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: August 31, 2017

Date of reporting period: November 30, 2016

Item 1. Schedule of Investments:

Putnam Retirement Income Fund Lifestyle 2
The fund's portfolio
11/30/16 (Unaudited)
INVESTMENT COMPANIES (44.9%)(a)
	Shares	Value
iShares MSCI Japan ETF (Japan)	2,475	$123,478
Putnam Absolute Return 100 Fund Class Y(AFF)	65,480	662,006
Putnam Absolute Return 300 Fund Class Y(AFF)	158,115	1,557,436
Putnam Absolute Return 500 Fund Class Y(AFF)	238,973	2,580,904
Putnam Absolute Return 700 Fund Class Y(AFF)	33,883	384,232
Putnam Government Money Market Fund Class G(AFF)	523,854	523,854
Vanguard REIT ETF	98	7,878
Total investment companies (cost $6,033,957)		$5,839,788
COMMON STOCKS (15.9%)(a)
	Shares	Value
Basic materials (0.5%)
BASF SE (Germany)	120	$10,277
Boliden AB (Sweden)	197	5,069
Cabot Corp.	17	866
Celanese Corp. Ser. A	43	3,411
Covestro AG (Germany)	31	1,989
Evonik Industries AG (Germany)	187	5,211
Fortescue Metals Group, Ltd. (Australia)	315	1,365
Graphic Packaging Holding Co.	159	1,999
Hitachi Chemical Co., Ltd. (Japan)	100	2,194
Newcrest Mining, Ltd. (Australia)	21	303
Newmont Mining Corp.	265	8,597
Reliance Steel & Aluminum Co.	28	2,271
Skanska AB (Sweden)	171	3,931
Steel Dynamics, Inc.	62	2,200
Stora Enso OYJ Class R (Finland)	304	2,934
UPM-Kymmene OYJ (Finland)	146	3,332
voestalpine AG (Austria)	43	1,633
W.R. Grace & Co.	19	1,240
Yara International ASA (Norway)	101	3,744
		62,566
Capital goods (0.8%)
ACS Actividades de Construccion y Servicios SA (Spain)	119	3,495
Allegion PLC (Ireland)	34	2,275
Allison Transmission Holdings, Inc.	221	7,331
AO Smith Corp.	46	2,237
Berry Plastics Group, Inc.(NON)	43	2,140
BWX Technologies, Inc.	47	1,841
Carlisle Cos., Inc.	17	1,907
Crane Co.	11	808
Crown Holdings, Inc.(NON)	182	9,899
Fluor Corp.	33	1,766
Honeywell International, Inc.	49	5,583
Ingersoll-Rand PLC	77	5,740
Jacobs Engineering Group, Inc.(NON)	29	1,798
KBR, Inc.	49	819
Kone OYJ Class B (Finland)	13	573
Northrop Grumman Corp.	50	12,483
OSRAM Licht AG (Germany)	43	2,190
Quanta Services, Inc.(NON)	174	5,867
Raytheon Co.	82	12,262
Thales SA (France)	21	2,048
Vinci SA (France)	76	4,917
Waste Management, Inc.	99	6,882
Xylem, Inc.	56	2,888
		97,749
Communication services (0.5%)
BT Group PLC (United Kingdom)	551	2,462
Cable One, Inc.	1	591
Equinix, Inc.(R)	17	5,759
Eutelsat Communications SA (France)	26	468
Juniper Networks, Inc.	381	10,493
NICE, Ltd. (Israel)	19	1,252
Orange SA (France)	173	2,518
Sky PLC (United Kingdom)	83	811
Telenor ASA (Norway)	221	3,259
Telstra Corp., Ltd. (Australia)	1,249	4,658
Verizon Communications, Inc.	541	26,996
Vodafone Group PLC (United Kingdom)	613	1,482
		60,749
Conglomerates (0.1%)
Siemens AG (Germany)	70	7,903
		7,903
Consumer cyclicals (2.0%)
Aggreko PLC (United Kingdom)	58	593
Amazon.com, Inc.(NON)	31	23,268
Aristocrat Leisure, Ltd. (Australia)	173	1,916
Berkeley Group Holdings PLC (The) (United Kingdom)	10	310
Boral, Ltd. (rights) (Australia)(F)(NON)	52	17
Boral, Ltd. (Australia)	117	435
Carter's, Inc.	64	5,843
Christian Dior SE (France)	20	3,884
Cie Generale des Etablissements Michelin (France)	16	1,713
Clorox Co. (The)	56	6,471
Compass Group PLC (United Kingdom)	315	5,393
Continental AG (Germany)	6	1,069
Discovery Communications, Inc. Class A(NON)	540	14,629
Electrolux AB Ser. B (Sweden)	90	2,099
Euronet Worldwide, Inc.(NON)	18	1,291
Fiat Chrysler Automobiles NV (Italy)	410	3,164
Flight Centre Travel Group, Ltd. (Australia)	42	1,036
Global Payments, Inc.	13	891
Hakuhodo DY Holdings, Inc. (Japan)	100	1,161
Harvey Norman Holdings, Ltd. (Australia)	973	3,413
Home Depot, Inc. (The)	154	19,928
Host Hotels & Resorts, Inc.(R)	750	13,380
Howard Hughes Corp. (The)(NON)	5	569
Hyatt Hotels Corp. Class A(NON)	14	719
Industrivarden AB Class A (Sweden)	82	1,510
International Game Technology PLC	45	1,160
Interpublic Group of Cos., Inc. (The)	207	4,982
John Wiley & Sons, Inc. Class A	10	549
KAR Auction Services, Inc.	86	3,626
Kia Motors Corp. (South Korea)	49	1,568
Kimberly-Clark Corp.	67	7,746
Kingfisher PLC (United Kingdom)	1,404	6,193
Lagardere SCA (France)	36	885
Lear Corp.	37	4,792
Liberty Interactive Corp. Class A(NON)	62	1,284
Liberty SiriusXM Group Class A(NON)	67	2,432
Lowe's Cos., Inc.	193	13,616
Macy's, Inc.	14	591
Madison Square Garden Co. (The) Class A(NON)	4	695
Marks & Spencer Group PLC (United Kingdom)	480	1,967
Masco Corp.	260	8,229
News Corp. Class A	185	2,139
Owens Corning	56	2,877
Pearson PLC (United Kingdom)	308	3,055
Peugeot SA (France)(NON)	142	2,095
Publicis Groupe SA (France)	10	648
PVH Corp.	57	6,039
Reed Elsevier PLC (United Kingdom)	105	1,803
Renault SA (France)	47	3,703
RR Donnelley & Sons Co.	26	452
RTL Group SA (Belgium)	29	1,969
Securitas AB Class B (Sweden)	28	411
ServiceMaster Global Holdings, Inc.(NON)	62	2,370
Stanley Black & Decker, Inc.	22	2,610
TABCORP Holdings, Ltd. (Australia)	1,236	4,281
Taylor Wimpey PLC (United Kingdom)	358	662
Thor Industries, Inc.	13	1,307
TransUnion(NON)	21	626
TUI AG (Germany)	63	830
Twenty-First Century Fox, Inc.	185	5,200
Urban Outfitters, Inc.(NON)	57	1,801
Vail Resorts, Inc.	13	2,059
Valeo SA (France)	63	3,506
Vantiv, Inc. Class A(NON)	65	3,668
Vista Outdoor, Inc.(NON)	17	683
Visteon Corp.	39	3,068
Wal-Mart Stores, Inc.	316	22,256
William Hill PLC (United Kingdom)	308	1,159
Wolters Kluwer NV (Netherlands)	71	2,551
World Fuel Services Corp.	22	978
WPP PLC (United Kingdom)	348	7,441
Yue Yuen Industrial Holdings, Ltd. (Hong Kong)	500	1,802
		269,066
Consumer staples (1.2%)
Altria Group, Inc.	291	18,604
Ashtead Group PLC (United Kingdom)	171	3,353
British American Tobacco PLC (United Kingdom)	157	8,610
Coca-Cola Amatil, Ltd. (Australia)	944	6,685
ConAgra Foods, Inc.	14	514
Darden Restaurants, Inc.	8	586
Diageo PLC (United Kingdom)	84	2,104
Dr. Pepper Snapple Group, Inc.	75	6,506
Estee Lauder Cos., Inc. (The) Class A	81	6,294
Hershey Co. (The)	71	6,861
Imperial Brands PLC (United Kingdom)	164	7,033
Ingredion, Inc.	21	2,465
J Sainsbury PLC (United Kingdom)	562	1,623
JM Smucker Co. (The)	38	4,786
Koninklijke Ahold Delhaize NV (Netherlands)	421	8,304
McDonald's Corp.	89	10,615
METRO AG (Germany)	62	1,851
Nestle SA (Switzerland)	85	5,719
PepsiCo, Inc.	173	17,317
Pool Corp.	14	1,409
Reckitt Benckiser Group PLC (United Kingdom)	31	2,618
Starbucks Corp.	226	13,101
Sysco Corp.	125	6,656
Tate & Lyle PLC (United Kingdom)	360	3,052
WH Group, Ltd. (Hong Kong)	4,000	3,326
WM Morrison Supermarkets PLC (United Kingdom)	900	2,449
		152,441
Energy (1.0%)
Baker Hughes, Inc.	227	14,603
BP PLC (United Kingdom)	398	2,309
Chevron Corp.	142	15,842
Exxon Mobil Corp.	307	26,801
Nabors Industries, Ltd.	320	5,152
Neste OYJ (Finland)	28	1,150
Occidental Petroleum Corp.	36	2,569
OMV AG (Austria)	201	6,511
Patterson-UTI Energy, Inc.	98	2,614
QEP Resources, Inc.	204	4,011
Repsol SA (Spain)	320	4,292
Rowan Cos. PLC Class A(NON)	166	2,958
Royal Dutch Shell PLC Class A (United Kingdom)	60	1,528
Royal Dutch Shell PLC Class B (United Kingdom)	164	4,376
Schlumberger, Ltd.	144	12,103
Superior Energy Services, Inc.	150	2,586
Total SA (France)	237	11,344
Vestas Wind Systems A/S (Denmark)	59	3,900
Woodside Petroleum, Ltd. (Australia)	108	2,362
		127,011
Financials (5.1%)
3i Group PLC (United Kingdom)	985	8,487
AerCap Holdings NV (Ireland)(NON)	24	1,028
Aflac, Inc.	77	5,496
Ageas (Belgium)	55	2,053
AGNC Investment Corp.(R)	204	3,807
Agree Realty Corp.(R)	74	3,322
Alexandria Real Estate Equities, Inc.(R)	61	6,685
Allianz SE (Germany)	54	8,573
Allied World Assurance Co. Holdings AG	38	1,779
Allstate Corp. (The)	158	11,047
Ally Financial, Inc.	132	2,563
Ameriprise Financial, Inc.	65	7,424
Annaly Capital Management, Inc.(R)	437	4,466
Aspen Insurance Holdings, Ltd.	22	1,121
AvalonBay Communities, Inc.(R)	106	17,436
AXA SA (France)	232	5,466
Banco Santander SA (Spain)	1,211	5,526
Bank of New York Mellon Corp. (The)	163	7,729
BNP Paribas SA (France)	156	9,057
Boston Properties, Inc.(R)	126	15,609
Brandywine Realty Trust(R)	103	1,581
Brixmor Property Group, Inc.(R)	69	1,680
Broadridge Financial Solutions, Inc.	26	1,683
Camden Property Trust(R)	28	2,204
Capital One Financial Corp.	17	1,429
CBRE Group, Inc. Class A(NON)	59	1,713
Chimera Investment Corp.(R)	115	1,950
Citigroup, Inc.	496	27,969
CNP Assurances (France)	151	2,652
CoreLogic, Inc.(NON)	35	1,321
Corporate Office Properties Trust(R)	36	1,030
DGB Financial Group, Inc. (South Korea)	191	1,564
Digital Realty Trust, Inc.(R)	141	13,019
Duke Realty Corp.(R)	123	3,128
DuPont Fabros Technology, Inc.(R)	180	7,319
E*Trade Financial Corp.(NON)	231	7,972
Easterly Government Properties, Inc.(R)	97	1,882
EastGroup Properties, Inc.(R)	79	5,396
EPR Properties(R)	47	3,268
Equity Commonwealth(NON)(R)	28	814
Equity Lifestyle Properties, Inc.(R)	99	6,874
Equity Residential Trust(R)	395	23,704
Essex Property Trust, Inc.(R)	62	13,387
Extra Space Storage, Inc.(R)	109	7,647
Forest City Realty Trust, Inc. Class A(R)	163	3,014
Four Corners Property Trust, Inc.(R)	188	3,606
General Growth Properties(R)	509	12,898
Getty Realty Corp.(R)	65	1,561
Goodman Group (Australia)(R)	701	3,458
Hartford Financial Services Group, Inc. (The)	141	6,644
HCP, Inc.(R)	409	12,078
Hersha Hospitality Trust(R)	133	2,683
Highwoods Properties, Inc.(R)	198	9,516
HSBC Holdings PLC (United Kingdom)	499	3,966
Investor AB Class B (Sweden)	200	6,752
JPMorgan Chase & Co.	433	34,689
Kerry Properties, Ltd. (Hong Kong)	500	1,431
Kimco Realty Corp.(R)	425	10,855
Legal & General Group PLC (United Kingdom)	150	441
Liberty Property Trust(R)	240	9,456
Lincoln National Corp.	133	8,525
Macerich Co. (The)(R)	170	11,541
Macquarie Group, Ltd. (Australia)	14	867
Mapfre SA (Spain)	489	1,467
MFA Financial, Inc.(R)	80	626
Mid-America Apartment Communities, Inc.(R)	134	12,278
Mitsubishi UFJ Financial Group, Inc. (Japan)	1,300	7,611
Monmouth Real Estate Investment Corp.(R)	112	1,572
Morgan Stanley	533	22,045
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany)	6	1,092
New World Development Co., Ltd. (Hong Kong)	3,000	3,342
NN Group NV (Netherlands)	72	2,310
Partners Group Holding AG (Switzerland)	5	2,424
Persimmon PLC (United Kingdom)	38	805
Popular, Inc. (Puerto Rico)	70	2,846
Prologis, Inc.(R)	392	19,953
Prudential Financial, Inc.	47	4,728
PS Business Parks, Inc.(R)	44	4,916
Public Storage(R)	105	21,977
Quality Care Properties, Inc.(NON)(R)	139	2,085
Raiffeisen Bank International AG (Austria)(NON)	46	838
Realty Income Corp.(R)	34	1,885
Regions Financial Corp.	380	5,145
Reinsurance Group of America, Inc.	18	2,197
Retail Properties of America, Inc. Class A(R)	47	717
Senior Housing Properties Trust(R)	70	1,264
Simon Property Group, Inc.(R)	190	34,134
Societe Generale SA (France)	137	5,875
Spirit Realty Capital, Inc.(R)	289	3,118
Starwood Property Trust, Inc.(R)	144	3,236
Summit Hotel Properties, Inc.(R)	266	3,783
Swiss Life Holding AG (Switzerland)	14	3,850
Swiss Re AG (Switzerland)	88	8,082
Synchrony Financial	134	4,631
Tanger Factory Outlet Centers, Inc.(R)	212	7,308
UBS Group AG (Switzerland)	55	875
VEREIT, Inc.(R)	271	2,247
Vornado Realty Trust(R)	150	14,663
Voya Financial, Inc.	127	4,936
Weingarten Realty Investors(R)	227	8,061
Welltower, Inc.(R)	267	16,762
Wheelock and Co., Ltd. (Hong Kong)	1,000	5,943
Woori Bank (South Korea)	83	852
WP Carey, Inc.(R)	158	9,183
Zurich Insurance Group AG (Switzerland)	5	1,307
		676,810
Health care (1.7%)
Actelion, Ltd. (Switzerland)	17	3,267
Allergan PLC(NON)	11	2,137
AmerisourceBergen Corp.	176	13,726
Amgen, Inc.	118	17,000
AstraZeneca PLC (United Kingdom)	54	2,793
Bayer AG (Germany)	39	3,660
Biogen, Inc.(NON)	19	5,587
Bruker Corp.	53	1,202
C.R. Bard, Inc.	43	9,054
Cardinal Health, Inc.	32	2,272
Celgene Corp.(NON)	33	3,911
Charles River Laboratories International, Inc.(NON)	37	2,631
Cochlear, Ltd. (Australia)	9	789
Eli Lilly & Co.	53	3,557
Fresenius SE & Co. KGaA (Germany)	3	215
Gilead Sciences, Inc.	73	5,380
GlaxoSmithKline PLC (United Kingdom)	538	10,041
Hologic, Inc.(NON)	141	5,397
Johnson & Johnson	245	27,269
McKesson Corp.	47	6,759
Novartis AG (Switzerland)	77	5,299
Novo Nordisk A/S Class B (Denmark)	8	270
Omega Healthcare Investors, Inc.(R)	272	8,013
Pfizer, Inc.	493	15,845
Roche Holding AG (Switzerland)	37	8,228
Sanofi (France)	116	9,337
Shire PLC (United Kingdom)	32	1,863
Taro Pharmaceutical Industries, Ltd. (Israel)(NON)	6	613
Teva Pharmaceutical Industries, Ltd. ADR (Israel)	57	2,149
UnitedHealth Group, Inc.	150	23,748
VCA, Inc.(NON)	27	1,690
Ventas, Inc.(R)	187	11,299
WellCare Health Plans, Inc.(NON)	26	3,563
Zoetis, Inc.	86	4,333
		222,897
Technology (2.1%)
Adobe Systems, Inc.(NON)	107	11,001
Agilent Technologies, Inc.	175	7,697
Alphabet, Inc. Class A(NON)	48	37,242
Amadeus IT Holding SA Class A (Spain)	78	3,530
Amdocs, Ltd.	102	6,015
Apple, Inc.	231	25,530
Applied Materials, Inc.	460	14,812
AtoS SE (France)	38	3,922
Brocade Communications Systems, Inc.	301	3,714
Cisco Systems, Inc.	286	8,529
Computer Sciences Corp.	138	8,367
CSRA, Inc.	57	1,825
Dell Technologies, Inc. - VMware, Inc. Class V(NON)	54	2,892
eBay, Inc.(NON)	349	9,706
Facebook, Inc. Class A(NON)	123	14,566
HP, Inc.	496	7,638
Intuit, Inc.	22	2,501
L-3 Communications Holdings, Inc.	90	14,199
LG Display Co., Ltd. (South Korea)	18	431
Maxim Integrated Products, Inc.	174	6,833
Microsoft Corp.	620	37,361
Motorola Solutions, Inc.	39	3,130
NCR Corp.(NON)	65	2,519
Nuance Communications, Inc.(NON)	120	1,945
NVIDIA Corp.	381	35,128
Samsung Electronics Co., Ltd. (South Korea)	4	5,974
Xerox Corp.	513	4,797
Xilinx, Inc.	61	3,293
		285,097
Transportation (0.4%)
A. P. Moeller-Maersck A/S (Denmark)	2	2,638
Delta Air Lines, Inc.	217	10,455
Deutsche Post AG (Germany)	241	7,527
easyJet PLC (United Kingdom)	28	347
Qantas Airways, Ltd. (Australia)	657	1,601
Royal Mail PLC (United Kingdom)	797	4,673
United Parcel Service, Inc. Class B	129	14,954
Yangzijiang Shipbuilding Holdings, Ltd. (China)	6,700	3,833
		46,028
Utilities and power (0.5%)
American Electric Power Co., Inc.	41	2,421
Centrica PLC (United Kingdom)	815	2,144
CLP Holdings, Ltd. (Hong Kong)	500	4,889
E.ON SE (Germany)	466	3,059
Edison International	83	5,708
Endesa SA (Spain)	163	3,364
Enel SpA (Italy)	1,598	6,437
Entergy Corp.	207	14,227
Gas Natural SDG SA (Spain)	23	393
Iberdrola SA (Spain)	160	961
Korea Electric Power Corp. (South Korea)	5	199
NiSource, Inc.	121	2,655
PPL Corp.	166	5,554
RWE AG (Germany)(NON)	122	1,534
UGI Corp.	178	7,974
Vectren Corp.	16	785
		62,304
Total common stocks (cost $1,884,034)		$2,070,621
U.S. TREASURY OBLIGATIONS (9.3%)(a)
	Principal amount	Value
U.S. Treasury Bonds
4.50%, 2/15/36	$30,000	$38,201
3.75%, 11/15/43(SEGCCS)	30,000	34,329
2.75%, 8/15/42(SEGCCS)	90,000	85,883
U.S. Treasury Notes
2.00%, 2/15/22	30,000	30,100
2.00%, 11/30/20(SEGSF)	130,000	131,459
1.875%, 11/30/21	120,000	119,897
1.625%, 2/15/26(SEGCCS)	80,000	75,064
1.375%, 9/30/18	200,000	200,959
1.125%, 3/31/20	90,000	88,879
1.125%, 12/31/19	200,000	198,150
0.875%, 6/15/19	60,000	59,393
0.75%, 3/31/18	90,000	89,712
0.75%, 12/31/17	60,000	59,894
Total U.S. treasury obligations (cost $1,220,453)		$1,211,920
CORPORATE BONDS AND NOTES (9.2%)(a)
	Principal amount	Value
Basic materials (1.4%)
ArcelorMittal SA sr. unsec. unsub. bonds 10.85%, 6/1/19 (France)	$5,000	$5,875
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany)	3,000	3,158
Eastman Chemical Co. sr. unsec. notes 3.80%, 3/15/25	5,000	5,040
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.00%, 2/15/21 (Canada)	5,000	4,913
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6.75%, 2/1/22	1,000	1,040
Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. notes 6.00%, 11/15/41 (Canada)	5,000	4,849
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24	5,000	5,015
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25	3,000	2,888
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9.50%, 10/1/20 (Canada)	5,000	5,263
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4.875%, 11/15/20	10,000	10,275
INVISTA Finance, LLC 144A company guaranty sr. notes 4.25%, 10/15/19	3,000	3,000
LyondellBasell Industries NV sr. unsec. unsub. notes 4.625%, 2/26/55	5,000	4,510
Packaging Corp. of America sr. unsec. unsub. notes 4.50%, 11/1/23	5,000	5,305
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24	95,000	100,463
Westlake Chemical Corp. 144A company guaranty sr. unsec. unsub. bonds 3.60%, 8/15/26	5,000	4,807
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30	5,000	6,458
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31	5,000	6,543
		179,402
Capital goods (0.1%)
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.00%, 3/15/22	5,000	4,950
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22	5,000	5,113
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24	5,000	5,181
		15,244
Communication services (1.5%)
American Tower Corp. sr. unsec. notes 4.00%, 6/1/25(R)	10,000	10,096
CC Holdings GS V, LLC/Crown Castle GS III Corp. company guaranty sr. notes 3.849%, 4/15/23	5,000	5,098
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22	5,000	5,188
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23	10,000	10,244
Charter Communications Operating, LLC/Charter Communications Operating Capital 144A sr. sub. bonds 6.484%, 10/23/45	8,000	8,988
Charter Communications Operating, LLC/Charter Communications Operating Capital 144A sr. sub. notes 4.908%, 7/23/25	2,000	2,088
Comcast Cable Communications Holdings, Inc. company guaranty sr. unsec. notes 9.455%, 11/15/22	5,000	6,773
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.95%, 8/15/37	10,000	13,524
Crown Castle International Corp. sr. unsec. notes 5.25%, 1/15/23(R)	7,000	7,609
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R)	5,000	5,375
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21	10,000	10,513
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24	5,000	5,069
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg)	5,000	1,731
Koninklijke KPN NV sr. unsec. unsub. bonds 8.375%, 10/1/30 (Netherlands)	5,000	6,611
Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada)	4,000	5,462
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21	35,000	35,875
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22	15,000	15,675
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045%, 6/20/36 (Spain)	5,000	5,872
Verizon Communications, Inc. sr. unsec. unsub. notes 5.90%, 2/15/54 (units)	200	5,160
Verizon Communications, Inc. sr. unsec. unsub. notes 5.05%, 3/15/34	5,000	5,228
Verizon Communications, Inc. sr. unsec. unsub. notes 4.522%, 9/15/48	16,000	15,257
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34	5,000	4,870
West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22	5,000	4,800
		197,106
Conglomerates (0.1%)
General Electric Co. jr. unsec. sub. FRB Ser. D, 5.00%, perpetual maturity	16,000	16,400
		16,400
Consumer cyclicals (1.3%)
21st Century Fox America, Inc. company guaranty sr. unsec. notes 7.85%, 3/1/39	5,000	6,625
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. notes 7.75%, 12/1/45	5,000	6,985
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20	5,000	5,373
CBS Corp. company guaranty sr. unsec. debs. 7.875%, 7/30/30	7,000	9,298
CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27	4,000	3,714
D.R. Horton, Inc. company guaranty sr. unsec. sub. notes 5.75%, 8/15/23	5,000	5,413
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23	5,000	4,957
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.95%, 8/15/20	5,000	5,496
Ford Motor Co. sr. unsec. unsub. notes 9.98%, 2/15/47	2,000	2,945
Ford Motor Co. sr. unsec. unsub. notes 7.45%, 7/16/31	6,000	7,439
Ford Motor Co. sr. unsec. unsub. notes 7.40%, 11/1/46	5,000	6,598
General Motors Co. sr. unsec. notes 5.20%, 4/1/45	3,000	2,848
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 3.00%, 9/25/17	2,000	2,020
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25	3,000	2,916
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 3.45%, 4/10/22	7,000	6,905
Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22(R)	5,000	5,405
Howard Hughes Corp. (The) 144A sr. unsec. notes 6.875%, 10/1/21	5,000	5,272
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5.875%, 3/15/21	5,000	5,203
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65%, 6/1/20	5,000	4,975
L Brands, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/21	2,000	2,215
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK)	10,000	7,550
O'Reilly Automotive, Inc. company guaranty sr. unsec. sub. notes 3.55%, 3/15/26	5,000	4,977
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26	5,000	4,992
Owens Corning company guaranty sr. unsec. sub. notes 9.00%, 6/15/19	5,000	5,727
Priceline Group, Inc. (The) sr. unsec. notes 3.65%, 3/15/25	4,000	4,001
QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24	2,000	1,970
QVC, Inc. company guaranty sr. sub. notes 4.45%, 2/15/25	2,000	1,905
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23	5,000	5,081
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26	2,000	2,123
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22	10,000	9,375
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 3.80%, 2/15/27	5,000	4,976
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26	4,000	3,731
Vulcan Materials Co. sr. unsec. unsub. notes 4.50%, 4/1/25	2,000	2,091
Walt Disney Co. (The) sr. unsec. notes 2.75%, 8/16/21	5,000	5,094
		166,195
Consumer staples (0.8%)
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 8.20%, 1/15/39	10,000	14,980
BlueLine Rental Finance Corp. 144A notes 7.00%, 2/1/19	10,000	9,600
Constellation Brands, Inc. company guaranty sr. unsec. unsub. bonds 3.70%, 12/6/26	5,000	4,956
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6.00%, 5/1/22	5,000	5,688
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22	12,000	13,054
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36	4,607	4,847
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45	5,000	4,727
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37	5,000	6,310
Kraft Foods Group, Inc. company guaranty sr. unsec. notes Ser. 144A, 6.875%, 1/26/39	5,000	6,324
Kraft Heinz Foods Co. company guaranty sr. unsec. bonds 4.375%, 6/1/46	5,000	4,755
Kroger Co. (The) company guaranty sr. unsec. unsub. notes 6.90%, 4/15/38	5,000	6,316
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26	5,000	4,975
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26	7,000	7,298
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4.875%, 8/15/34	2,000	2,054
Walgreens Boots Alliance, Inc. sr. unsec. bonds 3.45%, 6/1/26	5,000	4,899
		100,783
Energy (0.5%)
Anadarko Petroleum Corp. sr. unsec. notes 6.45%, 9/15/36	5,000	5,630
Anadarko Petroleum Corp. sr. unsec. unsub. notes 5.55%, 3/15/26	2,000	2,195
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 2.315%, 2/13/20 (United Kingdom)	5,000	4,996
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22	2,000	2,070
DCP Midstream Operating LP company guaranty sr. unsec. notes 2.70%, 4/1/19	5,000	4,969
Devon Energy Corp. sr. unsec. unsub. notes 3.25%, 5/15/22	2,000	1,940
EQT Midstream Partners LP company guaranty sr. unsec. sub. notes 4.00%, 8/1/24	2,000	1,940
Kerr-McGee Corp. company guaranty sr. unsec. unsub. notes 7.875%, 9/15/31	10,000	12,300
Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27	5,000	4,938
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26	5,000	4,746
Statoil ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway)	5,000	5,503
Williams Partners LP sr. unsec. notes 5.25%, 3/15/20	5,000	5,319
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24	2,000	1,992
		58,538
Financials (2.1%)
Air Lease Corp. sr. unsec. unsub. notes 3.375%, 6/1/21	5,000	5,083
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 9/15/20	15,000	16,594
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25	5,000	4,950
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58	4,000	5,130
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity	7,000	7,000
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity	10,000	10,407
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43	5,000	5,113
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22	5,000	5,298
Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25	5,000	5,008
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25	2,000	2,066
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26	3,000	3,018
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22	20,000	20,825
Citigroup, Inc. jr. unsec. sub. FRB Ser. B, 5.90%, perpetual maturity	2,000	1,990
Citigroup, Inc. jr. unsec. unsub. FRN Ser. T, 6.25%, perpetual maturity	18,000	18,495
Duke Realty LP company guaranty sr. unsec. unsub. notes 3.875%, 2/15/21(R)	5,000	5,216
EPR Properties company guaranty sr. unsec. sub. notes 5.25%, 7/15/23(R)	2,000	2,083
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24	2,000	1,965
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes 3.875%, 5/1/25(R)	5,000	4,935
HSBC Capital Funding LP 144A company guaranty jr. unsec. sub. FRB 10.176%, perpetual maturity (Jersey)	15,000	22,350
HSBC Finance Corp. unsec. sub. notes 6.676%, 1/15/21	5,000	5,618
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity	7,000	7,070
JPMorgan Chase & Co. sr. unsec. notes Ser. MTN, 2.295%, 8/15/21	5,000	4,910
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20	5,000	5,651
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37	5,000	5,600
Liberty Property LP sr. unsec. unsub. notes 3.375%, 6/15/23(R)	5,000	4,970
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. notes 8.875%, 6/1/39	3,000	4,449
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5.875%, 3/15/22	2,000	2,075
Progressive Corp. (The) jr. unsec. sub. FRN 6.70%, 6/15/37	12,000	11,730
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44	5,000	4,981
Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom)	10,000	10,077
Select Income REIT sr. unsec. unsub. notes 3.60%, 2/1/20(R)	5,000	5,007
Select Income REIT sr. unsec. unsub. notes 2.85%, 2/1/18(R)	5,000	5,022
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.00%, 6/1/20	10,000	9,800
Teachers Insurance & Annuity Association of America 144A unsec. sub. FRN 4.375%, 9/15/54	2,000	2,135
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada)	5,000	4,812
USI, Inc./NY 144A sr. unsec. notes 7.75%, 1/15/21	5,000	5,075
VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R)	7,000	7,151
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity	15,000	15,413
Willis Towers Watson PLC company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21	5,000	5,487
WP Carey, Inc. sr. unsec. unsub. notes 4.60%, 4/1/24(R)	5,000	5,032
		279,591
Health care (0.5%)
AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25	2,000	1,976
DPx Holdings BV 144A sr. unsec. sub. notes 7.50%, 2/1/22 (Netherlands)	10,000	10,500
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/31/19	2,000	2,130
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24	5,000	5,013
HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19	15,000	15,300
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R)	5,000	4,806
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R)	5,000	5,069
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24	15,000	15,602
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. bonds 3.15%, 10/1/26 (Netherlands)	5,000	4,612
		65,008
Technology (0.3%)
Apple, Inc. sr. unsec. notes 3.45%, 5/6/24	5,000	5,150
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43	3,000	2,833
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24	4,000	4,370
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46	2,000	2,345
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23	6,000	6,258
Jabil Circuit, Inc. sr. unsec. sub. notes 8.25%, 3/15/18	2,000	2,150
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26	5,000	4,748
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26	5,000	4,745
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23	5,000	5,013
		37,612
Transportation (0.1%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23	5,000	4,750
Penske Truck Leasing Co. Lp/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26	4,000	3,853
		8,603
Utilities and power (0.5%)
AES Corp./Virginia (The) sr. unsec. notes 8.00%, 6/1/20	5,000	5,825
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42	5,000	4,968
Duke Energy Carolinas, LLC sr. mtge. notes 4.25%, 12/15/41	5,000	5,071
Emera US Finance LP 144A company guaranty sr. unsec. notes 3.55%, 6/15/26	3,000	2,944
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada)	5,000	5,043
Energy Transfer Partners LP sr. unsec. unsub. notes 6.50%, 2/1/42	5,000	5,195
FirstEnergy Corp. sr. unsec. unsub. notes 4.25%, 3/15/23	6,000	6,220
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44	2,000	1,911
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 3.50%, 3/1/21	5,000	5,051
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.05%, 12/1/19	2,000	2,020
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 4.20%, 6/15/22	10,000	10,617
Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974%, 6/1/67	5,000	4,269
Texas Gas Transmission, LLC 144A sr. unsec. notes 4.50%, 2/1/21	4,000	4,117
Texas-New Mexico Power Co. 144A 1st sr. bonds Ser. A, 9.50%, 4/1/19	5,000	5,766
		69,017
Total corporate bonds and notes (cost $1,187,248)		$1,193,499
CONVERTIBLE BONDS AND NOTES (2.8%)(a)
	Principal amount	Value
Basic materials (—%)
Cemex SAB de CV cv. unsec. sub. notes 3.75%, 3/15/18 (Mexico)	$2,000	$2,229
		2,229
Capital goods (—%)
Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21	5,000	5,231
		5,231
Communication services (0.2%)
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A cv. company guaranty sr. unsec. notes 8.25%, 12/1/40	1,000	1,045
DISH Network Corp. 144A cv. sr. unsec. bonds 3.375%, 8/15/26	22,000	24,585
Powerwave Technologies, Inc. cv. unsec. sub. notes 3.875%, 10/1/27 (In default)(F)(NON)	7,000	1
		25,631
Consumer cyclicals (0.5%)
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1.625%, 5/15/18	5,000	5,934
CalAtlantic Group, Inc. cv. company guaranty sr. unsec. unsub. notes 1.25%, 8/1/32	4,000	4,155
Euronet Worldwide, Inc. cv. sr. unsec. bonds 1.50%, 10/1/44	5,000	5,769
Liberty Interactive, LLC cv. sr. unsec. notes 3.50%, 1/15/31	9,000	4,826
Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46	7,000	7,394
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.25%, 9/30/46	5,000	5,175
Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23	9,000	9,006
Navistar International Corp. cv. sr. unsec. sub. bonds 4.75%, 4/15/19	6,000	5,756
Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 1.00%, 3/15/18	6,000	9,671
Tesla Motors, Inc. cv. sr. unsec. sub. notes 1.25%, 3/1/21	12,000	10,065
		67,751
Consumer staples (0.1%)
Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20	8,000	8,980
		8,980
Energy (0.2%)
Chesapeake Energy Corp. 144A cv. sr. unsec. bonds 5.50%, 9/15/26	5,000	5,288
Energy XXI, Ltd. cv. sr. unsec. bonds 3.00%, 12/15/18 (acquired various dates from 11/19/13 to 1/24/14, cost $3,933) (In default)(NON)(RES)	4,000	20
Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23	2,000	2,763
SEACOR Holdings, Inc. cv. sr. unsec. bonds 3.00%, 11/15/28	5,000	4,231
Stone Energy Corp. cv. company guaranty sr. unsec. sub. notes 1.75%, 3/1/17 (In default)(NON)	8,000	4,870
Whiting Petroleum Corp. cv. company guaranty sr. unsec. unsub. notes 1.25%, 4/1/20	6,000	5,246
		22,418
Financials (0.3%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. unsub. notes 5.25%, 12/1/18(R)	6,000	6,668
Radian Group, Inc. cv. sr. unsec. notes 2.25%, 3/1/19	4,000	5,438
Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19(R)	11,000	12,354
TCP Capital Corp. cv. sr. unsec. bonds 5.25%, 12/15/19	8,000	8,330
		32,790
Health care (0.4%)
Brookdale Senior Living, Inc. cv. sr. unsec. unsub. notes 2.75%, 6/15/18	8,000	7,745
China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4.00%, 8/15/17 (China) (In default)(F)(NON)	5,000	400
China Medical Technologies, Inc. 144A cv. sr. unsec. notes 6.25%, 12/15/17 (China) (In default)(F)(NON)	3,000	210
HealthSouth Corp. cv. sr. unsec. sub. notes 2.00%, 12/1/43	7,000	8,317
Hologic, Inc. cv. sr. unsec. unsub. notes stepped-coupon 2.00% (zero %, 3/1/18) 3/1/42(STP)	9,000	11,903
Impax Laboratories, Inc. cv. sr. unsec. notes 2.00%, 6/15/22	4,000	3,195
Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21 (Ireland)	10,000	9,569
Medidata Solutions, Inc. cv. sr. unsec. notes 1.00%, 8/1/18	4,000	4,595
Teleflex, Inc. cv. sr. unsec. sub. notes 3.875%, 8/1/17	3,000	7,215
		53,149
Technology (1.0%)
Avid Technology, Inc. cv. sr. unsec. notes 2.00%, 6/15/20	2,000	1,341
Ciena Corp. cv. sr. unsec. notes 4.00%, 12/15/20	7,000	9,244
Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19	5,000	5,650
Fidelity National Financial, Inc. cv. sr. unsec. unsub. notes 4.25%, 8/15/18	2,000	3,656
Intel Corp. cv. jr. unsec. sub. notes 3.25%, 8/1/39	4,000	6,810
j2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29	6,000	7,388
Microchip Technology, Inc. cv. sr. unsec. sub. bonds 1.625%, 2/15/25	15,000	19,894
Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43	9,000	8,252
Micron Technology, Inc. cv. sr. unsec. bonds Ser. E, 1.625%, 2/15/33	8,000	14,575
Novatel Wireless, Inc. cv. sr. unsec. unsub. notes 5.50%, 6/15/20	2,000	1,816
Novellus Systems, Inc. cv. company guaranty sr. unsec. notes 2.625%, 5/15/41	4,000	12,438
ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20	6,000	5,993
Safeguard Scientifics, Inc. cv. sr. unsec. bonds 5.25%, 5/15/18	8,000	8,020
salesforce.com, Inc. cv. sr. unsec. unsub. notes 0.25%, 4/1/18	4,000	4,763
TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20	4,000	6,078
Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21	5,000	4,775
Yahoo!, Inc. cv. sr. unsec. bonds zero %, 12/1/18	10,000	10,081
		130,774
Transportation (0.1%)
Atlas Air Worldwide Holdings, Inc. cv. sr. unsec. bonds 2.25%, 6/1/22	3,000	2,994
Echo Global Logistics, Inc. cv. sr. unsec. notes 2.50%, 5/1/20	4,000	3,898
Scorpio Tankers, Inc. 144A cv. sr. unsec. sub. notes 2.375%, 7/1/19	6,000	4,646
		11,538
Total convertible bonds and notes (cost $350,204)		$360,491
MORTGAGE-BACKED SECURITIES (2.0%)(a)
	Principal amount	Value
Citigroup Commercial Mortgage Trust
FRB Ser. 07-C6, Class A4, 5.90%, 12/10/49	$11,000	$11,121
Ser. 14-GC21, Class AS, 4.026%, 5/10/47	13,000	13,408
COMM Mortgage Pass-Through Certificates
FRB Ser. 12-CR3, Class XA, IO, 2.237%, 10/15/45	94,883	7,356
FRB Ser. 14-CR14, Class XA, IO, 0.988%, 2/10/47	509,282	16,796
COMM Mortgage Trust
Ser. 12-CR1, Class AM, 3.912%, 5/15/45	13,000	13,664
FRB Ser. 14-LC15, Class XA, IO, 1.53%, 4/10/47	96,813	5,818
FRB Ser. 13-LC13, Class XA, IO, 1.53%, 8/10/46	151,397	7,478
FRB Ser. 14-CR18, Class XA, IO, 1.421%, 7/15/47	97,712	5,708
FRB Ser. 14-CR16, Class XA, IO, 1.386%, 4/10/47	120,495	6,651
FRB Ser. 14-UBS6, Class XA, IO, 1.202%, 12/10/47	196,577	10,772
JPMorgan Chase Commercial Mortgage Securities Trust
Ser. 07-LDPX, Class A3, 5.42%, 1/15/49	6,001	6,018
Ser. 04-LN2, Class A2, 5.115%, 7/15/41	496	496
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 13-C11, Class AS, 4.516%, 8/15/46	10,000	10,721
Ser. 12-C5, Class AS, 3.792%, 8/15/45	10,000	10,446
FRB Ser. 13-C13, Class XA, IO, 1.302%, 11/15/46	228,612	12,171
FRB Ser. 13-C12, Class XA, IO, 1.09%, 10/15/46	225,135	7,832
Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 12-C6, Class XA, IO, 2.133%, 11/15/45	129,139	7,748
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C2, Class XA, IO, 1.789%, 5/10/63	290,696	14,620
UBS-Citigroup Commercial Mortgage Trust 144A Ser. 11-C1, Class AS, 5.154%, 1/10/45	10,000	10,975
Wells Fargo Commercial Mortgage Trust FRB Ser. 13-LC12, Class AS, 4.432%, 7/15/46	10,000	10,642
WF-RBS Commercial Mortgage Trust
Ser. 13-C18, Class AS, 4.387%, 12/15/46	20,000	21,482
Ser. 13-UBS1, Class AS, 4.306%, 3/15/46	12,000	12,831
Ser. 13-C12, Class AS, 3.56%, 3/15/48	10,000	10,290
Ser. 12-C9, Class AS, 3.388%, 11/15/45	10,000	10,250
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 12-C9, Class XA, IO, 2.264%, 11/15/45	90,746	7,271
FRB Ser. 12-C10, Class XA, IO, 2.077%, 12/15/45	99,184	7,220
FRB Ser. 13-C12, Class XA, IO, 1.523%, 3/15/48	113,776	6,348
Total mortgage-backed securities (cost $272,880)		$266,133
CONVERTIBLE PREFERRED STOCKS (1.6%)(a)
	Shares	Value
Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd.(R)	220	$7,686
Allergan PLC Ser. A, 5.50% cv. pfd.	19	13,623
American Tower Corp. $5.50 cv. pfd.(R)	125	12,703
AMG Capital Trust II $2.575 cv. pfd.	145	7,839
Anthem, Inc. $2.63 cv. pfd.	120	5,608
Arconic, Inc. $2.688 cv. pfd.(NON)	198	6,267
Banc of California, Inc. $4.00 cv. pfd.	72	5,023
Bank of America Corp. Ser. L, 7.25% cv. pfd.	8	9,300
Belden, Inc. $6.75 cv. pfd.	64	6,785
Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd.	147	7,240
DTE Energy Co. $3.25 cv. pfd.(NON)	154	7,854
Dynegy, Inc. $7.00 cv. pfd.	30	1,945
El Paso Energy Capital Trust I $2.375 cv. pfd.	145	7,291
EPR Properties Ser. C, $1.438 cv. pfd.(R)	392	11,025
Exelon Corp. $3.25 cv. pfd.	187	8,615
FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv. pfd.(R)	215	5,173
Fiat Chrysler Automobiles NV Ser. FCAU, $7.875 cv. pfd. (Italy)	195	12,708
Hess Corp. $2.00 cv. pfd.	116	7,780
iStar, Inc. $2.25 cv. pfd.(R)	89	4,739
Mandatory Exchangeable Trust 144A $5.75 cv. pfd.	37	4,272
NextEra Energy, Inc. $3.06 cv. pfd.	165	7,755
Southwestern Energy Co. Ser. B, $3.125 cv. pfd.	116	3,169
T-Mobile US, Inc. Ser. A, $2.75 cv. pfd.	191	17,018
Teva Pharmaceutical Industries, Ltd. 7.00% cv. pfd. (Israel)	3	1,980
Tyson Foods, Inc. $2.375 cv. pfd.	153	9,593
Wells Fargo & Co. Ser. L, 7.50% cv. pfd.	8	9,620
Welltower, Inc. Ser. I, $3.25 cv. pfd.(R)	121	7,071
Total convertible preferred stocks (cost $205,631)		$209,682
SENIOR LOANS (0.3%)(a)(c)
	Principal amount	Value
Avaya, Inc. bank term loan FRN Ser. B7, 6.25%, 5/29/20	$14,733	$12,634
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.25%, 3/1/17 (In default)(NON)	13,126	14,439
CPG International, Inc. bank term loan FRN Ser. B, 4.75%, 9/30/20	4,899	4,911
Gates Global, LLC/Gates Global Co. bank term loan FRN 4.25%, 7/6/21	4,841	4,799
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.449%, 2/27/21	4,887	4,923
Total senior loans (cost $42,123)		$41,706
SHORT-TERM INVESTMENTS (14.1%)(a)
	Shares	Value
Putnam Short Term Investment Fund 0.51%(AFF)	1,830,069	$1,830,069
Total short-term investments (cost $1,830,069)		$1,830,069
TOTAL INVESTMENTS
Total investments (cost $13,026,599(b)		$13,023,909

FORWARD CURRENCY CONTRACTS at 11/30/16 (aggregate face value $129,174) (Unaudited)
						Unrealized
		Contract	Delivery		Aggregate	appreciation/
Counterparty	Currency	type	date	Value	face value	(depreciation)
Bank of America N.A.
	Australian Dollar	Buy	1/18/17	$8,704	$8,969	$(265)
	British Pound	Sell	12/21/16	2,003	1,937	(66)
Citibank, N.A.
	Australian Dollar	Buy	1/18/17	1,623	1,657	(34)
	Danish Krone	Buy	12/21/16	2,267	2,377	(110)
	Euro	Sell	12/21/16	9,336	9,805	469
	Japanese Yen	Buy	2/16/17	113	124	(11)
Credit Suisse International
	Norwegian Krone	Buy	12/21/16	1,750	1,781	(31)
	Norwegian Krone	Sell	12/21/16	1,750	1,803	53
	Swedish Krona	Buy	12/21/16	6,589	6,818	(229)
	Swedish Krona	Sell	12/21/16	6,589	7,077	488
	Swiss Franc	Buy	12/21/16	7,288	7,554	(266)
	Swiss Franc	Sell	12/21/16	7,288	7,453	165
Goldman Sachs International
	Japanese Yen	Buy	2/16/17	4,764	5,196	(432)
HSBC Bank USA, National Association
	British Pound	Buy	12/21/16	2,629	2,563	66
	British Pound	Sell	12/21/16	2,629	2,806	177
	Euro	Sell	12/21/16	11,988	12,642	654
JPMorgan Chase Bank N.A.
	Euro	Sell	12/21/16	2,864	2,966	102
	Hong Kong Dollar	Sell	2/16/17	490	490	—
	Japanese Yen	Buy	2/16/17	1,583	1,727	(144)
	Norwegian Krone	Sell	12/21/16	2,209	2,227	18
	Singapore Dollar	Buy	2/16/17	7,256	7,492	(236)
	Swiss Franc	Buy	12/21/16	11,918	12,218	(300)
State Street Bank and Trust Co.
	British Pound	Buy	12/21/16	1,627	1,727	(100)
	British Pound	Sell	12/21/16	1,627	1,587	(40)
	Israeli Shekel	Sell	1/18/17	470	479	9
	Japanese Yen	Buy	2/16/17	3,555	3,878	(323)
	Swedish Krona	Sell	12/21/16	3,072	3,027	(45)
	Swiss Franc	Buy	12/21/16	1,773	1,832	(59)
	Swiss Franc	Sell	12/21/16	1,773	1,863	90
UBS AG
	Swiss Franc	Buy	12/21/16	2,955	3,063	(108)
	Swiss Franc	Sell	12/21/16	2,955	3,022	67
WestPac Banking Corp.
	New Zealand Dollar	Buy	1/18/17	990	1,014	(24)
Total						$(465)

	OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 11/30/16 (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 26 Index	BBB-/P	$54,190		$804,000	12/20/21	100 bp	$(4,123)
	Total		$54,190	$(4,123)
*	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 November 30, 2016. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.

	CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 11/30/16 (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 27 Index	B+/P	$(31,627)		$913,000	12/20/21	500 bp	$19,901
	Total		$(31,627)	$19,901
*	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 November 30, 2016. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.

Key to holding's abbreviations
ADR	American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
bp	Basis Points
ETF	Exchange Traded Fund
FRB	Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN	Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IO	Interest Only
MTN	Medium Term Notes
OTC	Over-the-counter

	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 September 1, 2016 through November 30, 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 $13,004,832.
(b)	The aggregate identified cost on a tax basis is $13,107,937, resulting in gross unrealized appreciation and depreciation of $336,315 and $420,343, respectively, or net unrealized depreciation of $84,028.
(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.
(RES)	This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $20, or less than 0.1% of net assets.
(PIK)	Income may be received in cash or additional securities at the discretion of the issuer.
(AFF)	Affiliated company. For investments in Putnam Short Term Investment Fund, 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 any company which is under common ownership or control, or involving securities of companies in which the fund owned at least 5% of the outstanding voting securities, 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 Cash Collateral Pool, LLC **	$—	$327,020	$327,020	$—	$—
	Putnam Short Term Investment Fund ****	2,144,649	177,483	492,063	2,257	1,830,069
	Putnam Absolute Return 100 Fund Class Y	665,888	14,703	21,186	—	662,006
	Putnam Absolute Return 300 Fund Class Y	1,547,844	35,288	50,846	—	1,557,436
	Putnam Absolute Return 500 Fund Class Y	2,599,958	58,813	84,744	—	2,580,904
	Putnam Absolute Return 700 Fund Class Y	385,481	8,822	12,711	—	384,232
	Putnam Government Money Market Fund Class G	—	540,803	16,949	13	523,854
	Putnam Money Market Fund Class A	529,032	—	529,032	—	—
	Totals	$7,872,852	$1,162,932	$1,534,551	$2,270	$7,538,501
	** No management fees are charged to Putnam Cash Collateral Pool, LLC.
	**** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEGSF)	This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS)	This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c)	Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
	Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F)	This security is valued 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.
(R)	Real Estate Investment Trust.
	At the close of the reporting period, the fund maintained liquid assets totaling $1,718,824 to cover certain derivative contracts.
	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 (including short-term investments with remaining maturities of 60 days or less) 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.
	Many securities markets and exchanges outside the U.S. close prior to the scheduled 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 scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain 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. The foreign equity 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.
	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.
	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.
	Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts 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, is presented in the fund's portfolio.
	Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
	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 and 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 $60,169 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $106,178 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	$24,446	$38,120	$—
Capital goods	84,526	13,223	—
Communication services	48,497	12,252	—
Conglomerates	—	7,903	—
Consumer cyclicals	210,436	58,613	17
Consumer staples	105,725	46,716	—
Energy	91,601	35,410	—
Financials	594,912	81,898	—
Health care	177,924	44,973	—
Technology	277,645	7,452	—
Transportation	30,843	15,185	—
Utilities and power	44,412	17,892	—
Total common stocks	1,690,967	379,637	17
Convertible bonds and notes	—	359,880	611
Convertible preferred stocks	24,971	184,711	—
Corporate bonds and notes	—	1,193,499	—
Investment companies	5,839,788	—	—
Mortgage-backed securities	—	266,133	—
Senior loans	—	41,706	—
U.S. treasury obligations	—	1,211,920	—
Short-term investments	1,830,069	—	—
Totals by level	$9,385,795	$3,637,486	$628
		Valuation inputs
Other financial instruments:	Level 1	Level 2	Level 3
Forward currency contracts	$—	$(465)	$—
Credit default contracts	—	(6,785)	—
Totals by level	$—	$(7,250)	$—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
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	$51,528	$58,313
Foreign exchange contracts	2,358	2,823
Total	$53,886	$61,136
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:
Forward currency contracts (contract amount)				$140,000
OTC credit default contracts (notional)				$800,000
Centrally cleared credit default contracts (notional)				$910,000

	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	Goldman Sachs International	HSBC Bank USA, National Association	JPMorgan Chase Bank N.A.	State Street Bank and Trust Co.	UBS AG	WestPac Banking Corp.	Total
	Assets:
	OTC Credit default contracts*#	$—	$—	$—	$—	$—	$—	$—	$—	$—	$—	$—	$—
	Centrally cleared credit default contracts§	—	—	2,445	—	—	—	—	—	—	—	—	2,445
	Forward currency contracts#	—	—	—	469	706	—	897	120	99	67	—	2,358
	Total Assets	$—	$—	$2,445	$469	$706	$—	$897	$120	$99	$67	$—	$4,803
	Liabilities:
	OTC Credit default contracts*#	$—	$58,313	$—	$—	$—	$—	$—	$—	$—	$—	$—	$58,313
	Centrally cleared credit default contracts§	—	—	—	—	—	—	—	—	—	—	—	—
	Forward currency contracts#	331	—	—	155	526	432	—	680	567	108	24	2,823
	Total Liabilities	$331	$58,313	$—	$155	$526	$432	$—	$680	$567	$108	$24	$61,136
	Total Financial and Derivative Net Assets	$(331)	$(58,313)	$2,445	$314	$180	$(432)	$897	$(560)	$(468)	$(41)	$(24)	$(56,333)
	Total collateral received (pledged)##†	$—	$(58,313)	$—	$—	$—	$—	$—	$—	$—	$—	$—
	Net amount	$(331)	$—	$2,445	$314	$180	$(432)	$897	$(560)	$(468)	$(41)	$(24)
*	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: January 26, 2017

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: January 26, 2017

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: January 26, 2017