N-Q 1 a_dynamicriskallocation.htm PUTNAM FUNDS TRUST a_dynamicriskallocation.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: May 31, 2018
Date of reporting period: August 31, 2017



Item 1. Schedule of Investments:













Putnam Dynamic Risk Allocation Fund

The fund's portfolio
8/31/17 (Unaudited)
COMMON STOCKS (44.8%)(a)
Shares Value
Banking (3.4%)
Agricultural Bank of China, Ltd. (China) 326,000 $153,843
Banco Santander (Brasil) S.A. (Units) (Brazil) 2,900 25,832
Banco Santander SA (Spain) 16,651 108,209
Bank Negara Indonesia Persero Tbk PT (Indonesia) 9,000 4,963
Bank of China, Ltd. (China) 188,000 99,421
Bank of Communications Co., Ltd. (China) 156,000 119,533
BNP Paribas SA (France) 2,412 183,509
China Construction Bank Corp. (China) 310,000 271,940
Chongqing Rural Commercial Bank Co., Ltd. (China) 91,000 63,636
Credit Agricole SA (France) 6,038 106,453
DNB ASA (Norway) 5,405 105,551
Industrial & Commercial Bank of China, Ltd. (China) 330,000 248,207
Industrial Bank of Korea (South Korea) 19,931 265,084
Itau Unibanco Holding SA ADR (Preference) (Brazil) 6,176 78,868
Japan Post Bank Co., Ltd. (Japan) 900 11,480
JPMorgan Chase & Co. 11,430 1,038,873
Mitsubishi UFJ Financial Group, Inc. (Japan) 41,500 252,925
PNC Financial Services Group, Inc. (The) 5,711 716,217
Popular, Inc. (Puerto Rico) 1,473 58,787
Resona Holdings, Inc. (Japan) 36,000 180,106
Shinhan Financial Group Co., Ltd. (South Korea) 1,485 68,405
Societe Generale SA (France) 3,323 186,044
Sumitomo Mitsui Financial Group, Inc. (Japan) 6,000 223,562
Sumitomo Mitsui Trust Holdings, Inc. (Japan) 1,400 48,569
SunTrust Banks, Inc. 4,322 238,142
Turkiye Garanti Bankasi AS (Turkey) 30,027 93,378
Turkiye Halk Bankasi AS (Turkey) 6,051 25,966
Turkiye Is Bankasi Class C (Turkey) 40,552 87,947
U.S. Bancorp 5,465 280,081
5,345,531
Basic materials (2.0%)
Anglo American PLC (United Kingdom)(NON) 3,305 59,939
Anhui Conch Cement Co., Ltd. (China) 23,000 85,878
Asahi Kasei Corp. (Japan) 8,000 96,031
BASF SE (Germany) 2,904 281,302
China Lesso Group Holdings, Ltd. (China) 83,000 59,634
China Railway Construction Corp., Ltd. (China) 75,000 98,704
CIMIC Group, Ltd. (Australia) 4,724 158,190
Covestro AG (Germany) 754 59,251
Evonik Industries AG (Germany) 5,261 170,540
Fortescue Metals Group, Ltd. (Australia) 12,889 61,687
Hitachi Chemical Co., Ltd. (Japan) 1,800 48,858
HOCHTIEF AG (Germany) 1,014 178,714
Kajima Corp. (Japan) 4,000 36,766
Kuraray Co., Ltd. (Japan) 3,400 64,695
Lotte Chemical Corp. (South Korea) 373 132,023
Mitsubishi Chemical Holdings Corp. (Japan) 10,300 96,108
Mitsubishi Gas Chemical Co., Inc. (Japan) 1,900 47,279
Mitsubishi Materials Corp. (Japan) 500 17,970
PTT Global Chemical PCL (Thailand) 65,900 151,825
Rio Tinto PLC (United Kingdom) 1,532 74,219
Sappi, Ltd. (South Africa) 12,351 82,981
Sherwin-Williams Co. (The) 1,583 537,064
Shin-Etsu Chemical Co., Ltd. (Japan) 500 44,310
Siam Cement PCL (The) (Thailand) 9,700 145,981
Sinopec Shanghai Petrochemical Co., Ltd. (China) 164,000 102,527
Sonoco Products Co. 1,405 67,805
Taisei Corp. (Japan) 8,000 80,387
UPM-Kymmene OYJ (Finland) 3,480 90,561
voestalpine AG (Austria) 878 45,561
3,176,790
Capital goods (2.8%)
ACS Actividades de Construccion y Servicios SA (Spain) 4,235 160,120
Avery Dennison Corp. 2,056 193,799
Berry Plastics Group, Inc.(NON) 1,721 96,789
BWX Technologies, Inc. 1,897 103,804
China Railway Group, Ltd. (China) 127,000 101,929
General Dynamics Corp. 2,159 434,715
HEICO Corp. 451 38,682
Hitachi, Ltd. (Japan) 19,000 131,086
Honeywell International, Inc. 4,891 676,279
Huntington Ingalls Industries, Inc. 310 66,328
JTEKT Corp (Japan) 2,600 34,898
L3 Technologies, Inc. 1,544 280,205
Northrop Grumman Corp. 2,462 670,181
Raytheon Co. 4,257 774,817
Republic Services, Inc. 2,477 161,599
Sandvik AB (Sweden) 6,466 106,848
United Tractors Tbk PT (Indonesia) 45,600 103,631
Waste Management, Inc. 4,193 323,322
4,459,032
Communication services (1.5%)
AT&T, Inc. 6,340 237,496
China Mobile, Ltd. (China) 3,000 31,809
Equinix, Inc.(R) 223 104,455
Eutelsat Communications SA (France) 610 17,730
I-CABLE Communications, Ltd. (Hong Kong)(NON) 9,586 356
Juniper Networks, Inc. 17,353 481,199
KDDI Corp. (Japan) 2,500 67,553
LG Uplus Corp. (South Korea) 10,572 129,548
Nippon Telegraph & Telephone Corp. (Japan) 4,500 224,156
PCCW, Ltd. (Hong Kong) 7,000 3,905
SK Telecom Co., Ltd. (South Korea) 592 133,479
Sky PLC (United Kingdom) 14,831 183,341
Telekomunikasi Indonesia Persero Tbk PT (Indonesia) 465,200 163,848
Telkom SA SOC, Ltd. (South Africa) 19,674 94,916
Telstra Corp., Ltd. (Australia) 57,104 166,736
Verizon Communications, Inc. 8,825 423,335
2,463,862
Conglomerates (0.7%)
Bouygues SA (France) 4,121 186,888
Danaher Corp. 8,189 683,126
Marubeni Corp. (Japan) 28,000 182,563
1,052,577
Consumer cyclicals (6.0%)
Adecco Group AG (Switzerland) 2,498 181,043
Amazon.com, Inc.(NON) 35 34,321
Aramark 1,272 51,758
Aristocrat Leisure, Ltd. (Australia) 5,337 90,274
Automatic Data Processing, Inc. 5,340 568,550
Berkeley Group Holdings PLC (The) (United Kingdom) 131 6,337
Carnival PLC (United Kingdom) 2,892 201,006
CBS Corp. Class B (non-voting shares) 9,732 623,432
CDK Global, Inc. 2,930 188,985
China Dongxiang Group Co., Ltd. (China) 105,000 18,786
Dai Nippon Printing Co., Ltd. (Japan) 6,000 70,994
Dongfeng Motor Group Co., Ltd. (China) 66,000 86,012
Ecolab, Inc. 1,151 153,428
Electrolux AB Ser. B (Sweden) 5,092 185,140
Euronet Worldwide, Inc.(NON) 940 92,374
Fiat Chrysler Automobiles NV (Italy)(NON) 9,457 142,415
Ford Otomotiv Sanayi AS (Turkey) 5,120 70,479
GEDI Gruppo Editoriale SpA (Italy)(NON) 340 291
Genting Bhd (Malaysia) 46,500 105,536
Great Wall Motor Co., Ltd. (China) 8,500 10,675
Haier Electronics Group Co., Ltd. (China) 7,000 18,721
Harvey Norman Holdings, Ltd. (Australia)(S) 23,161 75,375
Hasbro, Inc. 1,180 115,935
Home Depot, Inc. (The) 669 100,263
Host Hotels & Resorts, Inc.(R) 9,587 173,716
Industrivarden AB Class A (Sweden) 7,163 179,036
ISS A/S (Denmark) 1,380 53,699
Itausa - Investimentos Itau SA (Preference) (Brazil) 2,000 6,481
John Wiley & Sons, Inc. Class A 358 19,314
Kimberly-Clark Corp. 5,276 650,478
Kimberly-Clark de Mexico SAB de CV Class A (Mexico) 13,800 27,123
Kingfisher PLC (United Kingdom) 36,714 141,902
KOC Holding AS (Turkey) 17,692 92,415
Lagardere SCA (France) 795 25,544
Lear Corp. 1,190 177,953
Lowe's Cos., Inc. 7,219 533,412
Marks & Spencer Group PLC (United Kingdom) 37,392 154,532
Marriott International, Inc./MD Class A 311 32,213
Mazda Motor Corp. (Japan) 1,600 23,607
Namco Bandai Holdings, Inc. (Japan) 1,100 36,929
Naspers, Ltd. Class N (South Africa) 80 18,086
News Corp. Class B 1,480 20,276
NVR, Inc.(NON) 89 242,156
Peugeot SA (France) 7,726 163,116
Pou Chen Corp. (Taiwan) 53,000 68,805
President Chain Store Corp. (Taiwan) 6,000 50,312
Priceline Group, Inc. (The)(NON) 84 155,575
Qualicorp SA (Brazil) 14,439 159,855
Randstad Holding NV (Netherlands) 838 48,987
Renault SA (France) 820 72,578
Ross Stores, Inc. 6,156 359,818
RTL Group SA (Belgium) 698 52,972
Scotts Miracle-Gro Co. (The) Class A 761 72,744
ServiceMaster Global Holdings, Inc.(NON) 3,539 166,758
Smiles SA (Brazil) 7,300 161,197
Suzuki Motor Corp. (Japan) 200 10,076
TABCORP Holdings, Ltd. (Australia) 29,949 98,159
Taylor Wimpey PLC (United Kingdom) 77,018 199,682
TJX Cos., Inc. (The) 7,994 577,966
Toppan Printing Co., Ltd. (Japan) 8,000 80,232
TUI AG (Germany) 1,454 24,593
Twenty-First Century Fox, Inc. 3,583 98,855
Valeo SA (France) 1,421 95,036
Vantiv, Inc. Class A(NON) 3,614 255,474
Walt Disney Co. (The) 6,083 615,600
World Fuel Services Corp. 1,525 52,674
Yue Yuen Industrial Holdings, Ltd. (Hong Kong) 8,500 36,841
9,478,907
Consumer finance (0.1%)
Chailease Holding Co., Ltd. (Taiwan) 33,000 90,218
90,218
Consumer staples (3.9%)
Altria Group, Inc. 11,813 748,944
Associated British Foods PLC (United Kingdom) 1,673 71,867
Beiersdorf AG (Germany) 201 21,459
Coca-Cola Amatil, Ltd. (Australia) 22,271 142,644
Colgate-Palmolive Co. 268 19,200
ConAgra Foods, Inc. 3,493 113,383
CVS Health Corp. 5,930 458,626
Distribuidora Internacional de Alimentacion SA (Spain) 4,628 29,288
Graham Holdings Co. Class B 60 35,232
Gruma SAB de CV Class B (Mexico) 9,739 142,850
Hanwha Corp. (South Korea) 2,346 102,756
Heineken Holding NV (Netherlands) 1,945 192,041
Hershey Co. (The) 2,708 284,123
Indofood Sukses Makmur Tbk PT (Indonesia) 149,400 93,973
ITOCHU Corp. (Japan) 13,100 214,426
J Sainsbury PLC (United Kingdom) 55,728 169,778
J.M. Smucker Co. (The) 2,505 262,424
Kao Corp. (Japan) 3,700 231,204
Liberty Expedia Holdings, Inc. Class A(NON) 489 26,743
McDonald's Corp. 5,591 894,392
Nestle SA (Switzerland) 1,698 144,045
NH Foods, Ltd. (Japan) 1,000 29,440
PepsiCo, Inc. 485 56,129
Pinnacle Foods, Inc. 2,888 171,287
Pool Corp. 586 58,418
Procter & Gamble Co. (The) 2,414 222,740
Swedish Match AB (Sweden) 1,628 58,045
Sysco Corp. 6,507 342,724
Tate & Lyle PLC (United Kingdom) 19,847 175,415
Toyota Tsusho Corp. (Japan) 3,700 114,215
Ulta Beauty, Inc.(NON) 306 67,629
Unilever NV ADR (Netherlands) 945 56,260
US Foods Holding Corp.(NON) 757 20,780
Walgreens Boots Alliance, Inc. 1,086 88,509
WH Group, Ltd. (Hong Kong) 122,000 127,565
WM Morrison Supermarkets PLC (United Kingdom) 56,432 179,512
6,168,066
Energy (1.6%)
Baker Hughes a GE Co. 7,593 257,403
Caltex Australia, Ltd. (Australia) 1,545 41,075
China Shenhua Energy Co., Ltd. (China) 35,500 91,627
Exxon Mobil Corp. 8,877 677,581
Halcon Resources Corp.(NON) 3,109 19,245
Marathon Petroleum Corp. 6,778 355,506
Nine Point Energy 448 6,164
Phillips 66 2,042 171,140
PTT PCL (Foreign depositary shares) (Thailand) 6,500 78,106
Repsol SA (Spain) 12,209 209,729
Royal Dutch Shell PLC Class B (United Kingdom) 3,768 105,268
SandRidge Energy, Inc.(NON) 1,296 22,317
SK Innovation Co., Ltd. (South Korea) 678 113,458
Tervita Corp. Class A (Canada) 63 441
Total SA (France) 6,196 320,452
Vestas Wind Systems A/S (Denmark) 878 79,967
2,549,479
Financial (0.9%)
3i Group PLC (United Kingdom) 22,775 285,521
Broadridge Financial Solutions, Inc. 798 62,348
CME Group, Inc. 3,169 398,660
CoreLogic, Inc.(NON) 1,988 93,376
DGB Financial Group, Inc. (South Korea) 4,640 45,368
HSBC Holdings PLC (United Kingdom) 4,815 46,728
Intercontinental Exchange, Inc. 772 49,925
KB Financial Group, Inc. (South Korea) 228 11,204
Mizuho Financial Group, Inc. (Japan) 126,200 217,561
ORIX Corp. (Japan) 12,000 192,709
1,403,400
Health care (4.8%)
Alfresa Holdings Corp. (Japan) 600 11,379
AstraZeneca PLC (United Kingdom) 436 25,602
Baxter International, Inc. 1,178 73,083
Bayer AG (Germany) 2,074 265,417
Bio-Rad Laboratories, Inc. Class A(NON) 529 115,227
Charles River Laboratories International, Inc.(NON) 606 65,933
DaVita Inc.(NON) 295 17,275
GlaxoSmithKline PLC (United Kingdom) 13,949 276,604
Humana, Inc. 2,858 736,278
Intuitive Surgical, Inc.(NON) 34 34,159
Johnson & Johnson 9,608 1,271,811
Medipal Holdings Corp. (Japan) 3,100 54,761
Merck & Co., Inc. 5,625 359,213
Mitsubishi Tanabe Pharma Corp. (Japan) 4,200 103,454
Novartis AG (Switzerland) 3,580 302,020
Omega Healthcare Investors, Inc.(R) 3,469 110,557
Pfizer, Inc. 28,307 960,173
Richter Gedeon Nyrt (Hungary) 5,389 140,236
Roche Holding AG (Switzerland) 1,480 375,807
Sanofi (France) 3,282 319,050
Shionogi & Co., Ltd. (Japan) 2,900 153,084
Taro Pharmaceutical Industries, Ltd. (Israel)(NON) 81 8,492
Thermo Fisher Scientific, Inc. 321 60,072
UnitedHealth Group, Inc. 4,008 797,191
Ventas, Inc.(R) 2,388 163,435
WellCare Health Plans, Inc.(NON) 980 171,186
Zoetis, Inc. 9,007 564,739
7,536,238
Insurance (2.2%)
Aflac, Inc. 5,764 475,818
Allianz SE (Germany) 1,435 307,066
Allstate Corp. (The) 5,304 480,012
Aspen Insurance Holdings, Ltd. 907 40,996
Assured Guaranty, Ltd. 1,332 56,663
AXA SA (France) 7,565 219,515
Berkshire Hathaway, Inc. Class B(NON) 2,342 424,277
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea) 427 17,485
Mapfre SA (Spain) 13,633 48,250
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 927 191,355
NN Group NV (Netherlands) 4,403 174,727
Old Mutual PLC (South Africa) 50,278 134,905
People's Insurance Co. Group of China, Ltd. (China) 193,000 91,069
Reinsurance Group of America, Inc. 866 116,434
Swiss Re AG (Switzerland) 2,238 202,691
Travelers Cos., Inc. (The) 2,332 282,592
Voya Financial, Inc. 4,709 180,025
3,443,880
Investment banking/Brokerage (0.1%)
China Cinda Asset Management Co., Ltd. (China) 242,000 90,079
China Huarong Asset Management Co., Ltd. (China) 38,000 16,228
Daiwa Securities Group, Inc. (Japan) 4,000 21,943
Nomura Holdings, Inc. (Japan) 21,600 120,705
248,955
Real estate (5.3%)
AGNC Investment Corp.(R) 13,606 293,073
Agree Realty Corp.(R) 940 47,113
Alexandria Real Estate Equities, Inc.(R) 772 93,651
American Homes 4 Rent(R) 4,317 95,665
Annaly Capital Management, Inc.(R) 19,758 246,975
Apple Hospitality REIT, Inc.(R) 2,438 44,323
AvalonBay Communities, Inc.(R) 1,354 254,186
Barratt Developments PLC (United Kingdom) 14,257 115,131
Boston Properties, Inc.(R) 1,598 192,719
Brandywine Realty Trust(R) 2,420 41,576
Camden Property Trust(R) 1,668 149,253
Cheung Kong Property Holdings, Ltd. (Hong Kong) 22,000 193,688
Chimera Investment Corp.(R) 6,280 119,760
CIFI Holdings Group Co., Ltd. (China) 54,000 30,384
Corporate Office Properties Trust(R) 2,314 77,195
Digital Realty Trust, Inc.(R) 1,805 213,604
DuPont Fabros Technology, Inc.(R) 2,283 146,934
Easterly Government Properties, Inc.(R) 1,243 24,935
EastGroup Properties, Inc.(R) 1,003 89,127
Empire State Realty Trust, Inc. Class A(R) 1,834 37,322
EPR Properties(R) 2,750 191,565
Equity Commonwealth(NON)(R) 1,396 43,192
Equity Lifestyle Properties, Inc.(R) 1,013 90,309
Equity Residential Trust(R) 8,865 595,284
Essex Property Trust, Inc.(R) 791 210,382
Extra Space Storage, Inc.(R) 1,305 101,307
Forest City Realty Trust, Inc. Class A(R) 2,088 50,028
Four Corners Property Trust, Inc.(R) 2,398 60,933
Gaming and Leisure Properties, Inc.(R) 4,040 158,328
Getty Realty Corp.(R) 823 22,682
GGP, Inc.(R) 6,478 134,419
Guangzhou R&F Properties Co., Ltd. (China) 76,000 177,725
HCP, Inc.(R) 5,218 155,549
Hersha Hospitality Trust(R) 1,700 31,518
Highwoods Properties, Inc.(R) 3,741 195,393
JBG SMITH Properties(NON)(R) 956 31,290
Kerry Properties, Ltd. (Hong Kong) 17,000 67,523
Kimco Realty Corp.(R) 5,413 106,203
Lamar Advertising Co. Class A(R) 1,770 117,811
Liberty Property Trust(R) 4,545 193,617
Macerich Co. (The)(R) 1,806 95,303
MFA Financial, Inc.(R) 7,978 70,047
Mid-America Apartment Communities, Inc.(R) 1,316 140,101
Monmouth Real Estate Investment Corp.(R) 1,421 23,091
MRV Engenharia e Participacoes SA (Brazil) 14,907 63,883
New World Development Co., Ltd. (Hong Kong) 72,000 98,744
Nomura Real Estate Holdings, Inc. (Japan) 1,600 33,182
Park Hotels & Resorts, Inc.(R) 1,259 33,603
Persimmon PLC (United Kingdom) 5,708 196,261
Prologis, Inc.(R) 4,993 316,356
PS Business Parks, Inc.(R) 562 75,932
Public Storage(R) 1,331 273,308
Quality Care Properties, Inc.(NON)(R) 2,922 40,090
Realty Income Corp.(R) 413 23,772
Retail Properties of America, Inc. Class A(R) 6,030 80,380
Simon Property Group, Inc.(R) 2,409 377,852
Spirit Realty Capital, Inc.(R)(S) 12,071 105,018
Starwood Property Trust, Inc.(R) 5,799 128,796
Summit Hotel Properties, Inc.(R) 3,397 50,411
Sun Hung Kai Properties, Ltd. (Hong Kong) 4,000 66,792
Tanger Factory Outlet Centers, Inc.(R)(S) 2,703 63,250
Two Harbors Investment Corp. ((R)) 7,786 79,651
Vornado Realty Trust(R) 1,912 142,425
Weingarten Realty Investors(R) 2,679 85,835
Welltower, Inc.(R) 3,402 249,094
Wharf Holdings, Ltd. (The) (Hong Kong) 5,000 47,760
Wheelock and Co., Ltd. (Hong Kong) 16,000 119,726
WP Carey, Inc.(R) 1,839 126,615
8,448,950
Technology (6.5%)
Adobe Systems, Inc.(NON) 2,240 347,558
Alibaba Group Holding, Ltd. ADR (China)(NON) 921 158,173
Alphabet, Inc. Class A(NON) 486 464,247
Amadeus IT Holding SA Class A (Spain) 3,813 236,356
Amdocs, Ltd. 1,328 86,041
Apple, Inc. 5,495 901,180
Applied Materials, Inc. 16,156 728,959
AtoS SE (France) 1,485 229,109
AU Optronics Corp. (Taiwan) 22,000 9,030
Changyou.com, Ltd. ADR (China)(NON) 900 36,018
Cisco Systems, Inc. 559 18,005
CommerceHub, Inc. Ser. C(NON) 2,210 46,918
Corning, Inc. 4,656 133,907
Dell Technologies, Inc. Class V(NON) 1,429 107,075
eBay, Inc.(NON) 19,599 708,112
F5 Networks, Inc.(NON) 3,419 408,160
Fidelity National Information Services, Inc. 4,564 424,087
Fiserv, Inc.(NON) 2,313 286,141
Fujitsu, Ltd. (Japan) 1,000 7,468
Genpact, Ltd. 2,524 71,808
Harris Corp. 2,432 298,893
Hon Hai Precision Industry Co., Ltd. (Taiwan) 71,000 278,316
Hoya Corp. (Japan) 1,300 74,888
Intuit, Inc. 5,160 729,882
Microsoft Corp. 4,498 336,315
Mixi, Inc. (Japan) 300 16,060
NetApp, Inc. 6,360 245,878
Otsuka Corp. (Japan) 700 46,416
Paychex, Inc. 4,340 247,510
Pegatron Corp. (Taiwan) 29,000 91,718
Radiant Opto-Electronics Corp. (Taiwan) 37,000 93,658
Samsung Electronics Co., Ltd. (South Korea) 360 743,384
SK Hynix, Inc. (South Korea) 1,772 109,028
Synopsys, Inc.(NON) 2,662 214,078
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) 4,900 181,153
Tencent Holdings, Ltd. (China) 6,000 254,949
Texas Instruments, Inc. 9,245 765,671
Tripod Technology Corp. (Taiwan) 13,000 48,922
YY, Inc. ADR (China)(NON) 1,435 107,223
10,292,294
Transportation (1.1%)
Aeroflot - Russian Airlines PJSC (Russia) 5,900 19,485
AirAsia Bhd (Malaysia) 70,900 55,273
ANA Holdings, Inc. (Japan) 30,000 111,455
Central Japan Railway Co. (Japan) 1,100 186,837
Deutsche Lufthansa AG (Germany) 619 15,526
Deutsche Post AG (Germany) 5,880 243,910
easyJet PLC (United Kingdom) 1,227 18,976
International Consolidated Airlines Group SA (Spain) 4,254 33,662
Japan Airlines Co., Ltd. (Japan) 600 20,642
Landstar System, Inc. 819 76,454
MISC Bhd (Malaysia) 33,100 57,820
Norfolk Southern Corp. 5,329 642,251
Qantas Airways, Ltd. (Australia) 26,564 121,299
Royal Mail PLC (United Kingdom) 19,285 98,303
Yangzijiang Shipbuilding Holdings, Ltd. (China) 29,500 32,592
1,734,485
Utilities and power (1.9%)
American Electric Power Co., Inc. 3,854 283,770
Centrica PLC (United Kingdom) 67,022 173,246
Cia de Saneamento Basico do Estado de Sao Paulo (Brazil) 14,255 145,591
Cia de Transmissao de Energia Eletrica Paulista (Preference) (Brazil) 3,900 87,655
Edison International 4,238 339,803
Endesa SA (Spain) 3,724 89,840
Enel SpA (Italy) 45,092 272,962
ENGIE SA (France) 1,080 18,025
ENI SpA (Italy) 1,118 17,528
Gas Natural SDG SA (Spain) 375 9,116
Great Plains Energy, Inc. 10,767 330,439
Iberdrola SA (Spain) 3,828 31,266
Innogy SE (Germany) 895 39,448
Kinder Morgan, Inc. 21,769 420,795
PG&E Corp. 6,014 423,265
Southern Co. (The) 2,414 116,500
Tenaga Nasional Bhd (Malaysia) 45,800 153,189
Tohoku Electric Power Co., Inc. (Japan) 3,600 49,308
3,001,746
Total common stocks (cost $61,847,887) $70,894,410

CORPORATE BONDS AND NOTES (23.1%)(a)
Principal amount Value
Basic materials (2.3%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $35,000 $36,138
Agrium, Inc. sr. unsec. unsub. notes 5.25%, 1/15/45 (Canada) 10,000 11,548
AK Steel Corp. company guaranty sr. unsec. notes 6.375%, 10/15/25 25,000 24,688
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 45,000 48,713
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 10,000 10,175
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 15,000 17,231
ArcelorMittal SA sr. unsec. unsub. notes 7.50%, 10/15/39 (France) 25,000 29,563
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 55,000 58,300
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 65,000 68,088
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 50,000 60,625
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 75,000 78,188
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 70,000 73,325
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 35,000 39,988
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 90,000 94,050
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 15,000 15,656
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 150,000 153,188
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 47,000 50,995
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 25,000 21,688
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 50,000 52,125
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 45,000 49,613
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 5,000 5,306
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 80,000 78,400
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 30,000 31,125
CSTN Merger Sub, Inc. 144A company guaranty sr. notes 6.75%, 8/15/24 40,000 39,350
Dow Chemical Co. (The) sr. unsec. unsub. bonds 3.50%, 10/1/24 52,000 54,212
E. I. du Pont de Nemours & Co. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.53%, 1.841%, 5/1/20 50,000 50,441
Eastman Chemical Co. sr. unsec. notes 3.80%, 3/15/25 26,000 26,891
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.00%, 2/15/21 (Canada) 90,000 92,700
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 55,000 57,200
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 55,000 59,606
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55%, 3/1/22 (Indonesia) 5,000 4,919
Freeport-McMoRan, Inc. company guaranty sr. unsec. sub. notes 6.75%, 2/1/22 (Indonesia) 30,000 31,425
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 75,000 84,375
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 81,000 86,014
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 79,000 80,636
Grinding Media, Inc./Moly-Cop Altasteel, Ltd. 144A sr. sub. notes 7.375%, 12/15/23 10,000 10,750
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 35,000 38,588
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4.875%, 11/15/20 67,000 70,267
INVISTA Finance, LLC 144A company guaranty sr. notes 4.25%, 10/15/19 17,000 17,361
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 20,000 22,625
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 60,000 69,150
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 25,000 26,875
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 65,000 66,544
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 35,000 37,275
Mercer International, Inc. 144A sr. unsec. notes 6.50%, 2/1/24 (Canada) 55,000 57,338
Methanex Corp. sr. unsec. unsub. notes 5.65%, 12/1/44 (Canada) 22,000 21,688
Monsanto Company sr. unsec. sub. notes 5.50%, 8/15/25 45,000 51,720
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 20,000 20,750
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 15,000 15,544
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 65,000 69,862
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 26,000 25,935
NOVA Chemicals Corp. 144A sr. unsec. notes 4.875%, 6/1/24 (Canada) 49,000 49,000
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 85,000 88,613
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 5,000 5,250
Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 5,000 5,663
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 55,000 58,506
Platform Specialty Products Corp. 144A sr. unsec. notes 10.375%, 5/1/21 5,000 5,481
Platform Specialty Products Corp. 144A sr. unsec. notes 6.50%, 2/1/22 15,000 15,563
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6.875%, 7/15/33 40,000 46,800
Sealed Air Corp. 144A sr. unsec. bonds 5.50%, 9/15/25 15,000 16,313
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 22,000 22,229
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 40,000 48,000
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 30,000 31,725
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 8/15/22 65,000 67,275
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 30,000 32,213
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 18,000 18,630
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 5,000 5,238
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 20,000 20,139
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) 10,000 11,525
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 55,000 55,550
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 30,000 30,638
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/22 55,000 57,613
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 85,000 91,800
United States Steel Corp. sr. unsec. notes 6.875%, 8/15/25 20,000 20,350
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 35,000 36,400
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 45,000 46,125
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 35,000 37,188
Venator Finance SARL/Venator Materials Corp. 144A sr. unsec. notes 5.75%, 7/15/25 (Luxembourg) 30,000 30,750
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 30,000 29,250
Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26 99,000 99,960
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 45,000 64,403
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 22,000 31,185
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 75,000 81,375
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 30,000 33,600
3,693,107
Capital goods (1.3%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 85,000 88,400
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 5.00%, 10/1/24 40,000 41,100
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 5,000 5,494
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 35,000 36,575
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 110,000 113,300
Berry Plastics Corp. company guaranty notes 5.50%, 5/15/22 20,000 20,750
Berry Plastics Corp. company guaranty unsub. notes 5.125%, 7/15/23 50,000 52,125
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 60,000 68,025
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 55,000 60,638
CD&R Waterworks Merger Sub, LLC 144A sr. unsec. notes 6.125%, 8/15/25 5,000 5,100
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6.00%, 10/15/17 (Luxembourg) 145,000 145,703
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 25,000 29,250
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 130,000 133,088
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 8.00%, 5/15/22 45,000 45,675
Honeywell International, Inc. sr. unsec. unsub. notes 5.375%, 3/1/41 60,000 75,862
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 35,000 38,258
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 26,000 27,844
KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 50,000 52,438
L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26 7,000 7,312
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 15,000 19,609
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 80,000 92,200
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 70,000 71,225
Medtronic, Inc. company guaranty sr. unsec. sub. notes 4.375%, 3/15/35 11,000 12,161
Medtronic, Inc. company guaranty sr. unsec. sub. notes 3.50%, 3/15/25 11,000 11,597
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 40,000 41,500
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 65,000 68,250
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 55,000 57,200
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. FRN BBA LIBOR USD 3 Month + 3.50%, 4.804%, 7/15/21 25,000 25,469
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 45,000 48,206
Rockwell Collins, Inc. sr. unsec. bonds 4.35%, 4/15/47 34,000 35,735
Tennant Co. 144A company guaranty sr. unsec. notes 5.625%, 5/1/25 10,000 10,400
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 30,000 31,200
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 35,000 35,350
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 (United Kingdom) 115,000 121,212
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 20,000 20,600
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 85,000 87,444
United Technologies Corp. sr. unsec. unsub. notes 1.90%, 5/4/20 205,000 205,091
2,041,386
Communication services (2.0%)
American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27(R) 26,000 25,180
American Tower Corp. sr. unsec. notes 4.00%, 6/1/25(R) 64,000 67,050
AT&T, Inc. sr. unsec. unsub. bonds 5.15%, 2/14/50 120,000 121,053
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 50,000 47,924
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 75,000 77,782
AT&T, Inc. sr. unsec. unsub. notes 3.40%, 5/15/25 51,000 50,813
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 85,000 87,550
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 35,000 36,531
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 90,000 95,400
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 15,000 15,858
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 25,000 26,153
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 45,000 45,957
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 15,000 15,581
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 140,000 142,450
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 10,000 10,175
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 63,000 72,377
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 31,000 33,209
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. 144A company guaranty sr. bonds 5.375%, 5/1/47 50,000 51,065
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 5,000 4,706
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.95%, 8/15/37 22,000 30,595
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 64,000 84,108
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.375%, 2/15/25 34,000 35,259
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 5,000 5,054
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 65,000 69,063
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 20,000 19,800
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 30,000 30,166
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 15,000 16,393
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26(R) 34,000 34,349
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 180,000 184,725
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 55,000 60,500
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 12,000 17,823
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 70,000 75,513
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 25,000 21,781
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 25,000 22,500
Frontier Communications Corp. sr. unsec. unsub. notes 7.625%, 4/15/24 15,000 11,850
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 10,000 9,378
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 2,000 2,153
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 60,000 60,975
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 18,000 11,363
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 5.15%, 4/30/20 50,000 54,333
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 4.375%, 4/1/21 125,000 135,276
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 15,000 16,032
SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) 200,000 209,000
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 65,000 71,500
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 145,000 158,775
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 185,000 203,963
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 30,000 32,306
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 20,000 21,075
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 120,000 128,736
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 15,000 15,450
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 25,000 26,000
Verizon Communications, Inc. sr. unsec. unsub. notes 4.522%, 9/15/48 62,000 58,288
Verizon Communications, Inc. sr. unsec. unsub. notes 4.50%, 9/15/20 20,000 21,455
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 22,000 22,031
Verizon Communications, Inc. sr. unsec. unsub. notes 4.125%, 3/16/27 45,000 46,573
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 135,000 139,050
West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22 45,000 45,450
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 40,000 30,900
3,266,355
Conglomerates (0.2%)
General Electric Co. sr. unsec. bonds 4.50%, 3/11/44 11,000 12,276
Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 2.20%, 3/16/20 (Netherlands) 250,000 252,154
264,430
Consumer cyclicals (3.7%)
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. notes 7.75%, 12/1/45 93,000 141,471
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 15,000 15,222
Amazon.com, Inc. 144A sr. unsec. notes 3.15%, 8/22/27 70,000 71,260
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 20,000 18,725
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 15,000 14,081
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 25,000 25,156
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 35,000 33,250
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 50,000 52,875
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 70,000 72,275
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 41,000 44,020
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 50,000 19,500
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 20,000 21,500
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 35,000 38,019
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 95,000 97,613
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 35,000 36,568
Caesars Growth Properties Holdings, LLC/Caesars Growth Properties Finance, Inc. company guaranty notes 9.375%, 5/1/22 75,000 80,719
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 15,000 16,275
CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 26,000 24,935
CBS Corp. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 30,000 31,128
CBS Corp. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/25 33,000 33,682
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 20,000 21,050
CCM Merger, Inc. 144A sr. unsec. notes 6.00%, 3/15/22 20,000 20,800
CDK Global, Inc. 144A sr. unsec. bonds 4.875%, 6/1/27 15,000 15,225
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 50,000 49,875
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 30,000 29,850
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 110,000 107,525
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 80,000 85,600
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 35,000 37,188
Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 71,000 69,215
Eldorado Resorts, Inc. company guaranty sr. unsec. notes 6.00%, 4/1/25 15,000 15,938
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 40,000 43,000
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/15/26 48,000 52,992
Ford Motor Co. sr. unsec. unsub. notes 4.346%, 12/8/26 60,000 62,155
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 30,000 31,613
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 51,000 51,089
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 15,000 15,471
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 7,000 7,091
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 35,000 36,925
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 60,000 65,100
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 45,000 46,350
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) 40,000 42,700
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 30,000 31,200
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 150,000 159,000
Home Depot, Inc. (The) sr. unsec. unsub. notes 2.625%, 6/1/22 67,000 68,385
Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22(R) 58,000 63,605
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 55,000 55,036
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 45,000 49,874
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 265,000 210,675
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 140,000 149,100
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 95,000 104,267
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 85,000 88,400
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 20,000 21,550
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 40,000 39,100
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.875%, 2/1/22 30,000 30,825
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.375%, 1/15/24 20,000 20,975
Lear Corp. sr. unsec. unsub. bonds 3.80%, 9/15/27 71,000 71,162
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 40,000 41,800
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 45,000 47,025
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 25,000 25,500
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 60,000 62,550
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 30,000 30,525
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 11/15/20 (Canada) 40,000 40,892
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 40,000 44,400
MGM Resorts International company guaranty sr. unsec. notes 5.25%, 3/31/20 10,000 10,550
MGM Resorts International company guaranty sr. unsec. unsub. notes 8.625%, 2/1/19 60,000 65,475
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 5,000 5,625
Moody's Corp. 144A sr. unsec. bonds 3.25%, 1/15/28 20,000 20,161
Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 140,000 141,050
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 65,000 43,550
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 15,000 6,825
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 75,000 77,625
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 60,000 61,950
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 10,000 10,350
O'Reilly Automotive, Inc. company guaranty sr. unsec. sub. notes 3.55%, 3/15/26 26,000 26,330
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 52,000 52,911
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 40,000 41,720
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 20,000 20,775
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 25,000 25,938
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 30,000 30,900
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 75,000 75,750
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 10,000 10,125
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 15,000 12,225
Priceline Group, Inc. (The) sr. unsec. notes 3.65%, 3/15/25 46,000 47,541
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 70,000 82,600
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 20,000 21,500
QVC, Inc. company guaranty sr. sub. notes 4.45%, 2/15/25 36,000 36,587
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 4.875%, 6/1/23 25,000 25,500
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 10,000 9,925
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 40,000 40,800
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 70,000 70,700
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 26,000 28,233
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 2.95%, 1/22/27 24,000 23,473
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 50,000 51,438
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 205,000 228,063
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6.25%, 9/1/20 5,000 5,025
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 80,000 81,824
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 30,000 32,325
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 125,000 128,438
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 95,000 97,138
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 35,000 35,308
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 35,000 37,231
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 30,000 32,175
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 50,000 52,250
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 128,000 131,200
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 35,000 34,300
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 30,000 30,699
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 20,000 20,950
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 3.80%, 2/15/27 62,000 62,418
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26 27,000 25,581
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 15,000 15,113
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 40,000 42,500
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 20,000 20,750
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 55,000 55,275
Werner FinCo LP/Werner FinCo, Inc. 144A company guarany sr. unsec. notes 8.75%, 7/15/25 65,000 65,244
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 30,000 30,975
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 25,000 24,875
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 56,000 56,969
Wyndham Worldwide Corp. sr. unsec. unsub. notes 5.625%, 3/1/21 22,000 23,324
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 35,000 35,350
5,834,304
Consumer staples (1.7%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6.00%, 4/1/22 (Canada) 4,000 4,132
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 30,000 30,675
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 25,000 25,594
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 50,000 50,625
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.85%, 8/9/22 72,000 73,574
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.625%, 1/14/20 145,000 147,606
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 4.90%, 2/1/46 126,000 143,642
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 3.65%, 2/1/26 49,000 50,965
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 2.65%, 2/1/21 145,000 147,946
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 1.25%, 1/17/18 53,000 52,944
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 8.20%, 1/15/39 79,000 125,512
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 15,000 15,600
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 75,000 81,893
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 45,000 48,488
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 60,000 62,700
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 30,000 31,763
Coca-Cola Co. (The) sr. unsec. unsub. bonds 2.25%, 9/1/26 22,000 21,186
Constellation Brands, Inc. company guaranty sr. unsec. unsub. bonds 3.70%, 12/6/26 15,000 15,507
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22 60,000 66,184
CVS Health Corp. sr. unsec. unsub. notes 2.25%, 12/5/18 145,000 145,938
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 50,000 50,750
Diageo Investment Corp. company guaranty sr. unsec. notes 8.00%, 9/15/22 7,000 8,835
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 37,000 37,220
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 132,000 173,601
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 42,000 48,143
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 35,000 26,513
High Ridge Brands Co. 144A company guaranty sr. unsec. notes 8.875%, 3/15/25 50,000 47,750
Kellogg Co. sr. unsec. unsub. notes 3.25%, 4/1/26 52,000 52,406
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 60,000 63,225
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 15,000 15,680
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 20,000 20,525
Kraft Heinz Co. (The) company guaranty sr. unsec. notes Ser. 144A, 6.875%, 1/26/39 71,000 92,316
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 145,000 150,460
Landry's, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 30,000 30,375
Molson Coors Brewing Co. 144A company guaranty sr. unsec. unsub. notes 1.90%, 3/15/19 125,000 124,882
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 63,000 67,163
PepsiCo, Inc. sr. unsec. unsub. bonds 3.45%, 10/6/46 34,000 32,561
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 20,000 20,625
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 12/15/21 35,000 36,094
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 65,000 52,483
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 25,000 22,366
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 70,000 68,688
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4.875%, 8/15/34 15,000 16,720
Tyson Foods, Inc. company guaranty sr. unsec. unsub. bonds 5.15%, 8/15/44 21,000 24,054
Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.30%, 11/18/21 26,000 26,953
2,652,862
Energy (2.6%)
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. 144A sr. unsec. notes 7.50%, 5/1/25 25,000 26,125
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A company guaranty sr. unsec. notes 7.875%, 12/15/24 80,000 85,800
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 25,000 25,438
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 15,000 15,038
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 20,000 20,350
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 25,000 25,438
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 2.315%, 2/13/20 (United Kingdom) 82,000 82,612
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7.50%, 12/1/20 30,000 26,850
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 30,000 16,725
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 21,000 11,576
Canadian Natural Resources, Ltd. sr. unsec. unsub. bonds 3.85%, 6/1/27 (Canada) 16,000 16,035
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 29,000 31,030
Cenovus Energy, Inc. 144A sr. unsec. notes 4.25%, 4/15/27 (Canada) 33,000 31,853
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 110,000 118,250
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. bonds 5.125%, 6/30/27 75,000 77,625
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 10,000 8,838
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 45,000 46,519
Chesapeake Energy Corp. 144A company guaranty sr. unsec. bonds 8.00%, 6/15/27 20,000 19,000
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 85,000 81,919
Chevron Corp. sr. unsec. unsub. notes 1.561%, 5/16/19 30,000 29,992
Concho Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/25 70,000 72,800
ConocoPhillips Co. company guaranty sr. unsec. unsub. notes 1.05%, 12/15/17 145,000 144,834
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 40,000 33,824
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 20,000 18,600
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 45,000 44,325
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 25,000 25,094
DCP Midstream Operating LP company guaranty sr. unsec. notes 3.875%, 3/15/23 5,000 4,869
DCP Midstream Operating LP company guaranty sr. unsec. notes 2.70%, 4/1/19 20,000 19,875
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 35,000 18,725
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 26,000 23,270
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 50,000 51,375
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 20,000 20,050
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 8.125%, 9/15/23 60,000 63,900
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 65,000 47,938
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 30,000 29,325
EQT Midstream Partners LP company guaranty sr. unsec. sub. notes 4.00%, 8/1/24 5,000 5,144
FTS International, Inc. 144A company guaranty sr. sub. FRN BBA LIBOR USD 3 Month + 7.50%, 8.746%, 6/15/20 45,000 45,675
Halcon Resources Corp. 144A company guaranty notes 12.00%, 2/15/22 10,000 12,000
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 55,000 57,200
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 40,000 41,100
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 15,000 14,944
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 25,000 19,875
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 35,000 32,506
Motiva Enterprises, LLC 144A sr. unsec. notes 5.75%, 1/15/20 37,000 39,611
MPLX LP sr. unsec. unsub. notes 4.125%, 3/1/27 26,000 26,384
Murphy Oil Corp. sr. unsec. unsub. notes 5.75%, 8/15/25 30,000 30,390
Murray Energy Corp. 144A notes 11.25%, 4/15/21 30,000 17,400
Nabors Industries, Inc. company guaranty sr. unsec. unsub. notes 4.625%, 9/15/21 6,000 5,696
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 25,000 26,438
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 75,000 78,375
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 40,000 30,899
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 6.05%, 3/1/41 17,000 9,945
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 85,000 82,663
Occidental Petroleum Corp. sr. unsec. unsub. bonds 4.40%, 4/15/46 41,000 43,614
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 209,103
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.25%, 3/17/44 (Brazil) 168,000 173,040
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 278,000 293,638
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) 110,000 33,000
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 5.625%, 1/23/46 (Mexico) 95,000 89,324
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 395,000 398,851
Precision Drilling Corp. company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 50,000 49,625
Range Resources Corp. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 50,000 51,000
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 5,000 4,825
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 55,000 54,038
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 26,000 26,102
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 34,000 36,074
SemGroup Corp. 144A company guaranty sr. unsec. notes 6.375%, 3/15/25 10,000 9,850
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 20,000 20,100
SESI, LLC 144A company guaranty sr. unsec. notes 7.75%, 9/15/24 15,000 15,150
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, 5/1/23 (Canada) 15,000 15,619
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, 5/15/20 (Canada) 60,000 62,625
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 50,000 5
Shelf Drilling Holdings, Ltd. 144A company guaranty notes 9.50%, 11/2/20 40,000 38,800
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 30,000 28,988
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 25,000 22,250
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 15,000 14,288
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 45,000 42,525
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 39,000 38,914
Statoil ASA company guaranty sr. unsec. unsub. notes 2.90%, 11/8/20 (Norway) 55,000 56,674
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 30,000 31,050
Andeavor Logistics LP/Tesoro Logistics Finance Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 15,000 15,900
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 46,000 47,389
Valero Energy Partners LP sr. unsec. unsub. notes 4.375%, 12/15/26 9,000 9,306
Weatherford International, Ltd. 144A company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 25,000 25,563
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 43,000 55,040
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 36,000 38,149
Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes 4.875%, 3/15/24 20,000 20,850
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 35,000 38,413
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 11,000 11,880
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 90,000 92,813
4,206,437
Financials (4.9%)
AIG Global Funding 144A sr. notes 2.15%, 7/2/20 50,000 50,104
Air Lease Corp. sr. unsec. unsub. notes 3.375%, 6/1/21 41,000 42,293
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 40,000 40,900
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 30,000 31,500
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 100,000 128,750
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 12/1/17 105,000 106,050
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 80,000 86,376
American Express Co. sr. unsec. notes 7.00%, 3/19/18 94,000 96,702
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 150,000 204,000
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 49,000 53,533
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 15,000 16,913
Bank of America Corp. sr. unsec. unsub. bonds Ser. MTN, 3.248%, 10/21/27 56,000 55,194
Bank of America Corp. sr. unsec. unsub. notes 2.00%, 1/11/18 149,000 149,214
Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, 2.151%, 11/9/20 15,000 15,014
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 170,000 212,695
Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.70%, 3/7/22 (Canada) 16,000 16,262
Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.35%, 10/21/20 (Canada) 60,000 60,506
Bank of Nova Scotia (The) sr. unsec. unsub. notes 1.375%, 12/18/17 (Canada) 145,000 145,013
Barclays Bank PLC 144A unsec. sub. notes 10.179%, 6/12/21 (United Kingdom) 80,000 99,957
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 7,000 7,397
Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19 25,000 27,404
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 59,000 66,929
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 37,000 40,946
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/23 20,000 20,800
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 35,000 38,099
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 35,000 37,931
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 115,000 124,476
Citigroup, Inc. jr. unsec. sub. FRB Ser. B, 5.90%, perpetual maturity 3,000 3,233
Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95%, perpetual maturity 32,000 34,560
Citigroup, Inc. jr. unsec. sub. FRN 5.875%, perpetual maturity 4,000 4,175
Citigroup, Inc. jr. unsec. sub. FRN Ser. T, 6.25%, perpetual maturity 28,000 31,290
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 55,000 55,847
Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20 50,000 50,700
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 97,000 100,174
Citigroup, Inc. unsec. sub. notes 5.50%, 9/13/25 49,000 55,392
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 50,000 44,250
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 60,000 63,751
Commonwealth Bank of Australia/New York, NY sr. unsec. bonds Ser. GMTN, 1.625%, 3/12/18 330,000 330,082
Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 35,000 37,013
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 25,000 25,468
DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 30,000 16,800
Duke Realty LP company guaranty sr. unsec. unsub. notes 4.375%, 6/15/22(R) 16,000 17,186
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 40,000 41,200
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 60,000 62,773
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 25,000 25,469
GE Capital International Funding Co. Unlimited Co. company guaranty sr. unsec. bonds 4.418%, 11/15/35 (Ireland) 202,000 220,128
Goldman Sachs Group, Inc. (The) sr. unsec. notes 7.50%, 2/15/19 33,000 35,598
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 120,000 123,479
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 12/27/20 238,000 240,315
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.30%, 12/13/19 136,000 136,853
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2.375%, 1/22/18 2,000 2,006
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes 3.875%, 5/1/25(R) 25,000 25,536
Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25(R) 13,000 13,481
HSBC Finance Corp. unsec. sub. notes 6.676%, 1/15/21 91,000 103,470
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 10,000 10,025
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 50,000 51,985
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 30,000 31,584
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 30,000 30,938
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 37,000 38,110
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 15,000 15,427
Intelsat Connect Finance SA 144A company guaranty sr. unsec. sub. notes 12.50%, 4/1/22 (Luxembourg) 3,000 2,858
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 20,000 20,550
iStar, Inc. sr. unsec. notes 5.00%, 7/1/19(R) 10,000 10,142
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity 52,000 53,758
JPMorgan Chase & Co. sr. unsec. notes Ser. MTN, 2.295%, 8/15/21 56,000 56,153
JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 124,000 125,188
JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 45,000 47,234
KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.30%, 12/13/18 4,000 4,028
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 19,000 20,944
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20 41,000 46,028
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 158,000 199,673
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 200,000 223,040
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, perpetual maturity (United Kingdom) 30,000 34,313
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 45,000 47,138
Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, 7/29/20 (Australia) 49,000 49,888
Macquarie Group Ltd. 144A sr. unsec. notes 7.625%, 8/13/19 (Australia) 110,000 121,293
MetLife, Inc. sr. unsec. unsub. notes 4.75%, 2/8/21 100,000 108,948
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24(R) 25,000 27,188
Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23(R) 20,000 21,410
Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 120,000 122,821
Morgan Stanley sr. unsec. unsub. notes 2.65%, 1/27/20 80,000 81,263
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 55,000 56,120
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 40,000 39,050
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 30,000 31,388
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976%, 2/15/25 100,000 102,808
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 40,000 41,400
Regions Financial Corp. sr. unsec. unsub. notes 2.75%, 8/14/22 35,000 35,233
Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 46,000 46,312
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.20%, 7/27/18 (Canada) 145,000 145,818
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 30,000 32,453
Select Income REIT sr. unsec. unsub. notes 3.60%, 2/1/20(R) 7,000 7,116
Select Income REIT sr. unsec. unsub. notes 2.85%, 2/1/18(R) 7,000 7,020
Skandinaviska Enskilda Banken AB 144A sr. unsec. unsub. notes 2.625%, 11/17/20 (Sweden) 270,000 274,949
Societe Generale SA company guaranty sr. unsec. notes 2.75%, 10/12/17 (France) 250,000 250,338
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 20,000 22,500
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 5/15/22 30,000 31,425
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 60,000 62,853
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 60,000 61,350
TIERS Trust/United States 144A sr. bonds stepped-coupon zero % (8.125%, 9/15/17), 9/15/17(STP) 100,000 122,500
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 15,000 13,838
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 43,000 43,083
Travelers Property Casualty Corp. company guaranty sr. unsec. unsub. bonds 7.75%, 4/15/26 9,000 12,206
UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec. notes 3.00%, 4/15/21 (Switzerland) 200,000 203,865
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 55,000 56,031
VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R) 40,000 42,284
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 46,000 50,945
Wells Fargo & Co. sr. unsec. notes Ser. GMTN, 2.60%, 7/22/20 115,000 116,897
Westpac Banking Corp. sr. unsec. unsub. notes 2.15%, 3/6/20 (Australia) 275,000 277,156
Westpac Banking Corp. sr. unsec. unsub. notes 2.00%, 8/19/21 (Australia) 45,000 44,818
7,708,870
Health care (1.7%)
AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25 9,000 9,303
AbbVie, Inc. sr. unsec. notes 2.90%, 11/6/22 13,000 13,221
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 70,000 65,975
Allergan Funding SCS company guaranty sr. unsec. notes 4.75%, 3/15/45 (Luxembourg) 15,000 16,411
Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 16,000 16,623
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 35,000 35,026
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 60,000 57,000
AstraZeneca PLC sr. unsec. unsub. notes 6.45%, 9/15/37 (United Kingdom) 12,000 15,975
AstraZeneca PLC sr. unsec. unsub. notes 5.90%, 9/15/17 (United Kingdom) 145,000 145,158
Becton Dickinson and Co. sr. unsec. unsub. bonds 4.669%, 6/6/47 69,000 71,876
Becton Dickinson and Co. sr. unsec. unsub. bonds 3.70%, 6/6/27 59,000 59,734
Biogen, Inc. sr. unsec. sub. notes 3.625%, 9/15/22 56,000 58,807
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 20,000 18,200
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 60,000 64,575
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 15,000 15,488
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 15,000 15,743
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 35,000 35,263
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 120,000 99,450
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 11/15/19 10,000 9,913
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7.125%, 7/15/20 20,000 18,813
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) 60,000 9,750
Concordia International Corp. 144A sr. notes 9.00%, 4/1/22 (Canada) 10,000 7,150
Eagle Holding Co II, LLC 144A sr. unsec. unsub. notes 7.625%, 5/15/22(PIK) 35,000 36,181
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 130,000 107,900
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 15,000 15,619
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 55,000 59,194
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 90,000 97,988
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 80,000 82,700
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 20,000 21,250
HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19 50,000 50,875
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 30,000 31,461
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 25,000 27,875
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 30,000 28,050
Merck & Co., Inc. sr. unsec. unsub. notes 1.30%, 5/18/18 125,000 124,892
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 25,000 26,063
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 20,000 19,650
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R) 45,000 45,619
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 72,000 76,388
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 45,000 44,100
Pfizer, Inc. sr. unsec. unsub. notes 1.70%, 12/15/19 105,000 105,243
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 225,000 239,344
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 36,000 35,344
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) 26,000 25,864
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 40,000 41,200
Tenet Healthcare Corp. company guaranty sr. notes 4.75%, 6/1/20 25,000 25,781
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. bonds 3.15%, 10/1/26 (Netherlands) 25,000 22,994
UnitedHealth Group, Inc. sr. unsec. notes 6.00%, 2/15/18 65,000 66,254
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.70%, 2/15/21 43,000 46,445
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 135,000 113,906
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 5,000 4,588
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 70,000 69,125
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 55,000 58,369
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 20,000 20,975
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 20,000 20,950
2,651,641
Technology (1.6%)
Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 19,000 20,590
Apple, Inc. sr. unsec. notes 2.10%, 5/6/19 250,000 252,501
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 28,000 30,673
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 75,000 76,433
Apple, Inc. sr. unsec. unsub. notes 2.00%, 5/6/20 35,000 35,314
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 (in default)(NON) 300,000 252,750
Broadcom Corp./Broadcom Cayman Finance, Ltd. 144A company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 57,000 58,660
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 184,000 203,827
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 15,000 19,352
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 138,000 151,179
Fidelity National Information Services, Inc. sr. unsec. unsub. notes 5.00%, 10/15/25 6,000 6,804
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 75,000 80,813
First Data Corp. 144A notes 5.75%, 1/15/24 90,000 94,725
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 85,000 90,206
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 140,000 142,800
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 15,000 15,300
Intel Corp. sr. unsec. unsub. notes 1.35%, 12/15/17 145,000 144,994
Iron Mountain, Inc. company guaranty sr. unsec. notes 6.00%, 8/15/23(R) 60,000 63,675
Jabil Circuit, Inc. sr. unsec. sub. notes 8.25%, 3/15/18 9,000 9,281
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5.25%, 1/15/24 25,000 26,000
Microsoft Corp. sr. unsec. unsub. bonds 3.30%, 2/6/27 45,000 46,873
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 67,000 65,219
Microsoft Corp. sr. unsec. unsub. notes 1.55%, 8/8/21 180,000 177,475
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 90,000 88,457
Oracle Corp. sr. unsec. unsub. notes 2.25%, 10/8/19 180,000 182,349
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 45,000 46,575
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 90,000 102,488
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 20,000 22,775
VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 10,000 10,085
2,518,173
Transportation (0.1%)
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes 5.75%, 5/1/40 11,000 13,958
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 16,000 16,018
United Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 14-2, Class A, 3.75%, 9/3/26 22,845 23,429
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 65,000 67,600
121,005
Utilities and power (1.0%)
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 55,000 55,963
AES Corp./Virginia (The) sr. unsec. notes 8.00%, 6/1/20 39,000 44,558
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 140,000 145,250
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 25,000 25,531
American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds 5.00%, 9/1/44 49,000 57,211
Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 7,000 9,138
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. FRB 4.45%, 7/15/27 13,000 13,350
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 85,000 77,962
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 25,000 24,500
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 15,000 15,394
Consolidated Edison Co. of New York, Inc. sr. unsec. notes 7.125%, 12/1/18 96,000 102,224
Consolidated Edison, Inc. sr. unsec. unsub. notes Ser. A, 2.00%, 3/15/20 10,000 10,032
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 15,000 15,525
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 90,000 92,813
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 45,000 46,463
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 15,000 15,431
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 20,000 25,996
Emera US Finance LP company guaranty sr. unsec. notes 3.55%, 6/15/26 11,000 11,238
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 42,000 44,235
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 70,000 75,425
Energy Transfer Partners LP sr. unsec. unsub. bonds 6.125%, 12/15/45 13,000 14,226
Energy Transfer Partners LP sr. unsec. unsub. bonds 4.20%, 4/15/27 36,000 36,490
GenOn Americas Generation, LLC sr. unsec. notes 9.125%, 5/1/31 (in default)(NON) 100,000 90,750
IPALCO Enterprises, Inc. 144A sr. notes 3.70%, 9/1/24 25,000 25,216
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 29,000 29,737
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 45,000 45,613
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 60,000 60,047
MidAmerican Funding, LLC sr. bonds 6.927%, 3/1/29 15,000 20,094
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 5,000 5,375
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 85,000 89,250
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7.875%, 5/15/21 27,000 27,878
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 64,000 64,994
Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974%, 6/1/67 59,000 57,304
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 10,000 11,087
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 25,000 26,204
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 65,000 66,625
Texas Gas Transmission, LLC 144A sr. unsec. notes 4.50%, 2/1/21 46,000 48,266
1,627,395
Total corporate bonds and notes (cost $35,794,045) $36,585,965

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (11.4%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.3%)
Government National Mortgage Association Pass-Through Certificates 3.50%, TBA, 9/1/47 $3,000,000 $3,128,438
Government National Mortgage Association, Ser. 3597, Class MA, 3.500%, 04/20/46(i) 410,738 429,193
3,557,631
U.S. Government Agency Mortgage Obligations (9.1%)
Federal National Mortgage Association Pass-Through Certificates
     6.00%, TBA, 9/1/47 1,000,000 1,124,531
     4.00%, TBA, 9/1/47 3,000,000 3,169,688
     3.50%, TBA, 9/1/47 1,000,000 1,036,172
     3.00%, TBA, 10/1/47 3,000,000 3,030,234
     3.00%, TBA, 9/1/47 3,000,000 3,034,688
     3.00%, TBA, 9/1/32 2,000,000 2,065,000
     2.50%, TBA, 9/1/47 1,000,000 979,844
14,440,157
Total U.S. government and agency mortgage obligations (cost $17,882,163) $17,997,788

COMMODITY LINKED NOTES (6.5%)(a)(CLN)
Principal amount Value
UBS AG/London 144A sr. notes 1-month LIBOR less 0.25%, 2018 (Indexed to the S&P GSCI Total Return Commodity Index multiplied by 3) (United Kingdom) $1,900,000 $1,852,422
Citigroup Global Markets Holdings, Inc. sr. unsec. Notes Ser. N, 1-month USD LIBOR less 0.16%, 2018 (Indexed to the S&P GSCI 3-Month Forward Index Total Return Index multiplied by 3) 3,250,000 3,249,669
Bank of America Corp. sr. unsec. notes 1-month LIBOR less 0.11%, 2018 (Indexed to the S&P GSCI Light Energy Index Total Return multiplied by 3) 1,200,000 1,187,585
UBS AG/London 144A sr. notes 1-month LIBOR less 0.25%, 2018 (Indexed to the S&P GSCI Total Return Index multiplied by 3) (United Kingdom) 1,260,000 1,420,745
Deutsche Bank AG/London 144A sr. notes 1-month LIBOR less 0.16%, 2018 (Indexed to the S&P GSCI Total Return multiplied by 3) (United Kingdom) 712,000 712,854
Bank of America Corp. sr. unsec. notes Ser. A, 1-month LIBOR less 0.11%, 2018 (Indexed to the S&P GSCI Index Total Return multiplied by 3) 712,000 712,894
Deutsche Bank AG/London 144A sr. notes 1-month LIBOR less 0.16%, 2018 (Indexed to the S&P GSCI Light Energy Total Return multiplied by 3) (United Kingdom) 1,200,000 1,175,520
Total commodity Linked Notes (cost $10,234,000) $10,311,689

MORTGAGE-BACKED SECURITIES (3.0%)(a)
Principal amount Value
Agency collateralized mortgage obligations (0.3%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3829, Class AS, IO (-1 x 1 Month US LIBOR) + 6.95%, 5.723%, 3/15/41 $223,232 $41,935
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M1, 1 Month US LIBOR + 1.10%, 2.334%, 12/25/28 117,773 118,013
Federal National Mortgage Association
IFB Ser. 12-58, Class SM, IO (-1 x 1 Month US LIBOR) + 6.50%, 5.266%, 6/25/42 272,213 46,716
Ser. 12-147, Class AI, IO, 3.00%, 10/25/27 709,717 62,987
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M1, 1 Month US LIBOR + 1.20%, 2.434%, 7/25/24 2,255 2,256
Government National Mortgage Association
IFB Ser. 13-99, Class AS, IO (-1 x 1 Month US LIBOR) + 6.05%, 4.819%, 6/20/43 336,338 61,987
Ser. 16-135, Class PI, IO, 4.00%, 5/20/46 509,612 104,351
Ser. 15-H26, Class DI, IO, 1.982%, 10/20/65(WAC) 334,075 34,543
472,788
Commercial mortgage-backed securities (1.8%)
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.945%, 12/15/47(WAC) 100,000 100,596
Citigroup Commercial Mortgage Trust
     Ser. 14-GC21, Class C, 4.78%, 5/10/47(WAC) 61,000 62,995
     Ser. 14-GC21, Class AS, 4.026%, 5/10/47 47,000 49,475
     FRB Ser. 14-GC19, Class XA, IO, 1.374%, 3/10/47(WAC) 1,472,243 80,326
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class XA, IO, 1.98%, 9/10/45(WAC) 717,213 50,040
COMM Mortgage Trust
     FRB Ser. 14-UBS6, Class C, 4.614%, 12/10/47(WAC) 172,000 170,191
     FRB Ser. 14-LC15, Class XA, IO, 1.502%, 4/10/47(WAC) 1,745,985 93,538
     FRB Ser. 14-CR16, Class XA, IO, 1.348%, 4/10/47(WAC) 315,640 15,401
     FRB Ser. 13-CR11, Class XA, IO, 1.303%, 8/10/50(WAC) 723,429 35,634
     FRB Ser. 14-CR17, Class XA, IO, 1.30%, 5/10/47(WAC) 1,133,719 56,065
     FRB Ser. 14-UBS6, Class XA, IO, 1.176%, 12/10/47(WAC) 1,451,236 72,180
COMM Mortgage Trust 144A FRB Ser. 13-CR11, Class C, 5.335%, 8/10/50(WAC) 64,000 68,764
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.51%, 12/15/49(WAC) 125,000 129,786
GS Mortgage Securities Trust
     FRB Ser. 14-GC22, Class C, 4.801%, 6/10/47(WAC) 37,000 38,601
     FRB Ser. 13-GC12, Class C, 4.179%, 6/10/46(WAC) 54,000 54,475
     FRB Ser. 14-GC22, Class XA, IO, 1.185%, 6/10/47(WAC) 2,060,770 102,595
GS Mortgage Securities Trust 144A FRB Ser. 10-C1, Class D, 6.199%, 8/10/43(WAC) 158,403 168,152
JPMBB Commercial Mortgage Securities Trust
     FRB Ser. 13-C14, Class C, 4.721%, 8/15/46(WAC) 56,000 57,527
     FRB Ser. 14-C22, Class XA, IO, 1.082%, 9/15/47(WAC) 3,466,679 169,847
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 06-LDP7, Class B, 6.138%, 4/17/45(WAC) 118,000 17,700
     FRB Ser. 05-LDP5, Class F, 5.886%, 12/15/44(WAC) 38,462 38,239
     Ser. 04-LN2, Class A2, 5.115%, 7/15/41 903 903
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 10-C1, Class D, 6.401%, 6/15/43(WAC) 142,000 83,070
LB-UBS Commercial Mortgage Trust Ser. 06-C6, Class D, 5.502%, 9/15/39 (in default)(NON)(WAC) 125,000 6,925
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.34%, 4/20/48(WAC) 123,000 117,213
Morgan Stanley Bank of America Merrill Lynch Trust
     Ser. 12-C5, Class AS, 3.792%, 8/15/45 41,000 43,175
     FRB Ser. 14-C17, Class XA, IO, 1.397%, 8/15/47(WAC) 735,579 37,000
     FRB Ser. 13-C12, Class XA, IO, 1.051%, 10/15/46(WAC) 822,154 24,274
Morgan Stanley Capital I Trust
     Ser. 06-HQ9, Class C, 5.842%, 7/12/44(WAC) 117,000 116,787
     Ser. 07-HQ11, Class AJ, 5.508%, 2/12/44(WAC) 23,716 23,538
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, 5.327%, 7/15/49(WAC) 90,000 94,420
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class C, 5.21%, 8/10/49(WAC) 50,000 53,366
     FRB Ser. 12-C2, Class D, 5.055%, 5/10/63(WAC) 48,000 48,692
Wachovia Bank Commercial Mortgage Trust FRB Ser. 05-C21, Class D, 5.468%, 10/15/44(WAC) 56,000 55,789
Wells Fargo Commercial Mortgage Trust FRB Ser. 13-LC12, Class C, 4.43%, 7/15/46(WAC) 45,000 43,781
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 12-LC5, Class XA, IO, 1.961%, 10/15/45(WAC) 462,351 34,403
WF-RBS Commercial Mortgage Trust
     Ser. 14-C19, Class C, 4.646%, 3/15/47(WAC) 13,000 13,757
     FRB Ser. 13-C15, Class C, 4.628%, 8/15/46(WAC) 38,000 39,132
     Ser. 13-UBS1, Class AS, 4.306%, 3/15/46(WAC) 48,000 51,744
     FRB Ser. 14-C22, Class XA, IO, 1.068%, 9/15/57(WAC) 2,528,053 113,838
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C3, Class D, 5.813%, 3/15/44(WAC) 47,000 45,515
     FRB Ser. 11-C5, Class XA, IO, 1.926%, 11/15/44(WAC) 1,033,654 59,621
     FRB Ser. 12-C10, Class XA, IO, 1.779%, 12/15/45(WAC) 902,948 60,046
     FRB Ser. 13-C12, Class XA, IO, 1.506%, 3/15/48(WAC) 149,782 7,273
2,806,389
Residential mortgage-backed securities (non-agency) (0.9%)
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 3.213%, 5/25/35(WAC) 95,600 97,990
Countrywide Alternative Loan Trust
     FRB Ser. 06-OA7, Class 1A2, 1 Month US LIBOR + 0.94%, 1.77%, 6/25/46 277,475 266,376
     FRB Ser. 07-OH1, Class A1D, 1 Month US LIBOR + 0.21%, 1.444%, 4/25/47 37,308 31,414
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 1 Month US LIBOR + 5.90%, 7.134%, 10/25/28 260,800 297,976
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 1 Month US LIBOR + 5.70%, 6.934%, 4/25/28 207,000 232,341
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 1 Month US LIBOR + 5.55%, 6.784%, 4/25/28 10,000 11,008
     Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 1 Month US LIBOR + 5.00%, 6.234%, 7/25/25 29,709 32,180
     Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, 1 Month US LIBOR + 4.30%, 5.534%, 2/25/25 57,954 61,598
     Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, 1 Month US LIBOR + 4.25%, 5.484%, 4/25/29 10,000 10,842
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 1 Month US LIBOR + 4.00%, 5.234%, 5/25/25 25,720 27,136
     Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, 1 Month US LIBOR + 2.60%, 3.834%, 5/25/24 60,000 62,192
GSAA Trust FRB Ser. 07-6, Class 1A1, 1 Month US LIBOR + 0.12%, 1.354%, 5/25/47 39,534 32,145
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 2.971%, 2/25/35(WAC) 34,440 34,634
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 0.598%, 8/26/47 80,000 66,000
Structured Asset Securities Corp. Mortgage Loan Trust FRB Ser. 06-AM1, Class A4, 1 Month US LIBOR + 0.16%, 1.394%, 4/25/36 63,028 62,056
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR10, Class 1A3, 3.258%, 9/25/35(WAC) 39,253 40,348
     FRB Ser. 05-AR12, Class 1A8, 2.863%, 10/25/35(WAC) 153,466 154,277
1,520,513
Total mortgage-backed securities (cost $4,838,276) $4,799,690

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.6%)(a)
Principal amount/units Value
Argentina (Province of) 144A sr. unsec. notes 7.125%, 8/1/27 (Argentina) $160,000 $164,106
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 150,000 161,625
Russia (Federation of) 144A sr. unsec. unsub. bonds 5.625%, 4/4/42 (Russia) 600,000 677,250
Turkey (Republic of) unsec. notes 11.00%, 3/2/22 (Turkey) TRY 83,000 24,321
Total foreign government and agency bonds and notes (cost $952,383) $1,027,302

INVESTMENT COMPANIES (0.6%)(a)
Shares Value
Altaba, Inc. 2,833 $181,539
iShares MSCI India ETF (India) 23,150 789,647
Total investment companies (cost $802,889) $971,186

             
  
PURCHASED OPTIONS OUTSTANDING (0.4%)(a)
Counterparty Expiration date/
strike price		 Notional
amount		 Contract 
amount		 Value
Bank of America N.A.
    USD/CNH (Put) Oct-17/CNH 6.65 $2,363,300 $2,363,300 $22,985
    USD/JPY (Put) Nov-17/JPY 107.00 1,094,200 1,094,200 7,531
Citibank, N.A.
    SPDR S&P 500 ETF Trust (Put) Aug-18/215.00 6,864,135 27,735 147,440
    SPDR S&P 500 ETF Trust (Put) Jul-18/215.00 6,498,840 26,259 129,346
    SPDR S&P 500 ETF Trust (Put) Jun-18/210.00 6,685,695 27,014 101,704
    SPDR S&P 500 ETF Trust (Put) Apr-18/205.00 6,842,109 27,646 63,524
Goldman Sachs International
    USD/CNH (Put) Oct-17/CNH 6.65 2,361,700 2,361,700 22,970
JPMorgan Chase Bank N.A.
    SPDR S&P 500 ETF Trust (Put) May-18/210.00 6,842,109 27,646 86,470
    SPDR S&P 500 ETF Trust (Put) Mar-18/205.00 6,842,109 27,646 54,313
Total purchased options outstanding (cost $961,693) $636,283

SENIOR LOANS (0.3%)(a)(c)
Principal amount Value
Brand Energy & Infrastructure Services, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 4.25%, 5.522%, 6/21/24 $75,000 $75,178
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, BBA LIBOR USD 3 Month + 7.75%, 11.75%, 3/1/18 (in default)(NON) 140,187 168,546
Caesars Growth Properties Holdings, LLC bank term loan FRN Ser. L, BBA LIBOR USD 3 Month + 3.00%, 4.239%, 5/8/21 13,919 13,951
CPG International, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.75%, 5.046%, 5/3/24 9,802 9,787
Getty Images, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.796%, 10/18/19 28,606 24,709
Neiman Marcus Group, Ltd., Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.25%, 4.481%, 10/25/20 72,375 53,232
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.75%, 5.046%, 6/30/21 54,859 54,838
Revlon Consumer Products Corp. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.739%, 9/7/23 64,513 57,958
Total senior loans (cost $454,053) $458,199

WARRANTS (0.1%)(a)(NON)
Expiration date Strike Price Warrants Value
China State Construction Engineering Corp., Ltd. 144A (China) 1/22/18 $0.00 71,800 $108,730
Halcon Resources Corp. 9/9/20 14.04 844 422
Total warrants (cost $98,442) $109,152

ASSET-BACKED SECURITIES (0.1%)(a)
Principal amount Value
Station Place Securitization Trust 144A FRB Ser. 17-1, Class A, 1 Month US LIBOR + 0.90%, 2.134%, 2/25/49 $81,000 $81,000
Total asset-backed securities (cost $81,000) $81,000

CONVERTIBLE PREFERRED STOCKS (0.0%)(a)
Shares Value
EPR Properties Ser. C, $1.438 cv. pfd.(R) 1,550 $43,400
Nine Point Energy 6.75% cv. pfd. 11 11,386
Total convertible preferred stocks (cost $45,286) $54,786

SHORT-TERM INVESTMENTS (22.5%)(a)
Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 1.28%(AFF) Shares 223,212 $223,212
Putnam Short Term Investment Fund 1.15%(AFF) Shares 27,456,735 27,456,735
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.93%(P) Shares 721,000 721,000
U.S. Treasury Bills 0.992%, 12/14/17(SEG) $67,001 66,819
U.S. Treasury Bills 1.042%, 12/7/17(SEG)(SEGSF)(SEGCCS) 1,766,000 1,761,356
U.S. Treasury Bills 1.059%, 1/18/18(SEG)(SEGSF)(SEGCCS) 4,617,999 4,600,014
U.S. Treasury Bills 1.067%, 2/8/18(SEG)(SEGCCS) 393,000 391,179
U.S. Treasury Bills 1.081%, 2/15/18(SEGCCS) 462,999 460,742
Total short-term investments (cost $35,680,231) $35,681,057

TOTAL INVESTMENTS
Total investments (cost $169,672,348) $179,608,507













FORWARD CURRENCY CONTRACTS at 8/31/17 (aggregate face value $66,952,151) (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 $182,821 $171,123 $11,698
Canadian Dollar Sell 10/18/17 240,598 231,426 (9,172)
Euro Buy 9/20/17 1,426,216 1,370,853 55,363
Euro Sell 9/20/17 1,426,216 1,379,552 (46,664)
Hong Kong Dollar Sell 11/15/17 428,597 429,649 1,052
New Zealand Dollar Buy 10/18/17 161,707 161,784 (77)
Norwegian Krone Buy 9/20/17 316,635 343,751 (27,116)
Russian Ruble Buy 9/20/17 241,707 232,803 8,904
Russian Ruble Buy 12/20/17 237,805 231,605 6,200
Swedish Krona Buy 9/20/17 690,030 644,248 45,782
Swedish Krona Sell 9/20/17 690,030 681,236 (8,794)
Barclays Bank PLC
Australian Dollar Buy 10/18/17 405,528 390,477 15,051
Euro Buy 9/20/17 392,087 356,560 35,527
Japanese Yen Sell 11/15/17 30,036 29,935 (101)
New Zealand Dollar Sell 10/18/17 210,493 213,450 2,957
Swiss Franc Buy 9/20/17 417,742 417,869 (127)
Swiss Franc Sell 9/20/17 417,742 417,816 74
Citibank, N.A.
Australian Dollar Sell 10/18/17 15,493 14,911 (582)
Brazilian Real Buy 10/3/17 1,582 99 1,483
British Pound Sell 9/20/17 279,323 281,985 2,662
Canadian Dollar Sell 10/18/17 164,885 159,527 (5,358)
Danish Krone Sell 9/20/17 212,908 201,614 (11,294)
Euro Buy 9/20/17 964,314 875,853 88,461
New Zealand Dollar Sell 10/18/17 541,297 548,940 7,643
Norwegian Krone Buy 9/20/17 48,135 29,395 18,740
Russian Ruble Buy 9/20/17 241,706 233,126 8,580
Russian Ruble Buy 12/20/17 233,795 232,030 1,765
Swedish Krona Sell 9/20/17 256,012 266,135 10,123
Credit Suisse International
Australian Dollar Buy 10/18/17 156,046 150,190 5,856
Canadian Dollar Buy 10/18/17 522,777 503,723 19,054
Euro Buy 9/20/17 652,883 626,168 26,715
Euro Sell 9/20/17 652,883 653,230 347
New Zealand Dollar Sell 10/18/17 119,380 121,054 1,674
Norwegian Krone Buy 9/20/17 119,982 118,764 1,218
Norwegian Krone Sell 9/20/17 119,982 119,491 (491)
Swedish Krona Buy 9/20/17 580,836 579,999 837
Swedish Krona Sell 9/20/17 580,836 533,749 (47,087)
Goldman Sachs International
Australian Dollar Sell 10/18/17 240,345 220,838 (19,507)
Canadian Dollar Sell 10/18/17 236,993 233,449 (3,544)
Chinese Yuan Buy 11/15/17 575 3,898 (3,323)
Euro Buy 9/20/17 1,735,025 1,679,342 55,683
Euro Sell 9/20/17 1,735,025 1,675,205 (59,820)
Indonesian Rupiah Sell 11/15/17 4,862 5,092 230
Japanese Yen Sell 11/15/17 109,360 109,016 (344)
New Zealand Dollar Sell 10/18/17 212,502 216,643 4,141
Norwegian Krone Buy 9/20/17 145,165 159,797 (14,632)
South African Rand Sell 10/18/17 235,122 233,876 (1,246)
Swedish Krona Sell 9/20/17 576,692 580,060 3,368
Swiss Franc Buy 9/20/17 273,067 271,371 1,696
Swiss Franc Sell 9/20/17 273,067 274,250 1,183
Turkish Lira Buy 9/20/17 475,780 462,073 13,707
HSBC Bank USA, National Association
Australian Dollar Buy 10/18/17 238,121 236,768 1,353
British Pound Sell 9/20/17 54,984 54,478 (506)
Canadian Dollar Sell 10/18/17 45,668 46,373 705
Euro Buy 9/20/17 83,159 63,110 20,049
Japanese Yen Sell 11/15/17 235,952 237,599 1,647
Mexican Peso Sell 10/18/17 231,695 230,746 (949)
New Zealand Dollar Buy 10/18/17 268,748 267,957 791
JPMorgan Chase Bank N.A.
Australian Dollar Buy 10/18/17 475,129 472,581 2,548
Australian Dollar Sell 10/18/17 1,035,987 994,442 (41,545)
British Pound Buy 9/20/17 1,372,291 1,368,504 3,787
British Pound Sell 9/20/17 1,220,533 1,213,541 (6,992)
Canadian Dollar Buy 10/18/17 707,532 686,455 21,077
Canadian Dollar Sell 10/18/17 237,713 237,142 (571)
Euro Buy 9/20/17 11,106,875 10,579,134 527,741
Euro Sell 9/20/17 3,965,907 3,768,423 (197,484)
Indonesian Rupiah Buy 11/15/17 229,573 228,631 942
Indonesian Rupiah Sell 11/15/17 234,435 234,063 (372)
Japanese Yen Buy 11/15/17 4,961,730 4,946,060 15,670
Japanese Yen Sell 11/15/17 396,112 393,994 (2,118)
New Zealand Dollar Buy 10/18/17 229,863 237,766 (7,903)
New Zealand Dollar Sell 10/18/17 229,074 236,165 7,091
Norwegian Krone Buy 9/20/17 254,226 250,804 3,422
Norwegian Krone Sell 9/20/17 264,181 240,422 (23,759)
Singapore Dollar Sell 11/15/17 74,833 74,782 (51)
South African Rand Buy 10/18/17 238,237 232,093 6,144
South African Rand Sell 10/18/17 233,290 231,377 (1,913)
Swedish Krona Buy 9/20/17 1,463,143 1,387,222 75,921
Swedish Krona Sell 9/20/17 1,566,656 1,508,501 (58,155)
Swiss Franc Buy 9/20/17 105,218 104,689 529
Swiss Franc Sell 9/20/17 530,580 529,250 (1,330)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 10/18/17 1,075,078 1,035,406 39,672
Canadian Dollar Buy 10/18/17 478,151 472,434 5,717
Euro Buy 9/20/17 1,151,838 1,107,732 44,106
Euro Sell 9/20/17 1,151,838 1,098,053 (53,785)
Japanese Yen Sell 11/15/17 268,654 267,779 (875)
New Zealand Dollar Buy 10/18/17 193,130 194,062 (932)
Norwegian Krone Buy 9/20/17 581,086 569,039 12,047
Norwegian Krone Sell 9/20/17 581,086 532,833 (48,253)
Swedish Krona Buy 9/20/17 746,611 694,171 52,440
Swedish Krona Sell 9/20/17 746,611 724,960 (21,651)
Turkish Lira Buy 9/20/17 469,127 455,657 13,470
State Street Bank and Trust Co.
Australian Dollar Buy 10/18/17 362,782 356,284 6,498
British Pound Buy 9/20/17 475,586 472,233 3,353
British Pound Sell 9/20/17 475,586 469,993 (5,593)
Canadian Dollar Buy 10/18/17 240,357 236,354 4,003
Euro Sell 9/20/17 295,823 232,307 (63,516)
Israeli Shekel Buy 10/18/17 7,322 7,514 (192)
New Zealand Dollar Buy 10/18/17 97,282 101,437 (4,155)
Norwegian Krone Buy 9/20/17 361,766 362,578 (812)
Swedish Krona Sell 9/20/17 153,091 190,783 37,692
UBS AG
Australian Dollar Sell 10/18/17 178,213 166,378 (11,835)
British Pound Buy 9/20/17 238,957 236,561 2,396
British Pound Sell 9/20/17 238,957 239,463 506
Canadian Dollar Buy 10/18/17 195,812 197,310 (1,498)
Euro Buy 9/20/17 37,648 28,769 8,879
Japanese Yen Sell 11/15/17 240,702 240,058 (644)
New Zealand Dollar Buy 10/18/17 134,158 136,041 (1,883)
Norwegian Krone Buy 9/20/17 581,551 572,122 9,429
Norwegian Krone Sell 9/20/17 581,551 533,329 (48,222)
Swedish Krona Buy 9/20/17 748,626 700,297 48,329
Swedish Krona Sell 9/20/17 748,626 732,293 (16,333)
Turkish Lira Buy 9/20/17 6,106 5,810 296
Turkish Lira Sell 9/20/17 6,106 6,124 18
WestPac Banking Corp.
Australian Dollar Buy 10/18/17 250,197 233,152 17,045
Canadian Dollar Buy 10/18/17 293,717 283,728 9,989
Euro Buy 9/20/17 276,880 262,009 14,871
Euro Sell 9/20/17 276,880 266,749 (10,131)
Japanese Yen Sell 11/15/17 887,902 885,185 (2,717)
New Zealand Dollar Sell 10/18/17 267,671 273,062 5,391
Unrealized appreciation 1,483,338
Unrealized depreciation (895,954)
Total $587,384

* The exchange currency for all contracts listed is the United States Dollar.












           
  FUTURES CONTRACTS OUTSTANDING at 8/31/17 (Unaudited)
 
 
  Number of contracts Notional amount Value Expiration date Unrealized appreciation/
(depreciation)
 
  Euro-Bobl 5 yr (Long) 33  $5,230,385  $5,230,388  Sep-17 $3,515 
  Euro-Bund 10 yr (Long) 32  6,288,624  6,288,627  Sep-17 21,851 
  Euro-Buxl 30 yr (Long) 16  3,206,406  3,206,407  Sep-17 38,693 
  Euro-Schatz 2 yr (Long) 21  2,806,563  2,806,565  Sep-17 2,775 
  Japanese Government Bond 10 yr (Long) 13  17,870,196  17,870,196  Sep-17 75,355 
  Russell 2000 Index Mini (Long) 34  2,388,970  2,387,480  Sep-17 (12,595)
  S&P 500 Index E-Mini (Short) 87  10,751,678  10,744,935  Sep-17 (145,365)
  Tokyo Price Index (Long) 19  2,795,360  2,801,565  Sep-17 28,576 
  U.K. Gilt 10 yr (Long) 29  4,773,737  4,773,740  Dec-17 10,065 
  U.S. Treasury Bond 30 yr (Long) 6  936,563  936,563  Dec-17 4,801 
  U.S. Treasury Bond Ultra 30 yr (Long) 12  2,028,750  2,028,750  Dec-17 11,859 
  U.S. Treasury Note 2 yr (Long) 24  5,191,500  5,191,500  Dec-17 2,202 
  U.S. Treasury Note 5 yr (Long) 46  5,451,000  5,451,000  Dec-17 11,049 
  U.S. Treasury Note 10 yr (Long) 48  6,095,250  6,095,250  Dec-17 17,170 
  U.S. Treasury Note 10 yr (Short) 116  14,730,188  14,730,188  Dec-17 (47,239)
 
  Unrealized appreciation 227,911 
  Unrealized depreciation (205,199)
  Total $22,712 












  WRITTEN OPTIONS OUTSTANDING at 8/31/17  (premiums $22,957) (Unaudited)

       
  Counterparty Expiration date/
strike price		 Notional Amount   Contract amount Value
             
  Bank of America N.A.          
  USD/CNH (Put) Oct-17/CNH 6.55 $2,363,300   $2,363,300 $5,476
  USD/JPY (Put) Nov-17/JPY 103.00 1,094,200   1,094,200 2,071
  Deutsche Bank AG          
  SPDR S&P 500 ETF Trust (Call) Sep-17/$250.00 8,171,625   33,018 7,332
  SPDR S&P 500 ETF Trust (Call) Sep-17/251.00 8,171,872   33,019 2,156
  Goldman Sachs International          
  USD/CNH (Put) Oct-17/CNH 6.55 2,361,700   2,361,700 5,472
  Total         $22,507












TBA SALE COMMITMENTS OUTSTANDING at 8/31/17 (proceeds receivable $4,057,227) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 3.50%, 9/1/47 $1,000,000       9/13/17 $1,036,172
Federal National Mortgage Association, 3.00%, 9/1/47 3,000,000       9/13/17 3,034,687
Total $4,070,859












  CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 8/31/17 (Unaudited)
   
               
  Notional amount Value   Upfront premium received (paid)   Termination   
date   		 Payments made
by fund per		   Payments received by fund Unrealized appreciation/
(depreciation)
                       
     $7,770,600  $23,195 (E)  $1,465   9/20/19    3 month USD-LIBOR-BBA - Quarterly   1.70%  - Semiannually   $24,660
     3,725,700  11,121 (E)  7,537   9/20/19    1.70% - Semiannually   3 month USD-LIBOR-BBA - Quarterly   (3,584)
     43,557,400  492,460 (E)  (204,058)   9/20/27    3 month USD-LIBOR-BBA - Quarterly   2.20% - Semiannually   288,403
     9,131,200  103,237 (E)  47,367   9/20/27    2.20% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   (55,871)
     3,726,300  23,081 (E)  (7,983)   9/20/22    3 month USD-LIBOR-BBA - Quarterly   1.90%  - Semiannually   15,097
     2,590,700  16,047 (E)  5,445   9/20/22    1.90% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   (10,602)
     1,433,200  22,286 (E)  (11,733)   9/20/47    3 month USD-LIBOR-BBA - Quarterly   2.45%  - Semiannually   10,553
     692,100  10,762 (E)  7,297   9/20/47    2.45% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   (3,465)
     739,000  9,119    (10)   6/30/27    2.1965% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   (10,204)
     405,000  5,785    (5)   7/25/27    2.22113% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   (6,128)
     161,000  3,074    (2)   7/28/27    2.274% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   (3,206)
     74,000  716    (1)   8/14/27    3 month USD-LIBOR-BBA - Quarterly   2.1733%  - Semiannually   743
  Total        $(154,681)            $246,396
                       
(E) Extended effective date.












  OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 8/31/17 (Unaudited)              
                 
           
  Swap counterparty/
Notional amount		 Value   Upfront premium received (paid)   Termination date   Payments received (paid) by fund   Total return received by or paid by fund Unrealized appreciation/
(depreciation)
                         
  Bank of America N.A.
     $2,100,000 $33,096    $—    5/6/26   (1.88%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity $33,096 
     2,000,000 53,700    —    7/8/26   (1.76) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity 53,700 
     18,245,676 18,642,010    —    3/7/18   (3 month USD-LIBOR-BBA plus 0.10%) - Quarterly   A basket(MLFCF11) of common stocks* - Quarterly 363,440 
     6,500,000 4,836    —    6/14/27   (2.05%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (4,836)
     18,612,084 18,623,959    —    8/2/18   3 month USD-LIBOR-BBA minus 0.07% - Quarterly   Russell 1000 Total Return Index - Quarterly 4,173 
  Barclays Bank PLC
     366,475 357,141    —    1/12/41   4.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly (5,875)
     12,285 12,013    —    1/12/43   3.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly (169)
     4,800,000 139,296    —    12/5/26   (2.308%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (139,296)
     3,600,000 61,596    —    5/5/27   (2.17%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (61,596)
  Citibank, N.A.
     1,300,000 133,679    —    8/7/22   2.515% - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity 133,679 
     1,500,000 23,175    —    4/7/26   (1.858%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity 23,175 
     5,106,227 5,171,210    —    11/27/17   3 month USD-LIBOR-BBA plus 0.09% - Quarterly   Russell 1000 Total Return Index - Quarterly (64,184)
     6,110,729 6,128,126    —    12/1/17   (3 month USD-LIBOR-BBA plus 0.37%) - Quarterly   A basket (CGPUTQL2) of common stocks*- Quarterly 52,986 
     1,200,000 2,081    —    8/7/27   (2.085%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (2,081)
  Credit Suisse International
     2,600,000 338,187    —    1/9/23   (2.76%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (338,187)
     3,400,000 347,109    —    8/7/22   (2.515%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (347,109)
     1,600,000 166,387    —    8/8/22   (2.5325%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (166,387)
     700,000 75,119    —    9/10/22   (2.5925%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (75,119)
     3,300,000 436,438    —    2/8/23   (2.81%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (436,438)
     6,900,000 686,909    —    7/19/23   (2.57%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (686,909)
     31,622 30,531    —    1/12/45   3.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly (820)
  JPMorgan Chase Bank N.A.
     10,900,000 1,122,079    —    8/7/22   (2.515%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (1,122,079)
     1,400,000 5,062    —    8/7/25   (1.92%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity (5,062)
  JPMorgan Securities LLC
     366,475 357,141    —    1/12/41   (4.00%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly 5,873 
     Upfront premium received  —      Unrealized appreciation 670,122 
    Upfront premium (paid)  —      Unrealized depreciation (3,456,147)
        Total $—            Total $(2,786,025)
                         
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below. 
                         












  *A BASKET - MLFCF11 OF COMMON STOCK         
          Percentage
  Common stocks Sector Shares Value Value
           
  Apple, Inc. Information technology 5,070 831,505 4.46%
  Microsoft Corp. Information technology 10,185 761,546 4.09%
  Alphabet, Inc. Class A Information technology 776 741,413 3.98%
  JPMorgan Chase & Co. Financials 5,762 523,673 2.81%
  Johnson & Johnson Health care 3,917 518,462 2.78%
  Citigroup, Inc. Financials 6,581 447,713 2.40%
  UnitedHealth Group, Inc. Health care 2,111 419,796 2.25%
  Verizon Communications, Inc. Telecomunication services 8,459 405,766 2.18%
  Gilead Sciences, Inc. Health care 4,836 404,815 2.17%
  McDonald's Corp. Consumer discretionary 1,970 315,117 1.69%
  Celgene Corp. Health care 2,205 306,379 1.64%
  Goldman Sachs Group, Inc. (The) Financials 1,361 304,543 1.63%
  PepsiCo, Inc. Consumer staples 2,412 279,084 1.50%
  Applied Materials, Inc. Information technology 5,857 264,261 1.42%
  Lowe's Cos., Inc. Consumer discretionary 3,440 254,157 1.36%
  Texas Instruments, Inc. Information technology 2,810 232,714 1.25%
  Walt Disney Co. (The) Consumer discretionary 2,234 226,056 1.21%
  Union Pacific Corp. Industrials 2,094 220,545 1.18%
  Exxon Mobil Corp. Energy 2,857 218,042 1.17%
  TJX Cos., Inc. (The) Consumer discretionary 2,837 205,096 1.10%
  Merck & Co., Inc. Health care 3,025 193,185 1.04%
  Facebook, Inc. Class A Information technology 999 171,873 0.92%
  L3 Technologies, Inc. Industrials 946 171,605 0.92%
  Valero Energy Corp. Energy 2,499 170,151 0.91%
  Walgreens Boots Alliance, Inc. Consumer staples 2,050 167,066 0.90%
  Entergy Corp. Utilities 2,060 163,084 0.87%
  McKesson Corp. Health care 1,084 161,810 0.87%
  Raytheon Co. Industrials 886 161,320 0.87%
  Eli Lilly & Co. Health care 1,941 157,783 0.85%
  Northrop Grumman Corp. Industrials 576 156,686 0.84%
  Kimberly-Clark Corp. Consumer staples 1,248 153,868 0.83%
  HP, Inc. Information technology 7,997 152,588 0.82%
  Wal-Mart Stores, Inc. Consumer staples 1,934 150,991 0.81%
  Ralph Lauren Corp. Consumer discretionary 1,708 150,117 0.81%
  Delta Air Lines, Inc. Industrials 2,950 139,226 0.75%
  Tyson Foods, Inc. Class A Consumer staples 2,145 135,794 0.73%
  Williams Companies, Inc. (The) Energy 4,438 131,937 0.71%
  Cummins, Inc. Industrials 799 127,399 0.68%
  Prudential Financial, Inc. Financials 1,231 125,616 0.67%
  Discovery Communications, Inc. Class A Consumer discretionary 5,593 124,224 0.67%
  Intuit, Inc. Information technology 869 122,885 0.66%
  Square, Inc. Class A Information technology 4,652 121,461 0.65%
  Parsley Energy, Inc. Class A Energy 4,671 117,011 0.63%
  ONEOK, Inc. Energy 2,124 115,056 0.62%
  Crown Holdings, Inc. Materials 1,885 111,293 0.60%
  Sysco Corp. Consumer staples 2,106 110,917 0.59%
  Allstate Corp. (The) Financials 1,220 110,416 0.59%
  Sherwin-Williams Co. (The) Materials 322 109,355 0.59%
  E*Trade Financial Corp. Financials 2,658 109,002 0.58%
  Norfolk Southern Corp. Industrials 879 105,893 0.57%












  *A BASKET - CGPUTQL2 OF COMMON STOCK        
          Percentage
  Common stocks Sector Shares Value Value
           
  Johnson & Johnson Health care 1,451 192,118 3.14%
  JPMorgan Chase & Co. Financials 1,724 156,698 2.56%
  Pfizer, Inc. Health care 4,257 144,388 2.36%
  McDonald's Corp. Consumer discretionary 838 134,028 2.19%
  Apple, Inc. Information technology 805 132,095 2.16%
  UnitedHealth Group, Inc. Health care 604 120,058 1.96%
  Raytheon Co. Industrials 641 116,653 1.90%
  Texas Instruments, Inc. Information technology 1,393 115,359 1.88%
  Altria Group, Inc. Consumer staples 1,785 113,184 1.85%
  Humana, Inc. Health care 431 110,930 1.81%
  Applied Materials, Inc. Information technology 2,448 110,470 1.80%
  Intuit, Inc. Information technology 778 109,997 1.79%
  PNC Financial Services Group, Inc. (The) Financials 856 107,374 1.75%
  eBay, Inc. Information technology 2,970 107,296 1.75%
  Danaher Corp. Health care 1,234 102,938 1.68%
  Honeywell International, Inc. Industrials 739 102,196 1.67%
  Exxon Mobil Corp. Energy 1,321 100,818 1.65%
  Northrop Grumman Corp. Industrials 370 100,665 1.64%
  Norfolk Southern Corp. Industrials 811 97,799 1.60%
  Kimberly-Clark Corp. Consumer staples 793 97,718 1.59%
  CBS Corp. Class B (non-voting shares) Consumer discretionary 1,511 96,764 1.58%
  Walt Disney Co. (The) Consumer discretionary 918 92,920 1.52%
  Automatic Data Processing, Inc. Information technology 823 87,608 1.43%
  TJX Cos., Inc. (The) Consumer discretionary 1,204 87,060 1.42%
  Zoetis, Inc. Health care 1,363 85,470 1.39%
  Sherwin-Williams Co. (The) Materials 239 81,130 1.32%
  Lowe's Cos., Inc. Consumer discretionary 1,085 80,187 1.31%
  Allstate Corp. (The) Financials 805 72,812 1.19%
  Juniper Networks, Inc. Information technology 2,610 72,366 1.18%
  Aflac, Inc. Financials 869 71,758 1.17%
  Alphabet, Inc. Class A Information technology 72 69,150 1.13%
  CVS Health Corp. Consumer staples 893 69,077 1.13%
  General Dynamics Corp. Industrials 323 65,038 1.06%
  Berkshire Hathaway, Inc. Class B Financials 355 64,364 1.05%
  PG&E Corp. Utilities 911 64,130 1.05%
  Verizon Communications, Inc. Telecomunication services 1,334 64,007 1.04%
  Kinder Morgan, Inc. Energy 3,296 63,705 1.04%
  Fidelity National Information Services, Inc. Information technology 682 63,368 1.03%
  F5 Networks, Inc. Information technology 507 60,545 0.99%
  CME Group, Inc. Financials 480 60,415 0.99%
  Baker Hughes a GE Co. Energy 1,632 55,312 0.90%
  Ross Stores, Inc. Consumer discretionary 926 54,106 0.88%
  Merck & Co., Inc. Health care 841 53,718 0.88%
  Equity Residential Trust Real estate 791 53,136 0.87%
  Marathon Petroleum Corp. Energy 1,002 52,563 0.86%
  Sysco Corp. Consumer staples 992 52,231 0.85%
  Adobe Systems, Inc. Information technology 336 52,211 0.85%
  Edison International Utilities 639 51,223 0.84%
  Microsoft Corp. Information technology 677 50,611 0.83%
  Great Plains Energy, Inc. Utilities 1,625 49,886 0.81%












  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 8/31/17 (Unaudited)
                   
  Swap counterparty/
Referenced debt*		 Rating*** Upfront premium received (paid)**   Notional amount  Value Termination date   Payments received by fund (depreciation) Unrealized appreciation/
                       
  Barclays Bank PLC
  EM Series 27 Index BBB-/P $4,880    $100,000  $3,525    6/20/22   100 bp - Quarterly $1,511 
  EM Series 27 Index BBB-/P 15,320    400,000  14,100    6/20/22   100 bp - Quarterly 1,531 
  EM Series 27 Index BBB-/P 94,820    2,200,000  77,550    6/20/22   100 bp - Quarterly 21,731 
  EM Series 27 Index BBB-/P 456,000    8,000,000  282,000    6/20/22   100 bp - Quarterly 190,222 
   
  Credit Suisse International
  CMBX NA A.6 Index A/P 64    2,000  87    5/11/63   200 bp - Monthly (22)
  CMBX NA A.6 Index A/P 188    5,000  218    5/11/63   200 bp - Monthly (28)
  CMBX NA A.6 Index A/P 2,157    41,000  1,784    5/11/63   200 bp - Monthly 390 
  CMBX NA A.6 Index A/P 1,691    52,000  2,262    5/11/63   200 bp - Monthly (551)
  CMBX NA A.6 Index A/P 1,820    58,000  2,523    5/11/63   200 bp - Monthly (681)
  CMBX NA A.7 Index A/P 943    24,000  658    1/17/47   200 bp - Monthly 295 
  CMBX NA A.7 Index A/P 1,040    25,000  685    1/17/47   200 bp - Monthly 365 
  CMBX NA A.7 Index A/P 1,288    35,000  959    1/17/47   200 bp - Monthly 343 
  CMBX NA BBB-.6 Index BBB-/P 2,090    18,000  2,533    5/11/63   300 bp - Monthly (432)
  CMBX NA BBB-.6 Index BBB-/P 2,279    18,000  2,533    5/11/63   300 bp - Monthly (243)
  CMBX NA BBB-.6 Index BBB-/P 2,431    23,000  3,236    5/11/63   300 bp - Monthly (791)
   
  Goldman Sachs International
  CMBX NA A.6 Index A/P 781    15,000  653    5/11/63   200 bp - Monthly 134 
  CMBX NA A.6 Index A/P 759    15,000  653    5/11/63   200 bp - Monthly 113 
  CMBX NA A.6 Index A/P 759    15,000  653    5/11/63   200 bp - Monthly 113 
  CMBX NA A.6 Index A/P 1,066    35,000  1,523    5/11/63   200 bp - Monthly (443)
  CMBX NA A.6 Index A/P 1,083    35,000  1,523    5/11/63   200 bp - Monthly (426)
  CMBX NA A.6 Index A/P 1,820    58,000  2,523    5/11/63   200 bp - Monthly (681)
  CMBX NA A.6 Index A/P 3,736    62,000  2,697    5/11/63   200 bp - Monthly 1,063 
  CMBX NA A.6 Index A/P 3,918    77,000  3,350    5/11/63   200 bp - Monthly 599 
  CMBX NA BBB-.6 Index BBB-/P 317    4,000  563    5/11/63   300 bp - Monthly (244)
  CMBX NA BBB-.6 Index BBB-/P 469    9,000  1,266    5/11/63   300 bp - Monthly (792)
  CMBX NA BBB-.6 Index BBB-/P 613    9,000  1,266    5/11/63   300 bp - Monthly (648)
  CMBX NA BBB-.6 Index BBB-/P 1,056    9,000  1,266    5/11/63   300 bp - Monthly (205)
  CMBX NA BBB-.6 Index BBB-/P 1,298    12,000  1,688    5/11/63   300 bp - Monthly (383)
  CMBX NA BBB-.6 Index BBB-/P 1,303    12,000  1,688    5/11/63   300 bp - Monthly (378)
  CMBX NA BBB-.6 Index BBB-/P 1,266    15,000  2,111    5/11/63   300 bp - Monthly (836)
  CMBX NA BBB-.6 Index BBB-/P 1,382    16,000  2,251    5/11/63   300 bp - Monthly (860)
  CMBX NA BBB-.6 Index BBB-/P 1,941    23,000  3,236    5/11/63   300 bp - Monthly (1,282)
  CMBX NA BBB-.6 Index BBB-/P 4,261    35,000  4,925    5/11/63   300 bp - Monthly (643)
  CMBX NA BBB-.6 Index BBB-/P 8,253    88,000  12,382    5/11/63   300 bp - Monthly (4,077)
  CMBX NA BBB-.6 Index BBB-/P 8,194    109,000  15,336    5/11/63   300 bp - Monthly (7,079)
   
  JPMorgan Securities LLC
  CMBX NA A.6 Index A/P 1,155    35,000  1,523    5/11/63   200 bp - Monthly (354)
  CMBX NA A.6 Index A/P 1,205    42,000  1,827    5/11/63   200 bp - Monthly (606)
  CMBX NA A.6 Index A/P 1,613    49,000  2,132    5/11/63   200 bp - Monthly (500)
  CMBX NA A.6 Index A/P 3,354    57,000  2,480    5/11/63   200 bp - Monthly 897 
  CMBX NA A.6 Index A/P 1,900    58,000  2,523    5/11/63   200 bp - Monthly (601)
  CMBX NA A.6 Index A/P 1,773    63,000  2,741    5/11/63   200 bp - Monthly (943)
  CMBX NA A.6 Index A/P 3,188    72,000  3,132    5/11/63   200 bp - Monthly 56 
  CMBX NA A.6 Index A/P 14,343    238,000  10,353    5/11/63   200 bp - Monthly 4,082 
  CMBX NA A.6 Index A/P 21,201    701,000  30,494    5/11/63   200 bp - Monthly (9,020)
  CMBX NA BBB-.6 Index BBB-/P 438    3,000  422    5/11/63   300 bp - Monthly 18 
  CMBX NA BBB-.6 Index BBB-/P 794    7,000  985    5/11/63   300 bp - Monthly (186)
  CMBX NA BBB-.6 Index BBB-/P 796    7,000  985    5/11/63   300 bp - Monthly (185)
  CMBX NA BBB-.6 Index BBB-/P 1,125    9,000  1,266    5/11/63   300 bp - Monthly (136)
  CMBX NA BBB-.6 Index BBB-/P 2,008    18,000  2,533    5/11/63   300 bp - Monthly (514)
  CMBX NA BBB-.6 Index BBB-/P 4,001    36,000  5,065    5/11/63   300 bp - Monthly (1,043)
  CMBX NA BBB-.6 Index BBB-/P 4,812    45,000  6,332    5/11/63   300 bp - Monthly (1,493)
  CMBX NA BBB-.6 Index BBB-/P 33,893    283,000  39,818    5/11/63   300 bp - Monthly (5,762)
   Upfront premium received  728,885          Unrealized appreciation 223,463 
   Upfront premium (paid)  —          Unrealized depreciation (43,068)
    Total $728,885              Total $180,395 
                       
* 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 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 August 30, 2017.  Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.












   
  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 8/31/17 (Unaudited)
   
                   
               
           
  Swap counterparty/
Referenced debt*		   Upfront premium received (paid)**   Notional amount Value   Termination date   Payments (paid)
by fund 		 Unrealized appreciation/
(depreciation)
                       
  Citigroup Global Markets, Inc.                    
  CMBX NA BB.7 Index   $(1,099)   $7,000  $1,237    1/17/47   (500 bp) - Monthly $131 
  CMBX NA BB.7 Index   (1,143)   7,000  1,237    1/17/47   (500 bp) - Monthly 87 
                       
  Credit Suisse International                    
  CMBX NA BB.7 Index   (2,912)   165,000  35,723    5/11/63   (500 bp) - Monthly 32,648 
  CMBX NA BB.7 Index   (5,099)   31,000  5,478    1/17/47   (500 bp) - Monthly 348 
                       
  Goldman Sachs International                    
   CMBX NA BB.6 Index   (4,603)   45,000  9,743    5/11/63   (500 bp) - Monthly 5,095 
   CMBX NA BB.7 Index   (303)   2,000  353    1/17/47   (500 bp) - Monthly 49 
  CMBX NA BB.7 Index   (6,904)   34,000  6,008    1/17/47   (500 bp) - Monthly (929)
  CMBX NA BB.7 Index   (2,130)   13,000  2,297    1/17/47   (500 bp) - Monthly 155 
                       
  JPMorgan Securities LLC                    
  CMBX NA A.7 Index   (1,159)   55,000  1,507    1/17/47   (200 bp) - Monthly 326 
  CMBX NA BB.6 Index   (1,595)   12,000  2,598    5/11/63   (500 bp) - Monthly 991 
  CMBX NA BB.6 Index   (719)   5,000  1,083    5/11/63   (500 bp) - Monthly 359 
  CMBX NA BB.6 Index   (281)   2,000  433    5/11/63   (500 bp) - Monthly 150 
  CMBX NA BB.7 Index   (8,388)   49,000  8,658    1/17/47   (500 bp) - Monthly 222 
  CMBX NA BB.7 Index   (2,192)   14,000  2,474    1/17/47   (500 bp) - Monthly 269 
  CMBX NA BB.7 Index   (1,786)   11,000  1,944    1/17/47   (500 bp) - Monthly 147 
  CMBX NA BB.7 Index   (1,102)   7,000  1,237    1/17/47   (500 bp) - Monthly 131 
                       
   Upfront premium received  —          Unrealized appreciation 41,108 
   Upfront premium (paid)   (41,415)          Unrealized depreciation   (929)
    Total  $(41,415)             Total  $40,179
* 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.












   
  CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 8/31/17 (Unaudited)
   
                   
             
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional amount Value   Termination date   Payments received by fund  Unrealized appreciation/
(depreciation)
                       
  NA HY Series 28 Index B+/P  $(949,609)    $13,629,000  $992,777   6/20/22   500 bp - Quarterly  $176,421
  NA IG Series 28 Index BBB+/P  (102,621)    5,800,000  111,511   6/20/22   100 bp - Quarterly  20,339
  Total    $(1,052,230)                $196,760
                       
* 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 August 30, 2017.  Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.












             
  CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 8/31/17 (Unaudited)
             
                   
  Referenced debt*   Upfront premium received (paid)**   Notional amount Value   Termination date   Payments (paid) by fund  Unrealized appreciation/
(depreciation)
                       
  NA HY Series 28 Index    $32,642    $444,000  $32,342   6/20/22   (500) bp - Quarterly  $(4,202)
  Total    $32,642                $(4,202)
                       
* 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.












Key to holding's currency abbreviations
CNH Chinese Yuan (Offshore)
JPY Japanese Yen
TRY Turkish Lira
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
bp Basis Points
DAC Designated Activity Company
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor.
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. Rates may be subject to a cap or floor.
IO Interest Only
MTN Medium Term Notes
PJSC Public Joint Stock Company
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from June 1, 2017 through August 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 $158,290,758.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value as of 5/31/17 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 8/31/2017
Short-term investments
Putnam Cash Collateral Pool, LLC*# $226,725 $1,356,739 $1,360,252 $633 $223,212
Putnam Short Term Investment Fund** 30,538,557 42,164,002 45,245,824 84,050 27,456,735
Total Short-term investments $30,765,282 $43,520,741 $46,606,076 $84,683 $27,679,947
* No management fees are charged to Putnam Cash Collateral Pool, LLC. There were no realized or unrealized gains or losses during the period.
# The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund's agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund received cash collateral of $223,212, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $217,192.
** 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. Collateral at period end totaled $1,054,789.
(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. Collateral at period end totaled $3,216,501.
(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. Collateral at period end totaled $2,579,355.
(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. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools.
At the close of the reporting period, the fund maintained liquid assets totaling $16,572,855 to cover certain derivative contracts and delayed delivery securities.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 78.1%
United Kingdom 3.2
Japan 2.3
Germany 2.1
Switzerland 1.6
China 1.6
France 1.5
Canada 1.1
South Korea 1.0
Australia 0.8
Brazil 0.7
Spain 0.5
Taiwan 0.5
Sweden 0.5
Other 4.5
Total 100.0%

Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, to enhance the return on securities owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates, and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates, and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries, to gain exposure to specific sectors or industries, and to generate additional income for the portfolio.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk, and for gaining exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral 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 $3,371,245 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $3,216,501 and may include amounts related to unsettled agreements.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Basic materials $1,799,762 $1,377,028 $—
    Capital goods 4,087,488 371,544 —
    Communication services 1,542,472 921,390 —
    Conglomerates 870,014 182,563 —
    Consumer cyclicals 8,597,573 881,334 —
    Consumer staples 5,111,843 1,056,223 —
    Energy 2,296,714 252,765 —
    Financials 15,219,167 3,761,767 —
    Health care 7,213,560 322,678 —
    Technology 8,518,457 1,773,837 —
    Transportation 1,148,567 585,918 —
    Utilities and power 2,799,249 202,497 —
Total common stocks 59,204,866 11,689,544 —
Asset-backed securities — 81,000 —
Commodity linked notes — 10,311,689 —
Convertible preferred stocks — 54,786 —
Corporate bonds and notes — 36,463,460 122,505
Foreign government and agency bonds and notes — 1,027,302 —
Investment companies 971,186 — —
Mortgage-backed securities — 4,799,690 —
Purchased options outstanding — 636,283 —
Senior loans — 458,199 —
U.S. government and agency mortgage obligations — 17,997,788 —
Warrants 422 108,730 —
Short-term investments 28,177,735 7,503,322 —
Totals by level $88,354,209 $91,131,793 $122,505



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $587,384 $—
Futures contracts 22,712 — —
Written options outstanding — (22,507) —
TBA sale commitments — (4,070,859) —
Interest rate swap contracts — 401,077 —
Total return swap contracts — (2,786,025) —
Credit default contracts — 745,250 —
Totals by level $22,712 $(5,145,680) $—
* 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.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $1,330,584 $585,334
Foreign exchange contracts 1,536,824 908,973
Equity contracts 1,141,124 231,632
Interest rate contracts 1,010,624 3,599,891
Total $5,019,156 $5,325,830
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased equity option contracts (contract amount)$170,000
Purchased currency option contracts (contract amount)$4,400,000
Written equity option contracts (contract amount)$59,000
Written currency option contracts (contract amount)$4,400,000
Futures contracts (number of contracts)600
Forward currency contracts (contract amount)$94,600,000
Centrally cleared interest rate swap contracts (notional) $76,300,000
OTC total return swap contracts (notional)$111,300,000
OTC credit default contracts (notional)$13,900,000
Centrally cleared credit default contracts (notional)$19,600,000
Warrants (number of warrants)85,000

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: October 27, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: October 27, 2017

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