0000928816-17-001317.txt : 20170427 0000928816-17-001317.hdr.sgml : 20170427 20170427113800 ACCESSION NUMBER: 0000928816-17-001317 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: 17787136 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 S000048370 PUTNAM MORTGAGE OPPORTUNITIES FUND C000152757 CLASS I N-Q 1 a_mortgageopps.htm PUTNAM FUNDS TRUST a_mortgageopps.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 Mortgage Opportunites Fund

The fund's portfolio
2/28/17 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (90.0%)(a)
Principal amount Value
U.S. Government Agency Mortgage Obligations (90.0%)
Federal National Mortgage Association Pass-Through Certificates
     5.00%, TBA, 3/1/47 $1,000,000 $1,096,094
     4.50%, TBA, 3/1/47 1,000,000 1,074,844
     3.50%, TBA, 4/1/47 2,000,000 2,046,484
     3.50%, TBA, 3/1/47 2,000,000 2,050,312
     3.00%, TBA, 4/1/47 1,000,000 991,836
     3.00%, TBA, 3/1/47 1,000,000 993,594
     2.50%, TBA, 3/1/47 1,000,000 952,656
9,205,820
Total U.S. government and agency mortgage obligations (cost $9,167,891) $9,205,820

MORTGAGE-BACKED SECURITIES (88.8%)(a)
Principal amount Value
Agency collateralized mortgage obligations (35.6%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 4421, Class PS, IO, 5.41%, 2/15/44 $195,722 $26,178
     IFB Ser. 4073, Class AS, IO, 5.28%, 8/15/38 148,296 15,181
     Ser. 4500, Class GI, IO, 4.00%, 8/15/45 123,230 23,495
     Ser. 4462, IO, 4.00%, 4/15/45 187,826 34,594
     Ser. 4462, Class PI, IO, 4.00%, 4/15/45 192,463 33,854
     Ser. 4425, IO, 4.00%, 1/15/45 177,996 32,965
     Ser. 4452, Class QI, IO, 4.00%, 11/15/44 101,178 21,683
     Ser. 4389, Class IA, IO, 4.00%, 9/15/44 123,506 21,996
     Ser. 4355, Class DI, IO, 4.00%, 3/15/44 108,853 14,031
     Ser. 4386, Class LI, IO, 4.00%, 2/15/43(F) 172,252 23,559
     Ser. 4121, Class MI, IO, 4.00%, 10/15/42 194,808 37,988
     Ser. 4015, Class GI, IO, 4.00%, 3/15/27 464,521 52,755
     Ser. 4604, Class QI, IO, 3.50%, 7/15/46 440,836 72,306
     Ser. 4591, Class QI, IO, 3.50%, 4/15/46 288,454 45,521
     Ser. 4580, Class ID, IO, 3.50%, 8/15/45 200,904 32,848
     Ser. 4501, Class BI, IO, 3.50%, 10/15/43 116,619 16,803
     Ser. 4531, Class PI, IO, 3.50%, 5/15/43 189,114 27,522
     Ser. 4206, Class IP, IO, 3.00%, 12/15/41 206,587 21,304
Federal National Mortgage Association
     IFB Ser. 11-4, Class CS, 11.343%, 5/25/40(F) 31,701 36,606
     Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 165,223 39,347
     Ser. 11-59, Class BI, IO, 6.00%, 8/25/40 230,234 22,770
     IFB Ser. 12-86, Class CS, IO, 5.322%, 4/25/39(F) 195,152 20,726
     IFB Ser. 12-68, Class BS, IO, 5.222%, 7/25/42(F) 110,335 19,482
     IFB Ser. 10-140, Class GS, IO, 5.222%, 7/25/39 217,044 23,264
     Ser. 17-15, Class LI, IO, 4.00%, 6/25/46 131,000 21,615
     Ser. 14-95, Class TI, IO, 4.00%, 5/25/39 374,237 36,675
     Ser. 16-70, Class QI, IO, 3.50%, 10/25/46 477,562 75,569
     Ser. 12-90, Class EI, IO, 3.50%, 2/25/39 260,991 26,752
     Ser. 11-98, Class AI, IO, 3.50%, 11/25/37 453,233 26,681
     Ser. 16-50, Class PI, IO, 3.00%, 8/25/46 180,909 28,638
     Ser. 13-6, Class JI, IO, 3.00%, 2/25/43 159,075 17,896
     Ser. 12-147, Class AI, IO, 3.00%, 10/25/27 408,932 37,826
Government National Mortgage Association
     Ser. 16-75, Class LI, IO, 6.00%, 1/20/40 108,754 25,557
     IFB Ser. 13-182, Class SP, IO, 5.919%, 12/20/43 227,033 42,694
     IFB Ser. 11-156, Class SK, IO, 5.819%, 4/20/38 100,217 21,421
     IFB Ser. 10-50, Class QS, IO, 5.769%, 12/20/38 438,727 35,647
     IFB Ser. 16-77, Class SC, IO, 5.319%, 10/20/45 93,664 18,008
     IFB Ser. 14-60, Class SE, IO, 5.319%, 4/20/44 134,690 21,941
     Ser. 17-5, IO, 5.00%, 1/20/47 250,911 50,361
     Ser. 15-35, Class AI, IO, 5.00%, 3/16/45 237,801 49,938
     Ser. 14-182, Class KI, IO, 5.00%, 10/20/44 78,819 16,149
     Ser. 14-133, Class IP, IO, 5.00%, 9/16/44 75,106 15,130
     Ser. 10-35, Class UI, IO, 5.00%, 3/20/40(F) 54,404 11,316
     Ser. 10-9, Class UI, IO, 5.00%, 1/20/40(F) 250,339 52,348
     Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 35,425 7,358
     Ser. 16-154, Class IB, IO, 5.00%, 11/20/39 238,367 49,000
     Ser. 15-105, Class LI, IO, 5.00%, 10/20/39 192,515 39,962
     Ser. 15-79, Class GI, IO, 5.00%, 10/20/39 336,916 69,680
     Ser. 16-37, Class IW, IO, 4.50%, 2/20/46 415,374 88,786
     Ser. 16-104, Class GI, IO, 4.50%, 1/20/46 262,660 30,453
     Ser. 16-49, IO, 4.50%, 11/16/45 195,776 41,182
     Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 136,952 26,217
     Ser. 14-100, Class LI, IO, 4.50%, 10/16/43 182,667 30,904
     Ser. 13-34, Class HI, IO, 4.50%, 3/20/43 169,633 32,576
     Ser. 12-91, Class IN, IO, 4.50%, 5/20/42 153,125 31,406
     Ser. 10-35, Class DI, IO, 4.50%, 3/20/40 153,786 29,898
     Ser. 10-9, Class QI, IO, 4.50%, 1/20/40(F) 50,147 9,603
     Ser. 16-69, IO, 4.00%, 5/20/46 207,986 33,457
     Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 195,528 33,340
     Ser. 15-149, Class KI, IO, 4.00%, 10/20/45 134,596 23,202
     Ser. 15-64, Class IG, IO, 4.00%, 5/20/45 95,106 19,359
     Ser. 15-50, IO, 4.00%, 4/20/45 110,178 20,107
     Ser. 15-60, Class IP, IO, 4.00%, 4/20/45 326,285 58,353
     Ser. 15-53, Class MI, IO, 4.00%, 4/16/45(F) 341,795 74,010
     Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 195,005 34,349
     Ser. 15-89, Class IP, IO, 4.00%, 2/20/45 198,973 31,577
     Ser. 15-40, Class KI, IO, 4.00%, 7/20/44 104,842 18,805
     Ser. 12-122, Class PI, IO, 4.00%, 4/20/42 149,302 23,340
     Ser. 14-115, Class EI, IO, 4.00%, 6/20/38(F) 231,952 16,137
     Ser. 16-156, Class PI, IO, 3.50%, 11/20/46(F) 179,425 23,228
     Ser. 16-111, Class IP, IO, 3.50%, 8/20/46(F) 369,978 48,880
     Ser. 16-83, Class PI, IO, 3.50%, 6/20/45(F) 287,731 47,792
     Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 107,185 15,625
     Ser. 15-52, Class IK, IO, 3.50%, 4/20/45 579,096 91,475
     Ser. 15-20, Class PI, IO, 3.50%, 2/20/45(F) 89,337 15,347
     Ser. 15-168, Class IG, IO, 3.50%, 3/20/43 145,653 21,186
     Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 149,740 20,034
     Ser. 13-14, IO, 3.50%, 12/20/42 234,989 32,358
     Ser. 12-51, Class GI, IO, 3.50%, 7/20/40(F) 269,696 32,651
     Ser. 13-6, Class AI, IO, 3.50%, 8/20/39 281,306 41,141
     Ser. 15-82, Class GI, IO, 3.50%, 12/20/38 126,886 12,317
     Ser. 14-44, Class IA, IO, 3.50%, 5/20/28 273,742 29,074
     Ser. 13-23, Class IK, IO, 3.00%, 9/20/37(F) 141,089 15,205
     Ser. 16-H23, Class NI, IO, 2.715%, 10/20/66 432,260 61,813
     Ser. 15-H25, Class CI, IO, 2.451%, 10/20/65 159,379 18,297
     Ser. 15-H26, Class DI, IO, 2.413%, 10/20/65 160,205 18,696
     Ser. 15-H03, Class DI, IO, 2.389%, 1/20/65 526,523 55,285
     Ser. 16-H14, Class AI, IO, 2.354%, 6/20/66 220,224 28,651
     Ser. 15-H25, Class BI, IO, 2.329%, 10/20/65 262,701 29,922
     FRB Ser. 15-H16, Class XI, IO, 2.321%, 7/20/65 109,352 13,308
     Ser. 15-H20, Class CI, IO, 2.293%, 8/20/65 184,924 21,411
     Ser. 16-H02, Class HI, IO, 2.258%, 1/20/66 460,948 47,155
     Ser. 15-H10, Class HI, IO, 2.116%, 4/20/65 370,831 40,866
     Ser. 14-H21, Class AI, IO, 2.09%, 10/20/64 349,247 35,588
     Ser. 16-H11, Class HI, IO, 2.082%, 1/20/66 317,205 33,703
     Ser. 16-H06, Class HI, IO, 2.066%, 2/20/66 191,583 18,622
     Ser. 15-H24, Class HI, IO, 2.033%, 9/20/65 375,797 31,529
     Ser. 16-H18, Class QI, IO, 1.907%, 6/20/66 126,786 16,368
     Ser. 15-H15, Class JI, IO, 1.901%, 6/20/65 182,742 19,955
     Ser. 15-H25, Class EI, IO, 1.803%, 10/20/65 213,807 21,039
     Ser. 15-H23, Class DI, IO, 1.80%, 9/20/65 205,540 19,247
     Ser. 15-H20, Class AI, IO, 1.792%, 8/20/65 187,222 18,722
     Ser. 15-H18, Class IA, IO, 1.785%, 6/20/65 158,510 13,045
     Ser. 15-H23, Class BI, IO, 1.685%, 9/20/65 127,156 11,927
     Ser. 15-H26, Class EI, IO, 1.678%, 10/20/65 419,337 41,011
     Ser. 16-H12, Class AI, IO, 1.619%, 7/20/65 696,648 57,535
     Ser. 15-H22, Class EI, IO, 1.575%, 8/20/65 367,405 24,690
     Ser. 15-H24, Class BI, IO, 1.574%, 8/20/65 355,153 21,664
     Ser. 15-H25, Class AI, IO, 1.573%, 9/20/65 278,987 24,272
     Ser. 15-H14, Class BI, IO, 1.547%, 5/20/65 591,725 37,575
     Ser. 14-H23, Class BI, IO, 1.522%, 11/20/64 113,410 9,923
     Ser. 14-H08, Class CI, IO, 1.451%, 3/20/64 230,069 15,392
     Ser. 13-H24, Class AI, IO, 1.448%, 9/20/63 568,864 30,719
     Ser. 14-H06, Class BI, IO, 1.439%, 2/20/64 341,077 21,317
     Ser. 14-H08, Class BI, IO, 1.423%, 4/20/64 276,727 22,138
     Ser. 16-H08, Class GI, IO, 1.391%, 4/20/66 331,408 21,740
     Ser. 11-H08, Class GI, IO, 1.216%, 3/20/61 402,949 20,389
     FRB Ser. 11-H07, Class FI, IO, 1.194%, 2/20/61 864,438 36,739
     Ser. 15-H26, Class CI, IO, 0.683%, 8/20/65 581,886 12,802
3,641,369
Commercial mortgage-backed securities (32.6%)
Banc of America Commercial Mortgage Trust
     FRB Ser. 07-4, Class AJ, 5.887%, 2/10/51 60,000 60,786
     Ser. 06-4, Class AJ, 5.695%, 7/10/46 39,811 39,753
     FRB Ser. 07-3, Class AJ, 5.628%, 6/10/49 80,000 81,016
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.553%, 1/12/45(F) 58,000 55,164
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class F, 5.25%, 12/15/47 100,000 89,130
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class B, 5.993%, 3/15/49 18,004 17,877
     FRB Ser. 06-C4, Class C, 5.993%, 3/15/49 45,000 44,888
Citigroup Commercial Mortgage Trust 144A
     FRB Ser. 13-GC17, Class D, 5.104%, 11/10/46 200,000 187,944
     FRB Ser. 14-GC21, Class D, 4.835%, 5/10/47 148,000 122,455
COBALT CMBS Commercial Mortgage Trust Ser. 07-C2, Class AJFX, 5.568%, 4/15/47 39,000 39,023
COMM Mortgage Trust Ser. 06-C8, Class AJ, 5.377%, 12/10/46 89,311 89,374
COMM Mortgage Trust 144A Ser. 14-CR18, Class E, 3.60%, 7/15/47 100,000 63,440
GS Mortgage Securities Trust
     Ser. 06-GG8, Class AJ, 5.622%, 11/10/39 11,342 10,548
     FRB Ser. 13-GC12, Class C, 4.179%, 6/10/46 42,000 41,168
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C12, Class D, 4.086%, 7/15/45 17,000 14,604
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C15, Class D, 5.046%, 11/15/45 100,000 95,313
     Ser. 14-C25, Class E, 3.332%, 11/15/47 100,000 60,730
JPMorgan Chase Commercial Mortgage Securities Corp. 144A FRB Ser. 12-LC9, Class E, 4.412%, 12/15/47 100,000 93,410
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 06-LDP7, Class B, 5.928%, 4/17/45 74,000 13,461
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 11-C3, Class E, 5.619%, 2/15/46 100,000 101,940
     FRB Ser. 12-C6, Class E, 5.15%, 5/15/45 100,000 93,860
     FRB Ser. 13-C13, Class D, 4.053%, 1/15/46 14,000 12,987
     Ser. 13-C13, Class E, 3.986%, 1/15/46 100,000 68,360
     Ser. 12-C6, Class G, 2.972%, 5/15/45 100,000 76,510
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C3, Class C, 5.546%, 3/15/39 87,314 86,113
     FRB Ser. 06-C6, Class B, 5.472%, 9/15/39 130,000 115,050
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.698%, 8/15/47 100,000 83,890
     FRB Ser. 12-C6, Class G, 4.50%, 11/15/45 100,000 74,760
     Ser. 14-C15, Class F, 4.00%, 4/15/47 125,000 84,193
     Ser. 14-C17, Class E, 3.50%, 8/15/47 100,000 62,210
     Ser. 15-C24, Class D, 3.257%, 5/15/48 19,000 13,194
Morgan Stanley Capital I Trust
     Ser. 07-HQ11, Class B, 5.538%, 2/12/44 100,000 97,000
     Ser. 07-HQ11, Class AJ, 5.508%, 2/12/44 29,427 29,154
     FRB Ser. 06-HQ8, Class D, 5.493%, 3/12/44 100,000 40,519
     Ser. 06-HQ10, Class B, 5.448%, 11/12/41 100,000 99,609
Morgan Stanley Capital I Trust 144A FRB Ser. 08-T29, Class F, 6.293%, 1/11/43 100,000 100,340
UBS-Barclays Commercial Mortgage Trust 144A
     Ser. 12-C2, Class F, 4.885%, 5/10/63 45,000 32,171
     FRB Ser. 12-C2, Class E, 4.885%, 5/10/63 38,000 34,746
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C23, Class F, 5.653%, 1/15/45 93,078 92,147
     Ser. 07-C30, Class AJ, 5.413%, 12/15/43(F) 35,000 34,992
Wells Fargo Commercial Mortgage Trust 144A
     Ser. 12-LC5, Class D, 4.776%, 10/15/45 75,000 69,930
     Ser. 14-LC18, Class D, 3.957%, 12/15/47 148,000 117,604
     Ser. 14-LC16, Class D, 3.938%, 8/15/50 47,000 38,777
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class D, 5.602%, 2/15/44 75,000 77,273
     FRB Ser. 14-C19, Class E, 4.97%, 3/15/47 19,000 13,887
     FRB Ser. 13-UBS1, Class E, 4.627%, 3/15/46 110,000 79,673
     FRB Ser. 13-C15, Class D, 4.48%, 8/15/46 118,000 104,952
     FRB Ser. 12-C10, Class D, 4.453%, 12/15/45 70,000 62,245
     Ser. 14-C19, Class D, 4.234%, 3/15/47 43,000 36,061
     Ser. 14-C20, Class D, 3.986%, 5/15/47 110,000 84,944
3,339,175
Residential mortgage-backed securities (non-agency) (20.6%)
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class B1, 7.078%, 7/25/25 (Bermuda) 150,000 152,391
Countrywide Alternative Loan Trust
     FRB Ser. 06-OA10, Class 1A1, 1.574%, 8/25/46 106,987 94,524
     FRB Ser. 06-OA7, Class 1A2, 1.554%, 6/25/46 100,823 88,296
     FRB Ser. 05-59, Class 1A1, 1.109%, 11/20/35 89,404 78,292
     FRB Ser. 06-OA10, Class 4A1, 0.968%, 8/25/46 103,455 84,233
Countrywide Home Loan Mortgage Pass-Through Trust FRB Ser. 06-OA5, Class 2A1, 0.978%, 4/25/46 112,002 95,009
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2B, 13.528%, 10/25/28 134,997 174,585
     Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 13.028%, 9/25/28 95,000 121,810
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 12.528%, 10/25/28 135,000 168,043
     Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, 12.528%, 8/25/28 91,000 113,668
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.478%, 4/25/28 100,000 111,274
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 6.328%, 4/25/28 103,000 113,764
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, 6.078%, 10/25/28 30,000 33,289
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, 5.778%, 7/25/25 133,000 144,700
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 5.328%, 2/25/25 65,431 69,403
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 4.778%, 5/25/25 16,000 16,765
GSAA Home Equity Trust FRB Ser. 06-8, Class 2A2, 0.958%, 5/25/36(F) 177,435 88,675
IndyMac INDX Mortgage Loan Trust FRB Ser. 06-AR11, Class 2A1, 3.319%, 6/25/36 98,761 80,811
MortgageIT Trust FRB Ser. 05-3, Class M4, 1.408%, 8/25/35 73,320 60,270
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, 0.958%, 1/25/37 106,113 89,233
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR10, Class 1A3, 2.766%, 9/25/35 83,984 82,600
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 05-AR16, Class 6A4, 3.071%, 10/25/35 44,428 44,129
2,105,764
Total mortgage-backed securities (cost $9,074,393) $9,086,308

ASSET-BACKED SECURITIES (1.4%)(a)
Principal amount Value
Mortgage Repurchase Agreement Financing Trust 144A FRB Ser. 16-5, Class A, 1.942%, 6/10/19 $78,000 $78,000
Station Place Securitization Trust 144A FRB Ser. 17-1, Class A, 1.678%, 2/25/49 68,000 68,000
Total asset-backed securities (cost $146,000) $146,000

PURCHASED OPTIONS OUTSTANDING (0.3%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Apr-17/$98.34 $1,000,000 $11,940
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Apr-17/98.53 1,000,000 10,647
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Call) Apr-17/102.50 1,000,000 4,800
Total purchased options outstanding (cost $26,875) $27,387

SHORT-TERM INVESTMENTS (9.5%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 0.76%(AFF) Shares 794,048 $794,048
U.S. Treasury Bills 0.513%, 5/11/17 $5,000 4,995
U.S. Treasury Bills 0.468%, 3/23/17(SEGCCS) 173,000 172,958
Total short-term investments (cost $971,994) $972,001

TOTAL INVESTMENTS
Total investments (cost $19,387,153)(b) $19,437,516













WRITTEN OPTIONS OUTSTANDING at 2/28/17 (premiums $26,875) (Unaudited)


Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Apr-17/$99.08 $1,000,000 $7,319
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Apr-17/99.27 1,000,000 6,342
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Apr-17/99.81 1,000,000 3,984
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Apr-17/100.00 1,000,000 3,340
Federal National Mortgage Association 30 yr 3.50% TBA commitments (Put) Apr-17/102.50 1,000,000 6,800
Total $27,785












TBA SALE COMMITMENTS OUTSTANDING at 2/28/17 (proceeds receivable $3,046,992) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3.50%, 3/1/47 $2,000,000       3/13/17 $2,050,312
Federal National Mortgage Association, 3.00%, 3/1/47 1,000,000       3/13/17 993,594
Total $3,043,906















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)
$714,500 (E) $3,225      3/15/47 3 month USD-LIBOR-BBA 2.704% $21,104
3,377,400 (E) (5,644)     3/15/27 2.4885% 3 month USD-LIBOR-BBA (51,673)
1,429,900 (E) (1,588)     3/15/22 2.132% 3 month USD-LIBOR-BBA (10,138)
6,227,300 (E) (1,837)     3/15/19 1.6065% 3 month USD-LIBOR-BBA (3,213)
315,000 (4)     1/5/27 3 month USD-LIBOR-BBA 2.38% 2,226
271,000 (4)     1/5/27 3 month USD-LIBOR-BBA 2.3795% 1,903
104,000 (1)     1/6/27 3 month USD-LIBOR-BBA 2.31% 61
49,000 (1)     1/6/27 3 month USD-LIBOR-BBA 2.28% (106)
51,000 (1)     1/9/27 3 month USD-LIBOR-BBA 2.2301% (353)
283,000 (4)     1/10/27 3 month USD-LIBOR-BBA 2.2075% (2,552)
61,000 (1)     1/10/27 2.29333% 3 month USD-LIBOR-BBA 68
135,000 (2)     1/10/27 2.294% 3 month USD-LIBOR-BBA 143
38,800 (1)     1/17/27 3 month USD-LIBOR-BBA 2.19% (426)
38,800 (1)     1/17/27 3 month USD-LIBOR-BBA 2.197% (401)
121,000 (2)     1/17/27 2.30308% 3 month USD-LIBOR-BBA 71
64,000 (1)     1/20/27 3 month USD-LIBOR-BBA 2.233% (459)
139,000 (2)     1/23/27 2.3345% 3 month USD-LIBOR-BBA (273)
134,000 (2)     1/23/27 2.35299% 3 month USD-LIBOR-BBA (491)
46,500 (1)     1/23/27 2.3785% 3 month USD-LIBOR-BBA (279)
46,500 (1)     1/23/27 2.37025% 3 month USD-LIBOR-BBA (244)
119,000 (2)     1/24/27 2.3735% 3 month USD-LIBOR-BBA (655)
71,000 (1)     1/25/27 3 month USD-LIBOR-BBA 2.335% 137
77,000 (1)     1/25/27 3 month USD-LIBOR-BBA 2.3025% (81)
179,000 (2)     1/27/27 2.3956% 3 month USD-LIBOR-BBA (1,326)
124,000 (2)     1/27/27 2.4322% 3 month USD-LIBOR-BBA (1,334)
67,000 (1)     1/30/27 2.4455% 3 month USD-LIBOR-BBA (794)
54,000 (1)     2/1/27 3 month USD-LIBOR-BBA 2.394% 379
1,109,000 (4)     2/6/19 1.5095% 3 month USD-LIBOR-BBA 736
266,500 (4)     2/6/27 3 month USD-LIBOR-BBA 2.39% 1,703
237,000 (3)     2/6/27 3 month USD-LIBOR-BBA 2.3805% 1,309
160,000 (5)     2/7/47 3 month USD-LIBOR-BBA 2.649% 2,307
13,000 —      2/9/27 3 month USD-LIBOR-BBA 2.37422% 63
351,000 (5)     2/13/27 3 month USD-LIBOR-BBA 2.283% (1,311)
370,000 (5)     2/15/27 2.3595% 3 month USD-LIBOR-BBA (1,191)
136,000 (2)     2/17/27 2.43757% 3 month USD-LIBOR-BBA (1,396)
119,000 (2)     2/17/27 2.4515% 3 month USD-LIBOR-BBA (1,373)
207,000 (3)     2/21/27 3 month USD-LIBOR-BBA 2.3495% 407
73,000 (1)     2/23/27 2.4205% 3 month USD-LIBOR-BBA (613)
120,500 (2)     2/28/27 3 month USD-LIBOR-BBA 2.3005% (331)
120,500 (2)     2/28/27 3 month USD-LIBOR-BBA 2.29432% (399)
213,000 (7)     3/1/47 3 month USD-LIBOR-BBA 2.5915% 135
525,000 (E) (4)     3/2/22 1.996% 3 month USD-LIBOR-BBA 12
Total$(5,932)    $(48,648)
(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)
Barclays Bank PLC
$328,367 $—      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools $53
261,253 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 42
752,781 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (36)
Credit Suisse International
1,562,575 —      1/12/41 3.50% ( 1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 75
589,620 —      1/12/41 4.00% ( 1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (95)
150,119 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (24)
129,758 —      1/12/44 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (21)
Goldman Sachs International
163,818 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (26)
809,794 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools (39)
53,926 —      1/12/44 (3.00%) 1 month USD-LIBOR Synthetic TRS Index 3.00% 30 year Fannie Mae pools 104
JPMorgan Securities LLC
88,176 —      1/12/44 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (14)
217,934 —      1/12/44 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 35
Total$—     $54











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
  CMBX NA BBB- Index BBB-/P $34 $6,000 1/17/47 300 bp $(544)
Credit Suisse International
  CMBX NA BBB- Index BBB-/P (1,078) 16,000 1/17/47 (300 bp) 464
  CMBX NA BB Index — (10,385) 74,000 1/17/47 (500 bp) 3,530
  CMBX NA A Index A/P 3,349 91,000 1/17/47 200 bp (507)
  CMBX NA BB Index — (35) 2,000 5/11/63 (500 bp) 400
  CMBX NA BB Index — (10,805) 66,000 1/17/47 (500 bp) 1,606
  CMBX NA BB Index — (194) 20,000 1/17/47 (500 bp) 3,567
  CMBX NA BB Index — (1,328) 7,000 1/17/47 (500 bp) (9)
  CMBX NA BBB- Index BBB-/P 79 1,000 5/11/63 300 bp (50)
  CMBX NA BBB- Index BBB-/P 1,331 16,000 5/11/63 300 bp (736)
  CMBX NA BBB- Index BBB-/P 2,715 32,000 5/11/63 300 bp (1,418)
  CMBX NA BBB- Index BBB-/P 2,890 44,000 1/17/47 300 bp (1,350)
  CMBX NA BBB- Index BBB-/P 6,086 77,000 1/17/47 300 bp (1,334)
  CMBX NA BBB- Index BBB-/P 30,305 410,000 1/17/47 300 bp (9,205)
Goldman Sachs International
  CMBX NA BB Index — (3,069) 30,000 5/11/63 (500 bp) 3,466
  CMBX NA BB Index — (3,027) 20,000 1/17/47 (500 bp) 734
  CMBX NA BB Index — (5,114) 35,000 5/11/63 (500 bp) 2,511
  CMBX NA BB Index — (16,738) 99,000 1/17/47 (500 bp) 1,878
  CMBX NA BB Index — (1,218) 6,000 1/17/47 (500 bp) (90)
  CMBX NA BBB- Index BBB-/P 79 1,000 5/11/63 300 bp (50)
  CMBX NA BBB- Index BBB-/P 68 1,000 5/11/63 300 bp (61)
  CMBX NA BBB- Index BBB-/P 520 6,000 5/11/63 300 bp (255)
  CMBX NA BBB- Index BBB-/P 580 7,000 5/11/63 300 bp (324)
  CMBX NA BBB- Index BBB-/P 844 10,000 5/11/63 300 bp (448)
  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 4,408 47,000 5/11/63 300 bp (1,663)
  CMBX NA BBB- Index BBB-/P 5,717 63,000 5/11/63 300 bp (2,420)
  CMBX NA BBB- Index BBB-/P 5,788 77,000 5/11/63 300 bp (4,158)
  CMBX NA BBB- Index BBB-/P 29,572 344,000 5/11/63 300 bp (14,861)
  CMBX NA BBB- Index — (2,291) 34,000 1/17/47 (300 bp) 986
  CMBX NA BBB- Index — (1,086) 16,000 1/17/47 (300 bp) 455
  CMBX NA BBB- Index — (897) 13,000 1/17/47 (300 bp) 356
  CMBX NA BBB- Index BBB-/P 4,856 57,000 1/17/47 300 bp (637)
  CMBX NA BBB- Index BBB-/P 6,874 93,000 1/17/47 300 bp (2,088)
  CMBX NA BBB- Index BBB-/P 8,601 99,000 1/17/47 300 bp (939)
JPMorgan Securities LLC
  CMBX NA BB Index — (3,374) 24,000 5/11/63 (500 bp) 1,854
  CMBX NA BB Index — (2,659) 20,000 5/11/63 (500 bp) 1,698
  CMBX NA BB Index — (2,610) 18,000 5/11/63 (500 bp) 1,311
  CMBX NA BB Index — (2,301) 16,000 5/11/63 (500 bp) 1,184
  CMBX NA BB Index — (8,124) 52,000 1/17/47 (500 bp) 1,655
  CMBX NA BB Index — (5,433) 34,000 1/17/47 (500 bp) 961
  CMBX NA BB Index — (5,261) 32,000 1/17/47 (500 bp) 756
  CMBX NA BB Index — (1,367) 9,000 1/17/47 (500 bp) 325
  CMBX NA BBB- Index BBB-/P 69 1,000 5/11/63 300 bp (60)
  CMBX NA BBB- Index BBB-/P 164 2,000 5/11/63 300 bp (95)
  CMBX NA BBB- Index BBB-/P 370 6,000 5/11/63 300 bp (405)
  CMBX NA BBB- Index BBB-/P 596 7,000 5/11/63 300 bp (308)
  CMBX NA BBB- Index BBB-/P 1,364 12,000 5/11/63 300 bp (186)
  CMBX NA BBB- Index BBB-/P 768 12,000 5/11/63 300 bp (782)
  CMBX NA BBB- Index BBB-/P 639 12,000 5/11/63 300 bp (911)
  CMBX NA BBB- Index BBB-/P 611 12,000 5/11/63 300 bp (939)
  CMBX NA BBB- Index BBB-/P 1,109 13,000 5/11/63 300 bp (570)
  CMBX NA BBB- Index BBB-/P 618 14,000 5/11/63 300 bp (1,190)
  CMBX NA BBB- Index BBB-/P 1,570 16,000 5/11/63 300 bp (496)
  CMBX NA BBB- Index BBB-/P 1,494 27,000 5/11/63 300 bp (1,994)
  CMBX NA BBB- Index BBB-/P 3,907 72,000 5/11/63 300 bp (5,393)
  CMBX NA BBB- Index BBB-/P 6,744 86,000 5/11/63 300 bp (4,364)
  CMBX NA BBB- Index — (323) 6,000 1/17/47 (300 bp) 255
  CMBX NA BBB- Index BBB-/P 1,451 12,000 1/17/47 300 bp 294
  CMBX NA BBB- Index BBB-/P 1,225 15,000 1/17/47 300 bp (221)
Total$51,326$(32,172)
*   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 Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  










Key to holding's abbreviations
bp Basis Points
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
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 $10,228,570.
(b) The aggregate identified cost on a tax basis is $19,387,153, resulting in gross unrealized appreciation and depreciation of $530,559 and $480,196, respectively, or net unrealized appreciation of $50,363.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control 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 Short Term Investment Fund* $1,466,890 $4,422,398 $5,095,240 $5,797 $794,048
Totals $1,466,890 $4,422,398 $5,095,240 $5,797 $794,048
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.

(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.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
At the close of the reporting period, the fund maintained liquid assets totaling $7,422,997 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.

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
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.
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, 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.
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, for hedging term structure risk and for yield curve positioning.
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 and for gaining exposure to specific sectors.
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 market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $84,995 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these 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
Asset-backed securities $— $146,000 $—
Mortgage-backed securities — 9,086,308 —
Purchased options outstanding — 27,387 —
U.S. government and agency mortgage obligations — 9,205,820 —
Short-term investments 794,048 177,953 —
Totals by level $794,048 $18,643,468 $—



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


Written options outstanding $— $(27,785) $—
TBA sale commitments — (3,043,906) —
Interest rate swap contracts — (42,716) —
Total return swap contracts — 54 —
Credit default contracts — (83,498) —
Totals by level $— $(3,197,851) $—


During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.

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 $118,570 $202,068
Interest rate contracts 57,281 100,341
Total $175,851 $302,409


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 TBA commitment option contracts (contract amount)$2,600,000
Written TBA commitment option contracts (contract amount)$4,200,000
Centrally cleared interest rate swap contracts (notional)$16,400,000
OTC total return swap contracts (notional)$5,400,000
OTC credit default contracts (notional)$1,900,000
   
  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.
   
      Barclays Bank PLC Barclays Capital Inc. (clearing broker) Credit Suisse International Goldman Sachs International JPMorgan Chase Bank N.A. JPMorgan Securities LLC   Total
                     
  Assets:                  
  Centrally cleared interest rate swap contracts§   $—  $7,408  $—  $—  $—  $—    $7,408 
  OTC Total return swap contracts*#   95  —  75  104  —  35    309 
  OTC Credit default contracts*#   —  —  33,383  43,736  —  41,451    118,570 
  Purchased options#   —  —  —  —  27,387  —    27,387 
                     
  Total Assets   $95  $7,408  $33,458  $43,840  $27,387  $41,486    $153,674 
                     
  Liabilities:                  
  Centrally cleared interest rate swap contracts§   —  5,770  —    —  —    5,770 
  OTC Total return swap contracts*#   36  —  140  65  —  14    255 
  OTC Credit default contracts*#   578  —  61,355  99,816  —  40,319    202,068 
  Written options#   —  —  —  —  27,785  —    27,785 
                     
  Total Liabilities   $614  $5,770  $61,495  $99,881  $27,785  $40,333    $235,878 
                     
  Total Financial and Derivative Net Assets   $(519) $1,638  $(28,037) $(56,041) $(398) $1,153    $(82,204)
  Total collateral received (pledged)##†   $—  $—  $—  $—  $—  $—     
  Net amount   $(519) $1,638  $(28,037) $(56,041) $(398) $1,153     
                     
* 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_pz4certifications.htm CERTIFICATIONS b_pz4certifications.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