| UNITED STATES SECURITIES AND EXCHANGE COMMISSION | ||
| Washington, D.C. 20549 | ||
FORM N-CSR | ||
| CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES | ||
| Investment Company Act file number: | (811-07513) |
| Exact name of registrant as specified in charter: | Putnam Funds Trust |
| Address of principal executive offices: | One Post Office Square, Boston, Massachusetts 02109 |
| Name and address of agent for service: | Robert T. Burns, Vice President One Post Office Square Boston, Massachusetts 02109 |
| Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
| Registrant's telephone number, including area code: | (617) 292-1000 |
| Date of fiscal year end: | July 31, 2017 |
| Date of reporting period : | August 1, 2016 — July 31, 2017 |
Item 1. Report to Stockholders: |
| The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: | |||
Putnam
Short Duration
Income Fund
Annual report
7 | 31 | 17
Consider these risks before investing: Putnam Short Duration Income Fund is not a money market fund. The effects of inflation may erode the value of your investment over time. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are also subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. We may have to invest the proceeds from prepaid investments, including mortgage-backed investments, in other investments with less attractive terms and yields. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions, changing market perceptions (including perceptions about the risk of default and expectations about monetary policy or interest rates), changes in government intervention in the financial markets, and factors related to a specific issuer or industry. These factors may also lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. Credit risk is generally greater for debt not backed by the full faith and credit of the U.S. government. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. You can lose money by investing in the fund.
Message from the Trustees
September 11, 2017
Dear Fellow Shareholder:
A fair amount of investor optimism has helped to fuel financial markets in 2017, and global stock and bond markets have generally fared well. At the same time, however, a number of macroeconomic and geopolitical risks around the world could disrupt the positive momentum.
While calm markets are generally welcome, we believe investors should continue to remember time-tested strategies: maintain a well-diversified portfolio, keep a long-term view, and speak regularly with your financial advisor. In the following pages, you will find an overview of your fund’s performance for the reporting period as well as an outlook for the coming months.
We would like to take this opportunity to announce some changes to your fund’s Board of Trustees. First, we are pleased to welcome the arrival of Catharine Bond Hill and Manoj P. Singh, who bring extensive professional and directorship experience to their new roles as Putnam Trustees. In addition, we would like to extend our appreciation and best wishes to Robert J. Darretta, John A. Hill, and W. Thomas Stephens, who retired from the Board, effective June 30, 2017. We are grateful for their years of work on behalf of you and your fellow shareholders, and we wish them well in their future endeavors.
Thank you for investing with Putnam.
Putnam Short Duration Income Fund is designed for investors who seek a conservative risk profile and low volatility, along with income potential. Managed by a team of industry veterans, the fund offers a level of flexibility not necessarily available in other conservative investment options. Because the fund is not a money market fund, the managers can invest in a broader range of sectors and securities that may offer higher yields without taking on significantly more risk.
| 2 Short Duration Income Fund |
A broader range of income opportunities
The fund can invest in a wider range of securities than is available to money market funds.
Investors should be aware of the differences between Putnam Short Duration Income Fund and money market funds before investing: Both seek to preserve capital and maintain liquidity. Money market funds generally focus on stability of principal, while Putnam Short Duration Income Fund seeks a balance of stability and income, which may result in increased volatility. Money market funds seek to maintain a net asset value (NAV) of $1.00 per share; the NAV of Putnam Short Duration Income Fund will fluctuate to reflect the market value of the portfolio. The fund’s fees and expenses differ from money market funds; see the prospectus for details. The fund can invest in more bond sectors than money market funds and, as a result, will be exposed to a larger number of risks. Neither money market funds nor this fund is insured or guaranteed by the FDIC or any other government agency, and investors can lose money in each.
| Short Duration Income Fund 3 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. See below and pages 10–12 for additional performance information. The fund had expense limitations during the period, without which returns would have been lower.
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 7/31/17. See above and pages 10–12 for additional fund performance information. Index descriptions can be found on pages 14–15.
| 4 Short Duration Income Fund |
Mike is Co-Head of Fixed Income at Putnam. He has a B.A. from Cornell University. Mike joined Putnam in 1997 and has been in the investment industry since 1989.
Joanne has an M.B.A. from Northeastern University D’Amore-McKim School of Business and a B.S. from Westfield State College. She joined Putnam in 1995 and has been in the investment industry since 1992.
In addition to Mike and Joanne, your portfolio is managed by Emily E. Shanks. Emily has a B.A. in Mathematics from Williams College. She joined Putnam in 2012 and has been in the investment industry since 1999.
How was the environment for the short-term bond market during the 12-month reporting period ended July 31, 2017?
JOANNE The period proved to be relatively eventful, with a number of factors contributing to a steady overall increase in short-term interest rates. These included completed changes to U.S. money market rules, the November presidential election in the United States, and three interest-rate increases by the Federal Reserve. Rates across the yield curve were stable during the first three months of the period, but the mostly unexpected election of Donald Trump moved investors to anticipate the potential effects of the new administration’s pro-growth policies, expected to result in increased borrowing and stronger inflation. This stimulated a move to riskier growth assets and a selloff of investment-grade bonds well in advance of the expected Fed rate increase that occurred in December 2016. [Rates increase as bond prices fall.] Before the election, short-term rates had already been under some pressure as Securities and Exchange Commission money market rule changes caused prime money market funds to hold higher levels of cash to meet redemptions — decreasing demand for short-term debt issued by companies
| Short Duration Income Fund 5 |
Allocations are shown as a percentage of the fund’s net assets as of 7/31/17. Cash and net other assets, if any, represent the market value weights of cash, derivatives, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.
The cash and net other assets category may show a negative market value percentage as a result of the timing of trade-date and settlement-date transactions.
Credit qualities are shown as a percentage of the fund’s net assets as of 7/31/17. A bond rated BBB or higher (A-3/SP-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings may vary over time.
Cash and net other assets, if any, represent the market value weights of cash and derivatives and may show a negative market value as a result of the timing of trade versus settlement date transactions. The fund itself has not been rated by an independent rating agency.
| 6 Short Duration Income Fund |
and banks. The new rules caused over $1 trillion to shift from prime money market funds to less-restrictive government money market funds.
While the December 2016 rate increase by the Fed was only the second since 2006, it was soon followed with similar 25 basis point hikes in March and June of 2017. The global economy showed consistent strength throughout the period, and the Fed continued to lead central banks in other developed economies in its willingness to raise rates and also discuss reducing its holdings in bonds purchased to support lower rates during the period of quantitative easing. The London Interbank Offered Rate [LIBOR] also rose steadily over the period, with the three-month Libor rate breaking 1%.
During the second half of the period, longer-term rates, including the benchmark U.S. 10-year note, eased off their highs as short-term rates continued to increase, causing a general flattening of the yield curve. Volatility in short-term Treasuries was caused in part by the receipt of annual tax collections, which were higher this year due to a better economic backdrop. The higher level of tax payments reduced Treasury bill issuance a bit more than in the past. In July 2017, we started to see Treasury bill yields rise, and we believe this was related to the upcoming U.S. debt ceiling debate. Typically, yields have risen ahead of this autumn debate; however, this year yields rose more quickly, which may be due to the increased ownership of Treasury bills in government money market funds that are more sensitive to potential price moves and volatility.
How did the fund perform against this backdrop?
MIKE The fund returned 1.17% over the 12-month period, easily outperforming its benchmark. The more dramatic effect during the period on longer-term rates was evident in the -0.51% return of the Bloomberg Barclays U.S. Aggregate Bond Index, which as a whole is reflective of longer-term bond prices and yields. The fund also met its goal of preserving capital as reflected by maintaining a stable net asset value [NAV], which was consistently at or above $10.04 for class A shares, ending the period at $10.06.
What strategies or factors contributed to the fund’s performance during the period?
MIKE For much of the period, higher-risk assets performed well, causing credit spread tightening in most sectors as the difference in yield between higher- and lower-quality bonds narrowed. On a sector basis, the primary contributors to relative returns were the portfolio’s allocations to the financials and auto sectors. The fund’s positioning in banking issues benefited from investors’ expectations that the new Trump administration would move to roll back some of the regulations spurred by the financial crisis. Auto sector debt performed well earlier in the period, and we reduced that exposure. This was prior to auto sales showing signs of weakening.
With money market rules diminishing demand for credit products, credit spreads widened early in the reporting period, and we were able to buy what we believe were attractively priced commercial paper maturing in three months or less. This strategy aided performance as credit spreads narrowed later in the period. The fund also benefited from our preference for floating-rate corporate notes, which composed a little less than half of the fund’s allocation. The continued increases in LIBOR increased the yields of floating-rate instruments, particularly once three-month LIBOR moved above 1% early in 2017.
| Short Duration Income Fund 7 |
Were there any strategies that detracted from returns?
JOANNE On a relative basis, the primary detractor for performance was not owning U.S. Treasury bills. During the period, we preferred other short-dated credit securities that could benefit from spread tightening, and the fund’s credit-oriented holdings more than made up for lack of exposure to Treasuries, which are the basis of the fund’s benchmark.
Overall, detractors were more than offset by returns generated in commercial paper and longer-dated banking holdings within financials. Because the maturities of the fund holdings are so short, averaging less than a year, changes to the values of specific securities held in the fund have tended to be minimal.
How did you manage interest-rate risk in the fund during the period?
MIKE Entering the period, we were already limiting exposure to the longer end of short-duration securities in anticipation of money market activity, and this approach continued to benefit the fund throughout the period as short-end rates increased. The fund maintained an effective average maturity of less than one year and a very short effective duration, limiting exposure to interest-rate risk.
Did the fund’s allocations change during the reporting period as you adjusted the portfolio for a higher-rate environment?
JOANNE During the period, we decreased overall exposure to investment-grade corporate bonds and certificates of deposit in favor of commercial paper. Fixed-rate corporate bonds, even when purchased close to maturity, are generally more sensitive to rising rates, and during the period, as short-term rates rose and long-term rates fluctuated, commercial paper provided better opportunities, in our view.
What are your expectations for fixed-income markets in the coming months?
MIKE While Fed rate hikes during the reporting period were in line with our expectations, more recently, inflation, a key driver of Fed rate policy, has weakened, making the future pace of monetary tightening less certain, in our view. We believe that another rate increase this year is
This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.
| 8 Short Duration Income Fund |
not unlikely, but having indicated the intention of beginning to reduce its balance of bond holdings, the Fed may also use that option along with or in place of directly raising rates. In addition, upcoming changes to membership of the Federal Open Market Committee [FOMC] may influence the direction of rate policy.
In general, we are fairly positive to slightly neutral on prospects for the U.S. economy. Although we are late in the current growth cycle, this is a phase that can continue for some time, in our view. However, we believe that there are several potential headwinds, including geopolitical concerns and a slow start to the pro-growth policy promised by the Trump administration. In the meantime, a decent amount of liquidity continues to support the short-duration markets. We expect this dynamic may remain in place for the remainder of the year.
JOANNE We expect to continue to focus on opportunities in commercial paper. As short-term Treasury rates have risen, spreads have tightened across the short end of the curve. With some uncertainty over potential future Fed hikes, our focus is likely to remain on shorter purchases, generally inside of one year, of both commercial paper and short corporate bonds. Within sectors, there may be more opportunities outside of financials, which have had a strong run recently.
Thank you, Joanne and Mike, for your time today.
The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.
Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.
| Short Duration Income Fund 9 |
Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended July 31, 2017, the end of its most recent fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class R, R6, and Y shares are not available to all investors. See the Terms and Definitions section in this report for definitions of the share classes offered by your fund.
Fund performance Total return for periods ended 7/31/17
| Annual | Annual | Annual | |||||
| Life of fund | average | 5 years | average | 3 years | average | 1 year | |
|
| |||||||
| Class A (10/17/11) | 4.21% | 0.71% | 3.68% | 0.72% | 2.14% | 0.71% | 1.17% |
|
| |||||||
| Class B (10/17/11) | 1.75 | 0.30 | 1.56 | 0.31 | 0.85 | 0.28 | 0.76 |
|
| |||||||
| Class C (10/17/11) | 1.74 | 0.30 | 1.56 | 0.31 | 0.85 | 0.28 | 0.76 |
|
| |||||||
| Class M (10/17/11) | 3.81 | 0.65 | 3.32 | 0.65 | 1.99 | 0.66 | 1.12 |
|
| |||||||
| Class R (10/17/11) | 1.84 | 0.32 | 1.66 | 0.33 | 0.95 | 0.31 | 0.86 |
|
| |||||||
| Class R6 (7/2/12) | 4.92 | 0.83 | 4.21 | 0.83 | 2.46 | 0.81 | 1.27 |
|
| |||||||
| Class Y (10/17/11) | 4.90 | 0.83 | 4.19 | 0.83 | 2.44 | 0.81 | 1.27 |
Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. None of these share classes generally carry an initial sales charge or a contingent deferred sales charge. Performance for class R6 shares prior to its inception is derived from the historical performance of class Y shares.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
Comparative index returns For periods ended 7/31/17
| Annual | Annual | Annual | |||||
| Life of fund | average | 5 years | average | 3 years | average | 1 year | |
|
| |||||||
| BofA Merrill Lynch | |||||||
| U.S. Treasury Bill | 1.12% | 0.19% | 1.05% | 0.21% | 0.85% | 0.28% | 0.52% |
| Index | |||||||
Index results should be compared with fund performance at net asset value.
| 10 Short Duration Income Fund |
Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B, C, M, R, R6, and Y shares would have been valued at $10,175, $10,174, $10,381, $10,184, $10,492, and $10,490, respectively.
Fund price and distribution information For the 12-month period ended 7/31/17
| Distributions | Class A | Class B | Class C | Class M | Class R | ClassR6 | Class Y |
|
| |||||||
| Number | 12 | 12 | 12 | 12 | 12 | 12 | 12 |
|
| |||||||
| Income | $0.096433 | $0.056419 | $0.056417 | $0.091424 | $0.056414 | $0.107424 | $0.106442 |
|
| |||||||
| Capital gains | — | — | — | — | — | — | — |
|
| |||||||
| Total | $0.096433 | $0.056419 | $0.056417 | $0.091424 | $0.056414 | $0.107424 | $0.106442 |
|
| |||||||
| Share value at net asset value | |||||||
|
| |||||||
| 7/31/16 | $10.04 | $10.02 | $10.02 | $10.03 | $10.02 | $10.05 | $10.05 |
|
| |||||||
| 7/31/17 | 10.06 | 10.04 | 10.04 | 10.05 | 10.05 | 10.07 | 10.07 |
|
| |||||||
| Current rate (end of period) | |||||||
|
| |||||||
| Current dividend rate1 | 1.22% | 0.82% | 0.82% | 1.17% | 0.82% | 1.33% | 1.32% |
|
| |||||||
| Current 30-day SEC yield | |||||||
| (with expense limitation)2,3 | 1.13 | 0.74 | 0.74 | 1.08 | 0.73 | 1.24 | 1.23 |
|
| |||||||
| Current 30-day SEC yield | |||||||
| (without expense limitation)3 | 1.00 | 0.61 | 0.61 | 0.95 | 0.60 | 1.11 | 1.10 |
The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.
1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.
2 For the period, the fund had an expense limitation, without which the yield would have been lower.
3 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.
| Short Duration Income Fund 11 |
Fund performance as of most recent calendar quarter Total return for periods ended 6/30/17
| Annual | Annual | Annual | |||||
| Life of fund | average | 5 years | average | 3 years | average | 1 year | |
|
| |||||||
| Class A (10/17/11) | 4.00% | 0.69% | 3.62% | 0.71% | 1.97% | 0.65% | 1.14% |
|
| |||||||
| Class B (10/17/11) | 1.68 | 0.29 | 1.60 | 0.32 | 0.78 | 0.26 | 0.73 |
|
| |||||||
| Class C (10/17/11) | 1.68 | 0.29 | 1.60 | 0.32 | 0.78 | 0.26 | 0.73 |
|
| |||||||
| Class M (10/17/11) | 3.71 | 0.64 | 3.26 | 0.64 | 1.92 | 0.64 | 1.19 |
|
| |||||||
| Class R (10/17/11) | 1.68 | 0.29 | 1.60 | 0.32 | 0.78 | 0.26 | 0.73 |
|
| |||||||
| Class R6 (7/2/12) | 4.81 | 0.83 | 4.25 | 0.84 | 2.39 | 0.79 | 1.24 |
|
| |||||||
| Class Y (10/17/11) | 4.69 | 0.81 | 4.13 | 0.81 | 2.27 | 0.75 | 1.24 |
See the discussion following the fund performance table on page 10 for information about the calculation of fund performance.
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
|
| |||||||
| Net expenses for the fiscal year | |||||||
| ended 7/31/16* | 0.40% | 0.80% | 0.80% | 0.45% | 0.80% | 0.29% | 0.30% |
|
| |||||||
| Total annual operating expenses for the | |||||||
| fiscal year ended 7/31/16 | 0.55% | 0.95% | 0.95% | 0.60% | 0.95% | 0.44% | 0.45% |
|
| |||||||
| Annualized expense ratio for the | |||||||
| six-month period ended 7/31/17† | 0.40% | 0.80% | 0.80% | 0.45% | 0.80% | 0.29% | 0.30% |
Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Expenses are shown as a percentage of average net assets.
* Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 11/30/17.
† Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.
| 12 Short Duration Income Fund |
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 2/1/17 to 7/31/17. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
|
| |||||||
| Expenses paid per $1,000*† | $1.99 | $3.98 | $3.98 | $2.24 | $3.98 | $1.44 | $1.49 |
|
| |||||||
| Ending value (after expenses) | $1,006.40 | $1,004.40 | $1,004.40 | $1,006.20 | $1,004.40 | $1,006.90 | $1,006.90 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 7/31/17. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 7/31/17, use the following calculation method. To find the value of your investment on 2/1/17, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
| Class A | Class B | Class C | Class M | Class R | Class R6 | Class Y | |
|
| |||||||
| Expenses paid per $1,000*† | $2.01 | $4.01 | $4.01 | $2.26 | $4.01 | $1.45 | $1.51 |
|
| |||||||
| Ending value (after expenses) | $1,022.81 | $1,020.83 | $1,020.83 | $1,022.56 | $1,020.83 | $1,023.36 | $1,023.31 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 7/31/17. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.
| Short Duration Income Fund 13 |
Terms and definitions
Important terms
Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.
Net asset value (NAV) is the price, or value, of one share of a mutual fund, without a sales charge. Net asset values fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares are not subject to an initial sales charge or a CDSC, except that a CDSC may apply to certain redemptions of class A shares obtained by exchanging shares from another Putnam fund that were originally purchased without an initial sales charge if the shares are redeemed within nine months of the original purchase. Exchange of your fund’s class A shares into another Putnam fund may involve an initial sales charge.
Class B shares are closed to new investments and are only available by exchange from another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.
Class C shares are not subject to an initial sales charge or a CDSC, except that a CDSC of 1.00% may apply to class C shares obtained in an exchange for class C shares of another Putnam fund if exchanged within one year of the original purchase date.
Class M shares are not subject to an initial sales charge or a CDSC. Exchange of your fund’s class M shares into another Putnam fund may involve an initial sales charge.
Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.
Class R6 shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to employer-sponsored retirement plans.
Class Y shares are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.
Fixed-income terms
Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.
Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.
Comparative indexes
Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.
BofA Merrill Lynch U.S. Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.
S&P 500 Index is an unmanaged index of common stock performance.
| 14 Short Duration Income Fund |
Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.
Merrill Lynch, Pierce, Fenner & Smith Incorporated (“BofAML”), used with permission. BofAML permits use of the BofAML indices and related data on an “as is” basis, makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the BofAML indices or any data included in, related to, or derived therefrom, assumes no liability in connection with the use of the foregoing, and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.
Other information for shareholders
Proxy voting
Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2017, are available in the Individual Investors section of putnam.com, and on the Securities and Exchange Commission (SEC) website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Shareholders may obtain the fund’s Form N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of July 31, 2017, Putnam employees had approximately $501,000,000 and the Trustees had approximately $88,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
| Short Duration Income Fund 15 |
Important notice regarding Putnam’s privacy policy
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.
| 16 Short Duration Income Fund |
Trustee approval of management contract
General conclusions
The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).
At the outset of the review process, members of the Board’s independent staff and independent legal counsel discussed with representatives of Putnam Management the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review, identifying possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2017, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.
In May 2017, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2017 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2017. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not attempted to evaluate PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)
The Independent Trustees’ approval was based on the following conclusions:
• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, the costs incurred by Putnam Management in providing services to the fund, and the continued application of certain reductions and waivers noted below; and
• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with some minor exceptions, the funds’ current fee arrangements under the management contracts were first implemented at
| Short Duration Income Fund 17 |
the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders.
Management fee schedules and total expenses
The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (In a few instances, funds have implemented so-called “all-in” management fees covering substantially all routine fund operating costs.)
In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee structure for your fund would be appropriate at this time.
Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee rates as assets under management in the Putnam family of funds increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders and Putnam Management.
As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to support the effort to have fund expenses meet competitive standards, the Trustees and Putnam Management have implemented certain expense limitations that were in effect during your fund’s fiscal year ending in 2016. These expense limitations were: (i) a contractual expense limitation applicable to specified retail open-end funds, including your fund, of 32 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified open-end funds, including your fund, of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds, including your fund, had sufficiently low expenses that these expense limitations were not operative during their fiscal years ending in 2016. Putnam Management has agreed to maintain the 32 basis points expense limitation (reduced to 25 basis points effective September 1, 2016) until at least August 31, 2018 and to maintain the 20 basis points expense limitation until at least November 30, 2018. In addition, effective through at least November 30, 2018, Putnam Management will waive fees and/or reimburse expenses of your fund to the extent that expenses of the fund (excluding payments under the fund’s distribution plans, investor servicing fees, brokerage, interest, taxes, investment-related expenses, extraordinary expenses, and acquired fund fees and expenses) would exceed an annual rate of 0.24% of its average net assets. Putnam Management’s support for these expense limitation arrangements was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the second quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the first quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2016. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2016 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.
In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of
| 18 Short Duration Income Fund |
Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the Putnam funds at that time.
The information examined by the Trustees in connection with their annual contract review for the Putnam funds included information regarding fees charged by Putnam Management and its affiliates to institutional clients, including defined benefit pension and profit-sharing plans, charities, college endowments, foundations, sub-advised third-party mutual funds, state, local and non-U.S. government entities, and corporations. This information included, in cases where an institutional product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these different types of clients as compared to the services provided to the Putnam Funds. The Trustees observed that the differences in fee rates between these clients and the Putnam funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officers and other senior members of Putnam Management’s Investment Division throughout the year. In addition, in response to a request from the Independent Trustees, Putnam Management provided the Trustees with in-depth presentations regarding each of the equity and fixed income investment teams, including the operation of the teams and their investment approaches. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.
The Trustees considered that 2016 was a challenging year for the performance of the Putnam funds, with generally disappointing results for the international and global equity funds and taxable fixed income funds, mixed results for small-cap equity, Spectrum, global asset allocation, equity research and tax exempt fixed income funds, but generally strong results for U.S. equity funds. The Trustees noted, however, that they were encouraged by the positive performance trend since mid-year 2016 across most Putnam Funds. In particular, from May 1, 2016 through April 30, 2017, 51% of Putnam Fund assets were in the top quartile and 87% were above the median of the Putnam Funds’ competitive industry rankings. They noted that the longer-term performance of the Putnam funds generally continued to be strong, exemplified by the fact that the Putnam funds were ranked by the Barron’s/Lipper Fund Families survey as the 5th-best performing mutual fund complex out of 54 complexes for the five-year period ended December 31, 2016. In addition, while the survey ranked the Putnam Funds 52nd out of 61 mutual fund complexes for the one-year period ended 2016, the Putnam Funds have ranked 1st or 2nd in the survey for the one-year period three times since 2009 (most recently in 2013). They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2016 and considered information
| Short Duration Income Fund 19 |
provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds, including the effectiveness of any efforts Putnam Management has undertaken to address underperformance and whether additional actions to address areas of underperformance are warranted.
For purposes of the Trustees’ evaluation of the Putnam Funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and, in most cases, comparisons of those returns with the returns of selected investment benchmarks. In the case of your fund, the Trustees considered information about the fund’s total return, and your fund’s performance relative to its benchmark, for the one-year, three-year and five-year periods ended December 31, 2016. Over each of those periods, your fund’s class A share net return was positive and exceeded the return of its benchmark. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)
The Trustees also considered Putnam Management’s continued efforts to support fund performance through initiatives including structuring compensation for portfolio managers and research analysts to enhance accountability for fund performance, emphasizing accountability in the portfolio management process, and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management continued to strengthen its fundamental research capabilities by adding new investment personnel.
Brokerage and soft-dollar allocations; investor servicing
The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft dollars continues to be used to pay fund expenses. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee, including any developments with respect to the European Union’s updated Markets in Financial Instruments Directive and its potential impact on PIL’s use of client commissions to obtain investment research. The Trustees also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services. Furthermore, the Trustees believed that the services provided were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.
| 20 Short Duration Income Fund |
Financial statements
These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type/and industry sector, country, or state to show areas of concentration and/diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal year.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were/earned.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
| Short Duration Income Fund 21 |
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
Putnam Funds Trust:
We have audited the accompanying statement of assets and liabilities of Putnam Short Duration Income Fund (the fund), a series of Putnam Funds Trust, including the fund’s portfolio, as of July 31, 2017, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2017, by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Putnam Short Duration Income Fund as of July 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
September 11, 2017
| 22 Short Duration Income Fund |
The fund’s portfolio 7/31/17
| Interest | Maturity | Principal | ||
| CORPORATE BONDS AND NOTES (48.8%)* | rate (%) | date | amount | Value |
|
| ||||
| Banking (29.5%) | ||||
|
| ||||
| ABN AMRO Bank NV 144A sr. unsec. FRN (Netherlands) | 1.944 | 1/18/19 | $60,050,000 | $60,347,067 |
|
| ||||
| Australia & New Zealand Banking Group, Ltd. 144A sr. | ||||
| unsec. FRN (Australia) | 1.949 | 9/23/19 | 28,940,000 | 29,126,605 |
|
| ||||
| Australia & New Zealand Banking Group, Ltd. 144A sr. | ||||
| unsec. unsub. FRN (Australia) | 1.930 | 11/16/18 | 11,770,000 | 11,856,698 |
|
| ||||
| Australia & New Zealand Banking Group, Ltd. 144A | ||||
| unsec. FRN (Australia) | 1.678 | 8/19/20 | 18,350,000 | 18,370,754 |
|
| ||||
| Australia & New Zealand Banking Group, Ltd./New York, | ||||
| NY sr. unsec. unsub. FRN | 1.742 | 5/15/18 | 9,000,000 | 9,035,262 |
|
| ||||
| Bank of America Corp. sr. unsec. notes | 5.750 | 12/1/17 | 11,050,000 | 11,202,192 |
|
| ||||
| Bank of America Corp. sr. unsec. notes Ser. GMTN | 6.400 | 8/28/17 | 4,500,000 | 4,515,327 |
|
| ||||
| Bank of America Corp. sr. unsec. unsub. FRN | 2.344 | 1/15/19 | 20,684,000 | 20,918,805 |
|
| ||||
| Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN | 2.169 | 4/1/19 | 18,751,000 | 18,936,222 |
|
| ||||
| Bank of America Corp. sr. unsec. unsub. notes | 2.000 | 1/11/18 | 9,290,000 | 9,308,116 |
|
| ||||
| Bank of Montreal sr. unsec. unsub. FRN | ||||
| Ser. MTN (Canada) | 1.954 | 7/18/19 | 5,000,000 | 5,040,075 |
|
| ||||
| Bank of Montreal sr. unsec. unsub. FRN | ||||
| Ser. MTN (Canada) | 1.828 | 12/12/19 | 11,650,000 | 11,716,149 |
|
| ||||
| Bank of Montreal sr. unsec. unsub. FRN | ||||
| Ser. MTN (Canada) | 1.686 | 6/15/20 | 24,600,000 | 24,635,055 |
|
| ||||
| Bank of New York Mellon Corp. (The) sr. unsec. | ||||
| FRN Ser. MTN | 1.730 | 8/1/18 | 645,000 | 648,442 |
|
| ||||
| Bank of New York Mellon Corp. (The) sr. | ||||
| unsec. unsub. FRN | 1.552 | 5/22/18 | 7,715,000 | 7,738,446 |
|
| ||||
| Bank of New York Mellon Corp. (The) sr. unsec. | ||||
| unsub. FRN Ser. 1 | 1.663 | 3/6/18 | 4,062,000 | 4,071,075 |
|
| ||||
| Bank of Nova Scotia (The) sr. unsec. unsub. | ||||
| FRN (Canada) | 2.134 | 1/15/19 | 5,000,000 | 5,036,095 |
|
| ||||
| Bank of Nova Scotia (The) sr. unsec. unsub. | ||||
| FRN (Canada) | 1.902 | 6/14/19 | 10,000,000 | 10,066,010 |
|
| ||||
| Bank of Nova Scotia (The) sr. unsec. unsub. | ||||
| FRN (Canada) | 1.838 | 12/5/19 | 10,000,000 | 10,092,130 |
|
| ||||
| Bank of Nova Scotia (The) sr. unsec. unsub. FRN | ||||
| Ser. BKNT (Canada) | 1.694 | 7/14/20 | 14,000,000 | 14,003,836 |
|
| ||||
| Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. | ||||
| unsub. FRN (Japan) | 1.768 | 3/5/18 | 5,000,000 | 5,005,765 |
|
| ||||
| Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. | ||||
| unsub. FRN (Japan) | 1.529 | 9/8/17 | 5,000,000 | 5,000,575 |
|
| ||||
| Banque Federative du Credit Mutuel SA 144A sr. unsec. | ||||
| unsub. FRN (France) | 1.797 | 7/20/20 | 48,800,000 | 48,870,760 |
|
| ||||
| Barclays Bank PLC 144A unsec. sub. notes | ||||
| (United Kingdom) | 6.050 | 12/4/17 | 33,596,000 | 34,073,668 |
|
| ||||
| Barclays PLC sr. unsec. unsub. notes (United Kingdom) | 2.000 | 3/16/18 | 19,900,000 | 19,919,104 |
|
| ||||
| BB&T Corp. sr. unsec. unsub. FRN Ser. MTN | 2.019 | 1/15/20 | 11,657,000 | 11,762,286 |
|
| ||||
| BB&T Corp. sr. unsec. unsub. FRN Ser. MTN | 1.830 | 2/1/19 | 10,813,000 | 10,892,822 |
|
| ||||
| BB&T Corp. sr. unsec. unsub. FRN Ser. MTN | 1.816 | 6/15/20 | 13,945,000 | 14,037,483 |
|
| ||||
| Branch Banking & Trust Co. sr. unsec. FRN | 1.754 | 1/15/20 | 10,000,000 | 10,032,190 |
|
| ||||
| Branch Banking & Trust Co. sr. unsec. unsub. | ||||
| FRN Ser. MTN | 1.700 | 5/1/19 | 16,250,000 | 16,315,211 |
|
| ||||
| Short Duration Income Fund 23 |
| Interest | Maturity | Principal | ||
| CORPORATE BONDS AND NOTES (48.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Banking cont. | ||||
|
| ||||
| Capital One Financial Corp. sr. unsec. unsub. notes | 6.750 | 9/15/17 | $7,480,000 | $7,524,184 |
|
| ||||
| Capital One NA/Mclean VA sr. unsec. FRN | 2.329 | 8/17/18 | 10,265,000 | 10,345,036 |
|
| ||||
| Capital One NA/Mclean VA sr. unsec. FRN | 2.001 | 9/13/19 | 20,600,000 | 20,677,971 |
|
| ||||
| Capital One, NA sr. unsec. FRN Ser. BKNT | 1.851 | 2/5/18 | 17,550,000 | 17,592,173 |
|
| ||||
| Citigroup, Inc. sr. unsec. FRN | 2.624 | 10/26/20 | 13,445,000 | 13,735,143 |
|
| ||||
| Citigroup, Inc. sr. unsec. FRN | 2.150 | 6/7/19 | 27,057,000 | 27,302,813 |
|
| ||||
| Citigroup, Inc. sr. unsec. FRN | 2.094 | 1/10/20 | 15,000,000 | 15,122,460 |
|
| ||||
| Citigroup, Inc. sr. unsec. unsub. FRN | 2.191 | 7/30/18 | 8,025,000 | 8,075,277 |
|
| ||||
| Citigroup, Inc. sr. unsec. unsub. notes | 1.550 | 8/14/17 | 5,260,000 | 5,260,310 |
|
| ||||
| Citizens Bank NA/Providence RI sr. unsec. FRN | 1.750 | 3/2/20 | 26,400,000 | 26,403,643 |
|
| ||||
| Citizens Bank NA/Providence RI sr. unsec. | ||||
| FRN Ser. BKNT | 1.768 | 5/26/20 | 34,951,000 | 34,967,497 |
|
| ||||
| Citizens Bank NA/Providence RI sr. unsec. | ||||
| notes Ser. MTN | 1.600 | 12/4/17 | 3,800,000 | 3,798,336 |
|
| ||||
| Commonwealth Bank of Australia 144A sr. unsec. | ||||
| FRN (Australia) | 1.819 | 11/7/19 | 16,027,000 | 16,131,159 |
|
| ||||
| Commonwealth Bank of Australia 144A sr. unsec. | ||||
| FRN (Australia) | 1.686 | 3/10/20 | 14,900,000 | 14,952,925 |
|
| ||||
| Commonwealth Bank of Australia 144A sr. unsec. | ||||
| FRN (Australia) | 1.489 | 9/8/17 | 8,007,000 | 8,009,242 |
|
| ||||
| Commonwealth Bank of Australia 144A sr. unsec. | ||||
| unsub. FRN (Australia) | 2.306 | 3/15/19 | 6,550,000 | 6,628,685 |
|
| ||||
| Commonwealth Bank of Australia 144A sr. unsec. | ||||
| unsub. FRN (Australia) | 1.636 | 3/12/18 | 10,000,000 | 10,019,250 |
|
| ||||
| Credit Agricole SA/London 144A sr. unsec. FRN | ||||
| (United Kingdom) | 2.104 | 4/15/19 | 11,290,000 | 11,384,497 |
|
| ||||
| Credit Agricole SA/London 144A sr. unsec. notes | ||||
| (United Kingdom) | 3.000 | 10/1/17 | 6,000,000 | 6,013,056 |
|
| ||||
| Credit Suisse AG/New York NY unsec. sub. notes | 6.000 | 2/15/18 | 19,368,000 | 19,799,848 |
|
| ||||
| Credit Suisse AG/New York, NY sr. unsec. FRN | 2.001 | 1/29/18 | 21,307,000 | 21,373,414 |
|
| ||||
| Credit Suisse AG/New York, NY sr. unsec. FRN | 1.997 | 4/27/18 | 10,600,000 | 10,640,036 |
|
| ||||
| Credit Suisse AG/New York, NY sr. unsec. notes | 1.750 | 1/29/18 | 5,800,000 | 5,804,814 |
|
| ||||
| Danske Bank A/S 144A sr. unsec. FRN (Denmark) | 1.803 | 9/6/19 | 36,453,000 | 36,665,120 |
|
| ||||
| Danske Bank A/S 144A sr. unsec. FRN (Denmark) | 1.720 | 3/2/20 | 23,000,000 | 23,060,444 |
|
| ||||
| Fifth Third Bancorp unsec. sub. notes | 4.500 | 6/1/18 | 5,730,000 | 5,858,639 |
|
| ||||
| Fifth Third Bank/Cincinnati, OH sr. unsec. FRN | 1.883 | 9/27/19 | 10,565,000 | 10,624,819 |
|
| ||||
| Firth Third Bank/Cincinnati, OH sr. unsec. FRN Ser. MTN | 2.082 | 8/20/18 | 12,500,000 | 12,585,050 |
|
| ||||
| HBOS PLC unsec. sub. FRN Ser. EMTN (United Kingdom) | 1.923 | 9/6/17 | 8,830,000 | 8,825,585 |
|
| ||||
| HBOS PLC 144A unsec. sub. notes Ser. GMTN | ||||
| (United Kingdom) | 6.750 | 5/21/18 | 8,445,000 | 8,757,009 |
|
| ||||
| HSBC USA, Inc. sr. unsec. unsub. FRN | 2.176 | 9/24/18 | 23,490,000 | 23,666,598 |
|
| ||||
| HSBC USA, Inc. sr. unsec. unsub. FRN | 1.949 | 8/7/18 | 13,250,000 | 13,298,416 |
|
| ||||
| HSBC USA, Inc. sr. unsec. unsub. FRN | 1.792 | 11/13/19 | 8,100,000 | 8,109,226 |
|
| ||||
| Huntington National Bank (The) sr. unsec. FRN | 1.738 | 3/10/20 | 21,600,000 | 21,709,490 |
|
| ||||
| Huntington National Bank (The) sr. unsec. notes | 1.700 | 2/26/18 | 21,860,000 | 21,870,558 |
|
| ||||
| ING Bank NV 144A sr. unsec. FRN (Netherlands) | 2.417 | 3/22/19 | 3,530,000 | 3,578,110 |
|
| ||||
| ING Bank NV 144A sr. unsec. FRN (Netherlands) | 2.149 | 8/17/20 | 3,850,000 | 3,915,835 |
|
| ||||
| ING Bank NV 144A sr. unsec. FRN (Netherlands) | 1.959 | 8/17/18 | 7,400,000 | 7,446,413 |
|
| ||||
| ING Bank NV 144A sr. unsec. unsub. FRN (Netherlands) | 1.989 | 10/1/19 | 14,455,000 | 14,540,704 |
|
| ||||
| ING Bank NV 144A unsec. FRN (Netherlands) | 1.800 | 3/16/18 | 20,050,000 | 20,089,478 |
|
| ||||
| 24 Short Duration Income Fund |
| Interest | Maturity | Principal | ||
| CORPORATE BONDS AND NOTES (48.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Banking cont. | ||||
|
| ||||
| JPMorgan Chase & Co. sr. unsec. FRN Ser. MTN | 1.712 | 3/1/18 | $5,000,000 | $5,010,595 |
|
| ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN | 2.516 | 10/29/20 | 12,452,000 | 12,733,228 |
|
| ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN | 2.268 | 1/23/20 | 23,528,000 | 23,911,318 |
|
| ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN | 2.214 | 1/25/18 | 11,033,000 | 11,075,764 |
|
| ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN | 1.864 | 4/25/18 | 7,000,000 | 7,022,582 |
|
| ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN Ser. 1 | 1.944 | 1/28/19 | 10,665,000 | 10,730,376 |
|
| ||||
| KeyBank NA/Cleveland OH sr. unsec. unsub. | ||||
| notes Ser. BKNT | 1.650 | 2/1/18 | 29,637,000 | 29,655,405 |
|
| ||||
| KeyCorp sr. unsec. unsub. notes Ser. MTN | 2.300 | 12/13/18 | 8,370,000 | 8,426,523 |
|
| ||||
| Manufacturers & Traders Trust Co. unsec. sub. notes | 6.625 | 12/4/17 | 8,960,000 | 9,108,019 |
|
| ||||
| Mizuho Bank, Ltd. 144A company guaranty sr. unsec. | ||||
| unsub. FRN (Japan) | 2.497 | 10/20/18 | 4,334,000 | 4,377,812 |
|
| ||||
| Mizuho Bank, Ltd. 144A company guaranty sr. unsec. | ||||
| unsub. FRN (Japan) | 1.936 | 3/26/18 | 16,000,000 | 16,042,528 |
|
| ||||
| Mizuho Bank, Ltd. 144A company guaranty sr. unsec. | ||||
| unsub. FRN (Japan) | 1.746 | 9/25/17 | 24,559,000 | 24,571,574 |
|
| ||||
| National Australia Bank, Ltd. 144A sr. unsec. | ||||
| FRN (Australia) | 1.911 | 12/9/19 | 2,600,000 | 2,617,571 |
|
| ||||
| National Australia Bank, Ltd. 144A sr. unsec. | ||||
| FRN (Australia) | 1.894 | 1/10/20 | 17,750,000 | 17,843,880 |
|
| ||||
| National Australia Bank, Ltd. 144A sr. unsec. | ||||
| FRN (Australia) | 1.682 | 5/22/20 | 19,700,000 | 19,747,556 |
|
| ||||
| National Australia Bank, Ltd. 144A sr. unsec. unsub. | ||||
| FRN (Australia) | 2.084 | 1/14/19 | 25,770,000 | 25,972,269 |
|
| ||||
| National Bank of Canada company guaranty sr. unsec. | ||||
| FRN Ser. MTN (Canada) | 1.904 | 1/17/20 | 19,750,000 | 19,861,015 |
|
| ||||
| National Bank of Canada company guaranty sr. unsec. | ||||
| FRN Ser. MTN (Canada) | 1.788 | 6/12/20 | 14,750,000 | 14,773,541 |
|
| ||||
| National Bank of Canada sr. unsec. FRN | ||||
| Ser. BKNT (Canada) | 2.082 | 12/14/18 | 5,070,000 | 5,116,700 |
|
| ||||
| Nordea Bank AB 144A sr. unsec. FRN (Sweden) | 1.672 | 5/29/20 | 24,200,000 | 24,306,069 |
|
| ||||
| Nordea Bank AB 144A sr. unsec. unsub. FRN (Sweden) | 2.107 | 9/17/18 | 15,800,000 | 15,934,411 |
|
| ||||
| Northern Trust Co. (The) unsec. sub. notes Ser. MTN | 5.850 | 11/9/17 | 10,800,000 | 10,928,876 |
|
| ||||
| PNC Bank NA sr. unsec. FRN | 1.620 | 12/7/18 | 11,400,000 | 11,447,196 |
|
| ||||
| PNC Bank NA sr. unsec. FRN Ser. BKNT | 1.538 | 5/19/20 | 9,650,000 | 9,677,889 |
|
| ||||
| PNC Bank NA sr. unsec. FRN Ser. MTN | 1.622 | 6/1/18 | 5,500,000 | 5,517,375 |
|
| ||||
| PNC Financial Services Group, Inc. (The) sr. | ||||
| unsec. unsub. FRN | 1.429 | 8/7/18 | 10,000,000 | 9,998,740 |
|
| ||||
| Rabobank Nederland NV/NY sr. unsec. FRN | ||||
| Ser. BKNT (Netherlands) | 1.822 | 8/9/19 | 47,300,000 | 47,556,792 |
|
| ||||
| Royal Bank of Canada sr. unsec. FRN | ||||
| Ser. GMTN (Canada) | 1.590 | 3/2/20 | 20,000,000 | 20,030,020 |
|
| ||||
| Royal Bank of Canada sr. unsec. unsub. FRN (Canada) | 1.928 | 12/10/18 | 12,000,000 | 12,082,884 |
|
| ||||
| Royal Bank of Canada sr. unsec. unsub. FRN | ||||
| Ser. GMTN (Canada) | 1.791 | 7/29/19 | 10,175,000 | 10,223,514 |
|
| ||||
| Santander Holdings USA, Inc. sr. unsec. unsub. FRN | 2.642 | 11/24/17 | 22,271,000 | 22,341,933 |
|
| ||||
| Santander UK PLC sr. unsec. unsub. FRN | ||||
| (United Kingdom) | 1.705 | 9/29/17 | 15,025,000 | 15,031,265 |
|
| ||||
| Santander UK PLC sr. unsec. unsub. FRN Ser. GMTN | ||||
| (United Kingdom) | 2.042 | 8/24/18 | 12,800,000 | 12,878,758 |
|
| ||||
| Short Duration Income Fund 25 |
| Interest | Maturity | Principal | ||
| CORPORATE BONDS AND NOTES (48.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Banking cont. | ||||
|
| ||||
| Skandinaviska Enskilda Banken AB 144A sr. unsec. | ||||
| FRN (Sweden) | 1.806 | 9/13/19 | $28,650,000 | $28,797,949 |
|
| ||||
| Societe Generale SA company guaranty sr. unsec. | ||||
| notes (France) | 2.750 | 10/12/17 | 12,458,000 | 12,491,537 |
|
| ||||
| Societe Generale SA company guaranty sr. unsec. | ||||
| unsub. FRN (France) | 2.379 | 10/1/18 | 14,625,000 | 14,762,621 |
|
| ||||
| Standard Chartered Bank 144A unsec. sub. notes | ||||
| (United Kingdom) | 6.400 | 9/26/17 | 9,105,000 | 9,165,976 |
|
| ||||
| Standard Chartered PLC 144A sr. unsec. FRN | ||||
| (United Kingdom) | 2.308 | 8/19/19 | 16,945,000 | 17,099,301 |
|
| ||||
| Standard Chartered PLC 144A sr. unsec. unsub. notes | ||||
| (United Kingdom) | 1.500 | 9/8/17 | 19,400,000 | 19,397,265 |
|
| ||||
| State Street Corp. jr. unsec. sub. notes | 4.956 | 3/15/18 | 33,750,000 | 34,429,624 |
|
| ||||
| State Street Corp. sr. unsec. unsub. notes | 1.350 | 5/15/18 | 16,000,000 | 15,984,512 |
|
| ||||
| Sumitomo Mitsui Banking Corp. company guaranty sr. | ||||
| unsec. unsub. FRB (Japan) | 1.884 | 1/16/18 | 6,600,000 | 6,613,794 |
|
| ||||
| Sumitomo Mitsui Banking Corp. company guaranty sr. | ||||
| unsec. unsub. FRN Ser. GMTN (Japan) | 2.053 | 7/23/18 | 12,900,000 | 12,965,055 |
|
| ||||
| Sumitomo Mitsui Banking Corp. 144A company | ||||
| guaranty sr. unsec. FRN (Japan) | 1.976 | 10/19/18 | 11,400,000 | 11,457,980 |
|
| ||||
| SunTrust Bank/Atlanta, GA sr. unsec. FRN | 1.841 | 1/31/20 | 28,550,000 | 28,733,405 |
|
| ||||
| SunTrust Bank/GA unsec. sub. notes Ser. BKNT | 7.250 | 3/15/18 | 1,400,000 | 1,447,935 |
|
| ||||
| SunTrust Banks, Inc. sr. unsec. notes | 6.000 | 9/11/17 | 2,100,000 | 2,110,063 |
|
| ||||
| Svenska Handelsbanken AB company guaranty sr. | ||||
| unsec. FRN Ser. BKNT (Sweden) | 1.713 | 9/6/19 | 5,000,000 | 5,022,480 |
|
| ||||
| Toronto-Dominion Bank (The) sr. unsec. FRN | ||||
| Ser. GMTN (Canada) | 1.853 | 7/23/18 | 10,000,000 | 10,043,150 |
|
| ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. | ||||
| FRN (Canada) | 1.832 | 8/13/19 | 6,000,000 | 6,039,930 |
|
| ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. FRN | ||||
| Ser. MTN (Canada) | 1.731 | 11/5/19 | 2,500,000 | 2,515,115 |
|
| ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. FRN | ||||
| Ser. MTN (Canada) | 1.724 | 1/18/19 | 4,950,000 | 4,970,181 |
|
| ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. FRN | ||||
| Ser. MTN (Canada) | 1.536 | 3/13/18 | 10,000,000 | 10,013,380 |
|
| ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. notes | ||||
| Ser. MTN (Canada) | 1.625 | 3/13/18 | 9,800,000 | 9,811,231 |
|
| ||||
| U.S. Bancorp sr. unsec. unsub. FRN Ser. MTN | 1.672 | 11/15/18 | 16,700,000 | 16,783,550 |
|
| ||||
| U.S. Bank, NA/Cincinnati, OH sr. unsec. FRN Ser. BKNT | 1.794 | 10/28/19 | 19,400,000 | 19,545,985 |
|
| ||||
| U.S. Bank, NA/Cincinnati, OH sr. unsec. FRN Ser. BKNT | 1.428 | 9/11/17 | 10,188,000 | 10,188,805 |
|
| ||||
| U.S. Bank, NA/Cincinnati, OH sr. unsec. FRN | 1.633 | 1/24/20 | 9,900,000 | 9,934,818 |
|
| ||||
| UBS AG/Stamford CT sr. unsec. unsub. FRN | 2.052 | 6/1/20 | 9,400,000 | 9,470,885 |
|
| ||||
| UBS AG/Stamford, CT sr. unsec. FRN Ser. GMTN | 1.822 | 8/14/19 | 32,400,000 | 32,602,824 |
|
| ||||
| Wells Fargo & Co. sr. unsec. FRN | 1.773 | 4/22/19 | 4,839,000 | 4,858,187 |
|
| ||||
| Wells Fargo & Co. sr. unsec. unsub. FRN | 1.642 | 9/14/18 | 12,933,000 | 12,969,070 |
|
| ||||
| Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN | 2.193 | 7/22/20 | 29,147,000 | 29,566,950 |
|
| ||||
| Wells Fargo & Co. sr. unsec. unsub. FRN Ser. N | 1.991 | 1/30/20 | 19,753,000 | 19,938,678 |
|
| ||||
| Wells Fargo & Co. sr. unsec. unsub. notes Ser. MTN | 2.230 | 12/7/20 | 2,472,000 | 2,515,023 |
|
| ||||
| Westpac Banking Corp. sr. unsec. unsub. FRN (Australia) | 1.926 | 11/23/18 | 10,000,000 | 10,075,460 |
|
| ||||
| Westpac Banking Corp. sr. unsec. unsub. FRN (Australia) | 1.738 | 8/19/19 | 12,950,000 | 13,022,883 |
|
| ||||
| 26 Short Duration Income Fund |
| Interest | Maturity | Principal | ||
| CORPORATE BONDS AND NOTES (48.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Banking cont. | ||||
|
| ||||
| Westpac Banking Corp. sr. unsec. unsub. FRN (Australia) | 1.653 | 3/6/20 | $14,900,000 | $14,907,420 |
|
| ||||
| Westpac Banking Corp. sr. unsec. unsub. FRN (Australia) | 1.619 | 5/25/18 | 11,000,000 | 11,027,753 |
|
| ||||
| 2,006,572,241 | ||||
|
| ||||
| Basic materials (0.2%) | ||||
|
| ||||
| E. I. du Pont de Nemours & Co. sr. unsec. unsub. FRN | 1.700 | 5/1/20 | 11,725,000 | 11,828,520 |
|
| ||||
| 11,828,520 | ||||
|
| ||||
| Capital goods (0.5%) | ||||
|
| ||||
| John Deere Capital Corp. sr. unsec. FRN Ser. MTN | 1.466 | 12/15/17 | 10,000,000 | 10,005,880 |
|
| ||||
| John Deere Capital Corp. sr. unsec. unsub. | ||||
| FRN Ser. MTN | 1.594 | 1/16/18 | 6,000,000 | 6,007,614 |
|
| ||||
| John Deere Capital Corp. sr. unsec. unsub. | ||||
| FRN Ser. MTN | 1.589 | 10/9/19 | 10,000,000 | 10,025,000 |
|
| ||||
| Johnson Controls International PLC sr. unsec. notes | 1.400 | 11/2/17 | 2,181,000 | 2,179,883 |
|
| ||||
| United Technologies Corp. sr. unsec. unsub. FRN | 1.520 | 11/1/19 | 10,000,000 | 10,068,150 |
|
| ||||
| 38,286,527 | ||||
|
| ||||
| Communication services (1.5%) | ||||
|
| ||||
| AT&T, Inc. sr. unsec. unsub. FRN | 2.110 | 11/27/18 | 10,000,000 | 10,087,450 |
|
| ||||
| AT&T, Inc. sr. unsec. unsub. FRN | 1.954 | 1/15/20 | 34,100,000 | 34,300,065 |
|
| ||||
| Deutsche Telekom International Finance BV 144A | ||||
| company guaranty sr. unsec. FRN (Netherlands) | 1.884 | 1/17/20 | 22,550,000 | 22,627,369 |
|
| ||||
| Deutsche Telekom International Finance BV 144A | ||||
| company guaranty sr. unsec. unsub. FRN (Netherlands) | 1.717 | 9/19/19 | 2,195,000 | 2,200,200 |
|
| ||||
| Verizon Communications, Inc. sr. unsec. unsub. FRN | 2.992 | 9/14/18 | 8,850,000 | 9,012,309 |
|
| ||||
| Verizon Communications, Inc. sr. unsec. unsub. FRN | 1.552 | 8/15/19 | 23,331,000 | 23,368,516 |
|
| ||||
| 101,595,909 | ||||
|
| ||||
| Conglomerates (1.0%) | ||||
|
| ||||
| General Electric Capital Corp. company guaranty sr. | ||||
| unsec. unsub. FRN Ser. MTN | 1.449 | 8/7/18 | 4,062,000 | 4,067,654 |
|
| ||||
| General Electric Co. sr. unsec. FRN Ser. GMTN | 1.924 | 1/9/20 | 15,149,000 | 15,323,941 |
|
| ||||
| Siemens Financieringsmaatschappij NV 144A company | ||||
| guaranty sr. unsec. FRN (Netherlands) | 1.590 | 3/16/20 | 24,750,000 | 24,834,076 |
|
| ||||
| Siemens Financieringsmaatschappij NV 144A company | ||||
| guaranty sr. unsec. FRN (Netherlands) | 1.556 | 9/13/19 | 15,000,000 | 15,031,500 |
|
| ||||
| Siemens Financieringsmaatschappij NV 144A company | ||||
| guaranty sr. unsec. FRN (Netherlands) | 1.469 | 5/25/18 | 10,000,000 | 10,018,860 |
|
| ||||
| 69,276,031 | ||||
|
| ||||
| Consumer cyclicals (2.6%) | ||||
|
| ||||
| BMW US Capital, LLC 144A company guaranty | ||||
| sr. unsec. FRN | 1.656 | 9/13/19 | 5,800,000 | 5,834,336 |
|
| ||||
| BMW US Capital, LLC 144A company guaranty sr. | ||||
| unsec. unsub. FRN | 1.682 | 4/6/20 | 9,800,000 | 9,849,990 |
|
| ||||
| Daimler Finance North America, LLC 144A company | ||||
| guaranty sr. unsec. FRN | 1.882 | 8/3/17 | 2,450,000 | 2,450,000 |
|
| ||||
| Daimler Finance North America, LLC 144A company | ||||
| guaranty sr. unsec. FRN | 1.510 | 8/1/17 | 6,000,000 | 6,000,000 |
|
| ||||
| Daimler Finance North America, LLC 144A company | ||||
| guaranty sr. unsec. FRN | 1.421 | 11/5/18 | 4,730,000 | 4,731,074 |
|
| ||||
| Ford Motor Credit Co., LLC sr. unsec. unsub. FRN | 1.793 | 12/6/17 | 15,000,000 | 15,009,885 |
|
| ||||
| Ford Motor Credit Co., LLC sr. unsec. unsub. FRN | 1.739 | 9/8/17 | 5,950,000 | 5,951,696 |
|
| ||||
| Ford Motor Credit Co., LLC sr. unsec. unsub. FRN Ser. 1 | 2.058 | 3/12/19 | 8,700,000 | 8,731,851 |
|
| ||||
| Short Duration Income Fund 27 |
| Interest | Maturity | Principal | ||
| CORPORATE BONDS AND NOTES (48.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Consumer cyclicals cont. | ||||
|
| ||||
| General Motors Financial Co., Inc. company guaranty | ||||
| sr. unsec. FRN | 2.569 | 10/4/19 | $4,950,000 | $5,010,855 |
|
| ||||
| General Motors Financial Co., Inc. company guaranty sr. | ||||
| unsec. unsub. FRN | 2.664 | 4/10/18 | 16,790,000 | 16,918,863 |
|
| ||||
| Moody’s Corp. sr. unsec. unsub. FRN | 1.568 | 9/4/18 | 21,750,000 | 21,782,060 |
|
| ||||
| Nissan Motor Acceptance Corp. 144A sr. unsec. FRN | 2.102 | 4/6/18 | 5,000,000 | 5,021,135 |
|
| ||||
| Nissan Motor Acceptance Corp. 144A sr. unsec. FRN | 1.884 | 1/13/20 | 10,250,000 | 10,284,532 |
|
| ||||
| Nissan Motor Acceptance Corp. 144A sr. unsec. FRN | 1.756 | 9/13/19 | 15,000,000 | 15,069,405 |
|
| ||||
| Nissan Motor Acceptance Corp. 144A sr. unsec. FRN | 1.694 | 7/13/20 | 19,500,000 | 19,510,998 |
|
| ||||
| Toyota Motor Credit Corp. sr. unsec. unsub. | ||||
| FRN Ser. MTN | 1.744 | 10/18/19 | 8,500,000 | 8,561,370 |
|
| ||||
| Toyota Motor Credit Corp. sr. unsec. unsub. | ||||
| FRN Ser. MTN | 1.694 | 1/17/19 | 2,105,000 | 2,113,957 |
|
| ||||
| Walt Disney Co. (The) sr. unsec. unsub. FRN | 1.624 | 1/8/19 | 15,000,000 | 15,061,845 |
|
| ||||
| 177,893,852 | ||||
|
| ||||
| Consumer finance (1.6%) | ||||
|
| ||||
| American Express Co. sr. unsec. unsub. FRN | 1.762 | 5/22/18 | 7,860,000 | 7,882,810 |
|
| ||||
| American Express Credit Corp. sr. unsec. FRN Ser. MTN | 1.502 | 5/3/19 | 6,835,000 | 6,851,725 |
|
| ||||
| American Express Credit Corp. sr. unsec. unsub. FRN | 1.817 | 3/18/19 | 10,921,000 | 10,994,193 |
|
| ||||
| American Express Credit Corp. sr. unsec. unsub. | ||||
| FRN Ser. MTN | 1.881 | 10/30/19 | 5,000,000 | 5,028,285 |
|
| ||||
| American Honda Finance Corp. sr. unsec. unsub. | ||||
| FRN Ser. MTN | 1.764 | 7/13/18 | 7,000,000 | 7,024,689 |
|
| ||||
| American Honda Finance Corp. sr. unsec. unsub. | ||||
| FRN Ser. MTN | 1.538 | 12/11/17 | 15,000,000 | 15,013,200 |
|
| ||||
| American Honda Finance Corp. sr. unsec. unsub. | ||||
| FRN Ser. MTN | 1.522 | 2/14/20 | 14,700,000 | 14,743,733 |
|
| ||||
| Synchrony Financial sr. unsec. unsub. FRN | 2.712 | 11/9/17 | 16,192,000 | 16,238,422 |
|
| ||||
| Synchrony Financial sr. unsec. unsub. notes | 1.875 | 8/15/17 | 26,035,000 | 26,036,614 |
|
| ||||
| 109,813,671 | ||||
|
| ||||
| Consumer staples (1.0%) | ||||
|
| ||||
| BAT International Finance PLC 144A company guaranty | ||||
| sr. unsec. FRN (United Kingdom) | 1.756 | 6/15/18 | 6,000,000 | 6,007,320 |
|
| ||||
| Molson Coors Brewing Co. company guaranty sr. unsec. | ||||
| unsub. notes | 1.450 | 7/15/19 | 10,340,000 | 10,248,429 |
|
| ||||
| Mondelez International Holdings Netherlands BV 144A | ||||
| company guaranty sr. unsec. unsub. FRN (Netherlands) | 1.924 | 10/28/19 | 28,600,000 | 28,733,591 |
|
| ||||
| PepsiCo, Inc. sr. unsec. unsub. FRN | 1.762 | 2/22/19 | 4,230,000 | 4,264,627 |
|
| ||||
| PepsiCo, Inc. sr. unsec. unsub. FRN | 1.654 | 10/13/17 | 10,510,000 | 10,518,576 |
|
| ||||
| Tyson Foods, Inc. sr. unsec. sub. FRN | 1.649 | 5/30/19 | 5,900,000 | 5,913,718 |
|
| ||||
| 65,686,261 | ||||
|
| ||||
| Energy (1.4%) | ||||
|
| ||||
| BP Capital Markets PLC company guaranty sr. unsec. | ||||
| unsub. FRN (United Kingdom) | 1.725 | 5/10/19 | 2,000,000 | 2,009,080 |
|
| ||||
| BP Capital Markets PLC company guaranty sr. unsec. | ||||
| unsub. FRN (United Kingdom) | 1.695 | 5/10/18 | 18,800,000 | 18,859,051 |
|
| ||||
| BP Capital Markets PLC company guaranty sr. unsec. | ||||
| unsub. FRN (United Kingdom) | 1.607 | 2/13/18 | 1,715,000 | 1,718,540 |
|
| ||||
| BP Capital Markets PLC company guaranty sr. unsec. | ||||
| unsub. FRN (United Kingdom) | 1.532 | 8/14/18 | 15,000,000 | 15,040,185 |
|
| ||||
| 28 Short Duration Income Fund |
| Interest | Maturity | Principal | ||
| CORPORATE BONDS AND NOTES (48.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Energy cont. | ||||
|
| ||||
| Chevron Corp. sr. unsec. FRN | 1.592 | 11/15/19 | $9,800,000 | $9,878,037 |
|
| ||||
| Chevron Corp. sr. unsec. FRN | 1.428 | 3/3/20 | 24,950,000 | 25,034,082 |
|
| ||||
| Exxon Mobil Corp. sr. unsec. unsub. notes | 1.439 | 3/1/18 | 9,000,000 | 9,008,775 |
|
| ||||
| Halliburton Co. sr. unsec. unsub. notes | 2.000 | 8/1/18 | 6,680,000 | 6,690,695 |
|
| ||||
| Total Capital International SA company guaranty sr. | ||||
| unsec. unsub. FRN (France) | 1.617 | 6/19/19 | 4,525,000 | 4,550,191 |
|
| ||||
| 92,788,636 | ||||
|
| ||||
| Financial (1.4%) | ||||
|
| ||||
| Berkshire Hathaway Finance Corp. company guaranty | ||||
| sr. unsec. unsub. FRN | 1.770 | 3/7/18 | 10,000,000 | 10,036,950 |
|
| ||||
| Berkshire Hathaway Finance Corp. company guaranty | ||||
| sr. unsec. unsub. FRN | 1.624 | 1/10/20 | 19,750,000 | 19,868,895 |
|
| ||||
| Berkshire Hathaway Finance Corp. company guaranty | ||||
| sr. unsec. unsub. FRN | 1.604 | 1/12/18 | 10,000,000 | 10,014,960 |
|
| ||||
| Macquarie Bank, Ltd. 144A sr. unsec. unsub. | ||||
| FRN (Australia) | 1.947 | 10/27/17 | 14,535,000 | 14,553,096 |
|
| ||||
| Macquarie Group Ltd. 144A sr. unsec. notes (Australia) | 4.875 | 8/10/17 | 11,360,000 | 11,367,304 |
|
| ||||
| UBS AG/London 144A sr. unsec. FRN (United Kingdom) | 1.799 | 6/8/20 | 19,800,000 | 19,892,783 |
|
| ||||
| UBS Group Funding Jersey, Ltd. 144A company | ||||
| guaranty sr. unsec. FRN (Switzerland) | 2.736 | 9/24/20 | 9,700,000 | 9,910,248 |
|
| ||||
| 95,644,236 | ||||
|
| ||||
| Health care (1.4%) | ||||
|
| ||||
| Aetna, Inc. sr. unsec. unsub. FRN | 1.869 | 12/8/17 | 30,200,000 | 30,258,226 |
|
| ||||
| Allergan Funding SCS company guaranty sr. unsec. | ||||
| unsub. FRN (Luxembourg) | 2.308 | 3/12/18 | 20,100,000 | 20,195,777 |
|
| ||||
| AstraZeneca PLC sr. unsec. unsub. FRN | ||||
| (United Kingdom) | 1.710 | 11/16/18 | 10,000,000 | 10,050,200 |
|
| ||||
| Bayer US Finance, LLC 144A company guaranty sr. | ||||
| unsec. unsub. FRN | 1.582 | 10/6/17 | 19,595,000 | 19,597,214 |
|
| ||||
| Becton Dickinson and Co. sr. unsec. unsub. notes | 2.133 | 6/6/19 | 14,750,000 | 14,813,514 |
|
| ||||
| UnitedHealth Group, Inc. sr. unsec. notes | 6.000 | 2/15/18 | 3,026,000 | 3,098,346 |
|
| ||||
| 98,013,277 | ||||
|
| ||||
| Insurance (2.3%) | ||||
|
| ||||
| AIG Global Funding 144A sr. FRN | 1.781 | 7/2/20 | 19,600,000 | 19,637,573 |
|
| ||||
| CNA Financial Corp. sr. unsec. unsub. notes | 6.950 | 1/15/18 | 19,000,000 | 19,441,731 |
|
| ||||
| Jackson National Life Global Funding 144A sr. FRN | 1.892 | 10/13/17 | 27,022,000 | 27,048,130 |
|
| ||||
| Metropolitan Life Global Funding I 144A FRN | 1.697 | 12/19/18 | 10,000,000 | 10,041,500 |
|
| ||||
| Metropolitan Life Global Funding I 144A FRN | 1.582 | 9/14/18 | 25,000,000 | 25,079,100 |
|
| ||||
| New York Life Global Funding 144A FRN | 1.703 | 10/24/19 | 15,000,000 | 15,086,085 |
|
| ||||
| New York Life Global Funding 144A FRN | 1.702 | 4/6/18 | 10,600,000 | 10,625,260 |
|
| ||||
| New York Life Global Funding 144A FRN | 1.526 | 12/15/17 | 10,000,000 | 10,007,730 |
|
| ||||
| Principal Life Global Funding II 144A FRN | 1.472 | 2/22/19 | 10,000,000 | 9,996,930 |
|
| ||||
| Principal Life Global Funding II 144A sr. FRN | 1.702 | 12/1/17 | 10,000,000 | 10,016,040 |
|
| ||||
| 156,980,079 | ||||
|
| ||||
| Investment banking/Brokerage (1.5%) | ||||
|
| ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN | 2.036 | 12/13/19 | 12,300,000 | 12,397,847 |
|
| ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. | ||||
| FRN Ser. MTN | 2.282 | 11/15/18 | 15,211,000 | 15,367,749 |
|
| ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. | ||||
| FRN Ser. MTN | 2.046 | 12/15/17 | 11,719,000 | 11,748,497 |
|
| ||||
| Short Duration Income Fund 29 |
| Interest | Maturity | Principal | ||
| CORPORATE BONDS AND NOTES (48.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Investment banking/Brokerage cont. | ||||
|
| ||||
| Morgan Stanley sr. unsec. unsub. FRN | 2.230 | 6/16/20 | $6,742,000 | $6,820,302 |
|
| ||||
| Morgan Stanley sr. unsec. unsub. FRN | 2.163 | 1/24/19 | 29,320,000 | 29,553,563 |
|
| ||||
| Morgan Stanley sr. unsec. unsub. FRN | 2.041 | 1/5/18 | 1,718,000 | 1,722,012 |
|
| ||||
| Morgan Stanley sr. unsec. unsub. FRN Ser. 3NC2 | 1.982 | 2/14/20 | 24,600,000 | 24,702,828 |
|
| ||||
| 102,312,798 | ||||
|
| ||||
| Real estate (0.5%) | ||||
|
| ||||
| Boston Properties LP sr. unsec. unsub. notes R | 3.700 | 11/15/18 | 28,600,000 | 29,195,223 |
|
| ||||
| Realty Income Corp. sr. unsec. notes R | 5.375 | 9/15/17 | 3,335,000 | 3,349,501 |
|
| ||||
| Realty Income Corp. sr. unsec. notes R | 2.000 | 1/31/18 | 3,750,000 | 3,753,233 |
|
| ||||
| 36,297,957 | ||||
|
| ||||
| Technology (1.0%) | ||||
|
| ||||
| Alibaba Group Holding, Ltd. sr. unsec. FRN (China) | 1.720 | 11/28/17 | 16,000,000 | 15,983,744 |
|
| ||||
| Apple, Inc. sr. unsec. FRN | 1.379 | 2/7/20 | 25,000,000 | 25,074,900 |
|
| ||||
| Cisco Systems, Inc. sr. unsec. FRN | 1.556 | 6/15/18 | 10,000,000 | 10,021,830 |
|
| ||||
| Cisco Systems, Inc. sr. unsec. unsub. FRN | 1.772 | 2/21/18 | 5,000,000 | 5,015,685 |
|
| ||||
| Qualcomm, Inc. sr. unsec. unsub. FRN | 1.442 | 5/18/18 | 10,000,000 | 10,017,110 |
|
| ||||
| 66,113,269 | ||||
|
| ||||
| Transportation (—%) | ||||
|
| ||||
| Continental Airlines, Inc. Pass-Through Trust | ||||
| pass-through certificates Ser. 97-4, Class A | 6.900 | 1/2/18 | 397,891 | 401,870 |
|
| ||||
| 401,870 | ||||
|
| ||||
| Utilities and power (1.4%) | ||||
|
| ||||
| Dominion Energy, Inc. 144A sr. unsec. FRN | 1.771 | 6/1/19 | 30,150,000 | 30,243,465 |
|
| ||||
| DTE Energy Co. sr. unsec. notes | 1.500 | 10/1/19 | 7,000,000 | 6,903,757 |
|
| ||||
| Edison International sr. unsec. notes | 2.125 | 4/15/20 | 10,000,000 | 10,033,920 |
|
| ||||
| NextEra Energy Capital Holdings, Inc. company | ||||
| guaranty sr. unsec. notes | 1.649 | 9/1/18 | 7,000,000 | 6,996,290 |
|
| ||||
| Sempra Energy sr. unsec. unsub. notes | 1.625 | 10/7/19 | 10,000,000 | 9,951,830 |
|
| ||||
| Southern Co. (The) 144A sr. unsec. unsub. FRN | 1.980 | 9/30/20 | 29,600,000 | 29,695,253 |
|
| ||||
| 93,824,515 | ||||
|
| ||||
| Total corporate bonds and notes (cost $3,314,731,431) | $3,323,329,649 | |||
|
| ||||
| Maturity | Principal | |||
| COMMERCIAL PAPER (41.5%)* | Yield (%) | date | amount | Value |
|
| ||||
| Aegon NV 144A (Netherlands) | 1.454 | 9/19/17 | $33,000,000 | $32,932,489 |
|
| ||||
| Agrium, Inc. (Canada) | 1.544 | 9/27/17 | 5,200,000 | 5,187,609 |
|
| ||||
| Agrium, Inc. (Canada) | 1.574 | 9/25/17 | 3,000,000 | 2,993,107 |
|
| ||||
| Agrium, Inc. (Canada) | 1.512 | 8/28/17 | 24,400,000 | 24,372,349 |
|
| ||||
| Agrium, Inc. (Canada) | 1.534 | 8/14/17 | 18,175,000 | 18,164,850 |
|
| ||||
| Air Liquide USA, LLC | 1.444 | 9/18/17 | 19,750,000 | 19,719,543 |
|
| ||||
| Albermarle Corp. | 1.702 | 8/23/17 | 12,400,000 | 12,386,366 |
|
| ||||
| Albermarle Corp. 144A | 1.651 | 8/1/17 | 20,200,000 | 20,199,050 |
|
| ||||
| Amcor, Ltd./Australia (Australia) | 1.443 | 9/28/17 | 13,500,000 | 13,467,277 |
|
| ||||
| Amcor, Ltd./Australia (Australia) | 1.444 | 9/18/17 | 29,600,000 | 29,540,654 |
|
| ||||
| Amcor, Ltd./Australia (Australia) | 1.443 | 9/15/17 | 9,650,000 | 9,631,862 |
|
| ||||
| Ameren Corp. | 1.422 | 8/7/17 | 10,000,000 | 9,997,258 |
|
| ||||
| Ameren Corp. | 1.452 | 8/1/17 | 19,500,000 | 19,499,248 |
|
| ||||
| American Electric Power Co., Inc. | 1.422 | 8/25/17 | 19,350,000 | 19,330,475 |
|
| ||||
| American Electric Power Co., Inc. | 1.462 | 8/22/17 | 8,750,000 | 8,742,252 |
|
| ||||
| 30 Short Duration Income Fund |
| Maturity | Principal | |||
| COMMERCIAL PAPER (41.5%)* cont. | Yield (%) | date | amount | Value |
|
| ||||
| American Electric Power Co., Inc. | 1.443 | 8/21/17 | $25,000,000 | $24,978,883 |
|
| ||||
| Amgen, Inc. | 1.321 | 8/9/17 | 19,500,000 | 19,493,165 |
|
| ||||
| Amgen, Inc. 144A | 1.301 | 8/10/17 | 19,000,000 | 18,992,590 |
|
| ||||
| Amphenol Corp. | 1.454 | 9/12/17 | 8,750,000 | 8,734,647 |
|
| ||||
| Assa Abloy Financial Services AB (Sweden) | 1.505 | 9/28/17 | 33,250,000 | 33,170,004 |
|
| ||||
| Autonation, Inc. | 1.600 | 8/1/17 | 48,600,000 | 48,597,714 |
|
| ||||
| Bank of Nova Scotia (The) 144A (Canada) | 1.260 | 2/2/18 | 10,000,000 | 10,017,520 |
|
| ||||
| Bell Canada, Inc. (Canada) | 1.454 | 9/12/17 | 5,500,000 | 5,490,547 |
|
| ||||
| Bell Canada, Inc. (Canada) | 1.402 | 8/30/17 | 25,000,000 | 24,970,208 |
|
| ||||
| Bell Canada, Inc. (Canada) | 1.402 | 8/22/17 | 19,500,000 | 19,483,090 |
|
| ||||
| Berkshire Hathaway Energy Co. | 1.363 | 8/14/17 | 19,750,000 | 19,739,255 |
|
| ||||
| Berkshire Hathaway Energy Co. | 1.323 | 8/9/17 | 2,700,000 | 2,699,060 |
|
| ||||
| BPCE SA (France) | 1.355 | 10/31/17 | 23,300,000 | 23,217,173 |
|
| ||||
| BPCE SA (France) | 1.205 | 8/31/17 | 39,250,000 | 39,209,341 |
|
| ||||
| Cabot Corp. | 1.401 | 8/11/17 | 24,300,000 | 24,289,420 |
|
| ||||
| Campbell Soup Co. | 1.302 | 9/5/17 | 28,000,000 | 27,959,848 |
|
| ||||
| Canadian Natural Resources, Ltd. (Canada) | 1.672 | 8/24/17 | 7,600,000 | 7,591,782 |
|
| ||||
| Canadian Natural Resources, Ltd. (Canada) | 1.673 | 8/21/17 | 23,400,000 | 23,377,915 |
|
| ||||
| Canadian Natural Resources, Ltd. 144A (Canada) | 1.683 | 8/22/17 | 19,700,000 | 19,680,509 |
|
| ||||
| CBS Corp. 144A | 1.392 | 8/28/17 | 19,000,000 | 18,978,469 |
|
| ||||
| CenterPoint Energy Resources Corp. | 1.422 | 8/23/17 | 20,000,000 | 19,981,460 |
|
| ||||
| CenterPoint Energy Resources Corp. | 1.412 | 8/18/17 | 24,100,000 | 24,082,600 |
|
| ||||
| CenterPoint Energy Resources Corp. | 1.402 | 8/4/17 | 9,450,000 | 9,448,531 |
|
| ||||
| Commerzbank U.S. Finance, Inc. | 1.304 | 8/15/17 | 24,000,000 | 23,988,190 |
|
| ||||
| Commonwealth Bank of Australia 144A (Australia) | 1.187 | 2/15/18 | 10,000,000 | 10,017,460 |
|
| ||||
| CRH America Finance, Inc. | 1.494 | 9/27/17 | 19,500,000 | 19,453,535 |
|
| ||||
| CRH America Finance, Inc. | 1.432 | 8/28/17 | 5,000,000 | 4,994,334 |
|
| ||||
| CRH America Finance, Inc. 144A | 1.503 | 8/25/17 | 2,750,000 | 2,747,225 |
|
| ||||
| CRH America Finance, Inc. 144A | 1.442 | 8/9/17 | 15,145,000 | 15,139,631 |
|
| ||||
| Danske Corp. 144A Ser. A (Denmark) | 1.204 | 8/24/17 | 7,000,000 | 6,993,364 |
|
| ||||
| Deutsche Telekom AG 144A (Germany) | 1.403 | 8/30/17 | 28,500,000 | 28,463,663 |
|
| ||||
| DnB Bank ASA (Norway) | 1.155 | 9/20/17 | 6,900,000 | 6,888,192 |
|
| ||||
| DnB Bank ASA 144A (Norway) | 1.269 | 1/19/18 | 10,000,000 | 10,019,620 |
|
| ||||
| Dollar General Corp. | 1.551 | 8/7/17 | 25,000,000 | 24,992,465 |
|
| ||||
| Dollar General Corp. | 1.451 | 8/4/17 | 15,500,000 | 15,497,337 |
|
| ||||
| Dollar General Corp. | 1.401 | 8/3/17 | 14,300,000 | 14,298,159 |
|
| ||||
| Dominion Energy, Inc | 1.422 | 9/7/17 | 19,200,000 | 19,170,309 |
|
| ||||
| Duke Energy Corp. | 1.433 | 8/9/17 | 13,500,000 | 13,495,214 |
|
| ||||
| Duke Energy Corp. | 1.381 | 8/3/17 | 6,600,000 | 6,599,233 |
|
| ||||
| Duke Energy Corp. | 1.409 | 8/1/17 | 32,150,000 | 32,148,760 |
|
| ||||
| E. I. du Pont de Nemours & Co. | 1.504 | 10/3/17 | 2,900,000 | 2,892,396 |
|
| ||||
| E. I. du Pont de Nemours & Co. | 1.392 | 8/14/17 | 14,500,000 | 14,492,111 |
|
| ||||
| E. I. du Pont de Nemours & Co. | 1.381 | 8/10/17 | 6,400,000 | 6,397,522 |
|
| ||||
| E. I. du Pont de Nemours & Co. | 1.431 | 8/8/17 | 2,300,000 | 2,299,289 |
|
| ||||
| Eastman Chemical Co. | 1.392 | 8/22/17 | 9,000,000 | 8,992,031 |
|
| ||||
| Electricite De France SA (France) | 1.541 | 9/19/17 | 24,500,000 | 24,449,877 |
|
| ||||
| Electricite De France SA (France) | 1.524 | 8/23/17 | 25,500,000 | 25,476,361 |
|
| ||||
| Enbridge US, Inc. | 1.452 | 8/3/17 | 25,000,000 | 24,997,095 |
|
| ||||
| Enbridge US, Inc. 144A | 1.472 | 8/14/17 | 17,500,000 | 17,490,227 |
|
| ||||
| Short Duration Income Fund 31 |
| Maturity | Principal | |||
| COMMERCIAL PAPER (41.5%)* cont. | Yield (%) | date | amount | Value |
|
| ||||
| Energy Transfer Partners LP | 1.750 | 8/1/17 | $51,000,000 | $50,997,601 |
|
| ||||
| Eni Finance USA, Inc. | 1.432 | 8/30/17 | 23,000,000 | 22,973,167 |
|
| ||||
| Eni Finance USA, Inc. | 1.432 | 8/25/17 | 24,300,000 | 24,276,493 |
|
| ||||
| Entergy Corp. | 1.462 | 9/1/17 | 21,000,000 | 20,969,555 |
|
| ||||
| Entergy Corp. | 1.421 | 8/23/17 | 7,104,000 | 7,096,643 |
|
| ||||
| Entergy Corp. | 1.421 | 8/22/17 | 19,500,000 | 19,480,707 |
|
| ||||
| Enterprise Products Operating, LLC | 1.402 | 8/16/17 | 13,600,000 | 13,591,291 |
|
| ||||
| Enterprise Products Operating, LLC | 1.402 | 8/11/17 | 14,650,000 | 14,643,621 |
|
| ||||
| Enterprise Products Operating, LLC 144A | 1.412 | 8/18/17 | 24,400,000 | 24,382,383 |
|
| ||||
| Equifax, Inc. | 1.433 | 8/29/17 | 18,635,000 | 18,613,098 |
|
| ||||
| ERAC USA Finance, LLC | 1.442 | 8/29/17 | 25,000,000 | 24,970,617 |
|
| ||||
| ERAC USA Finance, LLC | 1.432 | 8/23/17 | 29,500,000 | 29,472,653 |
|
| ||||
| ERP Operating LP | 1.370 | 8/4/17 | 29,000,000 | 28,995,492 |
|
| ||||
| Exelon Generation Co., LLC | 1.421 | 8/11/17 | 24,300,000 | 24,289,420 |
|
| ||||
| Experian Finance PLC (United Kingdom) | 1.402 | 8/31/17 | 9,500,000 | 9,488,294 |
|
| ||||
| Experian Finance PLC (United Kingdom) | 1.372 | 8/24/17 | 21,500,000 | 21,479,618 |
|
| ||||
| Experian Finance PLC (United Kingdom) | 1.372 | 8/11/17 | 19,500,000 | 19,491,628 |
|
| ||||
| FMC Technologies, Inc. | 1.514 | 9/11/17 | 3,500,000 | 3,494,006 |
|
| ||||
| FMC Technologies, Inc. | 1.502 | 8/4/17 | 24,250,000 | 24,246,231 |
|
| ||||
| Hawaiian Electric Co., Inc. | 1.600 | 8/1/17 | 33,000,000 | 32,998,541 |
|
| ||||
| HSBC USA, Inc. 144A | 1.156 | 10/6/17 | 19,750,000 | 19,755,728 |
|
| ||||
| Humana, Inc. | 1.472 | 8/14/17 | 43,000,000 | 42,973,095 |
|
| ||||
| Hyundai Capital America (South Korea) | 1.422 | 8/25/17 | 26,058,000 | 26,031,707 |
|
| ||||
| Interpublic Group of Cos., Inc. (The) | 1.401 | 8/2/17 | 9,000,000 | 8,999,308 |
|
| ||||
| Interpublic Group of Cos., Inc. (The) 144A | 1.449 | 8/24/17 | 31,965,000 | 31,934,612 |
|
| ||||
| Intesa Funding, LLC (Spain) | 1.504 | 8/8/17 | 43,000,000 | 42,984,701 |
|
| ||||
| Kansas City Southern | 1.702 | 8/7/17 | 29,250,000 | 29,240,330 |
|
| ||||
| Kansas City Southern | 1.550 | 8/4/17 | 17,250,000 | 17,246,749 |
|
| ||||
| KCP&L Greater Missouri Operations Co. | 1.370 | 8/4/17 | 13,125,000 | 13,122,960 |
|
| ||||
| Kinder Morgan, Inc./DE | 1.700 | 8/1/17 | 8,600,000 | 8,599,596 |
|
| ||||
| Kraft Heinz Foods Co. | 1.512 | 8/30/17 | 9,700,000 | 9,686,016 |
|
| ||||
| Kraft Heinz Foods Co. | 1.512 | 8/29/17 | 19,400,000 | 19,372,979 |
|
| ||||
| Kraft Heinz Foods Co. | 1.532 | 8/16/17 | 19,500,000 | 19,485,171 |
|
| ||||
| Macquarie Bank, Ltd. (Australia) | 1.154 | 8/21/17 | 4,000,000 | 3,997,142 |
|
| ||||
| Magna International, Inc. 144A (Canada) | 1.391 | 8/3/17 | 4,000,000 | 3,999,535 |
|
| ||||
| Marriott International, Inc./MD | 1.493 | 8/29/17 | 11,600,000 | 11,586,366 |
|
| ||||
| Marriott International, Inc./MD 144A | 1.482 | 8/23/17 | 19,500,000 | 19,481,923 |
|
| ||||
| Marriott International, Inc./MD 144A | 1.432 | 8/16/17 | 20,000,000 | 19,987,192 |
|
| ||||
| Mattel, Inc. | 1.582 | 8/31/17 | 19,500,000 | 19,474,325 |
|
| ||||
| McCormick & Co., Inc./MD | 1.342 | 8/31/17 | 5,200,000 | 5,193,593 |
|
| ||||
| McDonald’s Corp. 144A | 1.372 | 8/17/17 | 34,000,000 | 33,977,393 |
|
| ||||
| Medtronic Global Holdings SCA (Luxembourg) | 1.302 | 8/28/17 | 15,000,000 | 14,983,352 |
|
| ||||
| Medtronic Global Holdings SCA (Luxembourg) | 1.301 | 8/15/17 | 24,500,000 | 24,485,606 |
|
| ||||
| Mohawk Industries, Inc. | 1.392 | 8/11/17 | 6,000,000 | 5,997,387 |
|
| ||||
| Molson Coors Brewing Co. | 1.552 | 8/17/17 | 4,200,000 | 4,197,138 |
|
| ||||
| Molson Coors Brewing Co. | 1.612 | 8/9/17 | 33,000,000 | 32,988,302 |
|
| ||||
| Monsanto Co. | 1.492 | 8/15/17 | 19,200,000 | 19,188,480 |
|
| ||||
| Monsanto Co. | 1.502 | 8/8/17 | 29,000,000 | 28,990,888 |
|
| ||||
| National Grid USA | 1.403 | 9/20/17 | 33,000,000 | 32,931,089 |
|
| ||||
| Nationwide Building Society (United Kingdom) | 1.163 | 8/1/17 | 1,700,000 | 1,699,937 |
|
| ||||
| 32 Short Duration Income Fund |
| Maturity | Principal | |||
| COMMERCIAL PAPER (41.5%)* cont. | Yield (%) | date | amount | Value |
|
| ||||
| Nationwide Building Society 144A (United Kingdom) | 1.154 | 8/2/17 | $18,000,000 | $17,998,655 |
|
| ||||
| Newell Brands, Inc. 144A | 1.550 | 8/2/17 | 26,000,000 | 25,997,553 |
|
| ||||
| NextEra Energy Capital Holdings, Inc. | 1.504 | 9/18/17 | 33,750,000 | 33,682,335 |
|
| ||||
| NiSource Finance Corp. | 1.480 | 8/10/17 | 35,400,000 | 35,386,028 |
|
| ||||
| NiSource Finance Corp. | 1.451 | 8/2/17 | 10,524,000 | 10,523,187 |
|
| ||||
| Nissan Motor Acceptance Corp. 144A | 1.183 | 8/18/17 | 19,300,000 | 19,286,065 |
|
| ||||
| NRW.Bank (Germany) | 1.262 | 9/15/17 | 34,000,000 | 33,947,953 |
|
| ||||
| NRW.Bank (Germany) | 1.134 | 8/7/17 | 20,000,000 | 19,995,539 |
|
| ||||
| Omnicom Capital, Inc. | 1.462 | 8/7/17 | 25,000,000 | 24,993,145 |
|
| ||||
| Omnicom Capital, Inc. 144A | 1.462 | 8/18/17 | 6,600,000 | 6,595,235 |
|
| ||||
| ONEOK, Inc. | 1.771 | 8/4/17 | 14,500,000 | 14,497,429 |
|
| ||||
| ONEOK, Inc. | 1.778 | 8/2/17 | 29,000,000 | 28,997,431 |
|
| ||||
| Rabobank Nederland NV/New York, NY (Netherlands) | 1.208 | 8/7/17 | 25,000,000 | 24,994,190 |
|
| ||||
| Rogers Communications, Inc. (Canada) | 1.432 | 8/10/17 | 38,000,000 | 37,985,001 |
|
| ||||
| Rogers Communications, Inc. (Canada) | 1.441 | 8/1/17 | 10,750,000 | 10,749,585 |
|
| ||||
| Schlumberger Holdings Corp. | 1.485 | 10/3/17 | 8,900,000 | 8,876,994 |
|
| ||||
| Schlumberger Holdings Corp. | 1.404 | 8/21/17 | 19,500,000 | 19,483,870 |
|
| ||||
| Sempra Global | 1.453 | 9/6/17 | 9,200,000 | 9,186,148 |
|
| ||||
| Sempra Global | 1.425 | 8/3/17 | 25,000,000 | 24,997,095 |
|
| ||||
| Societe Generale SA (France) | 1.350 | 10/31/17 | 27,800,000 | 27,704,658 |
|
| ||||
| Southern Company Gas Capital Corp. | 1.452 | 8/17/17 | 27,250,000 | 27,231,431 |
|
| ||||
| Suncor Energy, Inc. (Canada) | 1.474 | 9/13/17 | 9,500,000 | 9,482,943 |
|
| ||||
| Suncor Energy, Inc. (Canada) | 1.422 | 8/2/17 | 13,500,000 | 13,498,957 |
|
| ||||
| Suncor Energy, Inc. 144A (Canada) | 1.494 | 9/26/17 | 15,000,000 | 14,964,897 |
|
| ||||
| TransCanada American Investments, Ltd. | 1.452 | 9/5/17 | 4,000,000 | 3,994,144 |
|
| ||||
| UDR, Inc. 144A | 1.442 | 8/30/17 | 24,500,000 | 24,470,192 |
|
| ||||
| UDR, Inc. 144A | 1.442 | 8/28/17 | 29,000,000 | 28,967,137 |
|
| ||||
| UnitedHealth Group, Inc. | 1.301 | 8/29/17 | 19,000,000 | 18,978,128 |
|
| ||||
| Viacom, Inc. 144A | 1.783 | 8/14/17 | 19,400,000 | 19,389,166 |
|
| ||||
| Westar Energy, Inc. | 1.411 | 8/9/17 | 9,040,000 | 9,036,795 |
|
| ||||
| Westpac Banking Corp. 144A (Australia) | 1.321 | 11/2/17 | 5,000,000 | 5,006,365 |
|
| ||||
| Westpac Banking Corp. 144A FRN (Australia) | 1.426 | 9/22/17 | 9,000,000 | 9,006,489 |
|
| ||||
| Whirlpool Corp. | 1.353 | 8/7/17 | 32,760,000 | 32,751,017 |
|
| ||||
| WPP CP Finance PLC (United Kingdom) | 1.431 | 8/11/17 | 28,250,000 | 28,237,699 |
|
| ||||
| WPP CP Finance PLC (United Kingdom) | 1.467 | 8/4/17 | 19,250,000 | 19,247,008 |
|
| ||||
| Xcel Energy, Inc. | 1.620 | 10/24/17 | 13,380,000 | 13,332,455 |
|
| ||||
| Total commercial paper (cost $2,824,815,257) | $2,824,758,298 | |||
|
| ||||
| Maturity | Principal | |||
| CERTIFICATES OF DEPOSIT (5.0%)* | Yield (%) | date | amount | Value |
|
| ||||
| Bank of America, NA FRN | 1.151 | 8/2/17 | $7,000,000 | $7,000,000 |
|
| ||||
| Bank of Montreal/Chicago, IL (Canada) | 1.150 | 8/14/17 | 25,000,000 | 24,998,884 |
|
| ||||
| Bank of Nova Scotia/Houston | 1.761 | 11/1/18 | 5,000,000 | 4,998,765 |
|
| ||||
| Bank of Nova Scotia/Houston FRN | 1.673 | 9/7/17 | 5,000,000 | 5,002,510 |
|
| ||||
| Bank of Nova Scotia/Houston FRN | 1.380 | 11/9/18 | 9,500,000 | 9,497,616 |
|
| ||||
| Bank of Tokyo-Mitsubishi UFJ, Ltd./New York, | ||||
| NY FRN (Japan) | 1.822 | 2/22/19 | 10,000,000 | 10,034,650 |
|
| ||||
| Bank of Tokyo-Mitsubishi UFJ, Ltd./New York, | ||||
| NY FRN (Japan) | 1.809 | 8/17/17 | 5,000,000 | 5,001,490 |
|
| ||||
| Short Duration Income Fund 33 |
| Maturity | Principal | |||
| CERTIFICATES OF DEPOSIT (5.0%)* cont. | Yield (%) | date | amount | Value |
|
| ||||
| Canadian Imperial Bank of Commerce/New | ||||
| York, NY FRN | 1.722 | 2/2/18 | $24,500,000 | $24,547,481 |
|
| ||||
| Canadian Imperial Bank of Commerce/New | ||||
| York, NY FRN | 1.680 | 8/16/17 | 7,500,000 | 7,501,680 |
|
| ||||
| Canadian Imperial Bank of Commerce/New | ||||
| York, NY FRN | 1.548 | 3/20/18 | 10,000,000 | 10,011,500 |
|
| ||||
| Canadian Imperial Bank of Commerce/New | ||||
| York, NY FRN | 1.540 | 5/29/19 | 16,300,000 | 16,294,132 |
|
| ||||
| Credit Suisse AG/New York, NY FRN | 2.028 | 9/12/17 | 5,000,000 | 5,004,860 |
|
| ||||
| Credit Suisse AG/New York, NY FRN | 1.980 | 8/24/17 | 5,000,000 | 5,002,645 |
|
| ||||
| Deutsche Bank AG/New York, NY (Germany) | 1.500 | 10/19/17 | 24,400,000 | 24,402,501 |
|
| ||||
| National Bank of Canada/New York, NY FRN | 1.750 | 5/8/19 | 19,500,000 | 19,470,516 |
|
| ||||
| Nordea Bank AB/New York, NY FRN | 1.560 | 3/7/19 | 10,000,000 | 9,996,830 |
|
| ||||
| Nordea Bank AB/New York, NY FRN | 1.552 | 2/21/19 | 6,000,000 | 5,998,158 |
|
| ||||
| Nordea Bank Finland PLC/New York FRN | 1.723 | 9/6/17 | 13,000,000 | 13,006,903 |
|
| ||||
| Royal Bank of Canada/New York, NY FRN (Canada) | 1.704 | 10/13/17 | 10,000,000 | 10,009,180 |
|
| ||||
| Royal Bank of Canada/New York, NY FRN (Canada) | 1.519 | 12/8/17 | 5,000,000 | 5,004,630 |
|
| ||||
| Skandinaviska Enskilda Banken AB/New York, NY FRN | 1.659 | 2/21/18 | 2,000,000 | 2,003,758 |
|
| ||||
| Skandinaviska Enskilda Banken AB/New York, NY FRN | 1.430 | 5/3/19 | 19,750,000 | 19,743,167 |
|
| ||||
| Skandinaviska Enskilda Banken AB/New York, NY FRN | 1.382 | 2/22/18 | 10,000,000 | 10,009,980 |
|
| ||||
| Societe Generale/New York, NY (France) | 1.200 | 8/31/17 | 1,300,000 | 1,300,402 |
|
| ||||
| Sumitomo Mitsui Banking Corp/New York FRN (Japan) | 1.678 | 6/5/19 | 19,650,000 | 19,642,847 |
|
| ||||
| Svenska Handelsbanken/New York, NY FRN (Sweden) | 1.642 | 8/24/17 | 10,000,000 | 10,003,040 |
|
| ||||
| Svenska Handelsbanken/New York, NY FRN (Sweden) | 1.439 | 2/12/19 | 20,000,000 | 19,993,940 |
|
| ||||
| Svenska Handelsbanken/New York, NY FRN (Sweden) | 1.516 | 6/7/19 | 9,750,000 | 9,746,441 |
|
| ||||
| Svenska Handelsbanken/New York, NY FRN (Sweden) | 1.422 | 8/15/17 | 18,000,000 | 18,001,872 |
|
| ||||
| Toronto-Dominion Bank/NY (Canada) | 1.746 | 11/20/17 | 10,000,000 | 10,013,950 |
|
| ||||
| Total certificates of deposit (cost $343,141,623) | $343,244,328 | |||
|
| ||||
| Interest | Maturity | Principal | ||
| MORTGAGE-BACKED SECURITIES (2.8%)* | rate (%) | date | amount | Value |
|
| ||||
| Agency collateralized mortgage obligations (1.1%) | ||||
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
|
| ||||
| Ser. 1619, Class PZ | 6.500 | 11/15/23 | $117,617 | $127,228 |
|
| ||||
| Ser. 3724, Class CM | 5.500 | 6/15/37 | 196,491 | 218,810 |
|
| ||||
| Ser. 3316, Class CD | 5.500 | 5/15/37 | 77,610 | 86,059 |
|
| ||||
| Ser. 2503, Class B | 5.500 | 9/15/17 | 1,129 | 1,131 |
|
| ||||
| Ser. 2561, Class BD | 5.000 | 2/15/18 | 25,182 | 25,293 |
|
| ||||
| Ser. 2541, Class JC | 5.000 | 12/15/17 | 8,118 | 8,142 |
|
| ||||
| Ser. 2542, Class ES | 5.000 | 12/15/17 | 1,453 | 1,457 |
|
| ||||
| Ser. 2519, Class AH | 5.000 | 11/15/17 | 13,909 | 13,937 |
|
| ||||
| Ser. 2513, Class DB | 5.000 | 10/15/17 | 1,221 | 1,223 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 13-DN1, Class M1 | 4.632 | 7/25/23 | 46,422 | 47,146 |
|
| ||||
| Ser. 3539, Class PM | 4.500 | 5/15/37 | 24,515 | 25,673 |
|
| ||||
| Ser. 2958, Class QD | 4.500 | 4/15/20 | 8,210 | 8,273 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 16-DNA1, Class M2 | 4.132 | 7/25/28 | 574,000 | 597,861 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 15-DNA3, Class M2 | 4.082 | 4/25/28 | 4,181,518 | 4,350,504 |
|
| ||||
| 34 Short Duration Income Fund |
| Interest | Maturity | Principal | ||
| MORTGAGE-BACKED SECURITIES (2.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Agency collateralized mortgage obligations cont. | ||||
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 15-HQA2, Class M2 | 4.032 | 5/25/28 | $3,994,404 | $4,137,084 |
|
| ||||
| Ser. 2854, Class DL | 4.000 | 9/15/19 | 44,840 | 45,277 |
|
| ||||
| Ser. 2864, Class GB | 4.000 | 9/15/19 | 37,933 | 38,464 |
|
| ||||
| Ser. 2783, Class AY | 4.000 | 4/15/19 | 28,476 | 28,726 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 15-HQA1, Class M2 | 3.882 | 3/25/28 | 8,007,059 | 8,236,141 |
|
| ||||
| Structured Agency Credit Risk Debt FRN Ser. 14-HQ3, | ||||
| Class M2, IO | 3.882 | 10/25/24 | 1,308,531 | 1,316,120 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 15-DNA2, Class M2 | 3.832 | 12/25/27 | 16,234,318 | 16,665,826 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 15-DN1, Class M2 | 3.632 | 1/25/25 | 2,645,912 | 2,656,046 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 14-DN3, Class M2 | 3.632 | 8/25/24 | 336,593 | 337,009 |
|
| ||||
| Ser. 3805, Class AK | 3.500 | 4/15/24 | 3,149 | 3,149 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 16-DNA2, Class M2 | 3.432 | 10/25/28 | 6,745,000 | 6,878,705 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 15-HQ1, Class M2 | 3.432 | 3/25/25 | 3,582,717 | 3,624,837 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 14-DN1, Class M2 | 3.432 | 2/25/24 | 3,125,010 | 3,225,540 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 16-DNA3, Class M2 | 3.232 | 12/25/28 | 186,000 | 190,491 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 14-DN2, Class M2 | 2.882 | 4/25/24 | 6,407,980 | 6,527,379 |
|
| ||||
| Structured Agency Credit Risk Debt FRN | ||||
| Ser. 16-DNA3, Class M1 | 2.332 | 12/25/28 | 3,005,132 | 3,015,503 |
|
| ||||
| Ser. 3611, PO | 0.000 | 7/15/34 | 60,746 | 53,271 |
|
| ||||
| Federal National Mortgage Association | ||||
|
| ||||
| Ser. 11-15, Class AB | 9.750 | 8/25/19 | 34,878 | 35,920 |
|
| ||||
| Ser. 10-110, Class AE | 9.750 | 11/25/18 | 28,449 | 29,383 |
|
| ||||
| Ser. 05-48, Class AR | 5.500 | 2/25/35 | 56,111 | 58,089 |
|
| ||||
| Ser. 08-8, Class PA | 5.000 | 2/25/38 | 75,126 | 77,874 |
|
| ||||
| Ser. 09-15, Class MC | 5.000 | 3/25/24 | 11,941 | 12,162 |
|
| ||||
| Ser. 02-73, Class OE | 5.000 | 11/25/17 | 3,236 | 3,240 |
|
| ||||
| Ser. 09-100, Class PA | 4.500 | 4/25/39 | 5,055 | 5,094 |
|
| ||||
| Ser. 11-60, Class PA | 4.000 | 10/25/39 | 20,771 | 21,445 |
|
| ||||
| Ser. 11-36, Class PA | 4.000 | 2/25/39 | 110,639 | 111,557 |
|
| ||||
| Ser. 03-43, Class YA | 4.000 | 3/25/33 | 219,073 | 221,528 |
|
| ||||
| Ser. 04-27, Class HB | 4.000 | 5/25/19 | 15,944 | 16,141 |
|
| ||||
| Ser. 03-128, Class NG | 4.000 | 1/25/19 | 26,323 | 26,552 |
|
| ||||
| Ser. 11-20, Class PC | 3.500 | 3/25/39 | 45,699 | 46,484 |
|
| ||||
| Ser. 10-155, Class A | 3.500 | 9/25/25 | 16,286 | 16,545 |
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 16-C03, Class 2M1 | 3.432 | 10/25/28 | 354,573 | 359,466 |
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 16-C02, Class 1M1 | 3.382 | 9/25/28 | 542,023 | 549,493 |
|
| ||||
| Short Duration Income Fund 35 |
| Interest | Maturity | Principal | ||
| MORTGAGE-BACKED SECURITIES (2.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Agency collateralized mortgage obligations cont. | ||||
|
| ||||
| Federal National Mortgage Association | ||||
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 16-C01, Class 2M1 | 3.332 | 8/25/28 | $415,720 | $420,232 |
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 16-C03, Class 1M1 | 3.232 | 10/25/28 | 206,847 | 211,013 |
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 13-C01, Class M1 | 3.232 | 10/25/23 | 61,800 | 62,458 |
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 16-C01, Class 1M1 | 3.182 | 8/25/28 | 441,626 | 446,997 |
|
| ||||
| Ser. 11-42, Class BJ | 3.000 | 8/25/25 | 172,252 | 173,051 |
|
| ||||
| Ser. 10-43, Class KG | 3.000 | 1/25/21 | 39,371 | 39,725 |
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 15-C04, Class 2M1 | 2.932 | 4/25/28 | 39,312 | 39,375 |
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 14-C01, Class M1 | 2.832 | 1/25/24 | 370,998 | 374,796 |
|
| ||||
| Ser. 11-23, Class AB | 2.750 | 6/25/20 | 20,860 | 20,925 |
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 16-C05, Class 2M1 | 2.582 | 1/25/29 | 6,749,901 | 6,805,177 |
|
| ||||
| Ser. 10-81, Class AP | 2.500 | 7/25/40 | 89,720 | 89,850 |
|
| ||||
| Connecticut Avenue Securities FRB | ||||
| Ser. 14-C02, Class 2M1 | 2.182 | 5/25/24 | 9,175 | 9,188 |
|
| ||||
| FRB Ser. 10-90, Class GF | 1.732 | 8/25/40 | 1,604,439 | 1,595,775 |
|
| ||||
| FRB Ser. 06-74, Class FL | 1.582 | 8/25/36 | 328,974 | 327,978 |
|
| ||||
| FRB Ser. 05-63, Class FC | 1.482 | 10/25/31 | 853,267 | 850,540 |
|
| ||||
| Ser. 92-96, Class B, PO | 0.000 | 5/25/22 | 5,333 | 5,232 |
|
| ||||
| Government National Mortgage Association | ||||
|
| ||||
| Ser. 10-39, Class PH | 4.500 | 11/20/38 | 56,633 | 57,487 |
|
| ||||
| Ser. 09-32, Class AB | 4.000 | 5/16/39 | 21,757 | 23,088 |
|
| ||||
| 75,636,165 | ||||
|
| ||||
| Commercial mortgage-backed securities (—%) | ||||
|
| ||||
| JPMorgan Chase Commercial Mortgage Securities | ||||
| Trust Ser. 04-LN2, Class A2 | 5.115 | 7/15/41 | 62,874 | 63,062 |
|
| ||||
| 63,062 | ||||
|
| ||||
| Residential mortgage-backed securities (non-agency) (1.7%) | ||||
|
| ||||
| Accredited Mortgage Loan Trust FRB Ser. 06-2, Class A3 | 1.382 | 9/25/36 | 588,474 | 582,590 |
|
| ||||
| BCAP, LLC Trust 144A FRB Ser. 15-RR6, Class 3A1 | 1.672 | 5/26/46 | 1,651,895 | 1,635,706 |
|
| ||||
| Bear Stearns Asset Backed Securities I Trust | ||||
|
| ||||
| FRB Ser. 05-FR1, Class M1 | 1.982 | 6/25/35 | 2,169,599 | 2,172,020 |
|
| ||||
| FRB Ser. 05-TC1, Class M1 | 1.892 | 5/25/35 | 1,847,104 | 1,828,633 |
|
| ||||
| FRB Ser. 06-HE1, Class 1M1 | 1.642 | 12/25/35 | 1,351,718 | 1,349,270 |
|
| ||||
| Bear Stearns Asset Backed Securities Trust | ||||
|
| ||||
| FRB Ser. 05-SD3, Class 1A | 1.722 | 7/25/35 | 3,133,899 | 3,118,119 |
|
| ||||
| FRB Ser. 05-SD2, Class 1A3 | 1.632 | 3/25/35 | 644,009 | 642,439 |
|
| ||||
| Citigroup Mortgage Loan Trust, Inc. | ||||
|
| ||||
| FRB Ser. 06-WFH3, Class M1 | 1.522 | 10/25/36 | 22,568,000 | 22,218,783 |
|
| ||||
| FRB Ser. 06-WFH3, Class A4 | 1.472 | 10/25/36 | 744,533 | 733,365 |
|
| ||||
| Countrywide Asset-Backed Certificates Trust | ||||
|
| ||||
| FRB Ser. 05-16, Class 3AV | 1.462 | 5/25/36 | 11,507,473 | 11,392,398 |
|
| ||||
| FRB Ser. 06-2, Class 1A1 | 1.432 | 6/25/36 | 7,132,158 | 7,115,133 |
|
| ||||
| CSMC Trust 144A FRB Ser. 14-5R, Class 6A1 | 1.366 | 10/27/36 | 4,036,822 | 4,038,867 |
|
| ||||
| 36 Short Duration Income Fund |
| Interest | Maturity | Principal | ||
| MORTGAGE-BACKED SECURITIES (2.8%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| Residential mortgage-backed securities (non-agency) cont. | ||||
|
| ||||
| First Franklin Mortgage Loan Trust FRB | ||||
| Ser. 06-FF1, Class 1A | 1.452 | 1/25/36 | $2,829,711 | $2,822,135 |
|
| ||||
| GE-WMC Asset-Backed Pass-Through Certificates FRB | ||||
| Ser. 05-2, Class A1 | 1.457 | 12/25/35 | 6,395,105 | 6,345,383 |
|
| ||||
| GSAA Home Equity Trust FRB Ser. 05-6, Class A3 | 1.602 | 6/25/35 | 4,451,209 | 4,428,953 |
|
| ||||
| GSAMP Trust FRB Ser. 06-HE7, Class A2D | 1.462 | 10/25/46 | 1,988,277 | 1,966,605 |
|
| ||||
| GSMSC Resecuritization Trust 144A FRB | ||||
| Ser. 09-6R, Class 3A1 | 3.040 | 2/26/36 | 2,522,018 | 2,557,865 |
|
| ||||
| JPMorgan Mortgage Acquisition Trust FRB | ||||
| Ser. 06-CH1, Class A5 | 1.462 | 7/25/36 | 1,743,315 | 1,736,542 |
|
| ||||
| Long Beach Mortgage Loan Trust FRB | ||||
| Ser. 06-WL3, Class 2A3 | 1.432 | 1/25/36 | 2,055,403 | 2,081,095 |
|
| ||||
| Merrill Lynch Mortgage Investors Trust FRB | ||||
| Ser. 06-FF1, Class M2 | 1.522 | 8/25/36 | 10,000,000 | 9,970,698 |
|
| ||||
| Opteum Mortgage Acceptance Corp. Asset Backed | ||||
| Pass-Through Certificates FRB Ser. 05-1, Class M3 | 2.087 | 2/25/35 | 1,410,573 | 1,412,061 |
|
| ||||
| Opteum Mortgage Acceptance Corp. Trust FRB | ||||
| Ser. 05-4, Class 1A1C | 1.642 | 11/25/35 | 882,395 | 880,806 |
|
| ||||
| Park Place Securities, Inc. FRB Ser. 05-WHQ2, Class M1 | 1.862 | 5/25/35 | 1,531,084 | 1,533,276 |
|
| ||||
| Residential Asset Mortgage Products Trust FRB | ||||
| Ser. 05-EFC2, Class M3 | 1.967 | 7/25/35 | 849,454 | 849,558 |
|
| ||||
| Residential Asset Mortgage Products, Inc. Trust FRB | ||||
| Ser. 06-RZ4, Class A2 | 1.412 | 10/25/36 | 4,060,295 | 4,055,754 |
|
| ||||
| Residential Asset Securities Corp., Trust FRB | ||||
| Ser. 05-KS11, Class M1 | 1.632 | 12/25/35 | 2,584,358 | 2,570,558 |
|
| ||||
| Structured Asset Investment Loan Trust FRB | ||||
| Ser. 04-7, Class A7 | 2.072 | 8/25/34 | 5,398,050 | 5,398,597 |
|
| ||||
| Structured Asset Securities Corp Mortgage Loan Trust | ||||
|
| ||||
| FRB Ser. 06-WF1, Class M1 | 1.552 | 2/25/36 | 3,501,886 | 3,489,490 |
|
| ||||
| FRB Ser. 06-OPT1, Class A5 | 1.492 | 4/25/36 | 3,321,834 | 3,276,158 |
|
| ||||
| FRB Ser. 06-NC1, Class A4 | 1.382 | 5/25/36 | 1,150,821 | 1,142,212 |
|
| ||||
| 113,345,069 | ||||
|
| ||||
| Total mortgage-backed securities (cost $188,361,592) | $189,044,296 | |||
|
| ||||
| Maturity | Principal | |||
| ASSET-BACKED COMMERCIAL PAPER (2.0%)* | Yield (%) | date | amount | Value |
|
| ||||
| Alpine Securitization, Ltd. (Cayman Islands) | 1.283 | 9/22/17 | $1,750,000 | $1,746,741 |
|
| ||||
| Atlantic Asset Securitization, LLC | 1.304 | 9/21/17 | 5,000,000 | 4,990,792 |
|
| ||||
| CAFCO, LLC | 1.187 | 8/8/17 | 25,000,000 | 24,993,606 |
|
| ||||
| Gotham Funding Corp. (Japan) | 1.324 | 9/27/17 | 19,750,000 | 19,709,621 |
|
| ||||
| LMA-Americas, LLC (France) | 1.252 | 9/5/17 | 9,200,000 | 9,188,463 |
|
| ||||
| LMA-Americas, LLC (France) | 1.184 | 8/17/17 | 14,000,000 | 13,991,968 |
|
| ||||
| LMA-Americas, LLC (France) | 1.173 | 8/7/17 | 5,800,000 | 5,798,647 |
|
| ||||
| MetLife Short Term Funding, LLC 144A | 1.153 | 8/22/17 | 14,750,000 | 14,739,193 |
|
| ||||
| Sheffield Receivables Co. LLC (United Kingdom) | 1.304 | 9/29/17 | 24,000,000 | 23,947,999 |
|
| ||||
| Thunder Bay Funding, LLC | 1.254 | 9/15/17 | 19,600,000 | 19,568,411 |
|
| ||||
| Total asset-backed commercial paper (cost $138,679,224) | $138,675,441 | |||
|
| ||||
| Short Duration Income Fund 37 |
| Interest | Maturity | Principal | ||
| ASSET-BACKED SECURITIES (0.6%)* | rate (%) | date | amount | Value |
|
| ||||
| Mortgage Repurchase Agreement Financing Trust 144A | ||||
|
| ||||
| FRB Ser. 16-2, Class A | 2.524 | 3/10/19 | $3,155,000 | $3,155,000 |
|
| ||||
| FRB Ser. 16-4, Class A1 | 2.424 | 5/10/19 | 3,898,000 | 3,898,000 |
|
| ||||
| FRB Ser. 16-5, Class A | 2.394 | 6/10/19 | 25,000,000 | 25,000,000 |
|
| ||||
| Station Place Securitization Trust 144A FRB | ||||
| Ser. 17-1, Class A | 2.132 | 2/25/49 | 7,817,000 | 7,817,000 |
|
| ||||
| Total asset-backed securities (cost $39,871,102) | $39,870,000 | |||
|
| ||||
| U.S. GOVERNMENT AND AGENCY | Interest | Maturity | Principal | |
| MORTGAGE OBLIGATIONS (—%)* | rate (%) | date | amount | Value |
|
| ||||
| U.S. Government Guaranteed Mortgage Obligations (—%) | ||||
|
| ||||
| Government National Mortgage Association | ||||
| Pass-Through Certificates | 4.500 | 10/15/19 | $29,556 | $30,125 |
|
| ||||
| Government National Mortgage Association | ||||
| Pass-Through Certificates | 4.500 | 5/15/18 | 14,434 | 14,564 |
|
| ||||
| 44,689 | ||||
|
| ||||
| U.S. Government Agency Mortgage Obligations (—%) | ||||
|
| ||||
| Federal Home Loan Mortgage Corporation | 4.500 | 10/1/18 | 5,055 | 5,101 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 6.500 | 3/1/19 | 22,141 | 22,777 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 6.000 | 2/1/19 | 259 | 259 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 6.000 | 9/1/17 | 4,405 | 4,410 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 5.500 | 11/1/18 | 9,371 | 9,468 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 5.500 | 4/1/18 | 9,117 | 9,177 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 5.000 | 5/1/21 | 33,897 | 34,904 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 5.000 | 11/1/19 | 31,690 | 32,393 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 5.000 | 5/1/18 | 5,071 | 5,118 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 5.000 | 3/1/18 | 6,484 | 6,641 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 5.000 | 2/1/18 | 5,618 | 5,755 |
|
| ||||
| Federal Home Loan Mortgage Corporation | ||||
| Pass-Through Certificates | 4.500 | 8/1/18 | 13,025 | 13,185 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 6.500 | 12/1/19 | 3,568 | 3,651 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 6.500 | 8/1/17 | 2 | 2 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 6.000 | 5/1/23 | 20,572 | 21,785 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 6.000 | 9/1/19 | 729 | 735 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 6.000 | 9/1/18 | 9,063 | 9,219 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 6.000 | 12/1/17 | 1,151 | 1,153 |
|
| ||||
| 38 Short Duration Income Fund |
| U.S. GOVERNMENT AND AGENCY | Interest | Maturity | Principal | |
| MORTGAGE OBLIGATIONS (—%)* cont. | rate (%) | date | amount | Value |
|
| ||||
| U.S. Government Agency Mortgage Obligations cont. | ||||
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 5.500 | 11/1/23 | $28,631 | $29,578 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 5.500 | 6/1/20 | 35,221 | 36,075 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 5.500 | 11/1/18 | 11,003 | 11,095 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 5.500 | 4/1/18 | 11,011 | 11,086 |
|
| ||||
| Federal National Mortgage Association | ||||
| Pass-Through Certificates | 5.000 | 11/1/19 | 34,144 | 34,984 |
|
| ||||
| 308,551 | ||||
|
| ||||
| Total U.S. government and agency mortgage obligations (cost $369,530) | $353,240 | |||
|
| ||||
| TOTAL INVESTMENTS | ||||
|
| ||||
| Total investments (cost $6,849,969,759) | $6,859,275,252 | |||
|
| ||||
Key to holding’s abbreviations
| BKNT | Bank Note |
| EMTN | Euro Medium Term Notes |
| FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period |
| FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period |
| GMTN | Global Medium Term Notes |
| IO | Interest Only |
| MTN | Medium Term Notes |
| PO | Principal Only |
Notes to the fund’s portfolio
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from August 1, 2016 through July 31, 2017 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, 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.
* Percentages indicated are based on net assets of $6,809,427,795.
R Real Estate Investment Trust.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
| Short Duration Income Fund 39 |
| 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 | 64.4% | Japan | 2.0% | |
|
|
| |||
| Canada | 7.4 | Germany | 1.6 | |
|
|
| |||
| United Kingdom | 5.5 | Denmark | 1.0 | |
|
|
| |||
| Australia | 4.9 | Luxembourg | 0.9 | |
|
|
| |||
| Netherlands | 4.6 | Spain | 0.6 | |
|
|
| |||
| France | 3.7 | Other | 1.0 | |
|
|
| |||
| Sweden | 2.4 | Total | 100.0% | |
|
|
||||
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
| Valuation inputs | ||||||
|
| ||||||
| Investments in securities: | Level 1 | Level 2 | Level 3 | |||
|
| ||||||
| Asset-backed commercial paper | $— | $138,675,441 | $— | |||
|
| ||||||
| Asset-backed securities | — | 39,870,000 | — | |||
|
| ||||||
| Certificates of deposit | — | 343,244,328 | — | |||
|
| ||||||
| Commercial paper | — | 2,824,758,298 | — | |||
|
| ||||||
| Corporate bonds and notes | — | 3,323,329,649 | — | |||
|
| ||||||
| Mortgage-backed securities | — | 189,044,296 | — | |||
|
| ||||||
| U.S. government and agency mortgage obligations | — | 353,240 | — | |||
|
| ||||||
| Totals by level | $— | $6,859,275,252 | $— | |||
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.
The accompanying notes are an integral part of these financial statements.
| 40 Short Duration Income Fund |
Statement of assets and liabilities 7/31/17
| ASSETS | |
|
| |
| Investment in securities, at value (Note 1): | |
| Unaffiliated issuers (identified cost $6,849,969,759) | $6,859,275,252 |
|
| |
| Cash | 2,511,305 |
|
| |
| Interest and other receivables | 12,363,960 |
|
| |
| Receivable for shares of the fund sold | 22,503,398 |
|
| |
| Prepaid assets | 546,562 |
|
| |
| Total assets | 6,897,200,477 |
|
| |
| LIABILITIES | |
|
| |
| Payable for investments purchased | 50,385,122 |
|
| |
| Payable for shares of the fund repurchased | 34,297,975 |
|
| |
| Payable for compensation of Manager (Note 2) | 423,994 |
|
| |
| Payable for custodian fees (Note 2) | 32,609 |
|
| |
| Payable for investor servicing fees (Note 2) | 917,123 |
|
| |
| Payable for Trustee compensation and expenses (Note 2) | 172,137 |
|
| |
| Payable for administrative services (Note 2) | 25,044 |
|
| |
| Payable for distribution fees (Note 2) | 336,173 |
|
| |
| Distributions payable to shareholders | 483,599 |
|
| |
| Other accrued expenses | 698,906 |
|
| |
| Total liabilities | 87,772,682 |
| Net assets | $6,809,427,795 |
|
| |
| REPRESENTED BY | |
|
| |
| Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $6,798,513,490 |
|
| |
| Undistributed net investment income (Note 1) | 66,204 |
|
| |
| Accumulated net realized gain on investments (Note 1) | 1,542,608 |
|
| |
| Net unrealized appreciation of investments | 9,305,493 |
|
| |
| Total — Representing net assets applicable to capital shares outstanding | $6,809,427,795 |
|
| |
| COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
|
| |
| Net asset value, offering price and redemption price per class A share | |
| ($3,843,494,024 divided by 382,208,067 shares) | $10.06 |
|
| |
| Net asset value and offering price per class B share ($1,750,687 divided by 174,307 shares)* | $10.04 |
|
| |
| Net asset value and offering price per class C share ($24,161,805 divided by 2,405,638 shares)* | $10.04 |
|
| |
| Net asset value, offering price and redemption price per class M share | |
| ($6,912,030 divided by 687,883 shares) | $10.05 |
|
| |
| Net asset value, offering price and redemption price per class R share | |
| ($4,178,498 divided by 415,972 shares) | $10.05 |
|
| |
| Net asset value, offering price and redemption price per class R6 share | |
| ($3,150,723 divided by 312,894 shares) | $10.07 |
|
| |
| Net asset value, offering price and redemption price per class Y share | |
| ($2,925,780,028 divided by 290,661,864 shares) | $10.07 |
* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
The accompanying notes are an integral part of these financial statements.
| Short Duration Income Fund 41 |
Statement of operations Year ended 7/31/17
| INVESTMENT INCOME | |
|
| |
| Interest (net of foreign tax of $13,930) | $72,626,779 |
|
| |
| Total investment income | 72,626,779 |
|
| |
| EXPENSES | |
|
| |
| Compensation of Manager (Note 2) | 18,133,653 |
|
| |
| Investor servicing fees (Note 2) | 3,067,225 |
|
| |
| Custodian fees (Note 2) | 83,907 |
|
| |
| Trustee compensation and expenses (Note 2) | 311,894 |
|
| |
| Distribution fees (Note 2) | 3,225,141 |
|
| |
| Administrative services (Note 2) | 162,411 |
|
| |
| Other | 2,037,745 |
|
| |
| Fees waived and reimbursed by Manager (Note 2) | (8,094,699) |
|
| |
| Total expenses | 18,927,277 |
|
| |
| Expense reduction (Note 2) | (21,673) |
|
| |
| Net expenses | 18,905,604 |
| Net investment income | 53,721,175 |
|
| |
| Net realized gain on securities from unaffiliated issuers (Notes 1 and 3) | 2,073,294 |
|
| |
| Net unrealized appreciation of securities in unaffiliated issuers during the year | 8,402,262 |
|
| |
| Net gain on investments | 10,475,556 |
| Net increase in net assets resulting from operations | $64,196,731 |
|
| |
The accompanying notes are an integral part of these financial statements.
| 42 Short Duration Income Fund |
Statement of changes in net assets
| INCREASE IN NET ASSETS | Year ended 7/31/17 | Year ended 7/31/16 |
|
| ||
| Operations | ||
|
| ||
| Net investment income | $53,721,175 | $16,937,364 |
|
| ||
| Net realized gain (loss) on investments | 2,073,294 | (530,687) |
|
| ||
| Net unrealized appreciation of investments | 8,402,262 | 3,176,056 |
|
| ||
| Net increase in net assets resulting from operations | 64,196,731 | 19,582,733 |
|
| ||
| Distributions to shareholders (Note 1): | ||
| From ordinary income | ||
| Net investment income | ||
|
| ||
| Class A | (30,316,117) | (9,577,288) |
|
| ||
| Class B | (11,176) | (4,487) |
|
| ||
| Class C | (118,824) | (42,319) |
|
| ||
| Class M | (91,346) | (51,703) |
|
| ||
| Class R | (20,043) | (3,892) |
|
| ||
| Class R5 | — | (18) |
|
| ||
| Class R6 | (29,758) | (14,317) |
|
| ||
| Class Y | (23,152,721) | (7,115,185) |
|
| ||
| From net realized long-term gain on investments | ||
| Class A | — | (226,929) |
|
| ||
| Class B | — | (275) |
|
| ||
| Class C | — | (2,300) |
|
| ||
| Class M | — | (1,410) |
|
| ||
| Class R | — | (193) |
|
| ||
| Class R5 | — | — |
|
| ||
| Class R6 | — | (210) |
|
| ||
| Class Y | — | (138,434) |
|
| ||
| Increase from capital share transactions (Note 4) | 3,457,216,195 | 1,243,039,964 |
|
| ||
| Total increase in net assets | 3,467,672,941 | 1,245,443,737 |
|
| ||
| NET ASSETS | ||
|
| ||
| Beginning of year | 3,341,754,854 | 2,096,311,117 |
|
| ||
| End of year (including undistributed net investment | ||
| income of $66,204 and $85,014, respectively) | $6,809,427,795 | $3,341,754,854 |
The accompanying notes are an integral part of these financial statements.
| Short Duration Income Fund 43 |
Financial highlights (For a common share outstanding throughout the period)
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
|
| |||||||||||||
| Ratio | Ratio of net | ||||||||||||
| Net asset | Net realized | From | of expenses | investment | |||||||||
| value, | and unrealized | Total from | net | From | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | |||
| beginning | Net investment | gain (loss) | investment | investment | net realized gain | Total | value, end | at net asset | end of period | net assets | to average | turnover | |
| Period ended | of period | income (loss)a | on investments | operations | income | on investments | distributions | of period | value (%)b | (in thousands) | (%)c,d | net assets (%)d | (%) |
|
| |||||||||||||
| Class A | |||||||||||||
|
| |||||||||||||
| July 31, 2017 | $10.04 | .10 | .02 | .12 | (.10) | — | (.10) | $10.06 | 1.17 | $3,843,494 | .40 | .99 | 45 |
|
| |||||||||||||
| July 31, 2016 | 10.03 | .06 | .01 | .07 | (.06) | —e | (.06) | 10.04 | .76 | 1,926,055 | .40 | .65 | 51 |
|
| |||||||||||||
| July 31, 2015 | 10.06 | .04 | (.02) | .02 | (.04) | (.01) | (.05) | 10.03 | .20 | 1,411,923 | .40 | .41 | 46 |
|
| |||||||||||||
| July 31, 2014 | 10.03 | .05 | .03 | .08 | (.05) | —e | (.05) | 10.06 | .81 | 1,603,517 | .40 | .47 | 45 |
|
| |||||||||||||
| July 31, 2013 | 10.02 | .05 | .02 | .07 | (.06) | —e | (.06) | 10.03 | .69 | 1,005,695 | .40 | .53 | 24 |
|
| |||||||||||||
| Class B | |||||||||||||
|
| |||||||||||||
| July 31, 2017 | $10.02 | .06 | .02 | .08 | (.06) | — | (.06) | $10.04 | .76 | $1,751 | .80 | .55 | 45 |
|
| |||||||||||||
| July 31, 2016 | 10.02 | .02 | —e | .02 | (.02) | —e | (.02) | 10.02 | .26 | 2,042 | .80f | .27f | 51 |
|
| |||||||||||||
| July 31, 2015 | 10.05 | —e | (.02) | (.02) | —e | (.01) | (.01) | 10.02 | (.18) | 1,091 | .79f | .02f | 46 |
|
| |||||||||||||
| July 31, 2014 | 10.02 | .01 | .03 | .04 | (.01) | —e | (.01) | 10.05 | .42 | 583 | .79f | .09f | 45 |
|
| |||||||||||||
| July 31, 2013 | 10.01 | .01 | .02 | .03 | (.02) | —e | (.02) | 10.02 | .29 | 326 | .80 | .14 | 24 |
|
| |||||||||||||
| Class C | |||||||||||||
|
| |||||||||||||
| July 31, 2017 | $10.02 | .06 | .02 | .08 | (.06) | — | (.06) | $10.04 | .76 | $24,162 | .80 | .57 | 45 |
|
| |||||||||||||
| July 31, 2016 | 10.02 | .02 | —e | .02 | (.02) | —e | (.02) | 10.02 | .26 | 17,590 | .80f | .28f | 51 |
|
| |||||||||||||
| July 31, 2015 | 10.05 | —e | (.02) | (.02) | —e | (.01) | (.01) | 10.02 | (.18) | 9,622 | .79f | .02f | 46 |
|
| |||||||||||||
| July 31, 2014 | 10.02 | .01 | .03 | .04 | (.01) | —e | (.01) | 10.05 | .42 | 8,586 | .79f | .09f | 45 |
|
| |||||||||||||
| July 31, 2013 | 10.01 | .01 | .02 | .03 | (.02) | —e | (.02) | 10.02 | .29 | 6,292 | .80 | .13 | 24 |
|
| |||||||||||||
| Class M | |||||||||||||
|
| |||||||||||||
| July 31, 2017 | $10.03 | .09 | .02 | .11 | (.09) | — | (.09) | $10.05 | 1.12 | $6,912 | .45 | .90 | 45 |
|
| |||||||||||||
| July 31, 2016 | 10.02 | .06 | .01 | .07 | (.06) | —e | (.06) | 10.03 | .71 | 10,323 | .45 | .61 | 51 |
|
| |||||||||||||
| July 31, 2015 | 10.05 | .04 | (.02) | .02 | (.04) | (.01) | (.05) | 10.02 | .15 | 6,913 | .45 | .36 | 46 |
|
| |||||||||||||
| July 31, 2014 | 10.02 | .04 | .03 | .07 | (.04) | —e | (.04) | 10.05 | .76 | 777 | .45 | .43 | 45 |
|
| |||||||||||||
| July 31, 2013 | 10.02 | .05 | —e | .05 | (.05) | —e | (.05) | 10.02 | .54 | 1,267 | .45 | .49 | 24 |
|
| |||||||||||||
| Class R | |||||||||||||
|
| |||||||||||||
| July 31, 2017 | $10.02 | .06 | .03 | .09 | (.06) | — | (.06) | $10.05 | .86 | $4,178 | .80 | .58 | 45 |
|
| |||||||||||||
| July 31, 2016 | 10.02 | .02 | —e | .02 | (.02) | —e | (.02) | 10.02 | .26 | 2,393 | .79f | .26f | 51 |
|
| |||||||||||||
| July 31, 2015 | 10.05 | —e | (.02) | (.02) | —e | (.01) | (.01) | 10.02 | (.18) | 2,131 | .79f | .03f | 46 |
|
| |||||||||||||
| July 31, 2014 | 10.02 | .01 | .03 | .04 | (.01) | —e | (.01) | 10.05 | .42 | 1,407 | .79f | .10f | 45 |
|
| |||||||||||||
| July 31, 2013 | 10.01 | .01 | .02 | .03 | (.02) | —e | (.02) | 10.02 | .29 | 1,172 | .80 | .10 | 24 |
|
| |||||||||||||
| Class R6 | |||||||||||||
|
| |||||||||||||
| July 31, 2017 | $10.05 | .11 | .02 | .13 | (.11) | — | (.11) | $10.07 | 1.27 | $3,151 | .29 | 1.08 | 45 |
|
| |||||||||||||
| July 31, 2016 | 10.04 | .07 | .01 | .08 | (.07) | —e | (.07) | 10.05 | .87 | 2,270 | .29 | .79 | 51 |
|
| |||||||||||||
| July 31, 2015 | 10.07 | .05 | (.02) | .03 | (.05) | (.01) | (.06) | 10.04 | .30 | 1,303 | .30 | .50 | 46 |
|
| |||||||||||||
| July 31, 2014 | 10.04 | .06 | .03 | .09 | (.06) | —e | (.06) | 10.07 | .91 | 831 | .30 | .56 | 45 |
|
| |||||||||||||
| July 31, 2013 | 10.03 | .06 | .02 | .08 | (.07) | —e | (.07) | 10.04 | .79 | 229 | .30 | .61 | 24 |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
| 44 Short Duration Income Fund | Short Duration Income Fund 45 |
Financial highlights cont.
| INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
|
| |||||||||||||
| Ratio | Ratio of net | ||||||||||||
| Net asset | Net realized | From | of expenses | investment | |||||||||
| value, | and unrealized | Total from | net | From | Net asset | Total return | Net assets, | to average | income (loss) | Portfolio | |||
| beginning | Net investment | gain (loss) | investment | investment | net realized gain | Total | value, end | at net asset | end of period | net assets | to average | turnover | |
| Period ended | of period | income (loss)a | on investments | operations | income | on investments | distributions | of period | value (%)b | (in thousands) | (%)c,d | net assets (%)d | (%) |
|
| |||||||||||||
| Class Y | |||||||||||||
|
| |||||||||||||
| July 31, 2017 | $10.05 | .11 | .02 | .13 | (.11) | — | (.11) | $10.07 | 1.27 | $2,925,780 | .30 | 1.09 | 45 |
|
| |||||||||||||
| July 31, 2016 | 10.04 | .07 | .01 | .08 | (.07) | —e | (.07) | 10.05 | .86 | 1,381,082 | .30 | .77 | 51 |
|
| |||||||||||||
| July 31, 2015 | 10.07 | .05 | (.02) | .03 | (.05) | (.01) | (.06) | 10.04 | .30 | 663,319 | .30 | .51 | 46 |
|
| |||||||||||||
| July 31, 2014 | 10.04 | .06 | .03 | .09 | (.06) | —e | (.06) | 10.07 | .91 | 477,216 | .30 | .56 | 45 |
|
| |||||||||||||
| July 31, 2013 | 10.03 | .06 | .02 | .08 | (.07) | —e | (.07) | 10.04 | .79 | 136,165 | .30 | .61 | 24 |
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.
d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts as a percentage of net assets (Note 2):
| 7/31/17 | 7/31/16 | 7/31/15 | 7/31/14 | 7/31/13 | |
|
| |||||
| Class A | 0.15% | 0.15% | 0.12% | 0.12% | 0.14% |
|
| |||||
| Class B | 0.15 | 0.15 | 0.12 | 0.12 | 0.14 |
|
| |||||
| Class C | 0.15 | 0.15 | 0.12 | 0.12 | 0.14 |
|
| |||||
| Class M | 0.15 | 0.15 | 0.12 | 0.12 | 0.14 |
|
| |||||
| Class R | 0.15 | 0.15 | 0.12 | 0.12 | 0.14 |
|
| |||||
| Class R6 | 0.15 | 0.15 | 0.13 | 0.14 | 0.17 |
|
| |||||
| Class Y | 0.15 | 0.15 | 0.12 | 0.12 | 0.14 |
|
| |||||
e Amount represents less than $0.01 per share.
f Reflects a voluntary waiver of certain fund expenses in effect during the period relating to the enhancement of certain annualized net yields for the fund. As a result of such waivers, the expenses reflect a reduction of the following amounts as a percentage of average net assets (Note 2):
| 7/31/16 | 7/31/15 | 7/31/14 | |||
|
| |||||
| Class B | —%‡ | 0.01% | 0.01% | ||
|
| |||||
| Class C | —‡ | 0.01 | 0.01 | ||
|
| |||||
| Class R | 0.01 | 0.01 | 0.01 | ||
|
| |||||
‡ Amount represents less than 0.01% per share.
The accompanying notes are an integral part of these financial statements.
| 46 Short Duration Income Fund | Short Duration Income Fund 47 |
Notes to financial statements 7/31/17
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from August 1, 2016 through July 31, 2017.
Putnam Short Duration Income Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek as high a rate of current income as Putnam Management believes is consistent with preservation of capital and maintenance of liquidity. The fund invests in a diversified portfolio of fixed income securities comprised of short duration, investment-grade money market and other fixed income securities. The fund’s investments may include obligations of the U.S. government, its agencies and instrumentalities, which are backed by the full faith and credit of the United States (e.g., U.S. Treasury bonds and Ginnie Mae mortgage-backed bonds) or only by the credit of a federal agency or government sponsored entity (e.g., Fannie Mae or Freddie Mac mortgage-backed bonds), domestic corporate debt obligations, taxable municipal debt securities, securitized debt instruments (such as mortgage- and asset backed securities), repurchase agreements, certificates of deposit, bankers acceptances, commercial paper (including asset-backed commercial paper), time deposits, Yankee Eurodollar securities and other money market instruments. The fund may also invest in U.S.-dollar denominated foreign securities of these types. Under normal circumstances, the effective duration of the fund’s portfolio will generally not be greater than one year. Effective duration provides a measure of a fund’s interest-rate sensitivity. The longer a fund’s duration, the more sensitive the fund is to shifts in interest rates. Under normal circumstances, the dollar-weighted average portfolio maturity of the fund is not expected to exceed three and one-half years. Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund may also use derivatives, such as futures, options and swap contracts, for both hedging and non-hedging purposes.
The fund offers class A, class B (only in exchange for class B shares of another Putnam fund), class C, class M, class R, class R6 and class Y shares. The fund registered class T shares in February 2017, however, as of the date of this report, class T shares had not commenced operations and are not available for purchase. Effective April 1, 2017, purchases of class B shares will be closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Each class of shares is sold without a front-end sales charge. Class A, class M, class R, class R6 and class Y shares also are generally not subject to a contingent deferred sales charge. Class B shares, which are only available through exchange of class B shares of another Putnam fund, convert to class A shares after approximately eight years after the original purchase date and are subject to a contingent deferred sales charge on certain redemptions. Class C shares obtained in an exchange for class C shares of another Putnam fund, are subject to a one-year 1.00% contingent deferred sales charge on certain redemptions and do not convert to class A shares. Class R shares are not available to all investors. The expenses for class A, class B, class C, class M, and class R shares may differ based on each class’ distribution fee, which is identified in Note 2. Class R6 and class Y shares are generally subject to the same expenses as class A, class B, class C, class M and Class R shares, but do not bear a distribution fee. Class R6 and class Y shares are not available to all investors.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
Under the fund’s Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
| 48 Short Duration Income Fund |
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater
| Short Duration Income Fund 49 |
than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to the higher of (1) the Federal Funds rate and (2) the overnight LIBOR plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit plus a $25,000 flat fee and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Distributions to shareholders Income dividends are recorded daily by the fund and are paid monthly. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. For the reporting period, there were no material temporary or permanent differences. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. At the close of the reporting period, the fund required no such reclassifications.
The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:
| Unrealized appreciation | $10,182,054 |
|
| |
| Unrealized depreciation | (876,561) |
|
| |
| Net unrealized appreciation | 9,305,493 |
|
| |
| Undistributed ordinary income | 549,802 |
|
| |
| Undistributed long-term gain | 777,143 |
|
| |
| Undistributed short-term gain | 765,464 |
|
| |
| Cost for federal income tax purposes | $6,849,969,759 |
|
| |
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
| 50 Short Duration Income Fund |
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:
| 0.500% | of the first $5 billion, | 0.300% | of the next $50 billion, | |
|
|
| |||
| 0.450% | of the next $5 billion, | 0.280% | of the next $50 billion, | |
|
|
| |||
| 0.400% | of the next $10 billion, | 0.270% | of the next $100 billion and | |
|
|
| |||
| 0.350% | of the next $10 billion, | 0.265% | of any excess thereafter. | |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.346% of the fund’s average net assets.
Putnam Management has contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through November 30, 2018, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses, payments under the fund’s investor servicing contract and acquired fund fees and expenses, but including payments under the fund’s investment management contract) would exceed an annual rate of 0.24% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $8,094,699 as a result of this limit.
Putnam Management has also contractually agreed, through November 30, 2018, to waive fees or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.25% of the average net assets of the portion of the fund managed by PIL.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R, and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (“retail account”) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts. Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
Prior to September 1, 2016, Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class R, and class Y shares that included (1) a per account fee for each retail account of the fund and each of the other funds in its specified category, which was totaled and then allocated to each fund in the category based on its average daily net assets; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Prior to September 1, 2016, Putnam Investor Services, Inc. had agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes would not exceed an annual rate of 0.320% of the fund’s average assets attributable to such accounts.
| Short Duration Income Fund 51 |
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
| Class A | $1,797,880 | Class R | 2,041 | |
|
|
| |||
| Class B | 1,199 | Class R6 | 1,376 | |
|
|
| |||
| Class C | 12,199 | Class Y | 1,246,539 | |
|
|
| |||
| Class M | 5,991 | Total | $3,067,225 | |
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $21,673 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $4,887, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (“Maximum %”) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (“Approved %”) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
| Maximum % | Approved % | Amount | |
|
| |||
| Class A | 0.35% | 0.10% | $3,078,453 |
|
| |||
| Class B | 0.75% | 0.50% | 10,160 |
|
| |||
| Class C | 1.00% | 0.50% | 103,862 |
|
| |||
| Class M | 1.00% | 0.15% | 15,256 |
|
| |||
| Class R | 1.00% | 0.50% | 17,410 |
|
| |||
| Total | $3,225,141 | ||
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $1,112 and $136, respectively, in contingent deferred sales charges from redemptions of class B and class C shares purchased by exchange from another Putnam fund.
A deferred sales charge of up to 1.00% for class A shares may be assessed on certain redemptions. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $2,408 in contingent deferred sales charges from redemptions of class A shares purchased by exchange from another Putnam fund.
| 52 Short Duration Income Fund |
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
| Cost of purchases | Proceeds from sales | |
|
| ||
| Investments in securities (Long-term) | $2,380,875,113 | $1,047,006,167 |
|
| ||
| U.S. government securities (Long-term) | — | — |
|
| ||
| Total | $2,380,875,113 | $1,047,006,167 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions in capital shares were as follows:
| YEAR ENDED 7/31/17 | YEAR ENDED 7/31/16 | |||
| Class A | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 508,876,358 | $5,112,097,583 | 281,944,045 | $2,826,074,073 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 2,963,333 | 29,776,933 | 955,227 | 9,575,596 |
|
| ||||
| 511,839,691 | 5,141,874,516 | 282,899,272 | 2,835,649,669 | |
|
| ||||
| Shares repurchased | (321,538,446) | (3,230,582,579) | (231,742,173) | (2,322,637,971) |
|
| ||||
| Net increase | 190,301,245 | $1,911,291,937 | 51,157,099 | $513,011,698 |
| YEAR ENDED 7/31/17 | YEAR ENDED 7/31/16 | |||
| Class B | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 102,246 | $1,025,671 | 182,249 | $1,824,185 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 1,062 | 10,660 | 446 | 4,467 |
|
| ||||
| 103,308 | 1,036,331 | 182,695 | 1,828,652 | |
|
| ||||
| Shares repurchased | (132,684) | (1,331,313) | (87,935) | (880,105) |
|
| ||||
| Net increase (decrease) | (29,376) | $(294,982) | 94,760 | $948,547 |
| YEAR ENDED 7/31/17 | YEAR ENDED 7/31/16 | |||
| Class C | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 2,034,362 | $20,414,919 | 2,115,115 | $21,167,961 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 11,404 | 114,453 | 4,387 | 43,910 |
|
| ||||
| 2,045,766 | 20,529,372 | 2,119,502 | 21,211,871 | |
|
| ||||
| Shares repurchased | (1,395,057) | (13,999,134) | (1,324,928) | (13,265,159) |
|
| ||||
| Net increase | 650,709 | $6,530,238 | 794,574 | $7,946,712 |
| Short Duration Income Fund 53 |
| YEAR ENDED 7/31/17 | YEAR ENDED 7/31/16 | |||
| Class M | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 1,211,498 | $12,162,988 | 530,882 | $5,316,872 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 8,887 | 89,239 | 5,287 | 52,953 |
|
| ||||
| 1,220,385 | 12,252,227 | 536,169 | 5,369,825 | |
|
| ||||
| Shares repurchased | (1,561,909) | (15,683,569) | (196,487) | (1,967,932) |
|
| ||||
| Net increase (decrease) | (341,524) | $(3,431,342) | 339,682 | $3,401,893 |
| YEAR ENDED 7/31/17 | YEAR ENDED 7/31/16 | |||
| Class R | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 454,404 | $4,559,651 | 180,394 | $1,805,712 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 1,992 | 19,994 | 406 | 4,063 |
|
| ||||
| 456,396 | 4,579,645 | 180,800 | 1,809,775 | |
|
| ||||
| Shares repurchased | (279,096) | (2,800,722) | (154,827) | (1,551,335) |
|
| ||||
| Net increase | 177,300 | $1,778,923 | 25,973 | $258,440 |
| YEAR ENDED 7/31/16* | ||||
| Class R5 | Shares | Amount | ||
|
| ||||
| Shares sold | — | $— | ||
|
| ||||
| Shares issued in connection with reinvestment of distributions | 1 | 13 | ||
|
| ||||
| 1 | 13 | |||
|
| ||||
| Shares repurchased | (1,019) | (10,212) | ||
|
| ||||
| Net decrease | (1,018) | $(10,199) | ||
| YEAR ENDED 7/31/17 | YEAR ENDED 7/31/16 | |||
| Class R6 | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 308,837 | $3,107,325 | 201,137 | $2,018,060 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 2,959 | 29,758 | 1,447 | 14,527 |
|
| ||||
| 311,796 | 3,137,083 | 202,584 | 2,032,587 | |
|
| ||||
| Shares repurchased | (224,819) | (2,261,832) | (106,380) | (1,068,014) |
|
| ||||
| Net increase | 86,977 | $875,251 | 96,204 | $964,573 |
| YEAR ENDED 7/31/17 | YEAR ENDED 7/31/16 | |||
| Class Y | Shares | Amount | Shares | Amount |
|
| ||||
| Shares sold | 404,471,143 | $4,067,440,640 | 199,540,620 | $2,002,018,033 |
|
| ||||
| Shares issued in connection with | ||||
| reinvestment of distributions | 1,993,011 | 20,046,453 | 646,356 | 6,486,130 |
|
| ||||
| 406,464,154 | 4,087,487,093 | 200,186,976 | 2,008,504,163 | |
|
| ||||
| Shares repurchased | (253,276,579) | (2,547,020,923) | (128,774,547) | (1,291,985,863) |
|
| ||||
| Net increase | 153,187,575 | $1,540,466,170 | 71,412,429 | $716,518,300 |
* Effective November 27, 2015, the fund terminated its class R5 shares.
| 54 Short Duration Income Fund |
At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:
| Shares owned | Percentage of ownership | Value | |
|
| |||
| Class R6 | 1,037 | 0.3% | $10,443 |
|
| |||
Note 5: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
Note 6: New pronouncements
In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Putnam Management has evaluated the amendments and its adoption will have no effect on the fund’s net assets or results of operations.
| Short Duration Income Fund 55 |
Federal tax information (Unaudited)
Pursuant to §852 of the Internal Revenue Code, as amended, the fund hereby designates $854,857 as a capital gain dividend with respect to the taxable year ended July 30, 2017, or, if subsequently determined to be different, the net capital gain of such year.
The Form 1099 that will be mailed to you in January 2018 will show the tax status of all distributions paid to your account in calendar 2017.
| 56 Short Duration Income Fund |
| Short Duration Income Fund 57 |
* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
The address of each Trustee is One Post Office Square, Boston, MA 02109.
As of July 31, 2017, there were 103 Putnam funds. All Trustees serve as Trustees of all Putnam funds.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.
| 58 Short Duration Income Fund |
Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
| Jonathan S. Horwitz (Born 1955) | Susan G. Malloy (Born 1957) |
| Executive Vice President, Principal Executive Officer, | Vice President and Assistant Treasurer |
| and Compliance Liaison | Since 2007 |
| Since 2004 | Director of Accounting & Control Services, |
| Putnam Investments and Putnam Management | |
| Robert T. Burns (Born 1961) | |
| Vice President and Chief Legal Officer | Mark C. Trenchard (Born 1962) |
| Since 2011 | Vice President and BSA Compliance Officer |
| General Counsel, Putnam Investments, | Since 2002 |
| Putnam Management, and Putnam Retail Management | Director of Operational Compliance, Putnam |
| Investments and Putnam Retail Management | |
| James F. Clark (Born 1974) | |
| Vice President and Chief Compliance Officer | Nancy E. Florek (Born 1957) |
| Since 2016 | Vice President, Director of Proxy Voting and Corporate |
| Chief Compliance Officer, Putnam Investments | Governance, Assistant Clerk, and Assistant Treasurer |
| and Putnam Management | Since 2000 |
| Michael J. Higgins (Born 1976) | Denere P. Poulack (Born 1968) |
| Vice President, Treasurer, and Clerk | Assistant Vice President, Assistant Clerk, |
| Since 2010 | and Assistant Treasurer |
| Since 2004 | |
| Janet C. Smith (Born 1965) | |
| Vice President, Principal Financial Officer, Principal | |
| Accounting Officer, and Assistant Treasurer | |
| Since 2007 | |
| Director of Fund Administration Services, | |
| Putnam Investments and Putnam Management | |
The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each officer is One Post Office Square, Boston, MA 02109.
| Short Duration Income Fund 59 |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
| 60 Short Duration Income Fund |
Fund information
Founded over 75 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
| Investment Manager | Trustees | Michael J. Higgins |
| Putnam Investment | Jameson A. Baxter, Chair | Vice President, Treasurer, |
| Management, LLC | Kenneth R. Leibler, Vice Chair | and Clerk |
| One Post Office Square | Liaquat Ahamed | |
| Boston, MA 02109 | Ravi Akhoury | Janet C. Smith |
| Barbara M. Baumann | Vice President, | |
| Investment Sub-Advisor | Katinka Domotorffy | Principal Financial Officer, |
| Putnam Investments Limited | Catharine Bond Hill | Principal Accounting Officer, |
| 57–59 St James’s Street | Paul L. Joskow | and Assistant Treasurer |
| London, England SW1A 1LD | Robert E. Patterson | |
| George Putnam, III | Susan G. Malloy | |
| Marketing Services | Robert L. Reynolds | Vice President and |
| Putnam Retail Management | Manoj P. Singh | Assistant Treasurer |
| One Post Office Square | ||
| Boston, MA 02109 | Officers | Mark C. Trenchard |
| Robert L. Reynolds | Vice President and | |
| Custodian | President | BSA Compliance Officer |
| State Street Bank | ||
| and Trust Company | Jonathan S. Horwitz | Nancy E. Florek |
| Executive Vice President, | Vice President, Director of | |
| Legal Counsel | Principal Executive Officer, | Proxy Voting and Corporate |
| Ropes & Gray LLP | and Compliance Liaison | Governance, Assistant Clerk, |
| and Assistant Treasurer | ||
| Independent Registered Public | Robert T. Burns | |
| Accounting Firm | Vice President and | Denere P. Poulack |
| KPMG LLP | Chief Legal Officer | Assistant Vice President, Assistant |
| Clerk, and Assistant Treasurer | ||
| James F. Clark | ||
| Vice President and | ||
| Chief Compliance Officer |
This report is for the information of shareholders of Putnam Short Duration Income Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
| Item 2. Code of Ethics: |
| (a) The fund's principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund's investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers. |
| Item 3. Audit Committee Financial Expert: |
| The Funds' Audit, Compliance and Distributions Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each of the members of the Audit, Compliance and Distributions Committee also possess a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualify them for service on the Committee. In addition, the Trustees have determined that each of Mr. Patterson, Ms. Baumann and Mr. Singh qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education. The SEC has stated, and the funds' amended and restated agreement and Declaration of Trust provides, that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit, Compliance and Distribution Committee and the Board of Trustees in the absence of such designation or identification. |
| Item 4. Principal Accountant Fees and Services: |
| The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund's independent auditor: |
| Fiscal year ended | Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
| July 31, 2017 | $84,027 | $ — | $4,575 | $ — | |
| July 31, 2016 | $75,003 | $ — | $4,450 | $ — | |
| For the fiscal years ended July 31, 2017 and July 31, 2016, the fund's independent auditor billed aggregate non-audit fees in the amounts of $4,575 and $4,450 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund. |
| Audit Fees represent fees billed for the fund's last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements. |
| Audit-Related Fees represent fees billed in the fund's last two fiscal years for services traditionally performed by the fund's auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation. |
| Tax Fees represent fees billed in the fund's last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities. |
| Pre-Approval Policies of the Audit, Compliance and Distributions Committee. The Audit, Compliance and Distributions Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds' independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures. |
| The Audit, Compliance and Distributions Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds' independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm. |
| The following table presents fees billed by the fund's independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. |
| Fiscal year ended | Audit-Related Fees | Tax Fees | All Other Fees | Total Non-Audit Fees | |
| July 31, 2017 | $ — | $ — | $ — | $ — | |
| July 31, 2016 | $ — | $ — | $ — | $ — | |
| Item 5. Audit Committee of Listed Registrants |
| Not applicable |
Item 6. Schedule of Investments: |
| The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
| Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
| Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
| Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
| Not applicable |
Item 11. Controls and Procedures: |
| (a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms. |
| (b) Changes in internal control over financial reporting: Not applicable |
Item 12. Exhibits: |
| (a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith. |
| (a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith. |
| (b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
| SIGNATURES |
| Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. |
| Putnam Funds Trust |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
| Date: September 29, 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: September 29, 2017 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
| Date: September 29, 2017 |