UNITED STATES SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
FORM N-CSR |
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES |
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: | July 31, 2017 |
Date of reporting period: | August 1, 2016 — January 31, 2017 |
Item 1. Report to Stockholders: |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam
Short Duration
Income Fund
Semiannual report
1 | 31 | 17
Consider these risks before investing: Putnam Short Duration Income Fund is not a money market fund. The effects of inflation may erode the value of your investment over time. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are also subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. We may have to invest the proceeds from prepaid investments, including mortgage-backed investments, in other investments with less attractive terms and yields. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions of the risk of default, changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These factors may also lead to periods of high volatility and reduced liquidity in the bond markets. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Credit risk is generally greater for debt not backed by the full faith and credit of the U.S. government. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. You can lose money by investing in the fund.
Message from the Trustees
March 14, 2017
Dear Fellow Shareholder:
In the early weeks of 2017, investor sentiment generally brightened at the prospect of moving beyond the challenges of the past year, when political uncertainty, among other issues, tested global financial markets. As stock markets delivered modest gains, the exuberance that greeted the new year calmed somewhat as investors reconsidered a number of ongoing macroeconomic risks. In addition, many bond investors remained cautious as the potential for inflation increased.
As always, we believe investors should continue to focus on time-tested strategies: maintain a well-diversified portfolio, keep a long-term view, and do not overreact to short-term market fluctuations. To help ensure that your portfolio is aligned with your individual goals, time horizon, and tolerance for risk, we also believe it is a good idea to speak regularly with your financial advisor.
In today’s environment, we favor the investment approach practiced at Putnam — active strategies based on fundamental research. Putnam portfolio managers, backed by a network of global analysts, bring years of experience to navigating changing market conditions and pursuing investment opportunities. In the following pages, you will find an overview of your fund’s performance for the reporting period ended January 31, 2017, as well as an outlook for the coming months.
Thank you for investing with Putnam.
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. See below and pages 10–11 for additional performance information. The fund had expense limitations during the period, without which returns would have been lower.
* Returns for the six-month period are not annualized, but cumulative.
This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 1/31/17. See above and pages 10–11 for additional fund performance information. Index descriptions can be found on page 14.
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Mike is Co-Head of Fixed Income at Putnam. He has a B.A. from Cornell University. Mike joined Putnam in 1997 and has been in the investment industry since 1989.
Joanne has an M.B.A. from Northeastern University D’Amore-McKim School of Business and a B.S. from Westfield State College. She joined Putnam in 1995 and has been in the investment industry since 1992.
In addition to Mike and Joanne, your portfolio is managed by Emily E. Shanks. Emily has a B.A. in Mathematics from Williams College. She joined Putnam in 2012 and has been in the investment industry since 1999.
What was the short-term bond market environment like during the six-month reporting period ended January 31, 2017?
JOANNE It was an eventful period with the Federal Reserve’s policy outlook, the latest round of the Securities and Exchange Commission’s [SEC’s] money market reforms, and the anticipated fiscal stimulus of the Trump administration contributing to higher short-term interest rates. For much of the reporting period, the Fed held interest rates steady. However, minutes released after its September 2016 meeting indicated that the more hawkish members of the Fed’s interest-rate-setting committee believed that the time had come for modest, gradual increases in short-term rates to best promote a sustainable and balanced economic recovery. The short-term London Interbank Offered Rate [LIBOR] began to rise as the markets priced in the likelihood that the Fed would raise the federal funds rate at its December 2016 meeting. As widely expected, the Fed increased its benchmark rate on December 14 to a range of 0.50% to 0.75%. The Fed also indicated that it might raise rates faster than previously indicated if U.S. economic growth shows signs of accelerating in 2017, which sent U.S. Treasury yields to a multiyear high. Despite higher rates and the Fed’s
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Allocations are shown as a percentage of the fund’s net assets as of 1/31/17. Cash and net other assets, if any, represent the market value weights of cash, derivatives, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.
The cash and net other assets category may show a negative market value percentage as a result of the timing of trade-date and settlement-date transactions.
Credit qualities are shown as a percentage of the fund’s net assets as of 1/31/17. A bond rated BBB or higher (A-3/SP-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings may vary over time.
Cash and net other assets, if any, represent the market value weights of cash and derivatives and may show a negative market value percentage as a result of the timing of trade date versus settlement date transactions. The fund itself has not been rated by an independent rating agency.
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marginally hawkish tone, investor demand for higher-risk assets remained strong.
With regard to the SEC’s money market reforms, managers of prime money market funds worked to ensure compliance with the new regulations, including the introduction of a floating net asset value [NAV] and the imposition of liquidity fees and redemption gates, which are designed to limit investor withdrawals during periods of market stress. As investor preferences changed during the transition, over $1 trillion shifted from prime money market funds to government money market funds, which continue to seek to maintain a stable $1.00 NAV and which are not required to have provisions for imposing fees and gates. To accommodate such withdrawals, prime money market funds held higher levels of cash to meet redemptions — squeezing credit and decreasing demand for short-term debt issued by companies and banks. Ultimately, these developments contributed to higher short-term interest rates and borrowing costs.
With the election of President Trump and a Republican-controlled Congress that has voiced its support for pursuing pro-growth policies, including lower taxes, increased infrastructure spending, and less regulation, policymakers generally see improving growth trends and higher inflation in 2017. If inflationary pressures build, we believe the Fed might need to raise interest rates faster than expected to keep the economy from overheating, which could be detrimental for rate-sensitive investments.
How did Putnam Short Duration Income Fund perform against this backdrop?
MIKE The fund outperformed its benchmark for the six-month reporting period ended January 31, 2017.
Additionally, we successfully achieved our goal of a low volatility NAV for the fund; the fund’s class A shares at NAV held steady at $10.04 for 99% of the reporting period. The NAV only changed once — increasing a penny from $10.04 to $10.05 on January 30, 2017. Typically, when rates rise, bond prices decline, but we believe the fund’s short duration positioning and our preference for floating-rate corporate bond securities contributed to this result. [Duration is a measure of the fund’s interest-rate sensitivity.]
What strategies or factors contributed to the fund’s outperformance of its benchmark?
MIKE Higher-risk assets performed well during the reporting period, leading to credit spread tightening in nearly every sector as the difference in yield between higher- and lower-quality bonds narrowed. On a sector basis, the primary contributors to relative returns were the portfolio’s allocations to the financials and auto sectors. Outside the broader risk-on investment environment, financials rallied strongly in the post-election phase of the reporting period. The fund’s positioning in banking issues, which were lifted by the potential for the Trump administration to roll back some of the regulations spurred by the financial crisis, was especially rewarding. Nine of the fund’s ten top contributors were in the banking sector — led by Banco Santander and Citigroup.
In the auto sector, the top contributor to performance at the issuer level was General Motors. Auto sales have persisted at very strong, or record, levels and are being driven by the SUV and pickup truck segments, which are very profitable and a primary focus for the company. Additionally, the automaker’s credit profile has modestly improved over the past 12 to 24 months and valuations have been attractive.
JOANNE Our positioning in commercial paper [CP] and securitized products, such as asset-backed securities, collateralized mortgage obligations, and commercial mortgage-backed
Short Duration Income Fund 7 |
securities, was also beneficial. In the months leading up to the implementation of the SEC’s money market reforms, prime money market funds held higher levels of cash to meet redemptions. With less demand for credit products, credit spreads widened early in the reporting period. We seized this opportunity to buy what we believed were attractively priced CP maturing in three months or less. This strategy aided performance as it allowed the fund to have greater exposure to this strongly performing sector when CP credit spreads narrowed later in the period.
Were there any strategies that detracted from relative returns?
MIKE On a relative basis, the primary detractor for performance was not owning U.S. Treasury bills at the sector level. At the issuer level, the two largest detractors to performance were within the energy sector. However, the underperformance was fractional and amounted to less than 0.25% of a percentage point each.
How did you manage interest-rate risk in the fund during the period?
JOANNE LIBOR, which is the basis for yields on many shorter-term securities, almost quadrupled from 0.27% on July 31, 2016, to 1.03% on January 31, 2017. Generally, we seek to limit the fund’s sensitivity to interest-rate movements by keeping the portfolio’s duration at or less than one year. However, in this challenging environment, we kept the portfolio’s duration positioning very short — 0.13 year on average — in an effort to minimize the effects of rising rates on the fund’s NAV.
Did the fund’s allocations change during the reporting period as you adjusted the portfolio for a higher-rate environment?
MIKE Positioning changes over the period were moderate. Our commercial paper and certificate of deposit [CD] allocations increased by roughly 8% altogether, with an offsetting reduction in investment-grade corporate bonds. The increased allocation to CP and CDs was driven by the attractive credit spread levels available versus those of short-dated investment-grade bonds. In several instances,
This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.
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CP with a one-year or shorter maturity was priced with a spread wider than that of a one-year corporate bond from the same issuer. As the end of 2016 approached, we built up liquidity in the fund in anticipation of potential year-end investor flows.
What should fixed-income investors expect in the coming months?
JOANNE There are several factors that may influence short-term rates and return potential in 2017. Currently, the markets appear to us to be taking an optimistic view of the likely policies of the new administration, but there remains a good deal of uncertainty around actual policy implementation — particularly for U.S. tax and regulatory reform. We will be watching the tax reform debate especially closely as reform could result in the repatriation of funds currently invested in short-term bond markets overseas to U.S. markets. Such dramatic changes in the amount of investable assets could also affect yields, in our view.
For its part, the Fed appears to be taking a bit of a wait-and-see approach to monetary policy given the considerable policy uncertainty. The Fed’s projection of two to three rate hikes in 2017 is not historically aggressive, and may even be behind the curve, in our view. In other words, we believe the markets themselves are already pressuring rates higher for the Fed to tighten at a faster pace.
MIKE We also think that continued strength in the U.S. dollar and the equity markets will likely maintain upward pressure on interest rates. In this environment, we expect to continue finding value in CP as well as in the banking and industrials sectors.
Thanks to you both for your time and for bringing us up to date.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.
Short Duration Income Fund 9 |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended January 31, 2017, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 1/31/17
Annual | Annual | Annual | ||||||
Life of fund | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| ||||||||
Class A (10/17/11) | 3.54% | 0.66% | 3.48% | 0.69% | 1.81% | 0.60% | 1.21% | 0.52% |
| ||||||||
Class B (10/17/11) | 1.30 | 0.24 | 1.28 | 0.25 | 0.63 | 0.21 | 0.71 | 0.32 |
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Class C (10/17/11) | 1.29 | 0.24 | 1.28 | 0.25 | 0.53 | 0.17 | 0.71 | 0.32 |
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Class M (10/17/11) | 3.18 | 0.59 | 3.12 | 0.62 | 1.66 | 0.55 | 1.06 | 0.50 |
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Class R (10/17/11) | 1.40 | 0.26 | 1.38 | 0.27 | 0.63 | 0.21 | 0.81 | 0.42 |
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Class R6 (7/2/12) | 4.19 | 0.78 | 4.11 | 0.81 | 2.12 | 0.70 | 1.22 | 0.58 |
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Class Y (10/17/11) | 4.18 | 0.78 | 4.10 | 0.81 | 2.11 | 0.70 | 1.31 | 0.57 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. None of these share classes generally carry an initial sales charge or a contingent deferred sales charge. Performance for class R6 shares prior to its inception is derived from the historical performance of class Y shares.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
Comparative index returns For periods ended 1/31/17
Annual | Annual | Annual | ||||||
Life of fund | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| ||||||||
BofA Merrill Lynch | ||||||||
U.S. Treasury Bill | 0.79% | 0.15% | 0.78% | 0.16% | 0.56% | 0.19% | 0.40% | 0.19% |
Index |
Index results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
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Fund price and distribution information For the six-month period ended 1/31/17
Distributions | Class A | Class B | Class C | Class M | Class R | ClassR6 | Class Y |
| |||||||
Number | 6 | 6 | 6 | 6 | 6 | 6 | 6 |
| |||||||
Income | $0.042243 | $0.022076 | $0.022073 | $0.039722 | $0.022069 | $0.047790 | $0.047289 |
| |||||||
Capital gains | — | — | — | — | — | — | — |
| |||||||
Total | $0.042243 | $0.022076 | $0.022073 | $0.039722 | $0.022069 | $0.047790 | $0.047289 |
| |||||||
Share value at net asset value | |||||||
| |||||||
7/31/16 | $10.04 | $10.02 | $10.02 | $10.03 | $10.02 | $10.05 | $10.05 |
| |||||||
1/31/17 | 10.05 | 10.03 | 10.03 | 10.04 | 10.04 | 10.06 | 10.06 |
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Current rate (end of period) | |||||||
| |||||||
Current dividend rate1 | 0.92% | 0.52% | 0.52% | 0.87% | 0.52% | 1.03% | 1.02% |
| |||||||
Current 30-day SEC yield | |||||||
(with expense limitation)2,3 | 0.87 | 0.54 | 0.50 | 0.83 | 0.57 | 0.98 | 0.97 |
| |||||||
Current 30-day SEC yield | |||||||
(without expense limitation)3 | 0.70 | 0.37 | 0.33 | 0.66 | 0.39 | 0.80 | 0.79 |
The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.
1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.
2 For the period, the fund had expense limitations, without which the yields would have been lower.
3 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.
Fund performance as of most recent calendar quarter Total return for periods ended 12/31/16
Annual | Annual | Annual | ||||||
Life of fund | average | 5 years | average | 3 years | average | 1 year | 6 months | |
| ||||||||
Class A (10/17/11) | 3.36% | 0.64% | 3.32% | 0.66% | 1.77% | 0.59% | 0.98% | 0.51% |
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Class B (10/17/11) | 1.25 | 0.24 | 1.34 | 0.27 | 0.59 | 0.20 | 0.68 | 0.31 |
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Class C (10/17/11) | 1.25 | 0.24 | 1.33 | 0.27 | 0.59 | 0.20 | 0.68 | 0.31 |
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Class M (10/17/11) | 3.10 | 0.59 | 3.07 | 0.61 | 1.72 | 0.57 | 1.03 | 0.59 |
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Class R (10/17/11) | 1.25 | 0.24 | 1.33 | 0.27 | 0.59 | 0.20 | 0.58 | 0.31 |
| ||||||||
Class R6 (7/2/12) | 4.10 | 0.78 | 4.06 | 0.80 | 2.08 | 0.69 | 1.19 | 0.57 |
| ||||||||
Class Y (10/17/11) | 3.99 | 0.75 | 3.94 | 0.78 | 1.97 | 0.65 | 1.08 | 0.56 |
See the discussion following the Fund performance table on page 10 for information about the calculation of fund performance.
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Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
| |||||||
Net expenses for the fiscal year | |||||||
ended 7/31/16* | 0.40% | 0.80% | 0.80% | 0.45% | 0.80% | 0.29% | 0.30% |
| |||||||
Total annual operating expenses for | |||||||
the fiscal year ended 7/31/16 | 0.55% | 0.95% | 0.95% | 0.60% | 0.95% | 0.44% | 0.45% |
| |||||||
Annualized expense ratio for the | |||||||
six-month period ended 1/31/17 | 0.40% | 0.80% | 0.80% | 0.45% | 0.80% | 0.30% | 0.30% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Expenses are shown as a percentage of average net assets.
* Reflects Putnam Management’s contractual obligation to limit expenses through 11/30/17.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 8/1/16 to 1/31/17. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
| |||||||
Expenses paid per $1,000*† | $2.02 | $4.04 | $4.04 | $2.27 | $4.04 | $1.52 | $1.52 |
| |||||||
Ending value (after expenses) | $1,005.20 | $1,003.20 | $1,003.20 | $1,005.00 | $1,004.20 | $1,005.80 | $1,005.70 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 1/31/17. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
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Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 1/31/17, use the following calculation method. To find the value of your investment on 8/1/16, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
| |||||||
Expenses paid per $1,000*† | $2.04 | $4.08 | $4.08 | $2.29 | $4.08 | $1.53 | $1.53 |
| |||||||
Ending value (after expenses) | $1,023.19 | $1,021.17 | $1,021.17 | $1,022.94 | $1,021.17 | $1,023.69 | $1,023.69 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 1/31/17. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
Short Duration Income Fund 13 |
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Net asset value (NAV) is the price, or value, of one share of a mutual fund, without a sales charge. Net asset values fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are not subject to an initial sales charge or a CDSC, except that a CDSC may apply to certain redemptions of class A shares obtained by exchanging shares from another Putnam fund that were originally purchased without an initial sales charge if the shares are redeemed within nine months of the original purchase. Exchange of your fund’s class A shares into another Putnam fund may involve an initial sales charge.
Class B shares are not subject to an initial sales charge and may be subject to a CDSC.
Class C shares are not subject to an initial sales charge or a CDSC, except that a CDSC of 1.00% may apply to class C shares obtained in an exchange for class C shares of another Putnam fund if exchanged within one year of the original purchase date.
Class M shares are not subject to an initial sales charge or a CDSC. Exchange of your fund’s class M shares into another Putnam fund may involve an initial sales charge.
Class R shares are not subject to an initial sales charge or CDSC and are available only to employer-sponsored retirement plans.
Class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to employer-sponsored retirement plans.
Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Fixed-income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. 3-Month Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
S&P 500 Index is an unmanaged index of common stock performance.
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
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Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2016, are available in the Individual Investors section of putnam.com, and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of January 31, 2017, Putnam employees had approximately $465,000,000 and the Trustees had approximately $135,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
Short Duration Income Fund 15 |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
16 Short Duration Income Fund |
The fund’s portfolio 1/31/17 (Unaudited)
Interest | Maturity | Principal | ||
CORPORATE BONDS AND NOTES (46.1%)* | rate (%) | date | amount | Value |
| ||||
Banking (26.5%) | ||||
| ||||
ABN Amro Bank NV 144A sr. unsec. FRN (Netherlands) | 1.664 | 1/18/19 | $11,750,000 | $11,749,718 |
| ||||
ABN Amro Bank NV 144A sr. unsec. unsub. | ||||
notes (Netherlands) | 4.250 | 2/2/17 | 14,868,000 | 14,868,000 |
| ||||
Australia & New Zealand Banking Group, Ltd. 144A sr. | ||||
unsec. FRN (Australia) | 1.658 | 9/23/19 | 18,000,000 | 18,036,864 |
| ||||
Australia & New Zealand Banking Group, Ltd. 144A sr. | ||||
unsec. unsub. FRN (Australia) | 1.661 | 11/16/18 | 11,770,000 | 11,835,535 |
| ||||
Australia & New Zealand Banking Group, Ltd. 144A sr. | ||||
unsec. unsub. FRN (Australia) | 1.463 | 1/16/18 | 11,500,000 | 11,511,454 |
| ||||
Australia & New Zealand Banking Group, Ltd./New York, | ||||
NY sr. unsec. unsub. FRN | 1.466 | 5/15/18 | 9,000,000 | 9,034,875 |
| ||||
Bank of America Corp. sr. unsec. unsub. FRN | 2.063 | 1/15/19 | 20,184,000 | 20,359,540 |
| ||||
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN | 1.868 | 4/1/19 | 11,638,000 | 11,700,159 |
| ||||
Bank of America Corp. unsec. sub. FRN | 1.434 | 5/2/17 | 15,332,000 | 15,335,588 |
| ||||
Bank of Montreal sr. unsec. unsub. FRN (Canada) | 1.370 | 4/10/18 | 3,000,000 | 3,001,497 |
| ||||
Bank of Montreal sr. unsec. unsub. FRN | ||||
Ser. MTN (Canada) | 1.674 | 7/18/19 | 5,000,000 | 5,021,800 |
| ||||
Bank of Montreal sr. unsec. unsub. FRN | ||||
Ser. MTN (Canada) | 1.649 | 7/31/18 | 18,100,000 | 18,172,925 |
| ||||
Bank of Montreal sr. unsec. unsub. FRN | ||||
Ser. MTN (Canada) | 1.553 | 12/12/19 | 7,000,000 | 7,016,380 |
| ||||
Bank of New York Mellon Corp. (The) sr. unsec. | ||||
FRN Ser. MTN | 1.446 | 8/1/18 | 645,000 | 646,963 |
| ||||
Bank of New York Mellon Corp. (The) sr. | ||||
unsec. unsub. FRN | 1.296 | 5/22/18 | 7,715,000 | 7,730,152 |
| ||||
Bank of New York Mellon Corp. (The) sr. unsec. | ||||
unsub. FRN Ser. 1 | 1.386 | 3/6/18 | 4,062,000 | 4,072,610 |
| ||||
Bank of Nova Scotia (The) sr. unsec. unsub. | ||||
FRN (Canada) | 1.853 | 1/15/19 | 5,000,000 | 5,049,640 |
| ||||
Bank of Nova Scotia (The) sr. unsec. unsub. | ||||
FRN (Canada) | 1.619 | 6/14/19 | 10,000,000 | 10,043,630 |
| ||||
Bank of Nova Scotia (The) sr. unsec. unsub. | ||||
FRN (Canada) | 1.562 | 12/5/19 | 10,000,000 | 10,018,720 |
| ||||
Bank of Nova Scotia (The) sr. unsec. unsub. | ||||
FRN (Canada) | 1.423 | 6/11/18 | 11,790,000 | 11,811,269 |
| ||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. | ||||
unsub. FRN (Japan) | 1.492 | 3/5/18 | 5,000,000 | 5,000,135 |
| ||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. | ||||
unsub. FRN (Japan) | 1.261 | 9/8/17 | 5,000,000 | 4,999,590 |
| ||||
Barclays Bank PLC sr. unsec. unsub. FRN | ||||
(United Kingdom) | 1.486 | 2/17/17 | 28,235,000 | 28,242,482 |
| ||||
Barclays Bank PLC 144A unsec. sub. notes | ||||
(United Kingdom) | 6.050 | 12/4/17 | 13,500,000 | 13,920,471 |
| ||||
BB&T Corp. sr. unsec. unsub. FRN Ser. MTN | 1.738 | 1/15/20 | 2,882,000 | 2,897,024 |
| ||||
BB&T Corp. sr. unsec. unsub. FRN Ser. MTN | 1.567 | 6/15/20 | 5,500,000 | 5,510,978 |
| ||||
BB&T Corp. sr. unsec. unsub. FRN Ser. MTN | 1.546 | 2/1/19 | 10,813,000 | 10,876,753 |
| ||||
BNP Paribas SA company guaranty sr. unsec. unsub. | ||||
FRN Ser. MTN (France) | 1.341 | 5/7/17 | 2,403,000 | 2,404,817 |
| ||||
BPCE SA company guaranty sr. unsec. FRN | ||||
Ser. MTN (France) | 1.732 | 2/10/17 | 10,700,000 | 10,702,482 |
|
Short Duration Income Fund 17 |
Interest | Maturity | Principal | ||
CORPORATE BONDS AND NOTES (46.1%)* cont. | rate (%) | date | amount | Value |
| ||||
Banking cont. | ||||
| ||||
BPCE SA company guaranty sr. unsec. unsub. FRB | ||||
Ser. MTN (France) | 1.608 | 6/23/17 | $13,000,000 | $13,016,445 |
| ||||
Branch Banking & Trust Co. sr. unsec. FRN | 1.482 | 1/15/20 | 10,000,000 | 10,007,800 |
| ||||
Branch Banking & Trust Co. sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.416 | 5/1/19 | 15,000,000 | 15,020,325 |
| ||||
Branch Banking & Trust Co. unsec. sub. FRN Ser. BKNT | 1.220 | 5/23/17 | 7,700,000 | 7,702,010 |
| ||||
Canadian Imperial Bank of Commerce sr. unsec. unsub. | ||||
FRN Ser. EMTN (Canada) | 1.086 | 2/21/17 | 4,200,000 | 4,199,874 |
| ||||
Capital One NA/Mclean VA sr. unsec. FRN | 2.056 | 8/17/18 | 8,525,000 | 8,611,648 |
| ||||
Capital One NA/Mclean VA sr. unsec. FRN | 1.722 | 9/13/19 | 5,900,000 | 5,926,167 |
| ||||
Capital One, NA sr. unsec. FRN Ser. BKNT | 1.561 | 2/5/18 | 13,850,000 | 13,896,121 |
| ||||
Citigroup, Inc. sr. unsec. FRN | 1.878 | 6/7/19 | 22,707,000 | 22,863,315 |
| ||||
Citigroup, Inc. sr. unsec. FRN | 1.800 | 1/10/20 | 9,800,000 | 9,814,857 |
| ||||
Citigroup, Inc. sr. unsec. FRN | 1.727 | 4/27/18 | 12,238,000 | 12,280,148 |
| ||||
Citigroup, Inc. sr. unsec. unsub. FRN | 1.919 | 7/30/18 | 8,025,000 | 8,068,728 |
| ||||
Commonwealth Bank of Australia 144A sr. unsec. | ||||
FRN (Australia) | 1.521 | 11/7/19 | 8,000,000 | 8,030,464 |
| ||||
Commonwealth Bank of Australia 144A sr. unsec. | ||||
FRN (Australia) | 1.221 | 9/8/17 | 7,000,000 | 7,002,359 |
| ||||
Commonwealth Bank of Australia 144A sr. unsec. | ||||
unsub. FRN (Australia) | 2.023 | 3/15/19 | 6,550,000 | 6,620,078 |
| ||||
Commonwealth Bank of Australia 144A sr. unsec. | ||||
unsub. FRN (Australia) | 1.353 | 3/12/18 | 10,000,000 | 10,011,340 |
| ||||
Commonwealth Bank of Australia/New York, NY 144A sr. | ||||
unsec. FRB (Australia) | 1.674 | 11/2/18 | 9,725,000 | 9,783,506 |
| ||||
Credit Agricole SA/London 144A sr. unsec. FRN | ||||
(United Kingdom) | 1.823 | 4/15/19 | 15,940,000 | 16,005,513 |
| ||||
Credit Agricole SA/London 144A sr. unsec. notes | ||||
(United Kingdom) | 3.000 | 10/1/17 | 6,000,000 | 6,058,020 |
| ||||
Credit Suisse AG/New York, NY sr. unsec. FRN | 1.729 | 1/29/18 | 15,552,000 | 15,586,043 |
| ||||
Credit Suisse AG/New York, NY sr. unsec. FRN | 1.717 | 4/27/18 | 10,600,000 | 10,607,706 |
| ||||
Danske Bank A/S 144A sr. unsec. FRN (Denmark) | 1.526 | 9/6/19 | 26,853,000 | 26,861,620 |
| ||||
Deutsche Bank AG/London sr. unsec. unsub. FRN | ||||
(United Kingdom) | 1.512 | 2/13/17 | 25,000,000 | 24,999,200 |
| ||||
Fifth Third Bank/Cincinnati, OH sr. unsec. FRN | 1.587 | 9/27/19 | 10,565,000 | 10,567,705 |
| ||||
Firth Third Bank/Cincinnati, OH sr. unsec. FRN Ser. MTN | 1.821 | 8/20/18 | 12,500,000 | 12,576,013 |
| ||||
HBOS PLC unsec. sub. FRN Ser. EMTN (United Kingdom) | 1.646 | 9/6/17 | 8,830,000 | 8,801,303 |
| ||||
HBOS PLC 144A unsec. sub. notes Ser. GMTN | ||||
(United Kingdom) | 6.750 | 5/21/18 | 2,165,000 | 2,280,892 |
| ||||
HSBC USA, Inc. sr. unsec. unsub. FRN | 1.877 | 9/24/18 | 2,190,000 | 2,194,761 |
| ||||
HSBC USA, Inc. sr. unsec. unsub. FRN | 1.651 | 8/7/18 | 13,250,000 | 13,270,723 |
| ||||
HSBC USA, Inc. sr. unsec. unsub. FRN | 1.512 | 11/13/19 | 7,000,000 | 6,985,496 |
| ||||
HSBC USA, Inc. sr. unsec. unsub. FRN | 1.392 | 3/3/17 | 5,000,000 | 5,001,675 |
| ||||
Huntington National Bank (The) sr. unsec. unsub. FRN | 1.468 | 4/24/17 | 24,975,000 | 24,983,317 |
| ||||
Huntington National Bank (The) sr. unsec. unsub. notes | 1.375 | 4/24/17 | 1,833,000 | 1,833,598 |
| ||||
ING Bank NV 144A sr. unsec. FRN (Netherlands) | 1.686 | 8/17/18 | 7,000,000 | 7,030,940 |
| ||||
ING Bank NV 144A sr. unsec. notes (Netherlands) | 3.750 | 3/7/17 | 3,362,000 | 3,370,035 |
| ||||
ING Bank NV 144A sr. unsec. unsub. FRN (Netherlands) | 1.688 | 10/1/19 | 9,455,000 | 9,472,274 |
| ||||
ING Bank NV 144A unsec. FRN (Netherlands) | 1.520 | 3/16/18 | 20,050,000 | 20,080,636 |
| ||||
JPMorgan Chase & Co. sr. unsec. FRN Ser. MTN | 1.441 | 3/1/18 | 5,000,000 | 5,010,205 |
|
18 Short Duration Income Fund |
Interest | Maturity | Principal | ||
CORPORATE BONDS AND NOTES (46.1%)* cont. | rate (%) | date | amount | Value |
| ||||
Banking cont. | ||||
| ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN | 1.996 | 1/23/20 | $23,528,000 | $23,824,900 |
| ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN | 1.938 | 1/25/18 | 10,003,000 | 10,059,007 |
| ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN | 1.588 | 4/25/18 | 7,000,000 | 7,017,213 |
| ||||
JPMorgan Chase & Co. sr. unsec. unsub. FRN Ser. 1 | 1.669 | 1/28/19 | 5,865,000 | 5,881,962 |
| ||||
JPMorgan Chase & Co. unsec. sub. notes | 6.125 | 6/27/17 | 4,257,000 | 4,338,407 |
| ||||
Manufacturers & Traders Trust Co. sr. unsec. | ||||
FRN Ser. BKNT | 1.338 | 7/25/17 | 9,850,000 | 9,858,767 |
| ||||
Manufacturers & Traders Trust Co. sr. unsec. | ||||
notes Ser. BKNT | 1.400 | 7/25/17 | 14,629,000 | 14,639,518 |
| ||||
Manufacturers & Traders Trust Co. unsec. sub. notes | 6.625 | 12/4/17 | 5,960,000 | 6,206,124 |
| ||||
Mizuho Bank, Ltd. 144A company guaranty sr. unsec. | ||||
unsub. FRN (Japan) | 1.637 | 3/26/18 | 10,550,000 | 10,550,654 |
| ||||
Mizuho Bank, Ltd. 144A company guaranty sr. unsec. | ||||
unsub. FRN (Japan) | 1.453 | 4/17/17 | 11,000,000 | 11,004,004 |
| ||||
Mizuho Bank, Ltd. 144A company guaranty sr. unsec. | ||||
unsub. FRN (Japan) | 1.447 | 9/25/17 | 5,995,000 | 5,998,417 |
| ||||
MUFG Union Bank NA sr. unsec. FRN | 1.281 | 5/5/17 | 4,000,000 | 4,003,032 |
| ||||
National Australia Bank, Ltd. 144A sr. unsec. | ||||
FRN (Australia) | 1.641 | 12/9/19 | 2,600,000 | 2,607,808 |
| ||||
National Australia Bank, Ltd. 144A sr. unsec. | ||||
FRN (Australia) | 1.600 | 1/10/20 | 9,750,000 | 9,751,687 |
| ||||
National Australia Bank, Ltd. 144A sr. unsec. unsub. | ||||
FRN (Australia) | 1.803 | 1/14/19 | 30,770,000 | 30,921,573 |
| ||||
National Australia Bank, Ltd. 144A sr. unsec. unsub. | ||||
FRN (Australia) | 1.681 | 7/23/18 | 10,000,000 | 10,029,500 |
| ||||
National Bank of Canada company guaranty sr. unsec. | ||||
FRN Ser. MTN (Canada) | 1.624 | 1/17/20 | 19,750,000 | 19,759,599 |
| ||||
National Bank of Canada sr. unsec. FRN | ||||
Ser. BKNT (Canada) | 1.799 | 12/14/18 | 14,770,000 | 14,848,104 |
| ||||
National City Bank/Cleveland, OH unsec. sub. | ||||
FRN Ser. BKNT | 1.318 | 6/7/17 | 28,214,000 | 28,226,866 |
| ||||
National City Bank/Cleveland, OH unsec. sub. | ||||
notes Ser. BKNT | 5.800 | 6/7/17 | 1,900,000 | 1,927,455 |
| ||||
Nordea Bank AB 144A sr. unsec. unsub. FRN (Sweden) | 1.833 | 9/17/18 | 15,800,000 | 15,893,805 |
| ||||
Nordea Bank AB 144A sr. unsec. unsub. FRN (Sweden) | 1.358 | 4/4/17 | 8,800,000 | 8,799,745 |
| ||||
Nordea Bank AB 144A sr. unsec. unsub. notes (Sweden) | 3.125 | 3/20/17 | 2,240,000 | 2,246,644 |
| ||||
PNC Bank NA sr. unsec. FRN | 1.351 | 12/7/18 | 10,000,000 | 10,021,770 |
| ||||
PNC Bank NA sr. unsec. FRN Ser. MTN | 1.351 | 6/1/18 | 5,500,000 | 5,511,996 |
| ||||
Rabobank Nederland NV/NY sr. unsec. FRN | ||||
Ser. BKNT (Netherlands) | 1.544 | 8/9/19 | 24,600,000 | 24,644,575 |
| ||||
Royal Bank of Canada sr. unsec. unsub. FRN (Canada) | 1.653 | 12/10/18 | 12,000,000 | 12,058,692 |
| ||||
Royal Bank of Canada sr. unsec. unsub. FRN | ||||
Ser. GMTN (Canada) | 1.579 | 7/30/18 | 10,000,000 | 10,018,870 |
| ||||
Royal Bank of Canada sr. unsec. unsub. FRN | ||||
Ser. GMTN (Canada) | 1.519 | 7/29/19 | 10,175,000 | 10,175,580 |
| ||||
Royal Bank of Scotland Group PLC sr. unsec. unsub. FRB | ||||
(United Kingdom) | 1.938 | 3/31/17 | 17,070,000 | 17,070,051 |
| ||||
Royal Bank of Scotland Group PLC sr. unsec. unsub. | ||||
notes (United Kingdom) | 1.875 | 3/31/17 | 2,000,000 | 1,999,488 |
| ||||
Santander Bank, NA sr. unsec. FRN | 1.948 | 1/12/18 | 6,900,000 | 6,903,974 |
| ||||
Santander Holdings USA, Inc. sr. unsec. unsub. FRN | 2.380 | 11/24/17 | 9,096,000 | 9,167,158 |
|
Short Duration Income Fund 19 |
Interest | Maturity | Principal | ||
CORPORATE BONDS AND NOTES (46.1%)* cont. | rate (%) | date | amount | Value |
| ||||
Banking cont. | ||||
| ||||
Santander UK PLC sr. unsec. unsub. FRN | ||||
(United Kingdom) | 1.407 | 9/29/17 | $15,025,000 | $15,019,846 |
| ||||
Santander UK PLC sr. unsec. unsub. FRN Ser. GMTN | ||||
(United Kingdom) | 1.780 | 8/24/18 | 7,000,000 | 7,011,270 |
| ||||
Skandinaviska Enskilda Banken AB 144A sr. unsec. | ||||
FRN (Sweden) | 1.527 | 9/13/19 | 10,450,000 | 10,460,137 |
| ||||
Societe Generale SA company guaranty sr. unsec. | ||||
unsub. FRN (France) | 2.078 | 10/1/18 | 14,625,000 | 14,752,369 |
| ||||
Standard Chartered PLC 144A sr. unsec. FRN | ||||
(United Kingdom) | 2.041 | 8/19/19 | 11,945,000 | 11,998,382 |
| ||||
Sumitomo Mitsui Banking Corp. company guaranty sr. | ||||
unsec. unsub. FRB (Japan) | 1.603 | 1/16/18 | 6,600,000 | 6,608,191 |
| ||||
Sumitomo Mitsui Banking Corp. company guaranty sr. | ||||
unsec. unsub. FRN Ser. GMTN (Japan) | 1.781 | 7/23/18 | 9,250,000 | 9,283,966 |
| ||||
Sumitomo Mitsui Banking Corp. company guaranty sr. | ||||
unsec. unsub. FRN Ser. GMTN (Japan) | 1.335 | 7/11/17 | 5,000,000 | 4,999,625 |
| ||||
Sumitomo Mitsui Banking Corp. 144A company | ||||
guaranty sr. unsec. FRN (Japan) | 1.695 | 10/19/18 | 6,000,000 | 6,007,020 |
| ||||
SunTrust Bank/Atlanta, GA sr. unsec. FRN | 1.564 | 1/31/20 | 14,850,000 | 14,870,686 |
| ||||
SunTrust Bank/Atlanta, GA sr. unsec. FRN Ser. BKNT | 1.346 | 2/15/17 | 18,915,000 | 18,917,005 |
| ||||
SunTrust Bank/Atlanta, GA sr. unsec. notes Ser. BKNT | 1.350 | 2/15/17 | 18,030,000 | 18,032,705 |
| ||||
Svenska Handelsbanken AB company guaranty sr. | ||||
unsec. FRN Ser. BKNT (Sweden) | 1.436 | 9/6/19 | 5,000,000 | 5,003,450 |
| ||||
Svenska Handelsbanken AB company guaranty sr. | ||||
unsec. notes (Sweden) | 2.875 | 4/4/17 | 9,000,000 | 9,029,520 |
| ||||
Toronto-Dominion Bank (The) sr. unsec. FRN | ||||
Ser. GMTN (Canada) | 1.581 | 7/23/18 | 10,000,000 | 10,035,100 |
| ||||
Toronto-Dominion Bank (The) sr. unsec. unsub. | ||||
FRN (Canada) | 1.552 | 8/13/19 | 6,000,000 | 6,027,840 |
| ||||
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN | ||||
Ser. MTN (Canada) | 1.458 | 1/18/19 | 4,950,000 | 4,959,702 |
| ||||
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN | ||||
Ser. MTN (Canada) | 1.441 | 11/5/19 | 2,500,000 | 2,503,180 |
| ||||
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN | ||||
Ser. MTN (Canada) | 1.257 | 3/13/18 | 10,000,000 | 9,996,040 |
| ||||
U.S. Bancorp sr. unsec. unsub. FRN Ser. MTN | 1.396 | 11/15/18 | 10,000,000 | 10,034,740 |
| ||||
U.S. Bank, NA/Cincinnati, OH sr. unsec. FRN Ser. BKNT | 1.519 | 10/28/19 | 19,400,000 | 19,476,708 |
| ||||
U.S. Bank, NA/Cincinnati, OH sr. unsec. FRN Ser. BKNT | 1.153 | 9/11/17 | 10,188,000 | 10,193,705 |
| ||||
U.S. Bank, NA/Cincinnati, OH sr. unsec. FRN | 1.363 | 1/24/20 | 9,900,000 | 9,902,505 |
| ||||
UBS AG/Stamford CT sr. unsec. unsub. FRN | 1.781 | 6/1/20 | 8,400,000 | 8,420,689 |
| ||||
UBS AG/Stamford, CT sr. unsec. FRN Ser. GMTN | 1.697 | 3/26/18 | 16,845,000 | 16,920,803 |
| ||||
UBS AG/Stamford, CT sr. unsec. FRN Ser. GMTN | 1.542 | 8/14/19 | 22,150,000 | 22,240,992 |
| ||||
Wells Fargo & Co. sr. unsec. FRN | 1.501 | 4/22/19 | 4,839,000 | 4,828,514 |
| ||||
Wells Fargo & Co. sr. unsec. unsub. FRN | 1.671 | 4/23/18 | 8,000,000 | 8,027,464 |
| ||||
Wells Fargo & Co. sr. unsec. unsub. FRN | 1.359 | 9/14/18 | 12,933,000 | 12,931,888 |
| ||||
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN | 1.921 | 7/22/20 | 5,287,000 | 5,311,241 |
| ||||
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. N | 1.719 | 1/30/20 | 17,300,000 | 17,308,494 |
| ||||
Wells Fargo Bank, NA sr. unsec. FRN Ser. BKNT | 1.781 | 1/22/18 | 7,825,000 | 7,875,792 |
| ||||
Westpac Banking Corp. sr. unsec. unsub. FRN (Australia) | 1.660 | 11/23/18 | 10,000,000 | 10,064,540 |
|
20 Short Duration Income Fund |
Interest | Maturity | Principal | ||
CORPORATE BONDS AND NOTES (46.1%)* cont. | rate (%) | date | amount | Value |
| ||||
Banking cont. | ||||
| ||||
Westpac Banking Corp. sr. unsec. unsub. FRN (Australia) | 1.360 | 5/25/18 | $11,000,000 | $11,008,283 |
| ||||
Westpac Banking Corp. sr. unsec. unsub. FRN (Australia) | 1.301 | 12/1/17 | 7,000,000 | 7,006,916 |
| ||||
1,431,041,164 | ||||
| ||||
Capital goods (0.7%) | ||||
| ||||
John Deere Capital Corp. sr. unsec. FRN Ser. MTN | 1.183 | 12/15/17 | 10,000,000 | 10,013,110 |
| ||||
John Deere Capital Corp. sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.313 | 1/16/18 | 6,000,000 | 6,005,676 |
| ||||
John Deere Capital Corp. sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.294 | 10/9/19 | 10,000,000 | 10,000,320 |
| ||||
United Technologies Corp. sr. unsec. unsub. FRN | 1.236 | 11/1/19 | 10,000,000 | 10,045,560 |
| ||||
36,064,666 | ||||
| ||||
Communication services (1.5%) | ||||
| ||||
AT&T, Inc. sr. unsec. unsub. FRN | 1.847 | 11/27/18 | 10,000,000 | 10,068,060 |
| ||||
Deutsche Telekom International Finance BV 144A | ||||
company guaranty sr. unsec. FRN (Netherlands) | 1.605 | 1/17/20 | 12,750,000 | 12,766,945 |
| ||||
Deutsche Telekom International Finance BV 144A | ||||
company guaranty sr. unsec. unsub. FRN (Netherlands) | 1.443 | 9/19/19 | 1,345,000 | 1,342,887 |
| ||||
Deutsche Telekom International Finance | ||||
BV 144A company guaranty sr. unsec. unsub. | ||||
notes (Netherlands) | 2.250 | 3/6/17 | 12,334,000 | 12,346,753 |
| ||||
Time Warner Cable, Inc. company guaranty sr. unsec. | ||||
unsub. notes | 5.850 | 5/1/17 | 6,755,000 | 6,828,798 |
| ||||
Verizon Communications, Inc. sr. unsec. unsub. FRN | 1.351 | 6/9/17 | 13,000,000 | 13,016,328 |
| ||||
Verizon Communications, Inc. sr. unsec. unsub. FRN | 1.276 | 8/15/19 | 23,331,000 | 23,282,168 |
| ||||
79,651,939 | ||||
| ||||
Conglomerates (0.8%) | ||||
| ||||
General Electric Capital Corp. company guaranty sr. | ||||
unsec. unsub. FRN Ser. MTN | 1.151 | 8/7/18 | 4,062,000 | 4,066,614 |
| ||||
General Electric Co. sr. unsec. FRN Ser. GMTN | 1.629 | 1/9/20 | 15,149,000 | 15,305,959 |
| ||||
Siemens Financieringsmaatschappij NV 144A company | ||||
guaranty sr. unsec. FRN (Netherlands) | 1.277 | 9/13/19 | 15,000,000 | 15,014,940 |
| ||||
Siemens Financieringsmaatschappij NV 144A company | ||||
guaranty sr. unsec. FRN (Netherlands) | 1.210 | 5/25/18 | 10,000,000 | 10,004,640 |
| ||||
44,392,153 | ||||
| ||||
Consumer cyclicals (3.8%) | ||||
| ||||
Daimler Finance North America, LLC 144A company | ||||
guaranty sr. unsec. FRN | 1.739 | 7/5/19 | 10,000,000 | 10,035,320 |
| ||||
Daimler Finance North America, LLC 144A company | ||||
guaranty sr. unsec. FRN | 1.659 | 10/30/19 | 15,000,000 | 15,008,610 |
| ||||
Daimler Finance North America, LLC 144A company | ||||
guaranty sr. unsec. FRN | 1.635 | 1/6/20 | 9,750,000 | 9,780,839 |
| ||||
Daimler Finance North America, LLC 144A company | ||||
guaranty sr. unsec. FRN | 1.591 | 8/3/17 | 2,450,000 | 2,455,713 |
| ||||
Daimler Finance North America, LLC 144A company | ||||
guaranty sr. unsec. FRN | 1.303 | 3/10/17 | 6,550,000 | 6,551,258 |
| ||||
Daimler Finance North America, LLC 144A company | ||||
guaranty sr. unsec. FRN | 1.226 | 8/1/17 | 6,000,000 | 6,004,356 |
| ||||
Ford Motor Credit Co., LLC sr. unsec. unsub. FRB | 1.806 | 11/4/19 | 4,325,000 | 4,333,481 |
| ||||
Ford Motor Credit Co., LLC sr. unsec. unsub. FRN | 1.516 | 12/6/17 | 15,000,000 | 15,008,490 |
| ||||
Ford Motor Credit Co., LLC sr. unsec. unsub. FRN | 1.471 | 9/8/17 | 5,950,000 | 5,951,898 |
|
Short Duration Income Fund 21 |
Interest | Maturity | Principal | ||
CORPORATE BONDS AND NOTES (46.1%)* cont. | rate (%) | date | amount | Value |
| ||||
Consumer cyclicals cont. | ||||
| ||||
General Motors Financial Co., Inc. company guaranty sr. | ||||
unsec. unsub. FRN | 2.484 | 5/9/19 | $21,415,000 | $21,632,940 |
| ||||
General Motors Financial Co., Inc. company guaranty sr. | ||||
unsec. unsub. FRN | 2.370 | 4/10/18 | 16,790,000 | 16,929,139 |
| ||||
Hyundai Capital Services, Inc. 144A sr. unsec. unsub. | ||||
FRN (South Korea) | 1.793 | 3/18/17 | 3,000,000 | 3,002,820 |
| ||||
Lowe’s Cos., Inc. sr. unsec. unsub. notes | 1.625 | 4/15/17 | 7,300,000 | 7,305,804 |
| ||||
Nissan Motor Acceptance Corp. 144A sr. unsec. FRN | 1.805 | 4/6/18 | 5,000,000 | 5,025,755 |
| ||||
Nissan Motor Acceptance Corp. 144A sr. unsec. FRN | 1.602 | 1/13/20 | 9,750,000 | 9,759,662 |
| ||||
Nissan Motor Acceptance Corp. 144A sr. unsec. FRN | 1.492 | 3/3/17 | 7,900,000 | 7,903,721 |
| ||||
Nissan Motor Acceptance Corp. 144A sr. unsec. FRN | 1.477 | 9/13/19 | 15,000,000 | 14,998,995 |
| ||||
Toyota Motor Credit Corp. sr. unsec. unsub. | ||||
FRB Ser. GMTN | 1.482 | 7/13/18 | 10,000,000 | 10,040,510 |
| ||||
Toyota Motor Credit Corp. sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.464 | 10/18/19 | 8,500,000 | 8,534,595 |
| ||||
Toyota Motor Credit Corp. sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.413 | 1/17/19 | 2,105,000 | 2,111,925 |
| ||||
Toyota Motor Credit Corp. sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.111 | 5/16/17 | 10,272,000 | 10,274,414 |
| ||||
Walt Disney Co. (The) sr. unsec. unsub. FRN | 1.329 | 1/8/19 | 15,000,000 | 15,055,470 |
| ||||
207,705,715 | ||||
| ||||
Consumer finance (1.5%) | ||||
| ||||
American Express Bank FSB sr. unsec. unsub. | ||||
FRN Ser. BKNT | 1.065 | 6/12/17 | 12,340,000 | 12,348,107 |
| ||||
American Express Co. sr. unsec. unsub. FRN | 1.506 | 5/22/18 | 7,860,000 | 7,881,969 |
| ||||
American Express Credit Corp. sr. unsec. unsub. FRN | 1.543 | 3/18/19 | 10,921,000 | 10,951,360 |
| ||||
American Express Credit Corp. sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.609 | 10/30/19 | 5,000,000 | 5,007,860 |
| ||||
American Honda Finance Corp. sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.482 | 7/13/18 | 7,000,000 | 7,026,075 |
| ||||
American Honda Finance Corp. sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.263 | 12/11/17 | 15,000,000 | 15,018,060 |
| ||||
Capital One Bank USA NA sr. unsec. notes Ser. BKNT | 1.200 | 2/13/17 | 4,720,000 | 4,720,283 |
| ||||
Synchrony Financial sr. unsec. unsub. FRN | 2.434 | 11/9/17 | 15,000,000 | 15,088,950 |
| ||||
Synchrony Financial sr. unsec. unsub. notes | 1.875 | 8/15/17 | 5,935,000 | 5,939,137 |
| ||||
83,981,801 | ||||
| ||||
Consumer staples (0.9%) | ||||
| ||||
Anheuser-Busch InBev Finance, Inc. company guaranty | ||||
sr. unsec. unsub. FRN | 1.286 | 2/1/19 | 3,874,000 | 3,883,387 |
| ||||
Molson Coors Brewing Co. company guaranty sr. unsec. | ||||
unsub. notes | 1.450 | 7/15/19 | 3,000,000 | 2,959,305 |
| ||||
Mondelez International Holdings Netherlands BV 144A | ||||
company guaranty sr. unsec. unsub. FRN (Netherlands) | 1.649 | 10/28/19 | 28,600,000 | 28,695,982 |
| ||||
PepsiCo, Inc. sr. unsec. unsub. FRN | 1.506 | 2/22/19 | 4,230,000 | 4,262,309 |
| ||||
PepsiCo, Inc. sr. unsec. unsub. FRN | 1.372 | 10/13/17 | 10,510,000 | 10,539,186 |
| ||||
50,340,169 | ||||
| ||||
Energy (1.4%) | ||||
| ||||
BP Capital Markets PLC company guaranty sr. unsec. | ||||
unsub. FRN (United Kingdom) | 1.422 | 5/10/19 | 2,000,000 | 2,000,358 |
| ||||
BP Capital Markets PLC company guaranty sr. unsec. | ||||
unsub. FRN (United Kingdom) | 1.232 | 2/10/17 | 12,050,000 | 12,051,277 |
|
22 Short Duration Income Fund |
Interest | Maturity | Principal | ||
CORPORATE BONDS AND NOTES (46.1%)* cont. | rate (%) | date | amount | Value |
| ||||
Energy cont. | ||||
| ||||
BP Capital Markets PLC company guaranty sr. unsec. | ||||
unsub. notes (United Kingdom) | 1.846 | 5/5/17 | $9,266,000 | $9,283,633 |
| ||||
Chevron Corp. sr. unsec. FRN | 1.316 | 11/15/19 | 9,800,000 | 9,832,075 |
| ||||
Chevron Corp. sr. unsec. unsub. FRN | 1.411 | 5/16/18 | 15,000,000 | 15,067,230 |
| ||||
Total Capital International SA company guaranty sr. | ||||
unsec. unsub. FRN (France) | 1.343 | 6/19/19 | 4,525,000 | 4,515,461 |
| ||||
Total Capital International SA company guaranty sr. | ||||
unsec. unsub. notes (France) | 1.500 | 2/17/17 | 21,100,000 | 21,105,444 |
| ||||
73,855,478 | ||||
| ||||
Financial (1.4%) | ||||
| ||||
Berkshire Hathaway Finance Corp. company guaranty | ||||
sr. unsec. unsub. FRN | 1.498 | 3/7/18 | 10,000,000 | 10,055,730 |
| ||||
Berkshire Hathaway Finance Corp. company guaranty | ||||
sr. unsec. unsub. FRN | 1.338 | 1/10/20 | 19,750,000 | 19,805,616 |
| ||||
Berkshire Hathaway Finance Corp. company guaranty | ||||
sr. unsec. unsub. FRN | 1.318 | 1/12/18 | 10,000,000 | 10,030,390 |
| ||||
Morgan Stanley sr. unsec. unsub. FRN | 1.950 | 6/16/20 | 6,042,000 | 6,083,140 |
| ||||
Morgan Stanley sr. unsec. unsub. FRN | 1.893 | 1/24/19 | 28,420,000 | 28,608,595 |
| ||||
Morgan Stanley sr. unsec. unsub. FRN | 1.739 | 1/5/18 | 1,718,000 | 1,723,651 |
| ||||
76,307,122 | ||||
| ||||
Health care (1.1%) | ||||
| ||||
Actavis Funding SCS company guaranty sr. unsec. | ||||
unsub. FRN (Luxembourg) | 2.033 | 3/12/18 | 10,000,000 | 10,065,900 |
| ||||
Amgen, Inc. sr. unsec. FRN | 1.296 | 5/22/17 | 22,950,000 | 22,974,993 |
| ||||
AstraZeneca PLC sr. unsec. unsub. FRN | ||||
(United Kingdom) | 1.441 | 11/16/18 | 10,000,000 | 10,059,310 |
| ||||
Bayer US Finance, LLC 144A company guaranty sr. | ||||
unsec. unsub. FRN | 1.285 | 10/6/17 | 16,595,000 | 16,571,302 |
| ||||
59,671,505 | ||||
| ||||
Insurance (2.0%) | ||||
| ||||
Hartford Financial Services Group, Inc. (The) sr. | ||||
unsec. notes | 5.375 | 3/15/17 | 16,000,000 | 16,079,216 |
| ||||
Jackson National Life Global Funding 144A sr. FRN | 1.603 | 10/13/17 | 10,222,000 | 10,239,224 |
| ||||
Metropolitan Life Global Funding I 144A FRN | 1.423 | 12/19/18 | 10,000,000 | 10,021,250 |
| ||||
Metropolitan Life Global Funding I 144A FRN | 1.299 | 9/14/18 | 25,000,000 | 24,993,875 |
| ||||
New York Life Global Funding 144A FRN | 1.433 | 10/24/19 | 15,000,000 | 15,024,600 |
| ||||
New York Life Global Funding 144A FRN | 1.405 | 4/6/18 | 10,600,000 | 10,634,270 |
| ||||
New York Life Global Funding 144A FRN | 1.243 | 12/15/17 | 10,000,000 | 10,021,810 |
| ||||
Principal Life Global Funding II 144A sr. FRN | 1.431 | 12/1/17 | 10,000,000 | 10,036,640 |
| ||||
107,050,885 | ||||
| ||||
Investment banking/Brokerage (0.9%) | ||||
| ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN | 1.757 | 12/13/19 | 10,000,000 | 10,005,490 |
| ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. | ||||
FRN Ser. MTN | 2.006 | 11/15/18 | 10,000,000 | 10,099,400 |
| ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.763 | 12/15/17 | 11,719,000 | 11,758,692 |
| ||||
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. | ||||
FRN Ser. MTN | 1.567 | 6/4/17 | 10,200,000 | 10,214,861 |
|
Short Duration Income Fund 23 |
Interest | Maturity | Principal | ||
CORPORATE BONDS AND NOTES (46.1%)* cont. | rate (%) | date | amount | Value |
| ||||
Investment banking/Brokerage cont. | ||||
| ||||
Macquarie Bank, Ltd. 144A sr. unsec. FRN (Australia) | 1.787 | 3/24/17 | $2,365,000 | $2,367,367 |
| ||||
Macquarie Bank, Ltd. 144A sr. unsec. unsub. | ||||
FRN (Australia) | 1.662 | 10/27/17 | 4,085,000 | 4,091,659 |
| ||||
48,537,469 | ||||
| ||||
Real estate (1.6%) | ||||
| ||||
Boston Properties LP sr. unsec. unsub. notes R | 3.700 | 11/15/18 | 28,600,000 | 29,399,685 |
| ||||
Brandywine Operating Partnership LP company | ||||
guaranty sr. unsec. unsub. notes R | 5.700 | 5/1/17 | 23,408,000 | 23,634,894 |
| ||||
ERP Operating LP sr. unsec. notes R | 5.750 | 6/15/17 | 17,026,000 | 17,297,275 |
| ||||
Ventas Realty LP company guaranty sr. unsec. | ||||
sub. notes R | 1.250 | 4/17/17 | 17,719,000 | 17,713,383 |
| ||||
88,045,237 | ||||
| ||||
Technology (0.5%) | ||||
| ||||
Cisco Systems, Inc. sr. unsec. FRN | 1.273 | 6/15/18 | 10,000,000 | 10,030,750 |
| ||||
Cisco Systems, Inc. sr. unsec. unsub. FRN | 1.511 | 2/21/18 | 5,000,000 | 5,031,105 |
| ||||
QUALCOMM, Inc. sr. unsec. unsub. FRN | 1.181 | 5/18/18 | 10,000,000 | 9,997,920 |
| ||||
25,059,775 | ||||
| ||||
Transportation (—%) | ||||
| ||||
Continental Airlines, Inc. Pass-Through Trust | ||||
pass-through certificates Ser. 97-4, Class A | 6.900 | 1/2/18 | 397,891 | 401,870 |
| ||||
401,870 | ||||
| ||||
Utilities and power (1.5%) | ||||
| ||||
DTE Energy Co. sr. unsec. notes | 1.500 | 10/1/19 | 7,000,000 | 6,889,414 |
| ||||
Duke Energy Corp. sr. unsec. FRN | 1.378 | 4/3/17 | 17,471,000 | 17,482,513 |
| ||||
Duke Energy Progress, Inc. sr. mtge. FRN | 1.146 | 3/6/17 | 14,964,000 | 14,968,654 |
| ||||
Enbridge, Inc. sr. unsec. unsub. FRN (Canada) | 1.384 | 6/2/17 | 5,000,000 | 5,001,410 |
| ||||
Exelon Corp. sr. unsec. unsub. notes | 1.550 | 6/9/17 | 12,380,000 | 12,379,307 |
| ||||
NextEra Energy Capital Holdings, Inc. company | ||||
guaranty sr. unsec. notes | 1.649 | 9/1/18 | 7,000,000 | 6,983,438 |
| ||||
Sempra Energy sr. unsec. unsub. notes | 1.625 | 10/7/19 | 10,000,000 | 9,886,250 |
| ||||
Xcel Energy, Inc. sr. unsec. unsub. notes | 1.200 | 6/1/17 | 5,000,000 | 4,995,335 |
| ||||
78,586,321 | ||||
| ||||
Total corporate bonds and notes (cost $2,486,689,779) | $2,490,693,269 | |||
|
Maturity | Principal | |||
COMMERCIAL PAPER (39.9%)* | Yield (%) | date | amount | Value |
| ||||
ABN AMRO Funding USA, LLC | 1.033 | 4/7/17 | $7,000,000 | $6,987,475 |
| ||||
ABN AMRO Funding USA, LLC | 1.093 | 3/28/17 | 9,750,000 | 9,735,850 |
| ||||
ABN AMRO Funding USA, LLC | 1.113 | 3/16/17 | 18,000,000 | 17,979,914 |
| ||||
Aegon N.V. 144A (Netherlands) | 1.153 | 4/25/17 | 18,750,000 | 18,697,412 |
| ||||
Aegon N.V. 144A (Netherlands) | 1.153 | 4/18/17 | 30,000,000 | 29,924,988 |
| ||||
Albermarle Corp. | 1.311 | 2/21/17 | 19,875,000 | 19,860,716 |
| ||||
Amcor Finance (USA), Inc. | 1.001 | 2/14/17 | 7,200,000 | 7,197,323 |
| ||||
Amcor, Ltd./Australia (Australia) | 1.072 | 3/21/17 | 15,000,000 | 14,978,113 |
| ||||
Amcor, Ltd./Australia (Australia) | 1.102 | 3/20/17 | 20,000,000 | 19,971,467 |
| ||||
American Express Credit Corp. | 1.102 | 2/27/17 | 5,000,000 | 4,996,486 |
| ||||
Amphenol Corp. | 1.031 | 3/9/17 | 20,000,000 | 19,978,376 |
| ||||
Amphenol Corp. | 1.001 | 2/1/17 | 19,750,000 | 19,749,483 |
|
24 Short Duration Income Fund |
Maturity | Principal | |||
COMMERCIAL PAPER (39.9%)* cont. | Yield (%) | date | amount | Value |
| ||||
Anheuser-Busch InBev Worldwide, Inc. | 1.153 | 3/15/17 | $20,000,000 | $19,982,992 |
| ||||
Anthem, Inc. | 0.951 | 2/22/17 | 15,000,000 | 14,991,447 |
| ||||
Anthem, Inc. | 0.951 | 2/21/17 | 24,750,000 | 24,736,544 |
| ||||
Autonation, Inc. | 1.170 | 2/1/17 | 39,000,000 | 38,998,684 |
| ||||
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) (Japan) | 1.248 | 4/28/17 | 5,000,000 | 4,988,122 |
| ||||
Bell Canada, Inc. (Canada) | 1.193 | 3/1/17 | 1,200,000 | 1,199,092 |
| ||||
Bell Canada, Inc. (Canada) | 1.099 | 2/28/17 | 18,200,000 | 18,186,721 |
| ||||
Bell Canada, Inc. (Canada) | 1.013 | 2/13/17 | 10,000,000 | 9,996,660 |
| ||||
Bell Canada, Inc. (Canada) | 1.041 | 2/7/17 | 11,750,000 | 11,747,898 |
| ||||
Berkshire Hathaway Energy Co. | 0.920 | 2/8/17 | 15,500,000 | 15,496,725 |
| ||||
BP Capital Markets PLC (United Kingdom) | 1.133 | 4/10/17 | 9,750,000 | 9,731,350 |
| ||||
BPCE SA (France) | 1.032 | 3/1/17 | 18,250,000 | 18,239,841 |
| ||||
Cabot Corp. | 1.031 | 2/3/17 | 21,750,000 | 21,748,285 |
| ||||
Canadian Imperial Bank of Commerce (Canada) | 1.194 | 7/20/17 | 10,000,000 | 10,002,310 |
| ||||
Canadian Natural Resources, Ltd. (Canada) | 1.331 | 2/27/17 | 12,000,000 | 11,989,768 |
| ||||
Canadian Natural Resources, Ltd. (Canada) | 1.281 | 2/23/17 | 29,750,000 | 29,728,446 |
| ||||
Canadian Natural Resources, Ltd. (Canada) | 1.301 | 2/2/17 | 5,000,000 | 4,999,690 |
| ||||
Caterpillar Financial Services Corp. | 0.982 | 3/21/17 | 8,682,000 | 8,673,929 |
| ||||
CenterPoint Energy Resources Corp. | 1.101 | 2/1/17 | 5,000,000 | 4,999,869 |
| ||||
CenterPoint Energy, Inc. | 1.012 | 2/3/17 | 15,000,000 | 14,998,818 |
| ||||
CenterPoint Energy, Inc. | 1.112 | 2/1/17 | 18,700,000 | 18,699,509 |
| ||||
Church & Dwight Co. Inc. | 0.921 | 2/21/17 | 20,000,000 | 19,988,426 |
| ||||
Church & Dwight Co. Inc. 144A | 1.001 | 2/24/17 | 17,720,000 | 17,708,092 |
| ||||
Commerzbank US Finance, Inc. | 1.143 | 3/6/17 | 25,000,000 | 24,982,127 |
| ||||
Commonwealth Bank of Australia 144A (Australia) | 1.002 | 3/14/17 | 5,000,000 | 4,996,226 |
| ||||
CRH America Finance, Inc. | 1.103 | 4/26/17 | 4,500,000 | 4,487,176 |
| ||||
CRH America Finance, Inc. | 1.052 | 3/27/17 | 3,500,000 | 3,494,214 |
| ||||
CVS Health Corp. | 1.052 | 2/9/17 | 10,000,000 | 9,997,620 |
| ||||
CVS Health Corp. | 1.022 | 2/7/17 | 10,000,000 | 9,998,153 |
| ||||
CVS Health Corp. | 1.022 | 2/6/17 | 14,000,000 | 13,997,785 |
| ||||
Danske Corp. (Denmark) | 1.023 | 4/12/17 | 16,700,000 | 16,664,857 |
| ||||
Danske Corp. (Denmark) | 1.248 | 4/6/17 | 3,000,000 | 2,994,448 |
| ||||
Discovery Communications, LLC | 1.100 | 2/1/17 | 15,000,000 | 14,999,494 |
| ||||
DnB Bank ASA (Norway) | 1.075 | 4/25/17 | 5,000,000 | 4,989,337 |
| ||||
DnB Bank ASA 144A (Norway) | 1.269 | 1/19/18 | 10,000,000 | 9,999,010 |
| ||||
DnB Bank ASA 144A (Norway) | 1.086 | 2/3/17 | 5,000,000 | 4,999,743 |
| ||||
DnB Bank ASA 144A FRN (Norway) | 1.133 | 3/10/17 | 5,000,000 | 5,003,230 |
| ||||
Dollar General Corp. | 1.001 | 2/7/17 | 8,690,000 | 8,688,226 |
| ||||
Dollar General Corp. | 0.950 | 2/1/17 | 34,750,000 | 34,749,024 |
| ||||
Dominion Resources, Inc./VA | 1.041 | 3/13/17 | 10,000,000 | 9,987,951 |
| ||||
Dominion Resources, Inc./VA 144A | 1.021 | 3/22/17 | 29,750,000 | 29,705,664 |
| ||||
E. I. du Pont de Nemours & Co. | 1.031 | 3/7/17 | 13,000,000 | 12,987,196 |
| ||||
E. I. du Pont de Nemours & Co. | 1.101 | 2/8/17 | 29,750,000 | 29,743,515 |
| ||||
Electricite De France SA (France) | 1.162 | 3/8/17 | 20,000,000 | 19,979,960 |
| ||||
Enbridge Energy Partners LP | 1.100 | 2/2/17 | 10,000,000 | 9,999,380 |
| ||||
Energy Transfer Partners LP | 1.200 | 2/1/17 | 32,000,000 | 31,998,920 |
| ||||
Enterprise Products Operating, LLC | 1.041 | 3/1/17 | 25,000,000 | 24,979,156 |
| ||||
Enterprise Products Operating, LLC | 1.051 | 2/14/17 | 8,000,000 | 7,997,026 |
| ||||
Enterprise Products Operating, LLC 144A | 1.051 | 2/24/17 | 7,750,000 | 7,744,792 |
| ||||
Equifax, Inc. 144A | 1.042 | 3/17/17 | 18,000,000 | 17,976,038 |
|
Short Duration Income Fund 25 |
Maturity | Principal | |||
COMMERCIAL PAPER (39.9%)* cont. | Yield (%) | date | amount | Value |
| ||||
ERP Operating LP | 1.051 | 2/14/17 | $20,000,000 | $19,992,564 |
| ||||
Experian Finance PLC (United Kingdom) | 1.052 | 2/23/17 | 17,750,000 | 17,739,408 |
| ||||
Experian Finance PLC (United Kingdom) | 1.002 | 2/14/17 | 24,100,000 | 24,091,321 |
| ||||
FMC Technologies, Inc. | 1.202 | 3/13/17 | 7,700,000 | 7,690,722 |
| ||||
FMC Technologies, Inc. | 1.051 | 3/8/17 | 5,000,000 | 4,994,750 |
| ||||
FMC Technologies, Inc. | 0.990 | 2/23/17 | 7,450,000 | 7,445,226 |
| ||||
FMC Technologies, Inc. | 1.022 | 2/2/17 | 20,000,000 | 19,998,949 |
| ||||
Ford Motor Credit Co., LLC | 1.430 | 4/24/17 | 5,000,000 | 4,985,417 |
| ||||
Ford Motor Credit Co., LLC | 1.277 | 4/12/17 | 7,500,000 | 7,482,176 |
| ||||
Ford Motor Credit Co., LLC | 1.153 | 4/4/17 | 10,000,000 | 9,979,613 |
| ||||
Ford Motor Credit Co., LLC | 1.103 | 3/2/17 | 925,000 | 924,191 |
| ||||
Ford Motor Credit Co., LLC | 1.134 | 3/1/17 | 1,083,000 | 1,082,087 |
| ||||
HSBC USA, Inc. 144A | 1.236 | 5/3/17 | 2,500,000 | 2,501,698 |
| ||||
HSBC USA, Inc. 144A | 1.243 | 4/6/17 | 10,000,000 | 9,985,556 |
| ||||
Humana, Inc. | 1.051 | 2/23/17 | 10,000,000 | 9,992,755 |
| ||||
Humana, Inc. | 1.076 | 2/9/17 | 2,450,000 | 2,449,313 |
| ||||
Humana, Inc. 144A | 1.051 | 2/28/17 | 12,000,000 | 11,989,379 |
| ||||
Humana, Inc. 144A | 1.101 | 2/21/17 | 15,000,000 | 14,990,095 |
| ||||
Hyundai Capital America (South Korea) | 1.031 | 2/24/17 | 36,000,000 | 35,975,808 |
| ||||
ING US Funding, LLC | 1.227 | 3/22/17 | 5,000,000 | 4,994,007 |
| ||||
Kansas City Southern | 1.050 | 2/1/17 | 40,000,000 | 39,998,650 |
| ||||
Kraft Heinz Foods Co. | 1.031 | 2/24/17 | 2,750,000 | 2,747,736 |
| ||||
Kraft Heinz Foods Co. | 1.151 | 2/7/17 | 15,000,000 | 14,996,442 |
| ||||
Kroger Co. (The) | 0.910 | 2/7/17 | 30,000,000 | 29,994,458 |
| ||||
LyondellBasell Investment LLC | 1.002 | 3/30/17 | 18,600,000 | 18,567,426 |
| ||||
Macquarie Bank Ltd. (Australia) | 1.183 | 3/14/17 | 13,000,000 | 12,986,684 |
| ||||
Marriott International, Inc./MD | 1.202 | 3/21/17 | 18,000,000 | 17,973,736 |
| ||||
Marriott International, Inc./MD | 1.101 | 3/7/17 | 10,000,000 | 9,989,811 |
| ||||
Marriott International, Inc./MD | 1.182 | 3/6/17 | 3,453,000 | 3,449,586 |
| ||||
Marriott International, Inc./MD | 1.151 | 2/9/17 | 6,500,000 | 6,498,453 |
| ||||
McKesson Co. | 1.052 | 2/27/17 | 24,970,000 | 24,950,823 |
| ||||
McKesson Co. | 1.021 | 2/16/17 | 12,500,000 | 12,494,650 |
| ||||
Medtronic Global Holdings SCA (Luxembourg) | 1.011 | 3/3/17 | 9,750,000 | 9,742,091 |
| ||||
Mizuho Bank Ltd./New York, NY | 1.103 | 4/10/17 | 4,750,000 | 4,742,070 |
| ||||
Mizuho Bank, Ltd./NY | 1.176 | 2/27/17 | 9,000,000 | 8,995,262 |
| ||||
Mohawk Industries, Inc. | 0.951 | 2/16/17 | 20,000,000 | 19,991,440 |
| ||||
Mondelez International, Inc. | 1.113 | 4/18/17 | 4,600,000 | 4,588,498 |
| ||||
Mondelez International, Inc. | 0.971 | 2/14/17 | 5,050,000 | 5,048,123 |
| ||||
Monsanto Co. | 1.263 | 3/28/17 | 29,000,000 | 28,951,144 |
| ||||
Moody’s Corp. | 1.082 | 3/17/17 | 5,000,000 | 4,993,344 |
| ||||
Nationwide Building Society (United Kingdom) | 1.216 | 6/1/17 | 24,750,000 | 24,645,849 |
| ||||
Nationwide Building Society (United Kingdom) | 1.103 | 4/3/17 | 10,000,000 | 9,983,604 |
| ||||
NBCUniversal Enterprise, Inc. | 1.022 | 2/6/17 | 24,409,000 | 24,405,139 |
| ||||
NiSource Finance Corp. | 1.253 | 4/10/17 | 8,000,000 | 7,982,643 |
| ||||
NiSource Finance Corp. | 1.252 | 3/9/17 | 7,000,000 | 6,992,432 |
| ||||
NiSource Finance Corp. | 1.227 | 3/8/17 | 14,730,000 | 14,714,534 |
| ||||
Nissan Motor Acceptance Corp. | 1.053 | 5/15/17 | 5,000,000 | 4,981,424 |
| ||||
Nissan Motor Acceptance Corp. | 0.992 | 2/13/17 | 7,300,000 | 7,297,482 |
| ||||
Nordea Bank AB (Sweden) | 1.157 | 7/25/17 | 10,000,000 | 9,945,799 |
| ||||
ONEOK Partners LP | 1.252 | 2/22/17 | 19,000,000 | 18,988,423 |
|
26 Short Duration Income Fund |
Maturity | Principal | |||
COMMERCIAL PAPER (39.9%)* cont. | Yield (%) | date | amount | Value |
| ||||
ONEOK Partners, LP | 1.302 | 2/16/17 | $25,000,000 | $24,989,300 |
| ||||
Public Service Company of North Carolina | 1.001 | 2/10/17 | 23,100,000 | 23,093,885 |
| ||||
SCANA Corp. | 1.051 | 2/10/17 | 4,500,000 | 4,498,596 |
| ||||
SCANA Corp. | 1.151 | 2/2/17 | 12,000,000 | 11,999,256 |
| ||||
Schlumberger Holdings Corp. | 1.002 | 3/24/17 | 5,000,000 | 4,992,944 |
| ||||
Schlumberger Holdings Corp. | 1.132 | 3/3/17 | 9,750,000 | 9,742,363 |
| ||||
Schlumberger Holdings Corp. | 1.033 | 2/3/17 | 15,000,000 | 14,998,855 |
| ||||
Schlumberger Holdings Corp. 144A | 1.123 | 4/11/17 | 10,000,000 | 9,979,583 |
| ||||
Sempra Global | 1.121 | 3/2/17 | 6,000,000 | 5,994,800 |
| ||||
Sempra Global | 1.233 | 2/22/17 | 730,000 | 729,555 |
| ||||
Sempra Global | 1.051 | 2/15/17 | 13,500,000 | 13,494,617 |
| ||||
Sempra Global | 1.162 | 2/8/17 | 8,217,000 | 8,215,264 |
| ||||
Simon Property Group LP | 1.095 | 5/15/17 | 27,750,000 | 27,671,357 |
| ||||
Skandinaviska Enskilda Banken AB (Sweden) | 0.902 | 3/2/17 | 625,000 | 624,656 |
| ||||
Southern Co. (The) | 1.011 | 3/3/17 | 10,000,000 | 9,991,027 |
| ||||
Southern Co. (The) 144A | 1.051 | 3/10/17 | 25,000,000 | 24,972,213 |
| ||||
Standard Chartered Bank/New York 144A | 1.003 | 3/6/17 | 10,000,000 | 9,993,039 |
| ||||
Standard Chartered Bank/New York, NY | 0.993 | 2/22/17 | 13,000,000 | 12,994,558 |
| ||||
Suncor Energy, Inc. (Canada) | 1.102 | 2/13/17 | 23,000,000 | 22,992,067 |
| ||||
Suncor Energy, Inc. (Canada) | 0.960 | 2/10/17 | 14,750,000 | 14,746,095 |
| ||||
Suncorp Group Ltd. (Australia) | 1.054 | 3/6/17 | 13,000,000 | 12,988,373 |
| ||||
Suncorp Group Ltd. (Australia) | 1.206 | 2/28/17 | 15,000,000 | 14,989,057 |
| ||||
Swedbank AB (Sweden) | 1.177 | 7/28/17 | 14,750,000 | 14,666,348 |
| ||||
Syngenta Wilmington, Inc. | 1.001 | 2/13/17 | 20,000,000 | 19,993,826 |
| ||||
TELUS Corp. (Canada) | 1.153 | 4/25/17 | 3,000,000 | 2,991,586 |
| ||||
TELUS Corp. (Canada) | 1.072 | 3/30/17 | 17,100,000 | 17,070,053 |
| ||||
TELUS Corp. (Canada) | 1.001 | 2/9/17 | 13,750,000 | 13,746,728 |
| ||||
The Clorox Co. | 1.092 | 2/15/17 | 15,000,000 | 14,994,019 |
| ||||
The Clorox Co. | 1.152 | 2/9/17 | 10,200,000 | 10,197,572 |
| ||||
Time Warner Inc. | 1.049 | 2/7/17 | 10,635,000 | 10,633,036 |
| ||||
Toronto-Dominion Holdings USA (Canada) | 1.053 | 3/24/17 | 7,000,000 | 6,992,649 |
| ||||
Total Capital Canada Ltd. (Canada) | 0.932 | 4/26/17 | 9,070,000 | 9,046,657 |
| ||||
Toyota Motor Credit Corp. FRN | 1.202 | 4/4/17 | 4,000,000 | 4,002,352 |
| ||||
TransCanada American Investments, Ltd. | 1.003 | 2/22/17 | 20,200,000 | 20,187,692 |
| ||||
Tyco International Finance S.a.r.l (Luxembourg) | 0.900 | 2/1/17 | 8,200,000 | 8,199,785 |
| ||||
UDR, Inc. 144A | 1.151 | 3/2/17 | 24,000,000 | 23,977,767 |
| ||||
UnitedHealth Group, Inc. | 0.972 | 3/27/17 | 4,495,000 | 4,488,256 |
| ||||
UnitedHealth Group, Inc. | 0.992 | 3/20/17 | 25,000,000 | 24,967,668 |
| ||||
UnitedHealth Group, Inc. | 1.002 | 3/17/17 | 8,200,000 | 8,190,109 |
| ||||
Westar Energy, Inc. | 0.951 | 2/28/17 | 19,100,000 | 19,084,714 |
| ||||
Westpac Banking Corp. 144A (Australia) | 1.311 | 11/2/17 | 5,000,000 | 5,003,985 |
| ||||
Westpac Banking Corp. 144A FRN (Australia) | 1.426 | 9/22/17 | 9,000,000 | 9,015,345 |
| ||||
Whirlpool Corp. | 1.203 | 3/29/17 | 15,000,000 | 14,974,231 |
| ||||
Whirlpool Corp. | 1.051 | 2/3/17 | 25,080,000 | 25,078,023 |
| ||||
Wyndham Worldwide Corp. | 1.291 | 2/24/17 | 5,500,000 | 5,495,472 |
| ||||
Wyndham Worldwide Corp. | 1.402 | 2/22/17 | 15,000,000 | 14,988,698 |
| ||||
Wyndham Worldwide Corp. | 1.402 | 2/14/17 | 9,750,000 | 9,745,351 |
| ||||
Wyndham Worldwide Corp. | 1.200 | 2/3/17 | 2,000,000 | 1,999,797 |
| ||||
Total commercial paper (cost $2,155,282,568) | $2,155,377,059 | |||
|
Short Duration Income Fund 27 |
Maturity | Principal | |||
CERTIFICATES OF DEPOSIT (6.2%)* | Yield (%) | date | amount | Value |
| ||||
Bank of America, NA FRN | 1.151 | 8/2/17 | $7,000,000 | $6,999,657 |
| ||||
Bank of Montreal/Chicago, IL (Canada) | 0.950 | 2/2/17 | 10,000,000 | 10,000,261 |
| ||||
Bank of Nova Scotia/Houston | 1.484 | 11/1/18 | 5,000,000 | 4,998,285 |
| ||||
Bank of Nova Scotia/Houston FRN | 1.216 | 9/7/17 | 5,000,000 | 4,999,850 |
| ||||
Bank of Tokyo-Mitsubishi UFJ, Ltd./New York, | ||||
NY FRN (Japan) | 1.536 | 8/17/17 | 5,000,000 | 5,008,790 |
| ||||
Canadian Imperial Bank of Commerce/New | ||||
York, NY FRN | 1.411 | 8/16/17 | 7,500,000 | 7,512,555 |
| ||||
Canadian Imperial Bank of Commerce/New | ||||
York, NY FRN | 1.330 | 5/24/17 | 500,000 | 500,557 |
| ||||
Canadian Imperial Bank of Commerce/New | ||||
York, NY FRN | 1.290 | 5/23/17 | 10,000,000 | 10,010,230 |
| ||||
Canadian Imperial Bank of Commerce/New | ||||
York, NY FRN | 1.204 | 6/2/17 | 15,550,000 | 15,560,247 |
| ||||
Cooperatieve Rabobank UA/NY FRN (Netherlands) | 1.321 | 2/1/17 | 11,000,000 | 11,000,209 |
| ||||
Credit Suisse AG/New York, NY FRN | 1.753 | 9/12/17 | 5,000,000 | 5,008,855 |
| ||||
Credit Suisse AG/New York, NY FRN | 1.717 | 8/24/17 | 5,000,000 | 5,008,715 |
| ||||
Credit Suisse AG/New York, NY FRN | 1.421 | 2/2/17 | 2,238,000 | 2,238,096 |
| ||||
DnB Bank ASA/New York FRN (Norway) | 1.316 | 3/9/17 | 5,000,000 | 5,002,810 |
| ||||
DnB Bank ASA/New York FRN (Norway) | 1.223 | 4/17/17 | 5,000,000 | 5,003,190 |
| ||||
DnB Bank ASA/New York FRN (Norway) | 1.186 | 2/1/17 | 14,000,000 | 14,000,210 |
| ||||
Intesa Sanpaolo SpA/New York, NY (Italy) | 1.490 | 4/6/17 | 20,000,000 | 20,001,134 |
| ||||
Lloyds Bank PLC/New York, NY FRN (United Kingdom) | 1.246 | 6/20/17 | 25,000,000 | 25,012,550 |
| ||||
National Bank of Canada/New York, NY FRN | 1.330 | 5/24/17 | 10,000,000 | 10,011,180 |
| ||||
Nordea Bank Finland PLC/New York FRN | 1.446 | 9/6/17 | 13,000,000 | 13,024,050 |
| ||||
Royal Bank of Canada/New York, NY FRN (Canada) | 1.422 | 10/13/17 | 10,000,000 | 10,013,930 |
| ||||
Royal Bank of Canada/New York, NY FRN (Canada) | 1.251 | 12/8/17 | 5,000,000 | 5,001,570 |
| ||||
Skandinaviska Enskilda Banken AB/New York, NY FRN | 1.326 | 2/6/17 | 10,000,000 | 10,001,100 |
| ||||
Skandinaviska Enskilda Banken AB/New York, NY FRN | 1.204 | 3/2/17 | 14,000,000 | 14,005,236 |
| ||||
State Street Bank & Trust Co. FRN | 1.422 | 4/13/17 | 17,500,000 | 17,518,008 |
| ||||
Sumitomo Mitsui Banking Corp./New York FRN (Japan) | 1.476 | 3/28/17 | 10,000,000 | 10,009,010 |
| ||||
Sumitomo Mitsui Banking Corp./New York FRN (Japan) | 1.372 | 7/5/17 | 10,000,000 | 10,003,490 |
| ||||
Svenska Handelsbanken/New York, NY (Sweden) | 0.902 | 5/19/17 | 5,000,000 | 5,001,745 |
| ||||
Svenska Handelsbanken/New York, NY FRN (Sweden) | 1.375 | 8/24/17 | 10,000,000 | 10,000,000 |
| ||||
Svenska Handelsbanken/New York, NY FRN (Sweden) | 1.336 | 2/9/17 | 10,000,000 | 10,001,650 |
| ||||
Svenska Handelsbanken/New York, NY FRN (Sweden) | 1.308 | 5/15/17 | 4,200,000 | 4,203,931 |
| ||||
Swedbank AB/New York | 1.116 | 5/22/17 | 20,000,000 | 20,004,420 |
| ||||
Swedbank AB/New York FRN | 1.358 | 2/16/17 | 15,000,000 | 15,004,365 |
| ||||
Toronto-Dominion Bank/NY (Canada) | 1.288 | 11/20/17 | 10,000,000 | 10,003,900 |
| ||||
Toronto-Dominion Bank/NY FRN (Canada) | 1.406 | 3/23/17 | 5,000,000 | 5,004,095 |
| ||||
Total certificates of deposit (cost $336,478,022) | $336,677,881 | |||
|
Maturity | Principal | |||
ASSET-BACKED COMMERCIAL PAPER (4.1%)* | Yield (%) | date | amount | Value |
| ||||
Alpine Securitization, Ltd. 144A (Cayman Islands) | 1.154 | 4/12/17 | $10,000,000 | $9,981,165 |
| ||||
Atlantic Asset Securitization, LLC 144A | 1.023 | 3/7/17 | 3,000,000 | 2,997,326 |
| ||||
Barton Capital, LLC | 1.123 | 4/11/17 | 10,000,000 | 9,980,497 |
| ||||
Barton Capital, LLC | 1.083 | 3/6/17 | 10,000,000 | 9,992,142 |
| ||||
Barton Capital, LLC | 0.952 | 2/15/17 | 4,253,000 | 4,251,423 |
| ||||
Barton Capital, LLC | 0.969 | 2/6/17 | 5,850,000 | 5,849,253 |
| ||||
CHARTA, LLC | 1.309 | 7/11/17 | 25,750,000 | 25,593,958 |
|
28 Short Duration Income Fund |
Maturity | Principal | |||
ASSET-BACKED COMMERCIAL PAPER (4.1%)* cont. | Yield (%) | date | amount | Value |
| ||||
Gotham Funding Corp. (Japan) | 1.003 | 3/6/17 | $10,000,000 | $9,992,322 |
| ||||
LMA-Americas, LLC (France) | 1.164 | 5/15/17 | 2,150,000 | 2,142,255 |
| ||||
LMA-Americas, LLC (France) | 1.245 | 3/13/17 | 1,550,000 | 1,548,522 |
| ||||
LMA-Americas, LLC (France) | 1.002 | 3/1/17 | 4,750,000 | 4,746,950 |
| ||||
LMA-Americas, LLC (France) | 1.053 | 2/6/17 | 3,000,000 | 2,999,653 |
| ||||
LMA-Americas, LLC (France) | 0.952 | 2/3/17 | 2,900,000 | 2,899,837 |
| ||||
Matchpoint Finance PLC (Ireland) | 1.390 | 7/6/17 | 18,000,000 | 17,890,020 |
| ||||
Matchpoint Finance PLC (Ireland) | 1.052 | 2/17/17 | 11,600,000 | 11,595,415 |
| ||||
Matchpoint Finance PLC 144A Ser. A (Ireland) | 1.319 | 3/27/17 | 18,300,000 | 18,273,076 |
| ||||
MetLife Short Term Funding, LLC | 0.972 | 3/29/17 | 9,750,000 | 9,736,724 |
| ||||
MetLife Short Term Funding, LLC 144A | 0.922 | 2/16/17 | 5,000,000 | 4,998,393 |
| ||||
Old Line Funding, LLC 144A | 0.968 | 5/18/17 | 10,000,000 | 9,999,710 |
| ||||
Old Line Funding, LLC 144A | 0.955 | 5/12/17 | 25,000,000 | 25,013,100 |
| ||||
Sheffield Receivables Co., LLC (United Kingdom) | 1.103 | 3/27/17 | 9,750,000 | 9,733,123 |
| ||||
Thunder Bay Funding, LLC | 1.047 | 6/12/17 | 15,000,000 | 15,004,095 |
| ||||
Victory Receivables Corp. (Japan) | 1.083 | 3/13/17 | 9,000,000 | 8,989,371 |
| ||||
Total asset-backed commercial paper (cost $224,180,689) | $224,208,330 | |||
|
Interest | Maturity | Principal | ||
MORTGAGE-BACKED SECURITIES (3.0%)* | rate (%) | date | amount | Value |
| ||||
Agency collateralized mortgage obligations (1.3%) | ||||
| ||||
Federal Home Loan Mortgage Corporation | ||||
| ||||
Ser. 1619, Class PZ | 6.500 | 11/15/23 | $144,406 | $157,163 |
| ||||
Ser. 2430, Class UD | 6.000 | 3/15/17 | 801 | 804 |
| ||||
Ser. 3724, Class CM | 5.500 | 6/15/37 | 225,529 | 251,115 |
| ||||
Ser. 3316, Class CD | 5.500 | 5/15/37 | 91,963 | 101,938 |
| ||||
Ser. 2503, Class B | 5.500 | 9/15/17 | 7,599 | 7,694 |
| ||||
Ser. 3331, Class NV | 5.000 | 6/15/29 | 15,161 | 15,210 |
| ||||
Ser. 2561, Class BD | 5.000 | 2/15/18 | 54,420 | 55,035 |
| ||||
Ser. 2541, Class JC | 5.000 | 12/15/17 | 20,492 | 20,672 |
| ||||
Ser. 2542, Class ES | 5.000 | 12/15/17 | 3,940 | 3,976 |
| ||||
Ser. 2519, Class AH | 5.000 | 11/15/17 | 44,573 | 45,020 |
| ||||
Ser. 2513, Class DB | 5.000 | 10/15/17 | 4,576 | 4,606 |
| ||||
Ser. 3539, Class PM | 4.500 | 5/15/37 | 33,606 | 34,956 |
| ||||
Ser. 2958, Class QD | 4.500 | 4/15/20 | 14,330 | 14,566 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 13-DN1, Class M1 | 4.171 | 7/25/23 | 68,048 | 69,068 |
| ||||
Ser. 2854, Class DL | 4.000 | 9/15/19 | 69,655 | 70,743 |
| ||||
Ser. 2864, Class GB | 4.000 | 9/15/19 | 53,739 | 54,939 |
| ||||
Ser. 2783, Class AY | 4.000 | 4/15/19 | 45,645 | 46,372 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 16-DNA1, Class M2 | 3.671 | 7/25/28 | 574,000 | 591,122 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 15-DNA3, Class M2 | 3.621 | 4/25/28 | 4,747,000 | 4,880,438 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 15-HQA2, Class M2 | 3.571 | 5/25/28 | 2,655,748 | 2,724,877 |
| ||||
Ser. 3805, Class AK | 3.500 | 4/15/24 | 22,834 | 23,009 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 15-HQA1, Class M2 | 3.421 | 3/25/28 | 8,461,548 | 8,627,140 |
| ||||
Structured Agency Credit Risk Debt FRN Ser. 14-HQ3, | ||||
Class M2, IO | 3.421 | 10/25/24 | 2,103,973 | 2,121,708 |
|
Short Duration Income Fund 29 |
Interest | Maturity | Principal | ||
MORTGAGE-BACKED SECURITIES (3.0%)* cont. | rate (%) | date | amount | Value |
| ||||
Agency collateralized mortgage obligations cont. | ||||
| ||||
Federal Home Loan Mortgage Corporation | ||||
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 15-DNA2, Class M2 | 3.371 | 12/25/27 | $12,211,148 | $12,447,434 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 14-DN4, Class M2 | 3.171 | 10/25/24 | 714,376 | 716,329 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 16-DNA2, Class M2 | 2.971 | 10/25/28 | 3,845,000 | 3,895,766 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 15-HQ1, Class M2 | 2.971 | 3/25/25 | 4,443,142 | 4,487,087 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 14-DN1, Class M2 | 2.971 | 2/25/24 | 3,248,000 | 3,325,140 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 14-DN2, Class M2 | 2.421 | 4/25/24 | 7,649,815 | 7,711,778 |
| ||||
Structured Agency Credit Risk Debt FRN | ||||
Ser. 16-DNA3, Class M1 | 1.871 | 12/25/28 | 4,567,414 | 4,580,783 |
| ||||
Ser. 3611, PO | 0.000 | 7/15/34 | 69,831 | 63,711 |
| ||||
Federal National Mortgage Association | ||||
| ||||
Ser. 11-15, Class AB | 9.750 | 8/25/19 | 65,530 | 68,673 |
| ||||
Ser. 10-110, Class AE | 9.750 | 11/25/18 | 51,342 | 53,847 |
| ||||
Ser. 05-48, Class AR | 5.500 | 2/25/35 | 74,223 | 77,669 |
| ||||
Ser. 08-8, Class PA | 5.000 | 2/25/38 | 92,364 | 96,463 |
| ||||
Ser. 09-15, Class MC | 5.000 | 3/25/24 | 21,117 | 21,631 |
| ||||
Ser. 02-73, Class OE | 5.000 | 11/25/17 | 15,724 | 15,865 |
| ||||
Ser. 02-65, Class HC | 5.000 | 10/25/17 | 35 | 35 |
| ||||
Ser. 09-100, Class PA | 4.500 | 4/25/39 | 7,143 | 7,204 |
| ||||
Ser. 11-60, Class PA | 4.000 | 10/25/39 | 26,032 | 26,840 |
| ||||
Ser. 11-36, Class PA | 4.000 | 2/25/39 | 148,842 | 150,864 |
| ||||
Ser. 03-43, Class YA | 4.000 | 3/25/33 | 265,150 | 269,115 |
| ||||
Ser. 10-109, Class JB | 4.000 | 8/25/28 | 40,246 | 40,508 |
| ||||
Ser. 04-27, Class HB | 4.000 | 5/25/19 | 23,634 | 24,114 |
| ||||
Ser. 03-128, Class NG | 4.000 | 1/25/19 | 45,684 | 46,170 |
| ||||
Ser. 11-20, Class PC | 3.500 | 3/25/39 | 57,507 | 58,834 |
| ||||
Ser. 10-155, Class A | 3.500 | 9/25/25 | 22,586 | 23,072 |
| ||||
Ser. 11-42, Class BJ | 3.000 | 8/25/25 | 281,027 | 283,616 |
| ||||
Ser. 10-43, Class KG | 3.000 | 1/25/21 | 58,672 | 59,595 |
| ||||
Connecticut Avenue Securities FRB | ||||
Ser. 16-C02, Class 1M1 | 2.921 | 9/25/28 | 730,218 | 739,039 |
| ||||
Connecticut Avenue Securities FRB | ||||
Ser. 16-C01, Class 2M1 | 2.871 | 8/25/28 | 59,310 | 59,859 |
| ||||
Connecticut Avenue Securities FRB | ||||
Ser. 13-C01, Class M1 | 2.771 | 10/25/23 | 87,116 | 87,845 |
| ||||
Ser. 11-23, Class AB | 2.750 | 6/25/20 | 34,060 | 34,341 |
| ||||
Connecticut Avenue Securities FRB | ||||
Ser. 16-C01, Class 1M1 | 2.721 | 8/25/28 | 616,802 | 622,119 |
| ||||
Ser. 10-81, Class AP | 2.500 | 7/25/40 | 97,995 | 98,053 |
| ||||
Connecticut Avenue Securities FRB | ||||
Ser. 15-C04, Class 2M1 | 2.471 | 4/25/28 | 142,296 | 142,724 |
| ||||
Connecticut Avenue Securities FRB | ||||
Ser. 14-C01, Class M1 | 2.371 | 1/25/24 | 475,076 | 478,164 |
|
30 Short Duration Income Fund |
Interest | Maturity | Principal | ||
MORTGAGE-BACKED SECURITIES (3.0%)* cont. | rate (%) | date | amount | Value |
| ||||
Agency collateralized mortgage obligations cont. | ||||
| ||||
Federal National Mortgage Association | ||||
| ||||
Connecticut Avenue Securities FRB | ||||
Ser. 16-C05, Class 2M1 | 2.121 | 1/25/29 | $7,744,139 | $7,785,979 |
| ||||
Connecticut Avenue Securities FRB | ||||
Ser. 14-C02, Class 2M1 | 1.721 | 5/25/24 | 24,197 | 24,225 |
| ||||
FRB Ser. 10-90, Class GF | 1.271 | 8/25/40 | 1,935,380 | 1,923,962 |
| ||||
FRB Ser. 06-74, Class FL | 1.121 | 8/25/36 | 332,725 | 331,674 |
| ||||
FRB Ser. 05-63, Class FC | 1.021 | 10/25/31 | 941,815 | 935,345 |
| ||||
Ser. 92-96, Class B, PO | 0.000 | 5/25/22 | 12,871 | 12,379 |
| ||||
Government National Mortgage Association | ||||
| ||||
Ser. 10-39, Class PH | 4.500 | 11/20/38 | 92,395 | 94,711 |
| ||||
Ser. 09-109, Class NK | 4.500 | 7/20/37 | 43,292 | 43,515 |
| ||||
Ser. 09-59, Class P | 4.250 | 9/20/33 | 5,893 | 5,914 |
| ||||
Ser. 09-32, Class AB | 4.000 | 5/16/39 | 25,255 | 26,815 |
| ||||
Ser. 10-32, Class CJ | 4.000 | 1/20/38 | 49,068 | 49,407 |
| ||||
71,970,384 | ||||
| ||||
Commercial mortgage-backed securities (0.1%) | ||||
| ||||
DBRR Trust 144A FRB Ser. 13-EZ3, Class A | 1.636 | 12/18/49 | 689,410 | 689,625 |
| ||||
JPMorgan Chase Commercial Mortgage | ||||
Securities Trust | ||||
| ||||
Ser. 07-LDPX, Class A3 | 5.420 | 1/15/49 | 3,856,383 | 3,851,735 |
| ||||
Ser. 04-LN2, Class A2 | 5.115 | 7/15/41 | 123,296 | 123,469 |
| ||||
4,664,829 | ||||
| ||||
Residential mortgage-backed securities (non-agency) (1.6%) | ||||
| ||||
Accredited Mortgage Loan Trust FRB Ser. 06-2, Class A3 | 0.921 | 9/25/36 | 1,708,043 | 1,690,963 |
| ||||
BCAP, LLC Trust 144A | ||||
| ||||
FRB Ser. 15-RR6, Class 3A1 | 1.514 | 5/26/46 | 3,545,522 | 3,484,539 |
FRB Ser. 12-RR10, Class 5A5 | 1.018 | 4/26/36 | 1,469,639 | 1,469,713 |
Bear Stearns Asset Backed Securities I Trust | ||||
| ||||
FRB Ser. 05-FR1, Class M1 | 1.521 | 6/25/35 | 3,087,044 | 3,074,140 |
FRB Ser. 05-TC1, Class M1 | 1.431 | 5/25/35 | 2,217,158 | 2,190,818 |
FRB Ser. 05-EC1, Class M1 | 1.206 | 11/25/35 | 2,198,491 | 2,195,010 |
Bear Stearns Asset Backed Securities Trust | ||||
| ||||
FRB Ser. 05-SD3, Class 1A | 1.261 | 7/25/35 | 4,015,063 | 3,983,209 |
FRB Ser. 05-SD2, Class 1A3 | 1.171 | 3/25/35 | 1,079,550 | 1,074,316 |
Citigroup Mortgage Loan Trust 144A | ||||
Ser. 13-11, Class 2A3 | 5.005 | 8/25/27 | 1,407,227 | 1,421,300 |
| ||||
Citigroup Mortgage Loan Trust, Inc. FRB | ||||
Ser. 06-WFH3, Class A4 | 1.011 | 10/25/36 | 1,141,738 | 1,124,612 |
| ||||
Countrywide Asset-Backed Certificates Trust | ||||
| ||||
FRB Ser. 05-2, Class M3 | 1.491 | 8/25/35 | 51,948 | 51,948 |
FRB Ser. 05-16, Class 3AV | 0.986 | 5/25/36 | 13,903,275 | 13,764,242 |
CSMC Trust 144A FRB Ser. 14-5R, Class 6A1 | 0.906 | 10/27/36 | 5,415,502 | 5,407,974 |
| ||||
First Franklin Mortgage Loan Trust FRB | ||||
Ser. 06-FF1, Class 1A | 0.991 | 1/25/36 | 4,120,117 | 4,090,199 |
| ||||
GSAA Home Equity Trust FRB Ser. 05-6, Class A3 | 1.141 | 6/25/35 | 5,910,600 | 5,881,047 |
| ||||
GSMSC Resecuritization Trust 144A FRB | ||||
Ser. 09-6R, Class 3A1 | 3.040 | 2/26/36 | 3,358,831 | 3,426,018 |
| ||||
JPMorgan Resecuritization Trust 144A FRB | ||||
Ser. 09-7, Class 1A1 | 3.120 | 8/27/37 | 237,468 | 237,708 |
|
Short Duration Income Fund 31 |
Interest | Maturity | Principal | ||
MORTGAGE-BACKED SECURITIES (3.0%)* cont. | rate (%) | date | amount | Value |
| ||||
Residential mortgage-backed securities (non-agency) cont. | ||||
| ||||
Long Beach Mortgage Loan Trust FRB | ||||
Ser. 06-WL3, Class 2A3 | 0.971 | 1/25/36 | $2,669,952 | $2,674,953 |
| ||||
Merrill Lynch Mortgage Investors Trust FRB | ||||
Ser. 06-FF1, Class M2 | 1.061 | 8/25/36 | 10,000,000 | 9,956,827 |
| ||||
Morgan Stanley Mortgage Loan Trust FRB | ||||
Ser. 05-6AR, Class 1A2 | 1.041 | 11/25/35 | 397,903 | 397,068 |
| ||||
Opteum Mortgage Acceptance Corp. Asset Backed | ||||
Pass-Through Certificates FRB Ser. 05-1, Class M3 | 1.626 | 2/25/35 | 2,139,000 | 2,139,658 |
| ||||
Opteum Mortgage Acceptance Corp. Trust FRB | ||||
Ser. 05-4, Class 1A1C | 1.181 | 11/25/35 | 1,735,070 | 1,723,773 |
| ||||
Park Place Securities, Inc. FRB Ser. 05-WHQ2, Class M1 | 1.401 | 5/25/35 | 2,560,736 | 2,561,202 |
| ||||
Residential Asset Mortgage Products Trust FRB | ||||
Ser. 05-EFC2, Class M3 | 1.506 | 7/25/35 | 1,582,525 | 1,579,608 |
| ||||
Residential Asset Mortgage Products, Inc. Trust FRB | ||||
Ser. 06-RZ4, Class A2 | 0.951 | 10/25/36 | 7,185,761 | 7,148,625 |
| ||||
Residential Asset Securities Corp., Trust FRB | ||||
Ser. 05-KS11, Class M1 | 1.171 | 12/25/35 | 2,700,000 | 2,658,303 |
| ||||
85,407,773 | ||||
| ||||
Total mortgage-backed securities (cost $161,795,671) | $162,042,986 | |||
|
Interest | Maturity | Principal | ||
ASSET-BACKED SECURITIES (1.1%)* | rate (%) | date | amount | Value |
| ||||
Mortgage Repurchase Agreement Financing Trust 144A | ||||
FRB Ser. 16-5, Class A | 1.933 | 6/10/19 | $25,000,000 | $25,000,000 |
| ||||
Station Place Securitization Trust FRB Ser. 16-1, Class A | 1.771 | 2/25/17 | 10,000,000 | 10,000,000 |
| ||||
Station Place Securitization Trust 144A FRB | ||||
Ser. 17-1, Class A | 1.673 | 2/25/49 | 23,451,000 | 23,451,000 |
| ||||
Total asset-backed securities (cost $58,451,000) | $58,451,000 | |||
|
U.S. GOVERNMENT AND AGENCY | Interest | Maturity | Principal | |
MORTGAGE OBLIGATIONS (—%)* | rate (%) | date | amount | Value |
| ||||
U.S. Government Guaranteed Mortgage Obligations (—%) | ||||
| ||||
Government National Mortgage Association | ||||
Pass-Through Certificates | 4.500 | 10/15/19 | $42,519 | $43,790 |
| ||||
Government National Mortgage Association | ||||
Pass-Through Certificates | 4.500 | 5/15/18 | 27,701 | 28,176 |
| ||||
71,966 | ||||
| ||||
U.S. Government Agency Mortgage Obligations (—%) | ||||
| ||||
Federal Home Loan Mortgage Corporation | 4.500 | 10/1/18 | 8,743 | 8,884 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 6.500 | 3/1/19 | 32,875 | 36,982 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 6.500 | 6/1/17 | 6,164 | 6,202 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 6.000 | 2/1/19 | 3,779 | 3,792 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 6.000 | 9/1/17 | 23,723 | 23,995 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 6.000 | 7/1/17 | 18,923 | 19,066 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 6.000 | 6/1/17 | 6,947 | 6,986 |
|
32 Short Duration Income Fund |
U.S. GOVERNMENT AND AGENCY | Interest | Maturity | Principal | |
MORTGAGE OBLIGATIONS (—%)* cont. | rate (%) | date | amount | Value |
| ||||
U.S. Government Agency Mortgage Obligations cont. | ||||
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 5.500 | 11/1/18 | $20,518 | $20,933 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 5.500 | 4/1/18 | 18,097 | 18,424 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 5.000 | 5/1/21 | 47,682 | 49,520 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 5.000 | 11/1/19 | 46,531 | 47,988 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 5.000 | 5/1/18 | 11,826 | 12,043 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 5.000 | 3/1/18 | 13,907 | 14,235 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 5.000 | 2/1/18 | 12,541 | 12,837 |
| ||||
Federal Home Loan Mortgage Corporation | ||||
Pass-Through Certificates | 4.500 | 8/1/18 | 22,025 | 22,500 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 6.500 | 12/1/19 | 13,005 | 13,293 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 6.500 | 8/1/17 | 8,862 | 8,933 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 6.000 | 5/1/23 | 28,959 | 30,831 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 6.000 | 9/1/19 | 2,929 | 2,972 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 6.000 | 9/1/18 | 14,972 | 15,414 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 6.000 | 12/1/17 | 9,659 | 9,766 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 5.500 | 11/1/23 | 44,575 | 46,351 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 5.500 | 6/1/20 | 54,629 | 56,513 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 5.500 | 11/1/18 | 27,341 | 27,841 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 5.500 | 4/1/18 | 30,759 | 31,271 |
| ||||
Federal National Mortgage Association | ||||
Pass-Through Certificates | 5.000 | 11/1/19 | 50,374 | 52,126 |
| ||||
599,698 | ||||
| ||||
Total U.S. government and agency obligations (cost $696,013) | $671,664 | |||
| ||||
TOTAL INVESTMENTS | ||||
| ||||
Total investments (cost $5,423,573,742) | $5,428,122,189 | |||
|
Short Duration Income Fund 33 |
Key to holding’s abbreviations
BKNT | Bank Note |
EMTN | Euro Medium Term Notes |
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 |
PO | Principal Only |
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 August 1, 2016 through January 31, 2017 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to “OTC”, if any, represent over-the-counter.
* Percentages indicated are based on net assets of $5,403,284,769.
R Real Estate Investment Trust.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
DIVERSIFICATION BY COUNTRY |
|
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States | 67.1% | Norway | 0.9% | |
|
| |||
Canada | 7.5 | Ireland | 0.9 | |
|
| |||
United Kingdom | 5.7 | Denmark | 0.9 | |
|
| |||
Australia | 4.9 | South Korea | 0.7 | |
|
| |||
Netherlands | 4.3 | Luxembourg | 0.5 | |
|
| |||
France | 2.2 | Other | 0.3 | |
|
| |||
Japan | 2.1 | Total | 100.0% | |
|
||||
Sweden | 2.0 |
34 Short Duration Income Fund |
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 | |||
| ||||||
Asset-backed commercial paper | $— | $224,208,330 | $— | |||
| ||||||
Asset-backed securities | — | 10,000,000 | 48,451,000 | |||
| ||||||
Certificates of deposit | — | 336,677,881 | — | |||
| ||||||
Commercial paper | — | 2,155,377,059 | — | |||
| ||||||
Corporate bonds and notes | — | 2,490,693,269 | — | |||
| ||||||
Mortgage-backed securities | — | 162,042,986 | — | |||
| ||||||
U.S. government and agency mortgage obligations | — | 671,664 | — | |||
| ||||||
Totals by level | $— | $5,379,671,189 | $48,451,000 |
During the reporting period, transfers within the fair value hierarchy, if any, 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.
The accompanying notes are an integral part of these financial statements.
Short Duration Income Fund 35 |
Statement of assets and liabilities 1/31/17 (Unaudited)
ASSETS | |
| |
Investment in securities, at value (Note 1): | |
Unaffiliated issuers (identified cost $5,423,573,742) | $5,428,122,189 |
| |
Interest and other receivables | 7,680,875 |
| |
Receivable for shares of the fund sold | 39,006,481 |
| |
Receivable for investments sold | 27,667,944 |
| |
Receivable from Manager (Note 2) | 584,736 |
| |
Prepaid assets | 517,242 |
| |
Total assets | 5,503,579,467 |
| |
LIABILITIES | |
| |
Payable to custodian | 151,244 |
| |
Payable for investments purchased | 79,806,947 |
| |
Payable for shares of the fund repurchased | 18,460,719 |
| |
Payable for custodian fees (Note 2) | 52,665 |
| |
Payable for investor servicing fees (Note 2) | 487,472 |
| |
Payable for Trustee compensation and expenses (Note 2) | 121,962 |
| |
Payable for administrative services (Note 2) | 51,931 |
| |
Payable for distribution fees (Note 2) | 278,739 |
| |
Distributions payable to shareholders | 251,040 |
| |
Other accrued expenses | 631,979 |
| |
Total liabilities | 100,294,698 |
Net assets | $5,403,284,769 |
| |
REPRESENTED BY | |
| |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $5,398,493,454 |
| |
Undistributed net investment income (Note 1) | 120,170 |
| |
Accumulated net realized gain on investments (Note 1) | 122,698 |
| |
Net unrealized appreciation of investments | 4,548,447 |
| |
Total — Representing net assets applicable to capital shares outstanding | $5,403,284,769 |
| |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
| |
Net asset value, offering price and redemption price per class A share | |
($3,251,813,816 divided by 323,700,336 shares) | $10.05 |
| |
Net asset value and offering price per class B share ($1,932,242 divided by 192,576 shares)* | $10.03 |
| |
Net asset value and offering price per class C share ($20,509,931 divided by 2,044,054 shares)* | $10.03 |
| |
Net asset value, offering price and redemption price per class M share | |
($12,439,306 divided by 1,239,080 shares) | $10.04 |
| |
Net asset value, offering price and redemption price per class R share | |
($3,764,186 divided by 375,087 shares) | $10.04 |
| |
Net asset value, offering price and redemption price per class R6 share | |
($3,069,304 divided by 305,134 shares) | $10.06 |
| |
Net asset value, offering price and redemption price per class Y share | |
($2,109,755,984 divided by 209,799,349 shares) | $10.06 |
* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
36 Short Duration Income Fund |
Statement of operations Six months ended 1/31/17 (Unaudited)
INVESTMENT INCOME | |
| |
Interest | $27,314,805 |
| |
Total investment income | 27,314,805 |
| |
EXPENSES | |
| |
Compensation of Manager (Note 2) | 7,627,017 |
| |
Investor servicing fees (Note 2) | 1,307,666 |
| |
Custodian fees (Note 2) | 44,060 |
| |
Trustee compensation and expenses (Note 2) | 104,205 |
| |
Distribution fees (Note 2) | 1,354,077 |
| |
Administrative services (Note 2) | 85,794 |
| |
Other | 1,057,113 |
| |
Fees waived and reimbursed by Manager (Note 2) | (3,623,565) |
| |
Total expenses | 7,956,367 |
| |
Expense reduction (Note 2) | (8,770) |
| |
Net expenses | 7,947,597 |
Net investment income | 19,367,208 |
| |
Net realized gain on investments (Notes 1 and 3) | 653,384 |
| |
Net unrealized appreciation of investments during the period | 3,645,216 |
| |
Net gain on investments | 4,298,600 |
Net increase in net assets resulting from operations | $23,665,808 |
|
The accompanying notes are an integral part of these financial statements.
Short Duration Income Fund 37 |
Statement of changes in net assets
INCREASE IN NET ASSETS | Six months ended 1/31/17* | Year ended 7/31/16 |
| ||
Operations | ||
| ||
Net investment income | $19,367,208 | $16,937,364 |
| ||
Net realized gain (loss) on investments | 653,384 | (530,687) |
| ||
Net unrealized appreciation of investments | 3,645,216 | 3,176,056 |
| ||
Net increase in net assets resulting from operations | 23,665,808 | 19,582,733 |
| ||
Distributions to shareholders (Note 1): | ||
From ordinary income | ||
Net investment income | ||
| ||
Class A | (10,787,831) | (9,577,288) |
| ||
Class B | (4,872) | (4,487) |
| ||
Class C | (43,783) | (42,319) |
| ||
Class M | (44,190) | (51,703) |
| ||
Class R | (7,231) | (3,892) |
| ||
Class R5 | — | (18) |
| ||
Class R6 | (12,481) | (14,317) |
| ||
Class Y | (8,431,664) | (7,115,185) |
| ||
From net realized long-term gain on investments | ||
Class A | — | (226,929) |
| ||
Class B | — | (275) |
| ||
Class C | — | (2,300) |
| ||
Class M | — | (1,410) |
| ||
Class R | — | (193) |
| ||
Class R5 | — | — |
| ||
Class R6 | — | (210) |
| ||
Class Y | — | (138,434) |
| ||
Increase from capital share transactions (Note 4) | 2,057,196,159 | 1,243,039,964 |
| ||
Total increase in net assets | 2,061,529,915 | 1,245,443,737 |
| ||
NET ASSETS | ||
| ||
Beginning of period | 3,341,754,854 | 2,096,311,117 |
| ||
End of period (including undistributed net investment | ||
income of $120,170 and $85,014, respectively) | $5,403,284,769 | $3,341,754,854 |
* Unaudited.
The accompanying notes are an integral part of these financial statements.
38 Short Duration Income Fund |
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Short Duration Income Fund 39 |
Financial highlights (For a common share outstanding throughout the period)
INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
| |||||||||||||
Ratio | Ratio of net | ||||||||||||
Net asset | Net realized | of expenses | investment | ||||||||||
value, | and unrealized | Total from | From | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | ||||
beginning | Net investment | gain (loss) | investment | From | net realized gain | Total | value, end | at net asset | end of period | net assets | to average | turnover | |
Period ended | of period | income (loss)a | on investments | operations | net investment income | on investments | distributions | of period | value (%)b | (in thousands) | (%)c,d | net assets (%)d | (%) |
| |||||||||||||
Class A | |||||||||||||
| |||||||||||||
January 31, 2017** | $10.04 | .04 | .01 | .05 | (.04) | — | (.04) | $10.05 | .52* | $3,251,814 | .20* | .43* | 21* |
| |||||||||||||
July 31, 2016 | 10.03 | .06 | .01 | .07 | (.06) | —e | (.06) | 10.04 | .76 | 1,926,055 | .40 | .65 | 51 |
| |||||||||||||
July 31, 2015 | 10.06 | .04 | (.02) | .02 | (.04) | (.01) | (.05) | 10.03 | .20 | 1,411,923 | .40 | .41 | 46 |
| |||||||||||||
July 31, 2014 | 10.03 | .05 | .03 | .08 | (.05) | —e | (.05) | 10.06 | .81 | 1,603,517 | .40 | .47 | 45 |
| |||||||||||||
July 31, 2013 | 10.02 | .05 | .02 | .07 | (.06) | —e | (.06) | 10.03 | .69 | 1,005,695 | .40 | .53 | 24 |
| |||||||||||||
July 31, 2012† | 10.00 | .03 | .02 | .05 | (.03) | — | (.03) | 10.02 | .53* | 178,371 | .32* | .37* | 2* |
| |||||||||||||
Class B | |||||||||||||
| |||||||||||||
January 31, 2017** | $10.02 | .02 | .01 | .03 | (.02) | — | (.02) | $10.03 | .32* | $1,932 | .40* | .22* | 21* |
| |||||||||||||
July 31, 2016 | 10.02 | .02 | —e | .02 | (.02) | —e | (.02) | 10.02 | .26 | 2,042 | .80f | .27f | 51 |
| |||||||||||||
July 31, 2015 | 10.05 | —e | (.02) | (.02) | —e | (.01) | (.01) | 10.02 | (.18) | 1,091 | .79f | .02f | 46 |
| |||||||||||||
July 31, 2014 | 10.02 | .01 | .03 | .04 | (.01) | —e | (.01) | 10.05 | .42 | 583 | .79f | .09f | 45 |
| |||||||||||||
July 31, 2013 | 10.01 | .01 | .02 | .03 | (.02) | —e | (.02) | 10.02 | .29 | 326 | .80 | .14 | 24 |
| |||||||||||||
July 31, 2012† | 10.00 | .01 | .01 | .02 | (.01) | — | (.01) | 10.01 | .20* | 386 | .63* | .05* | 2* |
| |||||||||||||
Class C | |||||||||||||
| |||||||||||||
January 31, 2017** | $10.02 | .02 | .01 | .03 | (.02) | — | (.02) | $10.03 | .32* | $20,510 | .40* | .22* | 21* |
| |||||||||||||
July 31, 2016 | 10.02 | .02 | —e | .02 | (.02) | —e | (.02) | 10.02 | .26 | 17,590 | .80f | .28f | 51 |
| |||||||||||||
July 31, 2015 | 10.05 | —e | (.02) | (.02) | —e | (.01) | (.01) | 10.02 | (.18) | 9,622 | .79f | .02f | 46 |
| |||||||||||||
July 31, 2014 | 10.02 | .01 | .03 | .04 | (.01) | —e | (.01) | 10.05 | .42 | 8,586 | .79f | .09f | 45 |
| |||||||||||||
July 31, 2013 | 10.01 | .01 | .02 | .03 | (.02) | —e | (.02) | 10.02 | .29 | 6,292 | .80 | .13 | 24 |
| |||||||||||||
July 31, 2012† | 10.00 | .01 | .01 | .02 | (.01) | — | (.01) | 10.01 | .20* | 2,054 | .63* | .07* | 2* |
| |||||||||||||
Class M | |||||||||||||
| |||||||||||||
January 31, 2017** | $10.03 | .04 | .01 | .05 | (.04) | — | (.04) | $10.04 | .50* | $12,439 | .23* | .40* | 21* |
| |||||||||||||
July 31, 2016 | 10.02 | .06 | .01 | .07 | (.06) | —e | (.06) | 10.03 | .71 | 10,323 | .45 | .61 | 51 |
| |||||||||||||
July 31, 2015 | 10.05 | .04 | (.02) | .02 | (.04) | (.01) | (.05) | 10.02 | .15 | 6,913 | .45 | .36 | 46 |
| |||||||||||||
July 31, 2014 | 10.02 | .04 | .03 | .07 | (.04) | —e | (.04) | 10.05 | .76 | 777 | .45 | .43 | 45 |
| |||||||||||||
July 31, 2013 | 10.02 | .05 | —e | .05 | (.05) | —e | (.05) | 10.02 | .54 | 1,267 | .45 | .49 | 24 |
| |||||||||||||
July 31, 2012† | 10.00 | .03 | .02 | .05 | (.03) | — | (.03) | 10.02 | .49* | 212 | .36* | .32* | 2* |
| |||||||||||||
Class R | |||||||||||||
| |||||||||||||
January 31, 2017** | $10.02 | .02 | .02 | .04 | (.02) | — | (.02) | $10.04 | .42* | $3,764 | .40* | .22* | 21* |
| |||||||||||||
July 31, 2016 | 10.02 | .02 | —e | .02 | (.02) | —e | (.02) | 10.02 | .26 | 2,393 | .79f | .26f | 51 |
| |||||||||||||
July 31, 2015 | 10.05 | —e | (.02) | (.02) | —e | (.01) | (.01) | 10.02 | (.18) | 2,131 | .79f | .03f | 46 |
| |||||||||||||
July 31, 2014 | 10.02 | .01 | .03 | .04 | (.01) | —e | (.01) | 10.05 | .42 | 1,407 | .79f | .10f | 45 |
| |||||||||||||
July 31, 2013 | 10.01 | .01 | .02 | .03 | (.02) | —e | (.02) | 10.02 | .29 | 1,172 | .80 | .10 | 24 |
| |||||||||||||
July 31, 2012† | 10.00 | .01 | .01 | .02 | (.01) | — | (.01) | 10.01 | .20* | 100 | .63* | .02* | 2* |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
40 Short Duration Income Fund | Short Duration Income Fund 41 |
Financial highlights cont.
INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
| |||||||||||||
Ratio | Ratio of net | ||||||||||||
Net asset | Net realized | of expenses | investment | ||||||||||
value, | and unrealized | Total from | From | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | ||||
beginning | Net investment | gain (loss) | investment | From | net realized gain | Total | value, end | at net asset | end of period | net assets | to average | turnover | |
Period ended | of period | income (loss)a | on investments | operations | net investment income | on investments | distributions | of period | value (%)b | (in thousands) | (%)c,d | net assets (%)d | (%) |
| |||||||||||||
Class R6 | |||||||||||||
| |||||||||||||
January 31, 2017** | $10.05 | .05 | .01 | .06 | (.05) | — | (.05) | $10.06 | .58* | $3,069 | .15* | .48* | 21* |
| |||||||||||||
July 31, 2016 | 10.04 | .07 | .01 | .08 | (.07) | —e | (.07) | 10.05 | .87 | 2,270 | .29 | .79 | 51 |
| |||||||||||||
July 31, 2015 | 10.07 | .05 | (.02) | .03 | (.05) | (.01) | (.06) | 10.04 | .30 | 1,303 | .30 | .50 | 46 |
| |||||||||||||
July 31, 2014 | 10.04 | .06 | .03 | .09 | (.06) | —e | (.06) | 10.07 | .91 | 831 | .30 | .56 | 45 |
| |||||||||||||
July 31, 2013 | 10.03 | .06 | .02 | .08 | (.07) | —e | (.07) | 10.04 | .79 | 229 | .30 | .61 | 24 |
| |||||||||||||
July 31, 2012†† | 10.02 | .01 | —e | .01 | —e | — | —e | 10.03 | .13* | 10 | .02* | .05* | 2* |
| |||||||||||||
Class Y | |||||||||||||
| |||||||||||||
January 31, 2017** | $10.05 | .05 | .01 | .06 | (.05) | — | (.05) | $10.06 | .57* | $2,109,756 | .15* | .48* | 21* |
| |||||||||||||
July 31, 2016 | 10.04 | .07 | .01 | .08 | (.07) | —e | (.07) | 10.05 | .86 | 1,381,082 | .30 | .77 | 51 |
| |||||||||||||
July 31, 2015 | 10.07 | .05 | (.02) | .03 | (.05) | (.01) | (.06) | 10.04 | .30 | 663,319 | .30 | .51 | 46 |
| |||||||||||||
July 31, 2014 | 10.04 | .06 | .03 | .09 | (.06) | —e | (.06) | 10.07 | .91 | 477,216 | .30 | .56 | 45 |
| |||||||||||||
July 31, 2013 | 10.03 | .06 | .02 | .08 | (.07) | —e | (.07) | 10.04 | .79 | 136,165 | .30 | .61 | 24 |
| |||||||||||||
July 31, 2012† | 10.00 | .04 | .03 | .07 | (.04) | — | (.04) | 10.03 | .67* | 11,405 | .24* | .47* | 2* |
* Not annualized.
** Unaudited.
† For the period October 17, 2011 (commencement of operations) to July 31, 2012.
†† For the period July 3, 2012 (commencement of operations) to July 31, 2012.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts as a percentage of net assets (Note 2):
1/31/17 | 7/31/16 | 7/31/15 | 7/31/14 | 7/31/13 | 7/31/12 | |
| ||||||
Class A | 0.08% | 0.15% | 0.12% | 0.12% | 0.14% | 0.47% |
| ||||||
Class B | 0.08 | 0.15 | 0.12 | 0.12 | 0.14 | 0.47 |
| ||||||
Class C | 0.08 | 0.15 | 0.12 | 0.12 | 0.14 | 0.47 |
| ||||||
Class M | 0.08 | 0.15 | 0.12 | 0.12 | 0.14 | 0.47 |
| ||||||
Class R | 0.08 | 0.15 | 0.12 | 0.12 | 0.14 | 0.47 |
| ||||||
Class R6 | 0.08 | 0.15 | 0.13 | 0.14 | 0.17 | 0.04 |
| ||||||
Class Y | 0.08 | 0.15 | 0.12 | 0.12 | 0.14 | 0.47 |
|
e Amount represents less than $0.01 per share.
f Reflects a voluntary waiver of certain fund expenses in effect during the period relating to the enhancement of certain annualized net yields for the fund. As a result of such waivers, the expenses reflect a reduction of the following amounts as a percentage of average net assets (Note 2):
7/31/16 | 7/31/15 | 7/31/14 | |
| |||
Class B | —%‡ | 0.01% | 0.01% |
| |||
Class C | —‡ | 0.01 | 0.01 |
| |||
Class R | 0.01 | 0.01 | 0.01 |
|
‡ Amount represents less than 0.01% per share.
The accompanying notes are an integral part of these financial statements.
42 Short Duration Income Fund | Short Duration Income Fund 43 |
Notes to financial statements 1/31/17 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, 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. Unless otherwise noted, the “reporting period” represents the period from August 1, 2016 through January 31, 2017.
Putnam Short Duration Income Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek as high a rate of current income as Putnam Management believes is consistent with preservation of capital and maintenance of liquidity. The fund invests in a diversified portfolio of fixed income securities comprised of short duration, investment-grade money market and other fixed income securities. The fund’s investments may include obligations of the U.S. government, its agencies and instrumentalities, which are backed by the full faith and credit of the United States (e.g., U.S. Treasury bonds and Ginnie Mae mortgage-backed bonds) or by only the credit of a federal agency or government sponsored entity (e.g., Fannie Mae or Freddie Mac mortgage-backed bonds), domestic corporate debt obligations, taxable municipal debt securities, securitized debt instruments (such as mortgage- and asset backed securities), repurchase agreements, certificates of deposit, bankers acceptances, commercial paper (including asset-backed commercial paper), time deposits, Yankee Eurodollar securities and other money market instruments. The fund may also invest in U.S.-dollar denominated foreign securities of these types. Under normal circumstances, the effective duration of the fund’s portfolio will generally not be greater than one year. Effective duration provides a measure of a fund’s interest-rate sensitivity. The longer a fund’s duration, the more sensitive the fund is to shifts in interest rates. Under normal circumstances, the dollar-weighted average portfolio maturity of the fund is not expected to exceed three and one-half years. Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund may also use derivatives, such as futures, options and swap contracts, for both hedging and non-hedging purposes.
The fund offers class A, class B (only in exchange for class B shares of another Putnam fund), class C, class M, class R, class R6 and class Y shares. Effective April 1, 2017, purchases of class B shares will be closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Each class of shares is sold without a front-end sales charge. Class A, class M, class R, class R6 and class Y shares also are generally not subject to a contingent deferred sales charge. Class B shares, which are only available through exchange of class B shares of another Putnam fund, convert to class A shares after approximately eight years after the original purchase date and are subject to a contingent deferred sales charge on certain redemptions. Class C shares obtained in an exchange for class C shares of another Putnam fund, are subject to a one-year 1.00% contingent deferred sales charge on certain redemptions and do not convert to class A shares. Class R shares are not available to all investors. The expenses for class A, class B, class C, class M, and class R shares may differ based on each class’ distribution fee, which is identified in Note 2. Class R6 and class Y shares are generally subject to the same expenses as class A, class B, class C, class M and Class R shares, but do not bear a distribution fee. Class R6 and class Y shares are not available to all investors. Effective November 27, 2015, the fund terminated its class R5 shares.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
44 Short Duration Income Fund |
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
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.
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. 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.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
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
Short Duration Income Fund 45 |
than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the higher of (1) the Federal Funds rate and (2) the overnight LIBOR plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit plus a $25,000 flat fee and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At July 31, 2016, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:
Loss carryover | ||
| ||
Short-term | Long-term | Total |
| ||
$358,739 | $— | $358,739 |
|
Pursuant to federal income tax regulations applicable to regulated investment companies, the Fund has elected to defer certain capital losses of $171,948 recognized during the period between November 1, 2015 and July 31, 2016 to its fiscal year ending July 31, 2017.
The aggregate identified cost on a tax basis is $5,423,573,742, resulting in gross unrealized appreciation and depreciation of $5,521,244 and $972,797, respectively, or net unrealized appreciation of $4,548,447.
Distributions to shareholders Income dividends are recorded daily by the fund and are paid monthly. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
46 Short Duration Income Fund |
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:
0.500% | of the first $5 billion, | 0.300% | of the next $50 billion, | |
|
| |||
0.450% | of the next $5 billion, | 0.280% | of the next $50 billion, | |
|
| |||
0.400% | of the next $10 billion, | 0.270% | of the next $100 billion and | |
|
| |||
0.350% | of the next $10 billion, | 0.265% | of any excess thereafter. |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.176% of the fund’s average net assets.
Putnam Management has contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through November 30, 2017, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses, payments under the fund’s investor servicing contract and acquired fund fees and expenses, but including payments under the fund’s investment management contract) would exceed an annual rate of 0.24% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $3,623,565 as a result of this limit.
Putnam Management has also contractually agreed, through November 30, 2017, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.25% of the average net assets of the portion of the fund managed by PIL.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R, and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (“retail account”) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
Prior to September 1, 2016, Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R, and class Y shares that included (1) a per account fee for each retail account of the fund and each of the other funds in its specified category, which was totaled and then allocated to each fund in the category based on its average daily net assets; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Prior to September 1, 2016, Putnam Investor Services, Inc. had agreed that the aggregate investor servicing fees for each
Short Duration Income Fund 47 |
fund’s retail and defined contribution accounts for these share classes would not exceed an annual rate of 0.320% of the fund’s average assets attributable to such accounts.
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
Class A | $762,415 | Class R | 973 | |
|
| |||
Class B | 668 | Class R6 | 649 | |
|
| |||
Class C | 5,949 | Class Y | 533,700 | |
|
| |||
Class M | 3,312 | Total | $1,307,666 |
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $8,770 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $4,050, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the “Plans”) with respect to the following class shares pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (“Maximum %”) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (“Approved %”) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
Maximum % | Approved % | Amount | |
| |||
Class A | 0.35% | 0.10% | $1,282,182 |
| |||
Class B | 0.75% | 0.50% | 5,580 |
| |||
Class C | 1.00% | 0.50% | 49,789 |
| |||
Class M | 1.00% | 0.15% | 8,342 |
| |||
Class R | 1.00% | 0.50% | 8,184 |
| |||
Total | $1,354,077 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $615 and $136, respectively, in contingent deferred sales charges from redemptions of class B and class C shares purchased by exchange from another Putnam fund.
A deferred sales charge of up to 1.00% for class A shares may be assessed on certain redemptions. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received no monies in contingent deferred sales charges from redemptions of class A shares purchased by exchange from another Putnam fund.
48 Short Duration Income Fund |
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
Cost of purchases | Proceeds from sales | |
| ||
Investments in securities, including TBA commitments (Long-term) | $1,104,950,401 | $421,823,182 |
| ||
U.S. government securities (Long-term) | — | — |
| ||
Total | $1,104,950,401 | $421,823,182 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
SIX MONTHS ENDED 1/31/17 | YEAR ENDED 7/31/16 | |||
Class A | Shares | Amount | Shares | Amount |
| ||||
Shares sold | 239,976,694 | $2,409,401,588 | 281,944,045 | $2,826,074,073 |
| ||||
Shares issued in connection with | ||||
reinvestment of distributions | 1,051,997 | 10,564,419 | 955,227 | 9,575,596 |
| ||||
241,028,691 | 2,419,966,007 | 282,899,272 | 2,835,649,669 | |
| ||||
Shares repurchased | (109,235,177) | (1,096,734,198) | (231,742,173) | (2,322,637,971) |
| ||||
Net increase | 131,793,514 | $1,323,231,809 | 51,157,099 | $513,011,698 |
SIX MONTHS ENDED 1/31/17 | YEAR ENDED 7/31/16 | |||
Class B | Shares | Amount | Shares | Amount |
| ||||
Shares sold | 68,789 | $689,762 | 182,249 | $1,824,185 |
| ||||
Shares issued in connection with | ||||
reinvestment of distributions | 459 | 4,608 | 446 | 4,467 |
| ||||
69,248 | 694,370 | 182,695 | 1,828,652 | |
| ||||
Shares repurchased | (80,355) | (805,932) | (87,935) | (880,105) |
| ||||
Net increase (decrease) | (11,107) | $(111,562) | 94,760 | $948,547 |
SIX MONTHS ENDED 1/31/17 | YEAR ENDED 7/31/16 | |||
Class C | Shares | Amount | Shares | Amount |
| ||||
Shares sold | 973,569 | $9,764,630 | 2,115,115 | $21,167,961 |
| ||||
Shares issued in connection with | ||||
reinvestment of distributions | 4,222 | 42,349 | 4,387 | 43,910 |
| ||||
977,791 | 9,806,979 | 2,119,502 | 21,211,871 | |
| ||||
Shares repurchased | (688,666) | (6,907,073) | (1,324,928) | (13,265,159) |
| ||||
Net increase | 289,125 | $2,899,906 | 794,574 | $7,946,712 |
Short Duration Income Fund 49 |
SIX MONTHS ENDED 1/31/17 | YEAR ENDED 7/31/16 | |||
Class M | Shares | Amount | Shares | Amount |
| ||||
Shares sold | 1,119,955 | $11,243,699 | 530,882 | $5,316,872 |
| ||||
Shares issued in connection with | ||||
reinvestment of distributions | 4,380 | 43,962 | 5,287 | 52,953 |
| ||||
1,124,335 | 11,287,661 | 536,169 | 5,369,825 | |
| ||||
Shares repurchased | (914,662) | (9,182,217) | (196,487) | (1,967,932) |
| ||||
Net increase | 209,673 | $2,105,444 | 339,682 | $3,401,893 |
SIX MONTHS ENDED 1/31/17 | YEAR ENDED 7/31/16 | |||
Class R | Shares | Amount | Shares | Amount |
| ||||
Shares sold | 264,862 | $2,656,574 | 180,394 | $1,805,712 |
| ||||
Shares issued in connection with | ||||
reinvestment of distributions | 720 | 7,224 | 406 | 4,063 |
| ||||
265,582 | 2,663,798 | 180,800 | 1,809,775 | |
| ||||
Shares repurchased | (129,167) | (1,295,439) | (154,827) | (1,551,335) |
| ||||
Net increase | 136,415 | $1,368,359 | 25,973 | $258,440 |
PERIOD ENDED 7/31/16* | ||||
Class R5 | Shares | Amount | ||
| ||||
Shares sold | — | $— | ||
| ||||
Shares issued in connection with reinvestment of distributions | 1 | 13 | ||
| ||||
1 | 13 | |||
| ||||
Shares repurchased | (1,019) | (10,212) | ||
| ||||
Net decrease | (1,018) | $(10,199) |
SIX MONTHS ENDED 1/31/17 | YEAR ENDED 7/31/16 | |||
Class R6 | Shares | Amount | Shares | Amount |
| ||||
Shares sold | 200,583 | $2,017,705 | 201,137 | $2,018,060 |
| ||||
Shares issued in connection with | ||||
reinvestment of distributions | 1,241 | 12,480 | 1,447 | 14,527 |
| ||||
201,824 | 2,030,185 | 202,584 | 2,032,587 | |
| ||||
Shares repurchased | (122,607) | (1,233,421) | (106,380) | (1,068,014) |
| ||||
Net increase | 79,217 | $796,764 | 96,204 | $964,573 |
SIX MONTHS ENDED 1/31/17 | YEAR ENDED 7/31/16 | |||
Class Y | Shares | Amount | Shares | Amount |
| ||||
Shares sold | 190,458,403 | $1,914,231,594 | 199,540,620 | $2,002,018,033 |
| ||||
Shares issued in connection with | ||||
reinvestment of distributions | 730,128 | 7,339,313 | 646,356 | 6,486,130 |
| ||||
191,188,531 | 1,921,570,907 | 200,186,976 | 2,008,504,163 | |
| ||||
Shares repurchased | (118,863,471) | (1,194,665,468) | (128,774,547) | (1,291,985,863) |
| ||||
Net increase | 72,325,060 | $726,905,439 | 71,412,429 | $716,518,300 |
* Effective November 27, 2015, the fund terminated its class R5 shares.
50 Short Duration Income Fund |
At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:
Shares owned | Percentage of ownership | Value | |
| |||
Class R6 | 1,030 | 0.3% | $10,362 |
|
Note 5: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
Note 6: New pronouncements
In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Putnam Management is currently evaluating the amendments and their impact, if any, on the fund’s financial statements.
Short Duration Income Fund 51 |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
52 Short Duration Income Fund |
Fund information
Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
Investment Manager | Trustees | James F. Clark |
Putnam Investment | Jameson A. Baxter, Chair | Vice President and |
Management, LLC | Kenneth R. Leibler, Vice Chair | Chief Compliance Officer |
One Post Office Square | Liaquat Ahamed | |
Boston, MA 02109 | Ravi Akhoury | Michael J. Higgins |
Barbara M. Baumann | Vice President, Treasurer, | |
Investment Sub-Advisor | Robert J. Darretta | and Clerk |
Putnam Investments Limited | Katinka Domotorffy | |
57–59 St James’s Street | Catharine Hill | Janet C. Smith |
London, England SW1A 1LD | John A. Hill | Vice President, |
Paul L. Joskow | Principal Financial Officer, | |
Marketing Services | Robert E. Patterson | Principal Accounting Officer, |
Putnam Retail Management | George Putnam, III | and Assistant Treasurer |
One Post Office Square | Robert L. Reynolds | |
Boston, MA 02109 | Manoj Singh | Susan G. Malloy |
W. Thomas Stephens | Vice President and | |
Custodian | Assistant Treasurer | |
State Street Bank | Officers | |
and Trust Company | Robert L. Reynolds | Mark C. Trenchard |
President | Vice President and | |
Legal Counsel | BSA Compliance Officer | |
Ropes & Gray LLP | Jonathan S. Horwitz | |
Executive Vice President, | Nancy E. Florek | |
Principal Executive Officer, | Vice President, Director of | |
and Compliance Liaison | Proxy Voting and Corporate | |
Governance, Assistant Clerk, | ||
Robert T. Burns | and Associate Treasurer | |
Vice President and | ||
Chief Legal Officer |
This report is for the information of shareholders of Putnam Short Duration Income Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
Item 2. Code of Ethics: |
Not applicable |
Item 3. Audit Committee Financial Expert: |
Not applicable |
Item 4. Principal Accountant Fees and Services: |
Not applicable |
Item 5. Audit Committee of Listed Registrants |
Not applicable |
Item 6. Schedule of Investments: |
The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
Not applicable |
Item 11. 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 12. Exhibits: |
(a)(1) Not applicable |
(a)(2) 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. |
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
SIGNATURES |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
Putnam Funds Trust |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
Date: March 31, 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: March 31, 2017 |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
Date: March 31, 2017 |
Certifications | |
I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that: | |
1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A: | |
2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report; | |
3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report; | |
4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: | |
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; | |
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |
c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of each report based on such evaluation; and | |
d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and | |
5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions): | |
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and | |
b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting. | |
Date: March 30, 2017 | |
/s/ Jonathan S. Horwitz | |
_______________________ | |
Jonathan S. Horwitz | |
Principal Executive Officer | |
Certifications | |
I, Janet C. Smith, the Principal Financial Officer of the funds listed on Attachment A, certify that: | |
1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A: | |
2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report; | |
3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report; | |
4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: | |
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; | |
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |
c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of each report based on such evaluation; and | |
d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and | |
5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions): | |
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and | |
b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting. | |
Date: March 30, 2017 | |
/s/ Janet C. Smith | |
_______________________ | |
Janet C. Smith | |
Principal Financial Officer | |
Attachment A | |
Period (s) ended January 31, 2017 | |
Putnam Premier Income Trust | |
Putnam Research Fund | |
Putnam Investors Fund | |
Putnam Tax-Free High Yield Fund | |
Putnam AMT-Free Municipal Fund | |
Putnam Growth Opportunities Fund | |
George Putnam Balanced Fund | |
Putnam Short Duration Income Fund | |
Putnam Short Term Investment Fund | |
Putnam Strategic Volatility Equity Fund | |
Putnam Low Volatility Equity Fund | |
Putnam RetirementReady — Funds: | |
Putnam RetirementReady — 2060 | |
Putnam RetirementReady — 2055 | |
Putnam RetirementReady — 2050 | |
Putnam RetirementReady — 2045 | |
Putnam RetirementReady — 2040 | |
Putnam RetirementReady — 2035 | |
Putnam RetirementReady — 2030 | |
Putnam RetirementReady — 2025 | |
Putnam RetirementReady — 2020 | |
Putnam Retirement Income Fund Lifestyle 1 |
Section 906 Certifications | |
I, Jonathan S. Horwitz, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge: | |
1. The form N-CSR of the Funds listed on Attachment A for the period ended January 31, 2017 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | |
2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended January 31, 2017 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A. | |
Date: March 30, 2017 | |
/s/ Jonathan S. Horwitz | |
______________________ | |
Jonathan S. Horwitz | |
Principal Executive Officer | |
Section 906 Certifications | |
I, Janet C. Smith, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge: | |
1. The form N-CSR of the Funds listed on Attachment A for the period ended January 31, 2017 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and | |
2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended January 31, 2017 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A. | |
Date: March 30, 2017 | |
/s/ Janet C. Smith | |
______________________ | |
Janet C. Smith | |
Principal Financial Officer | |
Attachment A | |
N-CSR | |
Period (s) ended January 31, 2017 | |
Putnam Premier Income Trust | |
Putnam Research Fund | |
Putnam Investors Fund | |
Putnam Tax-Free High Yield Fund | |
Putnam AMT-Free Municipal Fund | |
Putnam Growth Opportunities Fund | |
George Putnam Balanced Fund | |
Putnam Short Duration Income Fund | |
Putnam Short Term Investment Fund | |
Putnam Strategic Volatility Equity Fund | |
Putnam Low Volatility Equity Fund | |
Putnam RetirementReady — Funds: | |
Putnam RetirementReady — 2060 | |
Putnam RetirementReady — 2055 | |
Putnam RetirementReady — 2050 | |
Putnam RetirementReady — 2045 | |
Putnam RetirementReady — 2040 | |
Putnam RetirementReady — 2035 | |
Putnam RetirementReady — 2030 | |
Putnam RetirementReady — 2025 | |
Putnam RetirementReady — 2020 | |
Putnam Retirement Income Fund Lifestyle 1 |
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