0000928816-17-002147.txt : 20170929 0000928816-17-002147.hdr.sgml : 20170929 20170929105108 ACCESSION NUMBER: 0000928816-17-002147 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20170731 FILED AS OF DATE: 20170929 DATE AS OF CHANGE: 20170929 EFFECTIVENESS DATE: 20170929 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM FUNDS TRUST CENTRAL INDEX KEY: 0001005942 IRS NUMBER: 043299786 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-07513 FILM NUMBER: 171109609 BUSINESS ADDRESS: STREET 1: ONE POST STREET 2: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6172921010 MAIL ADDRESS: STREET 1: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 0001005942 S000023452 PUTNAM ABSOLUTE RETURN 500 FUND C000068886 CLASS A C000068887 CLASS B C000068888 CLASS C C000068889 CLASS M C000068890 CLASS R C000068891 CLASS Y C000118002 Class R6 C000174700 Class P Shares C000185688 Class T Shares N-Q 1 a_absolutereturn500.htm PUTNAM FUNDS TRUST a_absolutereturn500.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



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



Item 1. Schedule of Investments:













Putnam Absolute Return 500 Fund

The fund's portfolio
7/31/17 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (23.7%)(a)
Principal amount Value
U.S. Government Agency Mortgage Obligations (23.7%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4.50%, TBA, 8/1/47 $2,000,000 $2,145,000
     3.50%, 8/1/43 688,608 715,775
     3.00%, 3/1/43 637,096 642,369
Federal National Mortgage Association Pass-Through Certificates
     5.50%, 1/1/38 598,273 664,533
     5.50%, TBA, 9/1/47 2,000,000 2,212,835
     5.50%, TBA, 8/1/47 2,000,000 2,214,397
     4.50%, TBA, 9/1/47 6,000,000 6,435,235
     4.50%, TBA, 8/1/47 6,000,000 6,441,563
     4.00%, TBA, 9/1/47 3,000,000 3,153,867
     4.00%, TBA, 8/1/47 3,000,000 3,158,672
     3.50%, with due dates from 7/1/43 to 6/1/56 1,656,107 1,712,083
     3.50%, TBA, 9/1/47 43,000,000 44,199,296
     3.50%, TBA, 8/1/47 56,000,000 57,653,747
     3.00%, TBA, 9/1/47 23,000,000 23,003,593
     3.00%, TBA, 8/1/47 36,000,000 36,059,062
     2.50%, TBA, 9/1/47 15,000,000 14,482,032
     2.50%, TBA, 8/1/47 15,000,000 14,499,609
219,393,668
Total U.S. government and agency mortgage obligations (cost $218,599,222) $219,393,668

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Inflation Protected Securities 0.125%, 04/15/18(i) $120,680 $120,384
U.S. Treasury Notes
     1.250%, 12/15/18(i) 153,000 153,138
     1.125%, 09/30/21(i) 138,000 135,150
Total U.S. treasury obligations (cost $408,672) $408,672

COMMON STOCKS (13.5%)(a)
Shares Value
Basic materials (1.3%)
Anhui Conch Cement Co., Ltd. (China) 341,500 $1,263,552
China Lesso Group Holdings, Ltd. (China) 1,224,000 863,451
China Railway Construction Corp., Ltd. (China) 1,124,500 1,485,743
Lotte Chemical Corp. (South Korea) 5,610 1,849,864
PTT Global Chemical PCL (Thailand) 1,000,500 2,172,288
Sappi, Ltd. (South Africa) 186,930 1,238,422
Siam Cement PCL (The) (Thailand) 132,250 2,010,984
Sinopec Shanghai Petrochemical Co., Ltd. (China) 2,474,000 1,406,330
12,290,634
Capital goods (0.3%)
China Railway Group, Ltd. (China) 1,889,000 1,504,274
United Tractors Tbk PT (Indonesia) 684,600 1,546,567
3,050,841
Communication services (2.2%)
China Mobile, Ltd. (China) 43,000 461,060
DISH Network Corp. Class A(NON) 169,679 10,864,546
LG Uplus Corp. (South Korea) 159,840 2,378,210
SK Telecom Co., Ltd. (South Korea) 8,811 2,188,873
Telekomunikasi Indonesia Persero Tbk PT (Indonesia) 7,094,000 2,497,062
Telkom SA SOC, Ltd. (South Africa) 341,474 1,685,508
20,075,259
Consumer cyclicals (1.3%)
China Dongxiang Group Co., Ltd. (China) 1,528,000 283,659
Ford Otomotiv Sanayi AS (Turkey) 46,991 600,848
Genting Bhd (Malaysia) 537,900 1,221,158
Great Wall Motor Co., Ltd. (China) 795,000 1,019,857
Itausa - Investimentos Itau SA (Preference) (Brazil) 35,500 105,304
Kimberly-Clark de Mexico SAB de CV Class A (Mexico) 262,346 527,566
KOC Holding AS (Turkey) 257,638 1,199,116
Naspers, Ltd. Class N (South Africa) 1,158 255,566
Pou Chen Corp. (Taiwan) 770,000 1,040,420
President Chain Store Corp. (Taiwan) 88,000 746,071
Qualicorp SA (Brazil) 212,300 2,233,053
Smiles SA (Brazil) 111,200 2,321,102
11,553,720
Consumer staples (0.6%)
Gruma SAB de CV Class B (Mexico) 148,214 2,043,567
Hanwha Corp. (South Korea) 35,205 1,539,953
Indofood Sukses Makmur Tbk PT (Indonesia) 2,178,400 1,369,266
4,952,786
Energy (0.2%)
SK Innovation Co., Ltd. (South Korea) 10,242 1,615,400
Vantage Drilling International (Units)(NON) 1,527 267,225
1,882,625
Financials (3.8%)
Agricultural Bank of China, Ltd. (China)(NON) 4,944,000 2,310,340
Banco do Brasil SA (Brazil) 119,400 1,098,908
Bank Negara Indonesia Persero Tbk PT (Indonesia) 2,771,900 1,549,884
Bank of China, Ltd. (China)(NON) 2,731,000 1,346,130
Bank of Communications Co., Ltd. (China) 2,199,000 1,630,078
Chailease Holding Co., Ltd. (Taiwan) 59,000 169,601
China Cinda Asset Management Co., Ltd. (China) 3,618,000 1,505,416
China Construction Bank Corp. (China) 3,681,000 3,063,259
China Huarong Asset Management Co., Ltd. (China)(NON) 534,000 218,774
Chongqing Rural Commercial Bank Co., Ltd. (China) 1,377,000 1,015,456
CIFI Holdings Group Co., Ltd. (China) 780,000 444,385
Fubon Financial Holding Co., Ltd. (Taiwan) 1,189,000 1,846,769
Guangzhou R&F Properties Co., Ltd. (China) 1,136,800 2,031,767
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea) 16,909 686,000
Industrial & Commercial Bank of China, Ltd. (China) 4,996,000 3,498,761
Industrial Bank of Korea (South Korea) 176,369 2,435,013
Itau Unibanco Holding SA ADR (Preference) (Brazil) 93,341 1,111,691
KB Financial Group, Inc. (South Korea) 3,389 179,891
Macquarie Mexico Real Estate Management SA de CV (Mexico)(R) 356,049 438,799
MRV Engenharia e Participacoes SA (Brazil) 226,097 1,039,001
Old Mutual PLC (South Africa) 756,175 1,960,476
People's Insurance Co. Group of China, Ltd. (China) 2,868,000 1,336,549
Shinhan Financial Group Co., Ltd. (South Korea) 21,638 1,028,678
Turkiye Garanti Bankasi AS (Turkey) 437,269 1,309,564
Turkiye Halk Bankasi AS (Turkey) 87,759 376,286
Turkiye Is Bankasi Class C (Turkey) 590,527 1,270,203
34,901,679
Health care (0.2%)
Richter Gedeon Nyrt (Hungary) 80,612 2,063,582
2,063,582
Technology (2.9%)
Alibaba Group Holding, Ltd. ADR (China)(NON)(S) 13,075 2,025,971
AU Optronics Corp. (Taiwan) 378,000 152,725
Hon Hai Precision Industry Co., Ltd. (Taiwan) 1,077,500 4,192,885
NetEase, Inc. ADR (China) 2,117 658,980
Radiant Opto-Electronics Corp. (Taiwan) 258,000 613,482
Samsung Electronics Co., Ltd. (South Korea) 4,278 9,213,154
SK Hynix, Inc. (South Korea) 26,593 1,568,418
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan)(S) 76,762 2,760,362
Tencent Holdings, Ltd. (China) 92,000 3,691,402
Tripod Technology Corp. (Taiwan) 188,000 613,893
YY, Inc. ADR (China)(NON) 20,878 1,492,777
26,984,049
Transportation (0.2%)
Aeroflot - Russian Airlines PJSC (Russia) 86,823 291,088
AirAsia Bhd (Malaysia) 1,008,500 760,821
MISC Bhd (Malaysia) 503,400 868,884
1,920,793
Utilities and power (0.5%)
Cia de Saneamento Basico do Estado de Sao Paulo (Brazil) 207,800 2,235,698
Korea Electric Power Corp. (South Korea) 5,193 206,736
Tenaga Nasional Bhd (Malaysia) 692,400 2,283,473
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights)(F) 11,847 12,439
4,738,346
Total common stocks (cost $99,563,853) $124,414,314

MORTGAGE-BACKED SECURITIES (9.6%)(a)
Principal amount Value
Agency collateralized mortgage obligations (5.8%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 2990, Class LB, 13.813%, 6/15/34 $74,449 $89,575
     IFB Ser. 3747, Class SA, IO, 5.274%, 10/15/40 1,231,857 213,712
     IFB Ser. 4073, Class AS, IO, 4.824%, 8/15/38 3,415,702 292,699
     IFB Ser. 3852, Class NT, 4.774%, 5/15/41 1,399,902 1,423,200
     Ser. 4601, Class PI, IO, 4.50%, 12/15/45 1,426,816 242,416
     Ser. 4322, Class ID, IO, 4.50%, 5/15/43 3,831,796 602,381
     Ser. 4122, Class TI, IO, 4.50%, 10/15/42 794,751 154,341
     Ser. 4568, Class MI, IO, 4.00%, 4/15/46 2,901,126 471,433
     Ser. 4601, Class IC, IO, 4.00%, 12/15/45 2,632,180 389,826
     Ser. 4530, Class HI, IO, 4.00%, 11/15/45 2,674,324 410,776
     Ser. 4462, IO, 4.00%, 4/15/45 1,084,775 211,781
     Ser. 4452, Class QI, IO, 4.00%, 11/15/44 2,434,928 474,081
     Ser. 4389, Class IA, IO, 4.00%, 9/15/44 2,317,799 363,894
     Ser. 4355, Class DI, IO, 4.00%, 3/15/44 2,268,920 253,665
     Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,752,814 274,891
     Ser. 4121, Class MI, IO, 4.00%, 10/15/42 1,174,018 225,998
     Ser. 4116, Class MI, IO, 4.00%, 10/1/42 2,030,751 394,195
     Ser. 4213, Class GI, IO, 4.00%, 11/15/41 638,528 82,945
     Ser. 4604, Class QI, IO, 3.50%, 7/15/46 3,667,662 597,572
     Ser. 4501, Class BI, IO, 3.50%, 10/15/43 2,980,111 415,725
     Ser. 303, Class C18, IO, 3.50%, 1/15/43 1,624,637 302,163
     Ser. 4121, Class AI, IO, 3.50%, 10/15/42 2,980,133 566,730
     Ser. 4136, Class IW, IO, 3.50%, 10/15/42 1,854,580 245,008
     Ser. 4097, Class PI, IO, 3.50%, 11/15/40 1,997,712 260,053
     Ser. 4150, Class DI, IO, 3.00%, 1/15/43 1,466,738 187,009
     Ser. 4158, Class TI, IO, 3.00%, 12/15/42 3,351,426 350,861
     Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,314,708 124,634
     Ser. 4206, Class IP, IO, 3.00%, 12/15/41 2,181,043 216,964
     FRB Ser. 8, Class A9, IO, 0.441%, 11/15/28 153,985 2,117
     FRB Ser. 59, Class 1AX, IO, 0.272%, 10/25/43 406,960 3,990
     Ser. 48, Class A2, IO, 0.212%, 7/25/33 616,388 4,527
     Ser. 315, PO, zero %, 9/15/43 2,415,385 1,948,078
     Ser. 3206, Class EO, PO, zero %, 8/15/36 24,301 21,432
     Ser. 3175, Class MO, PO, zero %, 6/15/36 20,731 17,469
Federal National Mortgage Association
     IFB Ser. 05-74, Class NK, 21.339%, 5/25/35 46,355 64,932
     IFB Ser. 11-4, Class CS, 10.436%, 5/25/40 478,887 552,884
     Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 2,149,686 510,307
     Ser. 397, Class 2, IO, 5.00%, 9/25/39 18,110 3,758
     IFB Ser. 12-68, Class BS, IO, 4.768%, 7/25/42 4,324,356 745,623
     Ser. 421, Class C6, IO, 4.00%, 5/25/45 2,269,197 468,217
     Ser. 14-47, Class IP, IO, 4.00%, 3/25/44 1,574,617 266,312
     Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 2,575,506 471,833
     Ser. 12-96, Class PI, IO, 4.00%, 7/25/41 1,015,236 144,065
     Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 1,994,246 275,867
     Ser. 16-98, Class QI, IO, 3.50%, 2/25/46 3,023,620 455,327
     Ser. 12-136, Class PI, IO, 3.50%, 11/25/42 1,190,651 120,702
     Ser. 14-10, IO, 3.50%, 8/25/42 1,010,656 150,753
     Ser. 12-101, Class PI, IO, 3.50%, 8/25/40 1,256,939 143,708
     Ser. 14-76, IO, 3.50%, 11/25/39 3,099,009 315,663
     Ser. 13-21, Class AI, IO, 3.50%, 3/25/33 1,876,766 266,104
     Ser. 12-129, Class IJ, IO, 3.50%, 12/25/32 768,969 118,229
     Ser. 16-50, Class PI, IO, 3.00%, 8/25/46 3,052,918 450,000
     Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 1,411,365 152,851
     Ser. 13-1, Class MI, IO, 3.00%, 1/25/43 2,689,685 246,241
     Ser. 13-8, Class NI, IO, 3.00%, 12/25/42 2,546,870 262,965
     Ser. 6, Class BI, IO, 3.00%, 12/25/42 2,026,919 143,506
     Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 2,067,771 165,835
     Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 3,540,250 233,090
     Ser. 13-31, Class NI, IO, 3.00%, 6/25/41 2,906,936 210,279
     Ser. 98-W2, Class X, IO, 0.059%, 6/25/28 985,138 48,025
     Ser. 98-W5, Class X, IO, 0.048%, 7/25/28 303,032 14,773
Government National Mortgage Association
     Ser. 09-79, Class IC, IO, 6.00%, 8/20/39 2,197,059 420,627
     Ser. 15-35, Class AI, IO, 5.00%, 3/16/45 1,705,021 349,529
     Ser. 14-182, Class KI, IO, 5.00%, 10/20/44 1,934,066 402,963
     Ser. 14-133, Class IP, IO, 5.00%, 9/16/44 2,054,767 432,939
     Ser. 14-122, Class IC, IO, 5.00%, 8/20/44 984,955 202,093
     Ser. 14-76, IO, 5.00%, 5/20/44 2,055,425 437,542
     Ser. 14-163, Class NI, IO, 5.00%, 2/20/44 1,190,684 221,570
     Ser. 14-2, Class IC, IO, 5.00%, 1/16/44 2,767,040 608,594
     Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 761,546 162,147
     Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 49,079 3,736
     Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 421,843 89,494
     Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 520,444 109,402
     Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 2,218,165 472,265
     Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 1,371,172 290,524
     IFB Ser. 13-129, Class SN, IO, 4.922%, 9/20/43 433,636 68,671
     IFB Ser. 13-99, Class VS, IO, 4.874%, 7/16/43 510,766 82,463
     IFB Ser. 16-77, Class SC, IO, 4.872%, 10/20/45 1,730,213 352,419
     Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 3,288,337 640,443
     Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 1,425,810 319,310
     Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 42,299 5,509
     Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 979,385 193,184
     Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 494,005 99,823
     Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 626,066 120,563
     Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 457,968 91,405
     Ser. 09-121, Class CI, IO, 4.50%, 12/16/39 1,565,536 341,323
     Ser. 10-103, Class DI, IO, 4.50%, 12/20/38 531,417 21,284
     Ser. 15-186, Class AI, IO, 4.00%, 12/20/45 4,992,477 845,975
     Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 1,145,487 199,967
     Ser. 17-57, Class AI, IO, 4.00%, 6/20/45 981,466 182,454
     Ser. 15-79, Class CI, IO, 4.00%, 5/20/45 3,839,508 683,485
     Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 2,156,877 466,052
     Ser. 15-40, IO, 4.00%, 3/20/45 745,435 157,382
     Ser. 13-24, Class PI, IO, 4.00%, 11/20/42 843,053 134,646
     Ser. 12-38, Class MI, IO, 4.00%, 3/20/42 4,149,706 823,783
     Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,292,960 223,760
     Ser. 14-104, IO, 4.00%, 3/20/42 2,320,940 408,509
     Ser. 12-50, Class PI, IO, 4.00%, 12/20/41 878,283 138,066
     Ser. 12-8, Class PI, IO, 4.00%, 5/20/41 4,536,989 659,778
     Ser. 15-162, Class BI, IO, 4.00%, 11/20/40 2,014,698 317,537
     Ser. 14-133, Class AI, IO, 4.00%, 10/20/36 2,501,067 249,581
     Ser. 15-111, Class IJ, IO, 3.50%, 8/20/45 1,748,982 243,808
     Ser. 15-64, Class PI, IO, 3.50%, 5/20/45 2,776,524 407,038
     Ser. 16-136, Class YI, IO, 3.50%, 3/20/45 2,333,344 320,835
     Ser. 15-20, Class PI, IO, 3.50%, 2/20/45 3,061,707 545,054
     Ser. 15-24, Class CI, IO, 3.50%, 2/20/45 1,039,919 210,971
     Ser. 15-24, Class IA, IO, 3.50%, 2/20/45 1,220,920 189,937
     Ser. 13-102, Class IP, IO, 3.50%, 6/20/43 1,033,038 107,764
     Ser. 13-76, IO, 3.50%, 5/20/43 844,520 136,677
     Ser. 13-79, Class PI, IO, 3.50%, 4/20/43 2,186,553 328,420
     Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 1,512,454 209,914
     Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 909,279 141,575
     Ser. 12-145, IO, 3.50%, 12/20/42 1,158,625 201,869
     Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 435,106 67,763
     Ser. 12-136, Class BI, IO, 3.50%, 11/20/42 3,425,186 653,183
     Ser. 13-37, Class LI, IO, 3.50%, 1/20/42 860,649 112,711
     Ser. 12-141, Class WI, IO, 3.50%, 11/20/41 2,003,535 232,751
     Ser. 15-36, Class GI, IO, 3.50%, 6/16/41 1,329,674 155,971
     Ser. 12-71, Class JI, IO, 3.50%, 4/16/41 655,076 46,856
     Ser. 12-51, Class GI, IO, 3.50%, 7/20/40 2,948,585 357,516
     Ser. 13-90, Class HI, IO, 3.50%, 4/20/40 1,678,319 96,957
     Ser. 13-79, Class XI, IO, 3.50%, 11/20/39 2,385,041 309,276
     Ser. 183, Class AI, IO, 3.50%, 10/20/39 2,015,474 223,017
     Ser. 13-6, Class AI, IO, 3.50%, 8/20/39 1,655,935 238,041
     Ser. 15-118, Class EI, IO, 3.50%, 7/20/39 3,156,165 299,096
     Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 2,929,663 293,848
     Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 3,440,559 314,811
     Ser. 15-82, Class GI, IO, 3.50%, 12/20/38 5,352,233 485,126
     Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 3,845,090 471,308
     Ser. 15-24, Class IC, IO, 3.50%, 11/20/37 1,536,915 183,017
     Ser. 14-115, Class QI, IO, 3.00%, 3/20/29 1,553,405 140,474
     FRB Ser. 16-H16, Class DI, IO, 2.753%, 6/20/66 1,683,236 209,352
     Ser. 15-H22, Class GI, IO, 2.575%, 9/20/65 4,954,054 630,156
     Ser. 16-H04, Class HI, IO, 2.362%, 7/20/65 2,578,456 267,644
     Ser. 17-H02, Class BI, IO, 2.321%, 1/20/67 2,158,130 287,312
     FRB Ser. 15-H16, Class XI, IO, 2.287%, 7/20/65 4,030,984 427,687
     Ser. 15-H09, Class AI, IO, 2.184%, 4/20/65 5,301,693 497,299
     Ser. 16-H03, Class AI, IO, 2.156%, 1/20/66 6,953,318 721,407
     Ser. 17-H11, Class NI, IO, 2.153%, 5/20/67 3,531,268 468,599
     Ser. 16-H11, Class HI, IO, 2.081%, 1/20/66 2,734,508 293,960
     Ser. 15-H24, Class HI, IO, 2.032%, 9/20/65 9,638,044 759,478
     Ser. 16-H02, Class BI, IO, 2.023%, 11/20/65 9,772,661 926,693
     Ser. 15-H20, Class CI, IO, 2.022%, 8/20/65 8,265,286 876,600
     Ser. 15-H25, Class BI, IO, 1.983%, 10/20/65 7,647,129 767,007
     Ser. 15-H15, Class JI, IO, 1.949%, 6/20/65 5,260,073 528,637
     Ser. 16-H04, Class KI, IO, 1.928%, 2/20/66 6,291,828 526,941
     Ser. 15-H19, Class NI, IO, 1.911%, 7/20/65 6,194,638 605,216
     Ser. 15-H25, Class EI, IO, 1.854%, 10/20/65 5,484,174 500,705
     Ser. 15-H18, Class IA, IO, 1.83%, 6/20/65 3,056,118 229,209
     Ser. 15-H10, Class CI, IO, 1.812%, 4/20/65 5,793,453 548,455
     Ser. 15-H26, Class GI, IO, 1.794%, 10/20/65 4,831,799 445,492
     Ser. 14-H21, Class AI, IO, 1.745%, 10/20/64 6,472,989 592,279
     Ser. 15-H26, Class EI, IO, 1.715%, 10/20/65 4,345,494 388,922
     Ser. 15-H09, Class BI, IO, 1.692%, 3/20/65 7,799,325 675,422
     Ser. 15-H10, Class EI, IO, 1.637%, 4/20/65 5,446,474 333,324
     Ser. 15-H25, Class AI, IO, 1.617%, 9/20/65 7,617,263 600,240
     Ser. 15-H24, Class BI, IO, 1.615%, 8/20/65 8,363,277 510,996
     Ser. 15-H14, Class BI, IO, 1.59%, 5/20/65 5,809,351 348,561
     Ser. 16-H08, Class GI, IO, 1.437%, 4/20/66 8,148,549 527,211
     Ser. 11-H08, Class GI, IO, 1.262%, 3/20/61 11,247,946 536,527
     Ser. 15-H26, Class CI, IO, 0.61%, 8/20/65 12,392,866 214,397
GSMPS Mortgage Loan Trust 144A
     FRB Ser. 98-2, IO, 1.004%, 5/19/27 28,205 —
     FRB Ser. 99-2, IO, 0.84%, 9/19/27 78,058 683
     FRB Ser. 98-3, IO, zero %, 9/19/27 35,892 —
     FRB Ser. 98-4, IO, zero %, 12/19/26 55,170 —
53,840,782
Commercial mortgage-backed securities (2.1%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695%, 7/10/46 12,684 12,779
     FRB Ser. 07-1, Class XW, IO, 0.221%, 1/15/49 774,207 3,340
Banc of America Commercial Mortgage Trust 144A FRB Ser. 08-1, Class C, 6.309%, 2/10/51 1,000,000 912,070
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     FRB Ser. 05-1, Class C, 5.377%, 11/10/42 292,000 177,396
     Ser. 05-3, Class AJ, 4.767%, 7/10/43 82,909 68,400
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A FRB Ser. 04-4, Class XC, IO, 0.024%, 7/10/42 110,052 50
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-T26, Class AJ, 5.535%, 1/12/45 665,000 651,700
     Ser. 05-PWR7, Class D, 5.304%, 2/11/41 375,000 369,750
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.302%, 3/11/39 2,230,020 1,737,810
     FRB Ser. 06-PW11, Class C, 5.302%, 3/11/39 (In default)(NON) 320,000 163,565
CD Mortgage Trust 144A FRB Ser. 07-CD5, Class E, 6.325%, 11/15/44 250,000 242,608
Citigroup Commercial Mortgage Trust FRB Ser. 06-C4, Class B, 6.048%, 3/15/49 50,778 50,567
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class E, 4.455%, 4/10/46 1,041,000 774,920
COMM Mortgage Pass-Through Certificates 144A Ser. 12-CR3, Class F, 4.75%, 10/15/45 725,000 486,415
COMM Mortgage Trust 144A Ser. 12-LC4, Class E, 4.25%, 12/10/44 452,000 350,481
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C3, Class B, 4.882%, 7/15/37 51,313 51,159
Credit Suisse First Boston Mortgage Securities Corp. 144A FRB Ser. 03-C3, Class AX, IO, 2.044%, 5/15/38 118,089 —
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.41%, 2/10/46 125,000 120,900
     FRB Ser. 13-GC10, Class E, 4.41%, 2/10/46 850,000 670,395
GS Mortgage Securities Trust 144A
     FRB Ser. 13-GC16, Class D, 5.32%, 11/10/46 488,000 467,404
     FRB Ser. 06-GG8, Class X, IO, 0.866%, 11/10/39 4,612,745 101,480
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 14-C18, Class D, 4.814%, 2/15/47 894,000 789,670
     FRB Ser. 13-C14, Class E, 4.569%, 8/15/46 675,000 559,710
     FRB Ser. 13-C12, Class E, 4.086%, 7/15/45 800,000 583,920
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 06-LDP7, Class B, 5.944%, 4/17/45 556,000 83,400
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class C, 6.31%, 2/12/51 401,000 392,980
     FRB Ser. 12-C6, Class F, 5.136%, 5/15/45 334,000 296,792
     Ser. 13-C13, Class E, 3.986%, 1/15/46 494,000 372,476
     Ser. 13-C10, Class E, 3.50%, 12/15/47 234,000 174,938
     Ser. 12-C6, Class G, 2.972%, 5/15/45 366,000 272,267
LB-UBS Commercial Mortgage Trust
     Ser. 06-C6, Class D, 5.502%, 9/15/39 (In default)(NON) 640,000 35,994
     FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 (In default)(NON) 1,016,000 86,868
     FRB Ser. 07-C2, Class XW, IO, 0.263%, 2/15/40 214,210 27
Merrill Lynch Mortgage Trust Ser. 04-KEY2, Class D, 5.046%, 8/12/39 159,041 157,417
Merrill Lynch Mortgage Trust 144A FRB Ser. 05-MCP1, Class XC, IO, 0.005%, 6/12/43 611,061 2
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 12-C6, Class G, 4.50%, 11/15/45 1,814,000 1,238,055
     FRB Ser. 13-C11, Class E, 4.37%, 8/15/46 600,000 462,600
     FRB Ser. 13-C11, Class F, 4.37%, 8/15/46 696,000 498,406
     Ser. 13-C13, Class F, 3.707%, 11/15/46 1,285,000 875,171
Morgan Stanley Capital I Trust
     Ser. 07-HQ11, Class D, 5.587%, 2/12/44 238,000 19,506
     Ser. 07-HQ11, Class C, 5.558%, 2/12/44 861,000 94,710
     Ser. 06-HQ10, Class B, 5.448%, 11/12/41 1,213,000 1,141,858
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 4.898%, 5/10/63 853,000 564,430
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.103%, 6/15/45 312,003 222,302
     FRB Ser. 06-C29, IO, 0.323%, 11/15/48 3,579,342 143
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 05-C21, Class E, 5.291%, 10/15/44 387,000 366,586
     FRB Ser. 07-C31, IO, 0.177%, 4/15/47 11,150,939 1,742
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.295%, 7/15/46 214,000 199,600
WF-RBS Commercial Mortgage Trust 144A
     Ser. 11-C4, Class E, 5.265%, 6/15/44 321,000 310,150
     Ser. 12-C6, Class E, 5.00%, 4/15/45 412,000 340,683
     Ser. 11-C4, Class F, 5.00%, 6/15/44 504,000 414,943
     Ser. 11-C3, Class E, 5.00%, 3/15/44 367,000 320,244
     FRB Ser. 13-C15, Class D, 4.479%, 8/15/46 673,004 584,169
     FRB Ser. 12-C10, Class E, 4.456%, 12/15/45 316,000 235,716
     Ser. 13-C12, Class E, 3.50%, 3/15/48 561,000 414,635
     Ser. 13-C14, Class E, 3.25%, 6/15/46 574,000 389,402
19,914,701
Residential mortgage-backed securities (non-agency) (1.7%)
BCAP, LLC Trust 144A
     FRB Ser. 14-RR1, Class 2A2, 2.882%, 1/26/36 350,000 306,218
     FRB Ser. 12-RR5, Class 4A8, 1.386%, 6/26/35 656,050 643,092
Bear Stearns Alt-A Trust FRB Ser. 04-3, Class B, 4.157%, 4/25/34 160,980 160,767
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-WFH3, Class M1, 1.492%, 6/25/37 350,000 322,000
Countrywide Alternative Loan Trust
     FRB Ser. 05-27, Class 1A6, 2.052%, 8/25/35 376,379 321,804
     FRB Ser. 06-OA7, Class 1A2, 1.716%, 6/25/46 1,505,818 1,426,160
     FRB Ser. 05-59, Class 1A1, 1.558%, 11/20/35 454,043 413,820
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class B, 12.732%, 1/25/25 689,094 980,255
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class B, 11.732%, 10/25/28 249,826 319,382
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, 11.232%, 7/25/28 842,681 1,058,144
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, 10.582%, 4/25/28 567,673 720,445
     Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, 6.382%, 10/25/29 280,000 313,074
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 13.482%, 9/25/28 919,668 1,277,285
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 12.982%, 10/25/28 530,000 716,287
     Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, 12.982%, 8/25/28 709,939 964,349
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 7.132%, 10/25/28 840,940 992,357
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.932%, 4/25/28 1,650,890 1,893,074
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 6.782%, 4/25/28 30,000 33,823
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 6.232%, 7/25/25 380,000 419,728
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 5.782%, 2/25/25 98,173 105,845
     Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, 5.482%, 4/25/29 40,000 44,875
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 5.232%, 5/25/25 71,695 77,331
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 5.232%, 5/25/25 121,664 129,842
MortgageIT Trust FRB Ser. 04-1, Class M2, 2.237%, 11/25/34 184,611 175,577
Residential Accredit Loans, Inc. FRB Ser. 06-QO10, Class A1, 1.392%, 1/25/37 383,037 343,161
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, 1.412%, 1/25/37 588,013 520,769
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, 1.722%, 10/25/45 430,090 416,661
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR6, Class 7A2, 3.071%, 3/25/36 295,707 296,385
15,392,510
Total mortgage-backed securities (cost $91,629,146) $89,147,993

INVESTMENT COMPANIES (8.2%)(a)
Shares Value
Consumer Staples Select Sector SPDR Fund(S) 195,600 $10,820,592
Financial Select Sector SPDR Fund 435,600 10,929,204
Health Care Select Sector SPDR Fund 138,100 11,032,809
Industrial Select Sector SPDR Fund 160,400 10,956,924
iShares MSCI India ETF (India) 303,093 10,414,275
Technology Select Sector SPDR Fund 192,600 11,009,016
Utility Select Sector SPDR Fund(S) 206,800 11,005,896
Total investment companies (cost $72,569,341) $76,168,716

COMMODITY LINKED NOTES (5.6%)(a)(CLN)
Principal amount Value
Bank of America Corp. 144A sr. unsec. unsub. notes 1-month LIBOR less 0.15%, 2017 (Indexed to the BofA Merrill Lynch Commodity MLCXP2KS Excess Return Strategy multiplied by 3) $4,500,000 $4,188,674
Bank of America Corp. 144A sr. unsec. unsub. notes 1-month LIBOR less 0.11%, 2018 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 Excess Return Strategy multiplied by 3) 2,100,000 2,116,670
Bank of America Corp. 144A sr. unsec. unsub. notes 1-month LIBOR less 0.14%, 2018 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 Excess Return Strategy multiplied by 3) 7,500,000 8,167,693
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2018 (Indexed to the UBSIF3AT Index multiplied by 3) (United Kingdom) 15,839,000 16,419,760
Citigroup Global Markets Holdings Inc. sr. notes Ser. N, 1-month USD LIBOR less 0.12%, 2018 (Indexed to the Citi Commodities F3 vs F0 –4x Leveraged CVIC4X30 Index multiplied by 3) 4,030,000 4,087,016
Citigroup Global Markets Holdings Inc. sr. notes Ser. N, 1-month USD LIBOR less 0.14%, 2018 (Indexed to the S&P GSCI Total Return IndexSM multiplied by 3) 8,374,000 9,823,481
UBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2017 (Indexed to the UBSIF3AT Index multiplied by 3) (United Kingdom) 7,079,160 7,286,347
Total commodity Linked Notes (cost $49,422,160) $52,089,641

SENIOR LOANS (5.3%)(a)(c)
Principal amount Value
Capital goods (0.4%)
Manitowac Foodservice, Inc. bank term loan FRN 4.226%, 3/3/23 $835,897 $841,644
Reynolds Group Holdings, Inc. bank term loan FRN 4.226%, 2/5/23 431,743 433,392
TransDigm, Inc. bank term loan FRN Ser. C, 4.284%, 2/28/20 427,854 429,245
TransDigm, Inc. bank term loan FRN Ser. D, 4.291%, 6/4/21 776,000 778,749
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, 5.226%, 11/30/23 1,224,106 1,235,582
3,718,612
Communication services (0.2%)
Asurion, LLC bank term loan FRN 8.726%, 3/3/21 480,000 480,600
Asurion, LLC bank term loan FRN 6.00%, 8/4/25 400,000 409,833
Asurion, LLC bank term loan FRN Ser. B4, 4.476%, 8/4/22 844,533 847,172
1,737,605
Consumer cyclicals (2.2%)
Academy, Ltd. bank term loan FRN Ser. B, 5.196%, 7/2/22 1,690,842 1,318,857
Amaya Holdings BV bank term loan FRN Ser. B, 4.796%, 8/1/21 972,650 976,433
American Casino & Entertainment Properties, LLC bank term loan FRN Ser. B, 4.476%, 7/7/22 737,712 741,400
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.75%, 3/1/18 (In default)(NON) 500,149 602,179
Caesars Growth Properties Holdings, LLC bank term loan FRN Ser. L, 4.226%, 5/8/21 1,704,846 1,715,928
CityCenter Holdings, LLC bank term loan FRN Ser. B, 3.732%, 4/18/24 712,180 714,517
CPG International, Inc. bank term loan FRN 5.046%, 5/3/24 405,477 405,815
Diamond Resorts International, Inc. bank term loan FRN Ser. B, 7.226%, 9/2/23 565,725 568,554
Golden Nugget, Inc. bank term loan FRN 4.71%, 11/21/19 529,808 534,444
Golden Nugget, Inc. bank term loan FRN 4.68%, 11/21/19 227,061 229,047
Greektown Holdings, LLC bank term loan FRN Ser. B, 4.226%, 4/25/24 870,000 870,816
Jo-Ann Stores, LLC bank term loan FRN 6.391%, 10/21/23 1,890,500 1,887,349
Navistar, Inc. bank term loan FRN Ser. B, 5.23%, 8/7/20 985,000 994,439
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4.474%, 10/25/20 1,232,112 915,870
Sabre GLBL, Inc. bank term loan FRN Ser. B, 3.976%, 2/22/24 995,628 1,002,917
Scientific Games International, Inc. bank term loan FRN Ser. B3, 5.108%, 10/1/21 1,151,438 1,154,522
Scientific Games International, Inc. bank term loan FRN Ser. B4, 4.561%, 8/14/24 1,151,438 1,156,481
Talbots, Inc. (The) bank term loan FRN 9.726%, 3/19/21 499,677 430,971
Talbots, Inc. (The) bank term loan FRN 5.726%, 3/19/20 659,057 617,866
Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B, 4.061%, 9/2/21 709,706 709,996
Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B, 4.432%, 9/2/21 709,706 710,339
Tribune Media Co. bank term loan FRN Ser. B, 4.226%, 1/27/24 799,366 801,864
Tribune Media Co. bank term loan FRN Ser. B, 4.226%, 12/27/20 64,135 64,216
Univision Communications, Inc. bank term loan FRN Ser. C5, 3.976%, 3/15/24 1,106,500 1,101,275
20,226,095
Consumer staples (0.7%)
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4.226%, 2/14/21 416,025 415,310
Del Monte Foods, Inc. bank term loan FRN 4.43%, 2/18/21 928,800 726,012
Landry's, Inc. bank term loan FRN Ser. B, 3.971%, 10/4/23 1,108,341 1,107,946
Libbey Glass, Inc. bank term loan FRN Ser. B, 4.224%, 4/9/21 901,818 816,145
Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4.726%, 9/7/23 2,188,463 1,977,823
Rite Aid Corp. bank term loan FRN 5.105%, 6/21/21 1,000,000 1,002,292
6,045,528
Energy (0.1%)
American Energy-Marcellus, LLC bank term loan FRN 5.474%, 8/4/20 434,499 267,217
Chesapeake Energy Corp. bank term loan FRN 8.686%, 8/23/21 735,000 788,977
1,056,194
Financials (0.2%)
HUB International, Ltd. bank term loan FRN Ser. B, 4.422%, 10/2/20 967,500 974,363
VGD Merger Sub, LLC bank term loan FRN 4.48%, 8/18/23 1,012,350 1,017,412
1,991,775
Health care (0.7%)
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, 4.474%, 4/28/22 406,700 397,973
Iasis Healthcare, LLC bank term loan FRN Ser. B, 5.296%, 2/17/21 464,201 466,754
Kinetic Concepts, Inc. bank term loan FRN Ser. B, 4.546%, 2/3/24 1,635,000 1,631,934
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 5.046%, 6/30/21 577,150 577,297
Patheon Holdings I BV bank term loan FRN Ser. B, 4.504%, 4/20/24 1,180,893 1,182,861
Pharmaceutical Product Development, LLC bank term loan FRN 4.013%, 8/18/22 1,568,000 1,577,582
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. BF1, 5.98%, 4/1/22 269,461 274,341
6,108,742
Technology (0.5%)
Avaya, Inc. bank term loan FRN Ser. B6, 6.667%, 3/31/18 (In default)(NON) 977,137 793,110
First Data Corp. bank term loan FRN 3.727%, 4/26/24 1,082,369 1,087,105
Infor US, Inc. bank term loan FRN Ser. B, 4.046%, 2/1/22 633,327 632,083
ON Semiconductor Corp. bank term loan FRN Ser. B, 3.476%, 3/31/23 1,103,754 1,107,203
Syniverse Holdings, Inc. bank term loan FRN Ser. B, 4.172%, 4/23/19 927,449 883,395
4,502,896
Utilities and power (0.4%)
Dynegy Finance IV, Inc. bank term loan FRN Ser. C, 4.476%, 2/7/24 997,500 1,000,991
Energy Transfer Equity LP bank term loan FRN Ser. B, 3.974%, 2/2/24 815,000 817,547
Vistra Operations Co., LLC bank term loan FRN Ser. B, 3.976%, 8/4/23 1,677,144 1,680,917
Vistra Operations Co., LLC bank term loan FRN Ser. C, 3.977%, 8/4/23 384,429 385,294
3,884,749
Total senior loans (cost $50,384,814) $49,272,196

CORPORATE BONDS AND NOTES (4.9%)(a)
Principal amount Value
Basic materials (0.5%)
Cemex SAB de CV 144A company guaranty sr. sub. FRN 6.054%, 10/15/18 (Mexico) $600,000 $623,250
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 690,000 785,738
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 1,500,000 1,605,000
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 8/15/22 1,000,000 1,037,500
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 710,000 743,725
4,795,213
Capital goods (1.0%)
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 1,500,000 1,578,750
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 1,045,000 1,186,075
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 1,210,000 1,237,225
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 1,620,000 1,703,025
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 1,127,000 1,176,306
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 1,000,000 1,037,500
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/29/20 1,500,000 1,537,500
9,456,381
Communication services (0.6%)
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 1,215,000 1,241,949
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 480,000 490,646
Crown Castle International Corp. sr. unsec. notes 5.25%, 1/15/23(R) 840,000 939,214
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4.25%, 4/1/18 1,500,000 1,516,875
Telenet Finance V Luxembourg SCA 144A sr. notes 6.75%, 8/15/24 (Luxembourg) EUR 130,000 167,742
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 425,000 584,377
4,940,803
Consumer cyclicals (0.2%)
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 $1,720,000 1,857,600
1,857,600
Consumer staples (0.2%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 1,080,000 1,104,300
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 670,000 664,138
1,768,438
Energy (0.8%)
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 468,000 496,080
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 445,000 440,550
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 795,000 860,588
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.25%, 3/17/44 (Brazil) 647,000 650,235
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.75%, 5/23/26 (Brazil) 379,000 445,325
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.375%, 5/23/21 (Brazil) 658,000 740,250
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 1,227,000 1,280,681
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 158,000 166,098
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) 3,019,000 987,666
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 1,311,000 1,302,347
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes Ser. REGS, 6.50%, 3/13/27 (Mexico) 248,000 273,048
7,642,868
Financials (0.7%)
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 600,000 642,000
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. FRB 8.125%, 6/15/38 530,000 555,838
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 4.875%, 3/15/19 1,070,000 1,084,124
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 920,000 968,300
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A sr. unsec. unsub. notes 5.298%, 12/27/17 (Russia) 300,000 303,512
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.902%, 7/9/20 (Russia) 300,000 325,024
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.80%, 11/22/25 (Russia) 250,000 277,838
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 5.942%, 11/21/23 (Russia) 400,000 427,027
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 1,800,000 1,944,000
6,527,663
Health care (0.1%)
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 400,000 347,000
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 610,000 666,425
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sr. notes 7.875%, 2/15/21 110,000 116,325
1,129,750
Technology (0.5%)
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 1,000,000 1,078,750
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 1,310,000 1,364,038
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6.00%, 10/1/20(R) 1,645,000 1,702,575
4,145,363
Utilities and power (0.3%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 1,695,000 1,779,750
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 950,000 1,007,000
Texas-New Mexico Power Co. 144A 1st sr. bonds Ser. A, 9.50%, 4/1/19 175,000 194,918
2,981,668
Total corporate bonds and notes (cost $43,533,168) $45,245,747

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (1.3%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. unsub. bonds 7.625%, 4/22/46 (Argentina) $1,000,000 $1,028,000
Brazil (Federal Republic of) unsec. notes Ser. NTNF, 10.00%, 1/1/23 (Brazil) (Units) BRL 2,900 950,453
Buenos Aires (Province of) unsec. FRN 24.268%, 5/31/22 (Argentina) ARS 5,940,000 350,970
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $1,420,000 1,451,240
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) 1,400,000 1,554,700
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 375,000 450,938
Dominican (Republic of) 144A sr. unsec. unsub. notes 5.95%, 1/25/27 (Dominican Republic) 135,000 144,450
Egypt (Arab Republic of) 144A sr. unsec. bonds 8.50%, 1/31/47 (Egypt) 300,000 326,250
Egypt (Arab Republic of) 144A sr. unsec. notes 6.125%, 1/31/22 (Egypt) 300,000 309,342
Indonesia (Republic of) 144A sr. unsec. notes 5.25%, 1/17/42 (Indonesia) 553,000 605,383
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 300,000 323,625
Indonesia (Republic of) 144A sr. unsec. unsub. notes 5.95%, 1/8/46 (Indonesia) 300,000 361,500
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 755,000 792,842
Ivory Coast (Republic of) 144A sr. unsec. bonds 6.125%, 6/15/33 (Ivory Coast) 500,000 489,143
United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 700,000 730,411
Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%, 6/24/28 (Russia) 375,000 658,594
Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%, 4/4/42 (Russia) 1,100,000 1,197,625
Turkey (Republic of) unsec. notes 11.00%, 3/2/22 (Turkey) TRY 980,000 282,498
Total foreign government and agency bonds and notes (cost $11,581,123) $12,007,964

WARRANTS (0.4%)(a)(NON)
Expiration date      Strike Price Warrants Value
China State Construction Engineering Corp., Ltd. 144A (China) 1/22/18      $0.00 $1,083,644 $1,658,745
Shanghai Automotive Co. 144A (China) 2/2/18      0.00 461,500 2,067,830
Zhengzhou Yutong Bus Co., Ltd. 144A (China) 7/20/18      0.00 103,700 340,740
Total warrants (cost $3,504,705) $4,067,315

ASSET-BACKED SECURITIES (0.1%)(a)
Principal amount Value
Station Place Securitization Trust 144A FRB Ser. 17-1, Class A, 2.132%, 2/25/49 $497,667 $497,667
Total asset-backed securities (cost $497,667) $497,667

PURCHASED SWAP OPTIONS OUTSTANDING (—%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     (2.214)/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.214 $2,597,500 $3
Barclays Bank PLC
     1.47/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.47 3,117,000 592
Citibank, N.A.
     (2.518)/3 month USD-LIBOR-BBA/May-49 May-19/2.518 228,600 20,672
     2.25/3 month USD-LIBOR-BBA/Sep-27 Sep-17/2.25 2,078,000 13,777
     (2.57)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 1,039,000 9,070
     1.975/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 1,039,000 6,598
     (1.975)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 1,039,000 6,359
     1.6125/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.6125 4,156,000 5,943
     (1.896)/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 667,000 5,856
     2.57/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 1,039,000 5,642
     2.235/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.235 1,558,500 4,800
     1.896/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 667,000 3,242
     2.02/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.02 1,558,500 733
Credit Suisse International
     2.2275/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.2275 1,558,500 7,715
     2.3724/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.3724 523,400 6,228
     2.8472/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.8472 523,400 1,989
Goldman Sachs International
     2.20/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.20 4,918,000 17,361
     2.015/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.015 3,693,000 10,894
     (2.33)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.33 1,558,500 5,174
     2.525/3 month USD-LIBOR-BBA/Aug-37 Aug-17/2.525 519,500 4,587
     (1.83)/3 month USD-LIBOR-BBA/Sep-22 Sep-17/1.83 632,000 3,722
     1.796/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.796 3,117,000 3,366
     1.83/3 month USD-LIBOR-BBA/Sep-22 Sep-17/1.83 632,000 885
     (2.5975)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.5975 3,117,000 592
     1.296/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.296 6,234,000 187
     (2.234)/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.234 2,597,500 3
JPMorgan Chase Bank N.A.
     1.585/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.585 3,117,000 2,681
     (2.81025)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.81025 2,078,000 997
     1.479/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.479 3,117,000 717
     (1.585)/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.585 3,117,000 592
     1.9685/3 month USD-LIBOR-BBA/Aug-27 Aug-17/1.9685 2,462,000 566
Total purchased swap options outstanding (cost $222,166) $151,543

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
SPDR S&P 500 ETF Trust (Put) Jul-18/$215.00 $68,789 $322,745
SPDR S&P 500 ETF Trust (Put) Jun-18/210.00 68,789 242,434
SPDR S&P 500 ETF Trust (Put) May-18/210.00 68,789 206,304
SPDR S&P 500 ETF Trust (Put) Apr-18/205.00 68,789 150,021
SPDR S&P 500 ETF Trust (Put) Mar-18/205.00 68,789 127,719
SPDR S&P 500 ETF Trust (Put) Feb-18/200.00 68,789 81,174
USD/CNH (Put) Oct-17/CNH 6.70 18,545,850 59,495
USD/CNH (Put) Oct-17/CNH 6.70 18,545,850 56,138
USD/JPY (Put) Nov-17/JPY 107.00 11,072,550 106,319
Total purchased options outstanding (cost $2,558,198) $1,352,349

SHORT-TERM INVESTMENTS (53.4%)(a)
Principal amount/shares Value
Federal Home Loan Banks unsec. discount notes 1.000%, 8/4/17 $54,850,000 $54,845,445
Interest in $167,880,000 joint tri-party repurchase agreement dated 7/31/17 with BNP Paribas due 8/1/17 - maturity value of $43,754,288 for an effective yield of 1.060% (collateralized by various mortgage backed securities and U.S. Treasury notes with coupon rates ranging from 0.125% to 8.000% and due dates ranging from 12/15/17 to 5/1/47, valued at $171,242,642) 43,753,000 43,753,000
Interest in $275,000,000 joint tri-party repurchase agreement dated 7/31/17 with Citigroup Global Markets, Inc. due 8/1/17 - maturity value of $75,670,228 for an effective yield of 1.060% (collateralized by various U.S. Treasury notes with coupon rates ranging from 0.750% to 3.750% and due dates ranging from 8/15/17 to 3/31/24, valued at $280,500,040) 75,668,000 75,668,000
Interest in $300,000,000 joint tri-party repurchase agreement dated 7/31/17 with RBC Capital Markets, LLC due 8/1/17 - maturity value of $77,960,252 for an effective yield of 1.040% (collateralized by various mortgage backed securities and a U.S. Treasury note with coupon rates ranging from 1.875% to 4.381% and due dates ranging from 6/1/21 to 4/20/47, valued at $306,008,909) 77,958,000 77,958,000
Putnam Cash Collateral Pool, LLC 1.29%(AFF) Shares 16,845,500 16,845,500
Putnam Short Term Investment Fund 1.15%(AFF) Shares 184,131,632 184,131,632
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.94%(P) Shares 3,990,000 3,990,000
U.S. Treasury Bills 0.936%, 8/10/17(SEG)(SEGSF)(SEGCCS) $7,647,000 7,645,204
U.S. Treasury Bills 0.940%, 8/24/17(SEGSF)(SEGCCS) 7,327,000 7,322,495
U.S. Treasury Bills 0.958%, 8/3/17(SEG)(SEGSF)(SEGCCS) 8,277,000 8,276,569
U.S. Treasury Bills 0.966%, 8/17/17(SEG)(SEGSF)(SEGCCS) 12,878,000 12,872,459
Total short-term investments (cost $493,308,578) $493,308,304

TOTAL INVESTMENTS
Total investments (cost $1,137,782,813)(b) $1,167,526,089













FORWARD CURRENCY CONTRACTS at 7/31/17 (aggregate face value $188,302,139) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 10/18/17 $3,429,272 $3,280,059 $149,213
British Pound Sell 9/20/17 2,161,296 2,110,076 (51,220)
Canadian Dollar Sell 10/18/17 1,929,904 1,852,410 (77,494)
Euro Buy 9/20/17 2,031,483 1,926,675 104,808
Indian Rupee Buy 8/16/17 2,079,429 2,059,991 19,438
Indian Rupee Sell 8/16/17 2,079,429 2,062,307 (17,122)
Japanese Yen Sell 8/16/17 3,679,266 3,622,165 (57,101)
New Zealand Dollar Buy 10/18/17 220,639 214,313 6,326
Norwegian Krone Sell 9/20/17 262,787 45,496 (217,291)
Singapore Dollar Buy 8/16/17 2,104,336 2,067,436 36,900
Singapore Dollar Sell 8/16/17 2,104,336 2,044,897 (59,439)
Swedish Krona Buy 9/20/17 3,716,965 3,419,019 297,946
Barclays Bank PLC
Australian Dollar Buy 10/18/17 3,003,849 2,875,407 128,442
Canadian Dollar Buy 10/18/17 39,823 38,294 1,529
Euro Buy 9/20/17 5,198,819 4,964,109 234,710
Japanese Yen Sell 8/16/17 87,575 93,505 5,930
New Zealand Dollar Buy 10/18/17 1,504,201 1,459,159 45,042
Swiss Franc Buy 9/20/17 79,150 62,141 17,009
Citibank, N.A.
Australian Dollar Buy 10/18/17 468,500 448,238 20,262
Brazilian Real Buy 10/3/17 977,251 1,023,469 (46,218)
British Pound Sell 9/20/17 1,928,832 1,910,292 (18,540)
Canadian Dollar Buy 10/18/17 95,543 86,494 9,049
Euro Sell 9/20/17 738,127 698,453 (39,674)
Japanese Yen Buy 8/16/17 1,913,959 1,889,628 24,331
Japanese Yen Sell 8/16/17 1,913,959 1,885,150 (28,809)
New Taiwan Dollar Buy 8/16/17 1,845,828 1,854,111 (8,283)
New Taiwan Dollar Sell 8/16/17 1,845,828 1,851,490 5,662
New Zealand Dollar Sell 10/18/17 2,875,959 2,790,028 (85,931)
Norwegian Krone Buy 9/20/17 1,978,579 1,854,959 123,620
Swedish Krona Buy 9/20/17 4,095,593 3,910,960 184,633
Credit Suisse International
Australian Dollar Buy 10/18/17 2,072,205 1,982,753 89,452
Canadian Dollar Buy 10/18/17 106,704 102,597 4,107
Euro Buy 9/20/17 2,556,563 2,428,786 127,777
Japanese Yen Sell 8/16/17 1,923,350 1,886,673 (36,677)
New Zealand Dollar Sell 10/18/17 1,060,823 1,029,035 (31,788)
Norwegian Krone Sell 9/20/17 50,263 46,666 (3,597)
Swedish Krona Sell 9/20/17 3,998,843 3,726,806 (272,037)
Goldman Sachs International
Australian Dollar Sell 10/18/17 3,895,853 3,711,942 (183,911)
British Pound Sell 9/20/17 1,291,835 1,260,951 (30,884)
Canadian Dollar Buy 10/18/17 682,696 656,478 26,218
Euro Buy 9/20/17 1,879,916 1,924,647 (44,731)
Indian Rupee Buy 8/16/17 4,210,026 4,181,708 28,318
Indian Rupee Sell 8/16/17 4,210,026 4,170,393 (39,633)
Indonesian Rupiah Buy 11/15/17 1,844,252 1,845,797 (1,545)
Japanese Yen Buy 8/16/17 1,909,667 1,872,971 36,696
Japanese Yen Sell 8/16/17 1,909,667 1,882,925 (26,742)
New Zealand Dollar Buy 10/18/17 132,068 122,141 9,927
Norwegian Krone Sell 9/20/17 2,339,181 2,082,080 (257,101)
Swedish Krona Sell 9/20/17 898,170 960,800 62,630
Swiss Franc Buy 9/20/17 79,357 62,179 17,178
Turkish Lira Buy 9/20/17 1,863,220 1,849,479 13,741
HSBC Bank USA, National Association
Australian Dollar Buy 10/18/17 76,245 72,991 3,254
British Pound Sell 9/20/17 1,375,358 1,342,326 (33,032)
Canadian Dollar Buy 10/18/17 61,421 40,080 21,341
Euro Buy 9/20/17 414,225 305,573 108,652
New Zealand Dollar Buy 10/18/17 3,855,110 3,740,777 114,333
Singapore Dollar Buy 8/16/17 1,885,503 1,849,717 35,786
Singapore Dollar Sell 8/16/17 1,885,503 1,839,710 (45,793)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 10/18/17 4,563,038 4,345,107 (217,931)
British Pound Sell 9/20/17 4,517,655 4,436,910 (80,745)
Canadian Dollar Sell 10/18/17 3,015,490 2,962,794 (52,696)
Euro Sell 9/20/17 2,446,419 2,382,364 (64,055)
Indonesian Rupiah Buy 11/15/17 1,844,252 1,843,333 919
Japanese Yen Buy 8/16/17 1,611,811 1,588,814 22,997
Japanese Yen Sell 8/16/17 1,611,811 1,592,057 (19,754)
New Zealand Dollar Sell 10/18/17 222,664 180,286 (42,378)
Norwegian Krone Sell 9/20/17 2,007,848 1,850,148 (157,700)
South African Rand Sell 10/18/17 1,798,079 1,816,673 18,594
Swedish Krona Buy 9/20/17 5,692,348 5,465,615 226,733
Swiss Franc Sell 9/20/17 851,664 851,615 (49)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 10/18/17 3,633,631 3,479,027 154,604
Euro Buy 9/20/17 86,049 21,285 64,764
Japanese Yen Sell 8/16/17 1,959,930 1,931,897 (28,033)
New Zealand Dollar Buy 10/18/17 1,690,042 1,640,210 49,832
Norwegian Krone Sell 9/20/17 2,233,982 1,960,337 (273,645)
Swedish Krona Buy 9/20/17 3,910,428 3,700,547 209,881
Turkish Lira Buy 9/20/17 1,700,442 1,688,904 11,538
State Street Bank and Trust Co.
Australian Dollar Sell 10/18/17 321,844 307,945 (13,899)
British Pound Sell 9/20/17 1,979,051 1,895,818 (83,233)
Canadian Dollar Buy 10/18/17 48,013 46,168 1,845
Euro Buy 9/20/17 5,768,527 5,583,264 185,263
Euro Sell 9/20/17 5,807,813 5,567,265 (240,548)
Japanese Yen Buy 8/16/17 1,341,235 1,321,973 19,262
Japanese Yen Sell 8/16/17 1,341,235 1,324,913 (16,322)
New Zealand Dollar Buy 10/18/17 642,944 637,259 5,685
Norwegian Krone Buy 9/20/17 1,950,901 1,870,265 80,636
Norwegian Krone Sell 9/20/17 1,970,113 1,832,652 (137,461)
Singapore Dollar Buy 8/16/17 2,104,336 2,079,214 25,122
Singapore Dollar Sell 8/16/17 2,104,336 2,045,281 (59,055)
Swedish Krona Buy 9/20/17 540,246 218,142 322,104
UBS AG
Australian Dollar Sell 10/18/17 3,975,695 3,871,241 (104,454)
British Pound Sell 9/20/17 1,883,105 1,847,574 (35,531)
Canadian Dollar Buy 10/18/17 99,638 96,755 2,883
Euro Sell 9/20/17 1,058,588 1,102,675 44,087
Japanese Yen Sell 8/16/17 1,811,959 1,809,745 (2,214)
New Zealand Dollar Sell 10/18/17 10,050 9,748 (302)
Norwegian Krone Buy 9/20/17 657,803 884,510 (226,707)
Swedish Krona Buy 9/20/17 4,818,906 4,518,088 300,818
Turkish Lira Buy 9/20/17 90,793 88,908 1,885
WestPac Banking Corp.
Australian Dollar Buy 10/18/17 1,554,713 1,491,684 63,029
Canadian Dollar Sell 10/18/17 1,764,348 1,762,005 (2,343)
Euro Buy 9/20/17 460,989 415,452 45,537
Japanese Yen Buy 8/16/17 224,601 221,883 2,718
Japanese Yen Sell 8/16/17 224,601 221,426 (3,175)
New Zealand Dollar Sell 10/18/17 111,144 112,651 1,507
Total $399,680












FUTURES CONTRACTS OUTSTANDING at 7/31/17 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
DAX Index (Short) 3 $1,075,142             Sep-17 $52,330
Euro-CAC 40 Index (Short) 85 5,121,712             Aug-17 93,328
FTSE 100 Index (Short) 15 1,446,723             Sep-17 26,782
S&P 500 Index E-Mini (Short) 494 60,959,600             Sep-17 (1,046,113)
S&P Mid Cap 400 Index E-Mini (Long) 334 58,777,320             Sep-17 756,055
SPI 200 Index (Short) 7 792,540             Sep-17 (8,565)
Tokyo Price Index (Long) 117 17,187,310             Sep-17 108,834
U.S. Treasury Bond 30 yr (Long) 46 7,036,563             Sep-17 17,877
U.S. Treasury Bond Ultra 30 yr (Short) 60 9,870,000             Sep-17 (75,580)
U.S. Treasury Note 2 yr (Long) 67 14,495,031             Sep-17 (6,415)
U.S. Treasury Note 5 yr (Short) 190 22,448,203             Sep-17 (9,191)
U.S. Treasury Note 10 yr (Long) 282 35,501,156             Sep-17 1,642
U.S. Treasury Note 10 yr (Short) 83 10,448,922             Sep-17 19,288
U.S. Treasury Note Ultra 10 yr (Short) 49 6,617,297             Sep-17 (2,777)
Total $(72,505)












WRITTEN SWAP OPTIONS OUTSTANDING at 7/31/17 (premiums $1,231,405) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value

Bank of America N.A.
2.404/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.404 $5,195,000 $5

Barclays Bank PLC
(1.8295)/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.8295 3,117,000 592

Citibank, N.A.
2.551/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.551 3,117,000 31
2.5225/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.5225 1,558,500 499
(1.642)/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642 2,078,000 3,179
(2.0625)/3 month USD-LIBOR-BBA/Aug-18 Aug-17/2.0625 4,156,000 4,821
1.642/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642 2,078,000 5,195
(2.257)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257 1,039,000 11,720
2.257/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257 1,039,000 14,962
2.208/3 month USD-LIBOR-BBA/May-24 May-19/2.208 1,039,000 19,066

Credit Suisse International
2.4475/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.4475 1,558,500 1,792
(2.0385)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.0385 3,117,000 2,525
(2.5816)/3 month USD-LIBOR-BBA/Aug-37 Aug-17/2.5816 523,400 7,746

Goldman Sachs International
2.419/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.419 5,195,000 5
(1.563)/3 month USD-LIBOR-BBA/Sep-19 Sep-17/1.563 2,078,000 873
(2.805)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.805 519,500 1,278
1.563/3 month USD-LIBOR-BBA/Sep-19 Sep-17/1.563 2,078,000 3,304
(1.619)/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.619 9,351,000 3,740
(2.31)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.31 519,500 3,886
2.46/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.46 4,675,500 4,301
2.62/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.62 3,693,000 7,349
(2.3025)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.3025 2,459,000 20,041

JPMorgan Chase Bank N.A.
1.993/3 month USD-LIBOR-BBA/Oct-20 Oct-17/1.993 1,039,000 426
(1.98)/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.98 3,117,000 436
2.5385/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.5385 2,462,000 640
2.534/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.534 1,039,000 2,774
(1.783)/3 month USD-LIBOR-BBA/Oct-20 Oct-17/1.783 1,039,000 2,878
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 5,792,000 204,459
Total $328,523












WRITTEN OPTIONS OUTSTANDING at 7/31/17 (premiums $128,654) (Unaudited)


Expiration Contract
date/strike price amount Value
SPDR S&P 500 ETF Trust (Call) Aug-17/$252.50 $82,438 $9,225
USD/CNH (Put) Oct-17/CNH 6.60 18,545,850 12,537
USD/CNH (Put) Oct-17/CNH 6.60 18,545,850 10,812
USD/JPY (Put) Nov-17/JPY 103.00 11,072,550 39,374
Total $71,948













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 7/31/17 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

Bank of America N.A.
     (2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 $519,500 $(20,312) $847
     2.5925/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 311,700 (10,987) 25
     2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 311,700 (33,445) (94)
     (2.203)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 519,500 (10,390) (338)
     (2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 311,700 (33,445) (785)
     2.203/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 519,500 (10,390) (1,210)
     2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 519,500 (20,312) (1,356)
     (2.5925)/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 311,700 (10,987) (5,293)
     2.7175/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 311,700 28,162 9,663
     (2.7175)/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 311,700 28,162 3,591
     (2.413)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 519,500 19,975 2,842
     2.413/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 519,500 19,975 (229)

Barclays Bank PLC
     2.43/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 311,700 (4,348) 789
     (2.205)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 519,500 (10,390) (358)
     2.205/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 519,500 (10,390) (1,190)
     (2.43)/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 311,700 (4,348) (2,718)

Citibank, N.A.
     (2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 519,500 (20,312) 769
     2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 519,500 (20,312) (1,283)
     (2.42)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 519,500 20,001 2,712
     2.42/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 519,500 19,897 (135)

Goldman Sachs International
     2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 62,300 (7,865) 160
     1.995/3 month USD-LIBOR-BBA/Oct-27 (Purchased) Oct-17/1.995 3,693,000 (9,971) 22
     (2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 62,300 (7,865) (248)
     2.60/3 month USD-LIBOR-BBA/Oct-27 (Written) Oct-17/2.60 3,693,000 9,971 1,174

JPMorgan Chase Bank N.A.
     2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 311,700 (43,521) 860
     1.9777/3 month USD-LIBOR-BBA/Sep-27 (Purchased) Sep-17/1.9777 3,693,000 (5,072) 7
     (2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 311,700 (43,521) (7,475)
     2.79/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 311,700 29,596 11,773
     (2.79)/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 311,700 29,596 598
     2.5777/3 month USD-LIBOR-BBA/Sep-27 (Written) Sep-17/2.5777 3,693,000 5,072 337
Total $(127,776) $13,457












TBA SALE COMMITMENTS OUTSTANDING at 7/31/17 (proceeds receivable $123,909,336) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal Home Loan Mortgage Corporation, 4.50%, 9/1/47 $2,000,000       09/13/17 $2,142,968
Federal Home Loan Mortgage Corporation, 4.50%, 8/1/47 2,000,000       08/14/17 2,145,000
Federal National Mortgage Association, 5.50%, 8/1/47 2,000,000       08/14/17 2,214,397
Federal National Mortgage Association, 4.50%, 8/1/47 6,000,000       08/14/17 6,441,563
Federal National Mortgage Association, 4.00%, 8/1/47 3,000,000       08/14/17 3,158,672
Federal National Mortgage Association, 3.50%, 8/1/47 56,000,000       08/14/17 57,653,747
Federal National Mortgage Association, 3.00%, 8/1/47 36,000,000       08/14/17 36,059,062
Federal National Mortgage Association, 2.50%, 8/1/47 15,000,000       08/14/17 14,499,609
Total $124,315,018















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 7/31/17 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$1,037,100 (E) $(2,100)     9/20/19 3 month USD-LIBOR-BBA 1.70% $(756)
113,754,600 (E) 230,121      9/20/19 1.70% 3 month USD-LIBOR-BBA 82,695
1,039,000 2,792      7/12/27 3 month USD-LIBOR-BBA 2.291% 7,943
1,558,500 (9,372)     7/18/27 2.124% 3 month USD-LIBOR-BBA 7,053
3,117,000 9,310      7/18/27 3 month USD-LIBOR-BBA 2.204% (749)
5,575,000 (E) (10,930)     9/20/22 1.95% 3 month USD-LIBOR-BBA (15,931)
19,655,000 (E) 12,946      9/20/27 3 month USD-LIBOR-BBA 2.25% (14,965)
519,500 3,318      7/25/27 3 month USD-LIBOR-BBA 2.132% (1,926)
422,000 (3,237)     7/25/47 2.488% 3 month USD-LIBOR-BBA 2,648
14,830,900 (E) 76,933      9/20/27 2.20% 3 month USD-LIBOR-BBA 165,533
190,227,200 (E) (993,920)     9/20/27 3 month USD-LIBOR-BBA 2.20% (2,130,337)
31,118,400 (E) 65,399      9/20/22 1.90% 3 month USD-LIBOR-BBA 111,952
10,311,000 (E) (109,197)     9/20/47 3 month USD-LIBOR-BBA 2.45% (358,177)
3,109,500 (41)     6/27/27 2.15% 3 month USD-LIBOR-BBA 22,832
519,500 2,085      7/13/27 3 month USD-LIBOR-BBA 2.18% (630)
2,990,000 (40)     6/30/27 2.1965% 3 month USD-LIBOR-BBA 9,339
4,568,000 (17)     7/5/19 1.60431% 3 month USD-LIBOR-BBA (2,453)
4,568,000 (17)     7/5/19 1.6076% 3 month USD-LIBOR-BBA (2,747)
5,185,000 (69)     7/5/27 2.312% 3 month USD-LIBOR-BBA (37,096)
595,000 (8)     7/5/27 2.317% 3 month USD-LIBOR-BBA (4,529)
2,937,000 (39)     7/7/27 2.317% 3 month USD-LIBOR-BBA (22,139)
670,800 (9)     7/10/27 2.34267% 3 month USD-LIBOR-BBA (6,541)
670,800 (9)     7/10/27 2.34955% 3 month USD-LIBOR-BBA (6,963)
670,800 (9)     7/10/27 2.35263% 3 month USD-LIBOR-BBA (7,152)
245,900 (E) (3)     8/7/27 2.3625% 3 month USD-LIBOR-BBA (2,577)
2,619,000 (35)     7/10/27 3 month USD-LIBOR-BBA 2.3415% 25,183
335,400 (4)     7/10/27 2.3575% 3 month USD-LIBOR-BBA (3,725)
5,979,000 (79)     7/11/27 3 month USD-LIBOR-BBA 2.361% 67,987
262,000 (E) (4)     8/9/27 2.3725% 3 month USD-LIBOR-BBA (2,969)
3,934,000 (52)     7/19/27 3 month USD-LIBOR-BBA 2.263% 8,338
955,000 (13)     7/19/27 2.264% 3 month USD-LIBOR-BBA (2,137)
822,000 (11)     7/20/27 2.202% 3 month USD-LIBOR-BBA 2,851
2,171,000 (29)     7/25/27 3 month USD-LIBOR-BBA 2.22% (4,486)
316,000 (4)     7/25/27 2.20843% 3 month USD-LIBOR-BBA 979
234,000 (E) (3)     8/30/27 2.27% 3 month USD-LIBOR-BBA (293)
525,000 (E) (7)     8/7/27 3 month USD-LIBOR-BBA 2.27% 1,052
3,912,000 (52)     7/28/27 2.274% 3 month USD-LIBOR-BBA (10,916)
724,533 (E) (10)     8/9/27 3 month USD-LIBOR-BBA 2.275% 1,744
788,000 (E) (11)     10/3/27 2.2777% 3 month USD-LIBOR-BBA (646)
1,083,000 (E) (15)     11/2/27 2.295% 3 month USD-LIBOR-BBA (1,388)
AUD 30,419,000 81,163      6/28/22 2.60% 6 month AUD-BBR-BBSW (136,747)
AUD 3,593,000 (21,621)     6/28/27 6 month AUD-BBR-BBSW 3.00% 15,975
CAD 7,911,000 (E) (159,981)     9/20/27 1.95% 3 month CAD-BA-CDOR 68,982
CAD 41,000 (E) (40)     9/20/22 3 month CAD-BA-CDOR 1.60% (675)
CHF 24,706,000 (E) (108,225)     9/20/22 6 month CHF-LIBOR-BBA 0.30% 86,852
CHF 4,157,000 (E) 71,985      9/20/27 6 month CHF-LIBOR-BBA 0.15% (15,815)
EUR 24,236,000 (E) (198,490)     9/20/22 0.20% 6 month EUR-EURIBOR-REUTERS (33,835)
EUR 33,884,000 (E) 236,911      9/20/27 6 month EUR-EURIBOR-REUTERS 0.80% (465,648)
GBP 41,439,000 (E) (253,929)     9/20/22 0.75% 6 month GBP-LIBOR-BBA 226,551
GBP 249,000 (E) 6,580      9/20/27 6 month GBP-LIBOR-BBA 1.15% 1,412
NOK 106,558,000 (E) (75,352)     9/20/22 1.45% 6 month NOK-NIBOR-NIBR 8,860
NOK 63,763,000 (E) 18,917      9/20/27 6 month NOK-NIBOR-NIBR 1.90% (83,253)
NZD 5,158,000 (E) (32,369)     9/20/22 2.75% 3 month NZD-BBR-FRA (22,630)
NZD 14,526,000 (E) 34,515      9/20/27 3 month NZD-BBR-FRA 3.25% (25,025)
SEK 235,487,000 (E) (90,657)     9/20/22 0.30% 3 month SEK-STIBOR-SIDE 234,989
SEK 14,481,000 (E) 37,080      9/20/27 3 month SEK-STIBOR-SIDE 1.10% (4,073)
Total$(1,179,955)     $(2,268,179)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 7/31/17 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
baskets 1,420,266 $—      3/7/18 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLFCF11) of common stocks $4,638,162
units 34,473 —      8/2/17 3 month USD-LIBOR-BBA minus 0.07% Russell 1000 Total Return Index (8,656,371)
Barclays Bank PLC
$265,564 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 1,158
153,440 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 77
654,974 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 2,857
20,008 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 18
1,553,912 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 6,779
217,357 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 663
1,526,440 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 4,653
326,036 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 994
651,925 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (1,659)
331,502 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 300
269,985 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 553
1,300,162 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,254
9,821,184 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 21,577
10,510,856 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (63,877)
Citibank, N.A.
506,779 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,113
247,768 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 544
12,869 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Synchronoss Technologies, Inc. (9,769)
48,896 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Coach, Inc. 27,785
40,819 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Newell Brands, Inc. 47,840
10,724 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% ITT, Inc. 6,595
160,864 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% General Electric Co. 194,028
7,507 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% HubSpot, Inc. 903
16,086 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% ACI Worldwide, Inc. 9,113
3,265 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% OSI Systems, Inc. (6,857)
42,897 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Kellogg Co. (66,995)
31,811 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Cerner Corp. 48,410
8,307 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Electronics for Imaging, Inc. (767)
78,894 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Hanesbrands, Inc. (22,363)
14,856 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Globus Medical, Inc. 17,605
24,130 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% SS&C Technologies Holdings, Inc. 14,778
7,131 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% UMB Financial Corp. 30,813
15,014 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Cornerstone OnDemand, Inc. (40,977)
9,029 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% ICON PLC (52,159)
8,579 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Super Micro Computer, Inc. (3,961)
36,081 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Mylan NV (38,378)
12,869 —      7/5/22 1 month USD-LIBOR-BBA minus 0.07% Evolent Health, Inc. 27,498
5,362 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Ellie Mae, Inc. 120,715
10,325 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Paylocity Holding Corp. 17,578
47,187 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Ciena Corp. (38,648)
10,724 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Granite Construction, Inc. 1,409
21,449 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Quintiles IMS Holdings, Inc. (18,052)
25,738 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Burlington Stores, Inc. 37,040
15,026 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% HealthSouth Corp. 50,864
10,724 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% NETSCOUT Systems, Inc. (1,034)
13,405 —      7/5/22 1 month USD-LIBOR-BBA minus 0.65% Wabtec Corp. 184,866
5,362 —      7/5/22 1 month USD-LIBOR-BBA minus 1.30% Tesla, Inc. 4,764
10,724 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Paycom Software, Inc. (7,022)
6,435 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Woodward, Inc. (9,638)
15,014 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% iRobot Corp. (315,231)
16,086 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Actuant Corp. (2,406)
16,086 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Cooper Tire & Rubber Co. 191
5,441 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Pegasystems, Inc. 3,493
15,014 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% NuVasive, Inc. 187,016
9,490 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% BroadSoft, Inc. (16,820)
22,189 —      7/5/22 1 month USD-LIBOR-BBA minus 1.30% Signet Jewelers, Ltd. (91,722)
15,900 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% XPO Logistics, Inc. 8,440
10,724 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Medidata Solutions, Inc. 50,890
6,435 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Ultimate Software Group, Inc. (66,913)
32,173 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Akorn, Inc. 2,339
42,897 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Valley National Bancorp (2,610)
58,191 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Triumph Group, Inc. 459,200
10,986 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Valeant Pharmaceuticals International, Inc. 5,838
12,869 —      7/5/22 1 month USD-LIBOR-BBA minus 12.05% Ubiquiti Networks, Inc. (42,553)
4,290 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Plantronics, Inc. 28,298
10,724 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Hollysys Automation Technologies, Ltd. (21,020)
12,569 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% PTC, Inc. 30,750
16,321 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Varian Medical Systems, Inc. 135,784
10,724 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Dycom Industries, Inc. (45,606)
214,485 —      7/5/22 1 month USD-LIBOR-BBA minus 1.10% Weatherford International PLC (49,876)
16,979 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Diebold Nixdorf, Inc. (40,583)
11,867 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Under Armour, Inc. Class C 6,067
35,676 —      7/5/22 1 month USD-LIBOR-BBA minus 0.35% Express Scripts Holding Co. (2,144)
baskets 573 —      12/1/17 (3 month USD-LIBOR-BBA plus 0.37%) A basket (CGPUTQL2) of common stocks 350,697
baskets 862 —      12/1/17 (3 month USD-LIBOR-BBA plus 0.37%) A basket (CGPUTQL2) of common stocks (128,981)
units 26,536 —      10/17/17 3 month USD-LIBOR-BBA plus 0.28% MSCI Emerging Markets TR Net USD (179,961)
units 11,420 —      11/27/17 3 month USD-LIBOR-BBA plus 0.09% Russell 1000 Total Return Index (2,557,507)
units 43,989 —      3/19/18 3 month USD-LIBOR-BBA plus 0.20% MSCI Emerging Markets TR Net USD (1,163,789)
Credit Suisse International
$416,417 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 915
141,511 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (408)
960,887 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (1,967)
528,513 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (1,082)
4,483 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (9)
2,005,431 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (10,170)
1,066,752 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,410)
1,080,016 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (5,583)
1,392,041 —      1/12/41 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 4,010
5,917 —      7/26/18 3 month USD-LIBOR-BBA plus 0.09% Russell 1000 Total Return Index 157,091
Deutsche Bank AG
baskets 310,826 —      3/7/18 3 month USD-LIBOR-BBA minus 0.45% DB Custom PT Short 15 PR Index (13,719)
units 310,665 —      3/7/18 (3 month USD-LIBOR-BBA plus 0.31%) DB Custom PT Long 15 PR Index 3,501,406
Goldman Sachs International
$508,192 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 459
392,083 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 354
1,231,693 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 617
690,331 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 624
550,086 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,209
575,097 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,495)
216,029 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,313)
477,681 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 239
787,785 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,788)
36,953 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (225)
98,528 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (599)
20,644 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 19
556,959 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 504
892,487 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 447
36,279 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (105)
1,058,846 —      1/12/45 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (5,369)
1,223,898 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 2,505
1,289,448 —      1/12/44 (3.00%) 1 month USD-LIBOR Synthetic TRS Index 3.00% 30 year Fannie Mae pools (869)
baskets 1,002,800 —      12/15/20 (1 month USD-LIBOR-BBA plus 0.44%) A basket (GSCBPUR1) of common stocks 239,615
baskets 1,316,608 —      12/15/20 1 month USD-LIBOR-BBA minus 0.15 % A basket (GSGLPWDS) of common stocks (921,827)
baskets 1,595,454 —      12/15/20 (1 month USD-LIBOR-BBA plus 0.50%) A basket (GSGLPWDL) of common stocks 953,735
units 40,722 —      12/15/20 (0.45%) Goldman Sachs Volatility Carry US Scaled 3x Excess Return Strategy 17,613
units 104,882 —      12/15/20 (0.45%) Goldman Sachs Volatility Carry US Series 30 Excess Return Strategy 38,146
units 10,339 —      12/12/17 3 month USD-LIBOR-BBA plus 0.10% MSCI Emerging Markets TR Net USD (317,026)
units 82,121 —      12/15/20 (0.30%) Goldman Sachs Volatility Carry US Excess Return Strategy 1,743
units 24,191 —      12/15/20 (0.30%) Goldman Sachs Volatility Carry US Excess Return Strategy 1,203
JPMorgan Chase Bank N.A.
$184,036 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (530)
1,030,216 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (2,968)
baskets 1,015,632 —      4/20/18 1 month USD-LIBOR-BBA minus 0.50% A basket (JPCMPTSH) of common stocks 528,376
JPMorgan Securities LLC
$1,239,309 —      1/12/45 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 6,285
UBS AG
units 187,787 —      8/21/17 1 month USD-LIBOR-BBA plus 0.35% MSCI Emerging Markets TR Net USD (524,013)
units 323 —      2/9/18 1 month USD-LIBOR-BBA plus 0.15% MSCI Emerging Markets TR Net USD (8,435)
Total$—     $(3,345,735)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 7/31/17 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB-.6 Index BBB-/P $4,580 $67,000 5/11/63 300 bp $(2,979)
  CMBX NA BBB-.6 Index BBB-/P 6,498 114,000 5/11/63 300 bp (6,363)
  CMBX NA BBB-.6 Index BBB-/P 15,001 243,000 5/11/63 300 bp (12,413)
Barclays Bank PLC
  CMBX NA BBB-.6 Index BBB-/P 26,163 236,000 5/11/63 300 bp (462)
  CMBX NA BBB-.7 Index BBB-/P 6,430 1,144,000 1/17/47 300 bp (94,261)
Credit Suisse International
  CMBX NA BB.7 Index — (57,682) 3,268,000 5/11/63 (500 bp) 558,427
  CMBX NA BB.7 Index — (148,203) 901,000 1/17/47 (500 bp) (7,892)
  CMBX NA BBB-.6 Index BBB-/P 159,438 1,259,000 5/11/63 300 bp 17,402
  CMBX NA BBB-.6 Index BBB-/P 544,120 5,089,000 5/11/63 300 bp (30,004)
  CMBX NA BBB-.7 Index BBB-/P 41,182 521,000 1/17/47 300 bp (4,675)
  CMBX NA BBB-.7 Index BBB-/P 1,021,651 13,822,000 1/17/47 300 bp (194,915)
Goldman Sachs International
  CMBX NA BB.6 Index — (188,435) 1,842,000 5/11/63 (500 bp) 158,833
  CMBX NA BB.7 Index — (24,666) 163,000 1/17/47 (500 bp) 717
  CMBX NA A.6 Index A/P 40,406 794,000 5/11/63 200 bp 18,244
  CMBX NA BB.6 Index — (4,822) 33,000 5/11/63 (500 bp) 1,400
  CMBX NA BB.7 Index — (44,565) 272,000 1/17/47 (500 bp) (2,207)
  CMBX NA BB.7 Index — (44,127) 261,000 1/17/47 (500 bp) (3,482)
  CMBX NA BB.7 Index — (19,899) 98,000 1/17/47 (500 bp) (4,638)
  CMBX NA BBB-.6 Index BBB-/P 2,532 32,000 5/11/63 300 bp (1,078)
  CMBX NA BBB-.6 Index BBB-/P 5,316 63,000 5/11/63 300 bp (1,791)
  CMBX NA BBB-.6 Index BBB-/P 4,360 64,000 5/11/63 300 bp (2,860)
  CMBX NA BBB-.6 Index BBB-/P 6,412 74,000 5/11/63 300 bp (1,937)
  CMBX NA BBB-.6 Index BBB-/P 7,848 93,000 5/11/63 300 bp (2,644)
  CMBX NA BBB-.6 Index BBB-/P 14,746 134,000 5/11/63 300 bp (371)
  CMBX NA BBB-.6 Index BBB-/P 17,443 202,000 5/11/63 300 bp (5,346)
  CMBX NA BBB-.6 Index BBB-/P 33,598 242,000 5/11/63 300 bp 6,297
  CMBX NA BBB-.6 Index BBB-/P 12,675 243,000 5/11/63 300 bp (14,739)
  CMBX NA BBB-.6 Index BBB-/P 42,341 380,000 5/11/63 300 bp (529)
  CMBX NA BBB-.6 Index BBB-/P 31,659 382,000 5/11/63 300 bp (11,437)
  CMBX NA BBB-.6 Index BBB-/P 73,620 680,000 5/11/63 300 bp (3,095)
  CMBX NA BBB-.6 Index BBB-/P 54,650 727,000 5/11/63 300 bp (27,368)
  CMBX NA BBB-.6 Index BBB-/P 85,029 762,000 5/11/63 300 bp (1,064)
  CMBX NA BBB-.6 Index BBB-/P 85,029 762,000 5/11/63 300 bp (1,064)
  CMBX NA BBB-.6 Index BBB-/P 149,817 1,359,000 5/11/63 300 bp (3,501)
  CMBX NA BBB-.7 Index BBB-/P 202,759 2,909,000 1/17/47 300 bp (53,281)
  CMBX NA BBB-.7 Index BBB-/P 502,473 6,798,000 1/17/47 300 bp (95,864)
JPMorgan Securities LLC
  CMBX NA A.6 Index A/P 20,595 718,000 5/11/63 200 bp 475
  CMBX NA BB.6 Index — (30,448) 210,000 5/11/63 (500 bp) 9,143
  CMBX NA BB.6 Index — (22,469) 169,000 5/11/63 (500 bp) 9,392
  CMBX NA BB.6 Index — (15,102) 105,000 5/11/63 (500 bp) 4,694
  CMBX NA BB.7 Index — (71,862) 460,000 1/17/47 (500 bp) (227)
  CMBX NA BB.7 Index — (51,772) 324,000 1/17/47 (500 bp) (1,316)
  CMBX NA BB.7 Index — (50,145) 305,000 1/17/47 (500 bp) (2,648)
  CMBX NA BB.7 Index — (41,089) 253,000 1/17/47 (500 bp) (1,690)
  CMBX NA BB.7 Index — (17,804) 104,000 1/17/47 (500 bp) (1,608)
  CMBX NA BB.7 Index — (12,303) 81,000 1/17/47 (500 bp) 311
  CMBX NA BBB-.6 Index BBB-/P 2,210 32,000 5/11/63 300 bp (1,401)
  CMBX NA BBB-.6 Index BBB-/P 6,629 46,000 5/11/63 300 bp 1,440
  CMBX NA BBB-.6 Index BBB-/P 6,823 80,000 5/11/63 300 bp (2,202)
  CMBX NA BBB-.6 Index BBB-/P 7,858 96,000 5/11/63 300 bp (2,972)
  CMBX NA BBB-.6 Index BBB-/P 16,575 142,000 5/11/63 300 bp 555
  CMBX NA BBB-.6 Index BBB-/P 16,452 142,000 5/11/63 300 bp 432
  CMBX NA BBB-.6 Index BBB-/P 18,573 150,000 5/11/63 300 bp 1,651
  CMBX NA BBB-.6 Index BBB-/P 22,530 180,000 5/11/63 300 bp 2,223
  CMBX NA BBB-.6 Index BBB-/P 9,498 215,000 5/11/63 300 bp (14,757)
  CMBX NA BBB-.6 Index BBB-/P 28,856 294,000 5/11/63 300 bp (4,312)
  CMBX NA BBB-.6 Index BBB-/P 19,307 313,000 5/11/63 300 bp (16,005)
  CMBX NA BBB-.6 Index BBB-/P 47,742 327,000 5/11/63 300 bp 10,851
  CMBX NA BBB-.6 Index BBB-/P 40,576 332,000 5/11/63 300 bp 3,121
  CMBX NA BBB-.6 Index BBB-/P 32,520 382,000 5/11/63 300 bp (10,576)
  CMBX NA BBB-.6 Index BBB-/P 45,235 397,000 5/11/63 300 bp 447
  CMBX NA BBB-.6 Index BBB-/P 55,844 451,000 5/11/63 300 bp 4,964
  CMBX NA BBB-.6 Index BBB-/P 76,250 610,000 5/11/63 300 bp 7,432
  CMBX NA BBB-.6 Index BBB-/P 40,138 627,000 5/11/63 300 bp (30,598)
  CMBX NA BBB-.6 Index BBB-/P 33,408 627,000 5/11/63 300 bp (37,328)
  CMBX NA BBB-.6 Index BBB-/P 31,933 627,000 5/11/63 300 bp (38,803)
  CMBX NA BBB-.6 Index BBB-/P 75,357 664,000 5/11/63 300 bp 447
  CMBX NA BBB-.6 Index BBB-/P 76,182 670,000 5/11/63 300 bp 595
  CMBX NA BBB-.6 Index BBB-/P 74,688 680,000 5/11/63 300 bp (2,027)
  CMBX NA BBB-.6 Index BBB-/P 84,574 692,000 5/11/63 300 bp 6,505
  CMBX NA BBB-.6 Index BBB-/P 84,574 692,000 5/11/63 300 bp 6,505
  CMBX NA BBB-.6 Index BBB-/P 108,628 992,000 5/11/63 300 bp (3,286)
  CMBX NA BBB-.6 Index BBB-/P 112,257 1,020,000 5/11/63 300 bp (2,816)
  CMBX NA BBB-.6 Index BBB-/P 154,694 1,309,000 5/11/63 300 bp 7,017
  CMBX NA BBB-.6 Index BBB-/P 187,523 1,699,000 5/11/63 300 bp (4,152)
  CMBX NA BBB-.7 Index — (16,836) 313,000 1/17/47 (300 bp) 10,705
Total$3,873,576$79,241
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at July 31, 2017. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  











CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 7/31/17 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
  NA HY Series 28 Index B+/P $(7,136,862) $99,269,000 6/20/22 500 bp $894,318
Total$(7,136,862)$894,318
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at July 31, 2017. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  










Key to holding's currency abbreviations
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CNH Chinese Yuan (Offshore)
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
TRY Turkish Lira
USD / $ United States Dollar
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
bp Basis Points
DAC Designated Activity Company
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
OJSC Open Joint Stock Company
PJSC Public Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from November 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.
(a) Percentages indicated are based on net assets of $924,016,172.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(b) The aggregate identified cost on a tax basis is $1,142,055,473, resulting in gross unrealized appreciation and depreciation of $39,004,014 and $13,533,398, respectively, or net unrealized appreciation of $25,470,616.
(NON) This security is non-income-producing.
        (AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
             
  Name of affiliate Fair value as of 10/31/16 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 7/31/17
  Putnam Cash Collateral Pool, LLC * #  $34,464,800  $373,931,047  $391,550,347  $220,943  $16,845,500
  Putnam Short Term Investment Fund **  211,717,663  7,413,969  35,000,000  1,166,157  184,131,632
  Totals  $246,182,463  $381,345,016  $426,550,347  $1,387,100  $200,977,132
* No management fees are charged to Putnam Cash Collateral Pool, LLC. There were no realized or unrealized gains or losses during the period.
# The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund's agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund received cash collateral of $16,845,500, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $16,467,804. Certain of these securities were sold prior to the close of the reporting period.
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
At the close of the reporting period, the fund maintained liquid assets totaling $106,142,569 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, to enhance the return on securities owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $117,060 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $10,263,220 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $11,535,988 and may include amounts related to unsettled agreements.












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

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Basic materials $12,290,634 $— $—
    Capital goods 3,050,841 — —
    Communication services 20,075,259 — —
    Consumer cyclicals 11,553,720 — —
    Consumer staples 4,952,786 — —
    Energy 1,882,625 — —
    Financials 34,901,679 — —
    Health care 2,063,582 — —
    Technology 26,984,049 — —
    Transportation 1,920,793 — —
    Utilities and power 4,725,907 12,439 —
Total common stocks 124,401,875 12,439 —
Asset-backed securities — 497,667 —
Commodity-linked notes — 52,089,641 —
Corporate bonds and notes — 45,245,747 —
Foreign government and agency bonds and notes — 12,007,964
Investment companies 76,168,716 — —
Mortgage-backed securities — 89,147,993 —
Purchased options outstanding — 1,352,349 —
Purchased swap options outstanding — 151,543 —
Senior loans — 49,272,196 —
U.S. government and agency mortgage obligations — 219,393,668 —
U.S. treasury obligations — 408,672 —
Warrants — 4,067,315 —
Short-term investments 188,121,632 305,186,672 —
Totals by level $388,692,223 $778,833,866 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $399,680 $—
Futures contracts (72,505) — —
Written options outstanding — (71,948) —
Written swap options outstanding — (328,523) —
Forward premium swap option contracts — 13,457 —
TBA sale commitments — (124,315,018) —
Interest rate swap contracts — (1,088,224) —
Total return swap contracts — (3,345,735) —
Credit default contracts — 4,236,845 —
Totals by level $(72,505) $(124,499,466) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $9,621,323 $5,384,478
Foreign exchange contracts 4,198,455 3,639,546
Equity contracts 18,423,738 16,549,636
Interest rate contracts 2,119,156 3,474,758
Total $34,362,672 $29,048,418


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased equity option contracts (contract amount)$2,600,000
Purchased currency option contracts (contract amount)$21,000,000
Purchased swap option contracts (contract amount)$46,900,000
Written equity option contracts (contract amount)$130,000
Written currency option contracts (contract amount)$21,000,000
Written swap option contracts (contract amount)$52,100,000
Futures contracts (number of contracts)2,000
Forward currency contracts (contract amount)$368,300,000
Centrally cleared interest rate swap contracts (notional)$714,000,000
OTC total return swap contracts (notional)$1,649,100,000
OTC credit default contracts (notional)$60,500,000
Centrally cleared credit default contracts (notional)$63,600,000
Warrants (number of warrants)2,200,000
 
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(AFF)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital, Inc. (clearing broker) BNP Paribas Citibank, N.A. Citigroup Global Markets, Inc. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. RBC Capital Markets, LLC Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                             
  Assets:                                          
  Centrally cleared interest rate swap contracts§   $—  $—  $948,426  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—  $—    $948,426 
  OTC Total return swap contracts*#   4,638,162  41,883  —  —  2,113,264  —  162,016  3,501,406  1,259,032  —  528,376  6,285  —  —  —  —  —  —    12,250,424 
  OTC Credit default contracts*#   —  —  —  —  —  —  756,420  —  477,137  —  —  356,586  —  —  —  —  —  —    1,590,143 
  Centrally cleared credit default contracts§   —  —  60,026  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    60,026 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  —  —  222,856  —  —  —  —  —    222,856 
  Forward currency contracts#   614,631  432,662  —  —  367,557  —  221,336  —  194,708  283,366  269,243  —  —  —  490,619  639,917  349,673  112,791    3,976,503 
  Forward premium swap option contracts#   16,968  789  —  —  3,481  —  —  —  1,356  —  13,575  —  —  —  —  —  —  —    36,169 
  Purchased swap options#   3  592  —  —  82,692  —  15,932  —  46,771  —  5,553  —  —  —  —  —  —  —    151,543 
  Purchased options#   165,814  —  —  —  796,374  —  —  —  56,138  —  334,023  —  —  —  —  —  —  —    1,352,349 
  Repurchase agreements   —  —  —  43,753,000  —  75,668,000  —  —  —  —  —  —  —  77,958,000  —  —  —  —    197,379,000 
                                             
  Total Assets   $5,435,578  $475,926  $1,008,452  $43,753,000  $3,363,368  $75,668,000  $1,155,704  $3,501,406  $2,035,142  $283,366  $1,150,770  $362,871  $222,856  $77,958,000  $490,619  $639,917  $349,673  $112,791    $217,967,439 
                                             
  Liabilities:                                          
  Centrally cleared interest rate swap contracts§   —  —  869,293  —  —  —  —  —    —  —  —  —  —  —  —  —  —    869,293 
  OTC Total return swap contracts*#   8,656,371  65,536  —  —  5,044,342  —  24,629  13,719  1,255,616  —  3,498  —  —  —  —  —  532,448  —    15,596,159 
  OTC Credit default contracts*#   47,834  127,316  —  —  —  —  1,978,583  —  1,576,141  —  —  1,654,604  —  —  —  —  —  —    5,384,478 
  Centrally cleared credit default contracts§   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  —  —  247,513  —  —  —  —  —    247,513 
  Forward currency contracts#   479,667  —  —  —  227,455  —  344,099  —  584,547  78,825  635,308  —  —  —  301,678  550,518  369,208  5,518    3,576,823 
  Forward premium swap option contracts#   9,305  4,266  —  —  1,418  —  —  —  248  —  7,475  —  —  —  —  —  —  —    22,712 
  Written swap options#   5  592  —  —  59,473  —  12,063  —  44,777  —  211,613  —  —  —  —  —  —  —    328,523 
  Written options#   51,911  —  —  —  —  —  —  9,225  10,812  —  —  —  —  —  —  —  —  —    71,948 
  Reverse repurchase agreements   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
                                             
  Total Liabilities   $9,245,093  $197,710  $869,293  $—  $5,332,688  $—  $2,359,374  $22,944  $3,472,141  $78,825  $857,894  $1,654,604  $247,513  $—  $301,678  $550,518  $901,656  $5,518    $26,097,449 
                                             
  Total Financial and Derivative Net Assets   $(3,809,515) $278,216  $139,159  $43,753,000  $(1,969,320) $75,668,000  $(1,203,670) $3,478,462  $(1,436,999) $204,541  $292,876  $(1,291,733) $(24,657) $77,958,000  $188,941  $89,399  $(551,983) $107,273    $191,869,990 
  Total collateral received (pledged)##†   $(3,809,515) $273,522  $—  $43,753,000  $(1,969,320) $75,668,000  $(1,203,670) $3,410,000  $(1,436,999) $135,150  $292,876  $(1,287,443) $—  $77,958,000  $117,060  $—  $(282,859) $—     
  Net amount   $—  $4,694  $139,159  $—  $—  $—  $—  $68,462  $—  $69,391  $—  $(4,290) $(24,657) $—  $71,881  $89,399  $(269,124) $107,273     
                                             
* Excludes premiums, if any.
†  Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement.
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day's variation margin only, which is not collateralized.  Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.  

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



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

(b) Changes in internal control over financial reporting: Not applicable

Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

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

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

EX-99.CERT 2 b_dk6certifications.htm CERTIFICATIONS b_dk6certifications.htm

Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.

/s/ Jonathan S. Horwitz
_____________________________

Date: September 28, 2017
Jonathan S. Horwitz
Principal Executive Officer













Certifications

I, Janet C. Smith, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.

/s/ Janet C. Smith
_______________________________

Date: September 28, 2017
Janet C. Smith
Principal Financial Officer














Attachment A

NQ

Period (s) ended July 31, 2017
               Putnam Managed Municipal Income Trust
               Putnam Municipal Opportunities Trust
               Putnam Multi-Cap Value Fund
               Putnam Capital Opportunities Fund
               Putnam Income Fund
               Putnam Global Income Trust
               Putnam Global Equity Fund
               Putnam Convertible Securities Fund
               Putnam Absolute Return 100 Fund
               Putnam Absolute Return 300 Fund
               Putnam Absolute Return 500 Fund
               Putnam Absolute Return 700 Fund
               Putnam Capital Spectrum Fund
               Putnam Equity Spectrum Fund
               Putnam Global Sector Fund
               Putnam Multi-Cap Core Fund