Corp. 1,200 57,876
Prologis, Inc.(R) 6,694 254,372
Public Storage(R) 1,709 343,970
Ramco-Gershenson Properties Trust(R) 652 10,106
Rayonier, Inc.(R) 6,217 142,991
Realty Income Corp.(R) 1,204 53,807
Regency Centers Corp.(R) 133 7,888
RenaissanceRe Holdings, Ltd. 871 88,798
Renasant Corp. 448 14,040
Republic Bancorp, Inc. Class A 354 8,846
Resona Holdings, Inc. (Japan) 42,400 214,667
SBI Holdings, Inc. (Japan) 7,700 93,745
Scentre Group (Australia)(R) 20,119 54,550
Select Income REIT(R) 456 8,459
Simon Property Group, Inc.(R) 3,472 622,599
Skandinaviska Enskilda Banken AB (Sweden) 9,450 109,892
SL Green Realty Corp.(R) 500 51,755
SLM Corp.(NON) 20,121 170,626
Spirit Realty Capital, Inc.(R) 3,449 33,110
Starwood Property Trust, Inc.(R) 9,834 209,268
Sumitomo Mitsui Financial Group, Inc. (Japan) 6,900 282,522
Summit Hotel Properties, Inc.(R) 1,513 18,353
Sunstone Hotel Investors, Inc.(R) 7,741 107,058
Swiss Life Holding AG (Switzerland) 408 95,383
Swiss Re AG (Switzerland) 2,917 249,751
Symetra Financial Corp. 881 27,725
Talmer Bancorp, Inc. Class A 891 14,479
Taubman Centers, Inc.(R) 1,701 117,352
TFS Financial Corp. 1,629 27,970
Two Harbors Investment Corp.(R) 2,380 22,515
UBS Group AG (Switzerland) 6,713 138,799
UDR, Inc.(R) 839 27,100
United Community Banks, Inc. 541 10,587
United Insurance Holdings Corp. 1,737 22,824
Universal Health Realty Income Trust(R) 124 5,704
Validus Holdings, Ltd. 2,523 111,718
VEREIT, Inc.(R) 3,430 27,920
Vornado Realty Trust(R) 1,163 101,402
Washington Real Estate Investment Trust(R) 2,849 70,085
Weingarten Realty Investors(R) 3,675 116,277
Wells Fargo & Co. 22,313 1,189,952
Wheelock and Co., Ltd. (Hong Kong) 35,000 158,741
WP Carey, Inc.(R) 187 10,747
XL Group PLC 13,388 499,239
18,877,420
Health care (5.5%)
ACADIA Pharmaceuticals, Inc.(NON) 386 14,139
Accuray, Inc.(NON) 992 6,835
Akorn, Inc.(NON) 145 5,770
Alere, Inc.(NON) 961 49,943
Alimera Sciences, Inc.(NON) 1,393 4,653
Alkermes PLC(NON) 102 6,075
AMAG Pharmaceuticals, Inc.(NON)(S) 1,298 81,177
AmerisourceBergen Corp. 7,117 711,985
AmSurg Corp.(NON) 330 25,879
Anacor Pharmaceuticals, Inc.(NON) 41 5,347
Applied Genetic Technologies Corp.(NON) 356 5,849
Aratana Therapeutics, Inc.(NON) 648 11,444
Ardelyx, Inc.(NON) 946 17,955
ARIAD Pharmaceuticals, Inc.(NON) 4,146 39,138
Astellas Pharma, Inc. (Japan) 8,800 130,655
AstraZeneca PLC (United Kingdom) 3,213 200,776
AtriCure, Inc.(NON) 461 11,276
aTyr Pharma, Inc.(NON) 291 4,214
Bayer AG (Germany) 1,716 232,909
Bio-Rad Laboratories, Inc.(NON) 507 70,640
Biospecifics Technologies Corp.(NON) 207 10,280
C.R. Bard, Inc. 2,271 440,097
Carbylan Therapeutics, Inc.(NON) 614 3,334
Cardinal Health, Inc. 2,295 188,810
Cardiome Pharma Corp. (Canada)(NON) 4,019 35,769
Catalent, Inc.(NON) 328 10,427
Celldex Therapeutics, Inc.(NON) 405 6,010
Centene Corp.(NON) 185 11,418
Cepheid(NON) 112 5,459
Chemed Corp. 396 53,995
Chiasma, Inc.(NON) 80 2,077
Chimerix, Inc.(NON) 134 6,558
Conmed Corp. 396 21,012
DaVita HealthCare Partners, Inc.(NON) 4,810 363,828
Depomed, Inc.(NON) 288 7,756
DexCom, Inc.(NON) 255 24,006
Dyax Corp.(NON) 480 11,050
Dynavax Technologies Corp.(NON) 658 18,661
Eagle Pharmaceuticals, Inc.(NON) 136 10,683
Eli Lilly & Co. 10,471 862,287
Emergent BioSolutions, Inc.(NON) 648 21,572
Enanta Pharmaceuticals, Inc.(NON) 245 9,565
Entellus Medical, Inc.(NON) 269 5,988
Exact Sciences Corp.(NON) 167 3,692
FivePrime Therapeutics, Inc.(NON) 252 4,806
GlaxoSmithKline PLC (United Kingdom) 8,804 180,359
Globus Medical, Inc. Class A(NON) 488 11,917
Greatbatch, Inc.(NON) 597 33,922
Halozyme Therapeutics, Inc.(NON) 295 5,151
Health Net, Inc.(NON) 494 31,646
HealthEquity, Inc.(NON) 431 12,637
HealthSouth Corp. 639 27,285
Hill-Rom Holdings, Inc. 539 28,481
Hologic, Inc.(NON) 17,369 674,091
ICU Medical, Inc.(NON) 440 49,949
Immune Design Corp.(NON) 292 4,654
Impax Laboratories, Inc.(NON) 133 5,448
Infinity Pharmaceuticals, Inc.(NON) 427 3,766
Inotek Pharmaceuticals Corp.(NON) 453 5,585
Insulet Corp.(NON) 180 5,348
Insys Therapeutics, Inc.(NON) 528 17,118
Isis Pharmaceuticals, Inc.(NON) 115 5,771
Jazz Pharmaceuticals PLC(NON) 530 89,475
Johnson & Johnson 12,781 1,201,158
Kindred Healthcare, Inc. 671 13,474
Lannett Co., Inc.(NON) 554 26,564
Ligand Pharmaceuticals, Inc.(NON) 89 8,183
Medicines Co. (The)(NON) 160 6,560
Medipal Holdings Corp. (Japan) 12,900 223,557
Mednax, Inc.(NON) 1,755 141,365
Merck & Co., Inc. 17,260 929,451
Merck KGaA (Germany) 813 77,648
Merrimack Pharmaceuticals, Inc.(NON)(S) 1,121 11,311
MiMedx Group, Inc.(NON) 1,014 9,846
Molina Healthcare, Inc.(NON) 68 5,072
Myriad Genetics, Inc.(NON) 191 7,174
Neurocrine Biosciences, Inc.(NON) 334 15,491
Novartis AG (Switzerland) 2,544 248,661
Novavax, Inc.(NON) 537 5,783
Novo Nordisk A/S Class B (Denmark) 3,469 191,786
Omega Healthcare Investors, Inc.(R) 831 28,071
OncoMed Pharmaceuticals, Inc.(NON) 226 4,427
Ophthotech Corp.(NON) 247 10,875
OraSure Technologies, Inc.(NON) 1,837 9,920
Otsuka Holdings Company, Ltd. (Japan) 800 27,289
Pacira Pharmaceuticals, Inc.(NON) 79 4,546
Pfizer, Inc. 32,876 1,059,265
Portola Pharmaceuticals, Inc.(NON) 138 6,508
POZEN, Inc.(NON) 2,768 24,165
Press Ganey Holdings, Inc.(NON) 116 3,741
Prestige Brands Holdings, Inc.(NON) 293 13,630
Prothena Corp. PLC (Ireland)(NON) 553 31,814
Providence Service Corp. (The)(NON) 378 16,946
PTC Therapeutics, Inc.(NON) 213 8,134
RadNet, Inc.(NON) 1,417 8,700
Ramsay Health Care, Ltd. (Australia) 2,044 90,855
Repligen Corp.(NON) 621 21,164
Retrophin, Inc.(NON) 331 9,076
Roche Holding AG-Genusschein (Switzerland) 1,056 286,469
Rockwell Medical, Inc.(NON) 1,861 22,276
Sage Therapeutics, Inc.(NON) 113 6,103
Sanofi (France) 3,864 379,968
Select Medical Holdings Corp. 1,648 21,259
Shionogi & Co., Ltd. (Japan) 3,100 121,714
Shire PLC (United Kingdom) 1,041 80,419
Sientra, Inc.(NON) 117 2,783
Spectranetics Corp. (The)(NON) 487 8,206
STAAR Surgical Co.(NON) 804 6,424
Steris Corp. 139 8,903
Sucampo Pharmaceuticals, Inc. Class A(NON) 743 19,957
Supernus Pharmaceuticals, Inc.(NON) 441 8,004
Surgical Care Affiliates, Inc.(NON) 685 25,037
Suzuken Co., Ltd. (Japan) 3,900 134,144
TESARO, Inc.(NON) 325 16,731
Teva Pharmaceutical Industries, Ltd. ADR (Israel) 1,626 104,731
Threshold Pharmaceuticals, Inc.(NON) 1,228 5,158
TransEnterix, Inc.(NON) 2,951 7,791
Trevena, Inc.(NON) 610 3,660
Trinity Biotech PLC ADR (Ireland) 304 4,669
Triple-S Management Corp. Class B (Puerto Rico)(NON) 444 9,342
uniQure NV (Netherlands)(NON) 293 7,849
Ventas, Inc.(R) 2,263 124,510
WellCare Health Plans, Inc.(NON) 346 31,372
West Pharmaceutical Services, Inc. 522 29,154
Zeltiq Aesthetics, Inc.(NON) 492 15,877
10,963,122
Technology (4.9%)
A10 Networks, Inc.(NON) 2,183 14,495
Accenture PLC Class A 2,879 271,403
Advanced Energy Industries, Inc.(NON) 971 23,566
Amdocs, Ltd. 3,369 192,740
Analog Devices, Inc. 2,356 131,606
Apigee Corp.(NON) 575 3,749
Apple, Inc. 6,739 759,890
Applied Micro Circuits Corp.(NON) 2,226 13,022
Aspen Technology, Inc.(NON) 295 11,172
AtoS (France) 392 29,639
AVG Technologies NV (Netherlands)(NON) 678 15,682
Barracuda Networks, Inc.(NON) 369 9,701
Black Knight Financial Services, Inc. Class A(NON) 1,472 47,796
Blackbaud, Inc. 253 14,456
Brocade Communications Systems, Inc. 1,555 16,561
CACI International, Inc. Class A(NON) 130 10,195
Cavium, Inc.(NON) 128 8,707
Ceva, Inc.(NON) 761 14,649
Cirrus Logic, Inc.(NON) 373 11,250
Cisco Systems, Inc. 35,816 926,918
Computer Sciences Corp. 3,124 193,657
Constant Contact, Inc.(NON) 281 6,958
Cornerstone OnDemand, Inc.(NON) 283 10,114
CSG Systems International, Inc. 582 17,990
Cypress Semiconductor Corp.(NON) 1,605 16,050
DSP Group, Inc.(NON) 1,825 15,969
DST Systems, Inc. 2,964 303,573
eBay, Inc.(NON) 27,438 743,844
EMC Corp. 30,037 747,020
EnerSys 539 28,820
Engility Holdings, Inc. 728 20,238
Fairchild Semiconductor International, Inc.(NON) 565 7,684
Fidelity National Information Services, Inc. 2,796 193,092
Fiserv, Inc.(NON) 3,521 300,236
Fujitsu, Ltd. (Japan) 14,000 69,529
Genpact, Ltd.(NON) 3,257 74,911
Gentex Corp. 6,406 99,293
Gigamon, Inc.(NON) 171 3,895
Glu Mobile, Inc.(NON) 2,964 13,605
GungHo Online Entertainment, Inc. (Japan) 38,000 114,406
Hoya Corp. (Japan) 5,500 215,468
Ibiden Co., Ltd. (Japan) 3,100 43,853
inContact, Inc.(NON) 1,404 10,600
Infineon Technologies AG (Germany) 10,344 113,213
Integrated Device Technology, Inc.(NON) 290 5,507
Intersil Corp. Class A 973 10,255
Intuit, Inc. 4,966 425,835
Iron Mountain, Inc.(R) 3,673 104,093
Ixia(NON) 2,134 33,013
Jabil Circuit, Inc. 789 15,267
L-3 Communications Holdings, Inc. 4,408 464,912
Lattice Semiconductor Corp.(NON) 3,077 12,862
Leidos Holdings, Inc. 1,853 77,974
Lexmark International, Inc. Class A 278 8,334
Manhattan Associates, Inc.(NON) 211 12,339
Maxim Integrated Products, Inc. 19,107 643,333
MAXIMUS, Inc. 178 10,778
Mellanox Technologies, Ltd. (Israel)(NON) 254 10,272
Mentor Graphics Corp. 1,299 33,566
Microsemi Corp.(NON) 338 10,735
Microsoft Corp. 2,804 122,030
Mixi, Inc. (Japan) 500 17,198
MobileIron, Inc.(NON) 886 3,641
Monolithic Power Systems, Inc. 176 8,464
Motorola Solutions, Inc. 405 26,252
MTS Systems Corp. 122 7,264
Murata Manufacturing Co., Ltd. (Japan) 1,100 159,236
NetApp, Inc. 6,867 219,469
Netscout Systems, Inc.(NON) 107 3,911
Nexon Co., Ltd. (Japan) 10,300 143,581
NIC, Inc. 368 6,933
Nimble Storage, Inc.(NON) 247 6,585
NTT Data Corp. (Japan) 1,400 67,439
ON Semiconductor Corp.(NON) 2,227 21,279
Otsuka Corp. (Japan) 500 26,395
Paychex, Inc. 11,777 525,961
Perficient, Inc.(NON) 793 13,132
Plexus Corp.(NON) 591 22,499
Power Integrations, Inc. 211 8,282
Proofpoint, Inc.(NON) 207 11,662
PROS Holdings, Inc.(NON) 318 7,034
QAD, Inc. Class A 574 14,448
Qlik Technologies, Inc.(NON) 236 8,935
QLogic Corp.(NON) 3,214 33,233
Qualys, Inc.(NON) 150 4,359
Quantum Corp.(NON) 6,635 7,763
Rovi Corp.(NON) 668 7,395
Sanmina Corp.(NON) 588 11,313
SAP AG (Germany) 565 38,032
Semtech Corp.(NON) 339 5,746
Silicon Laboratories, Inc.(NON) 112 4,870
SS&C Technologies Holdings, Inc. 207 14,022
Synaptics, Inc.(NON) 312 21,868
Synchronoss Technologies, Inc.(NON) 265 10,703
SYNNEX Corp. 249 19,718
Synopsys, Inc.(NON) 3,278 153,837
Tech Data Corp.(NON) 226 14,744
Tyler Technologies, Inc.(NON) 135 18,635
Veeva Systems, Inc. Class A(NON) 371 9,609
VeriFone Systems, Inc.(NON) 447 13,964
Verint Systems, Inc.(NON) 282 15,039
Web.com Group, Inc.(NON) 844 18,171
Woodward, Inc. 639 29,138
9,674,079
Transportation (1.1%)
Aegean Marine Petroleum Network, Inc. (Greece) 2,065 17,470
ANA Holdings, Inc. (Japan) 65,000 190,815
AP Moeller - Maersk A/S (Denmark) 111 188,352
Central Japan Railway Co. (Japan) 200 32,804
ComfortDelgro Corp., Ltd. (Singapore) 55,200 109,927
Deutsche Post AG (Germany) 2,991 82,423
Expeditors International of Washington, Inc. 1,174 57,491
International Consolidated Airlines Group SA (Spain)(NON) 11,479 95,200
Matson, Inc. 195 7,348
Qantas Airways, Ltd. (Australia)(NON) 19,853 47,471
Royal Mail PLC (United Kingdom) 14,375 101,732
Ryanair Holdings PLC ADR (Ireland) 2,910 212,285
Scorpio Tankers, Inc. 1,165 11,021
Swift Transportation Co.(NON) 1,285 25,045
United Parcel Service, Inc. Class B 8,272 807,761
Universal Truckload Services, Inc. 67 1,315
XPO Logistics, Inc.(NON) 264 9,266
Yangzijiang Shipbuilding Holdings, Ltd. (China) 227,100 177,038
2,174,764
Utilities and power (1.1%)
American Electric Power Co., Inc. 2,180 118,352
American Water Works Co., Inc. 2,122 110,217
Centrica PLC (United Kingdom) 21,035 77,767
E.ON SE (Germany) 3,279 37,169
Enel SpA (Italy) 25,345 113,616
ENI SpA (Italy) 8,322 135,971
Entergy Corp. 7,375 481,809
Hawaiian Electric Industries, Inc. 1,714 48,455
Iberdrola SA (Spain) 17,520 118,871
RWE AG (Germany) 5,687 85,437
Southern Co. (The) 17,596 763,842
Tokyo Electric Power Co., Inc. (Japan)(NON) 16,400 112,278
2,203,784
Total common stocks (cost $73,048,005) $75,798,292

CORPORATE BONDS AND NOTES (22.6%)(a)
Principal amount Value
Basic materials (1.7%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $90,000 $89,550
Agrium, Inc. sr. unsec. notes 3 3/8s, 2025 (Canada) 40,000 37,699
Agrium, Inc. sr. unsec. unsub. 5 1/4s, 2045 (Canada) 10,000 9,865
ArcelorMittal SA sr. unsec. bonds 10.6s, 2019 (France) 85,000 99,025
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 25,000 23,000
ArcelorMittal SA sr. unsec. unsub. notes 7 3/4s, 2039 (France) 15,000 13,913
Archer-Daniels-Midland Co. sr. unsec. notes 5.45s, 2018 143,000 156,759
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 45,000 46,856
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 35,000 35,525
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 25,000 24,313
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 100,000 104,750
CF Industries, Inc. company guaranty sr. unsec. notes 5 3/8s, 2044 8,000 7,690
CF Industries, Inc. company guaranty sr. unsec. notes 5.15s, 2034 10,000 9,619
Chemours Co. (The) 144A sr. unsec. notes 7s, 2025 20,000 17,100
Chemours Co. (The) 144A sr. unsec. notes 6 5/8s, 2023 35,000 30,450
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 50,000 48,125
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 60,000 61,050
Dow Chemical Co. (The) sr. unsec. unsub. notes 3 1/2s, 2024 70,000 67,426
Eastman Chemical Co. sr. unsec. unsub. notes 3.8s, 2025 20,000 19,607
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 10,000 8,500
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 30,000 21,525
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4s, 2025 194,000 162,915
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 2 7/8s, 2020 130,000 120,015
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 75,000 80,063
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 35,000 40,075
HD Supply, Inc. 144A company guaranty sr. notes 5 1/4s, 2021 70,000 71,925
Hexion, Inc. company guaranty sr. notes 6 5/8s, 2020 10,000 9,325
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 120,000 108,000
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 105,000 102,900
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 15,000 14,250
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 90,000 94,613
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 30,000 23,775
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 60,000 63,450
LyondellBasell Industries NV sr. unsec. unsub. notes 4 5/8s, 2055 25,000 21,521
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 55,000 56,650
Methanex Corp. sr. unsec. unsub. notes 5.65s, 2044 (Canada) 30,000 28,200
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 45,000 38,391
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 67,481
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 20,000 16,900
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 45,000 44,888
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 35,000 33,775
Platform Specialty Products Corp. 144A sr. unsec. notes 6 1/2s, 2022 50,000 48,438
PQ Corp. 144A sr. notes 8 3/4s, 2018 40,000 41,700
Rio Tinto Finance USA PLC company guaranty sr. unsec. unsub. notes 1 5/8s, 2017 (United Kingdom) 145,000 144,097
Rockwood Specialties Group, Inc. company guaranty sr. unsec. notes 4 5/8s, 2020 160,000 165,600
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 65,000 59,313
SBA Communications Corp. sr. sub. unsec. notes 4 7/8s, 2022 45,000 44,606
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 15,000 15,113
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 15,000 15,488
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 45,000 49,838
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 50,000 51,125
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 25,000 25,297
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 20,000 20,000
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) 40,000 49,900
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 30,000 29,138
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 33,000 32,051
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 10,000 9,805
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 75,000 71,625
Univar, Inc. 144A sr. unsec. notes 6 3/4s, 2023 20,000 19,900
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 10,000 10,425
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 50,000 49,750
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 40,000 37,200
Westvaco Corp. company guaranty sr. unsec. unsub. notes 8.2s, 2030 60,000 81,369
Westvaco Corp. company guaranty sr. unsec. unsub. notes 7.95s, 2031 32,000 41,391
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 75,000 77,344
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 35,000 35,438
3,357,410
Capital goods (1.0%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 130,000 134,550
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 10,000 11,150
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 40,000 39,000
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 70,000 70,000
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 35,000 35,088
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 25,000 24,625
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 30,000 28,425
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 20,000 19,350
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 20,000 18,700
Bombardier, Inc. 144A sr. unsec. notes 7 1/2s, 2025 (Canada) 30,000 22,725
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 80,000 86,752
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6s, 2017 (Luxembourg) 145,000 158,198
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 35,000 38,763
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 100,000 104,000
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 60,000 61,200
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 90,000 73,800
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 25,000 25,813
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 20,000 19,600
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 15,000 20,127
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 80,000 85,329
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 35,000 28,700
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 25,000 25,250
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 55,000 54,863
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023 55,000 50,325
Oshkosh Corp. company guaranty sr. sub. unsec. notes 5 3/8s, 2025 30,000 30,000
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 135,000 136,350
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2025 30,000 29,025
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 96,000 99,840
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 60,000 61,950
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 153,000 154,530
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 60,000 63,900
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 85,000 83,088
1,895,016
Communication services (2.7%)
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) 200,000 195,000
American Tower Corp. sr. unsec. notes 4s, 2025(R) 85,000 82,541
AT&T, Inc. sr. unsec. notes 4 3/4s, 2046 67,000 61,072
AT&T, Inc. sr. unsec. unsub. notes 3.4s, 2025 68,000 64,803
AT&T, Inc. sr. unsec. unsub. notes 1.7s, 2017 145,000 144,844
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 45,000 47,025
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 195,000 196,706
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 25,000 25,000
CCO Safari II, LLC 144A company guaranty sr. notes 6.484s, 2045 87,000 88,500
CCO Safari II, LLC 144A company guaranty sr. notes 4.908s, 2025 43,000 42,591
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 80,000 77,800
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 15,000 14,963
Comcast Corp. company guaranty sr. unsec. unsub. bonds 6 1/2s, 2017 145,000 155,268
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.95s, 2037 30,000 39,174
Comcast Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2035 85,000 105,966
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 115,000 120,319
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) 25,000 25,656
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 35,000 32,480
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 220,000 229,900
Deutsche Telekom International Finance BV company guaranty 8 3/4s, 2030 (Netherlands) 16,000 22,650
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 40,000 36,450
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 5,000 4,565
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 20,000 18,100
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 20,000 17,500
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 315,000 305,156
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) 55,000 40,425
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 110,000 82,418
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 20,000 19,950
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 145,000 151,888
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 45,000 45,159
Numericable-SFR SAS 144A sr. notes 6s, 2022 (France) 200,000 200,000
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 70,000 70,945
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 295,000 233,762
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 $36,000 39,060
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 330,000 325,875
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 120,000 115,350
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 195,000 189,638
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 10,000 10,525
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 25,000 26,125
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 80,000 83,200
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 25,000 25,719
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 30,000 30,660
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 75,000 77,531
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 25,000 25,750
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 20,000 20,390
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045s, 2036 (Spain) 220,000 266,642
Verizon Communications, Inc. sr. unsec. notes 6.35s, 2019 36,000 40,823
Verizon Communications, Inc. sr. unsec. notes 2 5/8s, 2020 95,000 95,084
Verizon Communications, Inc. sr. unsec. unsub. notes 6.4s, 2033 64,000 73,388
Verizon Communications, Inc. sr. unsec. unsub. notes 4.522s, 2048 328,000 292,810
Verizon Communications, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 30,000 32,216
Verizon Communications, Inc. sr. unsec. unsub. notes 4.4s, 2034 30,000 27,664
Verizon New York, Inc. company guaranty sr. unsec. notes Ser. B, 7 3/8s, 2032 31,000 36,008
Vodafone Group PLC sr. unsec. unsub. notes 1 1/4s, 2017 (United Kingdom) 251,000 248,444
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 45,000 42,525
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 95,000 98,325
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 90,000 73,351
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 25,000 18,348
5,314,027
Consumer cyclicals (3.3%)
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2045 124,000 168,566
Amazon.com, Inc. sr. unsec. notes 1.2s, 2017 143,000 142,062
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 35,000 35,525
AMC Entertainment, Inc. 144A sr. unsec. notes 5 3/4s, 2025 35,000 34,825
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 60,000 61,500
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 105,000 114,581
Bed Bath & Beyond, Inc. sr. unsec. notes 5.165s, 2044 115,000 110,554
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 50,000 32,500
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 40,000 41,100
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 120,000 119,700
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 35,000 34,132
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 25,000 26,156
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 85,000 85,000
CBS Corp. company guaranty sr. unsec. debs. 7 7/8s, 2030 137,000 175,741
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 10,000 10,150
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 45,000 45,788
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 15,000 15,000
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 25,000 24,375
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 50,000 51,625
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 35,000 36,155
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024 30,000 29,400
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 55,000 55,413
Diageo Investment Corp. company guaranty sr. unsec. debs. 8s, 2022 9,000 11,585
Dollar General Corp. sr. unsec. notes 3 1/4s, 2023 25,000 23,780
Eldorado Resorts, Inc. 144A sr. unsec. notes 7s, 2023 65,000 64,513
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 3/4s, 2023 20,000 20,950
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 1/4s, 2020 15,000 15,713
First Cash Financial Services, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2021 (Mexico) 25,000 25,750
Ford Motor Co. sr. unsec. unsub. notes 9.98s, 2047 115,000 169,503
Ford Motor Co. sr. unsec. unsub. notes 7.45s, 2031 192,000 242,038
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 25,000 25,813
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) 55,000 51,574
General Motors Co. sr. unsec. unsub. notes 6 1/4s, 2043 95,000 101,745
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 20,000 18,840
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. Notes 3.45s, 2022 85,000 80,834
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.3s, 2025 20,000 19,409
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4s, 2025 10,000 9,485
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 40,000 38,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 60,000 62,100
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 35,000 36,050
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 60,000 62,043
Home Depot, Inc. (The) sr. unsec. unsub. notes 2 5/8s, 2022 90,000 88,525
Host Hotels & Resorts LP sr. unsec. unsub. notes 5 1/4s, 2022(R) 77,000 82,458
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 65,000 67,763
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 70,000 70,525
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 330,000 310,613
INVISTA Finance, LLC 144A company guaranty sr. notes 4 1/4s, 2019 37,000 36,630
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 50,000 51,500
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 25,000 25,375
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 10,000 9,150
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 40,000 33,600
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 60,000 55,875
Johnson Controls, Inc. sr. unsec. notes 4.95s, 2064 35,000 30,733
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 35,000 39,331
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 50,000 52,250
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 20,000 20,400
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 30,000 31,725
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 110,000 109,450
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 25,000 25,550
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 4.3s, 2043 32,000 27,075
Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 7s, 2028 25,000 30,331
Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 2 7/8s, 2023 10,000 9,277
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 20,000 20,100
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 60,000 57,900
McGraw Hill Financial, Inc. 144A company guaranty sr. unsec. notes 4.4s, 2026 35,000 34,808
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 15,000 14,925
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 40,000 42,600
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 55,000 55,275
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 125,000 139,650
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 5,000 5,325
Navistar International Corp. sr. notes 8 1/4s, 2021 55,000 47,644
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 80,000 79,600
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 40,000 42,800
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 30,000 31,650
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 95,000 96,425
Nordstrom, Inc. sr. unsec. notes 5s, 2044 15,000 15,801
Nordstrom, Inc. sr. unsec. unsub. notes 6.95s, 2028 90,000 113,228
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 50,000 53,563
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 7/8s, 2025 30,000 30,600
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 5/8s, 2024 55,000 56,306
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. unsec. notes 5 5/8s, 2024 5,000 5,150
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 75,000 76,125
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 30,000 30,900
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 45,000 45,113
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 25,000 25,438
Priceline Group, Inc. (The) sr. unsec. unsub. notes 3.65s, 2025 61,000 58,936
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 25,000 28,938
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 6s, 2035 55,000 54,038
QVC, Inc. company guaranty sr. unsub. notes 4.45s, 2025 55,000 52,027
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 60,000 59,400
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 25,000 25,156
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 150,000 159,000
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 50,000 49,000
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 15,000 13,950
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 125,000 114,688
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 15,000 11,175
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 50,000 51,125
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 50,000 51,000
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 15,000 14,944
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 15,000 14,269
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 55,000 56,513
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 50,000 52,000
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 90,000 91,350
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 5,000 5,294
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 35,000 36,050
Spectrum Brands, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2024 30,000 31,200
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 50,000 53,125
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 25,000 25,625
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 50,000 47,500
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 20,000 19,625
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 53,000 53,265
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 35,000 36,050
TEGNA, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 30,000 29,625
Tiffany & Co. sr. unsec. unsub. notes 4.9s, 2044 30,000 28,732
Toyota Motor Credit Corp. sr. unsec. unsub. notes Ser. MTN, 1 1/4s, 2017 145,000 144,709
Tri Pointe Holdings, Inc. sr. unsec. notes 5 7/8s, 2024 95,000 93,575
Tribune Media Co. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 45,000 45,338
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 15,000 14,869
Univision Communications, Inc. 144A company guaranty sr. notes 5 1/8s, 2025 15,000 14,550
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 30,000 31,316
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6 1/2s, 2037 34,000 44,270
6,570,862
Consumer staples (1.5%)
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.85s, 2022 31,000 29,787
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. notes 1 1/4s, 2018 145,000 144,045
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 8.2s, 2039 106,000 159,614
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 65,000 67,600
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 95,000 94,198
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 10,000 9,863
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 25,000 25,094
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) 115,000 118,450
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 70,000 66,150
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 35,000 35,000
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 35,000 34,563
Coca-Cola Co. (The) sr. unsec. unsub. notes 3.2s, 2023 30,000 30,388
ConAgra Foods, Inc. sr. unsec. notes 7s, 2019 96,000 109,688
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 15,000 15,113
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 65,000 71,663
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 124,000 121,520
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 15,000 15,038
CVS Health Corp. sr. unsec. unsub. notes 2 1/4s, 2018 145,000 146,351
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023 45,000 45,394
Diageo Capital PLC company guaranty sr. unsec. unsub. notes 1 1/2s, 2017 (United Kingdom) 32,000 32,073
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 90,000 56,700
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4 1/2s, 2045 50,000 45,876
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7s, 2037 200,000 245,230
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5 5/8s, 2042 56,000 59,921
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85s, 2024 21,000 21,116
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 125,000 130,469
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 20,000 20,875
Kraft Foods Group, Inc. sr. unsec. notes Ser. 144A, 6 7/8s, 2039 95,000 116,317
Kroger Co. (The) company guaranty sr. unsec. notes 6.9s, 2038 45,000 56,591
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 15,000 15,525
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 115,000 122,906
Molson Coors Brewing Co. company guaranty sr. unsec. unsub. notes 5s, 2042 11,000 10,501
PepsiCo, Inc. sr. unsec. unsub. notes 4 1/4s, 2044 45,000 43,898
PepsiCo, Inc. sr. unsec. unsub. notes 1 1/4s, 2017 144,000 144,156
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 30,000 30,675
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 50,000 49,625
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 75,000 74,250
Rite Aid Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023 60,000 61,575
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4 7/8s, 2034 23,000 22,989
Tyson Foods, Inc. company guaranty sr. unsec. unsub. bonds 5.15s, 2044 32,000 32,816
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 5,000 5,388
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 25,000 24,625
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 1/2s, 2025 45,000 43,313
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 75,000 76,500
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 55,000 47,988
Walgreens Boots Alliance, Inc. company guaranty sr. unsec. unsub. notes 3.3s, 2021 35,000 34,667
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 65,000 67,194
3,033,278
Energy (2.2%)
Anadarko Petroleum Corp. sr. unsec. notes 6.45s, 2036 130,000 146,327
Antero Resources Corp. company guaranty sr. unsec. notes 5 1/8s, 2022 35,000 31,682
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 35,000 31,850
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 45,000 41,400
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) 55,000 45,899
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) 5,000 4,270
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 2.315s, 2020 (United Kingdom) 110,000 109,261
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.846s, 2017 (United Kingdom) 145,000 146,175
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 25,000 16,750
California Resources Corp. company guaranty sr. unsec. notes 6s, 2024 115,000 85,273
California Resources Corp. company guaranty sr. unsec. notes 5s, 2020 60,000 47,238
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.7s, 2017 (Canada) 145,000 153,394
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 90,000 54,225
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 40,000 29,820
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 25,000 18,125
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 80,000 61,950
Chevron Corp. sr. unsec. unsub. notes 1.104s, 2017 143,000 142,112
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 55,000 54,313
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 55,000 54,038
ConocoPhillips Co. company guaranty sr. unsec. notes 1.05s, 2017 145,000 143,569
CONSOL Energy, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 120,000 85,800
DCP Midstream Operating LP company guaranty sr. unsec. notes 2.7s, 2019 40,000 35,183
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 70,000 49,875
Ecopetrol SA sr. unsec. unsub. bonds 4 1/8s, 2025 (Colombia) 45,000 39,654
EQT Midstream Partners LP company guaranty sr. unsec. notes 4s, 2024 5,000 4,543
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 35,000 12,425
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2022 55,000 43,725
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 43,000 39,130
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 19,000 17,053
FTS International, Inc. 144A company guaranty sr. FRN 7.783s, 2020 30,000 22,646
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 85,000 82,663
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2023 35,000 32,550
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 15,000 5,475
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 130,000 42,900
Halcon Resources Corp. 144A company guaranty notes 8 5/8s, 2020 30,000 26,325
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 40,000 42,300
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2022 10,000 10,175
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 20,000 17,302
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 55,000 11,000
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 25,000 9,563
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 135,000 52,650
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 60,000 58,950
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 35,000 32,550
Noble Holding International, Ltd. company guaranty sr. unsec. notes 6.05s, 2041 19,000 13,763
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 115,000 95,450
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 50,000 23,375
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 55,000 25,300
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 30,000 6,000
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 95,000 19,000
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 200,000 184,760
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6 1/4s, 2024 (Brazil) 175,000 152,910
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela) 85,000 34,935
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela) 175,000 119,875
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 110,000 36,850
Petroleos Mexicanos 144A company guaranty sr. unsec. notes 4 1/2s, 2026 (Mexico) 15,000 14,315
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2046 (Mexico) 95,000 83,771
Phillips 66 company guaranty sr. unsec. unsub. notes 2.95s, 2017 145,000 148,172
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 30,000 27,300
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 35,000 31,325
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 145,000 140,831
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 20,000 20,300
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 (In default)(NON) 110,000 275
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 70,000 47,600
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6 3/4s, 2023 (Canada) 35,000 32,200
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 60,000 59,700
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 50,000 22,000
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 95,000 73,150
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5.2s, 2017 (Netherlands) 156,000 165,528
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 15,000 8,700
Total Capital International SA company guaranty sr. unsec. unsub. notes 1.55s, 2017 (France) 143,000 143,789
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 25,000 15,000
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 25,000 21,531
Weatherford International, Ltd./Bermuda company guaranty sr. unsec. notes 9 7/8s, 2039 (Bermuda) 30,000 32,420
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 125,000 111,875
Williams Cos., Inc. (The) notes 8 3/4s, 2032 23,000 26,503
Williams Cos., Inc. (The) sr. unsec. notes 4.55s, 2024 30,000 26,581
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 120,000 113,100
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 35,000 29,575
4,299,867
Financials (6.1%)
Abbey National Treasury Services PLC/London company guaranty sr. unsec. unsub. notes 1 3/8s, 2017 (United Kingdom) 156,000 155,811
Aflac, Inc. sr. unsec. notes 6.9s, 2039 17,000 21,597
Air Lease Corp. sr. unsec. unsub. notes 3 3/4s, 2022 20,000 19,998
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 55,000 54,313
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 230,000 244,950
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 90,000 106,557
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 30,000 34,800
American Express Co. jr. unsec. sub. FRN Ser. C, 4.9s, perpetual maturity 35,000 33,860
American Express Co. sr. unsec. notes 7s, 2018 94,000 105,968
American Express Co. sr. unsec. notes 6.15s, 2017 107,000 115,996
American International Group, Inc. jr. sub. FRB 8.175s, 2058 290,000 382,800
ARC Properties Operating Partnership LP/Clark Acquisition, LLC company guaranty sr. unsec. unsub. notes 4.6s, 2024(R) 60,000 57,300
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity 154,000 150,920
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 25,000 25,750
Bank of America Corp. sr. unsec. notes Ser. MTN, 1.7s, 2017 95,000 95,026
Bank of America Corp. sr. unsec. unsub. notes 2s, 2018 149,000 148,986
Bank of Montreal sr. unsec. unsub. notes Ser. MTN, 2 1/2s, 2017 (Canada) 143,000 145,534
Bank of Nova Scotia sr. unsec. unsub. notes 1 3/8s, 2017 (Canada) 145,000 144,172
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. notes 1.2s, 2017 (Japan) 250,000 248,931
Barclays Bank PLC 144A sub. notes 10.179s, 2021 (United Kingdom) 270,000 355,054
BNP Paribas SA company guaranty sr. unsec. unsub. bonds Ser. MTN, 1 3/8s, 2017 (France) 162,000 162,023
BPCE SA 144A unsec. sub. notes 5.15s, 2024 (France) 200,000 203,408
Cantor Fitzgerald LP 144A unsec. notes 6 1/2s, 2022 90,000 93,761
CBL & Associates LP company guaranty sr. unsec. unsub. notes 5 1/4s, 2023(R) 180,000 186,499
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 25,000 25,645
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 40,000 40,381
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2026 75,000 74,040
CIT Group, Inc. sr. unsec. notes 5s, 2023 35,000 35,350
CIT Group, Inc. sr. unsec. notes 5s, 2022 115,000 116,869
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 20,000 20,000
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 155,000 162,944
Citigroup, Inc. jr. unsec. sub. FRB Ser. B, 5.9s, perpetual maturity 3,000 2,948
Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95s, perpetual maturity 48,000 45,900
Citigroup, Inc. jr. unsec. sub.FRN 5 7/8s, perpetual maturity 6,000 5,910
Citigroup, Inc. sr. unsec. unsub. notes 4.45s, 2017 151,000 156,802
Citigroup, Inc. unsec. sub. notes 5 1/2s, 2025 65,000 70,645
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 60,000 61,875
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 35,000 36,050
Commonwealth Bank of Australia/New York, NY sr. unsec. bonds Ser. GMTN, 1 5/8s, 2018 330,000 329,606
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands (Rabobank Nederland) company guaranty sr. unsec. notes 3 3/8s, 2017 (Netherlands) 130,000 133,618
Credit Acceptance Corp. company guaranty sr. unsec. bonds 6 1/8s, 2021 80,000 79,400
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2023 25,000 25,625
Credit Suisse Group AG 144A jr. unsec. sub. FRN 7 1/2s, perpetual maturity (Switzerland) 200,000 212,000
DDR Corp. sr. unsec. unsub. notes 7 7/8s, 2020(R) 5,000 6,084
Deutsche Bank AG/London sr. unsec. notes 6s, 2017 (United Kingdom) 149,000 160,976
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 55,000 30,800
Dresdner Funding Trust I 144A bonds 8.151s, 2031 180,000 224,775
Duke Realty LP company guaranty sr. unsec. unsub. notes 4 3/8s, 2022(R) 21,000 21,740
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 45,000 47,025
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 55,000 55,000
EPR Properties unsec. notes 5 1/4s, 2023(R) 60,000 61,708
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 60,000 58,800
Fifth Third Bancorp jr. unsec. sub. FRB 5.1s, perpetual maturity 38,000 34,865
General Electric Capital Corp. sr. unsec. notes 6 3/4s, 2032 202,000 264,921
General Electric Capital Corp. sr. unsec. notes Ser. MTN, 5.4s, 2017 143,000 151,399
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB 6.15s, 2066 112,000 56,482
Goldman Sachs Group, Inc. (The) sr. notes 7 1/2s, 2019 44,000 51,267
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2 3/8s, 2018 2,000 2,019
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) 95,000 105,460
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes 3 7/8s, 2025(R) 25,000 23,974
Hospitality Properties Trust sr. unsec. unsub. notes 4 1/2s, 2025(R) 20,000 19,597
HSBC Finance Corp. sr. unsec. sub. notes 6.676s, 2021 122,000 141,950
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) 10,000 9,800
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 80,000 79,800
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 145,000 150,053
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 60,000 60,615
ING Bank NV 144A unsec. sub. notes 5.8s, 2023 (Netherlands) 220,000 239,147
iStar, Inc. sr. unsec. notes 5s, 2019(R) 20,000 19,400
JPMorgan Chase & Co. sr. unsec. unsub. notes 2s, 2017 144,000 144,951
JPMorgan Chase & Co. unsec. sub. notes 4 1/8s, 2026 60,000 59,613
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.3s, 2018 4,000 4,024
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5 1/8s, 2044 25,000 24,077
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 240,000 279,600
Lloyds Banking Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) 512,000 534,400
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657s, perpetual maturity (United Kingdom) 30,000 33,600
Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85s, 2020 (Australia) 65,000 65,530
Merrill Lynch & Co., Inc. unsec. sub. notes 6.11s, 2037 170,000 193,171
MetLife, Inc. sr. unsec. unsub. notes 6 3/4s, 2016 145,000 151,544
MetLife, Inc. sr. unsec. unsub. notes 4 3/4s, 2021 100,000 109,994
Mid-America Apartments LP sr. unsec. notes 4.3s, 2023(R) 60,000 62,288
Morgan Stanley sr. unsec. notes 4 3/4s, 2017 149,000 156,324
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 35,000 37,100
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 40,000 37,800
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 30,000 26,438
Nationwide Mutual Insurance Co. 144A notes 9 3/8s, 2039 20,000 29,926
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 36,000 37,980
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4 7/8s, 2045 40,000 36,600
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2019 25,000 22,750
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 45,000 47,025
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 45,000 46,575
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976s, 2025 100,000 99,036
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 80,000 73,600
PNC Bank NA sr. unsec. unsub. notes Ser. BKNT, 1 1/8s, 2017 250,000 249,060
Progressive Corp. (The) jr. unsec. sub. FRN 6.7s, 2037 116,000 117,740
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 75,000 70,688
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.2s, 2018 (Canada) 145,000 146,357
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN Ser. U, 7.64s, perpetual maturity (United Kingdom) 200,000 209,500
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) 200,000 200,500
Royal Bank of Scotland PLC (The) company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 (United Kingdom) 115,000 132,891
Select Income REIT sr. unsec. unsub. notes 3.6s, 2020(R) 10,000 10,102
Select Income REIT sr. unsec. unsub. notes 2.85s, 2018(R) 35,000 35,114
Simon Property Group LP 144A sr. unsec. unsub. notes 1 1/2s, 2018(R) 131,000 130,105
Societe Generale SA company guaranty sr. unsec. notes 2 3/4s, 2017 (France) 250,000 254,964
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 20,000 19,950
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 15,000 16,350
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 30,000 30,450
Standard Chartered Bank 144A unsec. sub. notes 8s, 2031 (United Kingdom) 100,000 130,353
State Street Capital Trust IV company guaranty jr. unsec. sub. FRB 1.286s, 2037 220,000 187,550
Svenska Handelsbanken AB company guaranty sr. unsec. notes 2 7/8s, 2017 (Sweden) 250,000 256,340
TIERS Trust/United States 144A sr. bonds stepped-coupon zero % (8 1/8s, 3/15/18), 2046(STP) 100,000 104,500
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 20,000 16,225
Travelers Property Casualty Corp. sr. unsec. unsub. bonds 7 3/4s, 2026 9,000 11,940
UBS AG/Stamford, CT sr. unsec. unsub. notes Ser. BKNT, 5 7/8s, 2017 130,000 141,807
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 45,000 40,950
Wayne Merger Sub, LLC 144A sr. unsec. notes 8 1/4s, 2023 40,000 38,900
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5 7/8s, perpetual maturity 70,000 71,663
Wells Fargo & Co. sr. unsec. notes 2.1s, 2017 143,000 144,663
12,089,887
Health care (1.7%)
AbbVie, Inc. sr. unsec. notes 3.6s, 2025 12,000 11,814
AbbVie, Inc. sr. unsec. unsub. notes 2.9s, 2022 18,000 17,375
AbbVie, Inc. sr. unsec. unsub. notes 1 3/4s, 2017 130,000 129,890
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 60,000 61,950
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 35,000 35,175
Actavis Funding SCS company guaranty sr. unsec. unsub. notes 4 3/4s, 2045 (Luxembourg) 68,000 62,017
Actavis Funding SCS company guaranty sr. unsec. unsub. notes 3.45s, 2022 (Luxembourg) 33,000 32,243
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 65,000 66,544
Amgen, Inc. sr. unsec. unsub. notes 2 1/8s, 2017 145,000 146,407
AstraZeneca PLC sr. unsec. unsub. notes 6.45s, 2037 (United Kingdom) 16,000 20,508
AstraZeneca PLC sr. unsub. notes 5.9s, 2017 (United Kingdom) 145,000 158,036
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 50,000 50,375
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 55,000 55,722
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 60,000 61,650
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 15,000 15,942
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 60,000 61,650
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 65,000 58,094
DPx Holdings BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 65,000 67,763
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 50,000 51,125
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 40,000 40,200
Halyard Health, Inc. 144A sr. unsec. notes 6 1/4s, 2022 45,000 46,547
HCA, Inc. company guaranty sr. notes 5s, 2024 40,000 40,950
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019 50,000 50,500
HCA, Inc. company guaranty sr. unsec. bonds 5 3/8s, 2025 15,000 15,225
HCA, Inc. sr. notes 6 1/2s, 2020 170,000 188,700
Hologic, Inc. 144A sr. unsec. notes 5 1/4s, 2022 35,000 35,656
JLL/Delta Dutch Pledgeco BV 144A sr. unsec. notes 8 3/4s, 2020 (Netherlands)(PIK) 45,000 46,125
Johnson & Johnson sr. unsec. notes 5.15s, 2018 91,000 100,498
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 85,000 89,038
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 40,000 39,700
Medtronic, Inc. company guaranty sr. unsec. sub. notes 4 3/8s, 2035 15,000 14,902
Medtronic, Inc. company guaranty sr. unsec. sub. notes 3 1/2s, 2025 15,000 14,939
Merck & Co., Inc. sr. unsec. unsub. notes 1.3s, 2018 125,000 124,386
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 149,000 153,484
Omega Healthcare Investors, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2027(R) 60,000 57,600
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022 80,000 85,200
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 275,000 286,000
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 50,000 52,438
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 45,000 45,899
Teleflex, Inc. company guaranty sr. unsec. notes 5 1/4s, 2024 15,000 15,038
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 20,000 20,100
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 35,000 35,000
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 100,000 108,000
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 55,000 58,850
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 10,000 10,194
Tenet Healthcare Corp. 144A company guaranty sr. FRN 3.786s, 2020 60,000 60,330
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 65,000 71,620
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.7s, 2021 58,000 63,702
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 5,000 5,200
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 25,188
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 1/8s, 2025 55,000 56,788
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 7/8s, 2023 60,000 61,350
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 3/8s, 2020 55,000 55,825
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 85,000 89,144
3,433,684
Miscellaneous (—%)
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 55,000 54,505
54,505
Technology (1.1%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 40,000 41,900
Apple, Inc. sr. unsec. unsub. notes 4 3/8s, 2045 38,000 37,674
Apple, Inc. sr. unsec. unsub. notes 3.85s, 2043 100,000 91,250
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 70,000 46,550
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 300,000 269,250
Cisco Systems, Inc. sr. unsec. unsub. notes 1.1s, 2017 66,000 66,105
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 40,000 38,900
eBay, Inc. sr. unsec. unsub. notes 1.35s, 2017 145,000 142,921
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 53,000 59,705
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 195,000 205,238
First Data Corp. 144A sr. notes 5 3/8s, 2023 55,000 55,688
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 25,000 25,188
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 40,000 41,800
Hewlett-Packard Co. sr. unsec. notes 5 1/2s, 2018 75,000 81,500
Hewlett-Packard Co. sr. unsec. unsub. notes 2.6s, 2017 124,000 125,557
Infor US, Inc. 144A sr. notes 5 3/4s, 2020 10,000 10,025
Infor US, Inc. 144A sr. unsec. notes 6 1/2s, 2022 85,000 79,688
Intel Corp. sr. unsec. unsub. notes 1.35s, 2017 145,000 144,789
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) 60,000 61,350
Jabil Circuit, Inc. sr. unsec. notes 8 1/4s, 2018 14,000 15,735
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022 55,000 54,175
Micron Technology, Inc. 144A sr. unsec. notes 5 1/4s, 2023 80,000 74,600
Oracle Corp. sr. unsec. unsub. notes 4 1/8s, 2045 50,000 47,209
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 60,000 60,300
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 200,000 200,000
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 40,000 42,800
2,119,897
Transportation (0.1%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 70,000 65,800
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes 5 3/4s, 2040 15,000 17,023
United Airlines 2014-2 Class A Pass Through Trust sr. notes Ser. A, 3 3/4s, 2026 25,000 25,000
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 105,000 106,880
214,703
Utilities and power (1.3%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 240,000 277,356
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 140,000 131,600
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 25,000 23,500
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 110,000 106,563
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 50,000 53,500
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 15,000 15,769
Consolidated Edison Co. of New York, Inc. sr. unsec. notes 7 1/8s, 2018 96,000 111,445
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 5,000 5,175
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 80,000 82,950
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 5,000 5,204
Electricite de France (EDF) 144A jr. unsec. sub. FRN 5 5/8s, perpetual maturity (France) 695,000 704,730
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 47,606 50,878
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. notes 4.85s, 2042 18,000 16,277
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 25,000 21,250
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 125,000 120,313
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 84,000
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45s, 2023 60,000 53,649
Kinder Morgan Energy Partners LP sr. unsec. unsub. notes 5.4s, 2044 44,000 36,711
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036 10,000 11,830
MidAmerican Funding, LLC sr. bonds 6.927s, 2029 20,000 26,229
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 115,000 118,738
NRG Yield Operating, LLC company guaranty sr. unsec. notes 5 3/8s, 2024 30,000 28,875
Oncor Electric Delivery Co., LLC 144A sr. bonds 3 3/4s, 2045 85,000 76,135
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s, 2067 90,000 78,750
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 80,000 82,325
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 30,000 29,164
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 30,000 29,388
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 35,000 32,477
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 65,000 63,375
2,478,156
Total corporate bonds and notes (cost $46,832,762) $44,861,292

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (7.5%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (1.6%)
Government National Mortgage Association Pass-Through Certificates 3 1/2s, TBA, September 1, 2045 $3,000,000 $3,126,094
3,126,094
U.S. Government Agency Mortgage Obligations (5.9%)
Federal National Mortgage Association Pass-Through Certificates
     6s, TBA, September 1, 2045 2,000,000 2,258,438
     4s, TBA, September 1, 2045 5,000,000 5,314,063
     3s, TBA, September 1, 2045 2,000,000 2,010,469
     3s, TBA, September 1, 2030 2,000,000 2,075,781
11,658,751
Total U.S. government and agency mortgage obligations (cost $14,754,220) $14,784,845

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Notes 0.875%, September 15, 2016(i) $132,000 $133,110
Total U.S. treasury Obligations (cost $133,110) $133,110

COMMODITY LINKED NOTES (4.4%)(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) $3,830,000 $3,736,548
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2016 (Indexed to the S&P GSCI Commodity Index multiplied by 3) (United Kingdom) 4,570,000 5,018,134
Total commodity Linked Notes (cost $8,400,000) $8,754,682

MORTGAGE-BACKED SECURITIES (3.6%)(a)
Principal amount Value
Commercial mortgage-backed securities (2.8%)
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     FRB Ser. 05-1, Class AJ, 5.515s, 2042 $103,862 $103,702
     Ser. 05-4, Class B, 5.118s, 2045 212,000 214,120
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-PW17, Class AJ, 6.082s, 2050 61,000 62,882
     FRB Ser. 06-PW12, Class AJ, 5.94s, 2038 48,000 48,644
     FRB Ser. 06-PW11, Class AJ, 5.596s, 2039 68,000 68,468
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.76s, 2047 100,000 108,197
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.968s, 2049 193,000 196,982
     FRB Ser. 13-GC17, Class C, 5.261s, 2046 49,000 50,986
     Ser. 14-GC21, Class AS, 4.026s, 2047 74,000 76,685
     FRB Ser. 14-GC19, Class X, IO, 1.48s, 2047 1,538,999 115,040
COMM Mortgage Trust
     Ser. 14-UBS6, Class C, 4.616s, 2047 113,000 108,994
     FRB Ser. 14-LC15, Class XA, IO, 1.568s, 2047 986,227 73,791
     FRB Ser. 14-CR16, Class XA, IO, 1.421s, 2047 661,984 45,517
     FRB Ser. 14-CR17, Class XA, IO, 1.358s, 2047 1,033,577 70,721
     FRB Ser. 14-UBS6, Class XA, IO, 1.227s, 2047 1,488,240 99,991
GCCFC Commercial Mortgage Trust FRB Ser. 05-GG3, Class D, 4.986s, 2042 44,000 44,012
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.452s, 2044 120,000 120,600
GS Mortgage Securities Trust FRB Ser. 14-GC22, Class XA, IO, 1.232s, 2047(F) 2,103,256 139,592
GS Mortgage Securities Trust 144A FRB Ser. 10-C1, Class D, 6.225s, 2043 158,403 171,873
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 06-LDP7, Class B, 6.095s, 2045 118,000 86,281
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 24,000 24,040
     FRB Ser. 05-LDP5, Class F, 5.56s, 2044 83,000 83,235
     Ser. 06-LDP8, Class AJ, 5.48s, 2045 386,000 388,084
     Ser. 04-LN2, Class A2, 5.115s, 2041 8,533 8,544
     FRB Ser. 13-LC11, Class D, 4.38s, 2046 53,000 48,757
     FRB Ser. 13-C10, Class C, 4.295s, 2047 108,000 107,287
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 10-C1, Class D, 6.42s, 2043 142,000 155,917
     FRB Ser. 11-C3, Class E, 5.754s, 2046 213,000 222,740
     FRB Ser. 12-C6, Class E, 5.372s, 2045 114,000 112,905
LB-UBS Commercial Mortgage Trust
     Ser. 07-C6, Class A4, 5.858s, 2040 63,756 66,192
     Ser. 06-C6, Class E, 5.541s, 2039 125,000 124,288
     Ser. 06-C6, Class D, 5.502s, 2039 125,000 123,813
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.564s, 2048 123,000 112,678
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 47,000 47,304
Morgan Stanley Bank of America Merrill Lynch Trust
     FRB Ser. 13-C11, Class C, 4.562s, 2046 83,000 85,370
     FRB Ser. 14-C17, Class XA, IO, 1.434s, 2047 1,491,768 106,453
     FRB Ser. 13-C12, Class XA, IO, 1.148s, 2046 855,891 38,997
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842s, 2044 117,000 119,781
     FRB Ser. 06-HQ8, Class D, 5.663s, 2044 125,000 124,500
     Ser. 07-HQ11, Class AJ, 5.508s, 2044 50,000 50,239
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class C, 5.123s, 2049 50,000 52,833
     FRB Ser. 13-C6, Class D, 4.495s, 2046 110,000 103,180
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C25, Class AJ, 5.898s, 2043 270,000 274,725
WF-RBS Commercial Mortgage Trust
     Ser. 14-C19, Class C, 4.646s, 2047 23,000 23,600
     Ser. 13-C18, Class AS, 4.387s, 2046 63,000 67,406
     Ser. 13-UBS1, Class AS, 4.306s, 2046 48,000 51,078
     FRB Ser. 13-C17, Class XA, IO, 1.742s, 2046 1,442,345 108,312
     FRB Ser. 14-C19, Class XA, IO, 1.459s, 2047 1,159,821 82,707
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class D, 5.644s, 2044 128,000 135,122
     FRB Ser. 13-C16, Class D, 5.148s, 2046 77,000 75,766
     FRB Ser. 12-C10, Class D, 4.605s, 2045 48,000 44,970
     FRB Ser. 12-C9, Class XA, IO, 2.344s, 2045 865,412 85,710
     FRB Ser. 11-C5, Class XA, IO, 2 1/8s, 2044 541,937 43,116
     FRB Ser. 12-C10, Class XA, IO, 1.92s, 2045 2,181,154 192,923
     FRB Ser. 13-C12, Class XA, IO, 1.616s, 2048 255,822 18,521
5,518,171
Residential mortgage-backed securities (non-agency) (0.8%)
APS Resecuritization Trust 144A FRB Ser. 15-1, Class 2M, 0.333s, 2054 100,000 76,703
BCAP, LLC Trust 144A
     FRB Ser. 10-RR11, Class 6A2, 2.636s, 2036 142,065 84,803
     FRB Ser. 15-RR2, Class 22A3, 0.377s, 2035 125,000 112,454
Bear Stearns Alt-A Trust FRB Ser. 05-9, Class 11A1, 0.719s, 2035 264,884 225,652
CSMC Trust 144A FRB Ser. 13-5R, Class 1A6, 0.471s, 2036 110,000 89,100
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 05-HE6, Class M2, 0.619s, 2035 150,000 120,958
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 0.598s, 2047 80,000 64,000
Nomura Resecuritization Trust 144A
     FRB Ser. 15-1R, Class 6A9, 0.425s, 2047 160,000 99,200
     FRB Ser. 14-7R, Class 2A3, 0.391s, 2035 124,412 104,506
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 04-AR12, Class A2B, 0.659s, 2044 381,303 346,032
     FRB Ser. 05-AR9, Class A1B, 0.579s, 2045 382,756 345,871
1,669,279
Total mortgage-backed securities (cost $7,276,926) $7,187,450

ASSET-BACKED SECURITIES (2.2%)(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

PURCHASED OPTIONS OUTSTANDING (0.8%)(a)
Expiration Contract
date/strike price amount Value
SPDR S&P 500 ETF Trust (Put) Aug-16/$165.00 $37,324 $254,905
SPDR S&P 500 ETF Trust (Put) Jul-16/175.00 37,324 316,054
SPDR S&P 500 ETF Trust (Put) Jun-16/175.00 37,324 297,911
SPDR S&P 500 ETF Trust (Put) May-16/173.00 38,022 259,149
SPDR S&P 500 ETF Trust (Put) Apr-16/170.00 37,929 212,448
SPDR S&P 500 ETF Trust (Put) Mar-16/173.00 37,812 214,559
Total purchased options outstanding (cost $1,536,859) $1,555,026

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.6%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) $667,370 $592,291
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default)(NON) 204,698 207,768
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) 150,000 153,000
Russia (Federation of) 144A sr. notes 5 5/8s, 2042 (Russia) 200,000 182,250
Total foreign government and agency bonds and notes (cost $1,115,340) $1,135,309

SENIOR LOANS (0.2%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11s, 2017 $243,508 $230,521
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 11 1/2s, 2017 19,900 18,358
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 55,000 20,442
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 59,847 37,883
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.19s, 2021 64,348 64,208
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 73,875 73,021
Total senior loans (cost $501,638) $444,433

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 43 $43,480
Citigroup, Inc. Ser. K, $1.719 ARP 2,640 70,435
HSBC USA, Inc. $0.88 pfd. (United Kingdom) 6,280 137,658
M/I Homes, Inc. Ser. A, $2.438 pfd. 1,230 31,673
Total preferred stocks (cost $278,354) $283,246

CONVERTIBLE BONDS AND NOTES (0.0%)(a)
Principal amount Value
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $35,000 $39,922
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018 20,000 15,125
Total convertible bonds and notes (cost $52,021) $55,047

INVESTMENT COMPANIES (0.0%)(a)
Shares Value
Hercules Technology Growth Capital, Inc. 918 $10,649
Medley Capital Corp. 1,842 15,252
Solar Capital, Ltd. 746 13,212
Total investment companies (cost $44,378) $39,113

CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
Shares Value
EPR Properties Ser. C, $1.438 cv. pfd.(R) 1,550 $34,318
Total convertible preferred stocks (cost $34,286) $34,318

SHORT-TERM INVESTMENTS (32.2%)(a)
Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 0.26%(d) Shares 530,480 $530,480
Putnam Money Market Liquidity Fund 0.10%(AFF) Shares 10,427,296 10,427,296
Putnam Short Term Investment Fund 0.13%(AFF) Shares 37,311,038 37,311,038
SSgA Prime Money Market Fund Class N 0.06%(P) Shares 940,000 940,000
U.S. Treasury Bills 0.01%, October 1, 2015(SEG)(SEGSF)(SEGCCS) $1,910,000 1,909,983
U.S. Treasury Bills 0.01%, October 15, 2015(SEG)(SEGSF)(SEGCCS) 5,791,000 5,790,903
U.S. Treasury Bills 0.01%, October 8, 2015(SEG)(SEGSF)(SEGCCS) 4,764,000 4,763,937
U.S. Treasury Bills 0.01%, September 17, 2015(SEG)(SEGSF) 212,000 212,000
U.S. Treasury Bills 0.03%, October 22, 2015(SEGSF) 350,000 349,984
U.S. Treasury Bills 0.09%, January 14, 2016(SEGSF) 269,000 268,859
U.S. Treasury Bills 0.15%, February 11, 2016(SEG)(SEGSF)(SEGCCS) 1,132,000 1,131,084
U.S. Treasury Bills 0.18%, February 18, 2016(SEG)(SEGSF) 223,000 222,782
Total short-term investments (cost $63,858,588) $63,858,346

TOTAL INVESTMENTS
Total investments (cost $222,260,487)(b) $223,318,509













FORWARD CURRENCY CONTRACTS at 8/31/15 (aggregate face value $55,676,317) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 10/21/15 $11,358 $18,632 $(7,274)
British Pound Buy 9/16/15 9,667 7,137 2,530
Canadian Dollar Sell 10/21/15 135,511 137,710 2,199
Euro Sell 9/16/15 183,508 166,540 (16,968)
Mexican Peso Buy 10/21/15 296,878 315,424 (18,546)
New Taiwan Dollar Sell 11/18/15 295,389 292,839 (2,550)
New Zealand Dollar Buy 10/21/15 11,871 6,652 5,219
Norwegian Krone Buy 9/16/15 17,390 18,424 (1,034)
Swedish Krona Sell 9/16/15 311,658 317,042 5,384
Barclays Bank PLC
Australian Dollar Sell 10/21/15 336,828 342,490 5,662
British Pound Buy 9/16/15 243,198 239,535 3,663
Canadian Dollar Sell 10/21/15 173,815 174,129 314
Euro Buy 9/16/15 355,344 355,107 237
Hong Kong Dollar Sell 11/18/15 431,839 431,699 (140)
Japanese Yen Sell 11/18/15 163,469 161,493 (1,976)
Mexican Peso Buy 10/21/15 275,899 293,198 (17,299)
New Zealand Dollar Buy 10/21/15 370,792 375,397 (4,605)
Norwegian Krone Sell 9/16/15 85,224 71,194 (14,030)
Singapore Dollar Sell 11/18/15 49,939 56,876 6,937
Swedish Krona Sell 9/16/15 468,426 486,542 18,116
Swiss Franc Sell 9/16/15 38,500 33,087 (5,413)
Citibank, N.A.
Australian Dollar Buy 10/21/15 103,214 110,795 (7,581)
British Pound Buy 9/16/15 6,138 3,630 2,508
Canadian Dollar Sell 10/21/15 203,455 203,297 (158)
Chilean Peso Buy 10/21/15 10,890 11,698 (808)
Danish Krone Sell 9/16/15 181,825 180,947 (878)
Euro Buy 9/16/15 492,161 474,766 17,395
Japanese Yen Sell 11/18/15 227,151 221,909 (5,242)
Mexican Peso Buy 10/21/15 279,697 297,346 (17,649)
New Zealand Dollar Sell 10/21/15 40,161 42,564 2,403
Norwegian Krone Buy 9/16/15 53,452 56,570 (3,118)
Swedish Krona Sell 9/16/15 321,134 320,630 (504)
Swiss Franc Sell 9/16/15 132,579 136,052 3,473
Credit Suisse International
Australian Dollar Sell 10/21/15 154,963 155,216 253
British Pound Buy 9/16/15 878,581 876,488 2,093
Canadian Dollar Sell 10/21/15 207,635 205,276 (2,359)
Euro Sell 9/16/15 558,494 540,556 (17,938)
Japanese Yen Buy 11/18/15 2,606,529 2,546,749 59,780
New Zealand Dollar Buy 10/21/15 60,241 52,705 7,536
Norwegian Krone Sell 9/16/15 143,619 134,598 (9,021)
Singapore Dollar Sell 11/18/15 16,105 22,107 6,002
Swedish Krona Buy 9/16/15 460,013 436,264 23,749
Swiss Franc Buy 9/16/15 174,702 179,224 (4,522)
Deutsche Bank AG
Australian Dollar Sell 10/21/15 147,438 158,164 10,726
British Pound Sell 9/16/15 116,305 123,433 7,128
Canadian Dollar Buy 10/21/15 22,952 24,022 (1,070)
Euro Buy 9/16/15 2,902,465 2,843,122 59,343
New Zealand Dollar Sell 10/21/15 105,896 112,230 6,334
Norwegian Krone Sell 9/16/15 234,329 248,133 13,804
Polish Zloty Sell 9/16/15 308,580 314,584 6,004
Swedish Krona Sell 9/16/15 301,024 302,181 1,157
Turkish Lira Buy 9/16/15 32,871 34,870 (1,999)
Goldman Sachs International
Australian Dollar Buy 10/21/15 292,534 314,033 (21,499)
Australian Dollar Sell 10/21/15 293,102 300,108 7,006
British Pound Buy 9/16/15 163,411 162,331 1,080
British Pound Sell 9/16/15 332,345 330,148 (2,197)
Canadian Dollar Buy 10/21/15 151,471 151,168 303
Canadian Dollar Sell 10/21/15 85,274 89,257 3,983
Euro Sell 9/16/15 171,499 167,729 (3,770)
Japanese Yen Buy 11/18/15 372,027 364,038 7,989
Japanese Yen Sell 11/18/15 300,770 303,275 2,505
New Zealand Dollar Sell 10/21/15 153,886 163,113 9,227
Norwegian Krone Sell 9/16/15 208,551 212,424 3,873
HSBC Bank USA, National Association
Australian Dollar Sell 10/21/15 70,347 75,472 5,125
British Pound Buy 9/16/15 940,571 939,399 1,172
Canadian Dollar Sell 10/21/15 92,950 111,597 18,647
Euro Buy 9/16/15 482,285 479,988 2,297
Japanese Yen Buy 11/18/15 1,464,884 1,431,327 33,557
New Zealand Dollar Buy 10/21/15 125,850 133,405 (7,555)
Swedish Krona Sell 9/16/15 132,641 133,221 580
JPMorgan Chase Bank N.A.
Australian Dollar Buy 10/21/15 443,734 470,443 (26,709)
Australian Dollar Sell 10/21/15 485,261 501,672 16,411
British Pound Buy 9/16/15 463,841 466,650 (2,809)
British Pound Sell 9/16/15 2,019,541 2,017,816 (1,725)
Canadian Dollar Buy 10/21/15 1,154,612 1,203,668 (49,056)
Canadian Dollar Sell 10/21/15 523,953 528,761 4,808
Euro Buy 9/16/15 3,466,571 3,412,946 53,625
Euro Sell 9/16/15 2,117,026 2,089,520 (27,506)
Japanese Yen Buy 11/18/15 311,340 302,427 8,913
Japanese Yen Sell 11/18/15 394,981 402,315 7,334
Mexican Peso Buy 10/21/15 348,097 369,901 (21,804)
Mexican Peso Sell 10/21/15 295,017 293,690 (1,327)
New Taiwan Dollar Sell 11/18/15 582,494 589,774 7,280
New Zealand Dollar Buy 10/21/15 437,348 452,440 (15,092)
New Zealand Dollar Sell 10/21/15 385,947 409,030 23,083
Norwegian Krone Buy 9/16/15 272,493 288,496 (16,003)
Norwegian Krone Sell 9/16/15 538,062 541,292 3,230
Singapore Dollar Buy 11/18/15 296,738 298,585 (1,847)
Singapore Dollar Sell 11/18/15 403,397 413,414 10,017
South Korean Won Buy 11/18/15 299,760 301,607 (1,847)
South Korean Won Sell 11/18/15 300,314 301,058 744
Swedish Krona Buy 9/16/15 156,106 150,961 5,145
Swedish Krona Sell 9/16/15 167,674 168,319 645
Swiss Franc Buy 9/16/15 24,322 24,951 (629)
Swiss Franc Sell 9/16/15 1,445,331 1,482,722 37,391
Royal Bank of Scotland PLC (The)
Australian Dollar Sell 10/21/15 221,405 212,072 (9,333)
British Pound Buy 9/16/15 98,813 92,699 6,114
Canadian Dollar Sell 10/21/15 262,889 264,210 1,321
Euro Sell 9/16/15 259,606 246,271 (13,335)
Japanese Yen Sell 11/18/15 450,581 457,937 7,356
New Zealand Dollar Sell 10/21/15 3,031 11,458 8,427
Norwegian Krone Buy 9/16/15 53,790 71,559 (17,769)
Singapore Dollar Sell 11/18/15 120,221 123,248 3,027
South Korean Won Sell 11/18/15 301,174 302,726 1,552
Swedish Krona Sell 9/16/15 160,691 187,865 27,174
State Street Bank and Trust Co.
Australian Dollar Buy 10/21/15 221,974 238,288 (16,314)
Australian Dollar Sell 10/21/15 121,386 130,308 8,922
Brazilian Real Buy 10/2/15 272,296 315,705 (43,409)
Brazilian Real Sell 10/2/15 289,019 297,844 8,825
British Pound Sell 9/16/15 11,661 11,585 (76)
Canadian Dollar Sell 10/21/15 497,505 520,780 23,275
Chilean Peso Buy 10/21/15 284,529 305,831 (21,302)
Chilean Peso Sell 10/21/15 285,613 303,712 18,099
Euro Buy 9/16/15 1,161,772 1,138,512 23,260
Euro Sell 9/16/15 315,388 309,489 (5,899)
Hungarian Forint Buy 9/16/15 311,406 310,617 789
Israeli Shekel Buy 10/21/15 6,684 6,954 (270)
Japanese Yen Sell 11/18/15 467,966 457,210 (10,756)
New Zealand Dollar Sell 10/21/15 242,985 257,562 14,577
Norwegian Krone Buy 9/16/15 10,514 11,159 (645)
Singapore Dollar Buy 11/18/15 296,738 298,564 (1,826)
Singapore Dollar Sell 11/18/15 369,774 379,005 9,231
Swedish Krona Buy 9/16/15 443,223 446,357 (3,134)
Swedish Krona Sell 9/16/15 369,825 377,478 7,653
Swiss Franc Sell 9/16/15 43,365 44,492 1,127
Turkish Lira Buy 9/16/15 280,177 303,897 (23,720)
Turkish Lira Sell 9/16/15 346,843 361,717 14,874
UBS AG
Australian Dollar Buy 10/21/15 654,847 694,256 (39,409)
British Pound Buy 9/16/15 1,049,817 1,048,055 1,762
Canadian Dollar Sell 10/21/15 201,403 217,723 16,320
Chilean Peso Buy 10/21/15 355 382 (27)
Euro Buy 9/16/15 2,428,485 2,412,390 16,095
Israeli Shekel Sell 10/21/15 1,888 1,963 75
Japanese Yen Sell 11/18/15 93,842 91,655 (2,187)
New Zealand Dollar Sell 10/21/15 36,183 38,351 2,168
Norwegian Krone Buy 9/16/15 26,720 28,269 (1,549)
Swedish Krona Sell 9/16/15 185,008 183,883 (1,125)
Swiss Franc Buy 9/16/15 537,148 551,189 (14,041)
WestPac Banking Corp.
Australian Dollar Sell 10/21/15 12,352 13,258 906
British Pound Buy 9/16/15 303,959 302,015 1,944
Canadian Dollar Sell 10/21/15 408,279 427,389 19,110
Euro Buy 9/16/15 57,690 56,443 1,247
Japanese Yen Buy 11/18/15 1,498,724 1,454,143 44,581
New Zealand Dollar Buy 10/21/15 309,604 328,212 (18,608)
South Korean Won Sell 11/18/15 14,933 13,866 (1,067)
Total $235,872












FUTURES CONTRACTS OUTSTANDING at 8/31/15 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro STOXX 50 Index (Long) 75 $2,751,233             Sep-15 $(173,688)
Euro-Bobl 5 yr (Long) 49 7,149,749             Sep-15 48,945
Euro-Bund 10 yr (Long) 44 7,558,761             Sep-15 102,699
Euro-Buxl 30 yr (Long) 24 4,082,294             Sep-15 9,337
Euro-Schatz 2 yr (Long) 10 1,248,449             Sep-15 645
Japanese Government Bond 10 yr (Long) 21 25,629,232             Sep-15 216,279
Russell 2000 Index Mini (Short) 28 3,241,000             Sep-15 290,584
S&P 500 Index E-Mini (Long) 32 3,150,720             Sep-15 (198,075)
S&P 500 Index E-Mini (Short) 51 5,021,460             Sep-15 231,288
Tokyo Price Index (Long) 32 4,047,676             Sep-15 (308,471)
U.K. Gilt 10 yr (Long) 34 6,114,155             Dec-15 952
U.S. Treasury Bond 30 yr (Long) 16 2,474,000             Dec-15 (7,626)
U.S. Treasury Bond Ultra 30 yr (Long) 19 3,009,719             Dec-15 (17,536)
U.S. Treasury Bond Ultra 30 yr (Short) 1 158,406             Dec-15 637
U.S. Treasury Note 2 yr (Long) 36 7,864,875             Dec-15 (7,861)
U.S. Treasury Note 2 yr (Short) 1 218,469             Dec-15 216
U.S. Treasury Note 5 yr (Long) 68 8,121,750             Dec-15 (11,823)
U.S. Treasury Note 5 yr (Short) 20 2,388,750             Dec-15 3,441
U.S. Treasury Note 10 yr (Long) 24 3,049,500             Dec-15 (419)
U.S. Treasury Note 10 yr (Short) 169 21,473,563             Dec-15 4,195
Total $183,719












WRITTEN OPTIONS OUTSTANDING at 8/31/15 (premiums $104,918) (Unaudited)


Expiration Contract
date/strike price amount Value
SPDR S&P 500 ETF Trust (Call) Sep-15/$209.00 $89,221 $41,042
SPDR S&P 500 ETF Trust (Call) Sep-15/208.50 33,460 13,170
SPDR S&P 500 ETF Trust (Call) Sep-15/208.00 33,605 9,326
SPDR S&P 500 ETF Trust (Call) Sep-15/214.50 32,337 80
SPDR S&P 500 ETF Trust (Call) Sep-15/214.50 33,425 9
Total $63,627















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 8/31/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$57,300,000 (E) $(657,758)     9/16/25 3 month USD-LIBOR-BBA 2.60% $1,103,529
19,347,400 (E) 486,565      9/16/25 2.60% 3 month USD-LIBOR-BBA (108,135)
10,000,000 (E) (66,964)     9/16/20 3 month USD-LIBOR-BBA 2.00% 98,895
2,754,800 (E) 15,520      9/16/20 2.00% 3 month USD-LIBOR-BBA (30,171)
4,000,000 (E) (4,881)     9/16/17 3 month USD-LIBOR-BBA 1.25% 21,335
13,735,000 (E) 15,308      9/16/17 1.25% 3 month USD-LIBOR-BBA (74,712)
1,500,000 (E) (52,403)     9/16/45 3 month USD-LIBOR-BBA 3.10% 74,820
449,100 (E) 18,801      9/16/45 3.10% 3 month USD-LIBOR-BBA (19,289)
3,821,000 (4,787)     6/18/17 3 month USD-LIBOR-BBA 0.955% 8,507
49,000 (1)     7/28/25 2.3615% 3 month USD-LIBOR-BBA (613)
109,000 (4)     7/14/45 2.96% 3 month USD-LIBOR-BBA (6,465)
35,000 —      7/28/25 2.36043% 3 month USD-LIBOR-BBA (435)
143,000 (1)     7/28/20 3 month USD-LIBOR-BBA 1.758% 1,143
35,000 —      7/28/25 2.36589% 3 month USD-LIBOR-BBA (452)
35,000 —      7/28/25 2.3675% 3 month USD-LIBOR-BBA (457)
Total$(250,605)    $1,067,500
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/15 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$3,800,000 $—      9/21/21 (2.305%) USA Non Revised Consumer Price Index- Urban (CPI-U) $(306,573)
5,000,000 —      7/19/23 (2.585%) USA Non Revised Consumer Price Index- Urban (CPI-U) (491,085)
4,000,000 —      6/10/24 (2.50%) USA Non Revised Consumer Price Index- Urban (CPI-U) (339,440)
1,000,000 —      11/7/24 (2.2625%) USA Non Revised Consumer Price Index- Urban (CPI-U) (55,631)
1,000,000 —      12/8/24 (2.075%) USA Non Revised Consumer Price Index- Urban (CPI-U) (35,110)
baskets 189,408 —      5/31/16 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF6) of common stocks (5,939)
units 4,926 —      5/31/16 3 month USD-LIBOR-BBA minus 7 bp Russell 1000 Total Return Index 16,338
Barclays Bank PLC
$3,197,851 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 4,679
3,700,000 —      5/8/23 (2.59%) USA Non Revised Consumer Price Index- Urban (CPI-U) (395,878)
3,600,000 —      7/19/23 (2.569%) USA Non Revised Consumer Price Index- Urban (CPI-U) (350,028)
325,675 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 594
Citibank, N.A.
1,500,000 —      8/7/22 2.515% USA Non Revised Consumer Price Index- Urban (CPI-U) 151,628
baskets 64 —      12/17/15 (3 month USD-LIBOR-BBA plus 0.42%) A basket (CGPUTQL2) of common stocks (581,509)
BRL 91 —      10/14/15 0.00% Bovespa October'15 Futures 110,434
units 1,377 —      12/17/15 3 month USD-LIBOR-BBA plus 0.15% Russell 1000 Total Return Index 526,345
units 96 —      12/17/15 3 month USD-LIBOR-BBA plus 0.15% Russell 1000 Total Return Index (9,764)
Credit Suisse International
$2,600,000 —      1/9/23 (2.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) (326,183)
3,400,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (339,466)
1,600,000 —      8/8/22 (2.5325%) USA Non Revised Consumer Price Index- Urban (CPI-U) (162,637)
700,000 —      9/10/22 (2.5925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (73,222)
3,300,000 —      2/8/23 (2.81%) USA Non Revised Consumer Price Index- Urban (CPI-U) (420,186)
6,900,000 —      7/19/23 (2.57%) USA Non Revised Consumer Price Index- Urban (CPI-U) (671,646)
shares 94,529 —      7/1/16 (3 month USD-LIBOR-BBA plus 0.20%) Vanguard Index Funds - MSCI Emerging Markets ETF (602,225)
shares 18,900 —      6/8/16 (3 month USD-LIBOR-BBA plus 0.20%) Vanguard Index Funds - MSCI Emerging Markets ETF (123,413)
shares 37,583 —      9/21/15 (3 month USD-LIBOR-BBA plus 0.20%) Vanguard Index Funds - MSCI Emerging Markets ETF (247,499)
Deutsche Bank AG
$500,000 —      11/7/21 (2.43%) USA Non Revised Consumer Price Index- Urban (CPI-U) (48,388)
Goldman Sachs International
1,500,000 —      10/5/22 (2.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) (180,390)
1,700,000 —      4/5/23 (2.7475%) USA Non Revised Consumer Price Index- Urban (CPI-U) (205,734)
4,400,000 —      7/19/23 (2.58%) USA Non Revised Consumer Price Index- Urban (CPI-U) (431,640)
2,900,000 —      4/9/25 (2.055%) USA Non Revised Consumer Price Index- Urban (CPI-U) (38,657)
JPMorgan Chase Bank N.A.
10,900,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (1,106,350)
11,620 —      7/14/16 (3 month USD-LIBOR-BBA plus 0.26%) Vanguard Index Funds - MSCI Emerging Markets ETF (64,701)
1,400,000 —      8/7/25 (1.92%) USA Non Revised Consumer Price Index- Urban (CPI-U) (3,753)
Total$—     $(6,807,029)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 8/31/15 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Barclays Bank PLC
     EM Series 23 Index BBB/P $9,630 $100,000 6/20/20 100 bp $(798)
     EM Series 23 Index BBB/P 37,560 400,000 6/20/20 100 bp (3,651)
     EM Series 23 Index BBB/P 1,649,371 16,250,000 6/20/20 100 bp (24,826)
Credit Suisse International
     CMBX NA BBB- Index BBB-/P 243 8,000 5/11/63 300 bp 113
     CMBX NA BBB- Index BBB-/P 1,940 20,000 5/11/63 300 bp 1,614
     CMBX NA BBB- Index BBB-/P 1,596 20,000 5/11/63 300 bp 1,270
     CMBX NA BBB- Index BBB-/P 1,549 20,000 5/11/63 300 bp 1,222
     CMBX NA BBB- Index BBB-/P 1,316 20,000 5/11/63 300 bp 989
     CMBX NA BBB- Index BBB-/P 353 23,000 5/11/63 300 bp (22)
     CMBX NA BBB- Index BBB-/P 1,641 40,000 5/11/63 300 bp 989
     CMBX NA BBB- Index BBB-/P 28,126 367,000 5/11/63 300 bp 21,941
     CMBX NA BBB- Index BBB-/P 9 1,000 1/17/47 300 bp (36)
     CMBX NA BBB- Index BBB-/P 2 1,000 1/17/47 300 bp (43)
     CMBX NA BBB- Index BBB-/P 13 2,000 1/17/47 300 bp (77)
     CMBX NA BBB- Index BBB-/P 10 2,000 1/17/47 300 bp (80)
     CMBX NA BBB- Index BBB-/P 6 2,000 1/17/47 300 bp (84)
     CMBX NA BBB- Index BBB-/P 6 2,000 1/17/47 300 bp (84)
     CMBX NA BBB- Index BBB-/P 21 3,000 1/17/47 300 bp (114)
     CMBX NA BBB- Index BBB-/P 16 5,000 1/17/47 300 bp (209)
     CMBX NA BBB- Index BBB-/P 29 8,000 1/17/47 300 bp (332)
     CMBX NA BBB- Index BBB-/P 125 16,000 1/17/47 300 bp (595)
     CMBX NA BB Index — (3,530) 200,000 5/11/63 (500 bp) 550
     CMBX NA BBB- Index — (73) 6,000 5/11/63 (300 bp) 25
     CMBX NA BBB- Index BBB-/P 11 4,000 5/11/63 300 bp (54)
     CMBX NA BBB- Index BBB-/P 8 6,000 5/11/63 300 bp (90)
     CMBX NA BBB- Index BBB-/P (42) 7,000 5/11/63 300 bp (156)
     CMBX NA BBB- Index BBB-/P 7 11,000 5/11/63 300 bp (172)
     CMBX NA BBB- Index BBB-/P 96 13,000 5/11/63 300 bp (116)
     CMBX NA BBB- Index BBB-/P 79 13,000 5/11/63 300 bp (133)
     CMBX NA BBB- Index BBB-/P 149 15,000 5/11/63 300 bp (96)
     CMBX NA BBB- Index BBB-/P (140) 15,000 5/11/63 300 bp (385)
     CMBX NA BBB- Index BBB-/P (150) 15,000 5/11/63 300 bp (395)
     CMBX NA BBB- Index BBB-/P (50) 15,000 5/11/63 300 bp (295)
     CMBX NA BBB- Index BBB-/P (50) 15,000 5/11/63 300 bp (295)
     CMBX NA BBB- Index BBB-/P (126) 15,000 5/11/63 300 bp (370)
     CMBX NA BBB- Index BBB-/P 83 18,000 5/11/63 300 bp (210)
     CMBX NA BBB- Index BBB-/P 102 22,000 5/11/63 300 bp (257)
     CMBX NA BBB- Index BBB-/P (221) 22,000 5/11/63 300 bp (580)
     CMBX NA BBB- Index BBB-/P 275 64,000 5/11/63 300 bp (770)
     CMBX NA BBB- Index BBB-/P 628 17,000 1/17/47 300 bp (137)
     CMBX NA BBB- Index BBB-/P 604 27,000 1/17/47 300 bp (611)
     CMBX NA BBB- Index BBB-/P 790 27,000 1/17/47 300 bp (425)
     CMBX NA BBB- Index BBB-/P 502 40,000 1/17/47 300 bp (1,299)
Goldman Sachs International
     CMBX NA BBB- Index BBB-/P (166) 24,000 5/11/63 300 bp (558)
     CMBX NA BBB- Index BBB-/P 7 2,000 1/17/47 300 bp (83)
     CMBX NA BBB- Index BBB-/P 8 2,000 1/17/47 300 bp (82)
     CMBX NA BBB- Index BBB-/P 7 2,000 1/17/47 300 bp (83)
     CMBX NA BBB- Index BBB-/P 17 4,000 1/17/47 300 bp (163)
     CMBX NA BBB- Index BBB-/P 14 4,000 1/17/47 300 bp (166)
     CMBX NA BBB- Index BBB-/P 14 4,000 1/17/47 300 bp (166)
     CMBX NA BB Index — (201) 19,000 5/11/63 (500 bp) 168
     CMBX NA BB Index — 249 11,000 5/11/63 (500 bp) 462
     CMBX NA BB Index — (96) 10,000 5/11/63 (500 bp) 98
     CMBX NA BB Index — (68) 8,000 5/11/63 (500 bp) 87
     CMBX NA BB Index — 50 3,000 5/11/63 (500 bp) 109
     CMBX NA BB Index — 31 3,000 5/11/63 (500 bp) 89
     CMBX NA BB Index — 4 3,000 5/11/63 (500 bp) 62
     CMBX NA BB Index — (4) 2,000 1/17/47 (500 bp) 78
     CMBX NA BBB- Index — (154) 17,000 5/11/63 (300 bp) 123
     CMBX NA BBB- Index BBB-/P (32) 4,000 5/11/63 300 bp (97)
     CMBX NA BBB- Index BBB-/P 84 14,000 5/11/63 300 bp (145)
     CMBX NA BBB- Index BBB-/P 160 14,000 5/11/63 300 bp (69)
     CMBX NA BBB- Index BBB-/P (140) 15,000 5/11/63 300 bp (385)
     CMBX NA BBB- Index BBB-/P (150) 15,000 5/11/63 300 bp (395)
     CMBX NA BBB- Index BBB-/P (150) 15,000 5/11/63 300 bp (395)
     CMBX NA BBB- Index BBB-/P (60) 15,000 5/11/63 300 bp (305)
     CMBX NA BBB- Index BBB-/P 190 9,000 1/17/47 300 bp (215)
     CMBX NA BBB- Index BBB-/P 389 13,000 1/17/47 300 bp (196)
     CMBX NA BBB- Index BBB-/P 515 17,000 1/17/47 300 bp (250)
Total$1,733,032$(11,561)
*   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 August 31, 2015. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  











CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 8/31/15 (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 24 Index B+/P $(2,280,621) $31,984,920 6/20/20 500 bp $(535,806)
  NA IG Series 24 Index BBB+/P (177,404) 9,100,000 6/20/20 100 bp (83,456)
Total $(2,458,025)$(619,262)
*   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 August 31, 2015. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
BRL Brazilian Real
CAD Canadian Dollar
Key to holding's abbreviations
ADR American Depository Receipts: 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 or yield 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, 2015 through August 31, 2015 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $198,200,559.
(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 $222,417,425, resulting in gross unrealized appreciation and depreciation of $8,081,318 and $7,180,234, respectively, or net unrealized appreciation of $901,084.
(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* $10,139,420 $25,246,739 $24,958,863 $1,267 $10,427,296
Putnam Short Term Investment Fund* 41,010,048 7,318,220 11,017,230 10,892 37,311,038
Totals $51,149,468 $32,564,959 $35,976,093 $12,159 $47,738,334
* 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 $530,480, 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 $514,559.
(F) This security is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(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 $169,132,853 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
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.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 81.4%
United Kingdom 6.9
Japan 2.5
France 1.9
Canada 1.0
Switzerland 0.9
Germany 0.9
Netherlands 0.5
Other 4.0
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, to enhance the return on securities owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates, and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates, and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to sepcific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk 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 to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. 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 its obligations. 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 $7,847,687 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $7,364,088 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 $1,931,433 $936,245 $—
    Capital goods 4,466,705 703,561 —
    Communication services 1,758,207 866,385 —
    Conglomerates — 90,233 —
    Consumer cyclicals 7,822,929 1,834,324 —
    Consumer staples 5,633,512 1,428,300 —
    Energy 3,020,938 1,412,351 —
    Financials 16,289,023 2,588,397 —
    Health care 9,084,127 1,878,995 —
    Technology 9,493,195 180,884 —
    Transportation 1,707,057 467,707 —
    Utilities and power 1,634,953 568,831 —
Total common stocks 62,842,079 12,956,213 —
Asset-backed securities — 1,712,000 2,682,000
Commodity linked notes — 8,754,682 —
Convertible bonds and notes — 55,047 —
Convertible preferred stocks — 34,318 —
Corporate bonds and notes — 44,756,792 104,500
Foreign government and agency bonds and notes — 1,135,309 —
Investment companies 39,113 — —
Mortgage-backed securities — 7,010,996 176,454
Preferred stocks 208,093 75,153 —
Purchased options outstanding — 1,555,026 —
Senior loans — 444,433 —
U.S. government and agency mortgage obligations — 14,784,845 —
U.S. treasury obligations — 133,110 —
Short-term investments 48,678,334 15,180,012 —
Totals by level $111,767,619 $108,587,936 $2,962,954



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3


Forward currency contracts $— $235,872 $—
Futures contracts 183,719 — —
Written options outstanding — (63,627) —
Interest rate swap contracts — 1,318,105 —
Total return swap contracts — (6,807,029) —
Credit default contracts — 94,170 —
Totals by level $183,719 $(5,222,509) $—



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, 2015Accrued discounts/ premiumsRealized gain/(loss)Change in net unrealized appreciation/ (depreciation)#PurchasesSalesTotal transfers into Level 3†Total transfers out of Level 3†Balance as of August 31, 2015
Asset-backed securities$2,682,000$—$—$—$—$—$—$—$2,682,000
Corporate bonds and notes$104,500———————$104,500
Mortgage-backed securities$200,975——579——64,000(89,100)$176,454
Totals: $2,987,475 $— $—$579$—$—$64,000$(89,100)$2,962,954


† Transfers during the reporting period are accounted for using the end of period market value and include valuations provided by a single broker quote. Such valuations involve certain inputs and estimates that were unobservable at the end of the reporting period.
# Includes $579 related to Level 3 securities still held at period end.
During the reporting period, transfers between level 1 and level 2 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. Transfers are accounted for using the end of period pricing valuation method.
Level 3 securities, which are fair valued by Putnam, are not material to the fund.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts$1,844,406$1,750,236
Foreign exchange contracts845,730609,858
Equity contracts2,730,0152,378,911
Interest rate contracts2,639,2706,804,180
Total $8,059,421 $11,543,185


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)$230,000
Written equity option contracts (contract amount)$220,000
Futures contracts (number of contracts)700
Forward currency contracts (contract amount)$88,600,000
Centrally cleared interest rate swap contracts (notional)$111,100,000
OTC total return swap contracts (notional)$155,300,000
OTC credit default contracts (notional)$18,200,000
Centrally cleared credit default contracts (notional)$41,600,000
   
  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§   $— $—  $3,893 $— $— $— $— $— $— $— $— $— $— $—    $3,893
  OTC Total return swap contracts*#    16,338  5,273  —  788,407  —  —  —  —  —  —  —  —  —  —    810,018
  OTC Credit default contracts*#    —  —  —  —  4,178  —  1,465  —  —  —  —  —  —  —    5,643
  Centrally cleared credit default contracts§    —  —  —  —  —  —  —  —  —  —  —  —  —  —    —
  Futures contracts§    —  —  —  —  —  —  —  —  —  88,519  —  —  —  —    88,519
  Forward currency contracts#    15,332  34,929  —  25,779  99,413  104,496  35,966  61,378  178,626  —  54,971  130,632  36,420  67,788    845,730
  Purchased options#    —  —  —  686,156  —  —  —  —  868,870  —  —  —  —  —    1,555,026
                                     
  Total Assets  $31,670  $40,202  $3,893  $1,500,342  $103,591  $104,496  $37,431  $61,378  $1,047,496  $88,519  $54,971  $130,632  $36,420  $67,788  $3,308,829
                                     
  Liabilities:                                  
  Centrally cleared interest rate swap contracts§    —  —  44,662  —  —  —    —  —  —  —  —  —  —    44,662
  OTC Total return swap contracts*#    1,233,778  745,906  —  591,273  2,966,477  48,388  856,421  —  1,174,804  —  —  —  —  —    7,617,047
  OTC Credit default contracts*#    —  1,725,836  —  —  19,940  —  4,460  —  —  —  —  —  —  —    1,750,236
  Centrally cleared credit default contracts§    —  —  99,762  —  —  —  —  —  —  —  —  —  —  —    99,762
  Futures contracts§    —  —  —  —  —  —  —  —  —  215,190  —  —  —  —    215,190
  Forward currency contracts#    46,372  43,463  —  35,938  33,840  3,069  27,466  7,555  166,354  —  40,437  127,351  58,338  19,675    609,858
  Written options#    41,042  —  —  13,259  —  9,326  —  —  —  —  —  —  —  —    63,627
                                     
  Total Liabilities  $1,321,192  $2,515,205  $144,424  $640,470  $3,020,257  $60,783  $888,347  $7,555  $1,341,158  $215,190  $40,437  $127,351  $58,338  $19,675  $10,400,382
                                     
  Total Financial and Derivative Net Assets    $(1,289,522)  $(2,475,003)  $(140,531)  $859,872  $(2,916,666)  $43,713  $(850,916)  $53,823  $(293,662)  $(126,671)  $14,534  $3,281  $(21,918)  $48,113    $(7,091,553)
  Total collateral received (pledged)##†    $(1,070,818)  $(2,475,003) $—  $230,000  $(2,879,736)  $43,713  $(850,916)  $53,823  $580,000 $— $— $— $— $—    
  Net amount    $(218,704) $—  $(140,531)  $629,872  $(36,930) $— $— $—  $(873,662)  $(126,671)  $14,534  $3,281  $(21,918)  $48,113    
                                     
* 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: October 29, 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: October 29, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: October 29, 2015