N-Q 1 a_dynamicriskallocationfund.htm PUTNAM DYNAMIC RISK ALLOCATION FUND a_dynamicriskallocationfund.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: May 31, 2016
Date of reporting period: February 29, 2016



Item 1. Schedule of Investments:













Putnam Dynamic Risk Allocation Fund

The fund's portfolio
2/29/16 (Unaudited)
COMMON STOCKS (40.3%)(a)
Shares Value
Basic materials (1.3%)
Aceto Corp. 366 $7,851
Amcor, Ltd. (Australia) 8,616 86,186
American Vanguard Corp. 1,421 17,919
Andersons, Inc. (The) 323 8,673
Asahi Kasei Corp. (Japan) 4,000 22,528
BASF SE (Germany) 3,603 235,521
Beacon Roofing Supply, Inc.(NON) 594 21,443
Bemis Co., Inc. 2,085 102,311
Cabot Corp. 249 11,088
Cambrex Corp.(NON) 480 18,514
Chicago Bridge & Iron Co. NV 460 15,428
Continental Building Products, Inc.(NON) 1,288 21,741
Domtar Corp. 430 15,132
Ems-Chemie Holding AG (Switzerland) 178 82,486
Evonik Industries AG (Germany) 2,047 61,738
Fortescue Metals Group, Ltd. (Australia)(S) 42,764 62,319
Glencore PLC (United Kingdom) 35,248 64,696
Graphic Packaging Holding Co. 10,680 131,684
Incitec Pivot, Ltd. (Australia) 28,331 58,873
Innophos Holdings, Inc. 289 8,375
Innospec, Inc. 375 16,275
KapStone Paper and Packaging Corp. 882 9,032
Kraton Performance Polymers, Inc.(NON) 398 6,834
Kuraray Co., Ltd. (Japan) 3,400 37,044
LSB Industries, Inc.(NON) 558 3,259
Minerals Technologies, Inc. 392 19,921
Mitsubishi Gas Chemical Co., Inc. (Japan) 5,000 23,267
Mitsubishi Materials Corp. (Japan) 23,000 64,510
Mondi PLC (South Africa) 1,941 34,567
Newcrest Mining, Ltd. (Australia)(NON) 6,866 86,579
Nippon Steel & Sumitomo Metal Corp. (Japan) 1,800 30,946
Nitto Denko Corp. (Japan) 800 42,081
NN, Inc. 1,020 12,934
Orion Engineered Carbons SA (Luxembourg) 888 11,411
Patrick Industries, Inc.(NON) 646 28,547
Rio Tinto PLC (United Kingdom) 3,408 89,327
Royal Boskalis Westminster NV (Netherlands) 1,312 47,478
Sherwin-Williams Co. (The) 607 164,194
Sonoco Products Co. 1,733 75,732
Sumitomo Metal Mining Co., Ltd. (Japan) 6,000 64,159
ThyssenKrupp AG (Germany) 3,933 66,851
Trex Co., Inc.(NON) 136 5,858
U.S. Concrete, Inc.(NON) 346 18,598
UPM-Kymmene OYJ (Finland) 5,514 92,882
voestalpine AG (Austria) 1,288 37,042
Yara International ASA (Norway) 993 38,420
2,182,254
Capital goods (2.9%)
ABB, Ltd. (Switzerland) 4,681 83,390
ACS Actividades de Construccion y Servicios SA (Spain) 2,335 60,250
Airbus Group SE (France) 566 36,656
Allison Transmission Holdings, Inc. 8,377 198,367
Altra Industrial Motion Corp. 569 13,832
American Axle & Manufacturing Holdings, Inc.(NON) 1,079 15,775
AptarGroup, Inc. 888 65,454
Argan, Inc. 682 22,008
Avery Dennison Corp. 4,002 260,610
AZZ, Inc. 222 11,211
BAE Systems PLC (United Kingdom) 2,585 18,358
Berry Plastics Group, Inc.(NON) 669 20,826
Boeing Co. (The) 3,549 419,421
BWX Technologies, Inc. 2,297 73,274
Chase Corp. 190 8,934
Cooper-Standard Holding, Inc.(NON) 334 24,466
Crown Holdings, Inc.(NON) 2,160 101,196
Cubic Corp. 590 20,733
Douglas Dynamics, Inc. 294 5,751
General Dynamics Corp. 5,273 718,552
Hyster-Yale Materials Handling, Inc. 156 9,223
JTEKT Corp (Japan) 2,200 29,895
Kadant, Inc. 445 16,986
Littelfuse, Inc. 183 20,792
Lockheed Martin Corp. 240 51,790
MasTec, Inc.(NON) 1,880 31,922
Matrix Service Co.(NON) 573 10,537
Miller Industries, Inc. 536 10,377
Mitsubishi Electric Corp. (Japan) 13,000 130,992
MSA Safety, Inc. 184 8,035
Northrop Grumman Corp. 3,669 705,255
Orbital ATK, Inc. 91 7,622
OSRAM Licht AG (Germany) 1,388 64,689
Owens-Illinois, Inc.(NON) 700 10,472
Raytheon Co. 5,691 704,830
Sandvik AB (Sweden) 2,198 19,968
Standex International Corp. 208 14,649
Stoneridge, Inc.(NON) 1,243 14,966
Tetra Tech, Inc. 1,178 32,430
Thales SA (France) 272 21,630
Trinseo SA(NON)(S) 1,344 40,065
Vinci SA (France) 3,400 234,132
Wabash National Corp.(NON) 2,022 23,718
Waste Management, Inc. 9,268 517,618
4,911,657
Communication services (1.9%)
AT&T, Inc. 9,648 356,494
BT Group PLC (United Kingdom) 23,624 158,652
CalAmp Corp.(NON) 1,046 19,121
Cincinnati Bell, Inc.(NON) 6,834 23,646
Cogent Communications Holdings, Inc. 435 15,965
Deutsche Telekom AG (Germany) 7,441 124,778
Eutelsat Communications SA (France) 2,275 68,880
Frontier Communications Corp. 3,249 17,577
IDT Corp. Class B 448 5,837
Inteliquent, Inc. 864 14,705
InterDigital, Inc./PA 349 17,356
Iridium Communications, Inc.(NON)(S) 565 3,915
Juniper Networks, Inc. 19,667 485,775
KDDI Corp. (Japan) 3,500 88,983
NeuStar, Inc. Class A(NON) 479 11,913
Nippon Telegraph & Telephone Corp. (Japan) 3,200 136,945
NTT DoCoMo, Inc. (Japan) 6,200 144,122
Orange SA (France) 8,745 150,930
ShoreTel, Inc.(NON) 1,181 8,728
Sky PLC (United Kingdom) 12,721 183,415
Spok Holdings, Inc. 566 10,030
Telenor ASA (Norway) 3,770 56,165
Telstra Corp., Ltd. (Australia) 24,023 90,045
Ubiquiti Networks, Inc.(NON) 212 6,926
Verizon Communications, Inc. 18,515 939,266
Vodafone Group PLC (United Kingdom) 17,724 53,890
3,194,059
Conglomerates (—%)
Siemens AG (Germany) 792 73,547
73,547
Consumer cyclicals (6.0%)
Adecco SA (Switzerland) 1,762 102,013
Aristocrat Leisure, Ltd. (Australia) 8,135 58,088
Automatic Data Processing, Inc. 8,749 740,953
AutoZone, Inc.(NON) 824 638,246
Big Lots, Inc. 337 13,632
Brunswick Corp. 377 16,038
CaesarStone Sdot-Yam, Ltd. (Israel)(NON) 589 21,840
Caleres, Inc. 696 19,725
Carmike Cinemas, Inc.(NON) 824 18,079
CEB, Inc. 118 6,404
Cedar Fair LP 348 20,511
Children's Place, Inc. (The) 262 17,853
Cie Generale des Etablissements Michelin (France) 1,467 131,922
Clorox Co. (The) 431 54,487
Coach, Inc. 465 18,107
Continental AG (Germany) 648 130,124
Cooper Tire & Rubber Co. 677 26,606
Copart, Inc.(NON) 1,962 74,066
Dai Nippon Printing Co., Ltd. (Japan) 20,000 171,353
Deluxe Corp. 711 40,819
Dillards, Inc. Class A 211 17,659
Discovery Communications, Inc. Class A(NON) 788 19,700
Dolby Laboratories, Inc. Class A 1,101 43,490
Dollar General Corp. 9,229 685,253
DSW, Inc. Class A 555 14,541
Ecolab, Inc. 953 97,730
Ennis, Inc. 629 12,416
Entravision Communications Corp. Class A 2,344 18,096
Ethan Allen Interiors, Inc. 985 28,102
Express, Inc.(NON) 1,059 18,247
Fiat Chrysler Automobiles NV (Italy) 9,348 63,966
Flight Centre Travel Group, Ltd. (Australia)(S) 2,243 66,301
Fuji Heavy Industries, Ltd. (Japan) 5,200 169,506
G&K Services, Inc. Class A 270 17,901
G-III Apparel Group, Ltd.(NON) 592 31,228
Galaxy Entertainment Group, Ltd. (Hong Kong) 6,000 20,098
Gartner, Inc.(NON) 1,438 118,491
GNC Holdings, Inc. Class A 462 13,158
Goodyear Tire & Rubber Co. (The) 345 10,391
Gray Television, Inc.(NON) 1,797 20,737
Home Depot, Inc. (The) 820 101,778
Host Hotels & Resorts, Inc.(R) 4,481 68,604
Hyatt Hotels Corp. Class A(NON)(S) 1,633 75,363
Industria de Diseno Textil SA (Inditex) (Spain) 2,812 86,979
Industrivarden AB Class A (Sweden) 10,659 182,100
ITV PLC (United Kingdom) 50,924 175,010
John Wiley & Sons, Inc. Class A 895 38,959
Kia Motors Corp. (South Korea) 1,104 41,305
Kingfisher PLC (United Kingdom) 35,743 165,266
Lagardere SCA (France) 4,473 128,856
Landauer, Inc. 535 15,552
Liberty Media Corp. Class A(NON) 3,135 111,669
LifeLock, Inc.(NON) 465 5,129
Lions Gate Entertainment Corp. 992 20,931
Live Nation Entertainment, Inc.(NON) 752 16,536
Malibu Boats, Inc. Class A(NON) 937 14,477
Marcus Corp. (The) 590 11,021
Marks & Spencer Group PLC (United Kingdom) 17,661 103,997
Marriott Vacations Worldwide Corp. 267 16,167
Mazda Motor Corp. (Japan) 4,500 62,308
MCBC Holdings, Inc.(NON) 799 10,611
MSG Networks, Inc. Class A(NON) 2,360 38,751
National CineMedia, Inc. 1,251 18,702
News Corp. Class B 2,694 30,739
Nexstar Broadcasting Group, Inc. Class A 231 10,321
Next PLC (United Kingdom) 281 26,416
NIKE, Inc. Class B 13,442 827,893
O'Reilly Automotive, Inc.(NON) 1,536 399,852
Omnicom Group, Inc. 290 22,565
Oxford Industries, Inc. 213 15,470
Penn National Gaming, Inc.(NON) 762 10,546
Peugeot SA (France)(NON) 4,999 75,084
PGT, Inc.(NON) 2,654 26,248
Pitney Bowes, Inc. 642 11,633
ProSiebenSat.1 Media SE (Germany) 832 42,684
Publicis Groupe SA (France) 624 38,506
RE/MAX Holdings, Inc. Class A 760 24,366
Regal Entertainment Group Class A 1,253 24,672
Ryman Hospitality Properties(R) 2,109 100,958
Scotts Miracle-Gro Co. (The) Class A 922 63,636
Securitas AB Class B (Sweden) 6,382 95,500
ServiceMaster Global Holdings, Inc.(NON) 4,105 155,703
Shimamura Co., Ltd. (Japan) 400 44,066
Sinclair Broadcast Group, Inc. Class A 518 15,991
Sirius XM Holdings, Inc.(NON)(S) 99,838 371,397
SJM Holdings, Ltd. (Hong Kong) 45,000 27,514
Smith & Wesson Holding Corp.(NON) 1,476 37,431
Steven Madden, Ltd.(NON) 458 16,122
Suzuki Motor Corp. (Japan) 700 17,417
TABCORP Holdings, Ltd. (Australia) 6,047 18,563
Target Corp. 10,014 785,598
Taylor Wimpey PLC (United Kingdom) 23,727 61,305
Thomson Reuters Corp. (Canada) 3,925 143,655
Toppan Printing Co., Ltd. (Japan) 10,000 84,247
TUI AG (Germany) 3,040 45,029
Tumi Holdings, Inc.(NON) 500 9,875
Twenty-First Century Fox, Inc. 16,046 435,809
Valeo SA (France) 565 78,268
Vantiv, Inc. Class A(NON) 7,308 380,308
Vista Outdoor, Inc.(NON) 181 8,923
Visteon Corp. 2,285 159,767
Wal-Mart Stores, Inc. 466 30,914
Wolters Kluwer NV (Netherlands) 2,270 85,670
Wolverine World Wide, Inc. 669 12,664
World Fuel Services Corp. 1,436 67,219
Yue Yuen Industrial Holdings, Ltd. (Hong Kong) 7,500 26,713
10,285,205
Consumer staples (4.2%)
Altria Group, Inc. 14,835 913,391
Ashtead Group PLC (United Kingdom) 3,633 46,166
Avon Products, Inc. 953 3,631
Barrett Business Services, Inc. 136 4,752
Bright Horizons Family Solutions, Inc.(NON) 234 14,829
Brinker International, Inc. 441 21,962
British American Tobacco PLC (United Kingdom) 1,649 89,761
Cal-Maine Foods, Inc. 356 19,003
Coca-Cola Amatil, Ltd. (Australia) 12,224 74,273
Colgate-Palmolive Co. 8,265 542,515
Constellation Brands, Inc. Class A 4,574 646,901
Coty, Inc. Class A 587 16,718
Farmer Bros. Co.(NON) 244 6,432
Geo Group, Inc. (The)(R) 4,142 120,284
Grand Canyon Education, Inc.(NON) 559 21,790
Hormel Foods Corp. 6,876 292,299
Imperial Tobacco Group PLC (United Kingdom) 4,857 251,054
ITOCHU Corp. (Japan) 5,100 59,853
ITT Educational Services, Inc.(NON) 328 964
J Sainsbury PLC (United Kingdom) 17,968 63,281
John B. Sanfilippo & Son, Inc. 617 42,943
Kao Corp. (Japan) 3,300 166,003
Kforce, Inc. 871 13,884
Koninklijke Ahold NV (Netherlands) 9,168 200,672
Korn/Ferry International 470 13,357
Kroger Co. (The) 17,861 712,833
Match Group, Inc.(NON) 3,551 38,670
McDonald's Corp. 7,293 854,667
METRO AG (Germany) 1,356 33,248
Monster Worldwide, Inc.(NON) 2,690 8,016
Nestle SA (Switzerland) 2,670 187,016
Nutraceutical International Corp.(NON) 312 7,656
On Assignment, Inc.(NON) 411 13,567
Papa John's International, Inc. 206 11,979
Paylocity Holding Corp.(NON) 174 5,154
PepsiCo, Inc. 6,553 641,014
Pinnacle Foods, Inc. 699 30,190
Reckitt Benckiser Group PLC (United Kingdom) 947 86,187
Sanderson Farms, Inc. 324 29,568
Shutterfly, Inc.(NON) 99 4,400
SpartanNash Co. 733 20,121
Svenska Cellulosa AB SCA Class B (Sweden) 1,098 32,610
Swedish Match AB (Sweden) 3,239 104,294
Sysco Corp. 9,814 433,092
Team Health Holdings, Inc.(NON) 140 6,240
TrueBlue, Inc.(NON) 396 9,088
Uni-President Enterprises Corp. (Taiwan) 20,000 34,534
Unilever NV ADR (Netherlands) 2,122 90,722
Unilever PLC (United Kingdom) 1,619 69,295
Vector Group, Ltd. 882 20,489
WH Group, Ltd. 144A (Hong Kong)(NON) 116,500 67,701
Woolworths, Ltd. (Australia) 2,466 40,189
7,239,258
Energy (2.1%)
BP PLC (United Kingdom) 43,225 209,564
California Resources Corp. 542 305
Callon Petroleum Co.(NON) 1,663 10,610
Diamondback Energy, Inc.(NON) 93 6,626
Exxon Mobil Corp. 16,240 1,301,636
Frank's International NV (Netherlands) 1,922 26,697
Gulfport Energy Corp.(NON) 302 7,248
Northern Oil and Gas, Inc.(NON)(S) 1,875 6,263
Occidental Petroleum Corp. 5,772 397,229
OMV AG (Austria) 7,654 199,950
Repsol YPF SA (Spain) 6,160 63,255
Royal Dutch Shell PLC Class A (United Kingdom) 5,260 119,711
Royal Dutch Shell PLC Class B (United Kingdom) 4,936 112,182
Schlumberger, Ltd. 7,897 566,373
Statoil ASA (Norway) 13,361 194,028
Total SA (France) 4,359 195,303
Vestas Wind Systems A/S (Denmark) 3,094 208,490
Whiting Petroleum Corp.(NON) 221 886
Woodside Petroleum, Ltd. (Australia) 3,482 62,990
3,689,346
Financials (10.0%)
3i Group PLC (United Kingdom) 29,015 175,186
Access National Corp. 421 7,831
AG Mortgage Investment Trust, Inc.(R) 240 2,959
Ageas (Belgium) 815 30,071
Agree Realty Corp.(R) 393 14,561
Alexandria Real Estate Equities, Inc.(R) 1,618 128,081
Allianz SE (Germany) 1,266 188,753
Allied World Assurance Co. Holdings AG 4,633 150,063
American Capital Agency Corp.(R) 22,191 400,991
American Equity Investment Life Holding Co. 989 13,450
American Financial Group, Inc. 1,459 97,870
Amtrust Financial Services, Inc. 974 23,814
Annaly Capital Management, Inc.(R) 8,668 87,807
Apartment Investment & Management Co. Class A(R) 2,815 103,057
Apollo Commercial Real Estate Finance, Inc.(R) 625 9,656
Arbor Realty Trust, Inc.(R) 2,373 16,136
Arlington Asset Investment Corp. Class A 267 3,233
ARMOUR Residential REIT, Inc.(R) 160 3,080
Ashford Hospitality Prime, Inc.(R) 65 639
Ashford Hospitality Trust, Inc.(R) 1,596 8,826
Aspen Insurance Holdings, Ltd. 1,763 78,788
Assurant, Inc. 736 52,330
AvalonBay Communities, Inc.(R) 4,449 763,626
AXA SA (France) 5,849 128,530
Banc of California, Inc. 507 7,772
Banco Latinoamericano de Comercio Exterior SA Class E (Panama) 920 19,660
Banco Santander SA (Spain) 14,513 58,382
Bank Hapoalim BM (Israel) 12,800 62,536
Barclays PLC (United Kingdom) 8,708 20,575
BNP Paribas SA/New York, NY (France) 4,725 218,212
BofI Holding, Inc.(NON) 919 17,029
Boston Properties, Inc.(R) 2,017 230,220
Brandywine Realty Trust(R) 898 11,054
Brixmor Property Group, Inc.(R) 4,536 106,278
Broadridge Financial Solutions, Inc. 2,339 131,288
Camden Property Trust(R) 1,737 129,823
Campus Crest Communities, Inc.(NON)(R) 1,923 13,442
Capital One Financial Corp. 10,801 709,950
Cardinal Financial Corp. 847 16,313
Cardtronics, Inc.(NON) 490 16,523
Care Capital Properties, Inc.(R) 2,639 69,960
CBL & Associates Properties, Inc.(R) 546 6,295
Chimera Investment Corp.(R) 8,772 114,299
Citizens & Northern Corp. 477 9,492
CNO Financial Group, Inc. 1,052 18,336
CNP Assurances (France) 8,489 124,963
Communications Sales & Leasing, Inc.(R) 1,416 26,692
Community Healthcare Trust, Inc.(R) 652 11,716
CoreLogic, Inc.(NON) 2,014 69,664
Corporate Office Properties Trust(R) 3,814 89,248
Credit Suisse Group AG (Switzerland) 2,348 31,456
Customers Bancorp, Inc.(NON) 1,035 23,443
CYS Investments, Inc.(R) 834 6,539
Daiwa Securities Group, Inc. (Japan) 3,000 17,645
DDR Corp.(R) 505 8,449
Delta Lloyd NV (Netherlands)(S) 2,840 17,585
Dexus Property Group (Australia)(R) 13,899 74,728
DiamondRock Hospitality Co.(R) 7,779 69,233
Digital Realty Trust, Inc.(R) 441 34,870
Discover Financial Services 1,287 59,743
Duke Realty Corp.(R) 6,120 126,562
DuPont Fabros Technology, Inc.(R) 4,934 175,897
East West Bancorp, Inc. 435 13,037
Employers Holdings, Inc. 1,199 33,284
Encore Capital Group, Inc.(NON) 325 7,556
Endurance Specialty Holdings, Ltd. 1,227 76,405
EPR Properties(R) 233 14,500
Equity Commonwealth(NON)(R) 2,405 64,045
Equity Residential Trust(R) 4,006 298,407
Essent Group, Ltd.(NON) 327 6,295
Essex Property Trust, Inc.(R) 347 72,620
Everest Re Group, Ltd. 747 139,039
Extra Space Storage, Inc.(R) 277 22,756
Farmers Capital Bank Corp.(NON) 369 9,487
FCB Financial Holdings, Inc. Class A(NON) 755 22,658
Federal Agricultural Mortgage Corp. Class C 367 11,909
Federal Realty Investment Trust(R) 268 39,680
Federated National Holding Co. 1,199 28,656
Financial Institutions, Inc. 507 13,446
First BanCorp. (Puerto Rico)(NON) 7,152 19,167
First Community Bancshares, Inc. 496 8,978
First Industrial Realty Trust(R) 522 11,233
FirstMerit Corp. 602 11,817
Flushing Financial Corp. 532 10,986
Four Corners Property Trust, Inc.(R) 3,138 51,495
General Growth Properties(R) 8,155 224,426
Genworth Financial, Inc. Class A(NON) 1,949 4,132
Hanmi Financial Corp. 1,020 21,247
Hanover Insurance Group, Inc. (The) 260 21,567
HCI Group, Inc. 526 18,484
HCP, Inc.(R) 3,561 105,334
Healthcare Realty Trust, Inc.(R) 3,503 101,622
Heartland Financial USA, Inc. 329 9,673
Heritage Insurance Holdings, Inc. 1,209 23,600
Hersha Hospitality Trust(R) 416 8,374
Highwoods Properties, Inc.(R) 2,754 119,937
Horizon Bancorp 391 9,462
HSBC Holdings PLC (United Kingdom) 29,772 189,060
Invesco Mortgage Capital, Inc.(R) 367 4,151
Investor AB Class B (Sweden) 5,881 195,177
Investors Real Estate Trust(R) 1,178 7,233
Kerry Properties, Ltd. (Hong Kong) 23,000 53,969
Kimco Realty Corp.(R) 7,049 188,561
Lazard, Ltd. Class A 508 17,871
Lexington Realty Trust(R) 2,219 17,175
Liberty Property Trust(R) 3,030 87,506
LTC Properties, Inc.(R) 540 23,998
Macerich Co. (The)(R) 693 54,802
Maiden Holdings, Ltd. (Bermuda) 852 10,198
MainSource Financial Group, Inc. 763 15,794
Medical Properties Trust, Inc.(R) 9,583 110,875
Meta Financial Group, Inc. 293 12,127
MFA Financial, Inc.(R) 12,991 88,469
Mid-America Apartment Communities, Inc.(R) 127 11,422
Mitsubishi UFJ Financial Group, Inc. (Japan) 35,700 153,006
Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) 26,000 111,659
Mizuho Financial Group, Inc. (Japan) 127,800 187,180
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 1,144 225,893
National Health Investors, Inc.(R) 1,895 119,214
Nelnet, Inc. Class A 592 22,259
New World Development Co., Ltd. (Hong Kong) 94,000 78,684
NN Group NV (Netherlands) 2,287 70,146
Nomura Holdings, Inc. (Japan) 11,800 49,486
Nomura Real Estate Holdings, Inc. (Japan) 900 16,046
One Liberty Properties, Inc.(R) 559 11,868
Oppenheimer Holdings, Inc. Class A 511 7,236
Opus Bank 466 15,033
ORIX Corp. (Japan) 10,100 131,379
Pacific Premier Bancorp, Inc.(NON) 540 11,097
PacWest Bancorp 210 6,758
PennyMac Financial Services, Inc. Class A(NON) 592 7,347
Peoples Bancorp, Inc. 507 9,045
Persimmon PLC (United Kingdom) 3,923 118,554
PNC Financial Services Group, Inc. (The) 6,897 560,795
Popular, Inc. (Puerto Rico) 3,258 86,337
Post Properties, Inc.(R) 1,734 96,636
PRA Group, Inc.(NON) 285 6,954
ProAssurance Corp. 1,147 56,559
Prologis, Inc.(R) 6,317 242,952
Public Storage(R) 2,402 599,275
Ramco-Gershenson Properties Trust(R) 631 10,601
Realty Income Corp.(R) 1,137 66,560
Regency Centers Corp.(R) 127 8,964
Reinsurance Group of America, Inc. 960 86,496
RenaissanceRe Holdings, Ltd. 1,172 132,670
Renasant Corp. 439 13,706
Republic Bancorp, Inc. Class A 343 8,784
Resona Holdings, Inc. (Japan) 39,200 136,559
RMR Group, Inc. (The) Class A(NON) 8 180
SBI Holdings, Inc. (Japan) 6,700 60,799
Select Income REIT(R) 441 9,093
Simon Property Group, Inc.(R) 3,278 621,935
SL Green Realty Corp.(R) 473 41,709
SLM Corp.(NON) 18,574 108,472
Societe Generale SA (France) 2,588 89,811
Sovran Self Storage, Inc.(R) 68 7,238
Spirit Realty Capital, Inc.(R) 3,256 34,807
Starwood Property Trust, Inc.(R) 9,871 173,137
Sumitomo Mitsui Financial Group, Inc. (Japan) 6,300 175,650
Summit Hotel Properties, Inc.(R) 1,462 15,804
Sun Hung Kai Properties, Ltd. (Hong Kong) 2,000 22,301
Sunstone Hotel Investors, Inc.(R) 7,533 97,176
Swiss Life Holding AG (Switzerland) 351 85,296
Swiss Re AG (Switzerland) 2,698 238,787
Synchrony Financial(NON) 23,622 636,613
Talmer Bancorp, Inc. Class A 862 14,482
Taubman Centers, Inc.(R) 1,606 113,737
TCF Financial Corp. 4,879 55,328
Two Harbors Investment Corp.(R) 11,702 90,691
U.S. Bancorp 6,702 258,161
UBS Group AG (Switzerland) 1,558 23,740
UDR, Inc.(R) 793 27,224
United Community Banks, Inc. 523 9,053
United Insurance Holdings Corp. 1,689 32,952
Universal Health Realty Income Trust(R) 120 6,221
Validus Holdings, Ltd. 2,496 112,095
VEREIT, Inc.(R) 3,238 25,969
Vornado Realty Trust(R) 1,098 94,823
Voya Financial, Inc. 7,705 226,219
WageWorks, Inc.(NON) 140 6,744
Washington Real Estate Investment Trust(R) 2,690 69,590
Weingarten Realty Investors(R) 3,468 122,178
Wells Fargo & Co. 22,093 1,036,547
Welltower, Inc.(R) 2,559 163,213
Western Alliance Bancorp(NON) 514 15,276
Wheelock and Co., Ltd. (Hong Kong) 32,000 126,167
Woori Bank (South Korea) 2,464 17,332
WP Carey, Inc.(R) 177 10,034
XL Group PLC 12,721 437,348
17,168,582
Health care (5.0%)
ACADIA Pharmaceuticals, Inc.(NON) 378 6,524
Accuray, Inc.(NON) 971 4,904
Akorn, Inc.(NON) 272 7,232
AMAG Pharmaceuticals, Inc.(NON) 1,732 45,517
AmerisourceBergen Corp. 6,945 601,576
AmSurg Corp.(NON) 322 21,912
Anacor Pharmaceuticals, Inc.(NON) 82 5,230
Applied Genetic Technologies Corp.(NON) 450 5,972
Aralez Pharmaceuticals, Inc. (Canada)(NON) 2,692 15,264
Ardelyx, Inc.(NON) 922 8,907
ARIAD Pharmaceuticals, Inc.(NON) 916 5,001
Astellas Pharma, Inc. (Japan) 8,200 117,588
AstraZeneca PLC (United Kingdom) 2,971 168,549
AtriCure, Inc.(NON) 450 7,457
Bio-Rad Laboratories, Inc. Class A(NON) 463 62,338
Biospecifics Technologies Corp.(NON) 203 7,207
Cardinal Health, Inc. 6,620 540,854
Cardiome Pharma Corp. (Canada)(NON) 3,921 20,468
Catalent, Inc.(NON) 321 7,791
Celldex Therapeutics, Inc.(NON) 397 2,700
Centene Corp.(NON) 181 10,310
Charles River Laboratories International, Inc.(NON) 1,070 78,570
Chemed Corp. 387 49,730
Conmed Corp. 387 15,379
DaVita HealthCare Partners, Inc.(NON) 4,544 299,768
Depomed, Inc.(NON) 282 4,309
DexCom, Inc.(NON) 250 16,265
Dynavax Technologies Corp.(NON) 644 10,381
Eagle Pharmaceuticals, Inc.(NON)(S) 134 8,494
Emergent BioSolutions, Inc.(NON) 631 21,347
Entellus Medical, Inc.(NON) 264 4,227
FivePrime Therapeutics, Inc.(NON) 292 9,510
GlaxoSmithKline PLC (United Kingdom) 8,019 155,718
Globus Medical, Inc. Class A(NON) 478 11,615
Greatbatch, Inc.(NON) 582 22,000
Grifols SA (Spain) 1,107 24,099
Halozyme Therapeutics, Inc.(NON) 467 3,797
Health Net, Inc.(NON) 481 29,928
HealthSouth Corp. 624 21,984
ICU Medical, Inc.(NON) 429 39,425
Immune Design Corp.(NON) 286 2,863
Impax Laboratories, Inc.(NON) 131 4,282
INC Research Holdings, Inc. Class A(NON) 248 9,841
Inotek Pharmaceuticals Corp.(NON) 444 3,028
Insulet Corp.(NON) 324 9,927
Insys Therapeutics, Inc.(NON) 404 7,062
Ionis Pharmaceuticals, Inc.(NON) 113 3,905
Jazz Pharmaceuticals PLC(NON) 518 62,978
Johnson & Johnson 12,099 1,272,936
Kindred Healthcare, Inc. 649 6,821
Lannett Co., Inc.(NON) 786 19,776
Ligand Pharmaceuticals, Inc.(NON) 88 8,121
McKesson Corp. 3,800 591,356
Medicines Co. (The)(NON) 156 5,017
Medipal Holdings Corp. (Japan) 10,400 159,075
MEDNAX, Inc.(NON) 1,693 113,499
Merck & Co., Inc. 6,638 333,294
Merck KGaA (Germany) 738 62,766
Merrimack Pharmaceuticals, Inc.(NON) 1,097 6,352
MiMedx Group, Inc.(NON)(S) 992 8,164
Molina Healthcare, Inc.(NON) 67 4,157
Myriad Genetics, Inc.(NON) 187 6,545
Neurocrine Biosciences, Inc.(NON) 439 16,146
Novartis AG (Switzerland) 2,347 167,506
Novavax, Inc.(NON) 526 2,293
Novo Nordisk A/S Class B (Denmark) 1,442 74,104
Omega Healthcare Investors, Inc.(R) 809 25,937
OncoMed Pharmaceuticals, Inc.(NON) 222 2,116
Ophthotech Corp.(NON) 242 10,900
OraSure Technologies, Inc.(NON) 2,937 19,707
Otsuka Holdings Company, Ltd. (Japan) 700 24,671
Pacira Pharmaceuticals, Inc.(NON) 233 12,118
PerkinElmer, Inc. 2,851 134,738
Pfizer, Inc. 31,088 922,381
PharMerica Corp.(NON) 536 12,387
Portola Pharmaceuticals, Inc.(NON) 135 3,803
Prestige Brands Holdings, Inc.(NON) 287 14,034
Prothena Corp. PLC (Ireland)(NON) 454 14,455
Providence Service Corp. (The)(NON) 369 17,531
RadNet, Inc.(NON) 1,387 7,906
Repligen Corp.(NON) 316 8,131
Roche Holding AG (Switzerland) 977 250,248
Rockwell Medical, Inc.(NON)(S) 1,291 12,394
Sage Therapeutics, Inc.(NON) 111 3,263
Sanofi (France) 3,573 282,721
Select Medical Holdings Corp. 1,603 15,693
Shire PLC (United Kingdom) 502 26,195
Spectranetics Corp. (The)(NON) 477 6,764
STAAR Surgical Co.(NON) 787 4,903
STERIS PLC (United Kingdom) 136 8,748
Sucampo Pharmaceuticals, Inc. Class A(NON) 786 10,336
Supernus Pharmaceuticals, Inc.(NON) 432 5,417
Surgical Care Affiliates, Inc.(NON) 667 27,034
Suzuken Co., Ltd. (Japan) 3,400 110,351
TESARO, Inc.(NON) 374 15,132
Teva Pharmaceutical Industries, Ltd. ADR (Israel) 1,426 79,286
Thermo Fisher Scientific, Inc. 5,417 699,822
Tokai Pharmaceuticals, Inc.(NON) 279 1,777
TransEnterix, Inc.(NON)(S) 2,147 6,892
Trevena, Inc.(NON) 597 4,997
Triple-S Management Corp. Class B (Puerto Rico)(NON) 430 11,275
Ultragenyx Pharmaceutical, Inc.(NON) 54 3,293
uniQure NV (Netherlands)(NON) 287 4,027
Ventas, Inc.(R) 2,138 119,022
Waters Corp.(NON) 1,367 164,464
WellCare Health Plans, Inc.(NON) 94 8,448
West Pharmaceutical Services, Inc. 509 31,568
Zeltiq Aesthetics, Inc.(NON) 482 11,100
8,617,646
Technology (4.5%)
2U, Inc.(NON) 419 9,365
A10 Networks, Inc.(NON) 2,134 13,145
Accenture PLC Class A 6,259 627,527
Advanced Energy Industries, Inc.(NON) 1,193 35,587
Ambarella, Inc.(NON) 171 7,934
Amdocs, Ltd. 3,194 181,291
Apigee Corp.(NON) 872 5,101
Apple, Inc. 6,160 595,610
Aspen Technology, Inc.(NON) 289 9,528
AtoS SE (France) 355 25,766
AVG Technologies NV (Netherlands)(NON) 748 14,317
Blackbaud, Inc. 248 14,019
Brocade Communications Systems, Inc. 13,523 134,283
Brother Industries, Ltd. (Japan) 1,600 17,414
CACI International, Inc. Class A(NON) 126 12,174
Cavium, Inc.(NON) 169 10,054
CEVA, Inc.(NON) 745 14,609
Ciena Corp.(NON) 366 7,503
Cirrus Logic, Inc.(NON) 493 17,368
Cisco Systems, Inc. 37,019 969,157
Computer Sciences Corp. 3,139 90,435
CSG Systems International, Inc. 666 25,281
CSRA, Inc. 3,036 78,784
Cypress Semiconductor Corp.(NON) 2,831 22,591
DSP Group, Inc.(NON) 1,776 15,327
DST Systems, Inc. 2,783 291,046
eBay, Inc.(NON) 26,531 631,438
EnerSys 525 26,964
Fidelity National Information Services, Inc. 2,706 157,625
Fiserv, Inc.(NON) 4,314 412,548
Fujitsu, Ltd. (Japan) 6,000 21,876
GenMark Diagnostics, Inc.(NON) 951 4,707
Genpact, Ltd.(NON) 3,071 81,167
Gentex Corp. 2,146 31,246
Gigamon, Inc.(NON) 168 4,598
GungHo Online Entertainment, Inc. (Japan) 26,700 63,357
Hon Hai Precision Industry Co., Ltd. (Taiwan) 28,000 65,595
Honeywell International, Inc. 266 26,959
Hoya Corp. (Japan) 4,800 172,828
Imprivata, Inc.(NON) 883 10,190
inContact, Inc.(NON) 1,374 12,737
Infinera Corp.(NON) 446 6,998
Ingram Micro, Inc. Class A 3,604 129,023
Integrated Device Technology, Inc.(NON) 284 5,515
Intersil Corp. Class A 946 12,080
IntraLinks Holdings, Inc.(NON) 601 4,670
Iron Mountain, Inc.(R) 3,466 101,831
Ixia(NON) 1,238 14,126
Jabil Circuit, Inc. 768 16,013
Lattice Semiconductor Corp.(NON) 4,189 26,516
Leidos Holdings, Inc. 1,779 76,888
Lexmark International, Inc. Class A 270 8,375
Manhattan Associates, Inc.(NON) 207 11,439
Maxim Integrated Products, Inc. 18,522 627,155
MAXIMUS, Inc. 175 8,605
Mellanox Technologies, Ltd. (Israel)(NON) 315 16,005
Mentor Graphics Corp. 1,264 24,142
Microsemi Corp.(NON) 331 11,463
Microsoft Corp. 5,640 286,963
MKS Instruments, Inc. 554 18,227
MobileIron, Inc.(NON) 1,463 4,930
Monolithic Power Systems, Inc. 187 11,044
MTS Systems Corp. 120 6,594
Murata Manufacturing Co., Ltd. (Japan) 600 71,732
Netscout Systems, Inc.(NON) 105 2,170
Nexon Co., Ltd. (Japan) 3,100 46,268
ON Semiconductor Corp.(NON) 2,167 18,181
Otsuka Corp. (Japan) 400 19,729
Paychex, Inc. 11,209 576,031
Perficient, Inc.(NON) 767 13,844
Plantronics, Inc. 421 15,788
Plexus Corp.(NON) 575 20,924
Power Integrations, Inc. 207 9,487
Proofpoint, Inc.(NON) 301 14,099
QAD, Inc. Class A 562 10,998
QLogic Corp.(NON) 2,593 33,424
Qualys, Inc.(NON) 206 5,144
Rovi Corp.(NON) 646 14,716
Samsung Electronics Co., Ltd. (South Korea) 20 19,012
Sanmina Corp.(NON) 569 11,721
Semtech Corp.(NON) 331 6,342
Silicon Laboratories, Inc.(NON) 110 4,538
Synaptics, Inc.(NON) 305 24,769
Synchronoss Technologies, Inc.(NON) 193 5,406
SYNNEX Corp. 244 22,943
Synopsys, Inc.(NON) 3,091 138,322
Tech Data Corp.(NON) 155 10,914
Tessera Technologies, Inc. 694 20,459
Tyler Technologies, Inc.(NON) 104 12,513
Veeva Systems, Inc. Class A(NON) 421 10,226
VeriFone Systems, Inc.(NON) 337 8,051
Verint Systems, Inc.(NON) 276 9,806
Web.com Group, Inc.(NON) 1,050 19,058
Woodward, Inc. 622 29,203
Xilinx, Inc. 3,091 145,957
7,769,428
Transportation (1.1%)
Aegean Marine Petroleum Network, Inc. (Greece) 1,996 14,311
Allegiant Travel Co. 76 12,455
ANA Holdings, Inc. (Japan) 53,000 149,581
AP Moeller - Maersk A/S (Denmark) 99 129,440
Aurizon Holdings, Ltd. (Australia) 10,470 30,428
Central Japan Railway Co. (Japan) 500 89,183
ComfortDelgro Corp., Ltd. (Singapore) 49,200 105,305
Deutsche Post AG (Germany) 2,712 64,524
DHT Holdings, Inc. (Bermuda) 1,212 7,066
easyJet PLC (United Kingdom) 809 16,916
International Consolidated Airlines Group SA (Spain) 10,133 77,118
Matson, Inc. 191 7,657
Qantas Airways, Ltd. (Australia) 17,307 47,540
Royal Mail PLC (United Kingdom) 12,828 80,549
Ryanair Holdings PLC ADR (Ireland) 1,124 93,483
Scorpio Tankers, Inc. 1,666 10,363
Southwest Airlines Co. 579 24,289
United Parcel Service, Inc. Class B 8,050 777,228
Universal Truckload Services, Inc. 66 1,034
Virgin America, Inc.(NON) 647 20,180
XPO Logistics, Inc.(NON)(S) 259 6,413
Yangzijiang Shipbuilding Holdings, Ltd. (China) 203,400 131,159
1,896,222
Utilities and power (1.3%)
American Electric Power Co., Inc. 4,753 293,498
American Water Works Co., Inc. 1,998 129,510
Centrica PLC (United Kingdom) 18,758 53,863
E.ON SE (Germany) 8,654 78,995
Endesa SA (Spain) 4,938 88,880
Enel SpA (Italy) 21,837 87,147
ENI SpA (Italy) 1,413 19,764
Iberdrola SA (Spain) 32,953 212,969
Korea Electric Power Corp. (South Korea) 658 31,283
PG&E Corp. 7,400 419,802
RWE AG (Germany) 5,053 58,010
Southern Co. (The) 14,697 708,101
Talen Energy Corp.(NON) 1,290 8,204
Tokyo Electric Power Co., Inc. (Japan)(NON) 8,000 40,405
2,230,431
Total common stocks (cost $67,798,113) $69,257,635

CORPORATE BONDS AND NOTES (24.4%)(a)
Principal amount Value
Basic materials (2.0%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 $85,000 $80,750
Agrium, Inc. sr. unsec. notes 3 3/8s, 2025 (Canada) 40,000 37,112
Agrium, Inc. sr. unsec. unsub. 5 1/4s, 2045 (Canada) 10,000 8,932
ArcelorMittal SA sr. unsec. unsub. bonds 10.85s, 2019 (France) 60,000 63,000
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) 25,000 20,125
Archer-Daniels-Midland Co. sr. unsec. notes 5.45s, 2018 114,000 122,862
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 80,000 84,400
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 65,000 72,313
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 70,000 68,250
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 110,000 102,520
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5 7/8s, 2021 (Germany) 85,000 90,100
CF Industries, Inc. company guaranty sr. unsec. notes 5 3/8s, 2044 8,000 6,792
CF Industries, Inc. company guaranty sr. unsec. notes 5.15s, 2034 10,000 8,522
Chemours Co. (The) 144A sr. unsec. notes 7s, 2025 20,000 14,500
Chemours Co. (The) 144A sr. unsec. notes 6 5/8s, 2023 35,000 25,288
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 90,000 82,350
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8s, 2021 30,000 27,600
Dow Chemical Co. (The) sr. unsec. unsub. bonds 3 1/2s, 2024 70,000 70,323
Eastman Chemical Co. sr. unsec. notes 3.8s, 2025 20,000 19,258
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) 20,000 10,350
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9 1/2s, 2023 95,000 101,650
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4 5/8s, 2024 116,000 87,858
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4s, 2025 79,000 56,880
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 2 7/8s, 2020 130,000 108,225
HD Supply, Inc. company guaranty sr. unsec. notes 11 1/2s, 2020 35,000 38,675
HD Supply, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 75,000 78,938
HD Supply, Inc. 144A company guaranty sr. notes 5 1/4s, 2021 70,000 73,325
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) 95,000 53,913
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 112,000 105,560
Huntsman International, LLC 144A company guaranty sr. unsec. notes 5 1/8s, 2022 15,000 13,725
INVISTA Finance, LLC 144A company guaranty sr. notes 4 1/4s, 2019 37,000 35,335
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 60,000 51,487
Joseph T Ryerson & Son, Inc. company guaranty sr. sub. notes 9s, 2017 70,000 53,900
Louisiana-Pacific Corp. company guaranty sr. unsec. notes 7 1/2s, 2020 60,000 62,100
LyondellBasell Industries NV sr. unsec. unsub. notes 4 5/8s, 2055 25,000 20,542
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) 55,000 50,600
Methanex Corp. sr. unsec. unsub. notes 5.65s, 2044 (Canada) 30,000 22,893
Monsanto Company sr. unsec. sub. notes 5 1/2s, 2025 60,000 65,835
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 (Canada) 20,000 14,250
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) 95,000 90,488
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 125,000 115,938
Novelis, Inc. company guaranty sr. unsec. notes 8 3/8s, 2017 15,000 14,925
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 35,000 30,100
PQ Corp. 144A company guaranty sub. notes 8 3/4s, 2018 35,000 32,725
Rio Tinto Finance USA PLC company guaranty sr. unsec. unsub. notes 1 5/8s, 2017 (United Kingdom) 145,000 142,052
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 40,000 41,600
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 45,000 50,400
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2023 50,000 51,688
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2024 20,000 20,750
Sealed Air Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2022 20,000 20,600
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 15,000 15,863
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7 1/2s, 2025 (Ireland) 40,000 43,300
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 120,000 120,000
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 30,000 28,125
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 33,000 30,938
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/8s, 2021 10,000 9,750
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7 5/8s, 2021 75,000 56,906
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 45,000 38,813
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 10,000 10,350
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 50,000 51,000
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6s, 2023 40,000 37,250
Westrock MWV, LLC company guaranty sr. unsec. unsub. notes 8.2s, 2030 60,000 76,315
Westrock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95s, 2031 32,000 39,672
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 90,000 93,825
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 30,000 31,200
3,405,611
Capital goods (1.3%)
Advanced Disposal Services, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 130,000 127,400
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 10,000 10,650
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2024 40,000 38,000
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5s, 2022 70,000 68,600
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) 35,000 35,263
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 25,000 24,125
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 30,000 27,300
Berry Plastics Corp. company guaranty notes 5 1/2s, 2022 20,000 20,800
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 50,000 50,000
Berry Plastics Corp. 144A company guaranty notes 6s, 2022 25,000 26,000
Bombardier, Inc. 144A sr. unsec. unsub. notes 4 3/4s, 2019 (Canada) 75,000 59,813
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 80,000 85,800
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6s, 2017 (Luxembourg) 145,000 155,167
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7 3/8s, 2026 35,000 37,363
Delphi Corp. company guaranty sr. unsec. notes 5s, 2023 100,000 102,500
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. sub. notes 7 3/4s, 2020 (Luxembourg) 35,000 34,650
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6s, 2022 135,000 101,756
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 25,000 26,313
KLX, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 95,000 90,488
Legrand France SA sr. unsec. unsub. notes 8 1/2s, 2025 (France) 15,000 20,211
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 8 1/2s, 2020 55,000 57,338
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 150,000 165,600
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 35,000 29,488
Medtronic, Inc. company guaranty sr. unsec. sub. notes 4 3/8s, 2035 15,000 15,523
Medtronic, Inc. company guaranty sr. unsec. sub. notes 3 1/2s, 2025 15,000 15,750
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 55,000 53,900
MTW Foodservice Escrow Corp. 144A sr. unsec. notes 9 1/2s, 2024 70,000 73,763
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023 100,000 90,500
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2025 30,000 29,625
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2022 135,000 136,013
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 50,000 51,750
Terex Corp. company guaranty sr. unsec. notes 6s, 2021 153,000 144,585
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 60,000 61,650
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2024 85,000 82,875
2,150,559
Communication services (3.0%)
Altice SA 144A company guaranty sr. unsec. notes 7 3/4s, 2022 (Luxembourg) 200,000 193,000
American Tower Corp. sr. unsec. notes 4s, 2025(R) 85,000 84,839
AT&T, Inc. sr. unsec. unsub. notes 4 3/4s, 2046 67,000 61,158
AT&T, Inc. sr. unsec. unsub. notes 3.4s, 2025 68,000 66,797
AT&T, Inc. sr. unsec. unsub. notes 1.7s, 2017 145,000 145,481
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. bonds 5 1/8s, 2023 25,000 24,938
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 195,000 196,463
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2024 85,000 86,594
CCO Safari II, LLC 144A company guaranty sr. notes 6.484s, 2045 87,000 91,734
CCO Safari II, LLC 144A company guaranty sr. notes 4.908s, 2025 43,000 44,114
CCOH Safari, LLC 144A sr. unsec. notes 5 3/4s, 2026 55,000 55,145
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 80,000 78,200
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 15,000 15,188
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 50,000 45,875
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 10,000 9,175
Comcast Corp. company guaranty sr. unsec. unsub. bonds 6 1/2s, 2017 145,000 151,837
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.95s, 2037 30,000 39,932
Comcast Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2035 85,000 106,676
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) 115,000 121,756
Crown Castle International Corp. sr. unsec. notes 4 7/8s, 2022(R) 25,000 26,188
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 30,000 25,650
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 160,000 162,400
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8 3/4s, 2030 (Netherlands) 16,000 22,565
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 40,000 35,942
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 5,000 4,431
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 20,000 17,300
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025 55,000 55,069
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022 70,000 70,700
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020 20,000 20,650
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 265,000 184,175
Intelsat Jackson Holdings SA company guaranty sr. unsec. unsub. bonds 6 5/8s, 2022 (Bermuda) 20,000 10,050
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) 10,000 3,000
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8 1/8s, 2023 (Luxembourg) 15,000 4,575
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 20,000 20,650
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 145,000 151,525
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 45,000 46,238
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 25,000 25,625
Numericable-SFR SAS 144A company guaranty sr. notes 6s, 2022 (France) 200,000 197,750
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 35,000 36,400
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 295,000 223,757
Sprint Communications, Inc. sr. unsec. notes 7s, 2020 $330,000 258,225
Sprint Corp. company guaranty sr. unsec. sub. notes 7 7/8s, 2023 120,000 88,800
Sprint Corp. company guaranty sr. unsec. sub. notes 7 1/4s, 2021 195,000 146,738
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 5/8s, 2023 50,000 52,500
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 3/8s, 2025 30,000 30,300
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 75,000 78,750
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6s, 2023 20,000 20,600
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 5,000 5,188
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 25,000 26,750
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 25,000 25,688
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 25,000 25,750
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045s, 2036 (Spain) 194,000 230,454
Verizon Communications, Inc. sr. unsec. notes 6.35s, 2019 36,000 40,603
Verizon Communications, Inc. sr. unsec. notes 2 5/8s, 2020 95,000 96,279
Verizon Communications, Inc. sr. unsec. unsub. notes 6.4s, 2033 64,000 74,575
Verizon Communications, Inc. sr. unsec. unsub. notes 4.522s, 2048 328,000 299,313
Verizon Communications, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 30,000 32,625
Verizon Communications, Inc. sr. unsec. unsub. notes 4.4s, 2034 30,000 28,181
Verizon New York, Inc. company guaranty sr. unsec. notes Ser. B, 7 3/8s, 2032 31,000 34,804
Vodafone Group PLC sr. unsec. unsub. notes 1 1/4s, 2017 (United Kingdom) 251,000 250,178
West Corp. 144A company guaranty sr. unsec. sub. notes 5 3/8s, 2022 45,000 40,275
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2019 95,000 86,688
Windstream Services, LLC company guaranty sr. unsec. notes 7 3/4s, 2021 90,000 72,619
Windstream Services, LLC company guaranty sr. unsec. notes 6 3/8s, 2023 95,000 68,875
5,078,300
Conglomerates (0.2%)
General Electric Capital Corp. company guaranty sr. unsec. notes 6 3/4s, 2032 202,000 269,249
General Electric Capital Corp. company guaranty sr. unsec. unsub. notes Ser. MTN, 5.4s, 2017 143,000 149,030
418,279
Consumer cyclicals (3.7%)
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2045 124,000 156,257
Amazon.com, Inc. sr. unsec. notes 1.2s, 2017 143,000 142,820
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 35,000 36,225
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 3/4s, 2025 35,000 36,181
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5 3/4s, 2023 60,000 61,725
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 80,000 68,800
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 105,000 113,733
Bed Bath & Beyond, Inc. sr. unsec. sub. notes 5.165s, 2044 115,000 92,673
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 50,000 18,250
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 40,000 41,100
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 160,000 145,600
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 35,000 29,225
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2021 80,000 84,400
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2024 25,000 26,188
CBS Corp. company guaranty sr. unsec. debs. 7 7/8s, 2030 137,000 172,050
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 10,000 10,300
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 45,000 46,519
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 15,000 15,244
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2023 25,000 25,000
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2020 50,000 43,875
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 95,000 92,150
Dana Holding Corp. sr. unsec. notes 6s, 2023 10,000 9,550
Dollar General Corp. sr. unsec. sub. notes 3 1/4s, 2023 25,000 24,675
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 20,000 21,275
Dollar Tree, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2020 15,000 15,750
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7s, 2023 65,000 64,838
Expedia, Inc. 144A company guaranty sr. unsec. unsub. notes 5s, 2026 140,000 133,008
Ford Motor Co. sr. unsec. unsub. notes 9.98s, 2047 115,000 163,378
Ford Motor Co. sr. unsec. unsub. notes 7.45s, 2031 192,000 235,198
General Motors Co. sr. unsec. notes 6 1/4s, 2043 95,000 92,949
General Motors Co. sr. unsec. notes 5.2s, 2045 10,000 8,638
General Motors Co. sr. unsec. unsub. notes 6 3/4s, 2046 10,000 10,461
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.3s, 2025 20,000 18,949
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4s, 2025 10,000 9,263
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 3.45s, 2022 85,000 80,182
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 40,000 23,600
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 7/8s, 2020 60,000 60,732
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4 3/8s, 2018 35,000 35,219
Gray Television, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2020 60,000 63,075
Home Depot, Inc. (The) sr. unsec. unsub. notes 2 5/8s, 2022 90,000 91,531
Host Hotels & Resorts LP sr. unsec. unsub. notes 5 1/4s, 2022(R) 77,000 82,286
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 65,000 63,944
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 265,000 186,825
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 50,000 51,500
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 25,000 25,313
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 10,000 9,150
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 40,000 26,000
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 60,000 47,250
Johnson Controls, Inc. sr. unsec. unsub. notes 4.95s, 2064 35,000 31,049
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 40,000 44,700
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 50,000 52,125
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 20,000 20,550
Lear Corp. company guaranty sr. unsec. notes 5 1/4s, 2025 10,000 10,400
Lear Corp. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 45,000 46,575
Lennar Corp. company guaranty sr. unsec. notes 4 1/2s, 2019 25,000 25,703
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 110,000 108,625
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2021 35,000 35,175
LIN Television Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 10,000 10,063
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 4.3s, 2043 2,000 1,430
Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 7s, 2028 25,000 26,761
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 35,000 36,225
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 65,000 56,225
McGraw Hill Financial, Inc. company guaranty sr. unsec. unsub. notes 4.4s, 2026 35,000 36,752
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 40,000 42,800
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 10,000 10,200
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 125,000 141,563
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 5,000 5,288
Mustang Merger Corp. 144A sr. unsec. notes 8 1/2s, 2021 15,000 15,263
Navistar International Corp. company guaranty sr. unsec. notes 8 1/4s, 2021 70,000 42,525
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 80,000 66,800
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8 3/4s, 2021(PIK) 40,000 24,100
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8s, 2021 30,000 21,147
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2021 (Luxembourg) 95,000 98,800
Nordstrom, Inc. sr. unsec. notes 5s, 2044 8,000 7,589
Nordstrom, Inc. sr. unsec. unsub. notes 6.95s, 2028 90,000 108,041
Nortek, Inc. company guaranty sr. unsec. sub. notes 8 1/2s, 2021 80,000 82,600
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 7/8s, 2025 30,000 30,900
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2024 45,000 47,138
Penn National Gaming, Inc. sr. unsec. sub. notes 5 7/8s, 2021 75,000 72,984
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 30,000 30,000
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 45,000 43,650
Priceline Group, Inc. (The) sr. unsec. notes 3.65s, 2025 61,000 60,907
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 70,000 79,450
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2026 100,000 101,125
QVC, Inc. company guaranty sr. sub. notes 4.45s, 2025 55,000 51,292
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 20,000 20,325
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2023 50,000 49,250
Regal Entertainment Group sr. unsec. sub. notes 5 3/4s, 2022 15,000 15,169
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 150,000 147,000
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 50,000 50,375
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 15,000 11,700
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 125,000 98,125
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 15,000 8,100
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 50,000 48,625
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 50,000 51,875
Sinclair Television Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 15,000 15,206
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 15,000 14,963
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6s, 2024 40,000 42,000
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 90,000 92,012
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5 3/4s, 2025 35,000 36,881
Spectrum Brands, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2020 5,000 5,269
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2024 30,000 31,725
Standard Industries, Inc./NJ 144A sr. unsec. notes 5 3/8s, 2024 90,000 91,407
Standard Industries, Inc./NJ 144A sr. unsec. notes 5 1/8s, 2021 10,000 10,200
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 50,000 46,500
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 53,000 49,290
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 20,000 17,800
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023 10,000 9,200
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 35,000 37,100
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 20,000 21,200
TEGNA, Inc. 144A company guaranty sr. unsec. unsub. notes 4 7/8s, 2021 30,000 30,750
Tiffany & Co. sr. unsec. unsub. notes 4.9s, 2044 30,000 27,988
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2023 25,000 23,375
Toyota Motor Credit Corp. sr. unsec. unsub. bonds Ser. GMTN, 1.55s, 2018 145,000 145,027
Tribune Media Co. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 45,000 45,000
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 15,000 15,000
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5 1/8s, 2025 55,000 53,831
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 65,000 65,325
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6 1/2s, 2037 34,000 44,860
Wyndham Worldwide Corp. sr. unsec. unsub. notes 5 5/8s, 2021 30,000 32,594
6,344,421
Consumer staples (1.8%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6s, 2022 (Canada) 115,000 119,888
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) 25,000 25,406
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.85s, 2022 31,000 31,311
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 4.9s, 2046 90,000 96,443
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 3.65s, 2026 90,000 92,900
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 2.65s, 2021 145,000 147,464
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 1 1/4s, 2018 53,000 52,858
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 8.2s, 2039 106,000 156,535
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 95,000 90,013
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 10,000 9,350
BlueLine Rental Finance Corp. 144A notes 7s, 2019 75,000 54,938
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8s, 2022 65,000 55,413
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 35,000 28,875
Coca-Cola Co. (The) sr. unsec. unsub. notes 3.2s, 2023 30,000 31,949
ConAgra Foods, Inc. sr. unsec. notes 7s, 2019 20,000 22,648
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 15,000 15,619
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 65,000 73,125
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 124,000 124,620
Corrections Corp. of America company guaranty sr. unsec. sub. notes 4 1/8s, 2020(R) 15,000 15,113
CVS Health Corp. sr. unsec. unsub. notes 2 1/4s, 2018 145,000 146,502
CVS Health Corp. 144A sr. unsec. sub. notes 4 3/4s, 2022 80,000 87,571
Dean Foods Co. 144A company guaranty sr. unsec. notes 6 1/2s, 2023 45,000 47,475
Diageo Capital PLC company guaranty sr. unsec. unsub. notes 1 1/2s, 2017 (United Kingdom) 32,000 32,056
Diageo Investment Corp. company guaranty sr. unsec. notes 8s, 2022 9,000 11,553
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 90,000 51,300
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4 1/2s, 2045 50,000 46,467
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7s, 2037 200,000 246,014
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5 5/8s, 2042 56,000 59,907
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85s, 2024 21,000 21,250
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil) 125,000 120,938
JBS USA, LLC/JBS USA Finance, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 (Brazil) 20,000 19,350
Kraft Foods Group, Inc. company guaranty sr. unsec. notes Ser. 144A, 6 7/8s, 2039 95,000 116,584
Kroger Co. (The) company guaranty sr. unsec. unsub. notes 6.9s, 2038 45,000 57,669
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 10,000 9,700
Landry's, Inc. 144A company guaranty sr. unsec. sub. notes 9 3/8s, 2020 115,000 120,463
PepsiCo, Inc. sr. unsec. unsub. notes 4 1/4s, 2044 45,000 46,524
PepsiCo, Inc. sr. unsec. unsub. notes 1 1/4s, 2017 144,000 144,460
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 30,000 29,175
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2024 10,000 10,300
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 50,000 49,500
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5 3/4s, 2021 75,000 75,188
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 80,000 85,400
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4 7/8s, 2034 23,000 23,616
Tyson Foods, Inc. company guaranty sr. unsec. unsub. bonds 5.15s, 2044 32,000 34,178
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 55,000 18,838
Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.3s, 2021 35,000 35,255
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5 3/8s, 2022 65,000 69,550
3,061,251
Energy (1.8%)
Anadarko Petroleum Corp. sr. unsec. notes 6.45s, 2036 130,000 107,919
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 25,000 21,313
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 25,000 21,375
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5 3/8s, 2021 45,000 38,925
Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6s, 2022 55,000 36,025
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 5/8s, 2024 (Canada) 50,000 27,250
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5 1/8s, 2021 (Canada) 5,000 2,850
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 2.315s, 2020 (United Kingdom) 110,000 107,388
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.846s, 2017 (United Kingdom) 145,000 145,035
California Resources Corp. company guaranty sr. unsec. sub. notes 6s, 2024 33,000 4,290
California Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2020 14,000 1,820
California Resources Corp. 144A company guaranty notes 8s, 2022 121,000 30,250
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.7s, 2017 (Canada) 145,000 145,181
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) 90,000 31,950
Chesapeake Energy Corp. 144A company guaranty notes 8s, 2022 82,000 31,980
Chevron Corp. sr. unsec. unsub. notes 1.104s, 2017 143,000 141,857
Concho Resources, Inc. company guaranty sr. unsec. notes 5 1/2s, 2023 55,000 51,013
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 55,000 50,978
ConocoPhillips Co. company guaranty sr. unsec. unsub. notes 1.05s, 2017 145,000 139,905
DCP Midstream Operating LP company guaranty sr. unsec. notes 2.7s, 2019 40,000 32,806
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 35,000 10,850
Ecopetrol SA sr. unsec. unsub. bonds 4 1/8s, 2025 (Colombia) 45,000 34,515
EQT Midstream Partners LP company guaranty sr. unsec. sub. notes 4s, 2024 5,000 3,791
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 10,000 7,300
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 25,000 21,125
Halcon Resources Corp. company guaranty sr. unsec. notes 9 3/4s, 2020 15,000 1,650
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 130,000 14,300
Halcon Resources Corp. 144A company guaranty notes 8 5/8s, 2020 30,000 16,575
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2020 40,000 40,179
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5 1/2s, 2022 10,000 9,100
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 60,000 38,550
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) 55,000 1,100
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 25,000 1,063
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 23,000 978
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty notes 12s, 2020 56,000 6,230
Motiva Enterprises, LLC 144A sr. unsec. notes 5 3/4s, 2020 50,000 51,500
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/4s, 2022 60,000 55,800
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 35,000 30,275
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 6.05s, 2041 19,000 7,980
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 115,000 67,275
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.3s, 2023 (Indonesia) 200,000 187,876
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6 1/4s, 2024 (Brazil) 175,000 127,313
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/4s, 2017 (Venezuela) 85,000 39,206
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8 1/2s, 2017 (Venezuela) 116,667 57,167
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6s, 2026 (Venezuela) 110,000 34,485
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2046 (Mexico) 95,000 73,721
Petroleos Mexicanos 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2026 (Mexico) 15,000 13,339
Phillips 66 company guaranty sr. unsec. unsub. notes 2.95s, 2017 145,000 146,816
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2023 35,000 19,338
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5 5/8s, 2022 30,000 16,950
Sabine Pass Liquefaction, LLC sr. notes 5 5/8s, 2023 145,000 133,763
Sabine Pass LNG LP company guaranty sr. sub. notes 6 1/2s, 2020 20,000 21,094
Samson Investment Co. company guaranty sr. unsec. notes 9 3/4s, 2020 (In default)(NON) 110,000 275
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 (In default)(NON) 70,000 13,482
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6 3/4s, 2023 (Canada) 35,000 30,275
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8 1/4s, 2020 (Canada) 60,000 57,600
Seventy Seven Energy, Inc. sr. unsec. sub. notes 6 1/2s, 2022 50,000 1,000
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5.2s, 2017 (Netherlands) 156,000 161,832
SM Energy Co. sr. unsec. sub. notes 5s, 2024 45,000 17,888
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 15,000 1,200
Total Capital International SA company guaranty sr. unsec. unsub. notes 1.55s, 2017 (France) 143,000 142,969
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2022 25,000 3,750
Unit Corp. company guaranty sr. unsec. sub. notes 6 5/8s, 2021 25,000 11,875
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 125,000 58,438
Williams Cos., Inc. (The) sr. unsec. sub. notes 4.55s, 2024 30,000 22,500
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8 3/4s, 2032 23,000 18,860
Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2023 100,000 81,500
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 35,000 20,038
3,104,796
Financials (6.4%)
Abbey National Treasury Services PLC/United Kingdom company guaranty sr. unsec. unsub. notes 1 3/8s, 2017 (United Kingdom) 156,000 155,898
Aflac, Inc. sr. unsec. unsub. notes 6.9s, 2039 17,000 21,860
Air Lease Corp. sr. unsec. notes 3 3/4s, 2022 20,000 18,581
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 55,000 51,150
Ally Financial, Inc. company guaranty sr. unsec. notes 8s, 2031 90,000 99,113
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 30,000 33,150
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2017 230,000 239,488
Ally Financial, Inc. sub. unsec. notes 5 3/4s, 2025 90,000 87,300
American Express Co. jr. unsec. sub. FRN Ser. C, 4.9s, perpetual maturity 35,000 30,547
American Express Co. sr. unsec. notes 7s, 2018 94,000 103,249
American Express Co. sr. unsec. notes 6.15s, 2017 107,000 113,771
American International Group, Inc. jr. unsec. sub. FRB 8.175s, 2058 290,000 361,775
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity 98,000 94,815
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity 25,000 25,500
Bank of America Corp. sr. unsec. unsub. notes 2s, 2018 149,000 148,478
Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, 1.7s, 2017 95,000 94,558
Bank of America Corp. unsec. sub. notes 6.11s, 2037 170,000 185,028
Bank of Montreal sr. unsec. unsub. notes Ser. MTN, 2 1/2s, 2017 (Canada) 143,000 144,685
Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.35s, 2020 (Canada) 80,000 80,143
Bank of Nova Scotia (The) sr. unsec. unsub. notes 1 3/8s, 2017 (Canada) 145,000 144,634
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. unsub. notes 1.2s, 2017 (Japan) 250,000 249,270
Barclays Bank PLC 144A unsec. sub. notes 10.179s, 2021 (United Kingdom) 270,000 348,621
BNP Paribas SA company guaranty sr. unsec. unsub. bonds Ser. MTN, 1 3/8s, 2017 (France) 162,000 161,842
BPCE SA 144A unsec. sub. notes 5.15s, 2024 (France) 200,000 196,785
Cantor Fitzgerald LP 144A unsec. bonds 7 7/8s, 2019 25,000 27,436
Cantor Fitzgerald LP 144A unsec. notes 6 1/2s, 2022 90,000 93,856
CBRE Services, Inc. company guaranty sr. unsec. notes 5 1/4s, 2025 47,000 48,653
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 40,000 40,130
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2026 53,000 53,436
CIT Group, Inc. sr. unsec. notes 3 7/8s, 2019 20,000 19,900
CIT Group, Inc. sr. unsec. sub. notes 5s, 2023 35,000 34,650
CIT Group, Inc. sr. unsec. unsub. notes 5s, 2022 115,000 115,431
CIT Group, Inc. 144A sr. unsec. notes 5 1/2s, 2019 155,000 160,425
Citigroup, Inc. jr. unsec. sub. FRB Ser. B, 5.9s, perpetual maturity 3,000 2,851
Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95s, perpetual maturity 48,000 45,120
Citigroup, Inc. jr. unsec. sub. FRN Ser. Q, 5.95s, perpetual maturity 63,000 59,220
Citigroup, Inc. jr. unsec. sub.FRN 5 7/8s, perpetual maturity 6,000 5,580
Citigroup, Inc. unsec. sub. notes 5 1/2s, 2025 65,000 69,623
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 60,000 58,200
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 35,000 34,869
Commonwealth Bank of Australia/New York, NY sr. unsec. bonds Ser. GMTN, 1 5/8s, 2018 330,000 329,228
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands (Rabobank Nederland) company guaranty sr. unsec. notes 3 3/8s, 2017 (Netherlands) 130,000 132,353
Credit Acceptance Corp. company guaranty sr. unsec. notes 6 1/8s, 2021 80,000 74,400
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2023 25,000 23,625
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6 1/4s, perpetual maturity (Switzerland) 200,000 178,500
DDR Corp. sr. unsec. unsub. notes 7 7/8s, 2020(R) 5,000 6,008
Deutsche Bank AG/London sr. unsec. notes 6s, 2017 (United Kingdom) 149,000 155,947
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 55,000 34,238
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151s, 2031 180,000 202,500
Duke Realty LP company guaranty sr. unsec. unsub. notes 4 3/8s, 2022(R) 21,000 22,117
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 45,000 46,773
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 55,000 53,625
EPR Properties company guaranty sr. unsec. sub. notes 5 1/4s, 2023(R) 60,000 61,506
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 60,000 59,550
Fifth Third Bancorp jr. unsec. sub. FRB 5.1s, perpetual maturity 38,000 34,153
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRN 6.15s, 2066 112,000 23,520
Goldman Sachs Group, Inc. (The) sr. unsec. notes 7 1/2s, 2019 44,000 50,082
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2 3/8s, 2018 2,000 2,012
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes 3 7/8s, 2025(R) 25,000 24,239
Hospitality Properties Trust sr. unsec. unsub. notes 4 1/2s, 2025(R) 20,000 18,883
HSBC Finance Corp. unsec. sub. notes 6.676s, 2021 122,000 135,739
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8 1/8s, 2019(PIK) 10,000 8,325
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 80,000 71,600
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6s, 2020 145,000 134,850
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 60,000 52,350
ING Bank NV 144A unsec. sub. notes 5.8s, 2023 (Netherlands) 220,000 235,389
iStar, Inc. sr. unsec. notes 5s, 2019(R) 20,000 18,625
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.3s, perpetual maturity 56,000 54,547
JPMorgan Chase & Co. sr. unsec. unsub. notes 2s, 2017 144,000 144,651
JPMorgan Chase & Co. unsec. sub. notes 4 1/8s, 2026 60,000 60,858
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.3s, 2018 4,000 4,002
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5 1/8s, 2044 25,000 24,265
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 55,000 63,929
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 240,000 262,500
Lloyds Banking Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) 512,000 478,720
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657s, perpetual maturity (United Kingdom) 30,000 32,550
Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85s, 2020 (Australia) 65,000 65,214
MetLife, Inc. sr. unsec. unsub. notes 6 3/4s, 2016 145,000 147,072
MetLife, Inc. sr. unsec. unsub. notes 4 3/4s, 2021 100,000 109,581
Mid-America Apartments LP sr. unsec. notes 4.3s, 2023(R) 60,000 62,938
Morgan Stanley sr. unsec. unsub. bonds 4 3/4s, 2017 149,000 153,882
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2024(R) 25,000 25,625
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 3/8s, 2022(R) 35,000 35,875
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2020 40,000 37,700
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 30,000 26,438
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 30,000 31,200
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4 7/8s, 2045 40,000 34,200
Ocwen Financial Corp. sr. unsec. notes 6 5/8s, 2019 25,000 21,438
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6 3/4s, 2019 45,000 42,581
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 45,000 42,188
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976s, 2025 100,000 98,761
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 80,000 70,000
PNC Bank NA sr. unsec. unsub. notes Ser. BKNT, 1 1/8s, 2017 250,000 249,954
Progressive Corp. (The) jr. unsec. sub. FRN 6.7s, 2037 116,000 110,432
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 75,000 71,813
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.2s, 2018 (Canada) 145,000 146,601
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65s, 2026 (Canada) 40,000 40,048
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) 200,000 180,480
Royal Bank of Scotland Group PLC jr. unsec. sub. FRN Ser. U, 7.64s, perpetual maturity (United Kingdom) 200,000 195,500
Select Income REIT sr. unsec. unsub. notes 3.6s, 2020(R) 10,000 9,980
Select Income REIT sr. unsec. unsub. notes 2.85s, 2018(R) 35,000 34,887
Simon Property Group LP 144A sr. unsec. unsub. notes 1 1/2s, 2018(R) 131,000 130,306
Societe Generale SA company guaranty sr. unsec. notes 2 3/4s, 2017 (France) 250,000 253,678
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 15,000 13,313
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6s, 2020 30,000 26,138
Springleaf Finance Corp. sr. unsec. unsub. notes 5 1/4s, 2019 20,000 17,500
Standard Chartered Bank 144A unsec. sub. notes 8s, 2031 (United Kingdom) 100,000 114,762
State Street Capital Trust IV company guaranty jr. unsec. sub. FRB 1.512s, 2037 220,000 151,800
Svenska Handelsbanken AB company guaranty sr. unsec. notes 2 7/8s, 2017 (Sweden) 250,000 254,185
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4 1/4s, 2042 80,000 80,461
TIERS Trust/United States 144A sr. bonds stepped-coupon zero % (8 1/8s, 3/15/18),2046(STP) 100,000 104,500
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8 1/2s, 2018 20,000 16,400
Travelers Property Casualty Corp. company guaranty sr. unsec. unsub. bonds 7 3/4s, 2026 9,000 11,850
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 95,000 90,250
Vereit Operating Partnership LP company guaranty sr. unsec. notes 4.6s, 2024(R) 60,000 57,000
Walter Investment Management Corp. company guaranty sr. unsec. notes 7 7/8s, 2021 45,000 32,063
Wayne Merger Sub, LLC 144A sr. unsec. notes 8 1/4s, 2023 40,000 36,000
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5 7/8s, perpetual maturity 70,000 73,763
Wells Fargo & Co. sr. unsec. notes 2.1s, 2017 143,000 144,382
11,028,519
Health care (2.0%)
AbbVie, Inc. sr. unsec. notes 3.6s, 2025 12,000 12,251
AbbVie, Inc. sr. unsec. notes 2.9s, 2022 18,000 17,871
AbbVie, Inc. sr. unsec. notes 1 3/4s, 2017 130,000 129,898
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6 1/8s, 2021 60,000 61,500
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5 1/8s, 2022 35,000 34,703
Actavis Funding SCS company guaranty sr. unsec. notes 4 3/4s, 2045 (Luxembourg) 68,000 69,543
Actavis Funding SCS company guaranty sr. unsec. notes 3.45s, 2022 (Luxembourg) 33,000 33,654
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 65,000 56,550
Amgen, Inc. sr. unsec. unsub. notes 2 1/8s, 2017 145,000 146,224
AstraZeneca PLC sr. unsec. unsub. notes 6.45s, 2037 (United Kingdom) 16,000 20,335
AstraZeneca PLC sr. unsec. unsub. notes 5.9s, 2017 (United Kingdom) 145,000 154,705
Biogen, Inc. sr. unsec. sub. notes 3 5/8s, 2022 75,000 77,512
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 55,000 55,413
Centene Escrow Corp. 144A sr. unsec. notes 6 1/8s, 2024 60,000 63,675
Centene Escrow Corp. 144A sr. unsec. notes 5 5/8s, 2021 20,000 20,900
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 60,000 60,300
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 60,000 51,450
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) 60,000 52,200
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 65,000 46,800
DPx Holdings BV 144A sr. unsec. sub. notes 7 1/2s, 2022 (Netherlands) 65,000 62,075
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 50,000 50,500
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2023 40,000 40,000
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 45,000 43,988
HCA, Inc. company guaranty sr. notes 6 1/2s, 2020 170,000 187,850
HCA, Inc. company guaranty sr. sub. notes 5s, 2024 40,000 40,800
HCA, Inc. company guaranty sr. sub. notes 3 3/4s, 2019 50,000 50,875
HCA, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2025 15,000 15,281
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 55,000 56,100
JLL/Delta Dutch Pledgeco BV 144A sr. unsec. notes 8 3/4s, 2020 (Netherlands)(PIK) 45,000 40,050
Johnson & Johnson sr. unsec. notes 5.15s, 2018 91,000 99,555
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sub. notes 10 1/2s, 2018 85,000 78,200
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sr. notes 7 7/8s, 2021 45,000 46,350
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) 40,000 37,700
MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 25,000 25,906
Merck & Co., Inc. sr. unsec. unsub. notes 1.3s, 2018 125,000 125,496
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 40,000 40,500
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4 1/2s, 2027(R) 60,000 57,600
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95s, 2024(R) 149,000 152,311
Service Corp. International/US sr. unsec. notes 5 3/8s, 2022 50,000 52,250
Service Corp. International/US sr. unsec. unsub. notes 5 3/8s, 2024 275,000 292,531
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 40,000 37,600
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 20,000 19,875
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 35,000 34,519
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 100,000 106,000
Tenet Healthcare Corp. company guaranty sr. notes 4 3/4s, 2020 10,000 10,100
Tenet Healthcare Corp. company guaranty sr. sub. notes 6s, 2020 55,000 58,410
Tenet Healthcare Corp. 144A company guaranty sr. FRN 4.012s, 2020 60,000 59,100
UnitedHealth Group, Inc. sr. unsec. notes 6s, 2018 65,000 70,461
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.7s, 2021 58,000 64,514
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 5,000 4,588
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2025 55,000 46,166
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 7/8s, 2023 60,000 50,625
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2021 5,000 4,278
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 25,000 20,813
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2020 55,000 49,775
3,398,226
Technology (0.9%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 40,000 40,850
Apple, Inc. sr. unsec. unsub. notes 4 3/8s, 2045 38,000 38,338
Apple, Inc. sr. unsec. unsub. notes 3.85s, 2043 100,000 93,449
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 70,000 17,850
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 300,000 184,500
Cisco Systems, Inc. sr. unsec. unsub. notes 1.1s, 2017 66,000 66,167
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 40,000 39,600
eBay, Inc. sr. unsec. unsub. notes 1.35s, 2017 145,000 144,571
Fidelity National Information Services, Inc. sr. unsec. unsub. notes 5s, 2025 25,000 25,976
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7s, 2023 65,000 65,000
First Data Corp. 144A notes 5 3/4s, 2024 65,000 65,406
First Data Corp. 144A sr. notes 5 3/8s, 2023 55,000 57,200
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 6s, 2022 40,000 42,450
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 25,000 25,875
Honeywell International, Inc. sr. unsec. unsub. notes 5 3/8s, 2041 80,000 97,296
Infor US, Inc. 144A company guaranty sr. notes 5 3/4s, 2020 10,000 10,075
Infor US, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2022 115,000 99,763
Intel Corp. sr. unsec. unsub. notes 1.35s, 2017 145,000 145,893
Iron Mountain, Inc. company guaranty sr. unsec. notes 6s, 2023(R) 60,000 63,750
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) 25,000 26,500
Jabil Circuit, Inc. sr. unsec. sub. notes 8 1/4s, 2018 14,000 15,155
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 55,000 50,526
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5 1/4s, 2023 60,000 51,300
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 60,000 57,300
Zebra Technologies Corp. sr. unsec. unsub. bonds 7 1/4s, 2022 50,000 52,125
1,576,915
Transportation (0.1%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 70,000 62,475
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes 5 3/4s, 2040 15,000 17,673
United Airlines 2014-2 Class A Pass Through Trust sr. notes Ser. A, 3 3/4s, 2026 25,000 25,313
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 135,000 127,575
233,036
Utilities and power (1.2%)
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 240,000 263,400
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 140,000 126,000
AES Corp./Virginia (The) sr. unsec. notes 4 7/8s, 2023 25,000 22,188
Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6 1/8s, 2036 10,000 11,979
Calpine Corp. sr. unsec. sub. notes 5 3/4s, 2025 110,000 99,000
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 50,000 51,125
Calpine Corp. 144A company guaranty sr. sub. notes 5 7/8s, 2024 15,000 15,300
Consolidated Edison Co. of New York, Inc. sr. unsec. notes 7 1/8s, 2018 96,000 109,592
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 5,000 4,175
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 80,000 74,150
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 5,000 4,138
Electricite de France (EDF) 144A jr. unsec. sub. FRN 5 5/8s, perpetual maturity (France) 695,000 587,275
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) 47,606 50,224
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. notes 4.85s, 2042 18,000 15,326
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 25,000 6,750
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9 3/8s, 2020 180,000 52,200
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 55,000
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.4s, 2044 44,000 34,438
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45s, 2023 60,000 51,452
MidAmerican Funding, LLC sr. bonds 6.927s, 2029 20,000 25,826
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7 7/8s, 2021 115,000 108,531
NRG Yield Operating, LLC company guaranty sr. unsec. notes 5 3/8s, 2024 30,000 26,400
Oncor Electric Delivery Co., LLC sr. notes 3 3/4s, 2045 85,000 77,163
Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974s, 2067 90,000 65,250
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. notes 5s, 2022 30,000 24,943
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 80,000 70,300
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 30,000 25,200
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 35,000 29,593
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 65,000 55,250
2,142,168
Total corporate bonds and notes (cost $45,878,645) $41,942,081

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (8.6%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (1.9%)
Government National Mortgage Association Pass-Through Certificates 3 1/2s, TBA, March 1, 2046 $3,000,000 $3,167,578
3,167,578
U.S. Government Agency Mortgage Obligations (6.7%)
Federal National Mortgage Association Pass-Through Certificates
     6s, TBA, March 1, 2046 1,000,000 1,139,531
     4s, TBA, March 1, 2046 4,000,000 4,268,438
     3s, TBA, April 1, 2046 2,000,000 2,047,266
     3s, TBA, March 1, 2046 2,000,000 2,051,094
     3s, TBA, March 1, 2031 2,000,000 2,085,625
11,591,954
Total U.S. government and agency mortgage obligations (cost $14,714,376) $14,759,532

COMMODITY LINKED NOTES (4.0%)(a)(CLN)
Principal amount Value
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2017 (Indexed to the S&P GSCI Commodity Index multiplied by 3) (United Kingdom) $3,150,000 $3,696,494
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2017 (Indexed to the S&P GSCI 3 Month Forward Index multiplied by 3) (United Kingdom) 2,776,000 3,117,059
Total commodity linked notes (cost $5,926,000) $6,813,553

MORTGAGE-BACKED SECURITIES (3.7%)(a)
Principal amount Value
Agency collateralized mortgage obligations (—%)
Government National Mortgage Association Ser. 15-H26, Class DI, IO, 2.17s, 2065 $367,318 $44,078
44,078
Commercial mortgage-backed securities (2.9%)
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-1, Class AJ, 5.338s, 2042 79,475 79,579
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-PW17, Class AJ, 5.867s, 2050 61,000 59,037
     FRB Ser. 06-PW12, Class AJ, 5.788s, 2038 48,000 47,926
     FRB Ser. 06-PW11, Class AJ, 5.467s, 2039 68,000 66,980
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.574s, 2047 100,000 98,025
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.912s, 2049 247,000 245,704
     FRB Ser. 13-GC17, Class C, 5.105s, 2046 49,000 48,723
     Ser. 14-GC21, Class AS, 4.026s, 2047 74,000 77,534
     FRB Ser. 14-GC19, Class XA, IO, 1.303s, 2047 1,530,551 105,287
COMM Mortgage Trust
     FRB Ser. 14-UBS6, Class C, 4.466s, 2047 113,000 104,777
     FRB Ser. 14-LC15, Class XA, IO, 1.39s, 2047(F) 1,463,692 100,324
     FRB Ser. 14-CR16, Class XA, IO, 1.245s, 2047 626,990 39,273
     FRB Ser. 14-CR17, Class XA, IO, 1.187s, 2047 1,028,655 65,020
     FRB Ser. 14-UBS6, Class XA, IO, 1.07s, 2047 1,482,130 91,661
GE Capital Commercial Mortgage Corp. Trust FRB Ser. 06-C1, Class AJ, 5.425s, 2044 115,164 111,709
GS Mortgage Securities Trust FRB Ser. 14-GC22, Class XA, IO, 1.067s, 2047(F) 2,093,616 124,603
GS Mortgage Securities Trust 144A FRB Ser. 10-C1, Class D, 6.077s, 2043 158,403 168,856
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 06-LDP7, Class B, 5.93s, 2045 118,000 57,761
     FRB Ser. 05-LDP5, Class F, 5.548s, 2044 83,000 82,877
     Ser. 06-LDP8, Class AJ, 5.48s, 2045 386,000 381,908
     Ser. 04-LN2, Class A2, 5.115s, 2041 5,765 5,771
     FRB Ser. 13-C10, Class C, 4.155s, 2047 108,000 100,678
     FRB Ser. 13-LC11, Class C, 3.958s, 2046 57,000 52,508
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 10-C1, Class D, 6.216s, 2043 142,000 117,673
     FRB Ser. 11-C3, Class E, 5.589s, 2046 240,000 236,616
     FRB Ser. 12-C6, Class E, 5.192s, 2045 114,000 102,896
LB-UBS Commercial Mortgage Trust
     Ser. 07-C6, Class A4, 5.858s, 2040 63,207 64,578
     Ser. 06-C6, Class E, 5.541s, 2039 125,000 86,875
     Ser. 06-C6, Class D, 5.502s, 2039 125,000 105,625
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.317s, 2048 123,000 111,575
ML-CFC Commercial Mortgage Trust Ser. 06-3, Class AJ, 5.485s, 2046 47,000 46,577
Morgan Stanley Bank of America Merrill Lynch Trust
     FRB Ser. 13-C11, Class C, 4.414s, 2046 158,000 169,532
     FRB Ser. 14-C17, Class XA, IO, 1.269s, 2047 746,691 48,610
     FRB Ser. 13-C12, Class XA, IO, 0.967s, 2046 848,525 34,154
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.834s, 2044 117,000 116,335
     FRB Ser. 07-T27, Class AJ, 5.645s, 2042 47,000 45,834
     Ser. 07-HQ11, Class AJ, 5.508s, 2044 50,000 49,730
     FRB Ser. 06-HQ8, Class D, 5.476s, 2044 125,000 104,469
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, 5.178s, 2049 55,000 54,438
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class C, 4.958s, 2049 50,000 51,300
     FRB Ser. 13-C6, Class D, 4.348s, 2046 110,000 94,149
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C25, Class AJ, 5.758s, 2043 75,000 75,000
WF-RBS Commercial Mortgage Trust
     FRB Ser. 12-C7, Class C, 4.837s, 2045 181,000 180,910
     Ser. 14-C19, Class C, 4.646s, 2047 23,000 22,009
     Ser. 13-C18, Class AS, 4.387s, 2046 63,000 67,630
     Ser. 13-UBS1, Class AS, 4.306s, 2046 48,000 51,252
     FRB Ser. 13-C17, Class XA, IO, 1.553s, 2046 1,431,716 96,927
     FRB Ser. 14-C19, Class XA, IO, 1.273s, 2047 1,150,550 74,038
     FRB Ser. 14-C22, Class XA, IO, 0.95s, 2057 1,201,988 66,230
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 13-C16, Class D, 4.981s, 2046 89,000 79,326
     FRB Ser. 12-C9, Class XA, IO, 2.16s, 2045 897,071 80,808
     FRB Ser. 11-C5, Class XA, IO, 1.935s, 2044 856,160 60,907
     FRB Ser. 12-C10, Class XA, IO, 1.74s, 2045 1,520,859 123,098
     FRB Ser. 13-C12, Class XA, IO, 1.409s, 2048 248,350 16,157
4,951,779
Residential mortgage-backed securities (non-agency) (0.8%)
APS Resecuritization Trust 144A FRB Ser. 15-1, Class 2M, 0.569s, 2054 100,000 62,000
BCAP, LLC Trust 144A FRB Ser. 10-RR11, Class 6A2, 2.764s, 2036 140,051 75,753
Countrywide Alternative Loan Trust
     FRB Ser. 05-27, Class 2A2, 1.922s, 2035 55,712 43,468
     FRB Ser. 06-OA7, Class 1A2, 1.262s, 2046 356,042 256,350
     FRB Ser. 06-OA2, Class A5, 0.662s, 2046 181,393 131,510
Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, 7.177s, 2028 225,000 228,358
Morgan Stanley Resecuritization Trust 144A
     FRB Ser. 15-R7, Class 2B, 2.741s, 2035 126,627 50,651
     Ser. 15-R4, Class CB1, 0.598s, 2047 80,000 57,200
Nomura Resecuritization Trust 144A FRB Ser. 15-1R, Class 6A9, 0.677s, 2047 160,000 84,800
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 04-AR12, Class A2B, 0.896s, 2044 355,412 317,276
1,307,366
Total mortgage-backed securities (cost $6,743,183) $6,303,223

ASSET-BACKED SECURITIES (2.7%)(a)
Principal amount Value
Station Place Securitization Trust
     FRB Ser. 16-1, Class A, 1.436s, 2017 $292,000 $292,000
     FRB Ser. 14-3, Class A, 1.056s, 2016 2,682,000 2,682,000
Station Place Securitization Trust 144A FRB Ser. 14-2, Class A, 1.055s, 2016 1,712,000 1,712,000
Total asset-backed securities (cost $4,686,000) $4,686,000

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (1.0%)(a)
Principal amount/units Value
Argentina (Republic of) sr. unsec. unsub. notes Ser. LOC, 8.28s, 2033 (Argentina) $667,370 $690,728
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033 (Argentina) (In default)(NON) 25,237 29,685
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10 7/8s, 2021 (Argentina) 350,000 372,313
Russia (Federation of) 144A sr. unsec. unsub. bonds 5 5/8s, 2042 (Russia) 600,000 586,500
Total foreign government and agency bonds and notes (cost $1,558,087) $1,679,226

PURCHASED OPTIONS OUTSTANDING (0.6%)(a)
Expiration Contract
date/strike price amount Value
SPDR S&P 500 ETF Trust (Put) Feb-17/$156.00 $36,198 $201,405
SPDR S&P 500 ETF Trust (Put) Jan-17/145.00 34,894 124,403
SPDR S&P 500 ETF Trust (Put) Dec-16/164.00 36,197 208,181
SPDR S&P 500 ETF Trust (Put) Nov-16/170.00 36,145 233,289
SPDR S&P 500 ETF Trust (Put) Oct-16/163.00 36,304 168,135
SPDR S&P 500 ETF Trust (Put) Sep-16/153.00 34,894 90,635
Total purchased options outstanding (cost $1,335,300) $1,026,048

SENIOR LOANS (0.2%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11 1/4s, 2017 $243,508 $212,004
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 10 3/4s, 2017 19,900 16,318
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 59,540 40,636
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 73,500 61,501
Total senior loans (cost $384,090) $330,459

PREFERRED STOCKS (0.1%)(a)
Shares Value
HSBC USA, Inc. $0.88 pfd. 6,280 $129,933
M/I Homes, Inc. Ser. A, $2.438 pfd. 1,087 27,251
Total preferred stocks (cost $162,972) $157,184

CONVERTIBLE BONDS AND NOTES (—%)(a)
Principal amount Value
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $35,000 $34,475
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018 20,000 8,075
Total convertible bonds and notes (cost $52,091) $42,550

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
EPR Properties Ser. C, $1.438 cv. pfd.(R) 1,550 $38,663
Total convertible preferred stocks (cost $34,286) $38,663

INVESTMENT COMPANIES (—%)(a)
Shares Value
Hercules Capital, Inc. 887 $9,890
Medley Capital Corp. 1,780 10,288
Solar Capital, Ltd. 721 12,437
Total investment companies (cost $42,884) $32,615

SHORT-TERM INVESTMENTS (28.8%)(a)
Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 0.57%(d) Shares 636,995 $636,995
Putnam Short Term Investment Fund 0.41%(AFF) Shares 33,912,995 33,912,995
SSgA Prime Money Market Fund Class N 0.37%(P) Shares 980,000 980,000
U.S. Treasury Bills 0.30%, May 19, 2016(SEG)(SEGSF) $739,000 738,519
U.S. Treasury Bills 0.30%, May 12, 2016(SEG)(SEGSF)(SEGCCS) 1,603,000 1,602,073
U.S. Treasury Bills 0.32%, May 5, 2016(SEG)(SEGSF)(SEGCCS) 1,995,000 1,994,025
U.S. Treasury Bills 0.11%, April 21, 2016(SEG)(SEGSF) 449,000 448,818
U.S. Treasury Bills 0.07%, April 14, 2016(SEG)(SEGSF)(SEGCCS) 5,069,000 5,067,288
U.S. Treasury Bills 0.07%, April 7, 2016(SEG)(SEGSF)(SEGCCS) 4,104,000 4,102,967
Total short-term investments (cost $49,485,654) $49,483,680

TOTAL INVESTMENTS
Total investments (cost $198,801,681)(b) $196,552,449













FORWARD CURRENCY CONTRACTS at 2/29/16 (aggregate face value $40,195,203) (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 $140,224 $140,757 $533
British Pound Buy 3/16/16 248,594 252,243 (3,649)
British Pound Sell 3/16/16 248,594 251,474 2,880
Canadian Dollar Sell 4/20/16 273,776 266,409 (7,367)
Euro Buy 3/16/16 114,922 130,214 (15,292)
Hong Kong Dollar Sell 5/18/16 259,964 259,021 (943)
Japanese Yen Buy 5/18/16 253,047 252,133 914
Mexican Peso Sell 4/20/16 78,128 56,251 (21,877)
New Zealand Dollar Buy 4/20/16 18,856 19,239 (383)
Norwegian Krone Sell 3/16/16 229,622 229,317 (305)
South Korean Won Sell 5/18/16 245,860 245,797 (63)
Swedish Krona Sell 3/16/16 133,322 134,846 1,524
Barclays Bank PLC
Australian Dollar Sell 4/20/16 131,607 131,728 121
British Pound Buy 3/16/16 128,195 139,666 (11,471)
British Pound Sell 3/16/16 128,195 127,677 (518)
Canadian Dollar Sell 4/20/16 138,218 134,510 (3,708)
Euro Buy 3/16/16 651,550 664,862 (13,312)
Hong Kong Dollar Sell 5/18/16 430,495 430,423 (72)
Mexican Peso Buy 4/20/16 167,507 178,186 (10,679)
New Zealand Dollar Buy 4/20/16 507,935 515,701 (7,766)
Norwegian Krone Sell 3/16/16 251,763 254,691 2,928
Singapore Dollar Sell 5/18/16 35,987 35,530 (457)
Swedish Krona Sell 3/16/16 5,621 6,290 669
Citibank, N.A.
British Pound Buy 3/16/16 359,668 382,810 (23,142)
Canadian Dollar Sell 4/20/16 141,323 137,550 (3,773)
Danish Krone Sell 3/16/16 193,908 189,955 (3,953)
Euro Buy 3/16/16 408,974 416,162 (7,188)
Mexican Peso Sell 4/20/16 157,872 138,997 (18,875)
New Zealand Dollar Buy 4/20/16 415,034 410,071 4,963
Singapore Dollar Sell 5/18/16 11,073 10,694 (379)
South African Rand Buy 4/20/16 14,002 10,932 3,070
South Korean Won Buy 5/18/16 256,349 263,340 (6,991)
South Korean Won Sell 5/18/16 256,057 265,327 9,270
Credit Suisse International
Australian Dollar Sell 4/20/16 10,896 21,891 10,995
British Pound Buy 3/16/16 265,297 280,853 (15,556)
British Pound Sell 3/16/16 265,297 286,203 20,906
Canadian Dollar Sell 4/20/16 143,392 139,622 (3,770)
Euro Sell 3/16/16 245,732 216,626 (29,106)
Hong Kong Dollar Sell 5/18/16 525,046 524,038 (1,008)
Japanese Yen Buy 5/18/16 2,723,778 2,537,937 185,841
New Taiwan Dollar Sell 5/18/16 251,173 250,028 (1,145)
New Zealand Dollar Buy 4/20/16 62,679 63,873 (1,194)
Norwegian Krone Sell 3/16/16 135,166 126,014 (9,152)
Swedish Krona Sell 3/16/16 2,291 2,689 398
Deutsche Bank AG
Czech Koruna Sell 3/16/16 284,481 279,475 (5,006)
Euro Buy 3/16/16 2,222,039 2,174,578 47,461
Japanese Yen Buy 5/18/16 258,971 260,647 (1,676)
Japanese Yen Sell 5/18/16 276,140 257,401 (18,739)
New Zealand Dollar Buy 4/20/16 269,440 265,066 4,374
Norwegian Krone Sell 3/16/16 65,170 66,107 937
Goldman Sachs International
British Pound Buy 3/16/16 149,769 162,289 (12,520)
British Pound Sell 3/16/16 149,769 149,163 (606)
Canadian Dollar Buy 4/20/16 57,727 70,092 (12,365)
Euro Buy 3/16/16 631,743 652,160 (20,417)
Euro Sell 3/16/16 631,743 634,485 2,742
Japanese Yen Buy 5/18/16 5,365 24,252 (18,887)
New Zealand Dollar Buy 4/20/16 515,491 508,711 6,780
Norwegian Krone Buy 3/16/16 281,717 273,841 7,876
Norwegian Krone Sell 3/16/16 281,717 282,657 940
Singapore Dollar Sell 5/18/16 6,885 6,794 (91)
South African Rand Buy 4/20/16 14,002 12,355 1,647
Swedish Krona Sell 3/16/16 518,294 522,999 4,705
HSBC Bank USA, National Association
British Pound Buy 3/16/16 543,400 566,513 (23,113)
Canadian Dollar Sell 4/20/16 90,396 87,980 (2,416)
Euro Buy 3/16/16 470,352 474,478 (4,126)
Hong Kong Dollar Sell 5/18/16 259,642 258,727 (915)
Japanese Yen Buy 5/18/16 1,385,741 1,291,284 94,457
JPMorgan Chase Bank N.A.
Australian Dollar Sell 4/20/16 389,195 385,642 (3,553)
British Pound Buy 3/16/16 254,858 263,563 (8,705)
British Pound Sell 3/16/16 254,858 258,791 3,933
Canadian Dollar Buy 4/20/16 223,663 221,209 2,454
Euro Buy 3/16/16 1,355,011 1,343,306 11,705
Hong Kong Dollar Sell 5/18/16 265,095 265,010 (85)
Japanese Yen Buy 5/18/16 252,344 253,488 (1,144)
Mexican Peso Buy 4/20/16 47,617 49,527 (1,910)
New Zealand Dollar Buy 4/20/16 722,581 722,843 (262)
Norwegian Krone Sell 3/16/16 600,603 602,006 1,403
Singapore Dollar Sell 5/18/16 46,989 43,114 (3,875)
South Korean Won Buy 5/18/16 2,420 2,029 391
Swedish Krona Sell 3/16/16 116,354 118,431 2,077
Swiss Franc Sell 3/16/16 1,399,493 1,365,316 (34,177)
Royal Bank of Scotland PLC (The)
Australian Dollar Sell 4/20/16 145,423 144,104 (1,319)
British Pound Buy 3/16/16 221,313 237,580 (16,267)
Canadian Dollar Buy 4/20/16 232,901 235,955 (3,054)
Euro Buy 3/16/16 1,496,704 1,514,552 (17,848)
Euro Sell 3/16/16 1,496,704 1,479,259 (17,445)
Japanese Yen Buy 5/18/16 275,590 256,928 18,662
New Zealand Dollar Buy 4/20/16 492,956 502,806 (9,850)
Norwegian Krone Sell 3/16/16 483,293 479,067 (4,226)
Swedish Krona Sell 3/16/16 245,749 246,310 561
State Street Bank and Trust Co.
Canadian Dollar Sell 4/20/16 557,382 538,147 (19,235)
Israeli Shekel Buy 4/20/16 6,723 6,691 32
New Taiwan Dollar Sell 5/18/16 251,173 249,811 (1,362)
South Korean Won Sell 5/18/16 6,266 6,376 110
Swedish Krona Sell 3/16/16 64,026 63,201 (825)
UBS AG
Australian Dollar Buy 4/20/16 468,601 470,385 (1,784)
British Pound Buy 3/16/16 512,082 546,734 (34,652)
British Pound Sell 3/16/16 512,082 542,453 30,371
Canadian Dollar Sell 4/20/16 194,762 186,426 (8,336)
Euro Buy 3/16/16 2,197,553 2,129,558 67,995
Japanese Yen Buy 5/18/16 44,372 41,399 2,973
New Zealand Dollar Buy 4/20/16 250,715 257,351 (6,636)
Swedish Krona Sell 3/16/16 32,007 31,593 (414)
Swiss Franc Buy 3/16/16 520,113 507,400 12,713
WestPac Banking Corp.
Australian Dollar Sell 4/20/16 272,543 266,319 (6,224)
Canadian Dollar Sell 4/20/16 617,474 600,912 (16,562)
Euro Buy 3/16/16 459,361 466,245 (6,884)
Japanese Yen Buy 5/18/16 1,586,779 1,478,735 108,044
Total $109,750












FUTURES CONTRACTS OUTSTANDING at 2/29/16 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro STOXX 50 Index (Long) 75 $2,393,815             Mar-16 $(251,090)
Euro-Bobl 5 yr (Long) 36 5,221,552             Mar-16 58,143
Euro-Bund 10 yr (Long) 30 5,436,424             Mar-16 208,042
Euro-Buxl 30 yr (Long) 21 3,879,057             Mar-16 349,931
Euro-Schatz 2 yr (Long) 8 974,235             Mar-16 1,590
Japanese Government Bond 10 yr (Long) 19 25,640,016             Mar-16 579,588
Russell 2000 Index Mini (Short) 28 2,888,760             Mar-16 295,064
S&P 500 Index E-Mini (Short) 34 3,280,150             Mar-16 32,753
U.K. Gilt 10 yr (Long) 31 5,260,095             Jun-16 25,813
U.S. Treasury Bond 30 yr (Long) 17 2,797,031             Jun-16 (36,690)
U.S. Treasury Bond Ultra 30 yr (Long) 16 2,770,500             Jun-16 (38,782)
U.S. Treasury Bond Ultra 30 yr (Short) 1 173,156             Jun-16 2,310
U.S. Treasury Note 2 yr (Long) 32 6,993,500             Jun-16 (8,251)
U.S. Treasury Note 2 yr (Short) 1 218,547             Jun-16 248
U.S. Treasury Note 5 yr (Long) 61 7,380,047             Jun-16 (3,934)
U.S. Treasury Note 5 yr (Short) 19 2,298,703             Jun-16 1,150
U.S. Treasury Note 10 yr (Long) 26 3,393,406             Jun-16 (20,013)
U.S. Treasury Note 10 yr (Short) 176 22,970,750             Jun-16 135,314
Total $1,331,186












WRITTEN OPTIONS OUTSTANDING at 2/29/16 (premiums $94,757) (Unaudited)


Expiration       Contract
date/strike price       amount Value
SPDR S&P 500 ETF Trust (Call) Mar-16/$202.50        $53,873 $24,163
SPDR S&P 500 ETF Trust (Call) Mar-16/203.00        32,359 7,947
SPDR S&P 500 ETF Trust (Call) Mar-16/200.50        32,319 16,351
SPDR S&P 500 ETF Trust (Call) Mar-16/197.00        32,457 32,138
SPDR S&P 500 ETF Trust (Call) Mar-16/198.00        32,084 7,671
Total $88,270












TBA SALE COMMITMENTS OUTSTANDING at 2/29/16 (proceeds receivable $2,053,594) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3s, March 1, 2046 $2,000,000       3/14/16 $2,051,094
Total $2,051,094















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/29/16 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$14,638,700 $461,794      9/16/25 2.60% 3 month USD-LIBOR-BBA $(1,100,443)
7,200,000 (E) (779)     3/16/21 3 month USD-LIBOR-BBA 1.70% 193,340
2,442,000 (E) (1,979)     3/16/21 1.70% 3 month USD-LIBOR-BBA (67,818)
48,300,000 (E) (45,549)     3/16/26 3 month USD-LIBOR-BBA 2.20% 2,778,214
5,056,000 (E) 4,625      3/16/26 2.20% 3 month USD-LIBOR-BBA (290,964)
900,000 (E) (6,841)     3/16/46 3 month USD-LIBOR-BBA 2.65% 113,719
765,000 (E) 5,586      3/16/46 2.65% 3 month USD-LIBOR-BBA (96,890)
5,900,000 (E) (5,804)     3/16/18 3 month USD-LIBOR-BBA 1.20% 35,249
8,867,000 (E) 9,154      3/16/18 1.20% 3 month USD-LIBOR-BBA (52,543)
268,800 (E) 2,487      3/16/26 1.83% 3 month USD-LIBOR-BBA (3,788)
173,700 (E) (1,346)     3/16/18 3 month USD-LIBOR-BBA 1.19% (172)
95,700 (E) 218      3/16/21 3 month USD-LIBOR-BBA 1.115% 52
Total$421,566     $1,507,956
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/29/16 (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.
$3,800,000 $—      9/21/21 (2.305%) USA Non Revised Consumer Price Index- Urban (CPI-U) $(396,986)
4,000,000 —      6/10/24 (2.50%) USA Non Revised Consumer Price Index- Urban (CPI-U) (479,248)
1,000,000 —      11/7/24 (2.2625%) USA Non Revised Consumer Price Index- Urban (CPI-U) (89,341)
1,000,000 —      12/8/24 (2.075%) USA Non Revised Consumer Price Index- Urban (CPI-U) (67,356)
2,000,000 —      9/8/25 1.765% USA Non Revised Consumer Price Index- Urban (CPI-U) 35,860
baskets 179,434 —      1/25/17 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF7) of common stocks 166,988
units 4,570 —      1/25/17 3 month USD-LIBOR-BBA minus 0.07% Russell 1000 Total Return Index (815,441)
Barclays Bank PLC
$2,926,805 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 20,245
3,700,000 —      5/8/23 (2.59%) USA Non Revised Consumer Price Index- Urban (CPI-U) (512,461)
3,600,000 —      7/19/23 (2.569%) USA Non Revised Consumer Price Index- Urban (CPI-U) (465,984)
78,313 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 533
Citibank, N.A.
1,500,000 —      8/7/22 2.515% USA Non Revised Consumer Price Index- Urban (CPI-U) 193,320
baskets 61 —      12/16/16 (3 month USD-LIBOR-BBA plus 0.42%) A basket (CGPUTQL2) of common stocks 296,371
shares 113,005 —      10/14/16 (3 month USD-LIBOR-BBA minus 0.10%) Vanguard FTSE Emerging Markets ETF 78,211
units 1,350 —      11/23/16 3 month USD-LIBOR-BBA plus 0.02% Russell 1000 Total Return Index (60,894)
Credit Suisse International
$2,600,000 —      1/9/23 (2.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) (406,318)
3,400,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (432,133)
1,600,000 —      8/8/22 (2.5325%) USA Non Revised Consumer Price Index- Urban (CPI-U) (206,424)
700,000 —      9/10/22 (2.5925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (92,847)
3,300,000 —      2/8/23 (2.81%) USA Non Revised Consumer Price Index- Urban (CPI-U) (524,918)
6,900,000 —      7/19/23 (2.57%) USA Non Revised Consumer Price Index- Urban (CPI-U) (878,701)
227,879 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,837
shares 94,529 —      7/1/16 (3 month USD-LIBOR-BBA plus 0.20%) Vanguard FTSE Emerging Markets ETF (101,969)
shares 18,900 —      6/8/16 (3 month USD-LIBOR-BBA plus 0.20%) Vanguard FTSE Emerging Markets ETF (41,815)
shares 37,583 —      9/21/16 (3 month USD-LIBOR-BBA plus 0.20%) Vanguard FTSE Emerging Markets ETF (76,201)
Deutsche Bank AG
$500,000 —      11/7/21 (2.43%) USA Non Revised Consumer Price Index- Urban (CPI-U) (60,448)
Goldman Sachs International
1,500,000 —      10/5/22 (2.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) (222,420)
1,700,000 —      4/5/23 (2.7475%) USA Non Revised Consumer Price Index- Urban (CPI-U) (257,805)
4,400,000 —      7/19/23 (2.58%) USA Non Revised Consumer Price Index- Urban (CPI-U) (563,596)
2,900,000 —      4/9/25 (2.055%) USA Non Revised Consumer Price Index- Urban (CPI-U) (131,109)
JPMorgan Chase Bank N.A.
10,900,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (1,404,793)
1,400,000 —      8/7/25 (1.92%) USA Non Revised Consumer Price Index- Urban (CPI-U) (46,368)
shares 11,620 —      7/14/16 (3 month USD-LIBOR-BBA plus 0.26%) Vanguard FTSE Emerging Markets ETF 7,899
Total$—     $(7,534,312)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/29/16 (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)
Barclays Bank PLC
     EM Series 24 Index BBB/P $1,575,510 $13,979,700 12/20/20 100 bp $28,216
Credit Suisse International
     CMBX NA BB Index — (3,530) 200,000 5/11/63 (500 bp) 31,431
     CMBX NA BBB- Index BBB-/P 906 69,000 5/11/63 300 bp (7,497)
     CMBX NA BBB- Index BBB-/P 5,255 363,000 5/11/63 300 bp (38,953)
     CMBX NA BBB- Index BBB-/P 464 11,000 1/17/47 300 bp (1,270)
     CMBX NA BBB- Index BBB-/P 317 11,000 1/17/47 300 bp (1,417)
     CMBX NA BBB- Index BBB-/P 443 11,000 1/17/47 300 bp (1,292)
     CMBX NA BBB- Index BBB-/P 998 17,000 1/17/47 300 bp (1,683)
     CMBX NA BBB- Index BBB-/P 654 25,000 1/17/47 300 bp (3,289)
     CMBX NA BBB- Index BBB-/P 980 34,000 1/17/47 300 bp (4,381)
     CMBX NA BBB- Index BBB-/P 1,495 42,000 1/17/47 300 bp (5,128)
     CMBX NA BBB- Index BBB-/P 2,387 57,000 1/17/47 300 bp (6,601)
     CMBX NA BBB- Index BBB-/P 8,612 78,000 1/17/47 300 bp (3,688)
     CMBX NA BBB- Index BBB-/P 3,293 96,000 1/17/47 300 bp (11,845)
     CMBX NA BBB- Index BBB-/P 25,512 192,000 1/17/47 300 bp (4,763)
Goldman Sachs International
     CMBX NA BBB- Index BBB-/P (76) 11,000 5/11/63 300 bp (1,416)
     CMBX NA BBB- Index BBB-/P 7 2,000 1/17/47 300 bp (308)
     CMBX NA BBB- Index BBB-/P 8 2,000 1/17/47 300 bp (308)
     CMBX NA BBB- Index BBB-/P 7 2,000 1/17/47 300 bp (308)
     CMBX NA BBB- Index BBB-/P 17 4,000 1/17/47 300 bp (614)
     CMBX NA BBB- Index BBB-/P 14 4,000 1/17/47 300 bp (616)
     CMBX NA BBB- Index BBB-/P 14 4,000 1/17/47 300 bp (616)
     CMBX NA BB Index — (201) 19,000 5/11/63 (500 bp) 3,120
     CMBX NA BB Index — 249 11,000 5/11/63 (500 bp) 2,172
     CMBX NA BB Index — (96) 10,000 5/11/63 (500 bp) 1,652
     CMBX NA BB Index — (68) 8,000 5/11/63 (500 bp) 1,330
     CMBX NA BB Index — 50 3,000 5/11/63 (500 bp) 575
     CMBX NA BB Index — 31 3,000 5/11/63 (500 bp) 555
     CMBX NA BB Index — 4 3,000 5/11/63 (500 bp) 528
     CMBX NA BB Index — (4) 2,000 1/17/47 (500 bp) 439
     CMBX NA BBB- Index BBB-/P (30) 3,000 5/11/63 300 bp (395)
     CMBX NA BBB- Index BBB-/P (32) 4,000 5/11/63 300 bp (519)
     CMBX NA BBB- Index BBB-/P (40) 4,000 5/11/63 300 bp (527)
     CMBX NA BBB- Index BBB-/P (16) 4,000 5/11/63 300 bp (503)
     CMBX NA BBB- Index BBB-/P 143 1,000 1/17/47 300 bp (14)
     CMBX NA BBB- Index BBB-/P 190 9,000 1/17/47 300 bp (1,229)
     CMBX NA BBB- Index BBB-/P 475 11,000 1/17/47 300 bp (1,260)
     CMBX NA BBB- Index BBB-/P 443 11,000 1/17/47 300 bp (1,292)
     CMBX NA BBB- Index BBB-/P 443 11,000 1/17/47 300 bp (1,292)
     CMBX NA BBB- Index BBB-/P 499 12,000 1/17/47 300 bp (1,393)
     CMBX NA BBB- Index BBB-/P 389 13,000 1/17/47 300 bp (1,661)
     CMBX NA BBB- Index BBB-/P 515 17,000 1/17/47 300 bp (2,166)
     CMBX NA BBB- Index BBB-/P 3,190 23,000 1/17/47 300 bp (436)
     CMBX NA BBB- Index BBB-/P 5,311 40,000 1/17/47 300 bp (996)
     CMBX NA BBB- Index BBB-/P 10,148 51,000 1/17/47 300 bp 2,106
JPMorgan Securities LLC
     CMBX NA BBB- Index — (124) 23,000 5/11/63 (300 bp) 2,677
     CMBX NA BBB- Index — (528) 22,000 5/11/63 (300 bp) 2,151
     CMBX NA BBB- Index — (283) 11,000 5/11/63 (300 bp) 1,056
     CMBX NA BBB- Index BBB-/P 609 11,000 1/17/47 300 bp (1,126)
     CMBX NA BBB- Index BBB-/P 633 12,000 1/17/47 300 bp (1,259)
     CMBX NA BBB- Index BBB-/P 340 13,000 1/17/47 300 bp (1,710)
     CMBX NA BBB- Index BBB-/P 5,289 40,000 1/17/47 300 bp (1,019)
Total$1,650,816$(36,782)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 29, 2016. Securities rated by Putnam are indicated by "/P."  











CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/29/16 (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 $(50,224) $14,587,000 12/20/20 500 bp $(27,514)
  NA HY Series 25 Index B+/P 4,968 6,520,000 12/20/20 500 bp 11,118
  NA IG Series 25 Index BBB+/P (20,200) 5,450,000 12/20/20 100 bp (28,249)
Total$(65,456)$(44,645)
*   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 Februrary 29, 2016. Securities rated by Putnam are indicated by "/P."   










Key to holding's currency abbreviations
CAD Canadian Dollar
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
BKNT Bank Note
bp Basis Points
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
GMTN Global Medium Term Notes
IO Interest Only
MTN Medium Term Notes
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from June 1, 2015 through February 29, 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 $172,045,469.
(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 $198,958,619, resulting in gross unrealized appreciation and depreciation of $7,711,738 and $10,117,908, respectively, or net unrealized depreciation of $2,406,170.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Money Market Liquidity Fund* $10,139,420 $29,278,619 $39,418,039 $5,635 $—
Putnam Short Term Investment Fund* 41,010,048 33,748,909 40,845,962 60,177 33,912,995
Totals $51,149,468 $63,027,528 $80,264,001 $65,812 $33,912,995
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(d) Affiliated company. The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund's agent; the fund will bear the risk of loss with respect to the investment of the cash collateral.
The fund received cash collateral of $636,995, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $600,871. Certain of these securities were sold prior to the close of the reporting period.
(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.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
At the close of the reporting period, the fund maintained liquid assets totaling $132,691,806 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 a security owned, to enhance the return on securities owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates, and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates, and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, to gain exposure to specific sectors or industries, and to generate additional income for the portfolio.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk, and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions 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 posted to the fund which cannot be sold or repledged totaled $122,939 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $9,441,712 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $9,501,192 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 $752,754 $1,429,500 $—
    Capital goods 4,211,697 699,960 —
    Communication services 1,937,254 1,256,805 —
    Conglomerates — 73,547 —
    Consumer cyclicals 7,659,031 2,626,174 —
    Consumer staples 5,542,399 1,696,859 —
    Energy 2,323,873 1,365,473 —
    Financials 13,463,279 3,705,303 —
    Health care 6,994,055 1,623,591 —
    Technology 7,245,851 523,577 —
    Transportation 974,479 921,743 —
    Utilities and power 1,559,115 671,316 —
Total common stocks 52,663,787 16,593,848 —
Asset-backed securities — 4,394,000 292,000
Commodity linked notes — 6,813,553 —
Convertible bonds and notes — 42,550 —
Convertible preferred stocks — 38,663 —
Corporate bonds and notes — 41,837,581 104,500
Foreign government and agency bonds and notes — 1,679,226 —
Investment companies 32,615 — —
Mortgage-backed securities — 6,151,294 151,929
Preferred stocks 129,933 27,251 —
Purchased options outstanding — 1,026,048 —
Senior loans — 330,459 —
U.S. government and agency mortgage obligations — 14,759,532 —
Short-term investments 34,892,995 14,590,685 —
Totals by level $87,719,330 $108,284,690 $548,429



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $109,750 $—
Futures contracts 1,331,186 — —
Written options outstanding — (88,270) —
TBA sale commitments — (2,051,094) —
Interest rate swap contracts — 1,086,390 —
Total return swap contracts — (7,534,312) —
Credit default contracts — (1,666,787) —
Totals by level $1,331,186 $(10,144,323) $—


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 May 31, 2015Accrued discounts/
premiums		Realized
gain/
(loss)		Change in net unrealized appreciation/
(depreciation)#		Cost of purchasesProceeds
from sales		Total
transfers into
Level 3†		Total
transfers
out of
Level 3†		Balance as of February 29, 2016
Asset-backed securities$2,682,000$—$—$—$292,000$—$—$(2,682,000)$292,000
Corporate bonds and notes$104,500(5,114)—5,114————$104,500
Mortgage-backed securities$200,975(2,153)(4,253)(18,120)174,113(198,633)——$151,929
Totals $2,987,475$(7,267)$(4,253)$(13,006)$466,113$(198,633)$—$(2,682,000)$548,429


† Transfers during the reporting period are accounted for using the end of period market value and include valuations provided by a single broker quote. Such valuations involve certain inputs and estimates that were unobservable at the end of the reporting period.
# Includes $(13,315) related to Level 3 securities still held at period end. Total change in unrealized appreciation/(depreciation) for securities (including Level 1 and Level 2) can be found in the Statement of operations.
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 $81,046 $1,747,833
Foreign exchange contracts 680,355 570,605
Equity contracts 1,903,334 1,435,680
Interest rate contracts 4,794,593 9,441,205
Total $7,459,328 $13,195,323


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)$220,000
Written equity option contracts (contract amount)$210,000
Futures contracts (number of contracts)600
Forward currency contracts (contract amount)$74,400,000
Centrally cleared interest rate swap contracts (notional)$105,500,000
OTC total return swap contracts (notional)$155,500,000
OTC credit default contracts (notional)$16,800,000
Centrally cleared credit default contracts (notional)$36,400,000
   
  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§   $—  $—  $74,517  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—    74,517 
  OTC Total return swap contracts*#   202,848  20,778  —  567,902  1,837  —  —  —  7,899  —  —  —  —  —  —    801,264 
  OTC Credit default contracts*#   —  —  —  —  34,961  —  10,406  —  —  6,819  —  —  —  —  —    52,186 
  Centrally cleared credit default contracts§   —  —  7,043  —  —  —  —  —  —  —  —  —  —  —  —    7,043 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  152,383  —  —  —  —    152,383 
  Forward currency contracts#   5,851  3,718  —  17,303  218,140  52,772  24,690  94,457  21,963  —  —  19,223  142  114,052  108,044    680,355 
  Purchased options#   —  —  —  602,829  —  —  —  —  423,219  —  —  —  —  —  —    1,026,048 
                                       
  Total Assets   $208,699  $24,496  $81,560  $1,188,034  $254,938  $52,772  $35,096  $94,457  $453,081  $6,819  $152,383  $19,223  $142  $114,052  $108,044    $2,793,796 
                                       
  Liabilities:                                    
  Centrally cleared interest rate swap contracts§   —  —  23,773  —  —  —    —  —  —  —  —  —  —  —    23,773 
  OTC Total return swap contracts*#   1,848,372  978,445  —  60,894  2,761,326  60,448  1,174,930  —  1,451,161  —  —  —  —  —  —    8,335,576 
  OTC Credit default contracts*#   —  1,547,294  —  —  143,123  —  37,382  —  —  11,985  —  —  —  —  —    1,739,784 
  Centrally cleared credit default contracts§   —  —  32,880  —  —  —  —  —  —  —  —  —  —  —  —    32,880 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  24,750  —  —  —  —    24,750 
  Forward currency contracts#   49,879  47,983  —  64,301  60,931  25,421  64,886  30,570  53,711  —  —  70,009  21,422  51,822  29,670    570,605 
  Written options#   80,599  —  —  —  —  —  —  —  7,671  —  —  —  —  —  —    88,270 
                                       
  Total Liabilities   $1,978,850  $2,573,722  $56,653  $125,195  $2,965,380  $85,869  $1,277,198  $30,570  $1,512,543  $11,985  $24,750  $70,009  $21,422  $51,822  $29,670    $10,815,638 
                                       
  Total Financial and Derivative Net Assets   $(1,770,151) $(2,549,226) $24,907  $1,062,839  $(2,710,442) $(33,097) $(1,242,102) $63,887  $(1,059,462) $(5,166) $127,633  $(50,786) $(21,280) $62,230  $78,374    $(8,021,842)
  Total collateral received (pledged)##†   $(1,727,295) $(2,549,226) $—  $980,000  $(2,710,442) $—  $(1,242,102) $—  $(1,030,553) $—  $—  $—  $—  $62,230  $—     
  Net amount   $(42,856) $—  $24,907  $82,839  $—  $(33,097) $—  $63,887  $(28,909) $(5,166) $127,633  $(50,786) $(21,280) $—  $78,374     
                                       
* Excludes premiums, if any.
                                       
†  Additional collateral may be required from certain brokers based on individual agreements.
                                       
# Covered by master netting agreement.
                                       
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                       
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

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



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

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

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

Putnam Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: April 28, 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: April 28, 2016

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: April 28, 2016