N-Q 1 a_absolutereturn300.htm PUTNAM FUNDS TRUST a_absolutereturn300.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 300 Fund

The fund's portfolio
7/31/17 (Unaudited)
U.S. GOVERNMENT AGENCY MORTGAGE OBLIGATIONS (46.3%)(a)
Principal amount Value
Federal National Mortgage Association Pass-Through Certificates
     4.50%, TBA, 9/1/47 $8,000,000 $8,580,313
     4.50%, TBA, 8/1/47 8,000,000 8,588,750
     4.00%, TBA, 8/1/47 8,000,000 8,423,125
     3.50%, TBA, 9/1/47 54,000,000 55,506,092
     3.50%, TBA, 8/1/47 71,000,000 73,096,715
     3.00%, TBA, 8/1/47 17,000,000 17,027,890
     2.50%, TBA, 9/1/47 26,000,000 25,102,189
     2.50%, TBA, 8/1/47 26,000,000 25,132,656
Total U.S. government agency mortgage obligations (cost $220,784,727) $221,457,730

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Notes
     2.00%, 9/30/20(SEGCCS) $382,000 $387,253
     1.25%, 12/15/18(i) 204,000 204,184
     1.125%, 9/30/21(i) 126,000 123,398
Total U.S. treasury obligations (cost $709,470) $714,835

MORTGAGE-BACKED SECURITIES (44.1%)(a)
Principal amount Value
Agency collateralized mortgage obligations (18.9%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 2976, Class LC, 19.926%, 5/15/35 $89,471 $131,613
     IFB Ser. 3072, Class SM, 19.303%, 11/15/35 211,953 308,546
     IFB Ser. 3249, Class PS, 18.231%, 12/15/36 124,317 174,655
     IFB Ser. 2990, Class LB, 13.813%, 6/15/34 447,885 538,886
     IFB Ser. 3852, Class NT, 4.774%, 5/15/41 4,875,184 4,956,321
     Ser. 4601, Class IC, IO, 4.00%, 12/15/45 5,259,629 778,951
     Ser. 4193, Class PI, IO, 4.00%, 3/15/43 5,087,587 797,879
     Ser. 4213, Class GI, IO, 4.00%, 11/15/41 4,580,387 594,992
     Ser. 4591, Class QI, IO, 3.50%, 4/15/46 8,670,748 1,348,041
     Ser. 4369, Class IA, IO, 3.50%, 7/15/44 4,393,688 724,632
     Ser. 4136, Class IW, IO, 3.50%, 10/15/42 8,463,972 1,118,175
     Ser. 4150, Class DI, IO, 3.00%, 1/15/43 8,303,082 1,058,643
     Ser. 4158, Class TI, IO, 3.00%, 12/15/42 5,373,509 562,553
     Ser. 4182, Class PI, IO, 3.00%, 12/15/41 12,659,811 996,327
     Ser. 4206, Class IP, IO, 3.00%, 12/15/41 4,660,202 463,583
     FRB Ser. 8, Class A9, IO, 0.441%, 11/15/28 278,525 3,830
     FRB Ser. 59, Class 1AX, IO, 0.272%, 10/25/43 736,002 7,217
     Ser. 48, Class A2, IO, 0.212%, 7/25/33 1,114,818 8,187
     Ser. 3835, Class FO, PO, zero %, 4/15/41 9,474,775 8,196,401
Federal National Mortgage Association
     IFB Ser. 05-74, Class NK, 21.339%, 5/25/35 67,719 94,857
     IFB Ser. 07-53, Class SP, 19.682%, 6/25/37 184,205 271,955
     IFB Ser. 05-75, Class GS, 16.553%, 8/25/35 133,496 174,412
     IFB Ser. 11-4, Class CS, 10.436%, 5/25/40 1,272,887 1,469,572
     Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 4,973,175 1,180,566
     Ser. 397, Class 2, IO, 5.00%, 9/25/39 517,969 107,500
     IFB Ser. 12-68, Class BS, IO, 4.768%, 7/25/42 7,001,065 1,207,152
     Ser. 17-2, Class KI, IO, 4.00%, 2/25/47 2,869,970 503,479
     Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 3,066,590 561,799
     Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 8,806,177 1,218,171
     Ser. 12-62, Class MI, IO, 4.00%, 3/25/41 4,854,640 615,520
     Ser. 12-136, Class PI, IO, 3.50%, 11/25/42 5,368,770 544,259
     Ser. 14-76, IO, 3.50%, 11/25/39 6,426,274 654,576
     Ser. 13-21, Class AI, IO, 3.50%, 3/25/33 6,575,782 932,370
     Ser. 12-129, Class IJ, IO, 3.50%, 12/25/32 2,291,478 352,315
     Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 6,218,081 673,418
     Ser. 6, Class BI, IO, 3.00%, 12/25/42 11,059,241 782,994
     Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 3,142,111 251,997
     Ser. 13-27, Class PI, IO, 3.00%, 12/25/41 16,405,315 1,276,334
     Ser. 13-31, Class NI, IO, 3.00%, 6/25/41 8,604,270 622,408
     Ser. 98-W2, Class X, IO, 0.059%, 6/25/28 1,781,764 86,861
     Ser. 98-W5, Class X, IO, 0.048%, 7/25/28 548,091 26,719
     Ser. 07-44, Class CO, PO, zero %, 5/25/37 35,508 29,510
Government National Mortgage Association
     Ser. 14-133, Class IP, IO, 5.00%, 9/16/44 4,023,091 847,665
     Ser. 14-2, Class IC, IO, 5.00%, 1/16/44 4,918,764 1,081,852
     Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 4,786,247 1,019,078
     Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 171,261 13,038
     Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 987,727 209,546
     Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 5,990,550 1,259,273
     Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 19,069,604 4,060,071
     Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 13,347,166 2,827,997
     IFB Ser. 13-99, Class VS, IO, 4.874%, 7/16/43 1,876,815 303,012
     IFB Ser. 16-77, Class SC, IO, 4.872%, 10/20/45 5,320,024 1,083,610
     IFB Ser. 11-17, Class S, IO, 4.822%, 2/20/41 2,749,525 444,598
     Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 6,066,348 1,181,493
     Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 5,263,870 1,178,844
     Ser. 12-129, IO, 4.50%, 11/16/42 4,180,498 962,183
     Ser. 11-18, Class PI, IO, 4.50%, 8/20/40 247,916 32,286
     Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 3,859,173 770,248
     Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 2,687,192 623,617
     Ser. 10-103, Class DI, IO, 4.50%, 12/20/38 1,028,345 41,186
     Ser. 15-94, IO, 4.00%, 7/20/45 171,524 39,028
     Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 2,246,855 392,231
     Ser. 12-106, Class QI, IO, 4.00%, 7/20/42 4,642,092 741,839
     Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,276,849 220,972
     Ser. 15-162, Class BI, IO, 4.00%, 11/20/40 6,242,984 983,957
     Ser. 13-53, Class IA, IO, 4.00%, 12/20/26 5,529,299 586,766
     Ser. 16-111, Class IP, IO, 3.50%, 8/20/46 16,774,983 1,972,570
     Ser. 15-111, Class IJ, IO, 3.50%, 8/20/45 7,174,141 1,000,075
     Ser. 16-136, Class YI, IO, 3.50%, 3/20/45 5,380,306 739,792
     Ser. 15-20, Class PI, IO, 3.50%, 2/20/45 7,738,383 1,377,610
     Ser. 13-76, IO, 3.50%, 5/20/43 3,570,469 577,845
     Ser. 13-79, Class PI, IO, 3.50%, 4/20/43 4,642,260 697,267
     Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 5,363,033 744,335
     Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,997,209 310,966
     Ser. 12-71, Class JI, IO, 3.50%, 4/16/41 8,458,967 605,045
     Ser. 12-48, Class KI, IO, 3.50%, 12/16/39 1,791,353 168,668
     Ser. 183, Class AI, IO, 3.50%, 10/20/39 5,946,963 658,046
     Ser. 15-82, Class GI, IO, 3.50%, 12/20/38 7,835,693 710,227
     Ser. 14-145, Class PI, IO, 3.50%, 10/20/29 3,743,993 460,399
     Ser. 14-46, Class KI, IO, 3.00%, 6/20/36 3,905,255 313,057
     Ser. 14-115, Class QI, IO, 3.00%, 3/20/29 7,664,725 693,121
     Ser. 16-H13, Class IK, IO, 2.586%, 6/20/66 18,050,908 2,380,463
     Ser. 16-H23, Class NI, IO, 2.429%, 10/20/66 10,067,728 1,281,622
     Ser. 17-H02, Class BI, IO, 2.321%, 1/20/67 3,246,718 432,236
     Ser. 17-H06, Class BI, IO, 2.296%, 2/20/67 14,570,397 1,812,557
     Ser. 17-H03, Class DI, IO, 2.296%, 12/20/66 4,893,157 685,042
     Ser. 17-H11, Class NI, IO, 2.153%, 5/20/67 5,319,845 705,943
     Ser. 16-H11, Class HI, IO, 2.081%, 1/20/66 3,287,742 353,432
     Ser. 16-H02, Class BI, IO, 2.023%, 11/20/65 12,932,498 1,226,324
     Ser. 15-H15, Class JI, IO, 1.949%, 6/20/65 12,120,843 1,218,145
     Ser. 15-H19, Class NI, IO, 1.911%, 7/20/65 18,336,647 1,791,490
     Ser. 15-H25, Class EI, IO, 1.854%, 10/20/65 14,088,714 1,286,300
     Ser. 15-H18, Class IA, IO, 1.83%, 6/20/65 11,410,204 855,765
     Ser. 15-H09, Class BI, IO, 1.692%, 3/20/65 15,069,267 1,304,999
     Ser. 15-H10, Class EI, IO, 1.637%, 4/20/65 16,732,653 1,024,038
     Ser. 15-H25, Class AI, IO, 1.617%, 9/20/65 14,902,097 1,174,285
     Ser. 14-H14, Class CI, IO, 1.586%, 7/20/64 18,188,913 1,170,911
     Ser. 11-H15, Class AI, IO, 1.575%, 6/20/61 9,674,276 610,689
     Ser. 15-H28, Class DI, IO, 1.553%, 8/20/65 11,551,199 869,805
     Ser. 17-H14, Class DI, IO, 1.552%, 6/20/67 6,967,744 574,358
     Ser. 11-H08, Class GI, IO, 1.262%, 3/20/61 11,961,841 570,580
     Ser. 10-151, Class KO, PO, zero %, 6/16/37 857,072 730,582
GSMPS Mortgage Loan Trust 144A
     FRB Ser. 98-2, IO, 1.004%, 5/19/27 51,017 1
     FRB Ser. 99-2, IO, 0.84%, 9/19/27 141,141 1,235
     FRB Ser. 98-3, IO, zero %, 9/19/27 64,902 1
     FRB Ser. 98-4, IO, zero %, 12/19/26 99,784 1
90,402,393
Commercial mortgage-backed securities (18.4%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695%, 7/10/46 157,670 158,851
     FRB Ser. 07-1, Class XW, IO, 0.221%, 1/15/49 1,288,043 5,556
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-1, Class B, 5.377%, 11/10/42 2,311,251 1,981,644
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A FRB Ser. 04-4, Class XC, IO, 0.024%, 7/10/42 159,597 72
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.535%, 1/12/45 1,688,000 1,654,240
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW11, Class B, 5.302%, 3/11/39 3,814,317 2,972,421
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class E, 6.078%, 4/15/44 1,781,938 867,447
Citigroup Commercial Mortgage Trust
     FRB Ser. 13-GC17, Class XA, IO, 1.433%, 11/10/46 25,974,426 1,158,485
     FRB Ser. 14-GC21, Class XA, IO, 1.255%, 5/10/47 11,863,289 763,367
     FRB Ser. 14-GC19, Class XA, IO, 1.215%, 3/10/47 13,923,269 770,374
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class XA, IO, 1.834%, 9/10/45 8,423,121 598,294
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 5.891%, 5/15/46 1,522,540 1,535,035
COMM Mortgage Pass-Through Certificates 144A FRB Ser. 12-CR3, Class E, 4.768%, 10/15/45 750,000 653,288
COMM Mortgage Trust
     FRB Ser. 14-CR17, Class C, 4.735%, 5/10/47 956,000 943,304
     FRB Ser. 14-LC15, Class XA, IO, 1.34%, 4/10/47 9,019,467 488,413
     FRB Ser. 14-CR19, Class XA, IO, 1.24%, 8/10/47 36,437,195 1,977,971
     FRB Ser. 14-UBS4, Class XA, IO, 1.234%, 8/10/47 6,836,179 398,022
     FRB Ser. 14-CR20, Class XA, IO, 1.171%, 11/10/47 12,486,908 736,478
     FRB Ser. 13-CR11, Class XA, IO, 1.138%, 8/10/50 59,380,835 2,974,724
     FRB Ser. 14-UBS6, Class XA, IO, 1.03%, 12/10/47 25,172,049 1,263,637
COMM Mortgage Trust 144A
     Ser. 12-LC4, Class E, 4.25%, 12/10/44 1,361,000 1,055,319
     Ser. 13-LC13, Class E, 3.719%, 8/10/46 1,503,000 1,016,629
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 6.31%, 2/15/41 4,668,000 3,384,300
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C3, Class B, 4.882%, 7/15/37 288,875 288,009
Credit Suisse First Boston Mortgage Securities Corp. 144A
     Ser. 98-C1, Class F, 6.00%, 5/17/40 192,803 194,789
     FRB Ser. 03-C3, Class AX, IO, 2.044%, 5/15/38 988,496 2
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.799%, 4/15/50 1,086,000 954,389
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.346%, 8/10/44 2,440,000 2,540,772
GS Mortgage Securities Corp II FRB Ser. 15-GC30, Class XA, IO, 0.892%, 5/10/50 16,469,926 798,791
GS Mortgage Securities Corp. II 144A FRB Ser. 13-GC10, Class E, 4.41%, 2/10/46 1,864,000 1,470,137
GS Mortgage Securities Trust
     FRB Ser. 13-GC12, Class C, 4.179%, 6/10/46 413,000 410,646
     FRB Ser. 14-GC18, Class XA, IO, 1.125%, 1/10/47 20,917,811 1,056,287
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.652%, 1/10/45 1,724,376 1,674,369
     Ser. 11-GC3, Class E, 5.00%, 3/10/44 1,219,000 1,139,765
     FRB Ser. 13-GC12, Class D, 4.446%, 6/10/46 1,501,000 1,337,541
JPMBB Commercial Mortgage Securities Trust
     FRB Ser. 14-C19, Class C, 4.665%, 4/15/47 375,000 380,471
     FRB Ser. 14-C19, Class XA, IO, 1.173%, 4/15/47 28,451,447 879,150
     FRB Ser. 14-C24, Class XA, IO, 1.064%, 11/15/47 16,074,761 758,528
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C17, Class D, 4.886%, 1/15/47 1,306,000 1,237,416
     FRB Ser. C14, Class D, 4.569%, 8/15/46 1,497,000 1,324,157
     FRB Ser. 14-C25, Class D, 3.947%, 11/15/47 567,000 449,858
     FRB Ser. 14-C26, Class D, 3.925%, 1/15/48 442,000 376,868
     FRB Ser. 14-C24, Class D, 3.924%, 11/15/47(F) 741,000 623,968
JPMorgan Chase Commercial Mortgage Securities Corp. 144A FRB Ser. 12-LC9, Class D, 4.384%, 12/15/47 327,000 334,554
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.21%, 2/12/51 110,068 110,893
     FRB Ser. 13-C10, Class XA, IO, 1.123%, 12/15/47 43,651,818 2,029,155
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.31%, 2/12/51 1,194,000 1,199,970
     FRB Ser. 07-CB20, Class C, 6.31%, 2/12/51 920,000 901,600
     FRB Ser. 11-C3, Class E, 5.614%, 2/15/46 2,136,000 2,135,573
     FRB Ser. 12-C8, Class D, 4.652%, 10/15/45 2,332,000 2,306,814
     Ser. 13-C10, Class E, 3.50%, 12/15/47 1,298,000 970,385
LB-UBS Commercial Mortgage Trust FRB Ser. 07-C2, Class XW, IO, 0.263%, 2/15/40 462,424 59
Merrill Lynch Mortgage Trust 144A FRB Ser. 05-MCP1, Class XC, IO, 0.005%, 6/12/43 5,609,342 19
Morgan Stanley Bank of America Merrill Lynch Trust FRB Ser. 13-C13, Class XA, IO, 1.111%, 11/15/46 47,583,140 2,293,983
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.697%, 8/15/47 2,809,000 2,386,125
     FRB Ser. 13-C10, Class E, 4.083%, 7/15/46 4,055,000 3,378,626
Morgan Stanley Capital I Trust Ser. 06-HQ10, Class B, 5.448%, 11/12/41 1,036,000 975,239
Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class XA, IO, 2.099%, 3/15/45 9,441,891 729,687
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C2, Class XA, IO, 1.383%, 5/10/63 8,133,300 430,930
     FRB Ser. 13-C5, Class XA, IO, 1.008%, 3/10/46 47,520,100 2,280,965
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.103%, 6/15/45 1,083,970 772,329
     FRB Ser. 06-C29, IO, 0.323%, 11/15/48 13,980,752 559
Wells Fargo Commercial Mortgage Trust
     FRB Ser. 13-LC12, Class C, 4.295%, 7/15/46 749,000 766,826
     FRB Ser. 14-LC16, Class XA, IO, 1.382%, 8/15/50 27,235,470 1,547,519
Wells Fargo Commercial Mortgage Trust 144A
     FRB Ser. 13-LC12, Class D, 4.295%, 7/15/46 2,166,000 2,020,247
     Ser. 14-LC18, Class D, 3.957%, 12/15/47 3,051,000 2,518,652
     FRB Ser. 12-LC5, Class XA, IO, 1.832%, 10/15/45 10,259,299 779,593
WF-RBS Commercial Mortgage Trust FRB Ser. 12-C10, Class C, 4.391%, 12/15/45 816,000 806,224
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C5, Class E, 5.672%, 11/15/44 603,000 619,402
     Ser. 11-C4, Class D, 5.265s, 6/15/44 604,000 603,783
     Ser. 11-C4, Class E, 5.265%, 6/15/44 1,068,000 1,031,902
     FRB Ser. 12-C7, Class D, 4.83%, 6/15/45 1,621,000 1,553,502
     FRB Ser. 13-C15, Class D, 4.479%, 8/15/46 1,884,000 1,635,315
     FRB Ser. 12-C10, Class D, 4.456%, 12/15/45 1,546,000 1,350,093
     FRB Ser. 12-C10, Class E, 4.456%, 12/15/45 1,658,000 1,236,764
     Ser. 13-C14, Class E, 3.25%, 6/15/46 1,065,000 722,496
     FRB Ser. 11-C5, Class XA, IO, 1.763%, 11/15/44 10,175,812 601,085
     FRB Ser. 12-C9, Class XB, IO, 0.704%, 11/15/45 46,094,000 1,530,597
87,815,249
Residential mortgage-backed securities (non-agency) (6.8%)
BCAP, LLC Trust 144A FRB Ser. 12-RR5, Class 4A8, 1.386%, 6/26/35 1,230,093 1,205,798
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class M2, 5.532%, 7/25/25 (Bermuda) 713,899 729,694
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, 1.582%, 3/25/37 1,570,190 1,332,949
Countrywide Alternative Loan Trust
     FRB Ser. 06-OA7, Class 1A1, 2.322%, 6/25/46 490,934 474,144
     FRB Ser. 06-OA7, Class 1A2, 1.716%, 6/25/46 4,122,594 3,904,509
     FRB Ser. 05-27, Class 1A1, 1.576%, 8/25/35 1,429,641 1,161,726
     FRB Ser. 05-59, Class 1A1, 1.558%, 11/20/35 5,046,940 4,599,838
     FRB Ser. 06-OA10, Class 4A1, 1.422%, 8/25/46 370,688 343,702
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, 1.852%, 4/25/35 689,893 571,597
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class B, 12.732%, 1/25/25 395,302 562,328
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class B, 11.732%, 10/25/28 259,819 332,158
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, 11.232%, 7/25/28 656,751 824,674
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, 10.582%, 4/25/28 1,778,976 2,257,732
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, 8.782%, 12/25/27 1,067,302 1,252,884
     Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, 6.382%, 10/25/29 360,000 402,523
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, 5.932%, 4/25/28 650,000 757,814
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, 13.482%, 9/25/28 1,589,427 2,207,482
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, 12.982%, 10/25/28 840,000 1,135,247
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 7.132%, 10/25/28 1,450,000 1,711,082
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 6.932%, 4/25/28 1,819,270 2,086,155
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, 5.782%, 2/25/25 246,645 265,920
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, 5.532%, 2/25/25 363,666 394,699
     Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, 5.482%, 4/25/29 80,000 89,750
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 5.232%, 5/25/25 48,962 52,811
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 5.232%, 5/25/25 154,349 164,725
     Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, 4.824%, 1/25/30 370,000 369,482
     Connecticut Avenue Securities FRB Ser. 14-C03, Class 1M2, 4.232%, 7/25/24 120,000 128,216
GSAA Home Equity Trust FRB Ser. 05-15, Class 2A2, 1.482%, 1/25/36 978,461 675,823
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR1, Class 2A1, 1.412%, 1/25/37 655,214 580,286
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR10, Class 1A3, 2.824%, 9/25/35 970,298 994,633
     FRB Ser. 05-AR13, Class A1C3, 1.722%, 10/25/45 1,093,302 1,059,166
32,629,547
Total mortgage-backed securities (cost $217,172,914) $210,847,189

CORPORATE BONDS AND NOTES (27.9%)(a)
Principal amount Value
Basic materials (1.1%)
Archer-Daniels-Midland Co. sr. unsec. notes 5.45%, 3/15/18 $1,308,000 $1,340,158
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5.875%, 6/15/21 (Germany) 950,000 1,064,671
Southern Copper Corp. sr. unsec. unsub. notes 5.875%, 4/23/45 (Peru) 800,000 891,165
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 734,000 783,545
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 1,000,000 1,077,500
5,157,039
Capital goods (2.3%)
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. notes 4.25%, 9/15/22 (Ireland) 1,000,000 1,027,500
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 500,000 520,000
Boeing Co. (The) sr. unsec. bonds 8.75%, 8/15/21 3,580,000 4,481,859
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 1,000,000 1,100,000
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6.00%, 10/15/17 (Luxembourg) 1,692,000 1,707,558
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 656,000 689,620
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 1,025,000 1,069,844
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/29/20 500,000 512,500
11,108,881
Communication services (1.8%)
AT&T, Inc. sr. unsec. unsub. notes 3.00%, 6/30/22 1,800,000 1,821,559
Crown Castle International Corp. sr. unsec. notes 5.25%, 1/15/23(R) 640,000 715,592
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 4.25%, 4/1/18 1,694,000 1,713,058
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 185,000 200,263
Verizon Communications, Inc. sr. unsec. unsub. notes 2.946%, 3/15/22 1,557,000 1,572,941
Vodafone Group PLC sr. unsec. unsub. notes 1.25%, 9/26/17 (United Kingdom) 2,346,000 2,345,721
8,369,134
Consumer cyclicals (2.9%)
Autonation, Inc. company guaranty sr. unsec. unsub. notes 6.75%, 4/15/18 2,008,000 2,076,746
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 552,000 592,794
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 1,000,000 1,036,250
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/15/26 1,856,000 2,043,651
Host Hotels & Resorts LP sr. unsec. unsub. notes 6.00%, 10/1/21(R) 596,000 665,534
Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22(R) 279,000 304,349
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 565,000 599,606
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 4/1/21 500,000 527,375
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) 1,200,000 1,239,000
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 3.30%, 8/14/20 3,790,000 3,899,197
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 1,000,000 1,065,000
14,049,502
Consumer staples (3.6%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 1,000,000 1,022,500
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 3.65%, 2/1/26 4,851,000 5,017,486
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 1.90%, 2/1/19 5,745,000 5,770,278
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 1.25%, 1/17/18 615,000 614,165
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22 2,975,000 3,263,661
CVS Health Corp. sr. unsec. unsub. notes 2.25%, 12/5/18 1,690,000 1,701,490
17,389,580
Energy (1.9%)
ConocoPhillips Co. company guaranty sr. unsec. unsub. notes 1.05%, 12/15/17 1,695,000 1,692,319
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 180,000 213,183
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000 416,588
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 545,000 589,963
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.25%, 3/17/44 (Brazil) 359,000 360,795
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.75%, 5/23/26 (Brazil) 161,000 189,175
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 680,000 709,750
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) 3,544,000 1,159,420
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5.50%, 1/21/21 (Mexico) 1,300,000 1,386,258
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 1,291,000 1,282,479
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes Ser. REGS, 6.50%, 3/13/27 (Mexico) 925,000 1,018,425
9,018,355
Financials (9.5%)
AIG Global Funding 144A sr. notes 2.15%, 7/2/20 795,000 796,724
Air Lease Corp. sr. unsec. notes 2.625%, 9/4/18 5,465,000 5,511,983
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 400,000 428,000
American Express Co. jr. unsec. sub. FRN Ser. C, 4.90%, perpetual maturity 1,600,000 1,636,000
American Express Co. sr. unsec. notes 7.00%, 3/19/18 1,523,000 1,574,517
American Express Co. sr. unsec. notes 6.15%, 8/28/17 923,000 925,949
Bank of America Corp. sr. unsec. unsub. notes 2.00%, 1/11/18 2,358,000 2,362,598
Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, 1.70%, 8/25/17 1,000,000 1,000,118
Banque Federative du Credit Mutuel SA 144A sr. unsec. unsub. notes 2.20%, 7/20/20 (France) 1,485,000 1,486,464
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 1,055,000 1,120,938
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2.375%, 1/22/18 1,212,000 1,216,673
JPMorgan Chase & Co. sr. unsec. unsub. notes 2.00%, 8/15/17 1,679,000 1,679,368
JPMorgan Chase & Co. unsec. sub. notes 3.875%, 9/10/24 365,000 378,602
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.30%, 12/13/18 2,375,000 2,391,038
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20 2,170,000 2,435,107
Lloyds Banking Group PLC unsec. sub. bonds 5.30%, 12/1/45 (United Kingdom) 652,000 751,291
Macquarie Bank, Ltd. 144A sr. unsec. notes 4.00%, 7/29/25 (Australia) 1,210,000 1,269,671
MetLife, Inc. sr. unsec. unsub. notes 4.75%, 2/8/21 2,125,000 2,314,257
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 1,000,000 1,047,000
PNC Bank NA sr. unsec. notes Ser. BKNT, 2.00%, 5/19/20 845,000 845,782
Protective Life Global Funding 144A notes 2.262%, 4/8/20 780,000 781,363
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.20%, 7/27/18 (Canada) 1,700,000 1,710,287
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 532,000 561,925
Royal Bank of Scotland Group PLC unsec. sub. notes 4.70%, 7/3/18 (United Kingdom) 2,952,000 3,014,824
Santander Issuances SAU company guaranty unsec. sub. notes 5.179%, 11/19/25 (Spain) 2,400,000 2,597,498
Sberbank of Russia Via SB Capital SA 144A unsec. sub. notes 5.125%, 10/29/22 (Russia) 950,000 982,063
Select Income REIT sr. unsec. unsub. notes 3.60%, 2/1/20(R) 1,000,000 1,015,177
Select Income REIT sr. unsec. unsub. notes 2.85%, 2/1/18(R) 1,000,000 1,003,862
Societe Generale SA company guaranty sr. unsec. notes 2.75%, 10/12/17 (France) 675,000 676,817
UBS AG/London 144A sr. unsec. notes 2.20%, 6/8/20 (United Kingdom) 925,000 929,693
UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec. notes 3.00%, 4/15/21 (Switzerland) 1,020,000 1,038,174
45,483,763
Health care (2.3%)
AstraZeneca PLC sr. unsec. unsub. notes 5.90%, 9/15/17 (United Kingdom) 1,695,000 1,703,316
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 1,012,000 1,105,610
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 206,000 190,035
Omega Healthcare Investors, Inc. company guaranty sr. unsec. bonds 5.25%, 1/15/26(R) 3,805,000 4,033,300
Pfizer, Inc. sr. unsec. unsub. notes 1.70%, 12/15/19 1,560,000 1,562,797
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 1,674,000 1,715,850
UnitedHealth Group, Inc. sr. unsec. notes 6.00%, 2/15/18 756,000 774,074
11,084,982
Technology (1.3%)
Apple, Inc. sr. unsec. unsub. notes 2.00%, 5/6/20 4,336,000 4,367,648
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 500,000 556,399
Fidelity National Information Services, Inc. sr. unsec. unsub. notes 3.625%, 10/15/20 447,000 467,494
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 895,000 921,850
6,313,391
Transportation (0.1%)
Continental Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 97-4, Class A, 6.90%, 1/2/18 48,593 49,079
Continental Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 98-1, Class A, 6.648%, 9/15/17 47,756 48,002
Federal Express Corp. Pass-Through Trust 144A pass-through certificates Ser. 12, 2.625%, 1/15/18 253,791 253,994
351,075
Utilities and power (1.1%)
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 475,000 501,615
Texas-New Mexico Power Co. 144A 1st sr. bonds Ser. A, 9.50%, 4/1/19 3,816,000 4,250,326
4,751,941
Total corporate bonds and notes (cost $130,080,294) $133,077,643

SENIOR LOANS (8.9%)(a)(c)
Principal amount Value
Basic materials (0.4%)
KMG Chemicals, Inc. bank term loan FRN Ser. B, 5.409%, 6/15/24 $981,818 $991,465
TMS International Corp. bank term loan FRN Ser. B, 4.672%, 10/16/20 914,145 916,431
1,907,896
Capital goods (0.8%)
Advanced Disposal Services, Inc. bank term loan FRN Ser. B, 3.94%, 11/10/23 1,140,690 1,148,354
Berry Global Group, Inc. bank term loan FRN Ser. I, 3.725%, 10/1/22 743,951 746,275
Gates Global, LLC/Gates Global Co. bank term loan FRN Ser. B, 4.546%, 3/31/24 680,514 684,257
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
3,786,880
Communication services (0.9%)
Asurion, LLC bank term loan FRN Ser. B4, 4.476%, 8/4/22 844,533 847,172
Charter Communications Operating, LLC bank term loan FRN Ser. E, 3.23%, 7/1/20 1,046,154 1,051,058
Intelsat Jackson Holdings SA bank term loan FRN Ser. B2, 4.00%, 6/30/19 1,019,814 1,015,778
Sprint Communications, Inc. bank term loan FRN Ser. B, 3.75%, 2/2/24 498,750 500,101
WideOpenWest Finance, LLC bank term loan FRN Ser. B, 4.476%, 8/19/23 1,006,250 1,005,936
4,420,045
Consumer cyclicals (2.6%)
Academy, Ltd. bank term loan FRN Ser. B, 5.196%, 7/2/22 844,424 658,651
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%, 7/7/22 442,627 444,840
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.75%, 3/1/18 (In default)(NON) 332,619 400,473
Caesars Growth Properties Holdings, LLC bank term loan FRN Ser. L, 4.226%, 5/8/21 407,429 410,077
CityCenter Holdings, LLC bank term loan FRN Ser. B, 3.732%, 4/18/24 474,787 476,345
CPG International, Inc. bank term loan FRN 5.046%, 5/3/24 458,667 459,049
Eldorado Resorts, Inc. bank term loan FRN Ser. B, 3.563%, 4/17/24 982,538 980,081
Greektown Holdings, LLC bank term loan FRN Ser. B, 4.226%, 4/25/24 450,000 450,422
Hilton Worldwide Finance, LLC bank term loan FRN Ser. B2, 3.255%, 10/25/23 809,521 812,759
Jeld-Wen, Inc. bank term loan FRN Ser. B, 4.296%, 7/1/22 755,788 762,559
Jo-Ann Stores, LLC bank term loan FRN 6.391%, 10/21/23 995,000 993,341
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4.474%, 10/25/20 965,239 717,494
Scientific Games International, Inc. bank term loan FRN Ser. B3, 5.108%, 10/1/21 767,625 769,682
Scientific Games International, Inc. bank term loan FRN Ser. B4, 4.561%, 8/14/24 767,625 770,987
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%, 3/15/24 740,243 736,748
Werner Finco LP bank term loan FRN Ser. B, 5.00%, 6/22/24 500,000 500,000
12,186,021
Consumer staples (1.4%)
1011778 BC ULC bank term loan FRN Ser. B, 3.504%, 2/17/24 995,419 993,968
Brand Energy & Infrastructure Services, Inc. bank term loan FRN 5.491%, 6/21/24 750,000 753,594
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4.226%, 2/14/21 416,025 415,310
Ceridian HCM Holding, Inc. bank term loan FRN Ser. B2, 4.726%, 9/15/20 645,910 644,833
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
Rite Aid Corp. bank term loan FRN 5.105%, 6/21/21 1,000,000 1,002,292
6,460,100
Energy (0.1%)
American Energy-Marcellus, LLC bank term loan FRN 5.474%, 8/4/20 651,749 400,825
400,825
Health care (1.3%)
CHS/Community Health Systems, Inc. bank term loan FRN Ser. H, 4.21%, 1/27/21 1,600,270 1,598,956
Grifols Worldwide Operations USA, Inc. bank term loan FRN Ser. B, 3.44%, 1/31/25 498,750 500,904
Iasis Healthcare, LLC bank term loan FRN Ser. B, 5.296%, 2/17/21 465,088 467,646
Kinetic Concepts, Inc. bank term loan FRN Ser. B, 4.546%, 2/3/24 1,095,000 1,092,947
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, 5.046%, 6/30/21 577,150 577,297
Pharmaceutical Product Development, LLC bank term loan FRN 4.013%, 8/18/22 1,043,700 1,050,078
Valeant Pharmaceuticals International, Inc. bank term loan FRN Ser. BF1, 5.98%, 4/1/22 1,015,065 1,033,449
6,321,277
Technology (0.7%)
CCC Information Services, Inc. bank term loan FRN 4.23%, 3/30/24 1,318,000 1,320,060
First Data Corp. bank term loan FRN 3.477%, 7/10/22 916,192 918,024
Infor US, Inc. bank term loan FRN Ser. B, 4.046%, 2/1/22 435,408 434,553
Syniverse Holdings, Inc. bank term loan FRN Ser. B, 4.172%, 4/23/19 927,449 883,395
3,556,032
Utilities and power (0.7%)
Calpine Construction Finance Co. LP bank term loan FRN Ser. B, 3.48%, 5/3/20 576,000 576,000
Calpine Construction Finance Co. LP bank term loan FRN Ser. B2, 3.73%, 1/31/22 1,157,913 1,154,294
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%, 8/4/23 729,193 730,834
Vistra Operations Co., LLC bank term loan FRN Ser. C, 3.977%, 8/4/23 167,143 167,518
3,446,193
Total senior loans (cost $43,182,652) $42,485,269

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (5.1%)(a)
Principal amount Value
Argentina (Republic of) sr. unsec. unsub. bonds 7.625%, 4/22/46 (Argentina) $960,000 $986,880
Argentina (Republic of) sr. unsec. unsub. bonds 6.625%, 7/6/28 (Argentina) 385,000 385,000
Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.875%, 1/22/21 (Brazil) 1,710,000 1,808,325
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) 1,100,000 1,124,200
Hellenic (Republic of) sr. unsec. notes 4.375%, 8/1/22 (Greece) EUR 1,296,000 1,519,845
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, 3.00%, 2/24/40 (Greece) EUR 57,000 47,999
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/36 (Greece)(STP) EUR 406,000 348,341
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/33 (Greece)(STP) EUR 76,000 68,425
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/32 (Greece)(STP) EUR 99,000 90,575
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/31 (Greece)(STP) EUR 260,000 240,653
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/30 (Greece)(STP) EUR 1,334,000 1,260,509
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/29 (Greece)(STP) EUR 2,769,973 2,666,757
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/28 (Greece)(STP) EUR 2,522,206 2,517,229
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/27 (Greece)(STP) EUR 206,000 215,653
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/26 (Greece)(STP) EUR 548,000 580,886
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/25 (Greece)(STP) EUR 709,000 758,648
Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/23 (Greece)(STP) EUR 343,000 378,891
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 3.375%, 4/15/23 (Indonesia) 1,290,000 1,299,675
Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 450,000 477,612
Russia (Federation of) 144A sr. unsec. unsub. bonds 12.75%, 6/24/28 (Russia) 1,375,000 2,414,844
Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%, 4/4/42 (Russia) 3,000,000 3,266,250
Turkey (Republic of) unsec. notes 11.00%, 3/2/22 (Turkey) TRY 1,733,000 499,561
United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) $644,000 671,978
Total foreign government and agency bonds and notes (cost $22,298,632) $24,313,861

PURCHASED SWAP OPTIONS OUTSTANDING (0.5%)(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 $43,438,000 $43
Barclays Bank PLC
     1.47/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.47 52,125,600 9,904
     (0.51)/3 month GBP-LIBOR-BBA/Sep-18 Sep-17/0.51 GBP 42,287,000 8,369
Citibank, N.A.
     (2.518)/3 month USD-LIBOR-BBA/May-49 May-19/2.518 $3,822,500 345,669
     2.25/3 month USD-LIBOR-BBA/Sep-27 Sep-17/2.25 34,750,400 230,395
     (2.57)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 17,375,200 151,686
     1.975/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 17,375,200 110,333
     (1.975)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 17,375,200 106,336
     1.6125/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.6125 69,500,800 99,386
     (1.896)/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 11,155,000 97,941
     2.57/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 17,375,200 94,347
     2.235/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.235 26,062,800 80,273
     1.896/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 11,155,000 54,213
     (1.091)/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.091 EUR 5,956,000 15,723
     2.02/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.02 $26,062,800 12,250
Credit Suisse International
     2.2275/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.2275 26,062,800 129,011
     2.3724/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.3724 8,753,300 104,164
     2.8472/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.8472 8,753,300 33,263
Goldman Sachs International
     0.538/3 month GBP-LIBOR-BBA/Oct-18 Oct-17/0.538 GBP 64,324,500 89,113
     (2.33)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.33 $26,062,800 86,528
     2.525/3 month USD-LIBOR-BBA/Aug-37 Aug-17/2.525 8,687,600 76,712
     1.3463/3 month GBP-LIBOR-BBA/Oct-27 Oct-17/1.3463 GBP 5,956,000 75,283
     2.20/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.20 $18,880,000 66,646
     2.015/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.015 21,906,000 64,623
     (1.83)/3 month USD-LIBOR-BBA/Sep-22 Sep-17/1.83 10,564,000 62,222
     (2.29625)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.29625 24,494,000 56,826
     1.796/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.796 52,125,600 56,296
     -0.108/6 month EUR-EURIBOR-Reuters/Aug-19 Aug-17/-0.108 EUR 29,780,000 29,613
     1.83/3 month USD-LIBOR-BBA/Sep-22 Sep-17/1.83 $10,564,000 14,790
     (2.5975)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.5975 52,125,600 9,904
     1.296/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.296 104,251,200 3,128
     (2.62125)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.62125 48,988,000 49
     (2.234)/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.234 43,438,000 43
     (-0.108)/6 month EUR-EURIBOR-Reuters/Aug-19 Aug-17/-0.108 EUR 29,780,000 35
JPMorgan Chase Bank N.A.
     1.585/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.585 $52,126,000 44,828
     (2.81025)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.81025 34,750,400 16,680
     1.479/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.479 52,125,600 11,989
     (1.585)/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.585 52,126,000 9,904
     1.9685/3 month USD-LIBOR-BBA/Aug-27 Aug-17/1.9685 14,604,000 3,359
Royal Bank of Scotland PLC (The)
     (0.5715)/3 month GBP-LIBOR-BBA/Aug-19 Aug-17/0.5715 GBP 29,780,000 42,828
     (0.561)/3 month GBP-LIBOR-BBA/Aug-19 Aug-17/0.561 GBP 14,890,000 24,950
     0.5715/3 month GBP-LIBOR-BBA/Aug-19 Aug-17/0.5715 GBP 29,780,000 7,465
     0.561/3 month GBP-LIBOR-BBA/Aug-19 Aug-17/0.561 GBP 14,890,000 2,947
Total purchased swap options outstanding (cost $3,893,771) $2,540,067

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Sep-17/$100.05 $42,000,000 $202,608
USD/CNH (Put) Oct-17/CNH 6.70 16,234,000 52,079
USD/CNH (Put) Oct-17/CNH 6.70 16,234,000 49,140
USD/JPY (Put) Nov-17/JPY 107.00 9,745,750 93,579
Total purchased options outstanding (cost $473,866) $397,406

ASSET-BACKED SECURITIES (0.2%)(a)
Principal amount Value
Station Place Securitization Trust 144A FRB Ser. 17-1, Class A, 2.132%, 2/25/49 $1,123,667 $1,123,667
Total asset-backed securities (cost $1,123,667) $1,123,667

COMMON STOCKS (0.1%)(a)
Shares Value
Vantage Drilling International (Units)(NON) 1,521 $266,175
Total common stocks (cost $145,699) $266,175

SHORT-TERM INVESTMENTS (13.2%)(a)
Principal amount/shares Value
Amphenol Corp. commercial paper 1.400%, 8/2/17 $2,000,000 $1,999,845
Autonation, Inc. commercial paper 1.600%, 8/1/17 2,000,000 1,999,906
Cabot Corp. commercial paper 1.401%, 8/11/17 1,000,000 999,565
Dollar General Corp. commercial paper 1.551%, 8/7/17 1,750,000 1,749,473
Energy Transfer Partners LP commercial paper 1.750%, 8/1/17 2,000,000 1,999,906
ERP Operating LP commercial paper 1.370%, 8/4/17 1,000,000 999,845
KCP&L Greater Missouri Operations Co. commercial paper 1.383%, 8/1/17 3,500,000 3,499,865
McCormick & Co., Inc./MD commercial paper 1.342%, 8/31/17 2,000,000 1,997,536
Omnicom Capital, Inc. commercial paper 1.462%, 8/7/17 2,000,000 1,999,452
Putnam Short Term Investment Fund 1.15%(AFF) Shares 27,803,898 27,803,898
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.94%(P) Shares 530,000 530,000
Tyco International Holding SarL commercial paper 1.400%, 8/2/17 $2,000,000 1,999,845
U.S. Treasury Bills 1.004%, 8/24/17(SEGSF)(SEGCCS) 446,000 445,723
U.S. Treasury Bills 0.980%, 9/14/17(SEGSF) 170,000 169,798
U.S. Treasury Bills 0.974%, 8/17/17(SEG)(SEGSF) 8,182,000 8,178,465
U.S. Treasury Bills 0.933%, 8/3/17(SEGSF) 3,389,000 3,388,824
U.S. Treasury Bills 0.860%, 8/10/17(SEGSF) 1,425,000 1,424,664
WPP CP Finance PLC commercial paper 1.502%, 8/21/17 2,000,000 1,998,311
Total short-term investments (cost $63,185,954) $63,184,921

TOTAL INVESTMENTS
Total investments (cost $703,051,646)(b) $700,408,763













FORWARD CURRENCY CONTRACTS at 7/31/17 (aggregate face value $167,950,577) (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 $3,452,209 $3,298,157 $154,052
Canadian Dollar Sell 10/18/17 1,612,522 1,548,224 (64,298)
Euro Buy 9/20/17 1,198,285 1,090,484 107,801
Indian Rupee Buy 8/16/17 1,770,229 1,753,681 16,548
Indian Rupee Sell 8/16/17 1,770,229 1,754,759 (15,470)
Japanese Yen Sell 8/16/17 332,948 326,826 (6,122)
Mexican Peso Buy 10/18/17 21,536 20,981 555
New Zealand Dollar Sell 10/18/17 1,115,120 1,083,147 (31,973)
Norwegian Krone Sell 9/20/17 1,766,819 1,468,091 (298,728)
Singapore Dollar Buy 8/16/17 1,757,377 1,725,428 31,949
Singapore Dollar Sell 8/16/17 1,757,377 1,707,739 (49,638)
Swedish Krona Buy 9/20/17 1,119,167 967,214 151,953
Barclays Bank PLC
Australian Dollar Buy 10/18/17 367,959 352,225 15,734
British Pound Sell 9/20/17 603,561 592,219 (11,342)
Canadian Dollar Buy 10/18/17 1,365 1,313 52
Euro Buy 9/20/17 2,177,708 2,072,763 104,945
Japanese Yen Buy 8/16/17 1,662,550 1,632,425 30,125
Japanese Yen Sell 8/16/17 1,662,550 1,639,192 (23,358)
New Zealand Dollar Buy 10/18/17 602,445 584,406 18,039
Swedish Krona Buy 9/20/17 232,945 216,675 16,270
Swiss Franc Sell 9/20/17 323,030 338,152 15,122
Citibank, N.A.
Australian Dollar Buy 10/18/17 320,325 306,472 13,853
Brazilian Real Buy 10/3/17 2,087,044 2,038,081 48,963
British Pound Sell 9/20/17 2,200,414 2,171,689 (28,725)
Canadian Dollar Buy 10/18/17 6,985 3,380 3,605
Euro Sell 9/20/17 318,561 300,456 (18,105)
Japanese Yen Buy 8/16/17 1,683,368 1,662,983 20,385
Japanese Yen Sell 8/16/17 1,683,368 1,658,036 (25,332)
Mexican Peso Buy 10/18/17 520,171 508,063 12,108
New Taiwan Dollar Buy 8/16/17 1,626,746 1,634,046 (7,300)
New Taiwan Dollar Sell 8/16/17 1,626,746 1,631,702 4,956
New Zealand Dollar Sell 10/18/17 4,340,561 4,210,659 (129,902)
Norwegian Krone Buy 9/20/17 1,742,374 1,633,433 108,941
South African Rand Buy 10/18/17 45,662 45,365 297
Swedish Krona Buy 9/20/17 2,708,247 2,603,099 105,148
Credit Suisse International
Australian Dollar Sell 10/18/17 1,378,006 1,318,522 (59,484)
British Pound Sell 9/20/17 1,941,783 1,895,390 (46,393)
Canadian Dollar Sell 10/18/17 746,927 746,909 (18)
Japanese Yen Sell 8/16/17 1,680,778 1,648,727 (32,051)
New Zealand Dollar Sell 10/18/17 848,808 823,373 (25,435)
Norwegian Krone Sell 9/20/17 1,190,190 1,107,377 (82,813)
Swedish Krona Sell 9/20/17 1,496,503 1,398,433 (98,070)
Goldman Sachs International
Australian Dollar Sell 10/18/17 3,211,406 3,057,078 (154,328)
British Pound Sell 9/20/17 320,877 315,158 (5,719)
Canadian Dollar Buy 10/18/17 644,318 617,813 26,505
Euro Buy 9/20/17 1,713,040 1,748,655 (35,615)
Indian Rupee Buy 8/16/17 3,439,293 3,415,026 24,267
Indian Rupee Sell 8/16/17 3,439,293 3,409,142 (30,151)
Indonesian Rupiah Buy 11/15/17 1,605,600 1,606,945 (1,345)
Japanese Yen Buy 8/16/17 1,662,550 1,630,603 31,947
Japanese Yen Sell 8/16/17 1,662,550 1,639,402 (23,148)
New Zealand Dollar Buy 10/18/17 618,570 594,853 23,717
Norwegian Krone Sell 9/20/17 1,265,025 1,077,563 (187,462)
South African Rand Buy 10/18/17 97,523 96,950 573
Swedish Krona Buy 9/20/17 4,622,388 4,303,208 319,180
Swedish Krona Sell 9/20/17 4,540,617 4,339,586 (201,031)
Swiss Franc Buy 9/20/17 60,685 45,563 15,122
Turkish Lira Buy 9/20/17 1,622,131 1,610,168 11,963
HSBC Bank USA, National Association
Australian Dollar Buy 10/18/17 225,219 215,606 9,613
Canadian Dollar Buy 10/18/17 54,436 35,819 18,617
Euro Sell 9/20/17 793,555 847,273 53,718
New Zealand Dollar Buy 10/18/17 3,382,184 3,281,835 100,349
Singapore Dollar Buy 8/16/17 1,657,371 1,626,024 31,347
Singapore Dollar Sell 8/16/17 1,657,371 1,617,069 (40,302)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 10/18/17 1,698,731 1,607,327 (91,404)
British Pound Sell 9/20/17 3,591,367 3,528,788 (62,579)
Canadian Dollar Sell 10/18/17 1,507,905 1,504,899 (3,006)
Euro Buy 9/20/17 1,312,583 1,193,609 118,974
Indonesian Rupiah Buy 11/15/17 1,605,600 1,604,800 800
Japanese Yen Buy 8/16/17 946,920 933,410 13,510
Japanese Yen Sell 8/16/17 946,920 935,315 (11,605)
Mexican Peso Buy 10/18/17 5,438 5,303 135
New Zealand Dollar Buy 10/18/17 2,142,945 2,110,793 32,152
Norwegian Krone Sell 9/20/17 1,764,794 1,626,184 (138,610)
South African Rand Sell 10/18/17 1,523,647 1,539,526 15,879
Swedish Krona Buy 9/20/17 4,489,547 4,322,694 166,853
Swiss Franc Buy 9/20/17 367,015 366,808 207
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 10/18/17 3,594,949 3,441,991 152,958
Canadian Dollar Buy 10/18/17 1,154,072 1,110,047 44,025
Euro Sell 9/20/17 731,124 746,995 15,871
Japanese Yen Sell 8/16/17 1,676,942 1,652,956 (23,986)
New Zealand Dollar Buy 10/18/17 1,502,251 1,457,956 44,295
Norwegian Krone Sell 9/20/17 1,074,475 899,220 (175,255)
Swedish Krona Buy 9/20/17 3,418,978 3,235,114 183,864
Turkish Lira Buy 9/20/17 1,207,404 1,203,295 4,109
State Street Bank and Trust Co.
Australian Dollar Buy 10/18/17 842,772 806,376 36,396
British Pound Sell 9/20/17 1,693,328 1,621,221 (72,107)
Canadian Dollar Buy 10/18/17 80,289 77,337 2,952
Euro Buy 9/20/17 5,035,859 4,873,718 162,141
Euro Sell 9/20/17 5,080,486 4,869,798 (210,688)
Hungarian Forint Buy 9/20/17 43,172 41,458 1,714
Japanese Yen Buy 8/16/17 812,337 800,671 11,666
Japanese Yen Sell 8/16/17 812,337 802,452 (9,885)
New Zealand Dollar Buy 10/18/17 2,501,577 2,438,922 62,655
Norwegian Krone Buy 9/20/17 1,697,344 1,627,188 70,156
Norwegian Krone Sell 9/20/17 1,741,509 1,619,998 (121,511)
Singapore Dollar Buy 8/16/17 1,757,377 1,735,648 21,729
Singapore Dollar Sell 8/16/17 1,757,377 1,708,060 (49,317)
Swedish Krona Buy 9/20/17 497,311 215,908 281,403
UBS AG
Australian Dollar Sell 10/18/17 1,514,032 1,506,549 (7,483)
British Pound Sell 9/20/17 1,649,452 1,618,329 (31,123)
Canadian Dollar Buy 10/18/17 82,136 79,808 2,328
Euro Sell 9/20/17 2,151,715 2,128,237 (23,478)
Japanese Yen Sell 8/16/17 1,619,259 1,616,954 (2,305)
New Zealand Dollar Sell 10/18/17 1,736,240 1,684,219 (52,021)
Norwegian Krone Buy 9/20/17 1,418,565 1,527,327 (108,762)
Swedish Krona Buy 9/20/17 5,222,435 4,952,118 270,317
Turkish Lira Buy 9/20/17 69,046 67,613 1,433
WestPac Banking Corp.
Australian Dollar Buy 10/18/17 683,249 656,819 26,430
Canadian Dollar Sell 10/18/17 1,544,116 1,541,234 (2,882)
Euro Sell 9/20/17 1,657,501 1,593,361 (64,140)
New Zealand Dollar Sell 10/18/17 58,122 60,589 2,467
Total $399,933












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


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Euro-OAT 10 yr (Short) 22 $3,874,768             Sep-17 $21,154
U.S. Treasury Note Ultra 10 yr (Long) 19 2,565,891             Sep-17 1,001
Total $22,155












WRITTEN SWAP OPTIONS OUTSTANDING at 7/31/17 (premiums $5,451,809) (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 $86,876,000 $87

Barclays Bank PLC
1.736/3 month USD-LIBOR-BBA/Sep-18 Sep-17/1.736 52,115,000 52
(1.8295)/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.8295 52,125,600 9,904

Citibank, N.A.
2.551/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.551 52,125,600 521
2.5225/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.5225 26,062,800 8,340
1.291/6 month EUR-EURIBOR-Reuters/Jul-23 Jul-18/1.291 EUR 9,470,000 16,255
(1.642)/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642 $34,750,400 53,168
(2.0625)/3 month USD-LIBOR-BBA/Aug-18 Aug-17/2.0625 69,500,800 80,621
1.642/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642 34,750,400 86,876
(2.257)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257 17,375,200 195,992
2.257/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257 17,375,200 250,203
2.208/3 month USD-LIBOR-BBA/May-24 May-19/2.208 17,375,200 318,835

Credit Suisse International
2.4475/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.4475 26,062,800 29,972
(2.0385)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.0385 52,125,600 42,222
(2.5816)/3 month USD-LIBOR-BBA/Aug-37 Aug-17/2.5816 8,753,300 129,549

Goldman Sachs International
(0.15875)/6 month EUR-EURIBOR-Reuters/Aug-22 Aug-17/0.15875 EUR 11,912,000 14
2.419/3 month USD-LIBOR-BBA/Aug-19 Aug-17/2.419 $86,876,000 87
0.36125/6 month EUR-EURIBOR-Reuters/Aug-22 Aug-17/0.36125 EUR 11,912,000 141
(1.563)/3 month USD-LIBOR-BBA/Sep-19 Sep-17/1.563 $34,750,400 14,595
(2.805)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.805 8,687,600 21,372
2.41625/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.41625 73,482,000 25,719
2.62/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.62 21,906,000 43,593
1.563/3 month USD-LIBOR-BBA/Sep-19 Sep-17/1.563 34,750,400 55,253
(1.619)/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.619 156,376,800 62,551
(2.31)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.31 8,687,600 64,983
(1.60)/3 month GBP-LIBOR-BBA/Oct-47 Oct-17/1.60 GBP 2,322,800 65,094
2.46/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.46 $78,188,400 71,933
(0.779)/3 month GBP-LIBOR-BBA/Oct-20 Oct-17/0.779 GBP 21,441,500 74,120
(2.3025)/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.3025 $9,440,000 76,936

JPMorgan Chase Bank N.A.
2.5385/3 month USD-LIBOR-BBA/Aug-27 Aug-17/2.5385 14,604,000 3,797
1.993/3 month USD-LIBOR-BBA/Oct-20 Oct-17/1.993 17,375,000 7,124
(1.98)/3 month USD-LIBOR-BBA/Aug-18 Aug-17/1.98 52,125,600 7,298
2.534/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.534 17,375,200 46,392
(1.783)/3 month USD-LIBOR-BBA/Oct-20 Oct-17/1.783 17,375,000 48,129
(6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 10,748,000 379,404

Royal Bank of Scotland PLC (The)
(1.005)/3 month GBP-LIBOR-BBA/Aug-27 Aug-17/1.005 GBP 2,978,000 79
(1.0436)/3 month GBP-LIBOR-BBA/Aug-27 Aug-17/1.0436 GBP 5,956,000 314
1.267/3 month GBP-LIBOR-BBA/Aug-27 Aug-17/1.267 GBP 2,978,000 24,479
1.3056/3 month GBP-LIBOR-BBA/Aug-27 Aug-17/1.3056 GBP 5,956,000 32,611
Total $2,348,615












WRITTEN OPTIONS OUTSTANDING at 7/31/17 (premiums $326,393) (Unaudited)


Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Sep-17/$99.61 $42,000,000 $125,790
Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Sep-17/99.17 42,000,000 73,878
USD/CNH (Put) Oct-17/CNH 6.60 16,234,000 10,974
USD/CNH (Put) Oct-17/CNH 6.60 16,234,000 9,464
USD/JPY (Put) Nov-17/JPY 103.00 9,745,750 34,656
Total $254,762













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 $8,687,600 $(339,685) $14,161
     2.5925/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 5,212,600 (183,744) 417
     2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 5,212,600 (559,312) (1,564)
     (2.203)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 8,687,600 (173,752) (5,647)
     (2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785 5,212,600 (559,312) (13,136)
     2.203/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203 8,687,600 (173,752) (20,242)
     2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647 8,687,600 (339,685) (22,675)
     (2.5925)/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925 5,212,600 (183,744) (88,510)
     2.7175/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 5,212,600 470,959 161,591
     (2.7175)/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175 5,212,600 470,958 60,049
     (2.413)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 8,687,600 334,038 47,521
     2.413/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413 8,687,600 334,038 (3,823)

Barclays Bank PLC
     2.43/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 5,212,600 (72,716) 13,188
     (2.205)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 8,687,600 (173,752) (5,994)
     2.205/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205 8,687,600 (173,752) (19,895)
     (2.43)/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43 5,212,600 (72,716) (45,454)

Citibank, N.A.
     (2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 8,687,600 (339,685) 12,858
     2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654 8,687,600 (339,685) (21,458)
     (2.42)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 8,687,600 334,473 45,349
     2.42/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42 8,687,600 332,735 (2,259)

Goldman Sachs International
     2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,042,500 (131,616) 2,679
     1.995/3 month USD-LIBOR-BBA/Oct-27 (Purchased) Oct-17/1.995 21,906,000 (59,146) 131
     (2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 1,042,500 (131,616) (4,149)
     2.60/3 month USD-LIBOR-BBA/Oct-27 (Written) Oct-17/2.60 21,906,000 59,146 6,966

JPMorgan Chase Bank N.A.
     2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 5,212,600 (727,809) 14,387
     1.9777/3 month USD-LIBOR-BBA/Sep-27 (Purchased) Sep-17/1.9777 21,906,000 (30,084) 44
     (2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 5,212,600 (727,809) (124,998)
     2.79/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 5,212,600 494,936 196,881
     (2.79)/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79 5,212,600 494,936 10,008
     2.5777/3 month USD-LIBOR-BBA/Sep-27 (Written) Sep-17/2.5777 21,906,000 30,084 1,993
Total $(2,137,069) $208,419












TBA SALE COMMITMENTS OUTSTANDING at 7/31/17 (proceeds receivable $140,200,820) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4.50%, 8/1/47 $8,000,000       8/14/17 $8,588,750
Federal National Mortgage Association, 4.00%, 9/1/47 8,000,000       9/13/17 8,410,313
Federal National Mortgage Association, 4.00%, 8/1/47 8,000,000       8/14/17 8,423,125
Federal National Mortgage Association, 3.50%, 8/1/47 71,000,000       8/14/17 73,096,715
Federal National Mortgage Association, 3.00%, 8/1/47 17,000,000       8/14/17 17,027,890
Federal National Mortgage Association, 2.50%, 8/1/47 26,000,000       8/14/17 25,132,656
Total $140,679,449















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)
$220,017,700 (E) $445,087      9/20/19 1.70% 3 month USD-LIBOR-BBA $159,944
17,375,200 46,683      7/12/27 3 month USD-LIBOR-BBA 2.291% 132,823
26,062,800 (156,722)     7/18/27 2.124% 3 month USD-LIBOR-BBA 117,952
52,125,600 155,686      7/18/27 3 month USD-LIBOR-BBA 2.204% (12,527)
4,854,000 (E) (9,516)     9/20/22 1.95% 3 month USD-LIBOR-BBA (13,870)
17,080,000 (E) 77,650      9/20/27 3 month USD-LIBOR-BBA 2.25% 53,396
8,687,600 55,485      7/25/27 3 month USD-LIBOR-BBA 2.132% (32,209)
7,054,500 (54,105)     7/25/47 2.488% 3 month USD-LIBOR-BBA 44,269
59,929,500 (E) 310,875      9/20/27 2.20% 3 month USD-LIBOR-BBA 668,894
74,212,100 (E) 155,965      9/20/22 1.90% 3 month USD-LIBOR-BBA 266,986
5,367,000 (E) (56,838)     9/20/47 3 month USD-LIBOR-BBA 2.45% (186,435)
18,445,000 (245)     6/27/27 2.15% 3 month USD-LIBOR-BBA 135,433
16,600,000 (220)     6/26/27 3 month USD-LIBOR-BBA 2.11504% (175,153)
8,687,600 34,866      7/13/27 3 month USD-LIBOR-BBA 2.18% (10,535)
15,613,500 (59)     7/5/19 1.60431% 3 month USD-LIBOR-BBA (8,383)
15,613,500 (59)     7/5/19 1.6076% 3 month USD-LIBOR-BBA (9,388)
3,894,000 (52)     7/5/27 2.317% 3 month USD-LIBOR-BBA (29,642)
12,774,000 (169)     7/10/27 2.34267% 3 month USD-LIBOR-BBA (124,553)
12,774,000 (169)     7/10/27 2.34955% 3 month USD-LIBOR-BBA (132,588)
12,774,000 (169)     7/10/27 2.35263% 3 month USD-LIBOR-BBA (136,188)
944,000 (E) (13)     8/7/27 2.3625% 3 month USD-LIBOR-BBA (9,892)
6,387,000 (85)     7/10/27 2.3575% 3 month USD-LIBOR-BBA (70,931)
1,007,000 (E) (14)     8/9/27 2.3725% 3 month USD-LIBOR-BBA (11,412)
10,543,000 (140)     7/13/27 2.34524% 3 month USD-LIBOR-BBA (104,280)
10,543,000 (140)     7/13/27 2.34667% 3 month USD-LIBOR-BBA (105,658)
1,227,000 (16)     7/19/27 2.264% 3 month USD-LIBOR-BBA (2,745)
1,096,000 (15)     7/20/27 2.202% 3 month USD-LIBOR-BBA 3,802
6,016,000 (80)     7/25/27 3 month USD-LIBOR-BBA 2.22% (12,432)
10,460,000 (139)     7/25/27 2.20843% 3 month USD-LIBOR-BBA 32,408
3,909,000 (E) (55)     8/30/27 2.27% 3 month USD-LIBOR-BBA (4,887)
2,014,000 (E) (27)     8/7/27 3 month USD-LIBOR-BBA 2.27% 4,036
9,055,000 (120)     7/28/27 2.274% 3 month USD-LIBOR-BBA (25,268)
2,781,387 (E) (37)     8/9/27 3 month USD-LIBOR-BBA 2.275% 6,694
4,673,000 (E) (66)     10/3/27 2.2777% 3 month USD-LIBOR-BBA (3,833)
6,426,000 (E) (91)     11/2/27 2.295% 3 month USD-LIBOR-BBA (8,233)
AUD 26,443,000 82,053      6/28/22 2.60% 6 month AUD-BBR-BBSW (106,596)
AUD 3,129,000 (18,736)     6/28/27 6 month AUD-BBR-BBSW 3.00% 14,000
BRL 15,977,175 (44)     1/2/23 Brazil Cetip Interbank Deposit Rate Over 0.00% (5,228)
BRL 7,232,528 (19)     1/2/23 0.00% Brazil Cetip Interbank Deposit Rate Over (273,755)
BRL 8,077,894 (21)     1/2/23 Brazil Cetip Interbank Deposit Rate Over 0.00% 119,696
BRL 30,867,661 (37)     1/2/19 0.00% Brazil Cetip Interbank Deposit Rate Over (129,599)
CAD 6,907,000 (E) (138,440)     9/20/27 1.95% 3 month CAD-BA-CDOR 61,467
CAD 29,000 (E) (28)     9/20/22 3 month CAD-BA-CDOR 1.60% (477)
CHF 21,447,000 (E) (119,036)     9/20/22 6 month CHF-LIBOR-BBA 0.30% 50,309
CHF 3,638,000 (E) 62,998      9/20/27 6 month CHF-LIBOR-BBA 0.15% (13,840)
CZK 34,315,000 (20)     7/13/27 1.35% 6 month CZK-PRIBOR-PRBO 8,976
EUR 6,379,000 (E) (25)     2/18/20 1 day EUR-EURIBOR-REUTERS 0.124% 2,421
EUR 6,379,000 (E) (25)     2/18/20 1 day EUR-EURIBOR-REUTERS 0.104% 881
EUR 15,246,000 (133)     4/26/22 0.21% 6 month EUR-EURIBOR-REUTERS 3,283
EUR 15,267,000 (134)     5/4/22 0.21% 6 month EUR-EURIBOR-REUTERS 7,964
EUR 21,098,000 (E) (172,943)     9/20/22 0.20% 6 month EUR-EURIBOR-REUTERS (29,607)
EUR 29,451,000 (E) 308,827      9/20/27 6 month EUR-EURIBOR-REUTERS 0.80% (301,818)
GBP 2,903,000 (E) (54)     1/19/32 1.912% 6 month GBP-LIBOR-BBA (36,138)
GBP 36,183,000 (E) (287,565)     9/20/22 0.75% 6 month GBP-LIBOR-BBA 131,974
GBP 1,288,000 (E) (27,345)     9/20/27 1.15% 6 month GBP-LIBOR-BBA (610)
MXN 77,451,000 —      1/1/26 1 month MXN-TIIE-BANXICO 6.16% (257,465)
MXN 56,425,000 —      10/6/21 1 month MXN-TIIE-BANXICO 5.93% (107,076)
MXN 16,650,000 (11)     12/24/26 8.12% 1 month MXN-TIIE-BANXICO (67,913)
MXN 16,160,000 (10)     1/7/27 8.20% 1 month MXN-TIIE-BANXICO (71,486)
MXN 12,645,000 (13)     3/12/32 1 month MXN-TIIE-BANXICO 7.67% 22,184
NOK 92,757,000 (E) (65,652)     9/20/22 1.45% 6 month NOK-NIBOR-NIBR 7,654
NOK 55,500,000 (E) 33,913      9/20/27 6 month NOK-NIBOR-NIBR 1.90% (55,018)
NZD 13,998,000 (E) (37)     3/29/20 3 month NZD-BBR-FRA 3.0475% 36,946
NZD 4,498,000 (E) (28,227)     9/20/22 2.75% 3 month NZD-BBR-FRA (19,734)
NZD 12,701,000 (E) 47,419      9/20/27 3 month NZD-BBR-FRA 3.25% (4,641)
SEK 204,994,000 (E) (109,579)     9/20/22 0.30% 3 month SEK-STIBOR-SIDE 173,894
SEK 12,583,000 (E) 32,283      9/20/27 3 month SEK-STIBOR-SIDE 1.10% (3,482)
ZAR 10,390,000 (10)     10/11/26 8.32625% 3 month ZAR-JIBAR-SAFEX (28,950)
ZAR 51,060,000 (15)     3/9/19 3 month ZAR-JIBAR-SAFEX 7.305% 29,364
Total$602,270    $(446,825)
(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.
$529,344 $—      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools $(1,638)
Barclays Bank PLC
85,936 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 216
1,459,811 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 4,450
847,193 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 3,696
719,944 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 360
2,540,646 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 11,083
296,953 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (1,830)
146,579 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 133
4,506,345 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 19,659
637,492 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 1,943
807,378 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 2,461
2,417,525 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (6,152)
510,596 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (567)
323,843 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (360)
510,380 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 461
4,050,073 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,022
32,916,271 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 72,316
8,983,058 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (54,592)
3,952,000 —      7/3/22 (1.9225%) USA Non Revised Consumer Price Index- Urban (CPI-U) 1,186
3,952,000 —      7/3/27 2.085% USA Non Revised Consumer Price Index- Urban (CPI-U) (5,730)
4,547,000 —      7/5/22 (1.89%) USA Non Revised Consumer Price Index- Urban (CPI-U) 9,140
4,547,000 —      7/5/27 2.05% USA Non Revised Consumer Price Index- Urban (CPI-U) (22,826)
EUR 6,402,000 —      9/15/17 (0.4975%) Eurostat Eurozone HICP excluding tobacco 18,340
EUR 3,201,000 —      9/15/17 (0.46%) Eurostat Eurozone HICP excluding tobacco 12,050
EUR 4,554,000 —      9/15/17 (0.435%) Eurostat Eurozone HICP excluding tobacco 19,839
Citibank, N.A.
$696,873 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,531
578,403 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,271
EUR 9,778,000 —      7/15/27 (1.40%) Eurostat Eurozone HICP excluding tobacco 48,743
EUR 9,778,000 —      7/15/37 1.71% Eurostat Eurozone HICP excluding tobacco (114,687)
Credit Suisse International
$832,833 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,830
2,386,625 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (14,504)
2,243,462 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (2,492)
2,263,224 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 13,836
2,408,345 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 14,723
4,992,125 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (5,545)
523,033 —      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (1,071)
1,384,025 —      1/12/45 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (7,155)
4,685,103 —      1/12/44 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (14,976)
Goldman Sachs International
1,861,965 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,683
1,436,351 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,299
4,492,363 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,249
1,804,129 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,631
4,069,847 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 8,941
2,230,778 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (13,557)
838,063 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,093)
60,015 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 30
1,787,951 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 895
3,055,994 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (18,572)
135,361 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (823)
360,977 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,194)
616,266 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 557
2,040,525 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 1,845
3,224,475 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 1,614
3,084,814 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 18,858
1,872,368 —      1/12/44 (3.00%) 1 month USD-LIBOR Synthetic TRS Index 3.00% 30 year Fannie Mae pools (1,262)
296,953 —      1/12/40 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 1,830
529,344 —      1/12/41 (4.50%) 1 month USD-LIBOR Synthetic TRS Index 4.50% 30 year Fannie Mae pools 1,638
EUR 23,048,000 —      8/10/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (16,780)
EUR 7,610,000 —      8/11/17 (0.63%) Eurostat Eurozone HICP excluding tobacco (5,540)
EUR 6,402,000 —      8/31/17 (0.27%) Eurostat Eurozone HICP excluding tobacco 50,171
EUR 6,402,000 —      9/1/17 (0.37%) Eurostat Eurozone HICP excluding tobacco 37,742
JPMorgan Chase Bank N.A.
$3,085,022 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 18,860
JPMorgan Securities LLC
2,348,592 —      1/12/44 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,507)
523,033 —      1/12/43 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 1,071
1,384,025 —      1/12/45 (3.50%) 1 month USD-LIBOR Synthetic TRS Index 3.50% 30 year Fannie Mae pools 7,155
7,033,695 —      1/12/44 (4.00%) 1 month USD-LIBOR Synthetic TRS Index 4.00% 30 year Fannie Mae pools 22,483
5,257,561 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 5,840
Total$—     $127,228











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 $11,962 $175,000 5/11/63 300 bp $(7,781)
  CMBX NA BBB-.6 Index BBB-/P 22,719 377,000 5/11/63 300 bp (19,813)
  CMBX NA BBB-.6 Index BBB-/P 46,609 755,000 5/11/63 300 bp (38,567)
  CMBX NA BBB-.6 Index BBB-/P 44,403 779,000 5/11/63 300 bp (43,481)
Credit Suisse International
  CMBX NA A.6 Index A/P 107,498 2,231,000 5/11/63 200 bp 45,228
  CMBX NA A.6 Index A/P 123,006 2,528,000 5/11/63 200 bp 52,447
  CMBX NA BB.7 Index — (110,474) 6,259,000 5/11/63 (500 bp) 1,069,521
  CMBX NA BBB-.6 Index BBB-/P 32,799 259,000 5/11/63 300 bp 3,580
  CMBX NA BBB-.6 Index BBB-/P 30,945 270,000 5/11/63 300 bp 485
  CMBX NA BBB-.6 Index BBB-/P 63,670 555,000 5/11/63 300 bp 1,057
  CMBX NA BBB-.6 Index BBB-/P 1,328,170 12,422,000 5/11/63 300 bp (73,239)
  CMBX NA BBB-.7 Index BBB-/P 283,390 3,834,000 1/17/47 300 bp (54,066)
Goldman Sachs International
  CMBX NA BB.6 Index — (286,335) 2,799,000 5/11/63 (500 bp) 241,354
  CMBX NA BB.7 Index — (62,952) 416,000 1/17/47 (500 bp) 1,831
  CMBX NA A.6 Index A/P 31,046 556,000 5/11/63 200 bp 15,528
  CMBX NA BB.6 Index — (77,729) 532,000 5/11/63 (500 bp) 22,568
  CMBX NA BB.7 Index — (457,674) 2,707,000 1/17/47 (500 bp) (36,119)
  CMBX NA BB.7 Index — (104,860) 640,000 1/17/47 (500 bp) (5,194)
  CMBX NA BBB-.6 Index BBB-/P 334 3,000 5/11/63 300 bp (4)
  CMBX NA BBB-.6 Index BBB-/P 332 4,000 5/11/63 300 bp (120)
  CMBX NA BBB-.6 Index BBB-/P 5,354 62,000 5/11/63 300 bp (1,641)
  CMBX NA BBB-.6 Index BBB-/P 11,157 141,000 5/11/63 300 bp (4,750)
  CMBX NA BBB-.6 Index BBB-/P 12,101 232,000 5/11/63 300 bp (14,072)
  CMBX NA BBB-.6 Index BBB-/P 12,401 250,000 5/11/63 300 bp (15,804)
  CMBX NA BBB-.6 Index BBB-/P 12,188 250,000 5/11/63 300 bp (16,017)
  CMBX NA BBB-.6 Index BBB-/P 19,280 283,000 5/11/63 300 bp (12,647)
  CMBX NA BBB-.6 Index BBB-/P 42,492 349,000 5/11/63 300 bp 3,119
  CMBX NA BBB-.6 Index BBB-/P 208,701 1,760,000 5/11/63 300 bp 10,144
  CMBX NA BBB-.6 Index BBB-/P 207,983 1,760,000 5/11/63 300 bp 9,426
  CMBX NA BBB-.6 Index BBB-/P 102,567 2,120,000 5/11/63 300 bp (136,604)
  CMBX NA BBB-.6 Index BBB-/P 297,066 2,586,000 5/11/63 300 bp 5,322
  CMBX NA BBB-.7 Index — (192,821) 2,371,000 1/17/47 (300 bp) 15,867
  CMBX NA BBB-.7 Index — (9,501) 141,000 1/17/47 (300 bp) 2,910
  CMBX NA BBB-.7 Index — (4,210) 62,000 1/17/47 (300 bp) 1,247
  CMBX NA BBB-.7 Index — (3,657) 53,000 1/17/47 (300 bp) 1,008
  CMBX NA BBB-.7 Index — (312) 3,000 1/17/47 (300 bp) (47)
JPMorgan Securities LLC
  CMBX NA A.6 Index A/P 29,375 551,000 5/11/63 200 bp 13,996
  CMBX NA A.6 Index A/P 30,125 556,000 5/11/63 200 bp 14,606
  CMBX NA A.6 Index A/P 58,305 1,074,000 5/11/63 200 bp 28,329
  CMBX NA BB.7 Index — (52,133) 321,000 1/17/47 (500 bp) (2,144)
  CMBX NA BBB-.6 Index BBB-/P 438 3,000 5/11/63 300 bp 100
  CMBX NA BBB-.6 Index BBB-/P 454 4,000 5/11/63 300 bp 3
  CMBX NA BBB-.6 Index BBB-/P 341 4,000 5/11/63 300 bp (111)
  CMBX NA BBB-.6 Index BBB-/P 611 5,000 5/11/63 300 bp 47
  CMBX NA BBB-.6 Index BBB-/P 611 5,000 5/11/63 300 bp 47
  CMBX NA BBB-.6 Index BBB-/P 796 7,000 5/11/63 300 bp 6
  CMBX NA BBB-.6 Index BBB-/P 432 7,000 5/11/63 300 bp (358)
  CMBX NA BBB-.6 Index BBB-/P 832 13,000 5/11/63 300 bp (634)
  CMBX NA BBB-.6 Index BBB-/P 693 13,000 5/11/63 300 bp (774)
  CMBX NA BBB-.6 Index BBB-/P 662 13,000 5/11/63 300 bp (805)
  CMBX NA BBB-.6 Index BBB-/P 3,048 69,000 5/11/63 300 bp (4,736)
  CMBX NA BBB-.6 Index BBB-/P 15,625 125,000 5/11/63 300 bp 1,523
  CMBX NA BBB-.6 Index BBB-/P 9,736 141,000 5/11/63 300 bp (6,171)
  CMBX NA BBB-.6 Index BBB-/P 16,863 148,000 5/11/63 300 bp 167
  CMBX NA BBB-.6 Index BBB-/P 33,799 286,000 5/11/63 300 bp 1,533
  CMBX NA BBB-.6 Index BBB-/P 36,528 295,000 5/11/63 300 bp 3,247
  CMBX NA BBB-.6 Index BBB-/P 40,805 326,000 5/11/63 300 bp 4,026
  CMBX NA BBB-.6 Index BBB-/P 38,688 330,000 5/11/63 300 bp 1,458
  CMBX NA BBB-.6 Index BBB-/P 40,407 369,000 5/11/63 300 bp (1,222)
  CMBX NA BBB-.6 Index BBB-/P 57,645 400,000 5/11/63 300 bp 12,518
  CMBX NA BBB-.6 Index BBB-/P 34,707 424,000 5/11/63 300 bp (13,127)
  CMBX NA BBB-.6 Index BBB-/P 63,769 438,000 5/11/63 300 bp 14,355
  CMBX NA BBB-.6 Index BBB-/P 69,908 572,000 5/11/63 300 bp 5,377
  CMBX NA BBB-.6 Index BBB-/P 109,707 886,000 5/11/63 300 bp 9,752
  CMBX NA BBB-.6 Index BBB-/P 153,207 1,035,000 5/11/63 300 bp 36,441
  CMBX NA BBB-.6 Index BBB-/P 153,207 1,035,000 5/11/63 300 bp 36,441
  CMBX NA BBB-.6 Index BBB-/P 356,703 2,954,000 5/11/63 300 bp 23,442
  CMBX NA BBB-.6 Index BBB-/P 356,703 2,954,000 5/11/63 300 bp 23,442
  CMBX NA BBB-.7 Index — (146,538) 1,591,000 1/17/47 (300 bp) (6,506)
  CMBX NA BBB-.7 Index — (52,911) 636,000 1/17/47 (300 bp) 3,068
  CMBX NA BBB-.7 Index — (24,838) 314,000 1/17/47 (300 bp) 2,799
  CMBX NA BBB-.7 Index — (377) 7,000 1/17/47 (300 bp) 240
Total$3,185,581$1,223,051
*   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 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 $668,322 $9,077,000 6/20/22 500 bp $(77,184)
Total$668,322$(77,184)
*   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 Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications.  










Key to holding's currency abbreviations
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CNH Chinese Yuan (Offshore)
CZK Czech Koruna
EUR Euro
GBP British Pound
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
TRY Turkish Lira
USD / $ United States Dollar
ZAR South African Rand
Key to holding's abbreviations
BKNT Bank Note
bp Basis Points
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
GMTN Global Medium Term Notes
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
OTC Over-the-counter
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.
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 $477,816,841.
(b) The aggregate identified cost on a tax basis is $716,540,055, resulting in gross unrealized appreciation and depreciation of $2,686,549 and $18,817,841, respectively, or net unrealized depreciation of $16,131,292.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(AFF) Affiliated company. For investments in Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
             
  Name of affiliate Fair value as of 10/31/16 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 7/31/17
  Short-term investments          
  Putnam Short Term Investment Fund**  $19,492,391  $365,865,609  $357,554,102  $163,235  $27,803,898
  Total Short-term investments  $19,492,391  $365,865,609  $357,554,102  $163,235  $27,803,898
** 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.
At the close of the reporting period, the fund maintained liquid assets totaling $99,176,062 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.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.
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 for hedging currency exposures 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, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.
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, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.
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, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $608,938 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 $2,611,736 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,645,678 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*:
    Energy $266,175 $— $—
Total common stocks 266,175 — —
Asset-backed securities — 1,123,667 —
Corporate bonds and notes — 133,077,643 —
Foreign government and agency bonds and notes — 24,313,861 —
Mortgage-backed securities — 210,847,189 —
Purchased options outstanding — 397,406 —
Purchased swap options outstanding — 2,540,067 —
Senior loans — 42,485,269 —
U.S. government agency mortgage obligations — 221,457,730 —
U.S. treasury obligations — 714,835 —
Short-term investments 28,333,898 34,851,023 —
Totals by level $28,600,073 $671,808,690 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $399,933 $—
Futures contracts 22,155 — —
Written options outstanding — (254,762) —
Written swap options outstanding — (2,348,615) —
Forward premium swap option contracts — 208,419 —
TBA sale commitments — (140,679,449) —
Interest rate swap contracts — (1,049,095) —
Total return swap contracts — 127,228 —
Credit default contracts — (2,708,036) —
Totals by level $22,155 $(146,304,377) $—
* 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 $2,899,725 $5,607,761
Foreign exchange contracts 3,590,536 3,050,899
Interest rate contracts 6,505,806 7,002,707
Total $12,996,067 $15,661,367


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$69,800,000
Purchased currency option contracts (contract amount)$18,700,000
Purchased swap option contracts (contract amount)$853,500,000
Written TBA commitment option contracts (contract amount)$139,600,000
Written currency option contracts (contract amount)$18,700,000
Written swap option contracts (contract amount)$839,800,000
Futures contracts (number of contracts)90
Forward currency contracts (contract amount)$320,100,000
Centrally cleared interest rate swap contracts (notional)$927,400,000
OTC total return swap contracts (notional)$237,100,000
OTC credit default contracts (notional)$58,800,000
Centrally cleared credit default contracts (notional)$6,100,000
   
  The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(AFF)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
   
      Bank of America N.A. Barclays Bank PLC Barclays Capital, Inc. (clearing broker) Citibank, N.A. Credit Suisse International Credit Suisse Securities (USA), LLC (clearing broker) Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. JPMorgan Securities LLC Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                       
  Assets:                                    
  Centrally cleared interest rate swap contracts§   $—  $—  $879,820  $—  $—  $17,576  $—  $—  $—  $—  $—  $—  $—  $—  $—    $897,396 
  OTC Total return swap contracts*#   —  184,355  —  51,545  30,389  —  130,983  —  18,860  36,549  —  —  —  —  —    452,681 
  OTC Credit default contracts*#   —  —  —  —  1,179,995  —  1,445,476  —  —  274,254  —  —  —  —  —    2,899,725 
  Centrally cleared credit default contracts§   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  —  —  —  —  —    — 
  Forward currency contracts#   462,858  200,287  —  318,256  —  —  453,274  213,644  348,510  —  —  445,122  650,812  274,078  28,897    3,395,738 
  Forward premium swap option contracts#   283,739  13,188  —  58,207  —  —  9,776  —  223,313  —  —  —  —  —  —    588,223 
  Purchased swap options#   43  18,273  —  1,398,552  266,438  —  691,811  —  86,760  —  —  78,190  —  —  —    2,540,067 
  Purchased options#   145,658  —  —  —  —  —  49,140  —  202,608  —  —  —  —  —  —    397,406 
                                       
  Total Assets   $892,298  $416,103  $879,820  $1,826,560  $1,476,822  $17,576  $2,780,460  $213,644  $880,051  $310,803  $—  $523,312  $650,812  $274,078  $28,897    $11,171,236 
                                       
  Liabilities:                                    
  Centrally cleared interest rate swap contracts§   $—  $—  $774,250  $—  $—  $5,114  $—  $—  $—  $—  $—  $—  $—  $—  $—    $779,364 
  OTC Total return swap contracts*#   1,638  92,057  —  114,687  45,743  —  63,821  —  —  7,507  —  —  —  —  —    325,453 
  OTC Credit default contracts*#   235,335  —  —  —  1,993,986  —  1,121,122  —  —  1,511,812  —  —  —  —  —    4,862,255 
  Centrally cleared credit default contracts§   —  —  5,494  —  —  —  —  —  —  —  —  —  —  —  —    5,494 
  Futures contracts§   —  —  —  —  —  —  —  —  —  —  25,952  —  —  —  —    25,952 
  Forward currency contracts#   466,229  34,700  —  209,364  344,264  —  638,799  40,302  307,204  —  —  199,241  463,508  225,172  67,022    2,995,805 
  Forward premium swap option contracts#   155,597  71,343  —  23,717  —  —  4,149  —  124,998  —  —  —  —  —  —    379,804 
  Written swap options#   87  9,956  —  1,010,811  201,743  —  576,391  —  492,144  —  —  57,483  —  —  —    2,348,615 
  Written options#   45,630  —  —  —  —  —  9,464  —  199,668  —  —  —  —  —  —    254,762 
                                       
  Total Liabilities   $904,516  $208,056  $779,744  $1,358,579  $2,585,736  $5,114  $2,413,746  $40,302  $1,124,014  $1,519,319  $25,952  $256,724  $463,508  $225,172  $67,022    $11,977,504 
                                       
  Total Financial and Derivative Net Assets   $(12,218) $208,047  $100,076  $467,981  $(1,108,914) $12,462  $366,714  $173,342  $(243,963) $(1,208,516) $(25,952) $266,588  $187,304  $48,906  $(38,125)   $(806,268)
  Total collateral received (pledged)##†   $(12,218) $204,184  $—  $410,000  $(1,011,400) $—  $264,683  $123,398  $(243,963) $(1,208,516) $—  $263,005  $120,000  $—  $—     
  Net amount   $—  $3,863  $100,076  $57,981  $(97,514) $12,462  $102,031  $49,944  $—  $—  $(25,952) $3,583  $67,304  $48,906  $(38,125)    
                                       
* 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