N-Q 1 a_absretnfivehun.htm PUTNAM FUNDS TRUST a_absretnfivehun.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: October 31, 2016
Date of reporting period: January 31, 2016



Item 1. Schedule of Investments:













Putnam Absolute Return 500 Fund

The fund's portfolio
1/31/16 (Unaudited)
COMMON STOCKS (27.8%)(a)
Shares Value
Basic materials (0.6%)
Bemis Co., Inc. 11,500 $550,505
Braskem SA Class A (Preference) (Brazil) 31,400 188,409
China Lesso Group Holdings, Ltd. (China) 1,224,000 668,971
Gerdau S.A. (Preference) (Brazil) 574,800 517,346
Graphic Packaging Holding Co. 60,000 681,600
Hyosung Corp. (South Korea) 13,629 1,246,247
Lee & Man Paper Manufacturing, Ltd. (China) 259,000 146,504
PTT Global Chemical PCL (Thailand) 965,200 1,451,886
Sherwin-Williams Co. (The) 3,400 869,278
Sonoco Products Co. 10,200 403,002
6,723,748
Capital goods (1.8%)
Allison Transmission Holdings, Inc. 47,800 1,137,162
AptarGroup, Inc. 5,000 364,500
Avery Dennison Corp. 23,000 1,400,470
Boeing Co. (The) 20,300 2,438,639
BWX Technologies, Inc. 13,500 404,190
Crown Holdings, Inc.(NON) 12,300 564,324
General Dynamics Corp. 30,200 4,039,854
Lockheed Martin Corp. 1,300 274,300
Northrop Grumman Corp. 20,900 3,867,754
Raytheon Co. 32,500 4,167,800
Waste Management, Inc. 53,200 2,816,940
21,475,933
Communication services (1.8%)
AT&T, Inc. 54,900 1,979,694
China Mobile, Ltd. (China) 318,500 3,473,430
DISH Network Corp. Class A(NON) 152,200 7,346,694
Globe Telecom, Inc. (Philippines) 22,280 874,482
Juniper Networks, Inc. 113,100 2,669,160
Verizon Communications, Inc. 105,896 5,291,623
21,635,083
Consumer cyclicals (3.9%)
Automatic Data Processing, Inc. 50,100 4,162,809
AutoZone, Inc.(NON) 4,700 3,606,733
Barloworld, Ltd. (South Africa) 178,811 799,241
Belle International Holdings, Ltd. (China) 686,000 462,901
China Dongxiang Group Co., Ltd. (China) 1,528,000 303,877
CJ E&M Corp. (South Korea)(NON) 10,022 776,971
Clorox Co. (The) 2,500 322,625
Copart, Inc.(NON) 11,500 385,365
Dolby Laboratories, Inc. Class A 6,200 223,262
Dollar General Corp. 52,800 3,963,168
Ecolab, Inc. 5,400 582,498
Gartner, Inc.(NON) 8,200 720,698
Hankook Tire Co., Ltd. (South Korea) 3,914 152,813
Home Depot, Inc. (The) 4,700 591,072
Hyatt Hotels Corp. Class A(NON) 9,200 355,856
Imperial Holdings, Ltd. (South Africa) 16,097 124,744
John Wiley & Sons, Inc. Class A 5,200 217,360
Kia Motors Corp. (South Korea) 40,903 1,562,669
Kimberly-Clark de Mexico SAB de CV Class A (Mexico) 596,146 1,422,842
KOC Holding AS (Turkey) 53,985 216,752
Liberty Media Corp. Class A(NON) 18,100 662,822
MSG Networks, Inc.(NON) 13,700 239,613
News Corp. Class B 15,100 201,585
NIKE, Inc. Class B 77,100 4,780,971
O'Reilly Automotive, Inc.(NON) 8,800 2,295,920
Omnicom Group, Inc. 1,752 128,509
Scotts Miracle-Gro Co. (The) Class A 5,200 357,136
ServiceMaster Global Holdings, Inc.(NON) 23,100 975,051
Sirius XM Holdings, Inc.(NON) 567,900 2,101,230
Target Corp. 57,400 4,156,908
Thomson Reuters Corp. (Canada) 22,700 848,980
Top Glove Corp. Bhd (Malaysia) 372,400 486,932
Truworths International, Ltd. (South Africa) 177,971 1,109,985
Twenty-First Century Fox, Inc. 91,700 2,485,070
Vantiv, Inc. Class A(NON) 41,800 1,966,690
Visteon Corp. 11,700 782,496
Wal-Mart Stores, Inc. 2,700 179,172
World Fuel Services Corp. 8,300 323,285
45,036,611
Consumer staples (3.3%)
Altria Group, Inc. 84,800 5,182,128
AMBEV SA (Brazil) 325,000 1,516,201
Arca Continental SAB de CV (Mexico) 148,597 892,676
Colgate-Palmolive Co. 47,500 3,207,675
Constellation Brands, Inc. Class A 26,200 3,994,976
Gruma SAB de CV Class B (Mexico) 108,516 1,635,720
Hormel Foods Corp. 19,800 1,592,118
JBS SA (Brazil) 468,771 1,265,745
Kroger Co. (The) 102,100 3,962,501
KT&G Corp. (South Korea) 19,245 1,664,119
LG Household & Health Care, Ltd. (South Korea) 1,979 1,649,272
Match Group, Inc.(NON) 20,600 258,530
McDonald's Corp. 41,700 5,161,626
PepsiCo, Inc. 37,400 3,713,820
Sao Martinho SA (Brazil) 24,742 295,682
Sysco Corp. 56,600 2,253,246
38,246,035
Energy (1.4%)
Bangchak Petroleum PCL (The) (Thailand) 1,027,600 841,175
Ecopetrol SA ADR (Colombia) 156,996 1,011,054
Exxon Mobil Corp. 92,802 7,224,636
Frank's International NV (Netherlands) 10,800 158,004
Occidental Petroleum Corp. 33,200 2,285,156
Schlumberger, Ltd. 45,000 3,252,150
Thai Oil PCL (Thailand) 569,900 1,024,727
Tupras Turkiye Petrol Rafinerileri AS (Turkey)(NON) 31,110 791,307
16,588,209
Financials (5.7%)
Agricultural Bank of China, Ltd. (China) 4,523,000 1,617,494
Allied World Assurance Co. Holdings AG 23,500 859,865
American Capital Agency Corp.(R) 127,600 2,178,132
American Financial Group, Inc. 8,300 589,134
Annaly Capital Management, Inc.(R) 51,400 488,300
Aspen Insurance Holdings, Ltd. 10,100 469,751
Assurant, Inc. 4,000 325,240
AvalonBay Communities, Inc.(R) 16,100 2,760,989
Banco Bradesco SA ADR (Brazil) 140,933 644,064
Bank of Communications Co., Ltd. (China) 2,355,000 1,443,609
Broadridge Financial Solutions, Inc. 13,500 723,060
BS Financial Group, Inc. (South Korea) 61,292 463,690
Capital One Financial Corp. 61,700 4,048,754
Care Capital Properties, Inc.(R) 12,100 362,274
Cathay Financial Holding Co., Ltd. (Taiwan) 862,000 945,082
Chimera Investment Corp.(R) 50,600 626,934
China Cinda Asset Management Co., Ltd. (China) 3,618,000 1,139,969
China Construction Bank Corp. (China) 2,349,000 1,447,349
China Merchants Bank Co., Ltd. (China) 373,500 726,208
Chongqing Rural Commercial Bank Co., Ltd. (China) 2,456,000 1,257,600
CITIC, Ltd. (China) 519,000 738,507
CoreLogic, Inc.(NON) 11,100 396,270
DAMAC Properties Dubai Co. PJSC (United Arab Emirates)(NON) 1,506,971 956,316
Discover Financial Services 7,400 338,846
Dubai Islamic Bank PJSC (United Arab Emirates) 301,365 475,534
Endurance Specialty Holdings, Ltd. 6,800 421,124
Equity Commonwealth(NON)(R) 13,800 371,082
Everest Re Group, Ltd. 4,336 775,884
Four Corners Property Trust, Inc.(R) 18,200 307,580
Hanover Insurance Group, Inc. (The) 1,600 130,384
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea) 35,461 961,619
Industrial & Commercial Bank of China, Ltd. (China) 1,021,000 535,497
Industrial Bank of Korea (South Korea) 147,191 1,422,129
Liberty Holdings, Ltd. (South Africa) 130,967 924,596
Macquarie Mexico Real Estate Management SA de CV (Mexico)(R) 276,774 327,317
MFA Financial, Inc.(R) 66,600 422,910
MMI Holdings, Ltd. (South Africa) 210,741 301,879
Moscow Exchange MICEX-RTS OAO (Russia) 1,083,658 1,383,227
People's Insurance Co. Group of China, Ltd. (China) 3,143,000 1,267,969
PICC Property & Casualty Co., Ltd. (China) 210,000 361,043
PNC Financial Services Group, Inc. (The) 39,600 3,431,340
Popular, Inc. (Puerto Rico) 16,100 404,754
Porto Seguro SA (Brazil) 28,271 184,972
ProAssurance Corp. 6,600 330,792
Public Storage(R) 4,500 1,141,020
Reinsurance Group of America, Inc. 5,400 454,842
RenaissanceRe Holdings, Ltd. 6,562 739,209
RMB Holdings, Ltd. (South Africa) 283,041 1,008,795
Sberbank of Russia PJSC ADR (Russia) 307,240 1,699,467
Shinhan Financial Group Co., Ltd. (South Korea) 14,973 480,743
SLM Corp.(NON) 102,900 658,560
Starwood Property Trust, Inc.(R) 55,900 1,064,336
Synchrony Financial(NON) 135,100 3,839,542
Taishin Financial Holding Co., Ltd. (Taiwan) 3,680,000 1,197,786
TCF Financial Corp. 27,400 329,074
Two Harbors Investment Corp.(R) 66,800 507,680
U.S. Bancorp 38,500 1,542,310
Validus Holdings, Ltd. 14,400 637,056
Voya Financial, Inc. 44,100 1,348,578
Wells Fargo & Co. 126,700 6,364,141
XL Group PLC 72,400 2,625,224
65,927,432
Health care (3.0%)
AmerisourceBergen Corp. 39,700 3,555,532
Bio-Rad Laboratories, Inc.(NON) 2,700 344,547
Cardinal Health, Inc. 37,874 3,081,807
Charles River Laboratories International, Inc.(NON) 4,200 311,766
DaVita HealthCare Partners, Inc.(NON) 25,900 1,738,408
Johnson & Johnson 69,300 7,237,692
McKesson Corp. 21,800 3,509,364
MEDNAX, Inc.(NON) 9,500 659,870
Merck & Co., Inc. 37,900 1,920,393
PerkinElmer, Inc. 16,400 792,448
Pfizer, Inc. 177,900 5,424,171
Richter Gedeon Nyrt (Hungary) 80,612 1,572,935
Thermo Fisher Scientific, Inc. 30,900 4,080,654
Waters Corp.(NON) 7,900 957,559
35,187,146
Technology (4.4%)
Accenture PLC Class A 35,900 3,788,886
Amdocs, Ltd. 18,300 1,001,742
Apple, Inc. 35,213 3,427,633
Brocade Communications Systems, Inc. 77,000 614,460
Cisco Systems, Inc. 211,500 5,031,585
Computer Sciences Corp. 15,000 481,050
CSRA, Inc. 17,100 457,938
DST Systems, Inc. 15,900 1,676,019
eBay, Inc.(NON) 151,700 3,558,882
Fidelity National Information Services, Inc. 15,300 913,869
Fiserv, Inc.(NON) 24,700 2,335,632
Genpact, Ltd.(NON) 17,600 420,992
Gentex Corp. 10,900 149,221
Hon Hai Precision Industry Co., Ltd. (Taiwan) 995,000 2,333,378
Honeywell International, Inc. 1,500 154,800
Ingram Micro, Inc. Class A 20,600 580,920
Leidos Holdings, Inc. 10,100 465,812
Maxim Integrated Products, Inc. 106,100 3,543,740
Microsoft Corp. 32,319 1,780,454
NetEase, Inc. ADR (China) 9,392 1,466,467
Paychex, Inc. 64,400 3,082,184
Pegatron Corp. (Taiwan) 776,000 1,772,315
Radiant Opto-Electronics Corp. (Taiwan) 709,000 1,398,357
Samsung Electronics Co., Ltd. (South Korea) 4,973 4,800,493
Synopsys, Inc.(NON) 17,800 763,620
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) 70,037 1,565,327
Tencent Holdings, Ltd. (China) 69,800 1,318,667
WNS Holdings, Ltd. ADR (India)(NON) 35,386 1,015,224
Xilinx, Inc. 17,600 884,752
50,784,419
Transportation (0.7%)
China Southern Airlines Co., Ltd. (China) 2,168,000 1,305,951
OHL Mexico SAB de CV (Mexico)(NON) 253,767 237,709
Southwest Airlines Co. 3,000 112,860
TAV Havalimanlari Holding AS (Turkey) 35,028 208,010
Turk Hava Yollari AO (Turkey)(NON) 482,889 1,198,278
United Parcel Service, Inc. Class B 46,086 4,295,215
Yangzijiang Shipbuilding Holdings, Ltd. (China) 1,866,300 1,229,642
8,587,665
Utilities and power (1.2%)
AK Transneft OAO (Preference) (Russia)(NON) 366 920,825
American Electric Power Co., Inc. 27,300 1,664,481
American Water Works Co., Inc. 11,200 726,992
China Resources Power Holdings Co., Ltd. (China) 224,000 381,986
Huadian Power International Corp., Ltd. (China) 1,644,000 975,444
Huaneng Power International, Inc. (China) 660,000 537,069
Korea Electric Power Corp. (South Korea) 42,192 1,858,360
PG&E Corp. 42,500 2,333,675
Southern Co. (The) 83,800 4,099,496
13,498,328
Total common stocks (cost $325,966,862) $323,690,609

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (18.7%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.7%)
Government National Mortgage Association Pass-Through Certificates
     4.687s, June 20, 2045 $170,854 $192,769
     4.654s, June 20, 2045 738,432 833,067
     4.554s, May 20, 2045 365,930 411,436
     4.524s, June 20, 2065 387,654 433,987
     4.516s, June 20, 2045 361,602 404,742
     4.468s, May 20, 2065 736,321 820,663
     4.413s, June 20, 2065 180,942 201,734
     3 1/2s, TBA, February 1, 2046 4,000,000 4,218,750
7,517,148
U.S. Government Agency Mortgage Obligations (18.0%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     3 1/2s, with due dates from August 1, 2043 to October 1, 2045 1,837,116 1,931,541
     3s, March 1, 2043 778,306 795,574
Federal National Mortgage Association Pass-Through Certificates
     5 1/2s, January 1, 2038 867,157 975,621
     5 1/2s, TBA, March 1, 2046 2,000,000 2,232,188
     5 1/2s, TBA, February 1, 2046 2,000,000 2,232,188
     4 1/2s, TBA, February 1, 2046 2,000,000 2,174,062
     4s, January 1, 2041 1,764,191 1,893,336
     4s, May 1, 2044(FWC) 2,519,648 2,715,118
     3 1/2s, July 1, 2043 808,143 847,760
     3 1/2s, TBA, March 1, 2046 5,000,000 5,221,875
     3 1/2s, TBA, February 1, 2046 7,000,000 7,330,996
     3s, TBA, March 1, 2046 87,000,000 88,587,071
     3s, TBA, February 1, 2046 91,000,000 92,869,767
209,807,097
Total U.S. government and agency mortgage obligations (cost $214,845,422) $217,324,245

MORTGAGE-BACKED SECURITIES (10.7%)(a)
Principal amount Value
Agency collateralized mortgage obligations (5.5%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 2990, Class LB, 15.858s, 2034 $110,562 $142,844
     IFB Ser. 3232, Class KS, IO, 5 7/8s, 2036 575,887 90,342
     IFB Ser. 4104, Class S, IO, 5.675s, 2042 514,609 112,860
     IFB Ser. 3116, Class AS, IO, 5.675s, 2034 255,184 7,119
     IFB Ser. 4087, Class SA, IO, 5 5/8s, 2039 4,606,867 541,992
     IFB Ser. 3852, Class NT, 5.575s, 2041 2,016,485 2,071,490
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 1,189,390 186,972
     Ser. 4462, IO, 4s, 2045 1,517,056 278,167
     Ser. 4425, IO, 4s, 2045 7,376,111 1,014,805
     Ser. 4452, Class QI, IO, 4s, 2044 3,734,436 616,620
     Ser. 4355, Class DI, IO, 4s, 2044 4,422,678 409,540
     Ser. 4193, Class PI, IO, 4s, 2043 2,373,438 366,271
     Ser. 4121, Class MI, IO, 4s, 2042 1,497,745 325,160
     Ser. 4116, Class MI, IO, 4s, 2042 2,931,655 505,581
     Ser. 4213, Class GI, IO, 4s, 2041 902,754 115,101
     Ser. 4013, Class AI, IO, 4s, 2039 2,649,555 288,196
     Ser. 4501, Class BI, IO, 3 1/2s, 2043 4,019,264 571,489
     Ser. 303, Class C18, IO, 3 1/2s, 2043 2,096,199 381,541
     Ser. 4141, Class IM, IO, 3 1/2s, 2042 1,240,311 205,965
     Ser. 4121, Class AI, IO, 3 1/2s, 2042 3,838,111 719,635
     Ser. 4136, Class IW, IO, 3 1/2s, 2042 2,481,998 333,981
     Ser. 4166, Class PI, IO, 3 1/2s, 2041 1,968,813 270,635
     Ser. 4097, Class PI, IO, 3 1/2s, 2040 3,149,062 364,794
     Ser. 304, Class C37, IO, 3 1/2s, 2027 887,815 98,529
     Ser. 4150, Class DI, IO, 3s, 2043 1,843,183 228,958
     Ser. 4158, Class TI, IO, 3s, 2042 4,525,419 536,669
     Ser. 4165, Class TI, IO, 3s, 2042 3,896,569 425,505
     Ser. 4183, Class MI, IO, 3s, 2042 1,750,152 191,467
     Ser. 4206, Class IP, IO, 3s, 2041 2,894,768 312,882
     Ser. 4433, Class DI, IO, 3s, 2032 3,754,754 343,072
     Ser. 4179, Class EI, IO, 3s, 2030 3,123,703 316,873
     Ser. 304, Class C45, IO, 3s, 2027 1,605,217 162,054
     Ser. 3939, Class EI, IO, 3s, 2026 3,143,883 232,488
     FRB Ser. 8, Class A9, IO, 0.469s, 2028 202,690 2,787
     FRB Ser. 59, Class 1AX, IO, 0.273s, 2043(F) 494,653 5,927
     Ser. 48, Class A2, IO, 0.212s, 2033(F) 734,254 7,015
     Ser. 315, PO, zero %, 2043 2,830,160 2,271,424
     Ser. 3206, Class EO, PO, zero %, 2036 33,556 30,373
     Ser. 3175, Class MO, PO, zero %, 2036 29,884 26,164
Federal National Mortgage Association
     IFB Ser. 05-74, Class NK, 25.368s, 2035 64,048 102,704
     IFB Ser. 11-4, Class CS, 12.047s, 2040 721,587 891,786
     IFB Ser. 12-56, Class SG, IO, 5.574s, 2039 4,512,381 534,947
     IFB Ser. 13-103, Class SK, IO, 5.494s, 2043 950,225 259,007
     IFB Ser. 13-101, Class SE, IO, 5.474s, 2043 1,263,977 328,441
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.427s, 2025 600,000 573,511
     Ser. 397, Class 2, IO, 5s, 2039 27,764 5,182
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 4.977s, 2025 170,000 165,971
     Ser. 15-4, IO, 4 1/2s, 2045 1,862,746 360,590
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 4.427s, 2025 592,000 544,098
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.427s, 2025 134,000 123,942
     Ser. 421, Class C6, IO, 4s, 2045 3,265,741 552,315
     Ser. 14-47, Class IP, IO, 4s, 2044 2,696,318 348,356
     Ser. 418, Class C24, IO, 4s, 2043 1,601,148 306,445
     Ser. 13-44, Class PI, IO, 4s, 2043 749,784 107,928
     Ser. 12-124, Class UI, IO, 4s, 2042 3,316,862 579,124
     Ser. 12-118, Class PI, IO, 4s, 2042 2,739,234 475,963
     Ser. 13-11, Class IP, IO, 4s, 2042 2,577,735 432,495
     Ser. 12-96, Class PI, IO, 4s, 2041 1,479,129 206,541
     Ser. 12-22, Class CI, IO, 4s, 2041 2,662,748 382,029
     Ser. 12-62, Class MI, IO, 4s, 2041 2,185,744 287,581
     Ser. 409, Class C16, IO, 4s, 2040 475,715 75,079
     Ser. 12-104, Class HI, IO, 4s, 2027 2,762,040 337,362
     Ser. 417, Class C24, IO, 3 1/2s, 2042 1,898,666 351,623
     Ser. 12-118, Class IC, IO, 3 1/2s, 2042 4,479,219 776,724
     Ser. 12-136, Class PI, IO, 3 1/2s, 2042 1,731,906 179,025
     Ser. 14-10, IO, 3 1/2s, 2042 1,451,768 175,250
     Ser. 12-101, Class PI, IO, 3 1/2s, 2040 2,015,822 221,722
     Ser. 14-76, IO, 3 1/2s, 2039 4,199,181 510,339
     Ser. 12-110, Class BI, IO, 3 1/2s, 2039 2,330,315 231,306
     Ser. 13-21, Class AI, IO, 3 1/2s, 2033 2,535,628 431,821
     Ser. 12-151, Class PI, IO, 3s, 2043 1,798,907 214,969
     Ser. 13-1, Class MI, IO, 3s, 2043 3,704,917 364,675
     Ser. 13-8, Class NI, IO, 3s, 2042 3,557,455 422,193
     Ser. 6, Class BI, IO, 3s, 2042 3,103,482 275,589
     Ser. 13-35, Class IP, IO, 3s, 2042 2,858,522 284,289
     Ser. 13-23, Class PI, IO, 3s, 2041 5,082,323 405,417
     Ser. 13-31, Class NI, IO, 3s, 2041 4,058,598 341,923
     Ser. 13-7, Class EI, IO, 3s, 2040 2,135,093 296,644
     Ser. 12-100, Class WI, IO, 3s, 2027 6,157,758 604,053
     FRB Ser. 03-W10, Class 1, IO, 0.753s, 2043(F) 161,488 2,658
     Ser. 98-W5, Class X, IO, 0.629s, 2028 374,719 18,268
     Ser. 98-W2, Class X, IO, 0.058s, 2028 1,240,515 60,475
Government National Mortgage Association
     Ser. 09-79, Class IC, IO, 6s, 2039 3,358,594 650,728
     IFB Ser. 13-129, Class SN, IO, 5.724s, 2043 632,592 108,085
     IFB Ser. 13-99, Class VS, IO, 5.675s, 2043 770,732 144,905
     IFB Ser. 11-70, Class SH, IO, 5.465s, 2041 1,454,071 251,615
     Ser. 14-182, Class KI, IO, 5s, 2044 2,960,153 588,683
     Ser. 14-133, Class IP, IO, 5s, 2044 3,040,256 562,447
     Ser. 14-122, Class IC, IO, 5s, 2044 1,505,198 295,320
     Ser. 14-163, Class NI, IO, 5s, 2044 1,721,177 322,065
     Ser. 14-25, Class QI, IO, 5s, 2044 2,739,421 472,331
     Ser. 14-2, Class IC, IO, 5s, 2044 3,944,036 838,490
     Ser. 13-3, Class IT, IO, 5s, 2043 1,145,678 215,552
     Ser. 11-116, Class IB, IO, 5s, 2040 521,757 20,947
     Ser. 10-35, Class UI, IO, 5s, 2040(F) 1,079,212 200,778
     Ser. 10-20, Class UI, IO, 5s, 2040 800,879 140,554
     Ser. 10-9, Class UI, IO, 5s, 2040 3,425,025 643,446
     Ser. 09-121, Class UI, IO, 5s, 2039 1,686,698 316,391
     Ser. 14-3, Class IP, IO, 4 1/2s, 2043 2,183,358 367,677
     Ser. 11-18, Class PI, IO, 4 1/2s, 2040 70,374 8,269
     Ser. 10-35, Class AI, IO, 4 1/2s, 2040 1,483,294 256,625
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 759,569 127,709
     Ser. 13-151, Class IB, IO, 4 1/2s, 2040 942,969 155,848
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 689,607 116,575
     Ser. 09-121, Class CI, IO, 4 1/2s, 2039 2,277,124 498,831
     Ser. 10-103, Class DI, IO, 4 1/2s, 2038 1,931,069 108,578
     Ser. 15-186, Class AI, IO, 4s, 2045 6,914,403 1,120,894
     Ser. 15-99, Class LI, IO, 4s, 2045 2,747,262 312,033
     Ser. 15-53, Class MI, IO, 4s, 2045 2,633,376 591,027
     Ser. 15-40, IO, 4s, 2045 946,869 201,409
     Ser. 15-40, Class KI, IO, 4s, 2044 2,408,436 497,891
     Ser. 14-149, Class IP, IO, 4s, 2044 1,853,990 288,754
     Ser. 13-24, Class PI, IO, 4s, 2042 1,237,347 184,993
     Ser. 12-138, Class AI, IO, 4s, 2042 1,756,430 335,914
     Ser. 12-47, Class CI, IO, 4s, 2042 1,898,189 305,391
     Ser. 14-104, IO, 4s, 2042 2,905,650 490,706
     Ser. 12-50, Class PI, IO, 4s, 2041 1,322,652 182,129
     Ser. 14-133, Class AI, IO, 4s, 2036 3,629,407 369,982
     Ser. 15-64, Class PI, IO, 3 1/2s, 2045 4,754,927 578,199
     Ser. 15-20, Class PI, IO, 3 1/2s, 2045 4,214,831 615,972
     Ser. 15-24, Class CI, IO, 3 1/2s, 2045 1,223,856 247,955
     Ser. 15-24, Class IA, IO, 3 1/2s, 2045 1,471,769 241,907
     Ser. 13-102, Class IP, IO, 3 1/2s, 2043 1,699,307 149,060
     Ser. 13-76, IO, 3 1/2s, 2043 1,351,363 155,569
     Ser. 13-79, Class PI, IO, 3 1/2s, 2043 3,011,123 353,566
     Ser. 13-100, Class MI, IO, 3 1/2s, 2043 2,407,396 241,221
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 1,495,215 164,130
     Ser. 12-145, IO, 3 1/2s, 2042 1,514,461 256,390
     Ser. 13-14, IO, 3 1/2s, 2042 4,280,817 487,114
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 707,606 75,905
     Ser. 12-92, Class AI, IO, 3 1/2s, 2042 848,689 91,179
     Ser. 13-37, Class LI, IO, 3 1/2s, 2042 1,258,802 137,693
     Ser. 12-141, Class WI, IO, 3 1/2s, 2041 3,232,880 311,682
     Ser. 15-36, Class GI, IO, 3 1/2s, 2041 1,782,355 225,842
     Ser. 12-71, Class JI, IO, 3 1/2s, 2041 1,110,927 83,142
     Ser. 13-90, Class HI, IO, 3 1/2s, 2040 3,926,821 207,375
     Ser. 13-79, Class XI, IO, 3 1/2s, 2039 3,111,744 398,174
     Ser. 183, Class AI, IO, 3 1/2s, 2039 2,906,195 329,475
     Ser. 15-118, Class EI, IO, 3 1/2s, 2039 4,113,902 477,438
     Ser. 15-124, Class NI, IO, 3 1/2s, 2039 3,719,756 446,311
     Ser. 15-138, Class AI, IO, 3 1/2s, 2039 1,600,413 193,460
     Ser. 15-96, Class NI, IO, 3 1/2s, 2039 4,327,210 486,378
     Ser. 15-82, Class GI, IO, 3 1/2s, 2038 7,202,291 836,186
     Ser. 15-124, Class DI, IO, 3 1/2s, 2038 4,559,865 650,018
     Ser. 15-24, Class IC, IO, 3 1/2s, 2037 1,928,650 266,588
     Ser. 14-115, Class QI, IO, 3s, 2029 2,246,896 210,646
     Ser. 13-H08, IO, 2.926s, 2063 4,543,447 383,467
     Ser. 15-H20, Class CI, IO, 2.256s, 2065 8,973,135 1,103,415
     FRB Ser. 15-H16, Class XI, IO, 2.23s, 2065 4,547,479 593,901
     Ser. 15-H25, Class BI, IO, 2.227s, 2065 8,411,892 1,035,504
     Ser. 15-H24, Class HI, IO, 2.019s, 2065 10,302,012 881,852
     Ser. 15-H09, Class AI, IO, 1.997s, 2065 6,145,204 703,626
     Ser. 15-H15, Class JI, IO, 1.937s, 2065 5,821,306 702,050
     Ser. 16-H02, Class BI, IO, 1.918s, 2065 10,491,000 1,124,504
     Ser. 15-H19, Class NI, IO, 1.909s, 2065 7,055,806 846,697
     Ser. 15-H25, Class EI, IO, 1.843s, 2065 6,286,027 675,748
     Ser. 15-H18, Class IA, IO, 1.827s, 2065 3,617,755 327,045
     Ser. 15-H10, Class CI, IO, 1.805s, 2065 6,596,089 719,386
     Ser. 15-H26, Class GI, IO, 1.793s, 2065 5,273,228 589,020
     Ser. 15-H26, Class EI, IO, 1.714s, 2065 4,897,210 521,063
     Ser. 15-H09, Class BI, IO, 1.697s, 2065 9,223,731 922,373
     Ser. 15-H10, Class EI, IO, 1.639s, 2065(F) 6,305,296 471,206
     Ser. 15-H24, Class BI, IO, 1.617s, 2065 9,543,294 683,300
     Ser. 15-H25, Class AI, IO, 1.614s, 2065 9,116,969 843,320
     Ser. 15-H14, Class BI, IO, 1.592s, 2065(F) 6,560,498 480,029
     Ser. 15-H26, Class CI, IO, 0.578s, 2065 14,781,219 424,221
GSMPS Mortgage Loan Trust 144A
     FRB Ser. 98-4, IO, 1.147s, 2026 70,505 —
     FRB Ser. 98-2, IO, 1.043s, 2027 43,609 —
     FRB Ser. 99-2, IO, 0.84s, 2027 99,679 872
     FRB Ser. 98-3, IO, zero %, 2027(F) 50,155 —
64,508,393
Commercial mortgage-backed securities (2.9%)
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.504s, 2049 2,545,349 12,120
Banc of America Commercial Mortgage Trust 144A FRB Ser. 08-1, Class C, 6.467s, 2051 1,000,000 983,840
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     FRB Ser. 05-5, Class D, 5.56s, 2045 347,316 347,242
     FRB Ser. 05-1, Class C, 5.516s, 2042 292,000 274,153
     Ser. 05-3, Class AJ, 4.767s, 2043 225,000 208,739
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A FRB Ser. 04-4, Class XC, IO, 0.256s, 2042 155,020 163
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 06-PW11, Class AJ, 5.638s, 2039 596,000 594,883
     Ser. 05-PWR7, Class D, 5.304s, 2041 375,000 375,000
     Ser. 05-PWR9, Class C, 5.055s, 2042 215,000 215,000
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.638s, 2039 3,084,000 3,084,000
     FRB Ser. 06-PW11, Class C, 5.638s, 2039 320,000 320,000
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class E, 6.323s, 2044 250,000 239,360
Citigroup Commercial Mortgage Trust FRB Ser. 06-C4, Class B, 6.033s, 2049 703,000 701,306
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class E, 4.604s, 2046 1,041,000 871,562
COMM Mortgage Pass-Through Certificates 144A Ser. 12-CR3, Class F, 4 3/4s, 2045 725,000 563,363
COMM Mortgage Trust FRB Ser. 07-C9, Class D, 5.989s, 2049 300,000 277,500
COMM Mortgage Trust 144A
     Ser. 12-LC4, Class E, 4 1/4s, 2044 452,000 395,484
     FRB Ser. 14-UBS6, Class D, 4.115s, 2047 387,000 318,118
     FRB Ser. 07-C9, Class AJFL, 1.114s, 2049 140,000 134,627
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C3, Class B, 4.882s, 2037 203,000 202,391
Credit Suisse First Boston Mortgage Securities Corp. 144A FRB Ser. 03-C3, Class AX, IO, 2.188s, 2038 186,468 24
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.64s, 2044 1,921,000 1,882,580
GE Commercial Mortgage Corp. Trust Ser. 07-C1, Class A3, 5.481s, 2049 222,715 222,923
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.557s, 2046 291,000 264,638
     FRB Ser. 13-GC10, Class E, 4.557s, 2046 850,000 693,804
GS Mortgage Securities Trust 144A
     FRB Ser. 13-GC16, Class D, 5.493s, 2046 488,000 437,272
     FRB Ser. 06-GG8, Class X, IO, 0.781s, 2039 33,289,980 19,308
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C14, Class E, 4.714s, 2046 675,000 584,145
     FRB Ser. 13-C12, Class E, 4.222s, 2045 800,000 586,960
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.284s, 2051 453,000 457,983
     FRB Ser. 06-LDP7, Class B, 6.106s, 2045 556,000 272,440
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 24,000 23,949
     FRB Ser. 05-LDP2, Class D, 4.941s, 2042 850,000 866,210
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class C, 6.384s, 2051 501,000 480,574
     FRB Ser. 12-C6, Class F, 5.365s, 2045 334,000 303,639
     FRB Ser. 13-C13, Class D, 4.189s, 2046 82,000 71,233
     Ser. 13-C13, Class E, 3.986s, 2046 494,000 378,651
     Ser. 13-C10, Class E, 3 1/2s, 2047 354,000 250,667
     Ser. 12-C6, Class G, 2.972s, 2045 366,000 265,972
JPMorgan Chase Commercial Mortgage Securities Trust Pass-Through Certificates 144A Ser. 01-C1, Class H, 5.626s, 2035 176,288 177,095
Key Commercial Mortgage Securities Trust 144A FRB Ser. 07-SL1, Class A2, 5.823s, 2040 25,204 25,159
LB-UBS Commercial Mortgage Trust
     Ser. 06-C6, Class D, 5.502s, 2039 640,000 637,869
     FRB Ser. 06-C6, Class C, 5.482s, 2039 1,016,000 950,976
     FRB Ser. 07-C2, Class XW, IO, 0.739s, 2040 2,053,789 11,732
Merrill Lynch Mortgage Trust
     FRB Ser. 05-CIP1, Class C, 5.706s, 2038 351,000 321,934
     FRB Ser. 05-CKI1, Class B, 5.686s, 2037 2,602 2,602
     Ser. 04-KEY2, Class D, 5.046s, 2039 250,000 248,032
Merrill Lynch Mortgage Trust 144A FRB Ser. 05-MCP1, Class XC, IO, 0.039s, 2043 847,301 6
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 224,000 224,092
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 13-C11, Class E, 4.561s, 2046 600,000 548,760
     FRB Ser. 13-C11, Class F, 4.561s, 2046 696,000 591,048
     FRB Ser. 12-C6, Class G, 4 1/2s, 2045 1,814,000 1,439,082
     Ser. 13-C13, Class F, 3.707s, 2046 1,285,000 905,448
Morgan Stanley Capital I Trust
     FRB Ser. 06-HQ8, Class C, 5.683s, 2044 950,000 946,537
     Ser. 07-HQ11, Class D, 5.587s, 2044 238,000 216,028
     Ser. 07-HQ11, Class C, 5.558s, 2044 861,000 860,354
     Ser. 06-HQ10, Class B, 5.448s, 2041 1,213,000 1,169,714
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 255,889 256,401
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 13-C6, Class D, 4.493s, 2046 58,000 53,336
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.197s, 2045 638,000 636,724
     FRB Ser. 06-C23, Class F, 5.789s, 2045 578,000 575,694
     FRB Ser. 06-C29, IO, 0.527s, 2048 35,848,879 73,849
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 05-C21, Class E, 5.476s, 2044 1,487,000 1,487,000
     FRB Ser. 07-C31, IO, 0.385s, 2047 54,563,513 110,832
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.434s, 2046 314,000 265,685
WF-RBS Commercial Mortgage Trust 144A
     Ser. 11-C4, Class E, 5.265s, 2044 321,000 325,205
     Ser. 12-C6, Class E, 5s, 2045 412,000 368,188
     Ser. 11-C4, Class F, 5s, 2044 504,000 499,162
     Ser. 11-C3, Class E, 5s, 2044 367,000 339,177
     FRB Ser. 12-C10, Class E, 4.603s, 2045 316,000 238,185
     Ser. 13-C12, Class E, 3 1/2s, 2048 561,000 445,827
     Ser. 13-C14, Class E, 3 1/4s, 2046 574,000 429,857
33,563,413
Residential mortgage-backed securities (non-agency) (2.3%)
BCAP, LLC Trust 144A
     FRB Ser. 14-RR1, Class 2A2, 2.51s, 2036 350,000 279,144
     FRB Ser. 15-RR5, Class 2A3, 1.326s, 2046 440,000 329,956
     FRB Ser. 15-RR6, Class 3A2, 1.196s, 2046 239,000 196,817
     FRB Ser. 14-RR2, Class 4A3, 0.691s, 2036 525,000 390,799
     FRB Ser. 12-RR5, Class 4A8, 0.592s, 2035 1,981,645 1,809,338
Bear Stearns Alt-A Trust
     FRB Ser. 04-3, Class B, 3.352s, 2034 232,719 226,201
     FRB Ser. 04-6, Class M2, 2.152s, 2034 845,111 683,188
Countrywide Alternative Loan Trust
     FRB Ser. 05-27, Class 2A1, 1.635s, 2035 411,139 335,698
     FRB Ser. 05-27, Class 1A6, 1.247s, 2035(F) 582,389 439,703
     FRB Ser. 06-OA7, Class 1A2, 1.225s, 2046 1,949,438 1,549,803
     FRB Ser. 05-38, Class A3, 0.777s, 2035 1,960,250 1,568,333
     FRB Ser. 05-59, Class 1A1, 0.756s, 2035 674,224 539,379
     FRB Ser. 06-OC2, Class 2A3, 0.717s, 2036(F) 205,052 183,521
     FRB Ser. 06-OA2, Class A1, 0.636s, 2046(F) 801,181 592,874
     FRB Ser. 06-OA10, Class 4A1, 0.617s, 2046 4,966,891 3,700,334
     FRB Ser. 06-OC10, Class 2A2A, 0.607s, 2036(F) 517,966 492,068
Countrywide Home Loan Mortgage Pass-Through Trust FRB Ser. 06-OA5, Class 2A1, 0.627s, 2046 1,028,819 793,558
CSMC Trust 144A
     FRB Ser. 11-6R, Class 3A7, 3.005s, 2036 750,000 375,000
     FRB Ser. 13-2R, Class 4A2, 2.626s, 2036(F) 495,503 398,880
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class B, 11.927s, 2025 962,634 981,502
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA1, Class B, 9.627s, 2027 249,924 272,312
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA2, Class B, 7.977s, 2027 554,000 500,539
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQA2, Class B, 10.927s, 2028 587,000 586,119
     Structured Agency Credit Risk Debt Notes FRB Ser. 16-DNA1, Class B, 10.425s, 2028 1,110,000 1,083,249
     Structured Agency Credit Risk Debt Notes FRB Ser. 15-DNA3, Class B, 9.777s, 2028 978,000 924,168
Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.127s, 2028 282,000 276,388
GSAA Home Equity Trust
     FRB Ser. 05-9, Class M3, 0.957s, 2035 1,154,000 776,546
     FRB Ser. 05-9, Class M1, 0.907s, 2035 725,000 564,123
MortgageIT Trust FRB Ser. 04-1, Class M2, 1.432s, 2034 276,205 237,493
Nationstar HECM Loan Trust 144A Ser. 15-1A, Class A, 3.844s, 2018 269,995 269,320
Nomura Resecuritization Trust 144A
     FRB Ser. 10-6RA, Class 1A6, 2.65s, 2036 115,849 102,526
     FRB Ser. 15-1R, Class 6A9, 0.656s, 2047 1,503,232 894,423
     FRB Ser. 15-4R, Class 1A14, 0.634s, 2047 950,000 475,000
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A11, 0.727s, 2036 896,848 389,996
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 04-AR13, Class A1B2, 1.407s, 2034 436,854 407,891
     FRB Ser. 05-AR13, Class A1C3, 0.917s, 2045 1,426,746 1,155,775
     FRB Ser. 05-AR9, Class A1B, 0.807s, 2045 974,856 876,834
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR6, Class 7A2, 2.76s, 2036 476,903 453,361
26,112,159
Total mortgage-backed securities (cost $129,381,619) $124,183,965

SENIOR LOANS (5.7%)(a)(c)
Principal amount Value
Basic materials (0.3%)
AIlnex Luxembourg & CY SCA bank term loan FRN Ser. B1, 4 1/2s, 2019 (Luxembourg) $456,372 $450,096
AIlnex Luxembourg & CY SCA bank term loan FRN Ser. B2, 4 1/2s, 2019 (Luxembourg) 236,789 233,533
Builders FirstSource, Inc. bank term loan FRN Ser. B, 6s, 2022 1,531,482 1,498,938
Ineos US Finance, LLC bank term loan FRN 3 3/4s, 2018 414,796 401,938
KP Germany Erste GmbH bank term loan FRN 5s, 2020 (Germany) 697,096 694,191
KP Germany Erste GmbH bank term loan FRN 5s, 2020 (Germany) 297,904 296,663
3,575,359
Capital goods (0.3%)
Generac Power Systems, Inc. bank term loan FRN Ser. B, 3 1/2s, 2020 396,250 385,848
Reynolds Group Holdings, Inc. bank term loan FRN Ser. B, 4 1/2s, 2018 573,165 570,140
Terex Corp. bank term loan FRN Ser. B, 4 1/2s, 2022 1,000,000 975,000
TransDigm, Inc. bank term loan FRN Ser. C, 3 3/4s, 2020 434,575 423,891
TransDigm, Inc. bank term loan FRN Ser. D, 3 3/4s, 2021 788,000 762,554
3,117,433
Communication services (0.6%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021 480,000 403,560
Asurion, LLC bank term loan FRN Ser. B1, 5s, 2019 726,697 683,276
Asurion, LLC bank term loan FRN Ser. B2, 4 1/4s, 2020 975,000 886,031
Asurion, LLC bank term loan FRN Ser. B4, 5s, 2022 880,575 807,194
Intelsat Jackson Holdings SA bank term loan FRN Ser. B2, 3 3/4s, 2019 (Bermuda) 1,419,814 1,356,810
Level 3 Financing, Inc. bank term loan FRN Ser. B1, 4s, 2020 1,000,000 984,375
Numericable US, LLC bank term loan FRN Ser. B1, 4 1/2s, 2020 (France) 766,995 736,141
Numericable US, LLC bank term loan FRN Ser. B2, 4 1/2s, 2020 (France) 663,555 636,862
Virgin Media Investment Holdings, Ltd. bank term loan FRN Ser. F, 3 1/2s, 2023 (United Kingdom) 1,009,982 987,819
7,482,068
Consumer cyclicals (2.4%)
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022 1,880,411 1,802,374
Amaya Holdings BV bank term loan FRN 5s, 2021 (Netherlands) 987,538 907,712
American Casino & Entertainment Properties, LLC bank term loan FRN 4 3/4s, 2022 1,243,750 1,231,313
Bass Pro Group, LLC bank term loan FRN Ser. B, 4s, 2020 411,888 394,382
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11 1/4s, 2017 849,835 733,691
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 11 3/4s, 2017 562,175 454,659
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 625,475 526,442
Chrysler Group, LLC bank term loan FRN Ser. B, 3 1/2s, 2017 324,003 322,023
CityCenter Holdings, LLC bank term loan FRN Ser. B, 4 1/4s, 2020 864,739 858,974
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 1,155,787 1,080,661
DBP Holding Corp. bank term loan FRN Ser. B, 5 1/4s, 2019 1,590,000 1,361,438
Dollar Tree Stores, Inc. bank term loan FRN Ser. B, 3 1/2s, 2022 191,906 191,221
FCA US, LLC bank term loan FRN Ser. B, 3 1/4s, 2018 786,000 779,712
Golden Nugget, Inc. bank term loan FRN Ser. B, 5 1/2s, 2019 575,750 569,513
Golden Nugget, Inc. bank term loan FRN Ser. DD, 5 1/2s, 2019 246,750 244,077
Jeld-Wen, Inc. bank term loan FRN 5 1/4s, 2021 947,607 938,920
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4 3/4s, 2022 748,125 741,267
Jo-Ann Stores, Inc. bank term loan FRN Ser. B, 4s, 2018 608,179 570,928
Navistar, Inc. bank term loan FRN Ser. B, 6 1/2s, 2020 1,000,000 880,833
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 1,251,264 1,085,081
PET Acquisition Merger Sub, LLC bank term loan FRN Ser. B1, 5 3/4s, 2023 2,000,000 1,957,778
Realogy Group, LLC bank term loan FRN Ser. B, 3 3/4s, 2020 1,458,975 1,446,817
Sabre GLBL, Inc. bank term loan FRN Ser. B, 4s, 2019 1,212,500 1,196,586
Scientific Games International, Inc. bank term loan FRN Ser. B2, 6s, 2021 1,485,000 1,319,264
Station Casinos, LLC bank term loan FRN Ser. B, 4 1/4s, 2020 1,129,703 1,108,050
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 500,000 466,250
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 744,318 694,077
Travelport Finance Sarl bank term loan FRN Ser. B, 5 3/4s, 2021 (Luxembourg) 736,558 710,962
Tribune Media Co. bank term loan FRN Ser. B, 3 3/4s, 2020 1,003,865 984,206
Univision Communications, Inc. bank term loan FRN 4s, 2020 1,124,375 1,097,202
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019 1,319,710 1,286,717
27,943,130
Consumer staples (0.5%)
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 422,475 400,999
Del Monte Foods, Inc. bank term loan FRN 4.265s, 2021 940,800 898,464
Hostess Brands, LLC bank term loan FRN 8 1/2s, 2023 885,000 868,406
Landry's, Inc. bank term loan FRN Ser. B, 4s, 2018 1,199,770 1,193,396
Libbey Glass, Inc. bank term loan FRN Ser. B, 3 3/4s, 2021 985,000 950,525
Rite Aid Corp. bank term loan FRN 4 7/8s, 2021 1,000,000 997,813
US Foods, Inc. bank term loan FRN 4 1/2s, 2019 975,000 959,968
6,269,571
Energy (0.1%)
American Energy-Marcellus, LLC bank term loan FRN 5 1/4s, 2020 460,000 92,000
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 1,060,000 166,067
Seventy Seven Energy, Inc. bank term loan FRN 3 3/4s, 2021 992,443 560,730
Tervita Corp. bank term loan FRN Ser. B, 6 1/4s, 2018 (Canada) 253,482 193,280
Vantage Drilling International bank term loan FRN Ser. B, 7 1/2s, 2017 (Cayman Islands) (In default)(NON) 886,342 155,996
1,168,073
Financials (0.4%)
HUB International, Ltd. bank term loan FRN Ser. B, 4s, 2020 982,500 941,972
iStar, Inc. bank term loan FRN Ser. A2, 7s, 2017(R) 677,717 677,717
USI, Inc./NY bank term loan FRN Ser. B, 4 1/4s, 2019 1,455,253 1,424,785
Vantiv, LLC bank term loan FRN Ser. B, 3 3/4s, 2021 252,643 251,695
Walter Investment Management Corp. bank term loan FRN Ser. B, 4 3/4s, 2020 1,395,445 1,079,725
4,375,894
Health care (0.6%)
AMAG Pharmaceuticals, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 829,500 793,209
Envision Healthcare Corp. bank term loan FRN Ser. B, 4 1/4s, 2018 471,156 469,154
IASIS Healthcare, LLC bank term loan FRN Ser. B, 4 1/2s, 2018 958,216 944,641
Kinetic Concepts, Inc. bank term loan FRN 4 1/2s, 2018 1,311,329 1,271,989
MPH Acquisition Holdings, LLC bank term loan FRN Ser. B, 3 3/4s, 2021 872,636 849,948
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 586,075 513,182
Pharmaceutical Product Development, LLC bank term loan FRN 4 1/4s, 2022 1,592,000 1,560,160
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. E, 3 3/4s, 2020 462,718 443,631
6,845,914
Technology (0.4%)
Avago Technologies, Ltd. bank term loan FRN Ser. B, 3 3/4s, 2020 (Cayman Islands) 1,224,104 1,217,473
Avaya, Inc. bank term loan FRN Ser. B6, 6 1/2s, 2018 977,137 736,109
First Data Corp. bank term loan FRN Ser. B, 3.927s, 2018 1,500,000 1,478,571
Infor US, Inc. bank term loan FRN Ser. B5, 3 3/4s, 2020 863,075 811,291
Syniverse Holdings, Inc. bank term loan FRN Ser. B, 4s, 2019 950,228 653,282
4,896,726
Transportation (—%)
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, 4 1/2s, 2022 412,925 391,590
391,590
Utilities and power (0.1%)
Energy Transfer Equity LP bank term loan FRN 3 1/4s, 2019 715,000 533,867
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.908s, 2017 710,555 212,278
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.908s, 2017 7,293 2,179
748,324
Total senior loans (cost $73,013,817) $66,814,082

CORPORATE BONDS AND NOTES (5.0%)(a)
Principal amount Value
Basic materials (1.0%)
ArcelorMittal SA sr. unsec. unsub. bonds 10.85s, 2019 (France) $345,000 $320,850
ArcelorMittal SA sr. unsec. unsub. bonds 5 1/8s, 2020 (France) 1,000,000 817,500
ArcelorMittal SA sr. unsec. unsub. notes 6 1/8s, 2018 (France) 339,000 308,490
Cemex SAB de CV 144A company guaranty sr. sub. FRN 5.372s, 2018 (Mexico) 1,500,000 1,453,125
Corp Nacional del Cobre de Chile (CODELCO) 144A sr. unsec. unsub. notes 3 7/8s, 2021 (Chile) 700,000 684,849
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2023 690,000 729,675
HD Supply, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 876,000 911,040
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 965,000 593,475
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 1,500,000 1,383,750
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 1,280,000 1,163,392
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) 1,125,000 1,099,688
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 1,000,000 967,500
Univar, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 710,000 628,350
Vale Overseas, Ltd. company guaranty sr. unsec. unsub. notes 6 1/4s, 2017 (Brazil) 395,000 394,506
11,456,190
Capital goods (0.9%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 1,595,000 1,475,375
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 1,000,000 1,006,250
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 1,500,000 1,526,250
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6s, 2022 1,210,000 890,863
KION Finance SA 144A sr. unsub. notes 6 3/4s, 2020 (Luxembourg) EUR 145,000 162,576
KLX, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 $1,850,000 1,729,565
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 1,127,000 1,138,270
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2022 1,000,000 1,010,000
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4s, 2020 1,500,000 1,497,375
10,436,524
Communication services (0.8%)
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 1,215,000 1,093,500
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 840,000 894,600
Digicel, Ltd. 144A sr. unsec. notes 7s, 2020 (Jamaica) 1,600,000 1,432,000
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4 1/4s, 2018 1,500,000 1,501,875
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 6 3/4s, 2018 (Luxembourg) 700,000 512,750
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017 770,000 744,975
Sprint Communications, Inc. sr. unsec. unsub. notes 6s, 2016 265,000 263,013
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 500,000 510,000
Telenet Finance V Luxembourg SCA 144A sr. notes 6 3/4s, 2024 (Luxembourg) EUR 130,000 152,952
Telenet Finance V Luxembourg SCA 144A sr. notes 6 1/4s, 2022 (Luxembourg) EUR 185,000 213,738
Virgin Media Secured Finance PLC 144A sr. notes 6s, 2021 (United Kingdom) GBP 477,000 702,127
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2019 $1,110,000 1,046,175
9,067,705
Consumer cyclicals (0.3%)
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 1,500,000 1,500,000
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 1,050,000 963,900
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 700,000 563,500
Navistar International Corp. company guaranty sr. unsec. notes 8 1/4s, 2021 1,000,000 625,000
Owens Corning company guaranty sr. unsec. sub. notes 9s, 2019 36,000 41,960
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 575,000 409,688
4,104,048
Consumer staples (0.2%)
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 1,080,000 1,084,050
BlueLine Rental Finance Corp. 144A notes 7s, 2019 650,000 510,250
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 670,000 706,850
2,301,150
Energy (0.4%)
Chesapeake Energy Corp. 144A company guaranty notes 8s, 2022 900,000 384,750
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 580,000 336,400
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6 1/4s, 2024 (Brazil) 390,000 280,313
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 3 1/4s, 2017 (Brazil) 940,000 883,600
Petroleos de Venezuela SA sr. unsec. notes 5 1/8s, 2016 (Venezuela) 2,352,000 1,293,600
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8 1/2s, 2017 (Venezuela) 666,666 273,333
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 1,550,000 972,625
4,424,621
Financials (0.6%)
Ally Financial, Inc. sub. unsec. notes 5 3/4s, 2025 600,000 598,500
CIT Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2018 900,000 929,808
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. FRB 8 1/8s, 2038 530,000 571,075
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4 7/8s, 2019 1,070,000 984,400
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 5.298s, 2017 (Russia) 300,000 298,500
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.902s, 2020 (Russia) 500,000 498,750
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.8s, 2025 (Russia) 250,000 239,375
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 5.942s, 2023 (Russia) 200,000 185,152
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia) 1,600,000 1,673,088
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95s, 2022 (Russia) 1,800,000 1,725,750
7,704,398
Health care (0.3%)
CHS/Community Health Systems, Inc. company guaranty sr. sub. notes 5 1/8s, 2018 555,000 557,775
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6s, 2023 (Ireland) 400,000 402,000
HCA, Inc. company guaranty sr. notes 6 1/2s, 2020 610,000 672,525
Service Corp. International/US sr. unsec. notes 7s, 2017 170,000 179,775
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 665,000 701,575
Tenet Healthcare Corp. 144A company guaranty sr. FRN 4.012s, 2020 720,000 707,400
3,221,050
Technology (0.4%)
CommScope, Inc. 144A company guaranty sr. notes 4 3/8s, 2020 1,000,000 1,017,500
Infor US, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2022 1,310,000 1,142,975
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 1,645,000 1,751,925
SoftBank Corp. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2020 (Japan) 585,000 579,150
4,491,550
Utilities and power (0.1%)
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 195,000 172,575
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2022 1,000,000 825,000
Texas-New Mexico Power Co. 144A 1st sr. bonds Ser. A, 9 1/2s, 2019 175,000 210,670
1,208,245
Total corporate bonds and notes (cost $64,284,869) $58,415,481

INVESTMENT COMPANIES (4.7%)(a)
Shares Value
Consumer Discretionary Select Sector SPDR Fund 120,900 $8,959,899
Consumer Staples Select Sector SPDR Fund 185,100 9,395,676
Financial Select Sector SPDR 392,300 8,516,833
Health Care Select Sector SPDR Fund 132,900 8,833,863
Industrial Select Sector SPDR Fund 179,900 8,993,201
Utility Select Sector SPDR Fund 206,700 9,388,314
Total investment companies (cost $53,464,037) $54,087,786

COMMODITY LINKED NOTES (4.3%)(a)(CLN)
Principal amount Value
Citigroup, Inc. sr. notes Ser. G, 1-month USD LIBOR less 0.18%, 2016 (Indexed to the CVICF3F0 Index multiplied by 3) $21,100,000 $22,286,200
Deutsche Bank AG/London 144A notes, 1-month USD LIBOR less 0.16%, 2016 (Indexed to the DB Commodity Backwardation Alpha 22 USD Total Return Index multiplied by 3) (United Kingdom) 3,158,000 4,186,561
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2017 (Indexed to the UBSIF3AT Index multiplied by 3) (United Kingdom) 15,571,000 15,876,503
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2016 (Indexed to the UBSIF3AT Index multiplied by 3) (United Kingdom) 6,821,364 7,200,836
Total commodity Linked Notes (cost $46,650,364) $49,550,100

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (1.2%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. notes 8s, 2020 (Argentina) $555,840 $579,463
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) 3,070,000 3,227,338
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.95s, 2021 (Argentina) 2,773,529 2,839,400
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9 3/8s, 2018 (Argentina) 1,040,000 1,058,200
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021 (Croatia) 240,000 260,160
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 1/4s, 2017 (Croatia) 350,000 364,175
Indonesia (Republic of) 144A sr. unsec. notes 4 3/4s, 2026 (Indonesia) 300,000 305,250
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95s, 2046 (Indonesia) 300,000 310,500
Russia (Federation of) 144A sr. unsec. unsub. bonds 5 5/8s, 2042 (Russia) 900,000 860,625
Venezuela (Bolivarian Republic of) sr. unsec. bonds 5 3/4s, 2016 (Venezuela) 4,800,000 4,427,467
Total foreign government and agency bonds and notes (cost $14,200,333) $14,232,578

WARRANTS (1.1%)(a)(NON)
Expiration date Strike Price Warrants Value
Bharat Petroleum Corp., Ltd. 144A (India) 3/9/18 $0.00 117,157 $1,541,583
Ceat, Ltd. 144A (India) 8/15/16 0.00 18,252 252,910
China State Construction Engineering Corp., Ltd. 144A (China) 12/10/17 0.00 1,520,944 1,185,997
Indian Oil Corp., Ltd. 144A (India) 8/25/17 0.00 235,953 1,398,459
Infosys, Ltd. 144A (India) 10/10/16 0.00 149,062 2,558,172
Power Finance Corp., Ltd. 144A (India) 3/9/18 0.00 367,882 949,006
Rural Electrification Corp., Ltd. 144A (India) 3/6/17 0.00 316,440 898,819
Shanghai Automotive Co. (China) 3/2/17 0.00 333,600 944,696
Tech Mahindra, Ltd. (India) 12/10/17 0.00 165,712 1,224,087
Wipro, Ltd. 144A (India) 10/6/17 0.00 14,073 116,685
YES Bank, Ltd. 144A (India) 8/15/16 0.00 82,864 911,684
Zhengzhou Yutong Bus Co., Ltd. 144A (China) 6/29/17 0.00 103,700 294,448
Total warrants (cost $14,104,602) $12,276,546

ASSET-BACKED SECURITIES (0.4%)(a)
Principal amount Value
Station Place Securitization Trust
     FRB Ser. 15-4, Class A, 1.402s, 2017 $2,898,000 $2,898,000
     FRB Ser. 15-2, Class A, 1.235s, 2017 1,913,000 1,913,000
Total asset-backed securities (cost $4,811,000) $4,811,000

PURCHASED SWAP OPTIONS OUTSTANDING (—%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Barclays Bank PLC
     1.73875/3 month USD-LIBOR-BBA/Apr-26 Apr-16/1.73875 $9,535,400 $87,726
     (2.15625)/3 month USD-LIBOR-BBA/Apr-26 Apr-16/2.15625 9,535,400 39,953
Citibank, N.A.
     1.775/3 month USD-LIBOR-BBA/Feb-26 Feb-16/1.775 9,535,400 46,914
     (2.041)/3 month USD-LIBOR-BBA/Feb-26 Feb-16/2.041 9,535,400 9,631
     (2.087)/3 month USD-LIBOR-BBA/May-18 May-16/2.087 9,189,700 92
Credit Suisse International
     (2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.915 174,000 5,655
     (3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 174,000 2,668
Goldman Sachs International
     1.149/3 month USD-LIBOR-BBA/Apr-18 Apr-16/1.149 17,664,700 96,979
     1.725/3 month USD-LIBOR-BBA/Mar-26 Mar-16/1.725 9,535,400 65,222
     1.7785/3 month USD-LIBOR-BBA/Feb-26 Feb-16/1.7785 9,535,400 48,249
     (2.095)/3 month USD-LIBOR-BBA/Mar-26 Mar-16/2.095 9,535,400 31,848
     (2.0435)/3 month USD-LIBOR-BBA/Feb-26 Feb-16/2.0435 9,535,400 9,345
     (2.18625)/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.18625 9,189,700 92
Total purchased swap options outstanding (cost $516,826) $444,374

PURCHASED OPTIONS OUTSTANDING (0.5%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/$101.27 $2,000,000 $13,524
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/101.02 2,000,000 11,010
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/100.25 2,000,000 6,614
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/100.05 2,000,000 5,758
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Mar-16/99.63 2,000,000 1,392
SPDR S&P 500 ETF Trust (Put) Jan-17/145.00 205,729 773,576
SPDR S&P 500 ETF Trust (Put) Dec-16/164.00 208,102 1,285,305
SPDR S&P 500 ETF Trust (Put) Nov-16/170.00 207,535 1,404,975
SPDR S&P 500 ETF Trust (Put) Oct-16/163.00 208,093 1,039,277
SPDR S&P 500 ETF Trust (Put) Sep-16/153.00 205,729 621,407
SPDR S&P 500 ETF Trust (Put) Aug-16/150.00 205,729 457,052
Total purchased options outstanding (cost $7,266,994) $5,619,890

SHORT-TERM INVESTMENTS (39.8%)(a)
Principal amount/shares Value
Federal Home Loan Banks unsec. discount notes 0.40%, February 3, 2016 $6,000,000 $5,999,916
Putnam Money Market Liquidity Fund 0.31%(AFF) Shares 147,639,882 147,639,882
Putnam Short Term Investment Fund 0.39%(AFF) Shares 244,654,792 244,654,792
SSgA Prime Money Market Fund Class N 0.31%(P) Shares 15,680,000 15,680,000
U.S. Treasury Bills 0.26%, April 21, 2016(SEGCCS)(SEGSF) $6,619,000 6,614,684
U.S. Treasury Bills 0.07%, April 14, 2016(SEG)(SEGCCS)(SEGSF) 13,982,000 13,973,918
U.S. Treasury Bills 0.07%, April 7, 2016(SEGCCS)(SEGSF) 4,569,000 4,566,720
U.S. Treasury Bills 0.21%, March 3, 2016(SEGCCS)(SEGSF) 10,503,000 10,500,878
U.S. Treasury Bills 0.15%, February 18, 2016(SEG)(SEGCCS)(SEGSF) 5,890,000 5,889,417
U.S. Treasury Bills 0.15%, February 11, 2016(SEG)(SEGCCS)(SEGSF) 6,766,000 6,765,608
Total short-term investments (cost $462,294,705) $462,285,815

TOTAL INVESTMENTS
Total investments (cost $1,410,801,450)(b) $1,393,736,471













FORWARD CURRENCY CONTRACTS at 1/31/16 (aggregate face value $146,107,772) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Sell 4/20/16 $555,807 $563,458 $7,651
Canadian Dollar Sell 4/20/16 891,911 898,626 6,715
Euro Sell 3/16/16 2,913,145 2,885,303 (27,842)
Hong Kong Dollar Sell 5/18/16 1,742,050 1,737,289 (4,761)
Mexican Peso Buy 4/20/16 521,299 569,861 (48,562)
New Taiwan Dollar Buy 2/17/16 2,054,237 2,046,516 7,721
New Taiwan Dollar Sell 2/17/16 2,054,237 2,039,384 (14,853)
New Zealand Dollar Buy 4/20/16 162,510 168,993 (6,483)
Norwegian Krone Sell 3/16/16 1,092,963 1,090,178 (2,785)
Swedish Krona Buy 3/16/16 1,149,213 1,157,048 (7,835)
Barclays Bank PLC
Australian Dollar Buy 4/20/16 239,120 242,480 (3,360)
British Pound Buy 3/16/16 3,050,364 3,231,394 (181,030)
Canadian Dollar Sell 4/20/16 598,795 603,353 4,558
Euro Sell 3/16/16 269,603 225,711 (43,892)
Japanese Yen Buy 2/17/16 1,690,807 1,721,979 (31,172)
Japanese Yen Sell 2/17/16 1,690,807 1,732,205 41,398
Mexican Peso Buy 4/20/16 378,171 420,122 (41,951)
New Zealand Dollar Buy 4/20/16 1,570,113 1,622,792 (52,679)
Norwegian Krone Sell 3/16/16 16,442 18,648 2,206
Swedish Krona Sell 3/16/16 1,156,003 1,165,752 9,749
Citibank, N.A.
British Pound Buy 3/16/16 1,759,880 1,762,295 (2,415)
Canadian Dollar Sell 4/20/16 1,813,162 1,827,214 14,052
Euro Sell 3/16/16 3,140,453 3,082,849 (57,604)
Japanese Yen Buy 2/17/16 580,155 574,660 5,495
Japanese Yen Sell 2/17/16 580,155 571,157 (8,998)
Mexican Peso Buy 4/20/16 585,575 637,204 (51,629)
New Zealand Dollar Buy 4/20/16 5,252,597 5,276,710 (24,113)
Singapore Dollar Sell 2/17/16 2,993,129 2,977,325 (15,804)
South African Rand Buy 4/20/16 1,742,184 1,726,333 15,851
Credit Suisse International
Australian Dollar Sell 4/20/16 512,157 549,729 37,572
British Pound Sell 3/16/16 543,212 569,870 26,658
Canadian Dollar Sell 4/20/16 613,501 618,509 5,008
Euro Buy 3/16/16 1,197,055 1,235,155 (38,100)
Hong Kong Dollar Sell 2/17/16 1,737,401 1,734,160 (3,241)
Hong Kong Dollar Sell 5/18/16 1,742,050 1,737,467 (4,583)
Indian Rupee Buy 2/17/16 1,747,200 1,776,711 (29,511)
Indian Rupee Sell 2/17/16 1,747,200 1,760,019 12,819
New Taiwan Dollar Buy 2/17/16 3,496,356 3,463,756 32,600
New Taiwan Dollar Sell 2/17/16 3,496,356 3,492,845 (3,511)
New Zealand Dollar Buy 4/20/16 284,022 294,997 (10,975)
Norwegian Krone Sell 3/16/16 1,294,313 1,239,312 (55,001)
Deutsche Bank AG
Czech Koruna Sell 3/16/16 1,731,030 1,714,026 (17,004)
Euro Buy 3/16/16 1,715,439 1,726,383 (10,944)
Japanese Yen Sell 2/17/16 1,699,981 1,685,730 (14,251)
New Zealand Dollar Buy 4/20/16 1,741,261 1,745,907 (4,646)
Goldman Sachs International
Canadian Dollar Sell 4/20/16 2,018,971 2,007,942 (11,029)
Euro Buy 3/16/16 558,835 564,227 (5,392)
Japanese Yen Sell 2/17/16 1,699,982 1,733,568 33,586
New Taiwan Dollar Buy 2/17/16 1,748,051 1,739,036 9,015
New Taiwan Dollar Sell 2/17/16 1,748,051 1,761,171 13,120
New Zealand Dollar Buy 4/20/16 2,857,622 2,869,932 (12,310)
Norwegian Krone Sell 3/16/16 282,302 280,715 (1,587)
Singapore Dollar Buy 2/17/16 1,755,665 1,738,837 16,828
Singapore Dollar Sell 2/17/16 1,755,665 1,759,123 3,458
South African Rand Buy 4/20/16 1,742,184 1,735,033 7,151
Swedish Krona Sell 3/16/16 1,146,355 1,153,235 6,880
HSBC Bank USA, National Association
British Pound Buy 3/16/16 291,983 243,573 48,410
Canadian Dollar Sell 4/20/16 1,927 1,942 15
Euro Sell 3/16/16 1,156,821 1,145,531 (11,290)
Hong Kong Dollar Sell 5/18/16 1,739,801 1,735,224 (4,577)
New Zealand Dollar Buy 4/20/16 239,285 248,437 (9,152)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 4/20/16 14,597 14,801 204
British Pound Buy 3/16/16 1,718,270 1,735,689 (17,419)
Canadian Dollar Sell 4/20/16 2,633,757 2,636,307 2,550
Euro Sell 3/16/16 310,922 298,547 (12,375)
Hong Kong Dollar Sell 2/17/16 1,737,401 1,734,271 (3,130)
Indian Rupee Buy 2/17/16 1,722,455 1,743,692 (21,237)
Indian Rupee Sell 2/17/16 1,722,455 1,715,920 (6,535)
Japanese Yen Buy 2/17/16 383,641 392,221 (8,580)
Japanese Yen Sell 2/17/16 383,641 386,060 2,419
Mexican Peso Buy 4/20/16 1,939,984 1,961,571 (21,587)
New Taiwan Dollar Buy 2/17/16 990,578 987,238 3,340
New Taiwan Dollar Sell 2/17/16 990,578 1,013,335 22,757
New Zealand Dollar Buy 4/20/16 1,727,595 1,725,478 2,117
Norwegian Krone Sell 3/16/16 1,079,642 1,076,924 (2,718)
Singapore Dollar Sell 2/17/16 493,849 503,693 9,844
South Korean Won Buy 2/17/16 642,964 618,404 24,560
South Korean Won Sell 5/18/16 1,727,698 1,722,663 (5,035)
Swedish Krona Sell 3/16/16 2,995,906 3,012,173 16,267
Royal Bank of Scotland PLC (The)
Australian Dollar Sell 4/20/16 572,026 572,069 43
British Pound Buy 3/16/16 1,674,523 1,724,065 (49,542)
Canadian Dollar Sell 4/20/16 999,348 957,537 (41,811)
Euro Sell 3/16/16 4,364,079 4,313,661 (50,418)
Japanese Yen Buy 2/17/16 1,701,743 1,694,994 6,749
New Zealand Dollar Buy 4/20/16 1,216,665 1,276,579 (59,914)
Norwegian Krone Sell 3/16/16 2,137,777 2,109,490 (28,287)
Swedish Krona Sell 3/16/16 2,763,949 2,773,600 9,651
State Street Bank and Trust Co.
Canadian Dollar Sell 4/20/16 665,542 652,790 (12,752)
Norwegian Krone Sell 3/16/16 1,219,072 1,222,984 3,912
South Korean Won Sell 2/17/16 2,385,155 2,400,064 14,909
UBS AG
Australian Dollar Buy 4/20/16 529,505 536,796 (7,291)
British Pound Sell 3/16/16 1,099,818 1,159,761 59,943
Canadian Dollar Sell 4/20/16 6,980,235 6,840,361 (139,874)
Japanese Yen Buy 2/17/16 1,122,222 1,123,308 (1,086)
Japanese Yen Sell 2/17/16 1,122,222 1,147,213 24,991
WestPac Banking Corp.
Australian Dollar Sell 4/20/16 892,380 873,437 (18,943)
Canadian Dollar Sell 4/20/16 2,134,118 2,150,379 16,261
Japanese Yen Sell 2/17/16 204,461 180,243 (24,218)
New Zealand Dollar Buy 4/20/16 462,712 480,513 (17,801)
Total $(836,392)












FUTURES CONTRACTS OUTSTANDING at 1/31/16 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
DAX Index (Short) 5 $1,321,085             Mar-16 $754
Euro STOXX 50 Index (Long) 329 10,791,968             Mar-16 (761,817)
Euro-CAC 40 Index (Long) 18 860,119             Feb-16 14,260
FTSE 100 Index (Long) 29 2,482,217             Mar-16 18,421
S&P 500 Index E-Mini (Long) 37 3,570,685             Mar-16 173,099
S&P 500 Index E-Mini (Short) 1,483 143,116,915             Mar-16 4,715,823
S&P Mid Cap 400 Index E-Mini (Long) 309 40,627,320             Mar-16 (2,111,592)
Tokyo Price Index (Long) 49 $5,824,227             Mar-16 (604,056)
U.S. Treasury Bond 30 yr (Long) 29 4,669,906             Mar-16 212,614
U.S. Treasury Bond Ultra 30 yr (Short) 61 10,137,438             Mar-16 (505,206)
U.S. Treasury Note 2 yr (Long) 119 26,016,375             Mar-16 144,794
U.S. Treasury Note 5 yr (Short) 226 27,271,844             Mar-16 (452,450)
U.S. Treasury Note 10 yr (Long) 303 39,262,172             Mar-16 727,147
U.S. Treasury Note 10 yr (Short) 14 1,814,094             Mar-16 (43,559)
Total $1,528,232












WRITTEN SWAP OPTIONS OUTSTANDING at 1/31/16 (premiums $1,546,976) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value
Barclays Bank PLC
1.9475/3 month USD-LIBOR-BBA/Apr-26 Apr-16/1.9475        $4,767,700 $46,390
(1.9475)/3 month USD-LIBOR-BBA/Apr-26 Apr-16/1.9475        4,767,700 89,677

Citibank, N.A.
2.587/3 month USD-LIBOR-BBA/May-18 May-16/2.587        9,189,700 37
2.387/3 month USD-LIBOR-BBA/May-18 May-16/2.387        9,189,700 83
1.908/3 month USD-LIBOR-BBA/Feb-26 Feb-16/1.908        4,767,700 16,449
(1.908)/3 month USD-LIBOR-BBA/Feb-26 Feb-16/1.908        4,767,700 56,164

Credit Suisse International
2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515        174,000 10,945

Goldman Sachs International
2.58625/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.58625        18,379,400 184
1.399/3 month USD-LIBOR-BBA/Apr-18 Apr-16/1.399        17,664,700 1,237
1.911/3 month USD-LIBOR-BBA/Feb-26 Feb-16/1.911        4,767,700 16,019
1.91/3 month USD-LIBOR-BBA/Mar-26 Mar-16/1.91        4,767,700 39,477
(1.911)/3 month USD-LIBOR-BBA/Feb-26 Feb-16/1.911        4,767,700 57,117
(1.91)/3 month USD-LIBOR-BBA/Mar-26 Mar-16/1.91        4,767,700 71,516

JPMorgan Chase Bank N.A.
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        5,792,000 681,423
Total $1,086,718












WRITTEN OPTIONS OUTSTANDING at 1/31/16 (premiums $594,584) (Unaudited)


Expiration       Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/$100.54 $2,000,000 $7,250
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/100.29 2,000,000 6,012
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/99.81 2,000,000 4,126
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/99.50 2,000,000 3,490
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/99.56 2,000,000 3,354
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/99.30 2,000,000 2,976
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/98.75 2,000,000 1,902
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-16/98.55 2,000,000 1,596
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Mar-16/98.84 2,000,000 600
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Mar-16/98.05 2,000,000 256
SPDR S&P 500 ETF Trust (Call) Feb-16/202.00 373,244 218,202
SPDR S&P 500 ETF Trust (Call) Feb-16/200.00 186,529 133,590
SPDR S&P 500 ETF Trust (Call) Feb-16/198.50 194,754 151,480
SPDR S&P 500 ETF Trust (Call) Feb-16/204.00 181,328 3,637
Total $538,471













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 1/31/16 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

JPMorgan Chase Bank N.A.
     2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 $729,475 $(17,874) $8,528
     2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 729,475 (18,535) 4,997
     1.1925/3 month USD-LIBOR-BBA/Mar-21 (Purchased) Mar-16/1.1925 25,695,400 (74,517) 3,875
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 1,543,800 (10,208) (2,013)
     1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 3,087,500 (21,690) (5,295)
     (1.5075)/3 month USD-LIBOR-BBA/Mar-21 (Purchased) Mar-16/1.5075 25,695,400 (74,517) (5,805)
     (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 729,475 (19,410) (15,337)
     (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 729,475 (20,425) (16,942)
     2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 3,195,100 21,168 19,777
     2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 3,195,100 20,425 18,771
     1.35/3 month USD-LIBOR-BBA/Mar-21 (Written) Mar-16/1.35 12,847,700 74,517 4,475
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 3,087,500 9,454 (3,767)
     (1.35)/3 month USD-LIBOR-BBA/Mar-21 (Written) Mar-16/1.35 12,847,700 74,517 (6,358)
     (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 6,175,100 19,760 (6,793)
     (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 3,195,100 18,395 (15,017)
     (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 3,195,100 18,212 (19,586)
Total $(728) $(36,490)












TBA SALE COMMITMENTS OUTSTANDING at 1/31/16 (proceeds receivable $107,563,281) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal Home Loan Mortgage Corporation, 4 1/2s, February 1, 2046 $2,000,000      2/11/16 $2,169,688
Federal National Mortgage Association, 5 1/2s, February 1, 2046 2,000,000       2/11/16 2,232,188
Federal National Mortgage Association, 4s, February 1, 2046 4,000,000       2/11/16 4,272,812
Federal National Mortgage Association, 3 1/2s, February 1, 2046 6,000,000       2/11/16 6,283,711
Federal National Mortgage Association, 3s, February 1, 2046 91,000,000       2/11/16 92,869,768
Total $107,828,167















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 1/31/16 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$1,765,000 $(9,191)     9/30/25 3 month USD-LIBOR-BBA 2.1575% $63,207
1,765,000 24,168      9/30/25 2.3975% 3 month USD-LIBOR-BBA (88,219)
1,765,000 (15,545)     9/30/25 3 month USD-LIBOR-BBA 2.2775% 76,839
7,700,000 (45,147)     10/9/25 3 month USD-LIBOR-BBA 2.155% 265,199
3,850,000 44,994      10/9/25 2.3225% 3 month USD-LIBOR-BBA (171,051)
3,850,000 (25,534)     10/28/25 3 month USD-LIBOR-BBA 2.055% 89,349
1,925,000 24,530      10/28/25 2.235% 3 month USD-LIBOR-BBA (65,588)
7,700,000 (55,542)     10/28/25 3 month USD-LIBOR-BBA 2.0775% 190,534
3,850,000 53,464      10/28/25 2.2625% 3 month USD-LIBOR-BBA (136,748)
3,850,000 (25,076)     10/29/25 3 month USD-LIBOR-BBA 2.12% 113,702
1,925,000 25,000      10/29/25 2.31% 3 month USD-LIBOR-BBA (78,896)
5,775,000 (36,459)     10/27/25 3 month USD-LIBOR-BBA 2.07125% 145,003
2,887,500 36,344      10/27/25 2.25% 3 month USD-LIBOR-BBA (103,060)
2,887,500 23,928      9/29/25 2.235% 3 month USD-LIBOR-BBA (115,782)
12,128,000 (160)     9/29/25 2.162% 3 month USD-LIBOR-BBA (503,438)
5,823,000 (77)     9/30/25 2.07% 3 month USD-LIBOR-BBA (190,807)
7,000,000 (92)     10/5/25 3 month USD-LIBOR-BBA 2.021% 194,736
1,738,500 (23)     10/28/25 2.013% 3 month USD-LIBOR-BBA (45,017)
577,500 (8)     10/28/25 2.044% 3 month USD-LIBOR-BBA (16,660)
4,270,300 34,106      12/2/25 2.119% 3 month USD-LIBOR-BBA (106,974)
2,045,000 (27)     11/12/25 2.2225% 3 month USD-LIBOR-BBA (89,999)
762,800 (10)     12/7/25 2.1765% 3 month USD-LIBOR-BBA (29,066)
11,535,000 (E) (139,014)     3/16/21 3 month USD-LIBOR-BBA 1.70% 74,037
68,868,000 (E) (53,337)     3/16/21 1.70% 3 month USD-LIBOR-BBA (1,325,329)
426,996,000 (E) (671,610)     3/16/26 3 month USD-LIBOR-BBA 2.20% 14,106,721
14,842,000 (E) 13,578      3/16/26 2.20% 3 month USD-LIBOR-BBA (500,104)
1,525,500 11,421      12/7/25 3 month USD-LIBOR-BBA 2.14% 64,275
2,033,500 15,936      12/9/25 3 month USD-LIBOR-BBA 2.245% (74,285)
2,479,000 (33)     11/18/25 3 month USD-LIBOR-BBA 2.128% 86,154
1,159,000 (15)     11/24/25 2.09% 3 month USD-LIBOR-BBA (35,733)
1,494,600 (20)     12/1/25 3 month USD-LIBOR-BBA 2.115% 48,886
762,800 (10)     12/7/25 2.169% 3 month USD-LIBOR-BBA (28,524)
11,607,000 (153)     12/9/25 3 month USD-LIBOR-BBA 2.14% 400,121
11,607,000 (153)     12/9/25 3 month USD-LIBOR-BBA 2.11% 367,351
9,611,000 (E) (73,051)     3/16/46 3 month USD-LIBOR-BBA 2.65% 707,554
93,020,000 (E) (505,129)     3/16/18 3 month USD-LIBOR-BBA 1.20% 91,128
131,047,000 (E) 136,129      3/16/18 1.20% 3 month USD-LIBOR-BBA (703,883)
79,033,000 (E) (373,850)     3/16/26 2.1558% 3 month USD-LIBOR-BBA (2,781,985)
7,146,000 (67)     1/19/21 1.4525% 3 month USD-LIBOR-BBA (60,240)
772,680 (10)     12/23/25 3 month USD-LIBOR-BBA 2.1275% 24,922
2,562,200 (34)     12/30/25 3 month USD-LIBOR-BBA 2.195% 98,066
1,105,100 (4)     1/4/18 3 month USD-LIBOR-BBA 1.1875% 8,013
452,700 (4)     1/4/21 1.7735% 3 month USD-LIBOR-BBA (11,192)
2,877,200 (11)     1/4/18 3 month USD-LIBOR-BBA 1.18997% 20,982
1,105,100 (4)     1/4/18 3 month USD-LIBOR-BBA 1.1845% 7,944
452,700 (4)     1/4/21 1.776% 3 month USD-LIBOR-BBA (11,247)
452,700 (4)     1/4/21 1.779% 3 month USD-LIBOR-BBA (11,316)
3,982,300 (15)     1/4/18 3 month USD-LIBOR-BBA 1.1895% 29,000
1,105,100 (4)     1/4/18 3 month USD-LIBOR-BBA 1.1825% 7,898
452,700 (4)     1/4/21 1.76% 3 month USD-LIBOR-BBA (10,893)
12,008,000 (159)     1/4/26 2.2205% 3 month USD-LIBOR-BBA (484,312)
94,397,000 (E) 226,454      3/16/26 2.237% 3 month USD-LIBOR-BBA (3,367,239)
40,302,000 (151)     1/19/18 0.9855% 3 month USD-LIBOR-BBA (120,443)
10,099,000 (133)     1/19/26 3 month USD-LIBOR-BBA 1.935% 127,834
5,038,000 (171)     1/19/46 3 month USD-LIBOR-BBA 2.3835% 116,261
3,009,100 (40)     1/26/26 3 month USD-LIBOR-BBA 1.92% 32,830
3,286,700 (24)     1/25/26 3 month USD-LIBOR-BBA 1.9175% 35,240
3,282,700 (43)     1/26/26 3 month USD-LIBOR-BBA 1.93% 38,905
AUD 46,145,000 (121)     1/28/18 3 month AUD-BBR-BBSW 2.061% 15,539
AUD 15,696,000 (145)     1/28/26 6 month AUD-BBR-BBSW 2.77% 22,777
AUD 16,263,000 (92)     1/28/21 2.38% 6 month AUD-BBR-BBSW (15,063)
CAD 10,963,000 (63)     1/29/21 3 month CAD-BA-CDOR 0.9575% (463)
CAD 22,233,000 (208)     1/27/26 3 month CAD-BA-CDOR 1.631% 35,591
CAD 35,926,000 (205)     1/27/21 0.9875% 3 month CAD-BA-CDOR (38,363)
CAD 30,474,000 (81)     1/29/18 3 month CAD-BA-CDOR 0.70617% (2,137)
CHF 28,826,000 (228)     1/29/21 6 month CHF-LIBOR-BBA 0.455% (88,094)
CHF 4,287,000 (56)     1/29/26 6 month CHF-LIBOR-BBA 0.0425% 26,688
EUR 24,789,000 (E) (540,203)     3/16/26 6 month EUR-EURIBOR-REUTERS 1.00% 286,898
EUR 31,373,000 (E) 568,308      3/16/21 0.50% 6 month EUR-EURIBOR-REUTERS (137,929)
GBP 6,205,000 (E) (427,769)     3/16/26 6 month GBP-LIBOR-BBA 2.25% 109,883
GBP 13,202,000 (E) 396,841      3/16/21 1.75% 6 month GBP-LIBOR-BBA (136,654)
GBP 68,874,000 (E) 1,162,438      3/16/18 1.50% 6 month GBP-LIBOR-BBA (214,447)
NOK 106,547,000 (98)     1/29/21 1.1787% 6 month NOK-NIBOR-NIBR (37,564)
NOK 101,644,000 (155)     1/29/26 6 month NOK-NIBOR-NIBR 1.685% 64,369
NOK 111,366,000 (48)     1/29/18 0.8925% 6 month NOK-NIBOR-NIBR (904)
NZD 2,805,000 (24)     2/2/26 3.41% 3 month NZD-BBR-FRA 285
NZD 8,991,000 (77)     1/29/26 3 month NZD-BBR-FRA 3.4225% 7,384
NZD 36,672,000 (191)     1/29/21 2.99% 3 month NZD-BBR-FRA (54,951)
NZD 47,192,000 (115)     1/29/18 2.66% 3 month NZD-BBR-FRA (26,971)
SEK 64,879,000 (61)     1/29/21 0.45125% 3 month SEK-STIBOR-SIDE (28,788)
SEK 74,912,000 (116)     1/29/26 3 month SEK-STIBOR-SIDE 1.335%60,191
Total$(202,569)    $6,211,938
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 1/31/16 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
baskets 1,772,113 $—      1/25/17 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF7) of common stocks $4,371,139
units 45,063 —      1/25/17 3 month USD-LIBOR-BBA minus 0.07% Russell 1000 Total Return Index (8,256,123)
Barclays Bank PLC
$289,656 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (4,427)
2,275,448 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (34,418)
386,472 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 2,893
231,186 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (1,556)
953,177 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 7,134
111,487 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,738)
29,619 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (141)
2,261,392 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 16,926
2,607,896 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 17,340
2,277,953 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 15,146
486,553 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 3,235
982,247 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (4,688)
640,954 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (8,457)
406,555 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (5,364)
490,752 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,335)
595,517 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 7,486
350,962 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 4,798
3,520,607 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (12,043)
2,701,328 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 12,751
15,880,362 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 77,434
15,560,152 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (61,245)
Citibank, N.A.
747,159 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,643
365,292 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,781
baskets 372,052 —      11/10/16 3 month USD-LIBOR-BBA minus 0.45% A basket (CGPUTS42) of common stocks (1,197,953)
baskets 403 —      12/16/16 (3 month USD-LIBOR-BBA plus 0.42%) A basket (CGPUTQL2) of common stocks 1,852,596
units 43,989 —      3/18/16 3 month USD-LIBOR-BBA minus 0.15% MSCI Emerging Markets TR Net USD 868,919
units 31,135 —      10/17/16 3 month USD-LIBOR-BBA minus 0.30% MSCI Emerging Markets TR Net USD (375,849)
units 8,995 —      11/23/16 3 month USD-LIBOR-BBA plus 0.10% Russell 1000 Total Return Index (1,572,127)
Credit Suisse International
$613,935 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,994
997,881 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (13,166)
1,040,007 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 13,073
834,645 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 10,492
2,083,242 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (27,486)
197,675 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,990)
1,781,198 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (25,744)
591,665 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (8,551)
293,118 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (4,237)
1,249,090 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (17,077)
1,218,008 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (16,652)
5,828 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (80)
2,958,562 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (59,544)
1,573,753 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (31,673)
1,540,924 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (29,249)
Deutsche Bank AG
697,095 —      1/12/34 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 7,891
units 339,819 —      8/8/16 (3 month USD-LIBOR-BBA plus 0.31%) DB Custom PT Long 11 PR Index 600,395
units 339,983 —      8/8/16 3 month USD-LIBOR-BBA minus 0.45% DB Custom PT Short 11 PR (49,026)
Goldman Sachs International
$752,322 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (3,579)
580,435 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (2,762)
1,855,777 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (12,494)
1,021,959 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (4,862)
811,009 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 3,955
718,430 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,980)
718,430 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,980)
851,367 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,351)
319,807 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,259)
697,095 —      1/12/34 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Fannie Mae pools (7,891)
1,809 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (28)
719,717 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (4,845)
1,166,228 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,590)
54,705 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (215)
145,860 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (574)
30,562 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (145)
824,515 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools (3,923)
1,723,979 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (26,348)
1,113,799 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (17,023)
1,344,698 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools (9,053)
757,080 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (10,779)
50,677 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (767)
1,361,709 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 17,117
1,195,737 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (17,282)
40,415,713 —      10/5/25 (1.7211%) USA Non Revised Consumer Price Index- Urban (CPI-U) (312,818)
34,763,287 —      10/6/25 (1.72%) USA Non Revised Consumer Price Index- Urban (CPI-U) (261,768)
1,562,090 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (31,439)
1,590,987 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 21,751
baskets 1,200,680 —      12/15/20 (1 month USD-LIBOR-BBA plus 0.44%) A basket (GSCBPUR1) of common stocks 3,536,138
units 638,395 —      12/15/20 (0.45%) Goldman Sachs Volatility Carry US Scaled 3x Excess Return Strategy (168,775)
units 10,339 —      12/12/16 1 month USD-LIBOR-BBA minus 0.17% MSCI Emerging Markets TR Net USD (145,103)
JPMorgan Chase Bank N.A.
$658,135 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (9,955)
2,370,426 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (35,855)
1,439,104 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (21,768)
1,362,016 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 17,121
baskets 1,158,381 —      10/28/16 3 month USD-LIBOR-BBA minus 0.44% A basket (JPCMPTSH) of common stocks 5,909,444
UBS AG
units 202,766 —      8/19/15 1 month USD-LIBOR-BBA minus 0.25% MSCI Emerging Markets TR Net USD (2,450,236)
Total$—     $1,988,206











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/16 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
     CMBX NA BBB- Index BBB-/P $4,580 $67,000 5/11/63 300 bp $(1,411)
     CMBX NA BBB- Index BBB-/P 8,798 146,000 5/11/63 300 bp (4,256)
     CMBX NA BBB- Index BBB-/P 18,088 293,000 5/11/63 300 bp (8,111)
     CMBX NA BBB- Index BBB-/P 17,271 303,000 5/11/63 300 bp (9,822)
Barclays Bank PLC
     CMBX NA BBB- Index BBB-/P 26,163 236,000 5/11/63 300 bp 5,061
     CMBX NA BBB- Index BBB-/P 7,830 1,393,000 1/17/47 300 bp (173,144)
Credit Suisse International
     CMBX NA BB Index — (57,682) 3,268,000 5/11/63 (500 bp) 361,693
     CMBX NA BBB- Index BBB-/P 767 53,000 5/11/63 300 bp (3,972)
     CMBX NA BBB- Index BBB-/P 59,890 4,560,000 5/11/63 300 bp (347,850)
     CMBX NA BBB- Index BBB-/P 88,855 8,111,000 5/11/63 300 bp (636,404)
     CMBX NA BBB- Index BBB-/P 13,241 329,000 1/17/47 300 bp (29,501)
     CMBX NA BBB- Index BBB-/P 9,541 331,000 1/17/47 300 bp (33,462)
     CMBX NA BBB- Index BBB-/P 14,217 337,000 1/17/47 300 bp (29,565)
     CMBX NA BBB- Index BBB-/P 26,848 462,000 1/17/47 300 bp (33,174)
     CMBX NA BBB- Index BBB-/P 28,826 491,000 1/17/47 300 bp (34,963)
     CMBX NA BBB- Index BBB-/P 28,651 994,000 1/17/47 300 bp (100,486)
     CMBX NA BBB- Index BBB-/P 46,828 1,095,000 1/17/47 300 bp (95,431)
     CMBX NA BBB- Index BBB-/P 72,957 1,614,000 1/17/47 300 bp (136,729)
     CMBX NA BBB- Index BBB-/P 43,292 1,656,000 1/17/47 300 bp (171,850)
     CMBX NA BBB- Index BBB-/P 87,621 2,092,000 1/17/47 300 bp (184,165)
     CMBX NA BBB- Index BBB-/P 91,620 2,192,000 1/17/47 300 bp (193,157)
     CMBX NA BBB- Index BBB-/P 268,299 3,333,000 1/17/47 300 bp (164,713)
     CMBX NA BBB- Index BBB-/P 276,022 4,023,000 1/17/47 300 bp (246,633)
     CMBX NA BBB- Index BBB-/P 290,287 8,463,000 1/17/47 300 bp (809,198)
     CMBX NA BBB- Index BBB-/P 1,727,106 15,643,000 1/17/47 300 bp (305,180)
     CMBX NA BBB- Index BBB-/P 1,069,890 30,060,000 1/17/47 300 bp (2,835,404)
Goldman Sachs International
     CMBX NA BBB- Index BBB-/P (251) 55,000 5/11/63 300 bp (5,169)
     CMBX NA BBB- Index BBB-/P 1,445 338,000 1/17/47 300 bp (42,467)
     CMBX NA BBB- Index BBB-/P 1,205 338,000 1/17/47 300 bp (42,707)
     CMBX NA BBB- Index BBB-/P 1,205 338,000 1/17/47 300 bp (42,707)
     CMBX NA BBB- Index BBB-/P 1,570 440,000 1/17/47 300 bp (55,593)
     CMBX NA BBB- Index BBB-/P 1,577 442,000 1/17/47 300 bp (55,846)
     CMBX NA BBB- Index BBB-/P 4,720 474,000 1/17/47 300 bp (56,860)
     CMBX NA BBB- Index BBB-/P 31,577 1,171,000 1/17/47 300 bp (120,555)
     CMBX NA BBB- Index BBB-/P 6,904 1,760,000 1/17/47 300 bp (221,749)
     CMBX NA BBB- Index BBB-/P 1,985 1,838,000 1/17/47 300 bp (236,802)
     CMBX NA BBB- Index BBB-/P 15,376 1,975,000 1/17/47 300 bp (241,210)
     CMBX NA BBB- Index BBB-/P 24,994 2,949,000 1/17/47 300 bp (358,131)
     CMBX NA BB Index — (10,683) 1,249,000 5/11/63 (500 bp) 149,598
     CMBX NA BB Index — (2,004) 189,000 5/11/63 (500 bp) 22,250
     CMBX NA BB Index — (1,239) 129,000 5/11/63 (500 bp) 15,315
     CMBX NA BB Index — 2,216 98,000 5/11/63 (500 bp) 14,792
     CMBX NA BB Index — 687 67,000 5/11/63 (500 bp) 9,285
     CMBX NA BB Index — 1,060 63,000 5/11/63 (500 bp) 9,145
     CMBX NA BB Index — 70 58,000 5/11/63 (500 bp) 7,513
     CMBX NA BB Index — (325) 163,000 1/17/47 (500 bp) 27,553
     CMBX NA BBB- Index — (45,292) 531,000 5/11/63 (300 bp) 2,277
     CMBX NA BBB- Index BBB-/P (48) 18,000 5/11/63 300 bp (1,658)
     CMBX NA BBB- Index BBB-/P (530) 66,000 5/11/63 300 bp (6,432)
     CMBX NA BBB- Index BBB-/P (832) 83,000 5/11/63 300 bp (8,254)
     CMBX NA BBB- Index BBB-/P (1,113) 102,000 5/11/63 300 bp (10,233)
     CMBX NA BBB- Index BBB-/P 2,467 216,000 5/11/63 300 bp (16,847)
     CMBX NA BBB- Index BBB-/P 6,998 332,000 1/17/47 300 bp (36,134)
     CMBX NA BBB- Index BBB-/P 14,543 337,000 1/17/47 300 bp (29,239)
     CMBX NA BBB- Index BBB-/P 13,566 337,000 1/17/47 300 bp (30,216)
     CMBX NA BBB- Index BBB-/P 13,566 337,000 1/17/47 300 bp (30,216)
     CMBX NA BBB- Index BBB-/P 14,258 343,000 1/17/47 300 bp (30,303)
     CMBX NA BBB- Index BBB-/P 14,817 489,000 1/17/47 300 bp (48,712)
     CMBX NA BBB- Index BBB-/P 94,737 683,000 1/17/47 300 bp 6,004
     CMBX NA BBB- Index BBB-/P 147,657 1,112,000 1/17/47 300 bp 2,911
     CMBX NA BBB- Index BBB-/P 67,881 1,643,000 1/17/47 300 bp (145,572)
     CMBX NA BBB- Index BBB-/P 17,722 2,301,000 1/17/47 300 bp (281,216)
     CMBX NA BBB- Index BBB-/P 34,808 4,521,000 1/17/47 300 bp (552,545)
JPMorgan Securities LLC
     CMBX NA BBB- Index — (3,562) 662,000 5/11/63 (300 bp) 55,632
     CMBX NA BBB- Index — (15,643) 652,000 5/11/63 (300 bp) 42,656
     CMBX NA BBB- Index — (8,400) 326,000 5/11/63 (300 bp) 20,750
     CMBX NA BBB- Index BBB-/P 18,037 326,000 1/17/47 300 bp (24,316)
     CMBX NA BBB- Index BBB-/P 34,388 652,000 1/17/47 300 bp (50,318)
     CMBX NA BBB- Index BBB-/P 17,306 662,000 1/17/47 300 bp (68,699)
     CMBX NA BBB- Index BBB-/P 147,023 1,112,000 1/17/47 300 bp 2,278
Total$4,936,249$(8,684,574)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2016. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F."  











CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 1/31/16 (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 25 Index B+/P $(27,219) $4,517,000 12/20/20 500 bp $(37,307)
Total$(27,219)$(37,307)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at January 31, 2016. Securities rated by Putnam are indicated by "/P." Securities rated by Fitch are indicated by "/F."  










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
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
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
OAO Open Joint Stock Company
OJSC Open Joint Stock Company
PJSC Public Joint Stock Company
PO Principal Only
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 1, 2015 through January 31, 2016 (the reporting period). Within the following notes to the portfolio, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $1,162,809,142.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(b) The aggregate identified cost on a tax basis is $1,412,046,133, resulting in gross unrealized appreciation and depreciation of $29,836,585 and $48,146,247, respectively, or net unrealized depreciation of $18,309,662.
(NON) This security is non-income-producing.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Money Market Liquidity Fund* $110,035,724 $96,980,959 $59,376,801 $74,803 $147,639,882
Putnam Short Term Investment Fund* 223,132,504 97,448,459 75,926,171 168,487 244,654,792
Totals $333,168,228 $194,429,418 $135,302,972 $243,290 $392,294,674
* 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.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $338,304,371 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.
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 securities owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities,to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions 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 $18,625,680 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $18,527,641 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 $4,662,026 $2,061,722 $—
    Capital goods 21,475,933 — —
    Communication services 17,287,171 4,347,912 —
    Consumer cyclicals 39,039,726 5,996,885 —
    Consumer staples 34,932,644 3,313,391 —
    Energy 15,796,902 791,307 —
    Financials 44,554,551 21,372,881 —
    Health care 33,614,211 1,572,935 —
    Technology 39,161,209 11,623,210 —
    Transportation 4,645,784 3,941,881 —
    Utilities and power 9,745,469 3,752,859 —
Total common stocks 264,915,626 58,774,983 —
Asset-backed securities — — 4,811,000
Commodity linked notes — 49,550,100 —
Corporate bonds and notes — 58,415,481 —
Foreign government and agency bonds and notes — 14,232,578 —
Investment companies 54,087,786 — —
Mortgage-backed securities — 109,781,561 14,402,404
Purchased options outstanding — 5,619,890 —
Purchased swap options outstanding — 444,374 —
Senior loans — 66,814,082 —
U.S. government and agency mortgage obligations — 217,324,245 —
Warrants — 12,276,546 —
Short-term investments 407,974,674 54,311,141 —
Totals by level $726,978,086 $647,544,981 $19,213,404



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(836,392) $—
Futures contracts 1,528,232 — —
Written options outstanding — (538,471) —
Written swap options outstanding — (1,086,718) —
Forward premium swap option contracts — (36,490) —
TBA sale commitments — (107,828,167) —
Interest rate swap contracts — 6,414,507 —
Total return swap contracts — 1,988,206 —
Credit default contracts — (13,630,911) —
Totals by level $1,528,232 $(115,554,436) $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
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.

The following is a reconciliation of Level 3 assets as of the close of the reporting period:
Investments in securities: Balance as of October 31, 2015 Accrued
discounts/
premiums		 Realized gain/(loss) Change in net
unrealized appreciation/
(depreciation) #  		 Cost of purchases Proceeds from sales Total transfers into Level 3† Total transfers out of Level 3† Balance as of January 31, 2016
     

Asset-backed securities		  $4,811,000  $—  $—  $—  $—  $—  $—  $—  $4,811,000

Mortgage-backed securities		  $9,382,700  (364,046)  2,880  (73,139)  2,245,601  (228,016)  3,436,424  —  $14,402,404

                                                                                                                                                                                    

Totals		  $14,193,700  $(364,046)  $2,880  $(73,139)  $2,245,601  $(228,016)  $3,436,424  $—  $19,213,404

† Transfers during the reporting period are accounted for using the end of period market value and did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.

# Includes $75,223 related to Level 3 securities still held at period end.

Level 3 securities which are fair valued by Putnam Management, 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 $879,256 $14,510,167
Foreign exchange contracts 589,033 1,425,425
Equity contracts 39,919,126 18,199,566
Interest rate contracts 22,714,602 17,824,086
Total $64,102,017 $51,959,244


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 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)$1,200,000
Purchased TBA commitment option contracts (contract amount)$8,500,000
Purchased swap option contracts (contract amount)$174,600,000
Written equity option contracts (contract amount)$870,000
Written TBA commitment option contracts (contract amount)$17,000,000
Written swap option contracts (contract amount)$161,500,000
Futures contracts (number of contracts)3,000
Forward currency contracts (contract amount)$207,500,000
Centrally cleared interest rate swap contracts (notional)$1,283,800,000
OTC total return swap contracts (notional)$1,285,300,000
OTC credit default contracts (notional)$115,800,000
Centrally cleared credit default contracts (notional)$57,600,000
Warrants (number of warrants)3,100,000
   
  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. JPMorgan Securities LLC 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§   $— $— $3,772,777 $— $— $— $— $— $— $— $— $— $— $— $—    $  3,772,777 
  OTC Total return swap contracts*#   4,371,139  165,143  — 2,726,939  26,559  608,286  3,578,961  —  5,926,565  —  —  —  —  —  —    17,403,592 
  OTC Credit default contracts*#   —  —  — —  419,375  —  313,238  —  —  146,643  —  —  —  —  —    879,256 
  Centrally cleared credit default contracts§   —  —  — —  —  —  —  —  —  —  —  —  —  —  —    — 
  Futures contracts§   —  —  — —  —  —  —  —  —  —  402,776  —  —  —  —    402,776 
  Forward currency contracts#   22,087  57,911  — 35,398  114,657  —  90,038  48,425  84,058  —  —  16,443  18,821  84,934  16,261    589,033 
  Forward premium swap option contracts#   —  —  — —  —  —  —  —  60,423  —  —  —  —  —  —    60,423 
  Purchased swap options#   —  127,679  — 56,637  8,323  —  251,735  —  —  —  —  —  —  —  —    444,374 
  Purchased options#   —  —  — 2,444,252  —  —  —  —  3,175,638  —  —  —  —  —  —    5,619,890 
                                       
  Total Assets   $4,393,226  $350,733  $3,772,777 $5,263,226 $568,914 $608,286 $4,233,972 $48,425 $9,246,684 $146,643 $402,776 $16,443 $18,821 $84,934 $16,261    $29,172,121 
                                       
  Liabilities:                                    
  Centrally cleared interest rate swap contracts§   —  —  2,184,747 —  —  —    —  —  —  —  —  —  —  —    2,184,747 
  OTC Total return swap contracts*#   8,256,123  136,412  — 3,145,929  236,449  49,026  1,073,633  —  67,578  —  —  —  —  2,450,236  —    15,415,386 
  OTC Credit default contracts*#   72,337  202,076  — —  10,636,595  —  3,231,262  —  —  357,809  —  —  —  —  —    14,500,079 
  Centrally cleared credit default contracts§   —  —  16,408 —  —  —  —  —  —  —  —  —  —  —  —    16,408 
  Futures contracts§   —  —  — —  —  —  —  —  —  —  1,403,458  —  —  —  —    1,403,458 
  Forward currency contracts#   113,121  354,084  — 160,563  144,922  46,845  30,318  25,019  98,616  —  —  229,972  12,752  148,251  60,962    1,425,425 
  Forward premium swap option contracts#   —  —  — —  —  —  —  —  96,913  —  —  —  —  —  —    96,913 
  Written swap options#   —  136,067  — 72,733  10,945  —  185,550  —  681,423  —  —  —  —  —  —    1,086,718 
  Written options#   369,682  —  — 3,637  —  —  —  —  165,152  —  —  —  —  —  —    538,471 
                                       
  Total Liabilities   $8,811,263 $828,639 $2,201,155 $3,382,862 $11,028,911 $95,871 $4,520,763 $25,019 $1,109,682 $357,809 $1,403,458 $229,972 $12,752 $2,598,487 $60,962   $36,667,605
                                       
  Total Financial and Derivative Net Assets   $(4,418,037) $(477,906) $1,571,622  $1,880,364  $(10,459,997) $512,415  $(286,791) $23,406  $8,137,002  $(211,166) $(1,000,682) $(213,529) $6,069  $(2,513,553) $(44,701)   $(7,495,484)
  Total collateral received (pledged)##†   $(3,037,662) $(477,906) $—  $1,880,364  $(10,459,997) $(419,766) $(286,791) $—  $8,137,002  $—  $—  $(169,983) $—  $(166,883) $—     
  Net amount   $(1,380,375) $—  $1,571,622  $—  $—  $932,181  $—  $23,406  $—  $(211,166) $(1,000,682) $(43,546) $6,069  $(2,346,670) $(44,701)    
                                       
* Excludes premiums, if any.
                                       
†  Additional collateral may be required from certain brokers based on individual agreements.
                                       
# Covered by master netting agreement.
                                       
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                       
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. Controls and Procedures:
(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: March 25, 2016

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: March 25, 2016

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: March 25, 2016