0000928816-17-001311.txt : 20170427 0000928816-17-001311.hdr.sgml : 20170427 20170427112742 ACCESSION NUMBER: 0000928816-17-001311 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20170228 FILED AS OF DATE: 20170427 DATE AS OF CHANGE: 20170427 EFFECTIVENESS DATE: 20170427 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM FUNDS TRUST CENTRAL INDEX KEY: 0001005942 IRS NUMBER: 043299786 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-07513 FILM NUMBER: 17787056 BUSINESS ADDRESS: STREET 1: ONE POST STREET 2: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6172921010 MAIL ADDRESS: STREET 1: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 0001005942 S000024277 Putnam Dynamic Risk Allocation Fund C000071723 Class A C000071724 Class B C000071725 Class C C000071726 Class M C000071727 Class R C000071728 Class Y C000118009 Class R6 N-Q 1 a_dynamicriskallocation.htm PUTNAM FUNDS TRUST a_dynamicriskallocation.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: May 31, 2017
Date of reporting period: February 28, 2017



Item 1. Schedule of Investments:













Putnam Dynamic Risk Allocation Fund

The fund's portfolio
2/28/17 (Unaudited)
COMMON STOCKS (43.0%)(a)
Shares Value
Basic materials (2.1%)
Anhui Conch Cement Co., Ltd. (China) 25,500 $88,855
Asahi Kasei Corp. (Japan) 9,000 87,681
Ashland Global Holdings, Inc. 666 80,360
BASF SE (Germany) 3,214 299,292
Bemis Co., Inc. 1,885 93,439
Boliden AB (Sweden) 5,501 167,956
Braskem SA Class A (Preference) (Brazil) 15,200 157,961
China Lesso Group Holdings, Ltd. (China) 92,000 69,093
China Railway Construction Corp., Ltd. (China) 83,000 117,397
Covestro AG (Germany) 908 68,365
Evonik Industries AG (Germany) 5,103 163,859
Fletcher Building, Ltd. (New Zealand) 1,678 11,676
Fortescue Metals Group, Ltd. (Australia) 11,180 56,830
Glencore PLC (United Kingdom)(NON) 5,143 20,552
Hitachi Chemical Co., Ltd. (Japan) 2,300 64,796
Hitachi Metals, Ltd. (Japan) 1,100 15,666
Hyosung Corp. (South Korea) 1,029 119,667
Johnson Matthey PLC (United Kingdom) 2,121 80,640
Kajima Corp. (Japan) 5,000 32,578
Kuraray Co., Ltd. (Japan) 3,900 59,188
Lotte Chemical Corp. (South Korea) 420 135,388
Mitsubishi Chemical Holdings Corp. (Japan) 11,700 89,845
Mitsubishi Gas Chemical Co., Inc. (Japan) 1,900 40,014
Mitsubishi Materials Corp. (Japan) 600 19,921
PTT Global Chemical PCL (Thailand) 73,200 149,418
Reliance Steel & Aluminum Co. 1,244 105,305
Sherwin-Williams Co. (The) 943 290,953
Shin-Etsu Chemical Co., Ltd. (Japan) 600 50,753
Siam Cement PCL (The) (Thailand) 8,800 130,088
Sika AG (Switzerland) 7 39,414
Sinopec Shanghai Petrochemical Co., Ltd. (China) 186,000 112,613
Skanska AB (Sweden) 7,584 180,807
Sonoco Products Co. 1,564 83,392
Stora Enso OYJ Class R (Finland) 7,900 84,864
Taisei Corp. (Japan) 10,000 70,141
UPM-Kymmene OYJ (Finland) 3,947 93,790
voestalpine AG (Austria) 1,016 42,758
Yara International ASA (Norway) 2,678 101,677
3,676,992
Capital goods (2.9%)
ACS Actividades de Construccion y Servicios SA (Spain) 3,201 100,462
Allison Transmission Holdings, Inc. 5,682 204,438
Atlas Copco AB Class A (Sweden) 1,295 42,408
Avery Dennison Corp. 3,656 295,076
BAE Systems PLC (United Kingdom) 5,125 40,064
Berry Plastics Group, Inc.(NON) 1,885 94,872
BWX Technologies, Inc. 2,142 99,474
Carlisle Cos., Inc. 636 65,699
China Railway Group, Ltd. (China) 141,000 123,329
Crown Holdings, Inc.(NON) 2,024 108,466
Daikin Industries, Ltd. (Japan) 100 9,493
General Dynamics Corp. 2,452 465,414
Honeywell International, Inc. 5,411 673,670
JTEKT Corp (Japan) 3,000 50,950
L3 Technologies, Inc. 771 129,775
Mitsubishi Electric Corp. (Japan) 11,200 164,244
Northrop Grumman Corp. 3,218 795,136
NSK, Ltd. (Japan) 3,900 55,613
Raytheon Co. 5,167 796,493
Sumitomo Heavy Industries, Ltd. (Japan) 4,000 28,306
Thales SA (France) 616 60,691
United Tractors Tbk PT (Indonesia) 51,400 95,007
Waste Management, Inc. 8,158 598,145
5,097,225
Communication services (2.0%)
AT&T, Inc. 7,155 299,007
BT Group PLC (United Kingdom) 14,889 60,432
China Mobile, Ltd. (China) 3,500 38,594
Comcast Corp. Class A 9,116 341,121
Equinix, Inc.(R) 250 94,018
Eutelsat Communications SA (France) 732 14,389
Juniper Networks, Inc. 17,972 503,216
KDDI Corp. (Japan) 2,900 75,865
LG Uplus Corp. (South Korea) 12,118 137,175
NICE, Ltd. (Israel) 566 39,314
Nippon Telegraph & Telephone Corp. (Japan) 4,500 190,302
NTT DoCoMo, Inc. (Japan) 5,700 135,314
Orange SA (France) 4,759 71,920
PCCW, Ltd. (Hong Kong) 11,000 6,702
SK Telecom Co., Ltd. (South Korea) 213 43,608
Telekomunikasi Indonesia Persero Tbk PT (Indonesia) 526,900 152,112
Telenor ASA (Norway) 6,174 100,672
Telkom SA SOC, Ltd. (South Africa) 18,347 95,347
Telstra Corp., Ltd. (Australia) 36,539 135,030
Verizon Communications, Inc. 18,896 937,808
3,471,946
Conglomerates (0.1%)
Siemens AG (Germany) 1,238 161,057
Vivendi SA (France) 363 6,405
167,462
Consumer cyclicals (5.1%)
Alfa SAB de CV (Mexico) 19,500 24,866
Aramark 1,408 50,322
Aristocrat Leisure, Ltd. (Australia) 6,024 76,669
Asahi Glass Co., Ltd. (Japan) 3,000 24,514
Automatic Data Processing, Inc. 7,496 769,240
AutoZone, Inc.(NON) 684 503,800
Berkeley Group Holdings PLC (The) (United Kingdom) 261 9,535
Carter's, Inc. 808 71,112
CBS Corp. Class B (non-voting shares) 4,852 319,844
China Dongxiang Group Co., Ltd. (China) 119,000 22,534
Christian Dior SE (France) 425 90,004
Cie Generale des Etablissements Michelin (France) 473 53,141
Clorox Co. (The) 382 52,261
Compass Group PLC (United Kingdom) 8,461 157,273
Dai Nippon Printing Co., Ltd. (Japan) 7,000 76,140
Daito Trust Construction Co., Ltd. (Japan) 300 41,978
Dixons Carphone PLC (United Kingdom) 2,878 10,821
Dollar General Corp. 7,079 516,909
Electrolux AB Ser. B (Sweden) 2,581 68,452
Fiat Chrysler Automobiles NV (Italy) 8,040 87,987
Flight Centre Travel Group, Ltd. (Australia) 1,192 26,357
Fuji Heavy Industries, Ltd. (Japan) 1,800 67,405
Great Wall Motor Co., Ltd. (China) 127,000 156,073
Hakuhodo DY Holdings, Inc. (Japan) 1,700 20,897
Hankook Tire Co., Ltd. (South Korea) 688 36,385
Harvey Norman Holdings, Ltd. (Australia) 26,401 104,244
Hasbro, Inc. 3,415 330,811
Hino Motors, Ltd. (Japan) 1,900 22,070
Home Depot, Inc. (The) 747 108,248
Host Hotels & Resorts, Inc.(R) 10,750 193,393
Hyatt Hotels Corp. Class A(NON) 1,503 77,164
Imperial Holdings, Ltd. (South Africa) 7,399 94,254
Industrivarden AB Class A (Sweden) 2,363 49,948
Interpublic Group of Cos., Inc. (The) 8,765 211,237
Itausa - Investimentos Itau SA (Rights) (Brazil)(F)(NON) 507 642
Itausa - Investimentos Itau SA (Preference) (Brazil) 31,000 100,045
John Wiley & Sons, Inc. Class A 847 44,213
Kia Motors Corp. (South Korea) 299 10,114
Kimberly-Clark Corp. 590 78,205
Kimberly-Clark de Mexico SAB de CV Class A (Mexico) 58,900 111,254
Kingfisher PLC (United Kingdom) 41,491 169,486
Lagardere SCA (France) 889 22,358
Lowe's Cos., Inc. 8,037 597,712
Madison Square Garden Co. (The) Class A(NON) 182 32,644
Marks & Spencer Group PLC (United Kingdom) 16,659 69,208
Mazda Motor Corp. (Japan) 4,200 58,919
Namco Bandai Holdings, Inc. (Japan) 1,300 37,434
Naspers, Ltd. Class N (South Africa) 89 14,232
News Corp. Class B 2,494 32,921
Omnicom Group, Inc. 256 21,786
Pearson PLC (United Kingdom) 7,447 62,282
Peugeot SA (France)(NON) 4,112 78,238
PVH Corp. 683 62,563
Qualicorp SA (Brazil) 11,700 74,126
Randstad Holding NV (Netherlands) 775 45,083
Reed Elsevier PLC (United Kingdom) 2,893 54,026
Renault SA (France) 1,330 117,948
RTL Group SA (Belgium) 844 64,932
Scotts Miracle-Gro Co. (The) Class A 836 75,767
Securitas AB Class B (Sweden) 831 12,686
ServiceMaster Global Holdings, Inc.(NON) 3,620 144,185
Smiles SA (Brazil) 8,300 164,666
Suzuki Motor Corp. (Japan) 300 11,734
TABCORP Holdings, Ltd. (Australia) 34,408 112,381
Taylor Wimpey PLC (United Kingdom) 26,184 58,483
TJX Cos., Inc. (The) 4,732 371,225
Toppan Printing Co., Ltd. (Japan) 4,000 40,304
TUI AG (Germany) 1,835 25,912
Twenty-First Century Fox, Inc. 14,819 443,384
Vail Resorts, Inc. 189 34,243
Valeo SA (France) 1,613 99,128
Vantiv, Inc. Class A(NON) 6,762 442,100
William Hill PLC (United Kingdom) 28,631 93,755
Wolters Kluwer NV (Netherlands) 1,937 79,343
World Fuel Services Corp. 1,385 50,095
WPP PLC (United Kingdom) 9,398 221,219
Yue Yuen Industrial Holdings, Ltd. (Hong Kong) 13,500 50,258
9,017,127
Consumer staples (4.0%)
Altria Group, Inc. 13,215 990,068
Aryzta AG (Switzerland) 1,568 50,708
Asahi Group Holdings, Ltd. (Japan) 1,800 63,592
Ashtead Group PLC (United Kingdom) 4,786 98,345
British American Tobacco PLC (United Kingdom) 4,173 263,046
Church & Dwight Co., Inc. 2,126 105,960
Coca-Cola Amatil, Ltd. (Australia) 25,188 197,944
Colgate-Palmolive Co. 7,467 544,942
Constellation Brands, Inc. Class A 328 52,090
Coty, Inc. Class A 1,651 31,006
CVS Health Corp. 6,525 525,785
General Mills, Inc. 7,328 442,391
Gruma SAB de CV Class B (Mexico) 8,190 107,583
Hanwha Corp. (South Korea) 2,645 85,145
Henkel AG & Co. KGaA (Preference) (Germany) 227 28,353
Hershey Co. (The) 4,850 525,498
ITOCHU Corp. (Japan) 4,200 60,806
J Sainsbury PLC (United Kingdom) 28,822 95,704
Jardine Cycle & Carriage, Ltd. (Singapore) 1,100 33,524
JBS SA (Brazil) 27,900 104,928
Koninklijke Ahold Delhaize NV (Netherlands) 11,315 240,461
McDonald's Corp. 6,315 806,110
MEIJI Holdings Co., Ltd. (Japan) 200 15,986
METRO AG (Germany) 2,722 84,391
Nestle SA (Switzerland) 1,935 143,051
PepsiCo, Inc. 528 58,281
Philip Morris International, Inc. 212 23,182
Pool Corp. 624 71,579
Procter & Gamble Co. (The) 2,393 217,931
Reckitt Benckiser Group PLC (United Kingdom) 925 83,915
Recruit Holdings Co., Ltd. (Japan) 300 14,714
Sao Martinho SA (Brazil) 5,700 34,812
Sysco Corp. 8,955 472,108
Tate & Lyle PLC (United Kingdom) 13,014 120,144
Unilever PLC (United Kingdom) 175 8,293
US Foods Holding Corp.(NON) 853 23,500
WH Group, Ltd. (Hong Kong) 100,000 78,192
Wilmar International, Ltd. (Singapore) 16,400 42,597
WM Morrison Supermarkets PLC (United Kingdom) 24,771 74,568
7,021,233
Energy (2.1%)
Bangchak Petroleum PCL (The) (Thailand) 26,300 26,371
Caltex Australia, Ltd. (Australia) 1,743 37,605
Dril-Quip, Inc.(NON)(S) 642 39,387
Exxon Mobil Corp. 15,186 1,234,926
Halcon Resources Corp.(NON)(S) 3,109 25,183
Neste OYJ (Finland) 776 27,030
OMV AG (Austria) 5,439 207,780
Phillips 66 2,244 175,458
Repsol SA (Spain) 8,919 132,283
Royal Dutch Shell PLC Class A (United Kingdom) 558 14,398
Royal Dutch Shell PLC Class B (United Kingdom) 4,337 116,968
SandRidge Energy, Inc.(NON) 1,296 24,293
Schlumberger, Ltd. 10,131 814,127
SK Innovation Co., Ltd. (South Korea) 680 92,912
TechnipFMC PLC (United Kingdom)(NON) 5,325 172,104
Tervita Corp. Class A (Canada) 63 510
Thai Oil PCL (Thailand) 50,900 109,731
Total SA (France) 6,591 328,527
Vestas Wind Systems A/S (Denmark) 988 73,288
3,652,881
Financials (11.4%)
3i Group PLC (United Kingdom) 25,852 220,860
AerCap Holdings NV (Ireland)(NON) 600 27,180
Aflac, Inc. 3,056 221,102
AGNC Investment Corp.(R) 20,603 404,437
Agree Realty Corp.(R) 1,053 52,260
Agricultural Bank of China, Ltd. (China) 352,000 162,331
Alexandria Real Estate Equities, Inc.(R) 865 103,203
Alleghany Corp.(NON) 79 51,018
Allianz SE (Germany) 1,458 253,624
Allstate Corp. (The) 1,130 92,841
Ally Financial, Inc. 6,223 139,955
American Financial Group, Inc. 734 69,040
Annaly Capital Management, Inc.(R) 18,883 209,601
Aspen Insurance Holdings, Ltd. 1,658 92,931
Associated Banc-Corp. 1,446 37,235
Assured Guaranty, Ltd. 1,575 64,748
AvalonBay Communities, Inc.(R) 1,518 278,978
AXA SA (France) 6,208 146,464
Banco Bradesco SA ADR (Brazil) 11,600 122,612
Banco Santander SA (Spain) 18,863 102,995
Bank Negara Indonesia Persero Tbk PT (Indonesia) 209,000 97,949
Bank of China, Ltd. (China) 42,000 21,263
Bank of Communications Co., Ltd. (China) 162,000 129,176
Bank of New York Mellon Corp. (The) 5,458 257,290
Barratt Developments PLC (United Kingdom) 5,739 36,425
Berkshire Hathaway, Inc. Class B(NON) 2,600 445,692
BNP Paribas SA (France) 4,166 243,314
Boston Properties, Inc.(R) 1,791 249,003
Brandywine Realty Trust(R) 2,731 45,498
Broadridge Financial Solutions, Inc. 2,151 149,129
Capital One Financial Corp. 3,637 341,369
Chimera Investment Corp.(R) 8,400 161,616
China Cinda Asset Management Co., Ltd. (China) 274,000 108,006
China Construction Bank Corp. (China) 177,000 145,697
Chongqing Rural Commercial Bank Co., Ltd. (China) 104,000 73,014
CIFI Holdings Group Co., Ltd. (China) 62,000 20,765
CoreLogic, Inc.(NON) 1,876 73,520
Corporate Office Properties Trust(R) 1,549 52,805
Country Garden Holdings Co., Ltd. (China) 149,000 106,718
Credit Agricole SA (France) 554 6,688
Daiwa Securities Group, Inc. (Japan) 5,000 31,701
DGB Financial Group, Inc. (South Korea) 5,534 50,899
Digital Realty Trust, Inc.(R) 2,024 218,592
Discover Financial Services 5,098 362,672
DuPont Fabros Technology, Inc.(R) 2,560 131,814
Easterly Government Properties, Inc.(R) 1,393 28,793
EastGroup Properties, Inc.(R) 1,125 83,633
EPR Properties(R) 681 52,410
Equity Commonwealth(NON)(R) 2,254 70,460
Equity Lifestyle Properties, Inc.(R) 1,838 146,342
Equity One, Inc.(R) 1,584 50,149
Equity Residential Trust(R) 7,416 467,727
Essex Property Trust, Inc.(R) 886 207,944
Everest Re Group, Ltd. 698 164,128
Extra Space Storage, Inc.(R) 1,463 115,855
Forest City Realty Trust, Inc. Class A(R) 2,341 53,492
Four Corners Property Trust, Inc.(R) 2,689 59,642
Fubon Financial Holding Co., Ltd. (Taiwan) 22,000 35,624
Fukuoka Financial Group, Inc. (Japan) 11,000 51,306
Getty Realty Corp.(R) 922 24,332
GGP, Inc.(R) 7,264 180,583
Guangzhou R&F Properties Co., Ltd. (China) 85,600 118,207
Hachijuni Bank, Ltd. (The) (Japan) 3,000 18,959
Hana Financial Group, Inc. (South Korea) 498 15,525
Hanover Insurance Group, Inc. (The) 432 38,889
HCP, Inc.(R) 5,851 191,854
Hersha Hospitality Trust(R) 1,906 37,186
Highwealth Construction Corp. (Taiwan) 37,000 60,094
Highwoods Properties, Inc.(R) 3,765 197,625
HSBC Holdings PLC (United Kingdom) 19,141 153,551
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea) 1,320 37,823
Iida Group Holdings Co., Ltd. (Japan) 2,100 35,516
Industrial & Commercial Bank of China, Ltd. (China) 362,000 237,357
Industrial Bank of Korea (South Korea) 13,676 149,369
Intercontinental Exchange, Inc. 4,465 255,085
Investor AB Class B (Sweden) 5,290 209,804
KB Financial Group, Inc. (South Korea) 252 10,452
Kerry Properties, Ltd. (Hong Kong) 20,000 61,317
Kimco Realty Corp.(R) 6,069 147,173
Liberty Holdings, Ltd. (South Africa) 5,958 50,494
Liberty Property Trust(R) 5,098 201,065
Macerich Co. (The)(R) 3,283 221,209
Macquarie Mexico Real Estate Management SA de CV (Mexico)(R) 28,400 29,345
Mapfre SA (Spain) 15,308 47,371
Marsh & McLennan Cos., Inc. 4,775 350,867
MFA Financial, Inc.(R) 10,836 86,905
Mid-America Apartment Communities, Inc.(R) 1,948 200,118
Mitsubishi UFJ Financial Group, Inc. (Japan) 31,900 209,666
Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) 16,600 91,758
Mizuho Financial Group, Inc. (Japan) 133,800 249,747
Monmouth Real Estate Investment Corp.(R) 1,594 23,272
MRV Engenharia e Participacoes SA (Brazil) 20,700 95,016
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 160 30,240
New World Development Co., Ltd. (Hong Kong) 81,000 106,012
NN Group NV (Netherlands) 5,011 155,676
Nomura Real Estate Holdings, Inc. (Japan) 2,000 33,931
Old Mutual PLC (South Africa) 31,843 86,177
ORIX Corp. (Japan) 8,700 135,326
Partners Group Holding AG (Switzerland) 133 69,589
People's Insurance Co. Group of China, Ltd. (China) 293,000 120,402
Persimmon PLC (United Kingdom) 2,546 65,111
PNC Financial Services Group, Inc. (The) 6,390 813,000
Popular, Inc. (Puerto Rico) 2,700 118,962
Prologis, Inc.(R) 5,599 285,829
PS Business Parks, Inc.(R) 630 73,212
Public Storage(R) 1,673 380,541
Quality Care Properties, Inc.(NON)(R) 1,170 22,207
Realty Income Corp.(R) 463 28,373
Regency Centers Corp.(R) 1,356 95,395
Reinsurance Group of America, Inc. 876 113,933
Resona Holdings, Inc. (Japan) 23,900 133,386
Retail Properties of America, Inc. Class A(R) 2,263 34,873
Sberbank of Russia PJSC ADR (Russia) 17,067 186,201
Sekisui Chemical Co., Ltd. (Japan) 3,500 57,791
Shinhan Financial Group Co., Ltd. (South Korea) 1,163 48,032
Simon Property Group, Inc.(R) 2,701 498,064
Societe Generale SA (France) 3,769 167,341
Sumitomo Mitsui Financial Group, Inc. (Japan) 6,200 241,554
Sumitomo Mitsui Trust Holdings, Inc. (Japan) 300 10,759
Summit Hotel Properties, Inc.(R) 3,810 58,636
Sun Hung Kai Properties, Ltd. (Hong Kong) 2,000 29,242
SunTrust Banks, Inc. 4,796 285,314
Swiss Life Holding AG (Switzerland) 391 123,021
Swiss Re AG (Switzerland) 2,376 212,441
Tanger Factory Outlet Centers, Inc.(R) 3,031 102,660
TCF Financial Corp. 4,431 77,099
Travelers Cos., Inc. (The) 2,577 315,012
Two Harbors Investment Corp.(R) 11,054 102,802
U.S. Bancorp 6,080 334,400
UBS Group AG (Switzerland) 1,558 23,998
Vornado Realty Trust(R) 2,144 235,561
Voya Financial, Inc. 7,112 293,228
Weingarten Realty Investors(R) 4,076 144,576
Wells Fargo & Co. 14,770 854,888
Welltower, Inc.(R) 3,815 268,500
Western Alliance Bancorp(NON) 1,567 80,920
Wharf Holdings, Ltd. (The) (Hong Kong) 5,000 39,644
Wheelock and Co., Ltd. (Hong Kong) 18,000 116,979
Woori Bank (South Korea) 4,008 47,143
WP Carey, Inc.(R) 2,061 130,028
20,027,078
Health care (4.9%)
Actelion, Ltd. (Switzerland) 130 34,987
Alfresa Holdings Corp. (Japan) 800 14,399
AmerisourceBergen Corp. 2,312 211,571
Astellas Pharma, Inc. (Japan) 7,000 94,210
AstraZeneca PLC (United Kingdom) 1,501 86,495
Bayer AG (Germany) 2,038 224,110
C.R. Bard, Inc. 791 193,985
Charles River Laboratories International, Inc.(NON) 651 56,617
Cochlear, Ltd. (Australia) 609 60,956
DaVita Inc.(NON) 4,223 293,118
Fresenius SE & Co. KGaA (Germany) 331 26,307
GlaxoSmithKline PLC (United Kingdom) 15,423 315,388
Intuitive Surgical, Inc.(NON) 573 422,301
Johnson & Johnson 10,531 1,286,994
Lonza Group AG (Switzerland) 375 69,075
McKesson Corp. 3,396 509,841
Medipal Holdings Corp. (Japan) 3,700 61,027
Merck & Co., Inc. 6,275 413,334
Mitsubishi Tanabe Pharma Corp. (Japan) 1,400 28,786
Novartis AG (Switzerland)(NON) 2,097 163,693
Omega Healthcare Investors, Inc.(R) 3,890 126,970
Pfizer, Inc. 29,180 995,622
Richter Gedeon Nyrt (Hungary) 6,089 135,050
Roche Holding AG (Switzerland) 1,030 250,949
Sanofi (France) 3,649 314,401
Shire PLC (United Kingdom) 334 20,117
Sonic Healthcare, Ltd. (Australia) 6,717 110,826
St Shine Optical Co., Ltd. (Taiwan) 1,000 17,088
Taro Pharmaceutical Industries, Ltd. (Israel)(NON) 181 21,704
Teva Pharmaceutical Industries, Ltd. ADR (Israel) 1,467 51,374
Thermo Fisher Scientific, Inc. 4,762 750,872
UnitedHealth Group, Inc. 5,444 900,329
Ventas, Inc.(R) 2,677 174,139
VWR Corp.(NON) 1,176 33,046
Waters Corp.(NON) 292 45,257
8,514,938
Technology (5.6%)
Agilent Technologies, Inc. 3,197 164,006
Alibaba Group Holding, Ltd. ADR (China)(NON)(S) 1,021 105,061
Alphabet, Inc. Class A(NON) 1,411 1,192,196
Amadeus IT Holding SA Class A (Spain) 3,334 155,074
Amdocs, Ltd. 2,923 177,280
Apple, Inc. 4,566 625,496
Applied Materials, Inc. 18,699 677,278
AtoS SE (France) 1,695 200,219
AU Optronics Corp. (Taiwan) 30,000 11,913
Cisco Systems, Inc. 30,526 1,043,379
CommerceHub, Inc. Ser. C(NON) 2,752 44,995
eBay, Inc.(NON) 22,181 751,936
Fiserv, Inc.(NON) 3,871 446,713
Fitbit, Inc. Class A(NON)(S) 11,799 73,272
Foxconn Technology Co., Ltd. (Taiwan) 48,000 143,265
Fujitsu, Ltd. (Japan) 1,000 5,810
Genpact, Ltd.(NON) 2,815 68,236
Hon Hai Precision Industry Co., Ltd. (Taiwan) 80,000 233,046
Hoya Corp. (Japan) 1,200 54,304
Innolux Corp. (Taiwan) 105,000 42,720
Intuit, Inc. 2,141 268,567
LG Display Co., Ltd. (South Korea) 547 13,255
Microsoft Corp. 4,074 260,655
Mixi, Inc. (Japan) 700 30,344
Motorola Solutions, Inc. 1,799 142,067
MSCI, Inc. 683 64,605
NetEase, Inc. ADR (China) 439 133,921
Otsuka Corp. (Japan) 500 25,413
Paychex, Inc. 10,104 620,588
Samsung Electronics Co., Ltd. (South Korea) 407 691,801
SK Hynix, Inc. (South Korea) 1,998 82,517
SoftBank Corp. (Japan) 500 37,216
Synopsys, Inc.(NON) 2,882 205,890
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) 6,600 207,702
Tencent Holdings, Ltd. (China) 6,800 181,324
Texas Instruments, Inc. 6,978 534,654
Tripod Technology Corp. (Taiwan) 15,000 39,156
9,755,874
Transportation (1.2%)
A. P. Moeller-Maersck A/S (Denmark) 49 79,888
AirAsia Bhd (Malaysia) 78,900 47,980
ANA Holdings, Inc. (Japan) 24,000 71,736
Central Japan Railway Co. (Japan) 1,200 196,324
Controladora Vuela Cia de Aviacion SAB de CV Class A (Mexico)(NON) 8,600 10,427
Deutsche Lufthansa AG (Germany) 857 12,556
Deutsche Post AG (Germany) 6,519 223,589
easyJet PLC (United Kingdom) 809 9,547
Eva Airways Corp. (Taiwan) 81,000 40,205
Japan Airlines Co., Ltd. (Japan) 700 22,861
MISC Bhd (Malaysia) 37,900 63,337
Qantas Airways, Ltd. (Australia) 26,014 74,794
Royal Mail PLC (United Kingdom) 21,655 111,406
Southwest Airlines Co. 3,843 222,125
United Parcel Service, Inc. Class B 7,100 750,896
Yangzijiang Shipbuilding Holdings, Ltd. (China) 148,100 97,754
2,035,425
Utilities and power (1.6%)
American Electric Power Co., Inc. 4,262 285,426
American Water Works Co., Inc. 1,790 139,620
Centrica PLC (United Kingdom) 23,552 66,310
Chubu Electric Power Co., Inc. (Japan) 4,500 59,282
CLP Holdings, Ltd. (Hong Kong) 6,000 61,021
E.ON SE (Germany) 12,662 98,272
Endesa SA (Spain) 4,249 90,455
Enel SpA (Italy) 49,369 211,926
Equatorial Energia SA (Brazil) 8,000 153,057
Eversource Energy 1,853 108,697
Gas Natural SDG SA (Spain) 679 13,218
Great Plains Energy, Inc. 3,090 89,795
Iberdrola SA (Spain) 4,620 30,708
Korea Electric Power Corp. (South Korea) 3,111 119,955
NiSource, Inc. 4,660 111,421
PG&E Corp. 6,691 446,624
RWE AG (Germany)(NON) 3,133 44,658
Southern Co. (The) 6,948 353,097
Tenaga Nasional Bhd (Malaysia) 47,600 145,159
Toho Gas Co., Ltd. (Japan) 9,000 64,729
Tohoku Electric Power Co., Inc. (Japan) 4,100 52,625
Tokyo Electric Power Company Holdings, Inc. (Japan)(NON) 3,900 14,997
Tokyo Gas Co., Ltd. (Japan) 7,000 31,765
Westar Energy, Inc. 1,677 90,524
2,883,341
Total common stocks (cost $65,499,067) $75,321,522

CORPORATE BONDS AND NOTES (26.4%)(a)
Principal amount Value
Basic materials (2.2%)
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $30,000 $31,650
Agrium, Inc. sr. unsec. unsub. notes 5.25%, 1/15/45 (Canada) 10,000 10,918
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 55,000 60,716
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 10,000 10,044
ArcelorMittal SA sr. unsec. unsub. bonds 10.60%, 6/1/19 (France) 60,000 70,725
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 25,000 28,219
Archer-Daniels-Midland Co. sr. unsec. notes 5.45%, 3/15/18 114,000 118,711
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 80,000 86,500
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 65,000 77,513
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 65,000 66,950
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 85,000 86,913
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 110,000 127,600
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 45,000 46,294
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 69,000 73,054
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 50,000 54,313
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 40,000 42,450
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 65,000 63,538
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 30,000 31,425
Dow Chemical Co. (The) sr. unsec. unsub. bonds 3.50%, 10/1/24 70,000 71,430
Eastman Chemical Co. sr. unsec. notes 3.80%, 3/15/25 20,000 20,490
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.00%, 2/15/21 (Canada) 15,000 15,525
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 2/15/20 (Canada) 45,000 46,125
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 60,000 61,350
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55%, 3/1/22 (Indonesia) 5,000 4,644
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. notes 6.75%, 2/1/22 (Indonesia) 30,000 31,200
Freeport-McMoRan, Inc. 144A company guaranty sr. unsec. unsub. notes 6.875%, 2/15/23 (Indonesia) 55,000 58,025
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 115,000 130,502
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 116,000 122,109
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 79,000 79,724
Grinding Media, Inc./MC Grinding Media Canada, Inc. 144A sr. sub. notes 7.375%, 12/15/23 15,000 16,050
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 25,000 27,313
Huntsman International, LLC company guaranty sr. unsec. notes 5.125%, 11/15/22 15,000 15,750
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4.875%, 11/15/20 112,000 115,920
INVISTA Finance, LLC 144A company guaranty sr. notes 4.25%, 10/15/19 37,000 38,544
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 50,000 55,750
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 60,000 67,950
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 45,000 45,338
LyondellBasell Industries NV sr. unsec. unsub. notes 4.625%, 2/26/55 25,000 24,012
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 55,000 58,988
Mercer International, Inc. 144A sr. unsec. notes 6.50%, 2/1/24 (Canada) 15,000 15,300
Methanex Corp. sr. unsec. unsub. notes 5.65%, 12/1/44 (Canada) 30,000 29,084
Monsanto Company sr. unsec. sub. notes 5.50%, 8/15/25 60,000 67,711
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 35,000 35,438
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 95,000 100,510
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 70,000 72,013
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 40,000 42,300
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 5,000 5,500
Platform Specialty Products Corp. 144A sr. unsec. notes 10.375%, 5/1/21 10,000 11,238
PQ Corp. 144A company guaranty sr. notes 6.75%, 11/15/22 15,000 16,200
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6.875%, 7/15/33 40,000 43,400
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6.50%, 12/1/20 45,000 50,625
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.25%, 4/1/23 50,000 52,438
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.125%, 12/1/24 20,000 20,900
Sealed Air Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/22 20,000 20,675
Sealed Air Corp. 144A sr. unsec. bonds 5.50%, 9/15/25 15,000 16,013
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 55,000 66,550
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 8/15/22 120,000 125,400
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 30,000 31,914
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 33,000 34,365
Steel Dynamics, Inc. 144A sr. unsec. bonds 5.00%, 12/15/26 20,000 20,673
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 20,000 20,775
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 20,000 19,496
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) 10,000 11,675
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.00%, 6/1/21 (Canada) 10,000 11,113
TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7.625%, 10/15/21 80,000 80,600
Tronox Finance, LLC company guaranty sr. unsec. notes 6.375%, 8/15/20 10,000 10,175
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/22 40,000 41,800
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 60,000 63,450
U.S. Concrete, Inc. 144A company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 25,000 26,438
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 50,000 52,375
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 50,000 53,125
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 40,000 38,600
Westlake Chemical Corp. 144A company guaranty sr. unsec. unsub. bonds 3.60%, 8/15/26 150,000 146,959
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 60,000 80,731
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 32,000 42,910
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 90,000 95,625
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 45,000 50,850
3,919,216
Capital goods (1.2%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 90,000 92,025
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 10,000 11,088
Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.00%, 3/15/22 60,000 60,600
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 35,000 36,564
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.50%, 9/1/22 25,000 25,781
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 30,000 30,113
Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22 25,000 26,469
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22 20,000 20,850
Berry Plastics Corp. company guaranty unsub. notes 5.125%, 7/15/23 50,000 51,500
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 65,000 71,825
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 80,000 87,600
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6.00%, 10/15/17 (Luxembourg) 145,000 149,192
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 35,000 40,163
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 135,000 136,013
Honeywell International, Inc. sr. unsec. unsub. notes 5.375%, 3/1/41 80,000 98,076
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 35,000 36,492
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 40,000 41,158
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 100,000 105,270
L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26 10,000 10,137
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 15,000 19,415
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 115,000 132,969
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 100,000 100,000
Medtronic, Inc. company guaranty sr. unsec. sub. notes 4.375%, 3/15/35 15,000 15,942
Medtronic, Inc. company guaranty sr. unsec. sub. notes 3.50%, 3/15/25 15,000 15,395
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 55,000 56,375
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 65,000 67,275
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 135,000 140,569
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. FRN 4.523%, 7/15/21 55,000 56,444
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 55,000 59,159
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 50,000 52,250
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 25,000 25,063
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 100,000 107,500
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 35,000 35,350
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 25,000 25,688
TransDigm, Inc. 144A company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 20,000 20,475
2,060,785
Communication services (2.5%)
Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 200,000 212,750
American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27(R) 40,000 37,362
American Tower Corp. sr. unsec. notes 4.00%, 6/1/25(R) 85,000 85,803
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 67,000 62,653
AT&T, Inc. sr. unsec. unsub. notes 3.40%, 5/15/25 68,000 65,741
AT&T, Inc. sr. unsec. unsub. notes 1.70%, 6/1/17 145,000 145,147
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 195,000 202,556
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 35,000 37,144
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 85,000 91,163
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 15,000 16,050
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 25,000 25,938
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 80,000 83,700
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 15,000 15,853
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 60,000 61,069
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 10,000 10,103
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 87,000 100,979
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 43,000 45,296
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 5,000 4,595
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.95%, 8/15/37 30,000 40,577
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 85,000 109,312
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.375%, 2/15/25 45,000 45,402
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 5,000 4,926
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 25,000 26,971
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26(R) 45,000 44,276
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 135,000 135,844
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 160,000 175,600
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 16,000 23,667
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 40,000 42,600
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 25,000 25,125
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 75,000 77,976
Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20 20,000 21,200
Frontier Communications Corp. sr. unsec. unsub. notes 7.625%, 4/15/24 15,000 13,388
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 265,000 242,475
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 2,000 2,170
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 3,000 1,688
Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8.125%, 6/1/23 (Luxembourg) 15,000 8,100
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 4.375%, 4/1/21 125,000 134,786
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 35,000 37,231
Quebecor Media, Inc. 144A sr. unsec. notes 7.375%, 1/15/21 (Canada) CAD 295,000 228,213
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) $200,000 207,000
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 290,000 312,838
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 195,000 212,550
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 50,000 53,125
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 30,000 32,249
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.25%, 4/1/21 75,000 77,344
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 20,000 21,150
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836%, 4/28/23 5,000 5,325
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633%, 4/28/21 25,000 26,000
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 25,000 26,438
Verizon Communications, Inc. sr. unsec. unsub. notes 4.522%, 9/15/48 272,000 249,709
Verizon Communications, Inc. sr. unsec. unsub. notes 4.50%, 9/15/20 30,000 32,056
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 30,000 28,800
Vodafone Group PLC sr. unsec. unsub. notes 1.25%, 9/26/17 (United Kingdom) 251,000 250,825
West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22 45,000 43,088
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 65,000 68,575
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 60,000 54,600
4,447,101
Conglomerates (—%)
General Electric Co. sr. unsec. bonds 4.50%, 3/11/44 15,000 16,307
16,307
Consumer cyclicals (4.2%)
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. notes 7.75%, 12/1/45 124,000 174,920
Amazon.com, Inc. sr. unsec. notes 1.20%, 11/29/17 143,000 143,069
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 25,000 26,156
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 35,000 36,269
AMC Entertainment Holdings, Inc. 144A sr. unsec. sub. bonds 5.875%, 11/15/26 20,000 20,400
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 60,000 62,850
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 75,000 74,438
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 55,000 59,166
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 50,000 22,313
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 40,000 43,200
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 20,000 21,625
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 160,000 164,704
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 35,000 35,732
Caesars Growth Properties Holdings, LLC/Caesars Growth Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 75,000 81,188
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6.25%, 12/15/21 80,000 87,800
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 25,000 26,813
CBS Corp. company guaranty sr. unsec. debs. 7.875%, 7/30/30 74,000 99,841
CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 88,000 82,022
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 15,000 16,013
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5.25%, 3/15/21 45,000 46,294
Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 15,000 15,450
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 25,000 25,625
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 50,000 50,375
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 95,000 98,384
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 85,000 89,675
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 35,000 37,100
Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 95,000 91,422
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 65,000 69,063
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/15/26 140,000 147,449
Ford Motor Co. sr. unsec. unsub. notes 9.98%, 2/15/47 115,000 173,641
Ford Motor Co. sr. unsec. unsub. notes 7.45%, 7/16/31 192,000 243,325
General Motors Co. sr. unsec. notes 6.25%, 10/2/43 95,000 108,220
General Motors Co. sr. unsec. notes 5.20%, 4/1/45 20,000 20,125
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 105,000 104,525
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 20,000 20,375
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 10,000 10,076
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 3.45%, 4/10/22 156,000 158,218
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 3.45%, 1/14/22 5,000 5,075
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 60,000 63,000
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 25,000 26,156
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 55,000 55,774
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 35,000 34,694
Home Depot, Inc. (The) sr. unsec. unsub. notes 2.625%, 6/1/22 90,000 90,950
Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22(R) 77,000 83,530
Howard Hughes Corp. (The) 144A sr. unsec. notes 6.875%, 10/1/21 65,000 68,331
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 60,000 64,640
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 265,000 231,544
IHS Markit Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 35,000 35,875
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5.875%, 3/15/21 50,000 51,625
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 95,000 102,125
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 90,000 93,375
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 20,000 20,550
JC Penney Corp., Inc. company guaranty sr. unsec. bonds 8.125%, 10/1/19 25,000 26,625
JC Penney Corp., Inc. company guaranty sr. unsec. unsub. notes 5.65%, 6/1/20 10,000 9,859
JC Penney Corp., Inc. 144A company guaranty sr. notes 5.875%, 7/1/23 15,000 15,028
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 40,000 37,900
L Brands, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/21 40,000 44,000
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.875%, 2/1/22 50,000 51,575
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.375%, 1/15/24 20,000 20,925
Lear Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 10,000 10,650
Lear Corp. company guaranty sr. unsec. unsub. notes 5.375%, 3/15/24 45,000 47,756
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 75,000 77,138
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 55,000 56,444
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 25,000 24,938
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 65,000 67,113
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 15,000 15,675
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 11/15/20 (Canada) 65,000 66,788
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 40,000 44,088
MGM Resorts International company guaranty sr. unsec. notes 5.25%, 3/31/20 10,000 10,525
MGM Resorts International company guaranty sr. unsec. unsub. notes 8.625%, 2/1/19 120,000 132,600
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 5,000 5,581
Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 95,000 95,950
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 65,000 52,000
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 15,000 8,625
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 30,000 18,825
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 55,000 56,238
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 30,000 30,225
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) 30,000 31,200
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 40,000 41,200
O'Reilly Automotive, Inc. company guaranty sr. unsec. sub. notes 3.55%, 3/15/26 35,000 34,897
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 72,000 72,240
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 30,000 31,538
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 45,000 46,913
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 35,000 35,131
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 30,000 31,125
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 35,000 34,762
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 45,000 45,675
Priceline Group, Inc. (The) sr. unsec. notes 3.65%, 3/15/25 61,000 61,543
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 70,000 78,750
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 70,000 72,625
QVC, Inc. company guaranty sr. sub. notes 4.45%, 2/15/25 55,000 54,103
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 80,000 83,600
Ritchie Bros Auctioneers, Inc. 144A company guaranty sr. unsec. notes 5.375%, 1/15/25 (Canada) 15,000 15,431
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 70,000 71,488
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 35,000 37,245
S&P Global, Inc. 144A company guaranty sr. unsec. bonds 2.95%, 1/22/27 37,000 35,254
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 50,000 50,875
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 185,000 196,331
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6.25%, 9/1/20 15,000 14,213
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 55,000 58,506
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 25,000 26,563
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 115,000 118,306
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 40,000 42,600
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 1/15/21 90,000 92,520
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 35,000 37,188
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 30,000 31,923
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 90,000 92,511
Standard Industries, Inc./NJ 144A sr. unsec. notes 5.00%, 2/15/27 85,000 86,700
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6.375%, 6/1/21 50,000 50,500
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 30,000 30,750
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 20,000 20,650
Tempur Sealy International, Inc. company guaranty sr. unsec. unsub. bonds 5.50%, 6/15/26 30,000 29,475
Tiffany & Co. sr. unsec. unsub. notes 4.90%, 10/1/44 30,000 28,309
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 3.80%, 2/15/27 90,000 89,034
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26 36,000 33,420
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 15,000 14,738
Toyota Motor Credit Corp. sr. unsec. unsub. bonds Ser. GMTN, 1.55%, 7/13/18 145,000 145,088
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 45,000 45,956
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4.50%, 3/1/21 15,000 15,488
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 60,000 59,175
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 6.50%, 8/15/37 34,000 46,090
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 45,000 46,013
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 35,000 33,163
Wyndham Worldwide Corp. sr. unsec. unsub. notes 5.625%, 3/1/21 30,000 32,963
7,325,944
Consumer staples (1.8%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6.00%, 4/1/22 (Canada) 115,000 119,922
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 25,000 25,750
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.85%, 8/9/22 96,000 95,847
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 4.90%, 2/1/46 180,000 197,582
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 3.65%, 2/1/26 70,000 71,210
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 2.65%, 2/1/21 145,000 146,618
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 1.25%, 1/17/18 53,000 52,983
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 8.20%, 1/15/39 106,000 161,086
BlueLine Rental Finance Corp. 144A notes 7.00%, 2/1/19 45,000 45,900
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 65,000 68,413
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 35,000 36,663
Coca-Cola Co. (The) sr. unsec. unsub. bonds 2.25%, 9/1/26 30,000 28,256
Constellation Brands, Inc. company guaranty sr. unsec. unsub. bonds 3.70%, 12/6/26 20,000 20,015
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6.00%, 5/1/22 65,000 73,953
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22 80,000 87,031
CVS Health Corp. sr. unsec. unsub. notes 2.25%, 12/5/18 145,000 146,433
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 45,000 46,913
Diageo Capital PLC company guaranty sr. unsec. unsub. notes 1.50%, 5/11/17 (United Kingdom) 32,000 32,024
Diageo Investment Corp. company guaranty sr. unsec. notes 8.00%, 9/15/22 9,000 11,264
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 50,000 49,069
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 200,000 257,992
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 56,000 63,185
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 21,000 21,489
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 40,000 33,400
Kellogg Co. sr. unsec. unsub. notes 3.25%, 4/1/26 70,000 68,883
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 45,000 46,519
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 45,000 46,197
Kraft Heinz Foods Co. company guaranty sr. unsec. notes Ser. 144A, 6.875%, 1/26/39 95,000 119,931
Kroger Co. (The) company guaranty sr. unsec. unsub. notes 6.90%, 4/15/38 45,000 59,318
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 140,000 142,170
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 10,000 10,175
Landry's, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 30,000 31,200
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 90,000 94,683
PepsiCo, Inc. sr. unsec. unsub. bonds 3.45%, 10/6/46 45,000 41,145
PepsiCo, Inc. sr. unsec. unsub. notes 1.25%, 8/13/17 144,000 144,062
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 30,000 30,825
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 12/15/21 50,000 51,500
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 25,000 25,688
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 75,000 75,563
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 80,000 84,772
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4.875%, 8/15/34 23,000 23,769
Tyson Foods, Inc. company guaranty sr. unsec. unsub. bonds 5.15%, 8/15/44 32,000 33,934
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9.75%, 2/1/19(PIK) 11,353 11,410
Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.30%, 11/18/21 35,000 35,795
WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5.375%, 10/1/22 65,000 70,850
3,141,387
Energy (3.6%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A company guaranty sr. unsec. notes 7.875%, 12/15/24 85,000 89,888
Anadarko Petroleum Corp. sr. unsec. notes 6.45%, 9/15/36 130,000 157,499
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 25,000 25,313
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 30,000 30,150
Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 45,000 46,013
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 50,000 45,747
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) 5,000 4,594
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 2.315%, 2/13/20 (United Kingdom) 110,000 110,601
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.846%, 5/5/17 (United Kingdom) 145,000 145,172
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7.50%, 12/1/20 25,000 23,063
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 30,000 25,425
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 106,000 90,630
Canadian Natural Resources, Ltd. sr. unsec. unsub. notes 5.70%, 5/15/17 (Canada) 145,000 146,257
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 115,000 129,927
Cenovus Energy, Inc. sr. unsec. bonds 4.45%, 9/15/42 (Canada) 25,000 22,363
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. notes 5.875%, 3/31/25 110,000 116,325
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 10,000 9,100
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 102,000 107,865
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 20,000 19,850
Chevron Corp. sr. unsec. unsub. notes 1.561%, 5/16/19 30,000 29,945
Chevron Corp. sr. unsec. unsub. notes 1.104%, 12/5/17 143,000 142,852
Concho Resources, Inc. company guaranty sr. unsec. notes 5.50%, 4/1/23 60,000 62,250
Concho Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/25 105,000 106,575
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/22 55,000 56,925
ConocoPhillips Co. company guaranty sr. unsec. unsub. notes 1.05%, 12/15/17 145,000 144,573
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 20,000 18,525
Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5.00%, 9/15/22 75,000 76,500
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 45,000 44,100
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 30,000 26,325
DCP Midstream Operating LP company guaranty sr. unsec. notes 2.70%, 4/1/19 40,000 39,700
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 45,000 40,163
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 66,000 71,115
Devon Financing Company, LLC company guaranty sr. unsec. unsub. bonds 7.875%, 9/30/31 50,000 65,430
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 5.375%, 5/31/25 80,000 82,800
Diamondback Energy, Inc. 144A company guaranty sr. unsec. notes 4.75%, 11/1/24 20,000 20,050
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 8.125%, 9/15/23 60,000 65,175
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 135,000 131,963
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 55,000 53,625
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 30,000 31,800
EQT Midstream Partners LP company guaranty sr. unsec. sub. notes 4.00%, 8/1/24 5,000 5,044
Halcon Resources Corp. 144A company guaranty notes 12.00%, 2/15/22 10,000 11,725
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 35,000 41,177
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 65,000 68,250
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 90,000 93,150
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 15,000 15,113
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 35,000 31,500
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.50%, 3/15/21 (Canada) 30,000 30,675
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 10,000 8,875
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 15,000 14,663
Motiva Enterprises, LLC 144A sr. unsec. notes 5.75%, 1/15/20 50,000 53,999
MPLX LP sr. unsec. unsub. notes 4.125%, 3/1/27 40,000 40,252
Murphy Oil Corp. sr. unsec. unsub. notes 6.875%, 8/15/24 60,000 64,230
Nabors Industries, Inc. company guaranty sr. unsec. unsub. notes 4.625%, 9/15/21 40,000 40,700
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 60,000 64,050
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 35,000 36,488
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 6.05%, 3/1/41 19,000 14,440
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 110,000 111,891
Occidental Petroleum Corp. sr. unsec. unsub. bonds 4.40%, 4/15/46 55,000 56,328
Parsley Energy LLC/Parsley Finance Corp. 144A company guaranty sr. unsec. notes 5.25%, 8/15/25 20,000 20,200
Parsley Energy LLC/Parsley Finance Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 1/15/25 20,000 20,300
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 205,841
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 437,000 445,194
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) 110,000 41,624
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 5.625%, 1/23/46 (Mexico) 95,000 82,536
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 310,000 292,175
Phillips 66 company guaranty sr. unsec. unsub. notes 2.95%, 5/1/17 145,000 145,390
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 20,000 21,650
Range Resources Corp. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 80,000 82,600
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 30,000 29,250
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 20,000 19,650
Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27 115,000 121,730
Sabine Pass Liquefaction, LLC 144A sr. bonds 4.20%, 3/15/28 40,000 39,961
Sabine Pass Liquefaction, LLC 144A sr. notes 5.875%, 6/30/26 30,000 33,650
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, 5/1/23 (Canada) 35,000 37,056
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, 5/15/20 (Canada) 60,000 63,375
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 50,000 5
Shell International Finance BV company guaranty sr. unsec. unsub. notes 5.20%, 3/22/17 (Netherlands) 156,000 156,362
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 45,000 46,013
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 30,000 28,125
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 30,000 30,525
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 20,000 20,200
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 80,000 80,600
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 55,000 53,048
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 30,000 31,275
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 15,000 15,600
Tesoro Logistics LP/Tesoro Logistics Finance Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 20,000 21,075
Total Capital International SA company guaranty sr. unsec. unsub. notes 1.55%, 6/28/17 (France) 143,000 143,194
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 70,000 70,700
Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6.75%, 7/15/22 (In default)(NON) 25,000 7,375
Valero Energy Partners LP sr. unsec. unsub. notes 4.375%, 12/15/26 14,000 14,353
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 16,000 15,920
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/19 50,000 50,438
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 43,000 55,201
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 55,000 56,924
Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes 4.875%, 3/15/24 65,000 67,130
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 15,000 16,800
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 60,000 64,650
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 110,000 112,338
6,318,756
Financials (6.3%)
Air Lease Corp. sr. unsec. unsub. notes 3.375%, 6/1/21 55,000 56,249
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 55,000 54,725
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 40,000 42,200
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 90,000 110,700
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 12/1/17 230,000 237,871
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 110,000 116,188
American Express Co. sr. unsec. notes 7.00%, 3/19/18 94,000 99,244
American Express Co. sr. unsec. notes 6.15%, 8/28/17 107,000 109,436
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 290,000 374,040
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 75,000 80,063
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 25,000 27,305
Bank of America Corp. sr. unsec. unsub. bonds Ser. MTN, 3.248%, 10/21/27 75,000 71,961
Bank of America Corp. sr. unsec. unsub. notes 2.00%, 1/11/18 149,000 149,693
Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, 2.151%, 11/9/20 20,000 19,836
Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, 1.70%, 8/25/17 95,000 95,140
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 170,000 201,391
Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.35%, 10/21/20 (Canada) 80,000 80,270
Bank of Nova Scotia (The) sr. unsec. unsub. notes 1.375%, 12/18/17 (Canada) 145,000 144,915
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. unsub. notes 1.20%, 3/10/17 (Japan) 250,000 250,006
Barclays Bank PLC 144A unsec. sub. notes 10.179%, 6/12/21 (United Kingdom) 270,000 338,292
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 10,000 10,169
BNP Paribas SA company guaranty sr. unsec. unsub. bonds Ser. MTN, 1.375%, 3/17/17 (France) 162,000 162,005
BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France) 200,000 204,574
Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19 25,000 27,578
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 90,000 97,989
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 47,000 49,423
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/23 40,000 41,443
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 53,000 54,778
CIT Group, Inc. sr. unsec. notes 3.875%, 2/19/19 20,000 20,463
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 35,000 37,100
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 115,000 121,900
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 155,000 163,331
Citigroup, Inc. jr. unsec. sub. FRB Ser. B, 5.90%, perpetual maturity 3,000 3,139
Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95%, perpetual maturity 48,000 50,040
Citigroup, Inc. jr. unsec. sub. FRN 5.875%, perpetual maturity 6,000 6,225
Citigroup, Inc. jr. unsec. sub. FRN Ser. T, 6.25%, perpetual maturity 63,000 68,580
Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20 50,000 50,321
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 130,000 130,830
Citigroup, Inc. unsec. sub. notes 5.50%, 9/13/25 65,000 71,603
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 95,000 97,850
Commonwealth Bank of Australia/New York, NY sr. unsec. bonds Ser. GMTN, 1.625%, 3/12/18 330,000 330,325
Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 25,000 25,781
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 80,000 81,000
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland) 200,000 202,750
DDR Corp. sr. unsec. unsub. notes 7.875%, 9/1/20(R) 5,000 5,807
DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 45,000 26,775
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 180,000 211,950
Duke Realty LP company guaranty sr. unsec. unsub. notes 4.375%, 6/15/22(R) 21,000 22,465
EPR Properties company guaranty sr. unsec. sub. notes 5.25%, 7/15/23(R) 60,000 63,273
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 55,000 55,481
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 60,000 61,425
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 38,000 37,335
GE Capital International Funding Co. Unlimited Co. company guaranty sr. unsec. bonds 4.418%, 11/15/35 (Ireland) 202,000 216,359
Goldman Sachs Group, Inc. (The) sr. unsec. notes 7.50%, 2/15/19 44,000 48,625
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 160,000 161,733
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2.375%, 1/22/18 2,000 2,015
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes 3.875%, 5/1/25(R) 25,000 24,764
Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25(R) 20,000 19,908
HSBC Finance Corp. unsec. sub. notes 6.676%, 1/15/21 122,000 138,257
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 10,000 10,075
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 80,000 84,600
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 42,000 43,680
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 60,000 61,271
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr. unsec. notes 6.75%, 2/1/24 30,000 31,125
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A sr. unsec. notes 6.25%, 2/1/22 30,000 30,975
ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) 220,000 244,503
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 3,000 2,618
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19(R) 20,000 20,350
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity 79,000 81,765
JPMorgan Chase & Co. sr. unsec. notes Ser. MTN, 2.295%, 8/15/21 75,000 74,156
JPMorgan Chase & Co. sr. unsec. unsub. notes 2.00%, 8/15/17 144,000 144,508
JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 165,000 161,004
JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 60,000 61,479
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.30%, 12/13/18 4,000 4,022
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 25,000 24,821
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20 55,000 62,206
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 240,000 277,200
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 200,000 212,262
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, perpetual maturity (United Kingdom) 30,000 32,641
Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, 7/29/20 (Australia) 65,000 65,478
MetLife, Inc. sr. unsec. unsub. notes 4.75%, 2/8/21 100,000 108,599
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 144A company guaranty sr. unsec. notes 5.625%, 5/1/24 25,000 26,438
Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23(R) 30,000 31,493
Morgan Stanley sr. unsec. unsub. bonds 4.75%, 3/22/17 149,000 149,295
Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 160,000 159,409
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 80,000 81,800
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5.875%, 3/15/22 30,000 30,886
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 40,000 32,900
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 25,000 26,172
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 30,000 31,350
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976%, 2/15/25 100,000 99,774
Progressive Corp. (The) jr. unsec. sub. FRN 6.70%, 6/15/37 116,000 114,623
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6.75%, 6/15/21 85,000 86,381
Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 70,000 69,950
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.20%, 7/27/18 (Canada) 145,000 146,246
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 40,000 42,597
Santander UK PLC sr. unsec. unsub. bonds 1.375%, 3/13/17 (United Kingdom) 156,000 155,997
Select Income REIT sr. unsec. unsub. notes 3.60%, 2/1/20(R) 10,000 10,061
Select Income REIT sr. unsec. unsub. notes 2.85%, 2/1/18(R) 10,000 10,078
Simon Property Group LP 144A sr. unsec. unsub. notes 1.50%, 2/1/18(R) 131,000 130,931
Societe Generale SA company guaranty sr. unsec. notes 2.75%, 10/12/17 (France) 250,000 251,809
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 20,000 21,975
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 20,000 20,125
State Street Corp. jr. unsec. sub. FRB 1.963%, 6/15/37 184,000 164,680
Svenska Handelsbanken AB company guaranty sr. unsec. notes 2.875%, 4/4/17 (Sweden) 250,000 250,392
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 80,000 80,016
TIERS Trust/United States 144A sr. bonds stepped-coupon zero % (8.125%, 9/15/17), 3/15/46(STP) 100,000 107,000
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 20,000 18,725
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 9,000 8,866
Travelers Property Casualty Corp. company guaranty sr. unsec. unsub. bonds 7.75%, 4/15/26 9,000 11,847
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 55,000 56,925
UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec. notes 3.00%, 4/15/21 (Jersey) 200,000 200,909
VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R) 60,000 61,538
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 70,000 75,775
Wells Fargo & Co. sr. unsec. notes 2.10%, 5/8/17 143,000 143,227
Westpac Banking Corp. sr. unsec. unsub. notes 2.15%, 3/6/20 (Australia) 275,000 274,858
Westpac Banking Corp. sr. unsec. unsub. notes 2.00%, 8/19/21 (Australia) 60,000 58,647
10,947,927
Health care (1.8%)
AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25 12,000 11,950
AbbVie, Inc. sr. unsec. notes 2.90%, 11/6/22 18,000 17,914
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6.125%, 3/15/21 60,000 61,500
Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5.125%, 7/1/22 35,000 35,263
Actavis Funding SCS company guaranty sr. unsec. notes 4.75%, 3/15/45 (Luxembourg) 43,000 43,664
Actavis Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 21,000 21,467
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 65,000 62,725
Amgen, Inc. sr. unsec. unsub. notes 2.125%, 5/15/17 145,000 145,289
AstraZeneca PLC sr. unsec. unsub. notes 6.45%, 9/15/37 (United Kingdom) 16,000 21,004
AstraZeneca PLC sr. unsec. unsub. notes 5.90%, 9/15/17 (United Kingdom) 145,000 148,452
Biogen, Inc. sr. unsec. sub. notes 3.625%, 9/15/22 75,000 77,632
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 60,000 65,100
Centene Corp. sr. unsec. unsub. notes 5.625%, 2/15/21 20,000 21,050
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 15,000 15,431
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 55,000 56,994
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 120,000 105,300
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) 60,000 23,400
Concordia International Corp. 144A sr. notes 9.00%, 4/1/22 (Canada) 10,000 8,800
DPx Holdings BV 144A sr. unsec. sub. notes 7.50%, 2/1/22 (Netherlands) 65,000 68,941
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 40,000 35,800
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 45,000 46,575
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 60,000 63,375
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 170,000 186,575
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 40,000 42,150
HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19 50,000 51,250
HCA, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 2/1/25 15,000 15,694
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 55,000 59,194
Johnson & Johnson sr. unsec. notes 5.15%, 7/15/18 91,000 95,869
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 25,000 28,063
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 40,000 37,200
Merck & Co., Inc. sr. unsec. unsub. notes 1.30%, 5/18/18 125,000 124,970
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 40,000 41,400
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R) 60,000 59,625
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 149,000 153,912
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 65,000 58,013
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 50,000 51,813
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 275,000 291,335
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 15,000 14,111
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 40,000 40,900
Tenet Healthcare Corp. company guaranty sr. bonds 4.375%, 10/1/21 35,000 35,263
Tenet Healthcare Corp. company guaranty sr. FRN 4.463%, 6/15/20 60,000 60,750
Tenet Healthcare Corp. company guaranty sr. notes 6.25%, 11/1/18 100,000 106,000
Tenet Healthcare Corp. company guaranty sr. notes 4.75%, 6/1/20 10,000 10,200
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 55,000 58,300
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. bonds 3.15%, 10/1/26 (Netherlands) 34,000 31,472
UnitedHealth Group, Inc. sr. unsec. notes 6.00%, 2/15/18 65,000 67,834
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.70%, 2/15/21 58,000 62,797
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 55,000 43,794
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 65,000 52,894
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 5,000 4,213
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 25,000 20,156
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 70,000 62,738
3,126,111
Technology (1.5%)
Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 25,000 25,614
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 38,000 39,549
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 100,000 95,939
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 (In default)(NON) 300,000 239,250
Broadcom Corp./Broadcom Cayman Finance, Ltd. 144A company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 110,000 110,766
Cisco Systems, Inc. sr. unsec. unsub. notes 1.10%, 3/3/17 66,000 66,000
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 40,000 42,800
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 204,000 225,403
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 22,000 28,689
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 173,000 186,958
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec. notes 5.875%, 6/15/21 10,000 10,581
eBay, Inc. sr. unsec. unsub. notes 1.35%, 7/15/17 145,000 145,062
Fidelity National Information Services, Inc. sr. unsec. unsub. notes 5.00%, 10/15/25 25,000 27,382
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 75,000 80,625
First Data Corp. 144A notes 5.75%, 1/15/24 65,000 67,356
First Data Corp. 144A sr. notes 5.375%, 8/15/23 55,000 57,200
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 60,000 63,225
Infor Software Parent LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 105,000 107,888
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 75,000 78,000
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 10,000 10,375
Intel Corp. sr. unsec. unsub. notes 1.35%, 12/15/17 145,000 145,142
Iron Mountain, Inc. company guaranty sr. unsec. notes 6.00%, 8/15/23(R) 60,000 63,504
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6.00%, 10/1/20(R) 25,000 26,257
Jabil Circuit, Inc. sr. unsec. sub. notes 8.25%, 3/15/18 14,000 14,895
Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 2/15/22 55,000 57,406
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5.25%, 8/1/23 50,000 50,438
Microsoft Corp. sr. unsec. unsub. bonds 3.30%, 2/6/27 60,000 61,205
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 90,000 85,523
Microsoft Corp. sr. unsec. unsub. notes 1.55%, 8/8/21 180,000 175,005
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 120,000 115,223
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 60,000 61,081
Zebra Technologies Corp. sr. unsec. unsub. bonds 7.25%, 10/15/22 50,000 54,105
2,618,446
Transportation (0.1%)
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 70,000 68,250
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes 5.75%, 5/1/40 15,000 18,563
Penske Truck Leasing Co. Lp/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 16,000 15,525
United Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 14-2, Class A, 3.75%, 3/3/28 23,558 23,882
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 100,000 104,750
230,970
Utilities and power (1.2%)
AES Corp./Virginia (The) sr. unsec. notes 8.00%, 6/1/20 240,000 276,600
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 140,000 141,750
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 25,000 24,875
American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds 5.00%, 9/1/44 65,000 69,925
Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 10,000 12,601
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. bonds 5.95%, 6/1/26 30,000 33,966
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. FRB 4.45%, 7/15/27 20,000 20,495
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 110,000 108,900
Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 50,000 52,438
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 15,000 15,806
Consolidated Edison Co. of New York, Inc. sr. unsec. notes 7.125%, 12/1/18 96,000 104,794
Consolidated Edison, Inc. sr. unsec. unsub. notes Ser. A, 2.00%, 3/15/20 10,000 10,008
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 45,000 44,213
Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 25,000 25,750
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 20,000 19,000
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 20,000 25,556
Emera US Finance LP company guaranty sr. unsec. notes 3.55%, 6/15/26 17,000 16,786
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 60,000 61,945
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 105,000 112,875
Energy Transfer Partners LP sr. unsec. unsub. bonds 6.125%, 12/15/45 20,000 22,068
Energy Transfer Partners LP sr. unsec. unsub. bonds 4.20%, 4/15/27 55,000 55,253
GenOn Americas Generation, LLC sr. unsec. notes 9.125%, 5/1/31 100,000 89,500
Hiland Partners Holdings, LLC/Hiland Partners Finance Corp. 144A company guaranty sr. unsec. sub. notes 5.50%, 5/15/22 10,000 10,438
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 44,000 45,070
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 60,000 59,763
MidAmerican Funding, LLC sr. bonds 6.927%, 3/1/29 20,000 26,496
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 45,000 46,294
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7.875%, 5/15/21 27,000 28,013
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 6.625%, 1/15/27 65,000 63,863
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 85,000 81,984
Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974%, 6/1/67 90,000 80,550
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 80,000 88,720
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.50%, 4/15/23 30,000 31,088
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 35,000 36,418
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 65,000 66,138
Texas Gas Transmission, LLC 144A sr. unsec. notes 4.50%, 2/1/21 46,000 48,076
2,058,015
Total corporate bonds and notes (cost $45,529,631) $46,210,965

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (9.9%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.3%)
Government National Mortgage Association Pass-Through Certificates 3.50%, TBA, 3/1/47 $4,000,000 $4,158,750
4,158,750
U.S. Government Agency Mortgage Obligations (7.6%)
Federal National Mortgage Association Pass-Through Certificates
     6.00%, TBA, 3/1/47 1,000,000 1,130,938
     4.00%, TBA, 3/1/47 3,000,000 3,153,516
     3.00%, TBA, 4/1/47 3,000,000 2,975,508
     3.00%, TBA, 3/1/47 3,000,000 2,980,781
     3.00%, TBA, 3/1/32 2,000,000 2,056,875
     2.50%, TBA, 3/1/47 1,000,000 952,656
13,250,274
Total U.S. government and agency mortgage obligations (cost $17,326,446) $17,409,024

COMMODITY LINKED NOTES (4.4%)(a)(CLN)
Principal amount Value
Citigroup Global Markets Holdings Inc. sr. notes Ser. N, 1-month USD LIBOR less 0.10%, 2017 (Indexed to the S&P GSCI™ 3 Month Forward Total Return Index multiplied by 3) $3,340,000 $3,647,704
UBS AG/London 144A sr. notes 1-month LIBOR less 0.25%, 2018 (Indexed to the S&P GSCI Total Return Commodity Index multiplied by 3) (United Kingdom) 575,000 565,161
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2017 (Indexed to the S&P GSCI Total Return Index multiplied by 3) (United Kingdom) 2,551,000 3,453,367
Total commodity Linked Notes (cost $6,466,000) $7,666,232

MORTGAGE-BACKED SECURITIES (3.4%)(a)
Principal amount Value
Agency collateralized mortgage obligations (0.3%)
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M1, 1.878%, 12/25/28 $187,767 $188,330
Federal National Mortgage Association
     Ser. 12-147, Class AI, IO, 3.00%, 10/25/27 785,744 72,681
     Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M1, 1.978%, 7/25/24 10,384 10,402
Government National Mortgage Association
     IFB Ser. 13-99, Class AS, IO, 5.269%, 6/20/43 360,339 74,110
     Ser. 16-135, Class PI, IO, 4.00%, 5/20/46 525,287 107,561
     Ser. 15-H26, Class DI, IO, 2.413%, 10/20/65 360,707 42,095
495,179
Commercial mortgage-backed securities (2.2%)
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-1, Class AJ, 5.404%, 11/10/42 12,560 12,551
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.754%, 12/15/47 100,000 110,417
Citigroup Commercial Mortgage Trust
     FRB Ser. 13-GC17, Class C, 5.104%, 11/10/46 62,000 65,558
     Ser. 14-GC21, Class AS, 4.026%, 5/10/47 74,000 76,115
     FRB Ser. 14-GC19, Class XA, IO, 1.233%, 3/10/47 1,485,486 88,178
COMM Mortgage Trust
     FRB Ser. 14-CR17, Class C, 4.735%, 5/10/47 96,000 95,424
     FRB Ser. 14-UBS6, Class C, 4.466%, 12/10/47 135,000 128,659
     FRB Ser. 14-LC15, Class XA, IO, 1.357%, 4/10/47(F) 1,761,252 102,085
     FRB Ser. 14-CR16, Class XA, IO, 1.203%, 4/10/47 318,195 17,023
     FRB Ser. 13-CR11, Class XA, IO, 1.149%, 10/10/46 962,042 51,101
     FRB Ser. 14-UBS6, Class XA, IO, 1.051%, 12/10/47 1,467,612 79,545
     FRB Ser. 14-CR17, Class XA, IO, 0.835%, 5/10/47 1,142,312 61,685
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.365%, 12/15/49 125,000 125,169
GS Mortgage Securities Trust
     FRB Ser. 13-GC12, Class C, 4.179%, 6/10/46 172,000 168,594
     FRB Ser. 14-GC22, Class XA, IO, 1.044%, 6/10/47(F) 2,072,600 108,463
GS Mortgage Securities Trust 144A FRB Ser. 10-C1, Class D, 6.062%, 8/10/43 158,403 161,888
JP Morgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C8, Class C, 4.61%, 10/15/45 131,000 135,242
JPMBB Commercial Mortgage Securities Trust
     FRB Ser. 14-C19, Class C, 4.667%, 4/15/47 47,000 47,374
     FRB Ser. 13-C14, Class C, 4.562%, 8/15/46 46,000 47,528
     FRB Ser. 14-C26, Class C, 4.426%, 1/15/48 38,000 37,179
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 06-LDP7, Class B, 5.928%, 4/17/45 118,000 21,464
     FRB Ser. 05-LDP5, Class F, 5.617%, 12/15/44 83,000 82,654
     Ser. 04-LN2, Class A2, 5.115%, 7/15/41 2,995 2,997
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 10-C1, Class D, 6.156%, 6/15/43 142,000 130,703
     FRB Ser. 11-C3, Class E, 5.619%, 2/15/46 240,000 244,656
     FRB Ser. 13-C13, Class D, 4.053%, 1/15/46 60,000 55,660
LB-UBS Commercial Mortgage Trust
     Ser. 07-C6, Class A4, 5.858%, 7/15/40 36,223 36,372
     Ser. 06-C6, Class D, 5.502%, 9/15/39 125,000 27,626
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.241%, 4/20/48 123,000 106,822
Morgan Stanley Bank of America Merrill Lynch Trust
     Ser. 12-C5, Class AS, 3.792%, 8/15/45 41,000 42,800
     FRB Ser. 14-C17, Class XA, IO, 1.251%, 8/15/47 739,685 41,075
     FRB Ser. 13-C12, Class XA, IO, 0.919%, 10/15/46 830,696 27,463
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842%, 7/12/44 117,000 116,826
     Ser. 07-HQ11, Class AJ, 5.508%, 2/12/44 32,697 32,393
     FRB Ser. 06-HQ8, Class D, 5.493%, 3/12/44 125,000 50,649
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, 5.155%, 7/15/49 90,000 93,069
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class C, 4.958%, 8/10/49 50,000 52,550
     FRB Ser. 12-C2, Class D, 4.885%, 5/10/63 48,000 47,573
Wachovia Bank Commercial Mortgage Trust FRB Ser. 05-C21, Class D, 5.289%, 10/15/44 56,000 55,651
Wells Fargo Commercial Mortgage Trust FRB Ser. 13-LC12, Class C, 4.296%, 7/15/46 45,000 45,738
WF-RBS Commercial Mortgage Trust
     Ser. 14-C19, Class C, 4.646%, 3/15/47 23,000 23,345
     FRB Ser. 13-C15, Class C, 4.48%, 8/15/46 79,000 81,312
     Ser. 13-C18, Class AS, 4.387%, 12/15/46 63,000 67,316
     Ser. 13-UBS1, Class AS, 4.306%, 3/15/46 48,000 51,030
     FRB Ser. 13-C17, Class XA, IO, 1.513%, 12/15/46 1,408,821 77,908
     FRB Ser. 14-C22, Class XA, IO, 0.93%, 9/15/57 2,541,648 123,117
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C3, Class D, 5.64%, 3/15/44 47,000 48,260
     FRB Ser. 11-C2, Class D, 5.602%, 2/15/44 45,000 46,364
     FRB Ser. 13-C16, Class D, 4.981%, 9/15/46 50,000 46,530
     FRB Ser. 12-C9, Class XA, IO, 2.09%, 11/15/45 719,437 56,591
     FRB Ser. 11-C5, Class XA, IO, 1.767%, 11/15/44 717,077 46,918
     FRB Ser. 12-C10, Class XA, IO, 1.678%, 12/15/45 958,459 64,763
     FRB Ser. 13-C12, Class XA, IO, 1.377%, 3/15/48 151,371 8,252
3,776,225
Residential mortgage-backed securities (non-agency) (0.9%)
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 3.13%, 5/25/35 105,122 107,225
Countrywide Alternative Loan Trust
     FRB Ser. 06-OA7, Class 1A2, 1.554%, 6/25/46 302,470 264,888
     FRB Ser. 07-OH1, Class A1D, 0.988%, 4/25/47 39,317 31,181
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 6.678%, 10/25/28 320,000 359,069
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.478%, 4/25/28 120,000 133,529
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 6.328%, 4/25/28 10,000 11,045
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, 6.078%, 10/25/28 50,000 55,482
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.778%, 7/25/25 78,500 85,406
     Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, 5.028%, 4/25/29 90,000 94,509
GSAA Trust FRB Ser. 07-6, Class 1A1, 0.898%, 5/25/47 45,278 33,729
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 2.979%, 2/25/35 34,502 35,041
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 0.598%, 8/26/47 80,000 62,000
Structured Asset Securities Corp. Mortgage Loan Trust FRB Ser. 06-AM1, Class A4, 0.938%, 4/25/36 80,231 78,697
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 04-AR12, Class A2B, 1.238%, 10/25/44 297,914 278,580
1,630,381
Total mortgage-backed securities (cost $6,166,386) $5,901,785

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.9%)(a)
Principal amount/units Value
Argentina (Republic of) 144A sr. unsec. bonds 7.125%, 7/6/36 (Argentina) $150,000 $144,014
Argentina (Republic of) 144A sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 150,000 149,637
Buenos Aires (Province of) 144A sr. unsec. notes 9.125%, 3/16/24 (Argentina) 150,000 166,364
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 350,000 403,970
Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%, 4/4/42 (Russia) 600,000 654,750
Total foreign government and agency bonds and notes (cost $1,400,563) $1,518,735

INVESTMENT COMPANIES (0.5%)(a)
Shares Value
iShares MSCI India ETF (India) 31,550 $936,089
Total investment companies (cost $905,444) $936,089

PURCHASED OPTIONS OUTSTANDING (0.3%)(a)
Expiration Contract
date/strike price amount Value
SPDR S&P 500 ETF Trust (Put) Feb-18/$200.00 $29,926 $144,655
SPDR S&P 500 ETF Trust (Put) Jan-18/195.00 32,352 119,541
SPDR S&P 500 ETF Trust (Put) Dec-17/195.00 32,059 106,759
SPDR S&P 500 ETF Trust (Put) Nov-17/186.00 31,053 66,065
SPDR S&P 500 ETF Trust (Put) Oct-17/183.00 30,365 45,227
SPDR S&P 500 ETF Trust (Put) Sep-17/180.00 30,275 36,697
USD/JPY (Call) May-17/JPY 118.00 1,027,200 4,057
USD/MXN (Put) Apr-17/MXN 19.90 2,072,300 25,183
Total purchased options outstanding (cost $1,163,311) $548,184

SENIOR LOANS (0.3%)(a)(c)
Principal amount Value
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.50%, 3/1/18 (In default)(NON) $140,187 $158,762
Caesars Growth Properties Holdings, LLC bank term loan FRN 6.25%, 5/8/21 134,311 135,235
CPG International, Inc. bank term loan FRN Ser. B, 4.75%, 9/30/20 9,827 9,882
Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19 73,926 65,009
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4.25%, 10/25/20 72,750 58,546
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4.314%, 9/7/23 64,838 65,185
Total senior loans (cost $485,451) $492,619

WARRANTS (0.2%)(a)(NON)
Expiration date Strike Price Warrants Value
China State Construction Engineering Corp., Ltd. 144A (China) 1/22/18 $0.00 79,800 $102,933
Halcon Resources Corp. 9/9/20 14.04 844 1,680
Seventy Seven Energy, Inc. 8/1/21 23.82 431 10,603
Shanghai Automotive Co. 144A (China) 2/2/18 0.00 34,500 129,485
Zhengzhou Yutong Bus Co., Ltd. 144A (China) 7/24/17 0.00 8,100 23,962
Total warrants (cost $264,110) $268,663

ASSET-BACKED SECURITIES (0.1%)(a)
Principal amount Value
Station Place Securitization Trust 144A FRB Ser. 17-1, Class A, 1.678%, 2/25/49 $243,000 $243,000
Total asset-backed securities (cost $243,000) $243,000

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
EPR Properties Ser. C, $1.438 cv. pfd.(R) 1,550 $47,130
Total convertible preferred stocks (cost $34,286) $47,130

SHORT-TERM INVESTMENTS (23.0%)(a)
Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 0.97%(d)(AFF) Shares 224,600 $224,600
Putnam Short Term Investment Fund 0.76%(AFF) Shares 32,814,671 32,814,671
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.46%(P) Shares 441,000 441,000
U.S. Treasury Bills 0.432%, 3/23/17(SEGSF) $633,000 632,845
U.S. Treasury Bills 0.487%, 4/13/17(SEG) 70,000 69,962
U.S. Treasury Bills 0.498%, 4/6/17(SEG)(SEGSF)(SEGCCS) 2,367,000 2,366,020
U.S. Treasury Bills 0.510%, 3/2/17(SEGSF)(SEGCCS) 3,689,000 3,688,956
Total short-term investments (cost $40,237,853) $40,238,054

TOTAL INVESTMENTS
Total investments (cost $185,721,548)(b) $196,802,002













FORWARD CURRENCY CONTRACTS at 2/28/17 (aggregate face value $37,337,618) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 4/19/17 $135,864 $128,650 $7,214
Brazilian Real Buy 4/3/17 264,798 255,573 9,225
British Pound Buy 3/16/17 1,862 914 948
Canadian Dollar Buy 4/19/17 265,946 262,990 2,956
Euro Buy 3/16/17 336,243 336,112 131
Hong Kong Dollar Sell 5/17/17 692,231 692,552 321
Indian Rupee Buy 5/17/17 259,436 257,435 2,001
Japanese Yen Buy 5/17/17 32,852 29,308 3,544
New Zealand Dollar Sell 4/19/17 261,954 251,757 (10,197)
Norwegian Krone Sell 3/16/17 147,019 148,686 1,667
Russian Ruble Buy 3/16/17 262,004 255,502 6,502
Russian Ruble Sell 3/16/17 262,004 261,490 (514)
Singapore Dollar Sell 5/17/17 264,351 258,563 (5,788)
Swedish Krona Buy 3/16/17 510,395 516,684 (6,289)
Barclays Bank PLC
Australian Dollar Buy 4/19/17 125,909 129,114 (3,205)
British Pound Sell 3/16/17 219,822 224,655 4,833
Canadian Dollar Buy 4/19/17 129,697 128,233 1,464
Euro Buy 3/16/17 119,148 126,483 (7,335)
Japanese Yen Sell 5/17/17 264,412 259,715 (4,697)
New Zealand Dollar Sell 4/19/17 134,645 127,537 (7,108)
Swedish Krona Buy 3/16/17 258,412 254,995 3,417
Citibank, N.A.
Australian Dollar Buy 4/19/17 120,241 100,747 19,494
British Pound Sell 3/16/17 304,847 308,485 3,638
Canadian Dollar Buy 4/19/17 490,996 491,615 (619)
Danish Krone Sell 3/16/17 189,524 191,725 2,201
Euro Buy 3/16/17 550,263 567,601 (17,338)
Indonesian Rupiah Buy 5/17/17 255,643 255,158 485
Japanese Yen Buy 5/17/17 383,627 379,772 3,855
New Zealand Dollar Sell 4/19/17 310,576 309,893 (683)
Norwegian Krone Sell 3/16/17 130,413 130,658 245
South African Rand Buy 4/19/17 268,274 258,559 9,715
South African Rand Sell 4/19/17 262,053 261,113 (940)
Swedish Krona Buy 3/16/17 521,580 523,985 (2,405)
Credit Suisse International
Australian Dollar Buy 4/19/17 522,473 519,482 2,991
Canadian Dollar Sell 4/19/17 3,314 3,276 (38)
Euro Buy 3/16/17 237,871 240,175 (2,304)
Hong Kong Dollar Sell 5/17/17 259,265 259,374 109
New Zealand Dollar Sell 4/19/17 261,810 260,912 (898)
Swedish Krona Buy 3/16/17 267,691 264,153 3,538
Goldman Sachs International
Australian Dollar Buy 4/19/17 158,381 154,054 4,327
Canadian Dollar Buy 4/19/17 3,164 495 2,669
Euro Buy 3/16/17 764,601 777,382 (12,781)
Euro Sell 3/16/17 781,243 775,918 (5,325)
Indian Rupee Buy 5/17/17 259,435 256,377 3,058
Japanese Yen Sell 5/17/17 259,939 258,942 (997)
New Zealand Dollar Sell 4/19/17 748,603 731,281 (17,322)
Norwegian Krone Buy 3/16/17 269,726 260,023 9,703
Norwegian Krone Sell 3/16/17 262,497 261,582 (915)
Russian Ruble Buy 3/16/17 553,510 516,452 37,058
Russian Ruble Sell 3/16/17 553,510 538,448 (15,062)
South Korean Won Sell 5/17/17 12,431 4,029 (8,402)
Swedish Krona Buy 3/16/17 254,299 255,331 (1,032)
HSBC Bank USA, National Association
Canadian Dollar Buy 4/19/17 4,896 1,768 3,128
Euro Sell 3/16/17 133,352 133,793 441
Hong Kong Dollar Sell 5/17/17 260,309 260,413 104
JPMorgan Chase Bank N.A.
Australian Dollar Buy 4/19/17 499,880 478,764 21,116
Brazilian Real Sell 4/3/17 95 7,891 7,796
British Pound Buy 3/16/17 29,914 30,574 (660)
Canadian Dollar Buy 4/19/17 827,439 820,168 7,271
Czech Koruna Buy 7/19/17 261,054 264,945 (3,891)
Euro Buy 3/16/17 6,289,379 6,368,298 (78,919)
Euro Sell 7/19/17 259,711 262,799 3,088
Hong Kong Dollar Sell 5/17/17 265,776 265,878 102
Indonesian Rupiah Sell 5/17/17 985 83 (902)
Japanese Yen Buy 5/17/17 4,807,296 4,758,222 49,074
New Zealand Dollar Sell 4/19/17 1,037,817 1,008,545 (29,272)
Norwegian Krone Sell 3/16/17 83,770 85,875 2,105
Singapore Dollar Sell 5/17/17 72,388 72,062 (326)
South Korean Won Buy 5/17/17 3,377 10,794 (7,417)
Swedish Krona Sell 3/16/17 76,482 81,705 5,223
Swiss Franc Sell 3/16/17 406,048 406,176 128
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 4/19/17 766,172 725,140 41,032
Canadian Dollar Buy 4/19/17 263,009 264,138 (1,129)
Czech Koruna Buy 7/19/17 261,054 264,836 (3,782)
Euro Sell 3/16/17 14,310 7,848 (6,462)
Euro Sell 7/19/17 259,817 262,357 2,540
Japanese Yen Sell 5/17/17 262,882 263,123 241
New Zealand Dollar Buy 4/19/17 123,569 129,234 (5,665)
Norwegian Krone Buy 3/16/17 344,763 342,152 2,611
Swedish Krona Buy 3/16/17 11,219 2,647 8,572
State Street Bank and Trust Co.
Australian Dollar Buy 4/19/17 383,239 381,370 1,869
British Pound Sell 3/16/17 363,061 368,173 5,112
Canadian Dollar Buy 4/19/17 262,557 259,535 3,022
Euro Sell 3/16/17 1,061,940 1,071,933 9,993
Israeli Shekel Buy 4/19/17 7,205 6,812 393
Japanese Yen Sell 5/17/17 18,685 18,472 (213)
New Zealand Dollar Sell 4/19/17 262,529 252,091 (10,438)
Singapore Dollar Sell 5/17/17 264,207 258,995 (5,212)
Swedish Krona Buy 3/16/17 541,280 530,642 10,638
UBS AG
Euro Sell 3/16/17 131,444 131,129 (315)
Swedish Krona Buy 3/16/17 513,853 520,314 (6,461)
WestPac Banking Corp.
Australian Dollar Buy 4/19/17 403,152 407,131 (3,979)
Euro Sell 3/16/17 263,206 265,439 2,233
New Zealand Dollar Sell 4/19/17 263,105 261,409 (1,696)
Total $36,208












FUTURES CONTRACTS OUTSTANDING at 2/28/17 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-Bobl 5 yr (Long) 37 $5,281,117             Mar-17 $98,680
Euro-Bund 10 yr (Long) 35 6,156,965             Mar-17 174,920
Euro-Buxl 30 yr (Long) 17 3,126,860             Mar-17 64,430
Euro-Schatz 2 yr (Long) 27 3,221,930             Mar-17 15,386
Japanese Government Bond 10 yr (Long) 16 21,445,369             Mar-17 66,517
Russell 2000 Index Mini (Long) 92 6,371,000             Mar-17 71,076
Russell 2000 Index Mini (Short) 56 3,878,000             Mar-17 (33,979)
S&P 500 Index E-Mini (Long) 41 4,843,740             Mar-17 153,290
S&P 500 Index E-Mini (Short) 30 3,544,200             Mar-17 (197,072)
Tokyo Price Index (Long) 22 3,003,961             Mar-17 (21,928)
U.K. Gilt 10 yr (Long) 31 4,894,075             Jun-17 62,254
U.S. Treasury Bond 30 yr (Long) 8 1,213,250             Jun-17 234
U.S. Treasury Bond Ultra 30 yr (Long) 11 1,779,594             Jun-17 (22)
U.S. Treasury Note 10 yr (Long) 50 6,228,906             Jun-17 (17,193)
U.S. Treasury Note 10 yr (Short) 155 19,309,609             Jun-17 46,369
U.S. Treasury Note 5 yr (Long) 51 6,002,859             Jun-17 (10,430)
U.S. Treasury Note 2 yr (Long) 26 5,626,563             Jun-17 (5,333)
Total $467,199












WRITTEN OPTIONS OUTSTANDING at 2/28/17 (premiums $30,757) (Unaudited)


Expiration       Contract
date/strike price       amount Value
SPDR S&P 500 ETF Trust (Call) Mar-17/$243.00        $37,540 $15,968
USD/JPY (Call) May-17/JPY 125.00        1,027,200 296
USD/MXN (Put) Apr-17/MXN 19.00        2,072,300 4,053
Total $20,317












TBA SALE COMMITMENTS OUTSTANDING at 2/28/17 (proceeds receivable $3,970,117) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3.00%, 3/1/47 $4,000,000       3/13/17 $3,974,375
Total $3,974,375















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/28/17 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$1,298,400 (E) $5,157      3/15/47 3 month USD-LIBOR-BBA 2.704% $37,649
13,700 (E) (62)     3/15/47 2.704% 3 month USD-LIBOR-BBA (405)
43,608,600 (E) 64,790      3/15/27 3 month USD-LIBOR-BBA 2.4885% 659,045
12,733,100 (E) (21,297)     3/15/27 2.4885% 3 month USD-LIBOR-BBA (194,811)
7,437,100 (E) 7,698      3/15/22 3 month USD-LIBOR-BBA 2.132% 52,164
2,829,700 (E) (3,144)     3/15/22 2.132% 3 month USD-LIBOR-BBA (20,062)
3,086,000 (E) (2,333)     3/15/19 3 month USD-LIBOR-BBA 1.6065% (1,651)
7,358,000 (E) (2,170)     3/15/19 1.6065% 3 month USD-LIBOR-BBA (3,796)
27,000 —      1/9/27 2.228% 3 month USD-LIBOR-BBA 191
121,000 (2)     1/10/27 2.29333% 3 month USD-LIBOR-BBA 136
1,069,000 (14)     1/12/27 2.237% 3 month USD-LIBOR-BBA 6,826
1,138,000 (4)     1/12/19 3 month USD-LIBOR-BBA 1.4685% (955)
140,000 (2)     1/13/27 3 month USD-LIBOR-BBA 2.249% (752)
322,000 (4)     1/17/27 2.30308% 3 month USD-LIBOR-BBA 190
713,000 (9)     1/26/27 3 month USD-LIBOR-BBA 2.3255% 732
159,000 (2)     1/27/27 2.3956% 3 month USD-LIBOR-BBA (1,178)
37,000 —      1/30/27 2.4455% 3 month USD-LIBOR-BBA (439)
6,000 —      2/6/27 3 month USD-LIBOR-BBA 2.3805% 33
97,000 (1)     2/17/27 2.43757% 3 month USD-LIBOR-BBA (996)
Total$48,601     $531,921
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/17 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$3,800,000 $—      9/21/21 (2.305%) USA Non Revised Consumer Price Index- Urban (CPI-U) $(237,378)
4,000,000 —      6/10/24 (2.50%) USA Non Revised Consumer Price Index- Urban (CPI-U) (267,760)
2,100,000 —      5/6/26 (1.88%) USA Non Revised Consumer Price Index- Urban (CPI-U) 84,882
2,000,000 —      7/8/26 (1.76) USA Non Revised Consumer Price Index- Urban (CPI-U) 103,440
baskets 159,874 —      11/17/17 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLFCF10) of common stocks 150,390
units 3,884 —      8/2/17 3 month USD-LIBOR-BBA minus 0.07% Russell 1000 Total Return Index (997,781)
Barclays Bank PLC
$1,907,715 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (309)
64,403 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 3
4,800,000 —      12/5/26 (2.308%) USA Non Revised Consumer Price Index- Urban (CPI-U) (10,493)
Citibank, N.A.
1,300,000 —      8/7/22 2.515% USA Non Revised Consumer Price Index- Urban (CPI-U) 106,808
1,500,000 —      4/7/26 (1.858%) USA Non Revised Consumer Price Index- Urban (CPI-U) 59,700
baskets 54 —      12/1/17 (3 month USD-LIBOR-BBA plus 0.37%) A basket (CGPUTQL2) of common stocks 641,405
units 1,171 —      11/27/17 3 month USD-LIBOR-BBA plus 0.09% Russell 1000 Total Return Index (1,730)
Credit Suisse International
$2,600,000 —      1/9/23 (2.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) (284,570)
3,400,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (279,310)
1,600,000 —      8/8/22 (2.5325%) USA Non Revised Consumer Price Index- Urban (CPI-U) (134,448)
700,000 —      9/10/22 (2.5925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (60,977)
3,300,000 —      2/8/23 (2.81%) USA Non Revised Consumer Price Index- Urban (CPI-U) (368,016)
6,900,000 —      7/19/23 (2.57%) USA Non Revised Consumer Price Index- Urban (CPI-U) (543,444)
171,427 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (125)
Goldman Sachs International
7,000,000 —      11/3/26 (2.0413%) USA Non Revised Consumer Price Index- Urban (CPI-U) 172,879
JPMorgan Chase Bank N.A.
10,900,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (896,176)
1,400,000 —      8/7/25 (1.92%) USA Non Revised Consumer Price Index- Urban (CPI-U) 27,021
JPMorgan Securities LLC
1,907,715 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 309
Total$—     $(2,735,680)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/28/17 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Barclays Bank PLC
  EM Series 26 Index BBB-/P $5,400 $100,000 12/20/21 100 bp $369
  EM Series 26 Index BBB-/P 12,640 200,000 12/20/21 100 bp 2,834
  EM Series 26 Index BBB-/P 768,357 11,400,000 12/20/21 100 bp 209,445
Credit Suisse International
  CMBX NA BBB- Index — (1,078) 16,000 1/17/47 (300 bp) 464
  CMBX NA A Index A/P 1,040 25,000 1/17/47 200 bp (20)
  CMBX NA A Index A/P 2,554 65,000 1/17/47 200 bp (201)
  CMBX NA A Index A/P 3,681 100,000 1/17/47 200 bp (557)
  CMBX NA BB Index — (3,530) 200,000 5/11/63 (500 bp) 40,039
  CMBX NA BB Index — (5,880) 31,000 1/17/47 (500 bp) (42)
  CMBX NA BBB- Index BBB-/P 708 9,000 5/11/63 300 bp (454)
  CMBX NA BBB- Index BBB-/P 1,331 16,000 5/11/63 300 bp (736)
  CMBX NA BBB- Index BBB-/P 1,442 17,000 5/11/63 300 bp (754)
  CMBX NA BBB- Index BBB-/P 2,906 22,000 5/11/63 300 bp 61
  CMBX NA BBB- Index BBB-/P 5,287 108,000 5/11/63 300 bp (8,663)
  CMBX NA BBB- Index BBB-/P 11,136 227,000 5/11/63 300 bp (18,185)
  CMBX NA BBB- Index BBB-/P 3,218 49,000 1/17/47 300 bp (1,504)
  CMBX NA BBB- Index BBB-/P 8,616 109,000 1/17/47 300 bp (1,888)
  CMBX NA BBB- Index BBB-/P 13,674 185,000 1/17/47 300 bp (4,154)
Goldman Sachs International
  CMBX NA BB Index — (5,933) 58,000 5/11/63 (500 bp) 6,702
  CMBX NA BB Index — (303) 2,000 1/17/47 (500 bp) 73
  CMBX NA BB Index — (6,904) 34,000 1/17/47 (500 bp) (510)
  CMBX NA BBB- Index BBB-/P 317 4,000 5/11/63 300 bp (200)
  CMBX NA BBB- Index BBB-/P 613 9,000 5/11/63 300 bp (549)
  CMBX NA BBB- Index BBB-/P 469 9,000 5/11/63 300 bp (693)
  CMBX NA BBB- Index BBB-/P 1,266 15,000 5/11/63 300 bp (672)
  CMBX NA BBB- Index BBB-/P 1,382 16,000 5/11/63 300 bp (685)
  CMBX NA BBB- Index BBB-/P 1,941 23,000 5/11/63 300 bp (1,030)
  CMBX NA BBB- Index BBB-/P 8,253 88,000 5/11/63 300 bp (3,113)
  CMBX NA BBB- Index BBB-/P 8,194 109,000 5/11/63 300 bp (5,886)
  CMBX NA BBB- Index — (2,224) 33,000 1/17/47 (300 bp) 957
  CMBX NA BBB- Index — (1,086) 16,000 1/17/47 (300 bp) 455
  CMBX NA BBB- Index — (828) 12,000 1/17/47 (300 bp) 328
  CMBX NA BBB- Index BBB-/P 222 3,000 1/17/47 300 bp (67)
  CMBX NA BBB- Index BBB-/P 684 8,000 1/17/47 300 bp (87)
  CMBX NA BBB- Index BBB-/P 1,874 22,000 1/17/47 300 bp (246)
  CMBX NA BBB- Index BBB-/P 5,907 75,000 1/17/47 300 bp (1,321)
JPMorgan Securities LLC
  CMBX NA BB Index — (1,828) 13,000 5/11/63 (500 bp) 1,004
  CMBX NA BB Index — (1,595) 12,000 5/11/63 (500 bp) 1,019
  CMBX NA BB Index — (719) 5,000 5/11/63 (500 bp) 370
  CMBX NA BBB- Index BBB-/P 276 4,000 5/11/63 300 bp (240)
  CMBX NA BBB- Index BBB-/P 247 4,000 5/11/63 300 bp (270)
  CMBX NA BBB- Index BBB-/P 796 7,000 5/11/63 300 bp (108)
  CMBX NA BBB- Index BBB-/P 448 7,000 5/11/63 300 bp (456)
  CMBX NA BBB- Index BBB-/P 373 7,000 5/11/63 300 bp (531)
  CMBX NA BBB- Index BBB-/P 357 7,000 5/11/63 300 bp (548)
  CMBX NA BBB- Index BBB-/P 1,064 13,000 5/11/63 300 bp (615)
  CMBX NA BBB- Index BBB-/P 795 18,000 5/11/63 300 bp (1,530)
  CMBX NA BBB- Index BBB-/P 1,706 20,000 5/11/63 300 bp (878)
  CMBX NA BBB- Index BBB-/P 2,600 47,000 5/11/63 300 bp (3,471)
  CMBX NA BBB- Index BBB-/P 2,864 54,000 5/11/63 300 bp (4,111)
  CMBX NA BBB- Index BBB-/P 4,862 62,000 5/11/63 300 bp (3,146)
  CMBX NA BBB- Index BBB-/P 29,536 350,000 5/11/63 300 bp (15,673)
  CMBX NA BBB- Index — (215) 4,000 1/17/47 (300 bp) 170
  CMBX NA BBB- Index BBB-/P 443 8,000 1/17/47 300 bp (328)
  CMBX NA BBB- Index BBB-/P 340 13,000 1/17/47 300 bp (913)
Total$887,696$179,255
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 28, 2017. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  











CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/28/17 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
  NA HY Series 27 Index B+/P $(116,710) $2,026,530 12/20/21 500 bp $50,169
  NA HY Series 27 Index B+/P 207,803 3,325,410 12/20/21 500 bp (67,523)
  NA IG Series 27 Index BBB+/P (43,714) 4,150,000 12/20/21 100 bp 35,735
Total$47,379$18,381
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 28, 2017. Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  










Key to holding's currency abbreviations
CAD Canadian Dollar
JPY Japanese Yen
MXN Mexican Peso
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
GMTN Global Medium Term Notes
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
PJSC Public Joint Stock Company
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from June 1, 2016 through February 28, 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, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $175,098,450.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(b) The aggregate identified cost on a tax basis is $185,829,530, resulting in gross unrealized appreciation and depreciation of $14,548,643 and $3,576,171, respectively, or net unrealized appreciation of $10,972,472.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC, Putnam Short Term Investment Fund, and Putnam Money Market Liquidity Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:

Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Cash Collateral Pool, LLC*# $538,794 $7,894,974 $8,209,168 $2,748 $224,600
Putnam Short Term Investment Fund** 35,007,773 48,526,697 50,719,799 131,695 32,814,671
Putnam Money Market Liquidity Fund*** — 4,699,077 4,699,077 276 —
Totals $35,546,567 $61,120,748 $63,628,044 $134,719 $33,039,271
* No management fees are charged to Putnam Cash Collateral Pool, LLC.
# The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund's agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund received cash collateral of $224,600, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $210,981.
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
*** Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
At the close of the reporting period, the fund maintained liquid assets totaling $109,617,916 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A 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 79.0%
United Kingdom 4.5
Japan 2.1
France 1.6
China 1.4
Canada 1.2
South Korea 1.0
Germany 0.9
Brazil 0.7
Australia 0.7
Switzerland 0.7
Netherlands 0.5
Sweden 0.5
India 0.5
Other 4.7
Total 100.0%
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, to enhance the return on securities owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, to gain exposure to specific sectors or industries and to generate additional income for the portfolio.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $246,182 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $4,119,154 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,929,484 and may include amounts related to unsettled agreements.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks:
    Basic materials $3,676,992 $— $—
    Capital goods 5,097,225 — —
    Communication services 3,471,946 — —
    Conglomerates 167,462 — —
    Consumer cyclicals 9,016,485 642 —
    Consumer staples 7,021,233 — —
    Energy 3,652,371 510 —
    Financials 20,027,078 — —
    Health care 8,514,938 — —
    Technology 9,755,874 — —
    Transportation 2,035,425 — —
    Utilities and power 2,883,341 — —
Total common stocks 75,320,370 1,152 —
Asset-backed securities — 243,000 —
Commodity linked notes — 7,666,232 —
Convertible preferred stocks — 47,130 —
Corporate bonds and notes — 46,103,960 107,005
Foreign government and agency bonds and notes — 1,518,735 —
Investment companies 936,089 — —
Mortgage-backed securities — 5,901,785 —
Purchased options outstanding — 548,184 —
Senior loans — 492,619 —
U.S. government and agency mortgage obligations — 17,409,024 —
Warrants 1,680 266,983 —
Short-term investments 33,255,671 6,982,383 —
Totals by level $109,513,810 $87,181,187 $107,005



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


Forward currency contracts $— $36,208 $—
Futures contracts 467,199 — —
Written options outstanding — (20,317) —
TBA sale commitments — (3,974,375) —
Interest rate swap contracts — 483,320 —
Total return swap contracts — (2,735,680) —
Credit default contracts — (737,439) —
Totals by level $467,199 $(6,948,283) $—


During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $329,480 $1,066,919
Foreign exchange contracts 364,381 303,282
Equity contracts 1,803,768 1,268,458
Interest rate contracts 1,763,864 3,312,696
Total $4,261,493 $5,951,355


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased equity option contracts (contract amount)$190,000
Purchased currency option contracts (contract amount)$1,200,000
Written equity option contracts (contract amount)$59,000
Written currency option contracts (contract amount)$1,200,000
Futures contracts (number of contracts)700
Forward currency contracts (contract amount)$74,600,000
Centrally cleared interest rate swap contracts (notional)$89,200,000
OTC total return swap contracts (notional)$140,000,000
OTC credit default contracts (notional)$14,700,000
Centrally cleared credit default contracts (notional)$12,400,000
Warrants (number of warrants)76,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(AFF)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                       
  Assets:                                    
  Centrally cleared interest rate swap contracts§   $—  $—  $40,101  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—    $40,101 
  OTC Total return swap contracts*#   338,712  3  —  807,913  —  —  172,879  —  27,021  309  —  —  —  —  —    1,346,837 
  OTC Credit default contracts*#   —  —  —  —  50,949  —  25,283  —  —  6,920  —  —  —  —  —    83,152 
  Centrally cleared credit default contracts§   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  77,671  —  —  —  —    77,671 
  Forward currency contracts#   34,509  9,714  —  39,633  6,638  —  56,815  3,673  95,903  —  —  54,996  31,027  —  2,233    335,141 
  Purchased options#   —  —  —  189,882  —  —  25,183  —  333,119  —  —  —  —  —  —    548,184 
                                       
  Total Assets   $373,221  $9,717  $40,101  $1,037,428  $57,587  $—  $280,160  $3,673  $456,043  $7,229  $77,671  $54,996  $31,027  $—  $2,233    $2,431,086 
                                       
  Liabilities:                                    
  Centrally cleared interest rate swap contracts§   —  —  2,707  —  —  —    —  —  —  —  —  —  —  —    2,707 
  OTC Total return swap contracts*#   1,502,919  10,802  —  1,730  1,670,890  —  —  —  896,176  —  —  —  —  —  —    4,082,517 
  OTC Credit default contracts*#   —  573,749  —  —  92,648  —  45,671  —  —  79,525  —  —  —  —  —    791,593 
  Centrally cleared credit default contracts§   —  —  492  —  —  —  —  —  —  —  —  —  —  —  —    492 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  129,891  —  —  —  —    129,891 
  Forward currency contracts#   22,788  22,345  —  21,985  3,240  —  61,836  —  121,387  —  —  17,038  15,863  6,776  5,675    298,933 
  Written options#   —  —  —  —  —  15,968  4,053  —  296  —  —  —  —  —  —    20,317 
                                       
  Total Liabilities   $1,525,707  $606,896  $3,199  $23,715  $1,766,778  $15,968  $111,560  $—  $1,017,859  $79,525  $129,891  $17,038  $15,863  $6,776  $5,675    $5,326,450 
                                       
  Total Financial and Derivative Net Assets   $(1,152,486) $(597,179) $36,902  $1,013,713  $(1,709,191) $(15,968) $168,600  $3,673  $(561,816) $(72,296) $(52,220) $37,958  $15,164  $(6,776) $(3,442)   $(2,895,364)
  Total collateral received (pledged)##†   $(1,091,626) $(564,000) $—  $441,000  $(1,632,984) $—  $168,600  $—  $(561,816) $—  $—  $—  $—  $—  $—     
  Net amount   $(60,860) $(33,179) $36,902  $572,713  $(76,207) $(15,968) $—  $3,673  $—  $(72,296) $(52,220) $37,958  $15,164  $(6,776) $(3,442)    
                                       
* Excludes premiums, if any.
                                       
†  Additional collateral may be required from certain brokers based on individual agreements.
                                       
# Covered by master netting agreement.
                                       
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                                       
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

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



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

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

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

Putnam Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: April 27, 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: April 27, 2017

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: April 27, 2017

EX-99.CERT 2 b_ec2certifications.htm CERTIFICATIONS b_ec2certifications.htm

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-Q 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 schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

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 registrants 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 this 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.

/s/ Jonathan S. Horwitz
_____________________________

Date: April 26, 2017
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-Q 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 schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

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 registrants 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 this 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.

/s/ Janet C. Smith
_______________________________

Date: April 26, 2017
Janet C. Smith
Principal Financial Officer














Attachment A

NQ

Period (s) ended February 28, 2017
               Putnam Arizona Tax Exempt Income Fund
               Putnam Minnesota Tax Exempt Income Fund
               Putnam Massachusetts Tax Exempt Income Fund
               Putnam New York Tax Exempt Income Fund
               Putnam High Yield Advantage Fund
               Putnam Equity Income Fund
               Putnam Pennsylvania Tax Exempt Income Fund
               Putnam Ohio Tax Exempt Income Fund
               Putnam New Jersey Tax Exempt Income Fund
               Putnam Michigan Tax Exempt Income Fund
               Putnam Dynamic Asset Allocation Equity Fund
               Putnam Dynamic Risk Allocation Fund
               Putnam Short-Term Municipal Income Fund
               Putnam Intermediate-Term Municipal Income Fund
               Putnam Emerging Markets Income Fund
               Putnam Global Dividend Fund
               Putnam Mortgage Opportunities Fund