| 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: | July 31, 2018 |
| Date of reporting period: | October 31, 2017 |
Item 1. Schedule of Investments: |
| Putnam Short Duration Income Fund | ||||||
| The fund's portfolio | ||||||
| 10/31/17 (Unaudited) | ||||||
| CORPORATE BONDS AND NOTES (52.0%)(a) | ||||||
| Principal amount | Value | |||||
| Banking (30.3%) | ||||||
| ABN AMRO Bank NV 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.64%, 1.994%, 1/18/19 (Netherlands) | $64,555,000 | $64,880,099 | ||||
| Australia & New Zealand Banking Group, Ltd. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.66%, 1.988%, 9/23/19 (Australia) | 28,940,000 | 29,174,374 | ||||
| Australia & New Zealand Banking Group, Ltd. 144A sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.75%, 2.064%, 11/16/18 (Australia) | 11,770,000 | 11,842,887 | ||||
| Australia & New Zealand Banking Group, Ltd. 144A unsec. FRN BBA LIBOR USD 3 Month + 0.50%, 1.816%, 8/19/20 (Australia) | 19,950,000 | 20,033,931 | ||||
| Australia & New Zealand Banking Group, Ltd./New York, NY sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.56%, 1.875%, 5/15/18 | 9,000,000 | 9,021,211 | ||||
| Bank of America Corp. sr. unsec. notes 6.875%, 11/15/18 | 6,410,000 | 6,734,351 | ||||
| Bank of America Corp. sr. unsec. notes 5.75%, 12/1/17 | 11,050,000 | 11,087,681 | ||||
| Bank of America Corp. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.04%, 2.399%, 1/15/19 | 20,684,000 | 20,886,852 | ||||
| Bank of America Corp. sr. unsec. unsub. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 1.42%, 2.777%, 4/19/21 | 8,100,000 | 8,342,157 | ||||
| Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.87%, 2.205%, 4/1/19 | 18,751,000 | 18,916,022 | ||||
| Bank of America Corp. sr. unsec. unsub. notes 2.00%, 1/11/18 | 9,290,000 | 9,297,153 | ||||
| Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.65%, 2.004%, 7/18/19 (Canada) | 5,000,000 | 5,035,793 | ||||
| Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.60%, 1.91%, 12/12/19 (Canada) | 11,650,000 | 11,733,579 | ||||
| Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.44%, 1.76%, 6/15/20 (Canada) | 24,600,000 | 24,703,074 | ||||
| Bank of New York Mellon Corp. (The) sr. unsec. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.56%, 1.937%, 8/1/18 | 645,000 | 647,522 | ||||
| Bank of New York Mellon Corp. (The) sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.38%, 1.695%, 5/22/18 | 7,715,000 | 7,727,838 | ||||
| Bank of New York Mellon Corp. (The) sr. unsec. unsub. FRN Ser. 1, BBA LIBOR USD 3 Month + 0.44%, 1.756%, 3/6/18 | 4,062,000 | 4,068,236 | ||||
| Bank of Nova Scotia (The) sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.83%, 2.189%, 1/15/19 (Canada) | 5,000,000 | 5,037,009 | ||||
| Bank of Nova Scotia (The) sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.66%, 1.979%, 6/14/19 (Canada) | 10,000,000 | 10,062,070 | ||||
| Bank of Nova Scotia (The) sr. unsec. unsub. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.39%, 1.749%, 7/14/20 (Canada) | 14,000,000 | 14,036,694 | ||||
| Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.55%, 1.866%, 3/5/18 (Japan) | 5,000,000 | 5,007,005 | ||||
| Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 1.90%, 3/28/19 (France) | 19,255,000 | 19,237,365 | ||||
| Banque Federative du Credit Mutuel SA 144A sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.49%, 1.853%, 7/20/20 (France) | 52,900,000 | 53,025,267 | ||||
| Barclays Bank PLC sr. unsec. unsub. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 0.65%, 1.962%, 8/7/20 (United Kingdom) | 25,000,000 | 25,123,540 | ||||
| Barclays Bank PLC 144A unsec. sub. notes 6.05%, 12/4/17 (United Kingdom) | 50,041,000 | 50,230,655 | ||||
| BB&T Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.72%, 2.074%, 1/15/20 | 20,957,000 | 21,117,728 | ||||
| BB&T Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.66%, 2.037%, 2/1/19 | 11,313,000 | 11,382,800 | ||||
| BB&T Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.57%, 1.89%, 6/15/20 | 13,945,000 | 14,015,966 | ||||
| BPCE SA company guaranty sr. unsec. notes Ser. MTN, 1.625%, 1/26/18 (France) | 9,400,000 | 9,398,665 | ||||
| Branch Banking & Trust Co. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.45%, 1.809%, 1/15/20 | 10,000,000 | 10,054,307 | ||||
| Branch Banking & Trust Co. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.53%, 1.907%, 5/1/19 | 16,250,000 | 16,341,142 | ||||
| Capital One NA/Mclean, VA sr. unsec. FRN BBA LIBOR USD 3 Month + 1.15%, 2.464%, 8/17/18 | 18,015,000 | 18,127,190 | ||||
| Capital One NA/Mclean, VA sr. unsec. FRN BBA LIBOR USD 3 Month + 0.77%, 2.082%, 9/13/19 | 22,000,000 | 22,151,228 | ||||
| Capital One NA/Mclean, VA sr. unsec. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.68%, 2.071%, 2/5/18 | 18,790,000 | 18,806,065 | ||||
| Citigroup, Inc. sr. unsec. FRN BBA LIBOR USD 3 Month + 1.31%, 2.681%, 10/26/20 | 18,205,000 | 18,649,011 | ||||
| Citigroup, Inc. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.93%, 2.247%, 6/7/19 | 22,057,000 | 22,269,652 | ||||
| Citigroup, Inc. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.79%, 2.14%, 1/10/20 | 10,447,000 | 10,542,362 | ||||
| Citigroup, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.38%, 2.713%, 3/30/21 | 28,504,000 | 29,216,841 | ||||
| Citigroup, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.88%, 2.258%, 7/30/18 | 1,643,000 | 1,651,388 | ||||
| Citizens Bank NA/Providence RI sr. unsec. FRN BBA LIBOR USD 3 Month + 0.54%, 1.856%, 3/2/20 | 26,400,000 | 26,465,413 | ||||
| Citizens Bank NA/Providence RI sr. unsec. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.57%, 1.887%, 5/26/20 | 40,951,000 | 41,068,940 | ||||
| Citizens Bank NA/Providence RI sr. unsec. notes Ser. MTN, 1.60%, 12/4/17 | 3,800,000 | 3,799,802 | ||||
| Commonwealth Bank of Australia 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.64%, 1.952%, 11/7/19 (Australia) | 19,627,000 | 19,772,279 | ||||
| Commonwealth Bank of Australia 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.45%, 1.767%, 3/10/20 (Australia) | 14,900,000 | 14,939,239 | ||||
| Commonwealth Bank of Australia 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.40%, 1.721%, 9/18/20 (Australia) | 19,600,000 | 19,618,083 | ||||
| Commonwealth Bank of Australia 144A sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.06%, 2.38%, 3/15/19 (Australia) | 6,550,000 | 6,623,707 | ||||
| Credit Agricole SA/London 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.97%, 2.287%, 6/10/20 (United Kingdom) | 3,000,000 | 3,048,486 | ||||
| Credit Agricole SA/London 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.80%, 2.159%, 4/15/19 (United Kingdom) | 12,750,000 | 12,863,400 | ||||
| Credit Suisse AG/New York NY unsec. sub. notes 6.00%, 2/15/18 | 19,368,000 | 19,597,877 | ||||
| Credit Suisse AG/New York, NY sr. unsec. FRN BBA LIBOR USD 3 Month + 0.69%, 2.068%, 1/29/18 | 21,307,000 | 21,336,404 | ||||
| Credit Suisse AG/New York, NY sr. unsec. FRN BBA LIBOR USD 3 Month + 0.68%, 2.054%, 4/27/18 | 11,600,000 | 11,630,253 | ||||
| Credit Suisse AG/New York, NY sr. unsec. notes 1.75%, 1/29/18 | 9,600,000 | 9,604,845 | ||||
| Credit Suisse Group Funding Guernsey, Ltd. company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 2.29%, 3.644%, 4/16/21 (United Kingdom) | 2,250,000 | 2,364,946 | ||||
| Danske Bank A/S 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.58%, 1.896%, 9/6/19 (Denmark) | 37,453,000 | 37,636,258 | ||||
| Danske Bank A/S 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.51%, 1.826%, 3/2/20 (Denmark) | 23,000,000 | 23,086,690 | ||||
| DnB Bank ASA 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.37%, 1.705%, 10/2/20 (Norway) | 43,305,000 | 43,376,930 | ||||
| Fifth Third Bancorp unsec. sub. notes 4.50%, 6/1/18 | 12,475,000 | 12,664,433 | ||||
| Fifth Third Bank/Cincinnati, OH sr. unsec. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.25%, 1.628%, 10/30/20 | 19,200,000 | 19,194,144 | ||||
| Fifth Third Bank/Cincinnati, OH sr. unsec. FRN BBA LIBOR USD 3 Month + 0.59%, 1.92%, 9/27/19 | 13,335,000 | 13,391,927 | ||||
| Firth Third Bank/Cincinnati, OH sr. unsec. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.91%, 2.226%, 8/20/18 | 13,500,000 | 13,574,306 | ||||
| HBOS PLC 144A unsec. sub. notes Ser. GMTN, 6.75%, 5/21/18 (United Kingdom) | 21,915,000 | 22,480,364 | ||||
| HSBC Bank PLC 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.64%, 1.955%, 5/15/18 (United Kingdom) | 5,945,000 | 5,962,755 | ||||
| HSBC USA, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.88%, 2.208%, 9/24/18 | 25,110,000 | 25,284,982 | ||||
| HSBC USA, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.77%, 2.082%, 8/7/18 | 13,250,000 | 13,310,598 | ||||
| HSBC USA, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.61%, 1.919%, 11/13/19 | 13,350,000 | 13,437,485 | ||||
| Huntington National Bank (The) sr. unsec. FRN BBA LIBOR USD 3 Month + 0.51%, 1.827%, 3/10/20 | 25,415,000 | 25,553,096 | ||||
| Huntington National Bank (The) sr. unsec. notes 1.70%, 2/26/18 | 21,860,000 | 21,865,250 | ||||
| ING Bank NV 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 1.13%, 2.453%, 3/22/19 (Netherlands) | 13,130,000 | 13,296,352 | ||||
| ING Bank NV 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.97%, 2.284%, 8/17/20 (Netherlands) | 3,850,000 | 3,900,152 | ||||
| ING Bank NV 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.78%, 2.094%, 8/17/18 (Netherlands) | 7,400,000 | 7,437,386 | ||||
| ING Bank NV 144A sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.69%, 2.025%, 10/1/19 (Netherlands) | 14,455,000 | 14,539,861 | ||||
| ING Bank NV 144A unsec. FRN BBA LIBOR USD 3 Month + 0.55%, 1.871%, 3/16/18 (Netherlands) | 20,050,000 | 20,085,271 | ||||
| JPMorgan Chase & Co. sr. unsec. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.51%, 1.826%, 3/1/18 | 5,000,000 | 5,006,421 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.48%, 2.796%, 3/1/21 | 12,517,000 | 12,944,223 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.21%, 2.583%, 10/29/20 | 16,152,000 | 16,552,900 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.96%, 2.318%, 1/23/20 | 23,528,000 | 23,882,466 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.90%, 2.267%, 1/25/18 | 11,033,000 | 11,055,176 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN Ser. 1, BBA LIBOR USD 3 Month + 0.63%, 2.008%, 1/28/19 | 10,665,000 | 10,722,058 | ||||
| KeyBank NA/Cleveland, OH sr. unsec. notes 1.70%, 6/1/18 | 15,910,000 | 15,913,017 | ||||
| KeyBank NA/Cleveland, OH sr. unsec. unsub. notes Ser. BKNT, 1.65%, 2/1/18 | 29,637,000 | 29,639,203 | ||||
| KeyCorp sr. unsec. unsub. notes Ser. MTN, 2.30%, 12/13/18 | 10,949,000 | 10,996,182 | ||||
| Manufacturers & Traders Trust Co. unsec. sub. notes 6.625%, 12/4/17 | 8,960,000 | 8,999,397 | ||||
| Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.88%, 3.196%, 3/1/21 (Japan) | 2,720,000 | 2,828,699 | ||||
| Mizuho Bank, Ltd. 144A company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.19%, 2.553%, 10/20/18 (Japan) | 13,334,000 | 13,453,566 | ||||
| Mizuho Bank, Ltd. 144A company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.64%, 1.969%, 3/26/18 (Japan) | 16,000,000 | 16,024,849 | ||||
| Mizuho Bank, Ltd. 144A company guaranty sr. unsec. unsub. notes 2.15%, 10/20/18 (Japan) | 3,675,000 | 3,684,666 | ||||
| National Australia Bank, Ltd. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.69%, 2.007%, 12/9/19 (Australia) | 2,600,000 | 2,623,047 | ||||
| National Australia Bank, Ltd. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.59%, 1.94%, 1/10/20 (Australia) | 17,750,000 | 17,858,139 | ||||
| National Australia Bank, Ltd. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.51%, 1.825%, 5/22/20 (Australia) | 25,700,000 | 25,796,349 | ||||
| National Australia Bank, Ltd. 144A sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.78%, 2.139%, 1/14/19 (Australia) | 26,770,000 | 26,954,397 | ||||
| National Bank of Canada company guaranty sr. unsec. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.56%, 1.87%, 6/12/20 (Canada) | 14,750,000 | 14,811,911 | ||||
| National Bank of Canada sr. unsec. FRN BBA LIBOR USD 3 Month + 0.33%, 1.711%, 11/2/20 (Canada) | 18,700,000 | 18,699,963 | ||||
| National Bank of Canada sr. unsec. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.84%, 2.159%, 12/14/18 (Canada) | 5,070,000 | 5,112,172 | ||||
| Nordea Bank AB 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.47%, 1.787%, 5/29/20 (Sweden) | 28,075,000 | 28,216,610 | ||||
| Nordea Bank AB 144A sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.84%, 2.161%, 9/17/18 (Sweden) | 15,800,000 | 15,907,600 | ||||
| Northern Trust Co. (The) unsec. sub. notes Ser. MTN, 5.85%, 11/9/17 | 10,800,000 | 10,809,021 | ||||
| PNC Bank NA sr. unsec. FRN BBA LIBOR USD 3 Month + 0.40%, 1.717%, 12/7/18 | 11,400,000 | 11,440,881 | ||||
| PNC Bank NA sr. unsec. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.36%, 1.676%, 5/19/20 | 13,650,000 | 13,699,140 | ||||
| PNC Bank NA sr. unsec. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.42%, 1.736%, 6/1/18 | 5,500,000 | 5,513,486 | ||||
| PNC Bank NA sr. unsec. notes Ser. MTN, 1.60%, 6/1/18 | 21,000,000 | 20,998,822 | ||||
| PNC Financial Services Group, Inc. (The) sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.25%, 1.562%, 8/7/18 | 10,000,000 | 10,019,608 | ||||
| Rabobank Nederland NV/NY sr. unsec. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.51%, 1.821%, 8/9/19 (Netherlands) | 48,300,000 | 48,601,223 | ||||
| Regions Bank sr. unsec. notes Ser. BKNT, 2.25%, 9/14/18 | 10,200,000 | 10,230,736 | ||||
| Regions Bank unsec. sub. notes Ser. BKNT, 7.50%, 5/15/18 | 5,913,000 | 6,085,640 | ||||
| Royal Bank of Canada sr. unsec. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 0.38%, 1.696%, 3/2/20 (Canada) | 20,000,000 | 20,051,281 | ||||
| Royal Bank of Canada sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.70%, 2.017%, 12/10/18 (Canada) | 12,000,000 | 12,068,757 | ||||
| Royal Bank of Canada sr. unsec. unsub. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 0.48%, 1.858%, 7/29/19 (Canada) | 13,875,000 | 13,941,014 | ||||
| Santander Holdings USA, Inc. sr. unsec. FRN BBA LIBOR USD 3 Month + 1.00%, 2.359%, 7/15/19 | 5,500,000 | 5,541,525 | ||||
| Santander Holdings USA, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.45%, 2.767%, 11/24/17 | 25,871,000 | 25,894,040 | ||||
| Santander UK PLC sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.30%, 1.685%, 11/3/20 (United Kingdom) | 14,200,000 | 14,199,972 | ||||
| Santander UK PLC sr. unsec. unsub. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 0.85%, 2.167%, 8/24/18 (United Kingdom) | 12,800,000 | 12,868,527 | ||||
| Skandinaviska Enskilda Banken AB 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.57%, 1.887%, 9/13/19 (Sweden) | 39,450,000 | 39,681,335 | ||||
| Societe Generale SA company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.08%, 2.415%, 10/1/18 (France) | 14,625,000 | 14,732,333 | ||||
| Standard Chartered PLC 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 1.13%, 2.446%, 8/19/19 (United Kingdom) | 18,645,000 | 18,886,781 | ||||
| State Street Corp. jr. unsec. sub. notes 4.956%, 3/15/18 | 33,750,000 | 34,149,108 | ||||
| State Street Corp. sr. unsec. unsub. notes 1.35%, 5/15/18 | 16,000,000 | 15,977,104 | ||||
| Sumitomo Mitsui Banking Corp. company guaranty sr. unsec. unsub. FRB BBA LIBOR USD 3 Month + 0.58%, 1.939%, 1/16/18 (Japan) | 6,600,000 | 6,605,830 | ||||
| Sumitomo Mitsui Banking Corp. company guaranty sr. unsec. unsub. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 0.74%, 2.103%, 7/23/18 (Japan) | 12,900,000 | 12,953,846 | ||||
| Sumitomo Mitsui Banking Corp. 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.67%, 2.027%, 10/19/18 (Japan) | 11,400,000 | 11,445,611 | ||||
| SunTrust Bank/Atlanta, GA sr. unsec. FRN BBA LIBOR USD 3 Month + 0.53%, 1.91%, 1/31/20 | 28,550,000 | 28,740,713 | ||||
| SunTrust Bank/Atlanta, GA unsec. sub. notes Ser. BKNT, 7.25%, 3/15/18 | 1,400,000 | 1,428,855 | ||||
| SunTrust Banks, Inc. sr. unsec. notes 2.35%, 11/1/18 | 3,400,000 | 3,416,293 | ||||
| Svenska Handelsbanken AB company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.36%, 1.677%, 9/8/20 (Sweden) | 15,000,000 | 15,032,805 | ||||
| Svenska Handelsbanken AB company guaranty sr. unsec. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.49%, 1.806%, 9/6/19 (Sweden) | 6,000,000 | 6,031,212 | ||||
| Swedbank AB 144A sr. unsec. notes 1.75%, 3/12/18 (Sweden) | 24,600,000 | 24,614,022 | ||||
| Toronto-Dominion Bank (The) sr. unsec. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 0.54%, 1.903%, 7/23/18 (Canada) | 10,000,000 | 10,031,675 | ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.65%, 1.959%, 8/13/19 (Canada) | 6,000,000 | 6,050,606 | ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 0.93%, 2.249%, 12/14/20 (Canada) | 1,700,000 | 1,733,828 | ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 1.00%, 2.35%, 4/7/21 (Canada) | 3,000,000 | 3,058,778 | ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.56%, 1.951%, 11/5/19 (Canada) | 7,300,000 | 7,353,962 | ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.42%, 1.774%, 1/18/19 (Canada) | 4,950,000 | 4,968,335 | ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.30%, 1.617%, 3/13/18 (Canada) | 10,000,000 | 10,011,391 | ||||
| Toronto-Dominion Bank (The) sr. unsec. unsub. notes Ser. MTN, 1.625%, 3/13/18 (Canada) | 9,800,000 | 9,803,898 | ||||
| U.S. Bancorp sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.49%, 1.805%, 11/15/18 | 16,700,000 | 16,773,147 | ||||
| U.S. Bancorp sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.40%, 1.767%, 4/25/19 | 3,600,000 | 3,614,457 | ||||
| U.S. Bank, NA/Cincinnati, OH sr. unsec. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.12%, 1.429%, 3/14/19 | 27,400,000 | 27,398,418 | ||||
| U.S. Bank, NA/Cincinnati, OH sr. unsec. FRN Ser. BKNT, BBA LIBOR USD 3 Month + 0.48%, 1.858%, 10/28/19 | 19,400,000 | 19,521,697 | ||||
| U.S. Bank, NA/Cincinnati, OH sr.unsec. FRN BBA LIBOR USD 3 Month + 0.32%, 1.685%, 1/24/20 | 9,900,000 | 9,928,760 | ||||
| UBS AG/Stamford, CT sr. unsec. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 0.64%, 1.949%, 8/14/19 | 32,400,000 | 32,636,830 | ||||
| Wells Fargo & Co. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.46%, 1.823%, 4/22/19 | 4,839,000 | 4,854,765 | ||||
| Wells Fargo & Co. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.34%, 2.656%, 3/4/21 | 17,246,000 | 17,767,058 | ||||
| Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.88%, 2.243%, 7/22/20 | 29,847,000 | 30,319,418 | ||||
| Wells Fargo & Co. sr. unsec. unsub. FRN Ser. N, BBA LIBOR USD 3 Month + 0.68%, 2.058%, 1/30/20 | 20,953,000 | 21,171,088 | ||||
| Wells Fargo & Co. sr. unsec. unsub. notes Ser. MTN, BBA LIBOR USD 3 Month + 1.01%, 2.327%, 12/7/20 | 6,472,000 | 6,604,280 | ||||
| Westpac Banking Corp. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.74%, 2.054%, 11/23/18 (Australia) | 10,000,000 | 10,067,845 | ||||
| Westpac Banking Corp. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.56%, 1.876%, 8/19/19 (Australia) | 12,950,000 | 13,021,955 | ||||
| Westpac Banking Corp. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.43%, 1.747%, 5/25/18 (Australia) | 11,000,000 | 11,019,611 | ||||
| Westpac Banking Corp. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.43%, 1.746%, 3/6/20 (Australia) | 14,900,000 | 14,950,183 | ||||
| 2,338,433,141 | ||||||
| Basic materials (0.2%) | ||||||
| E. I. du Pont de Nemours & Co. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.53%, 1.907%, 5/1/20 | 11,725,000 | 11,830,403 | ||||
| 11,830,403 | ||||||
| Capital goods (0.7%) | ||||||
| John Deere Capital Corp. sr. unsec. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.22%, 1.54%, 12/15/17 | 10,000,000 | 10,001,400 | ||||
| John Deere Capital Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.31%, 1.649%, 1/16/18 | 6,000,000 | 6,002,430 | ||||
| John Deere Capital Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.29%, 1.635%, 10/9/19 | 10,000,000 | 10,034,100 | ||||
| Johnson Controls International PLC sr. unsec. notes 1.40%, 11/2/17 | 2,181,000 | 2,180,980 | ||||
| Textron, Inc. sr. unsec. unsub. notes 5.60%, 12/1/17 | 14,000,000 | 14,040,475 | ||||
| United Technologies Corp. jr. unsec. sub. notes 1.778%, 5/4/18 | 6,000,000 | 5,999,139 | ||||
| United Technologies Corp. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.35%, 1.727%, 11/1/19 | 10,000,000 | 10,049,896 | ||||
| 58,308,420 | ||||||
| Communication services (1.3%) | ||||||
| AT&T, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.91%, 2.227%, 11/27/18 | 12,300,000 | 12,396,354 | ||||
| AT&T, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.65%, 2.009%, 1/15/20 | 34,100,000 | 34,279,882 | ||||
| British Telecommunications PLC sr. unsec. unsub. notes 5.95%, 1/15/18 (United Kingdom) | 2,680,000 | 2,704,196 | ||||
| Deutsche Telekom International Finance BV 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.58%, 1.933%, 1/17/20 (Netherlands) | 22,550,000 | 22,623,754 | ||||
| Deutsche Telekom International Finance BV 144A company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.45%, 1.774%, 9/19/19 (Netherlands) | 3,095,000 | 3,102,174 | ||||
| Verizon Communications, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.37%, 1.685%, 8/15/19 | 23,331,000 | 23,332,572 | ||||
| 98,438,932 | ||||||
| Conglomerates (0.7%) | ||||||
| General Electric Capital Corp. company guaranty sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.27%, 1.582%, 8/7/18 | 4,062,000 | 4,066,025 | ||||
| Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.34%, 1.661%, 3/16/20 (Netherlands) | 25,150,000 | 25,238,251 | ||||
| Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.32%, 1.637%, 9/13/19 (Netherlands) | 15,000,000 | 15,053,827 | ||||
| Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.28%, 1.597%, 5/25/18 (Netherlands) | 10,000,000 | 10,015,360 | ||||
| 54,373,463 | ||||||
| Consumer cyclicals (2.6%) | ||||||
| Amazon.com, Inc. sr. unsec. notes 1.20%, 11/29/17 | 3,000,000 | 2,999,437 | ||||
| Amazon.com, Inc. 144A sr. unsec. notes 1.90%, 8/21/20 | 19,300,000 | 19,267,025 | ||||
| BMW US Capital, LLC 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.41%, 1.73%, 9/13/19 | 8,800,000 | 8,850,933 | ||||
| BMW US Capital, LLC 144A company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.38%, 1.727%, 4/6/20 | 9,800,000 | 9,847,527 | ||||
| Daimler Finance North America, LLC 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.25%, 1.641%, 11/5/18 | 4,730,000 | 4,733,014 | ||||
| Ford Motor Credit Co., LLC sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.57%, 1.886%, 12/6/17 | 15,000,000 | 15,005,246 | ||||
| Ford Motor Credit Co., LLC sr. unsec. unsub. FRN Ser. 1, BBA LIBOR USD 3 Month + 0.83%, 2.14%, 3/12/19 | 8,700,000 | 8,748,870 | ||||
| General Motors Financial Co., Inc. company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 1.27%, 2.606%, 10/4/19 | 4,950,000 | 5,014,301 | ||||
| General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.36%, 2.71%, 4/10/18 | 16,790,000 | 16,857,871 | ||||
| Moody's Corp. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.35%, 1.666%, 9/4/18 | 22,950,000 | 22,995,418 | ||||
| Nissan Motor Acceptance Corp. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.80%, 2.147%, 4/6/18 | 5,000,000 | 5,011,196 | ||||
| Nissan Motor Acceptance Corp. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.58%, 1.939%, 1/13/20 | 10,250,000 | 10,316,307 | ||||
| Nissan Motor Acceptance Corp. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.52%, 1.837%, 9/13/19 | 15,000,000 | 15,064,650 | ||||
| Nissan Motor Acceptance Corp. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.39%, 1.749%, 7/13/20 | 19,500,000 | 19,504,212 | ||||
| Nissan Motor Acceptance Corp. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.39%, 1.721%, 9/28/20 | 9,500,000 | 9,513,897 | ||||
| Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.44%, 1.794%, 10/18/19 | 8,500,000 | 8,553,907 | ||||
| Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.39%, 1.743%, 1/17/19 | 2,105,000 | 2,110,542 | ||||
| Walt Disney Co. (The) sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.32%, 1.67%, 1/8/19 | 15,000,000 | 15,051,599 | ||||
| 199,445,952 | ||||||
| Consumer finance (1.7%) | ||||||
| American Express Co. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.33%, 1.708%, 10/30/20 | 28,400,000 | 28,372,679 | ||||
| American Express Co. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.59%, 1.905%, 5/22/18 | 7,860,000 | 7,875,830 | ||||
| American Express Credit Corp. sr. unsec. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.33%, 1.715%, 5/3/19 | 6,835,000 | 6,855,555 | ||||
| American Express Credit Corp. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.55%, 1.871%, 3/18/19 | 10,921,000 | 10,988,962 | ||||
| American Express Credit Corp. sr. unsec. unsub. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 0.49%, 1.805%, 8/15/19 | 1,900,000 | 1,910,245 | ||||
| American Express Credit Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.57%, 1.948%, 10/30/19 | 5,000,000 | 5,032,252 | ||||
| American Honda Finance Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.46%, 1.819%, 7/13/18 | 7,000,000 | 7,020,335 | ||||
| American Honda Finance Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.34%, 1.649%, 2/14/20 | 14,700,000 | 14,751,132 | ||||
| American Honda Finance Corp. sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.31%, 1.627%, 12/11/17 | 15,000,000 | 15,003,795 | ||||
| Synchrony Financial sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.40%, 2.711%, 11/9/17 | 30,192,000 | 30,199,555 | ||||
| 128,010,340 | ||||||
| Consumer staples (2.7%) | ||||||
| Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.26%, 2.637%, 2/1/21 | 31,025,000 | 32,071,392 | ||||
| BAT International Finance PLC 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.51%, 1.83%, 6/15/18 (United Kingdom) | 6,000,000 | 6,007,362 | ||||
| Conagra Brands, Inc. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.50%, 1.857%, 10/9/20 | 14,020,000 | 14,048,110 | ||||
| Kraft Heinz Co. (The) company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.57%, 1.879%, 2/10/21 | 34,362,000 | 34,416,315 | ||||
| Kraft Heinz Co. (The) company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.42%, 1.729%, 8/9/19 | 29,038,000 | 29,074,298 | ||||
| Molson Coors Brewing Co. company guaranty sr. unsec. unsub. notes 1.45%, 7/15/19 | 10,340,000 | 10,256,697 | ||||
| Mondelez International Holdings Netherlands BV 144A company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.61%, 1.988%, 10/28/19 (Netherlands) | 31,100,000 | 31,229,968 | ||||
| Mondelez International, Inc. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.52%, 1.897%, 2/1/19 | 11,750,000 | 11,781,036 | ||||
| PepsiCo, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.59%, 1.905%, 2/22/19 | 4,230,000 | 4,262,252 | ||||
| Tyson Foods, Inc. sr. unsec. sub. FRN BBA LIBOR USD 3 Month + 0.45%, 1.768%, 5/30/19 | 8,700,000 | 8,715,302 | ||||
| Tyson Foods, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.45%, 1.764%, 8/21/20 | 24,000,000 | 24,045,805 | ||||
| 205,908,537 | ||||||
| Energy (2.2%) | ||||||
| BP Capital Markets PLC company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.54%, 1.849%, 5/10/19 (United Kingdom) | 2,000,000 | 2,011,454 | ||||
| BP Capital Markets PLC company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.51%, 1.819%, 5/10/18 (United Kingdom) | 18,800,000 | 18,839,912 | ||||
| BP Capital Markets PLC company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.43%, 1.734%, 2/13/18 (United Kingdom) | 1,715,000 | 1,716,756 | ||||
| BP Capital Markets PLC company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.35%, 1.659%, 8/14/18 (United Kingdom) | 16,010,000 | 16,050,826 | ||||
| BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.768%, 9/19/19 (United Kingdom) | 10,500,000 | 10,491,622 | ||||
| Chevron Corp. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.41%, 1.725%, 11/15/19 | 9,800,000 | 9,867,016 | ||||
| Chevron Corp. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.21%, 1.526%, 3/3/20 | 24,950,000 | 25,042,782 | ||||
| EQT Corp. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.77%, 2.106%, 10/1/20 | 38,000,000 | 38,262,580 | ||||
| Exxon Mobil Corp. sr. unsec. unsub. notes 1.439%, 3/1/18 | 9,000,000 | 9,001,301 | ||||
| Halliburton Co. sr. unsec. unsub. notes 2.00%, 8/1/18 | 6,680,000 | 6,692,132 | ||||
| Phillips 66 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.75%, 2.109%, 4/15/20 | 3,649,000 | 3,656,059 | ||||
| Phillips 66 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.65%, 2.009%, 4/15/19 | 22,250,000 | 22,278,134 | ||||
| Schlumberger Holdings Corp. 144A sr. unsec. notes 1.90%, 12/21/17 | 3,100,000 | 3,100,952 | ||||
| Total Capital International SA company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.35%, 1.674%, 6/19/19 (France) | 4,525,000 | 4,542,100 | ||||
| 171,553,626 | ||||||
| Financial (1.4%) | ||||||
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.55%, 1.867%, 3/7/18 | 10,000,000 | 10,019,450 | ||||
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.32%, 1.67%, 1/10/20 | 19,750,000 | 19,831,766 | ||||
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.30%, 1.657%, 1/12/18 | 10,000,000 | 10,006,032 | ||||
| HSBC Holdings PLC sr. unsec. FRN BBA LIBOR USD 3 Month + 2.24%, 3.557%, 3/8/21 (United Kingdom) | 1,300,000 | 1,369,973 | ||||
| Mizuho Financial Group, Inc. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 1.48%, 2.837%, 4/12/21 (Japan) | 6,750,000 | 6,938,224 | ||||
| Sumitomo Mitsui Financial Group, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.68%, 2.997%, 3/9/21 (Japan) | 8,460,000 | 8,726,347 | ||||
| UBS AG/London 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.58%, 1.897%, 6/8/20 (United Kingdom) | 20,400,000 | 20,492,963 | ||||
| UBS Group Funding Switzerland AG 144A company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 1.44%, 2.768%, 9/24/20 (Switzerland) | 10,700,000 | 10,906,587 | ||||
| UBS Group Funding Switzerland AG 144A company guaranty sr. unsec. notes BBA LIBOR USD 3 Month + 1.78%, 3.139%, 4/14/21 (Switzerland) | 17,482,000 | 18,125,172 | ||||
| 106,416,514 | ||||||
| Health care (1.2%) | ||||||
| Aetna, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.65%, 1.967%, 12/8/17 | 36,750,000 | 36,767,298 | ||||
| Aetna, Inc. sr. unsec. unsub. notes 1.50%, 11/15/17 | 3,100,000 | 3,099,815 | ||||
| Allergan Funding SCS company guaranty sr. unsec. notes 2.35%, 3/12/18 (Luxembourg) | 2,000,000 | 2,004,591 | ||||
| Allergan Funding SCS company guaranty sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.08%, 2.39%, 3/12/18 (Luxembourg) | 23,100,000 | 23,172,034 | ||||
| AstraZeneca PLC sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.53%, 1.844%, 11/16/18 (United Kingdom) | 10,000,000 | 10,034,994 | ||||
| Becton Dickinson and Co. sr. unsec. unsub. notes 2.133%, 6/6/19 | 14,750,000 | 14,755,883 | ||||
| UnitedHealth Group, Inc. sr. unsec. notes 6.00%, 2/15/18 | 3,026,000 | 3,064,039 | ||||
| 92,898,654 | ||||||
| Insurance (1.8%) | ||||||
| AIG Global Funding 144A sr. FRN BBA LIBOR USD 3 Month + 0.48%, 1.815%, 7/2/20 | 27,350,000 | 27,411,839 | ||||
| CNA Financial Corp. sr. unsec. unsub. notes 6.95%, 1/15/18 | 9,208,000 | 9,304,286 | ||||
| Metropolitan Life Global Funding I 144A FRN BBA LIBOR USD 3 Month + 0.43%, 1.754%, 12/19/18 | 10,000,000 | 10,044,414 | ||||
| Metropolitan Life Global Funding I 144A FRN BBA LIBOR USD 3 Month + 0.34%, 1.659%, 9/14/18 | 25,000,000 | 25,046,754 | ||||
| Metropolitan Life Global Funding I 144A sr. FRN BBA LIBOR USD 3 Month + 0.22%, 1.544%, 9/19/19 | 10,300,000 | 10,314,463 | ||||
| Metropolitan Life Global Funding I 144A sr. notes 1.75%, 9/19/19 | 3,194,000 | 3,181,778 | ||||
| New York Life Global Funding 144A FRN BBA LIBOR USD 3 Month + 0.39%, 1.755%, 10/24/19 | 15,000,000 | 15,075,942 | ||||
| New York Life Global Funding 144A FRN BBA LIBOR USD 3 Month + 0.40%, 1.747%, 4/6/18 | 10,600,000 | 10,617,202 | ||||
| New York Life Global Funding 144A FRN BBA LIBOR USD 3 Month + 0.28%, 1.60%, 12/15/17 | 10,000,000 | 10,001,990 | ||||
| Principal Life Global Funding II 144A FRN BBA LIBOR USD 3 Month + 0.30%, 1.615%, 2/22/19 | 10,000,000 | 10,021,340 | ||||
| Principal Life Global Funding II 144A sr. FRN BBA LIBOR USD 3 Month + 0.50%, 1.816%, 12/1/17 | 10,000,000 | 10,003,560 | ||||
| 141,023,568 | ||||||
| Investment banking/Brokerage (1.5%) | ||||||
| Discover Bank sr. unsec. unsub. notes 2.00%, 2/21/18 | 4,750,000 | 4,754,517 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 1.16%, 2.523%, 4/23/20 | 4,795,000 | 4,878,371 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.80%, 2.117%, 12/13/19 | 7,505,000 | 7,562,789 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 1.10%, 2.415%, 11/15/18 | 15,211,000 | 15,342,423 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN Ser. MTN, BBA LIBOR USD 3 Month + 0.80%, 2.12%, 12/15/17 | 11,719,000 | 11,728,024 | ||||
| Morgan Stanley sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.98%, 2.301%, 6/16/20 | 6,742,000 | 6,827,808 | ||||
| Morgan Stanley sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.85%, 2.215%, 1/24/19 | 31,620,000 | 31,826,514 | ||||
| Morgan Stanley sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.74%, 2.083%, 1/5/18 | 2,226,000 | 2,228,321 | ||||
| Morgan Stanley sr. unsec. unsub. FRN Ser. 3NC2, BBA LIBOR USD 3 Month + 0.80%, 2.109%, 2/14/20 | 24,600,000 | 24,711,418 | ||||
| Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, BBA LIBOR USD 3 Month + 1.40%, 2.763%, 4/21/21 | 4,350,000 | 4,474,134 | ||||
| 114,334,319 | ||||||
| Real estate (0.5%) | ||||||
| Boston Properties LP sr. unsec. unsub. notes 3.70%, 11/15/18(R) | 36,800,000 | 37,372,103 | ||||
| Realty Income Corp. sr. unsec. notes 2.00%, 1/31/18(R) | 3,750,000 | 3,751,196 | ||||
| Welltower, Inc. sr. unsec. unsub. notes 2.25%, 3/15/18(R) | 1,200,000 | 1,202,764 | ||||
| 42,326,063 | ||||||
| Technology (2.0%) | ||||||
| Alibaba Group Holding, Ltd. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.52%, 1.837%, 11/28/17 (China) | 16,700,000 | 16,699,198 | ||||
| Apple, Inc. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.20%, 1.512%, 2/7/20 | 25,000,000 | 25,072,036 | ||||
| Broadcom Corp./Broadcom Cayman Finance, Ltd. 144A company guaranty sr. unsec. notes 2.20%, 1/15/21 | 29,150,000 | 29,023,372 | ||||
| Cisco Systems, Inc. sr. unsec. FRN BBA LIBOR USD 3 Month + 0.31%, 1.63%, 6/15/18 | 10,000,000 | 10,019,584 | ||||
| Cisco Systems, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.60%, 1.916%, 2/21/18 | 5,000,000 | 5,009,694 | ||||
| IBM Credit, LLC sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.26%, 1.623%, 1/20/21 | 28,865,000 | 28,892,827 | ||||
| IBM Credit, LLC sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.15%, 1.467%, 9/6/19 | 28,865,000 | 28,902,664 | ||||
| Qualcomm, Inc. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.27%, 1.586%, 5/18/18 | 10,000,000 | 10,014,223 | ||||
| 153,633,598 | ||||||
| Transportation (—%) | ||||||
| Continental Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 97-4, Class A, 6.90%, 1/2/18 | 397,891 | 398,886 | ||||
| 398,886 | ||||||
| Utilities and power (1.2%) | ||||||
| Dominion Energy, Inc. 144A sr. unsec. FRN BBA LIBOR USD 3 Month + 0.55%, 1.866%, 6/1/19 | 30,150,000 | 30,249,348 | ||||
| DTE Energy Co. sr. unsec. notes 1.50%, 10/1/19 | 7,000,000 | 6,915,383 | ||||
| Edison International sr. unsec. notes 2.125%, 4/15/20 | 10,000,000 | 10,001,211 | ||||
| NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. notes 1.649%, 9/1/18 | 7,000,000 | 6,990,287 | ||||
| Sempra Energy sr. unsec. unsub. notes 1.625%, 10/7/19 | 10,000,000 | 9,928,986 | ||||
| Southern Co. (The) 144A sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.70%, 2.035%, 9/30/20 | 29,600,000 | 29,798,447 | ||||
| 93,883,662 | ||||||
| Total corporate bonds and notes (cost $4,002,057,419) | $4,011,218,078 | |||||
| COMMERCIAL PAPER (38.7%)(a) | ||||||
| Yield (%) | Maturity date | Principal amount | Value | |||
| Aegon NV (Netherlands) | 1.506 | 12/21/17 | $18,500,000 | $18,462,391 | ||
| Aegon NV (Netherlands) | 1.506 | 12/18/17 | 34,000,000 | 33,935,172 | ||
| Agrium, Inc. (Canada) | 1.534 | 12/27/17 | 9,000,000 | 8,979,409 | ||
| Agrium, Inc. (Canada) | 1.474 | 12/12/17 | 13,500,000 | 13,477,635 | ||
| Agrium, Inc. (Canada) | 1.534 | 11/30/17 | 24,000,000 | 23,972,000 | ||
| Agrium, Inc. (Canada) | 1.402 | 11/27/17 | 5,800,000 | 5,793,914 | ||
| Air Liquide US, LLC | 1.464 | 12/22/17 | 25,800,000 | 25,756,323 | ||
| Air Liquide US, LLC | 1.463 | 12/19/17 | 21,000,000 | 20,966,586 | ||
| Albermarle Corp. | 1.672 | 11/16/17 | 6,000,000 | 5,995,331 | ||
| Albermarle Corp. | 1.692 | 11/15/17 | 8,600,000 | 8,593,729 | ||
| Albermarle Corp. | 1.702 | 11/9/17 | 16,350,000 | 16,342,876 | ||
| Amcor, Ltd./Australia (Australia) | 1.434 | 11/29/17 | 19,000,000 | 18,978,434 | ||
| Amcor, Ltd./Australia (Australia) | 1.403 | 11/17/17 | 28,800,000 | 28,781,055 | ||
| Amcor, Ltd./Australia (Australia) | 1.393 | 11/13/17 | 9,000,000 | 8,995,499 | ||
| Amgen, Inc. | 1.321 | 11/8/17 | 18,750,000 | 18,743,996 | ||
| Amphenol Corp. | 1.505 | 12/11/17 | 6,000,000 | 5,990,310 | ||
| Amphenol Corp. | 1.464 | 11/3/17 | 19,250,000 | 19,247,818 | ||
| Anheuser-Busch InBev Worldwide, Inc. | 1.415 | 12/12/17 | 18,800,000 | 18,770,565 | ||
| Anthem, Inc. | 1.403 | 11/6/17 | 24,900,000 | 24,894,028 | ||
| Arrow Electronics, Inc. | 1.823 | 11/29/17 | 25,000,000 | 24,964,374 | ||
| Arrow Electronics, Inc. | 1.752 | 11/20/17 | 19,500,000 | 19,480,966 | ||
| Arrow Electronics, Inc. | 1.803 | 11/2/17 | 8,000,000 | 7,999,229 | ||
| Assa Abloy Financial Services AB (Sweden) | 1.453 | 11/27/17 | 17,000,000 | 16,982,176 | ||
| Autonation, Inc. | 1.600 | 11/1/17 | 50,000,000 | 49,997,593 | ||
| AXA Financial, Inc. | 1.455 | 1/22/18 | 25,000,000 | 24,910,429 | ||
| Bank of Nova Scotia (The) 144A (Canada) | 1.260 | 2/2/18 | 10,000,000 | 10,011,150 | ||
| Bell Canada, Inc. (Canada) | 1.506 | 12/4/17 | 29,000,000 | 28,959,629 | ||
| Bell Canada, Inc. (Canada) | 1.402 | 12/1/17 | 6,300,000 | 6,292,020 | ||
| Bell Canada, Inc. (Canada) | 1.402 | 11/20/17 | 29,250,000 | 29,226,325 | ||
| Boston Scientific Corp. | 1.602 | 11/28/17 | 19,650,000 | 19,628,603 | ||
| Boston Scientific Corp. | 1.602 | 11/15/17 | 16,830,000 | 16,820,253 | ||
| Boston Scientific Corp. | 1.602 | 11/14/17 | 19,000,000 | 18,989,744 | ||
| BPCE SA (France) | 1.441 | 2/5/18 | 28,800,000 | 28,697,335 | ||
| BPCE SA (France) | 1.365 | 12/4/17 | 19,500,000 | 19,478,047 | ||
| Canadian Natural Resources, Ltd. (Canada) | 1.592 | 11/22/17 | 38,500,000 | 38,460,968 | ||
| Canadian Natural Resources, Ltd. (Canada) | 1.562 | 11/21/17 | 16,500,000 | 16,484,042 | ||
| Caterpillar Financial Services | 1.455 | 12/20/17 | 29,263,000 | 29,201,223 | ||
| CBS Corp. | 1.403 | 12/5/17 | 19,200,000 | 19,173,717 | ||
| CBS Corp. | 1.423 | 12/4/17 | 4,900,000 | 4,893,489 | ||
| CBS Corp. | 1.403 | 11/7/17 | 14,500,000 | 14,496,137 | ||
| CenterPoint Energy Resources Corp. | 1.494 | 12/26/17 | 19,500,000 | 19,456,229 | ||
| CenterPoint Energy Resources Corp. | 1.463 | 12/21/17 | 24,000,000 | 23,951,210 | ||
| Commonwealth Bank of Australia 144A (Australia) | 1.187 | 2/15/18 | 10,000,000 | 10,010,280 | ||
| Constellation Brands, Inc. | 1.593 | 11/14/17 | 18,000,000 | 17,987,757 | ||
| Constellation Brands, Inc. | 1.602 | 11/10/17 | 9,000,000 | 8,995,640 | ||
| Darden Restaurants, Inc. | 1.500 | 11/1/17 | 42,000,000 | 41,998,250 | ||
| Deutsche Telekom AG (Germany) | 1.423 | 11/6/17 | 7,725,000 | 7,723,019 | ||
| Diageo Capital PLC (United Kingdom) | 1.403 | 12/13/17 | 26,500,000 | 26,454,990 | ||
| Diageo Capital PLC (United Kingdom) | 1.403 | 12/7/17 | 29,000,000 | 28,957,915 | ||
| DnB Bank ASA (Norway) | 1.386 | 6/20/18 | 18,500,000 | 18,500,463 | ||
| DnB Bank ASA 144A (Norway) | 1.269 | 1/19/18 | 10,000,000 | 10,010,470 | ||
| Dollar General Corp. | 1.421 | 11/9/17 | 14,500,000 | 14,494,519 | ||
| Dollar General Corp. | 1.401 | 11/3/17 | 19,750,000 | 19,747,523 | ||
| Dominion Energy Gas Holdings, LLC | 1.403 | 12/11/17 | 2,390,000 | 2,385,969 | ||
| Dominion Energy Gas Holdings, LLC | 1.413 | 11/8/17 | 14,000,000 | 13,995,517 | ||
| Duke Energy Corp. | 1.465 | 1/5/18 | 14,800,000 | 14,751,982 | ||
| Duke Energy Corp. | 1.475 | 1/4/18 | 17,000,000 | 16,954,971 | ||
| E. I. du Pont de Nemours & Co. | 1.403 | 11/21/17 | 18,700,000 | 18,684,794 | ||
| E. I. du Pont de Nemours & Co. | 1.413 | 11/20/17 | 25,000,000 | 24,980,653 | ||
| Eastman Chemical Co. | 1.402 | 11/10/17 | 24,000,000 | 23,990,813 | ||
| Eastman Chemical Co. | 1.401 | 11/8/17 | 24,030,000 | 24,022,673 | ||
| Enbridge Energy Partners LP | 1.953 | 11/27/17 | 19,600,000 | 19,575,510 | ||
| Enbridge US, Inc. | 1.534 | 12/20/17 | 31,000,000 | 30,938,301 | ||
| Enbridge US, Inc. | 1.421 | 11/15/17 | 2,500,000 | 2,498,552 | ||
| Energy Transfer Partners LP | 1.750 | 11/1/17 | 57,000,000 | 56,997,256 | ||
| Eni Finance USA, Inc. | 1.432 | 11/21/17 | 30,000,000 | 29,975,010 | ||
| Entergy Corp. | 1.464 | 12/12/17 | 23,000,000 | 22,954,866 | ||
| Entergy Corp. | 1.401 | 11/6/17 | 17,000,000 | 16,995,356 | ||
| Enterprise Products Operating, LLC | 1.412 | 11/29/17 | 34,080,000 | 34,041,565 | ||
| Enterprise Products Operating, LLC | 1.402 | 11/14/17 | 18,000,000 | 17,990,284 | ||
| Equifax, Inc. | 1.434 | 11/1/17 | 19,000,000 | 18,999,286 | ||
| ERAC USA Finance, LLC | 1.422 | 11/8/17 | 24,000,000 | 23,992,682 | ||
| ERAC USA Finance, LLC | 1.401 | 11/2/17 | 19,000,000 | 18,998,567 | ||
| ERP Operating LP | 1.402 | 11/14/17 | 14,500,000 | 14,492,173 | ||
| Experian Finance PLC (United Kingdom) | 1.413 | 11/1/17 | 12,000,000 | 11,999,523 | ||
| Florida Power & Light Co. | 1.363 | 12/19/17 | 6,000,000 | 5,987,840 | ||
| Florida Power & Light Co. | 1.404 | 12/11/17 | 24,200,000 | 24,159,182 | ||
| FMC Corp. | 1.450 | 11/2/17 | 39,000,000 | 38,997,058 | ||
| FMC Technologies, Inc. | 1.504 | 12/5/17 | 38,000,000 | 37,947,982 | ||
| Ford Motor Credit Co., LLC | 1.464 | 11/17/17 | 15,000,000 | 14,989,694 | ||
| Fortive Corp. | 1.452 | 11/29/17 | 24,000,000 | 23,972,933 | ||
| Fortive Corp. | 1.432 | 11/28/17 | 29,000,000 | 28,968,422 | ||
| Fortive Corp. | 1.431 | 11/17/17 | 2,000,000 | 1,998,684 | ||
| Hawaiian Electric Co., Inc. | 1.560 | 11/1/17 | 27,000,000 | 26,998,776 | ||
| Hawaiian Electric Industries | 1.651 | 11/1/17 | 6,200,000 | 6,199,719 | ||
| Humana, Inc. | 1.482 | 11/27/17 | 3,200,000 | 3,196,002 | ||
| Humana, Inc. | 1.502 | 11/20/17 | 20,000,000 | 19,981,588 | ||
| Humana, Inc. | 1.504 | 11/16/17 | 34,000,000 | 33,975,051 | ||
| International Flavors & Fragrances, Inc. | 1.442 | 11/27/17 | 28,500,000 | 28,470,098 | ||
| Interpublic Group of Cos., Inc. (The) | 1.412 | 11/29/17 | 16,325,000 | 16,306,602 | ||
| Interpublic Group of Cos., Inc. (The) | 1.412 | 11/24/17 | 3,675,000 | 3,671,580 | ||
| Interpublic Group of Cos., Inc. (The) | 1.401 | 11/13/17 | 10,000,000 | 9,994,999 | ||
| Interpublic Group of Cos., Inc. (The) | 1.401 | 11/6/17 | 1,000,000 | 999,772 | ||
| Interpublic Group of Cos., Inc. (The) | 1.390 | 11/1/17 | 17,800,000 | 17,799,330 | ||
| Intesa Sanpaolo Funding, LLC (Spain) | 1.585 | 12/28/17 | 22,200,000 | 22,141,057 | ||
| Kansas City Southern | 1.570 | 11/3/17 | 18,500,000 | 18,497,325 | ||
| LMA-Americas, LLC (France) | 1.355 | 11/21/17 | 14,000,000 | 13,989,825 | ||
| LMA-Americas, LLC (France) | 1.354 | 11/2/17 | 9,700,000 | 9,699,388 | ||
| Macquarie Bank, Ltd. (Australia) | 1.497 | 2/12/18 | 19,000,000 | 18,919,149 | ||
| Macquarie Bank, Ltd. (Australia) | 1.364 | 11/13/17 | 10,300,000 | 10,295,228 | ||
| Macquarie Bank, Ltd. (Australia) | 1.365 | 11/7/17 | 25,000,000 | 24,993,827 | ||
| Macquarie Bank, Ltd. (Australia) | 1.344 | 11/3/17 | 3,400,000 | 3,399,643 | ||
| Marriott International, Inc./MD | 1.431 | 11/17/17 | 3,500,000 | 3,497,698 | ||
| Marriott International, Inc./MD | 1.431 | 11/15/17 | 22,000,000 | 21,987,258 | ||
| Marriott International, Inc./MD | 1.483 | 11/9/17 | 9,000,000 | 8,996,906 | ||
| Matchpoint Finance PLC (Ireland) | 1.353 | 12/12/17 | 20,500,000 | 20,467,139 | ||
| Mattel, Inc. | 1.702 | 11/16/17 | 19,000,000 | 18,988,254 | ||
| McDonald's Corp. | 1.362 | 12/1/17 | 22,000,000 | 21,973,439 | ||
| Molson Coors Brewing Co. | 1.551 | 11/9/17 | 12,000,000 | 11,995,876 | ||
| Molson Coors Brewing Co. | 1.562 | 11/7/17 | 20,500,000 | 20,494,539 | ||
| Molson Coors Brewing Co. | 1.541 | 11/3/17 | 15,900,000 | 15,898,198 | ||
| Monsanto Co. | 1.482 | 11/22/17 | 41,000,000 | 40,964,974 | ||
| Moody's Corp. | 1.380 | 11/1/17 | 12,000,000 | 11,999,549 | ||
| Nationwide Building Society (United Kingdom) | 1.437 | 1/22/18 | 22,350,000 | 22,277,653 | ||
| Newell Brands, Inc. | 1.589 | 11/13/17 | 22,820,000 | 22,805,596 | ||
| Newell Brands, Inc. | 1.571 | 11/6/17 | 30,000,000 | 29,991,306 | ||
| NiSource Finance Corp. | 1.442 | 12/1/17 | 16,000,000 | 15,980,684 | ||
| NiSource Finance Corp. | 1.492 | 11/13/17 | 20,200,000 | 20,189,897 | ||
| NiSource Finance Corp. | 1.451 | 11/8/17 | 25,000,000 | 24,992,378 | ||
| NRW.Bank (Germany) | 1.294 | 12/8/17 | 33,000,000 | 32,954,543 | ||
| NRW.Bank (Germany) | 1.309 | 11/16/17 | 20,000,000 | 19,988,952 | ||
| Omnicom Capital, Inc. | 1.453 | 11/30/17 | 32,000,000 | 31,962,667 | ||
| Omnicom Capital, Inc. | 1.443 | 11/15/17 | 24,000,000 | 23,986,099 | ||
| ONEOK, Inc. | 1.873 | 11/28/17 | 8,000,000 | 7,989,628 | ||
| ONEOK, Inc. | 1.881 | 11/2/17 | 6,200,000 | 6,199,437 | ||
| ONEOK, Inc. | 1.881 | 11/1/17 | 11,800,000 | 11,799,465 | ||
| Reckitt Benckiser Treasury Services PLC (United Kingdom) | 1.403 | 11/30/17 | 24,000,000 | 23,975,599 | ||
| Rogers Communications, Inc. (Canada) | 1.411 | 11/21/17 | 31,000,000 | 30,974,720 | ||
| Rogers Communications, Inc. (Canada) | 1.412 | 11/1/17 | 17,300,000 | 17,299,374 | ||
| Schlumberger Holdings Corp. | 1.403 | 12/14/17 | 22,500,000 | 22,459,190 | ||
| Schlumberger Holdings Corp. | 1.403 | 11/6/17 | 19,300,000 | 19,295,371 | ||
| Societe Generale SA (France) | 1.399 | 1/31/18 | 31,000,000 | 30,889,643 | ||
| South Carolina Fuel Co., Inc. | 1.602 | 11/15/17 | 17,200,000 | 17,190,038 | ||
| South Carolina Fuel Co., Inc. | 1.552 | 11/2/17 | 10,000,000 | 9,999,246 | ||
| South Carolina Fuel Co., Inc. | 1.552 | 11/3/17 | 24,375,000 | 24,372,238 | ||
| Suncor Energy, Inc. (Canada) | 1.464 | 11/22/17 | 23,500,000 | 23,479,923 | ||
| Suncor Energy, Inc. (Canada) | 1.422 | 11/10/17 | 11,500,000 | 11,495,598 | ||
| Suncor Energy, Inc. (Canada) | 1.442 | 11/8/17 | 14,000,000 | 13,995,732 | ||
| Swedbank AB (Sweden) | 1.315 | 11/17/17 | 24,000,000 | 23,986,933 | ||
| Thomson Reuters Corp. (Canada) | 1.454 | 11/13/17 | 36,000,000 | 35,981,176 | ||
| TransCanada American Investments, Ltd. | 1.465 | 12/18/17 | 5,000,000 | 4,990,467 | ||
| TransCanada PipeLines, Ltd. (Canada) | 1.412 | 12/18/17 | 26,200,000 | 26,150,045 | ||
| UDR, Inc. | 1.401 | 11/10/17 | 56,800,000 | 56,778,257 | ||
| United Technologies Corp. | 1.402 | 11/6/17 | 3,000,000 | 2,999,316 | ||
| Viacom, Inc. | 1.783 | 11/6/17 | 37,100,000 | 37,091,541 | ||
| Westar Energy, Inc. | 1.431 | 11/2/17 | 25,200,000 | 25,198,099 | ||
| Westpac Banking Corp. 144A (Australia) | 1.321 | 11/2/17 | 5,000,000 | 5,000,175 | ||
| Whirlpool Corp. | 1.424 | 11/27/17 | 48,000,000 | 47,949,636 | ||
| WPP CP Finance PLC (United Kingdom) | 1.701 | 2/12/18 | 19,250,000 | 19,161,467 | ||
| WPP CP Finance PLC (United Kingdom) | 1.502 | 11/13/17 | 7,250,000 | 7,246,374 | ||
| WPP CP Finance PLC (United Kingdom) | 1.502 | 11/10/17 | 9,500,000 | 9,496,364 | ||
| WPP CP Finance PLC (United Kingdom) | 1.471 | 11/7/17 | 20,965,000 | 20,959,415 | ||
| Total commercial paper (cost $2,983,711,498) | $2,983,677,914 | |||||
| MORTGAGE-BACKED SECURITIES (3.9%)(a) | ||||||
| Principal amount | Value | |||||
| Agency collateralized mortgage obligations (1.8%) | ||||||
| Bellemeade Re, Ltd. 144A FRB Ser. 17-1, Class M1, 1 Month US LIBOR + 1.70%, 2.738%, 10/25/27 (Bermuda) | $22,200,000 | $22,241,625 | ||||
| Federal Home Loan Mortgage Corporation | ||||||
| Ser. 1619, Class PZ, 6.50%, 11/15/23 | 105,878 | 113,840 | ||||
| Ser. 3724, Class CM, 5.50%, 6/15/37 | 185,763 | 205,216 | ||||
| Ser. 3316, Class CD, 5.50%, 5/15/37 | 72,515 | 81,000 | ||||
| Ser. 2561, Class BD, 5.00%, 2/15/18 | 12,536 | 12,566 | ||||
| Ser. 2541, Class JC, 5.00%, 12/15/17 | 2,716 | 2,718 | ||||
| Ser. 2542, Class ES, 5.00%, 12/15/17 | 491 | 491 | ||||
| Ser. 2519, Class AH, 5.00%, 11/15/17 | 2,152 | 2,151 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 13-DN1, Class M1, 1 Month US LIBOR + 3.40%, 4.638%, 7/25/23 | 34,837 | 35,237 | ||||
| Ser. 3539, Class PM, 4.50%, 5/15/37 | 21,160 | 22,021 | ||||
| Ser. 2958, Class QD, 4.50%, 4/15/20 | 5,502 | 5,526 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class M2, 1 Month US LIBOR + 2.90%, 4.138%, 7/25/28 | 12,589,000 | 13,019,292 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M2, 1 Month US LIBOR + 2.85%, 4.088%, 4/25/28 | 7,288,444 | 7,540,325 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 15-HQA2, Class M2, 1 Month US LIBOR + 2.80%, 4.038%, 5/25/28 | 7,857,577 | 8,115,698 | ||||
| Ser. 2854, Class DL, 4.00%, 9/15/19 | 35,038 | 35,292 | ||||
| Ser. 2864, Class GB, 4.00%, 9/15/19 | 30,504 | 30,841 | ||||
| Ser. 2783, Class AY, 4.00%, 4/15/19 | 20,763 | 20,897 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 15-HQA1, Class M2, 1 Month US LIBOR + 2.65%, 3.888%, 3/25/28 | 13,726,209 | 14,086,522 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 14-HQ3, Class M2, IO, 1 Month US LIBOR + 2.65%, 3.888%, 10/25/24 | 656,086 | 658,054 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class M2, 1 Month US LIBOR + 2.60%, 3.838%, 12/25/27 | 24,239,231 | 24,762,798 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class M2, 1 Month US LIBOR + 2.40%, 3.638%, 1/25/25 | 919,561 | 921,051 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M2, 1 Month US LIBOR + 2.20%, 3.438%, 10/25/28 | 11,152,000 | 11,301,007 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 15-HQ1, Class M2, 1 Month US LIBOR + 2.20%, 3.438%, 3/25/25 | 10,189,511 | 10,251,465 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 14-DN1, Class M2, 1 Month US LIBOR + 2.20%, 3.438%, 2/25/24 | 2,881,133 | 2,966,067 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M2, 1 Month US LIBOR + 2.00%, 3.238%, 12/25/28 | 186,000 | 189,523 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 15-HQ2, Class M2, 1 Month US LIBOR + 1.95%, 3.188%, 5/25/25 | 1,089,000 | 1,111,107 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 14-DN2, Class M2, 1 Month US LIBOR + 1.65%, 2.888%, 4/25/24 | 5,758,461 | 5,836,684 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M1, 1 Month US LIBOR + 1.20%, 2.438%, 8/25/29 | 4,565,893 | 4,609,470 | ||||
| Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M1, 1 Month US LIBOR + 1.10%, 2.338%, 12/25/28 | 2,068,356 | 2,072,512 | ||||
| Ser. 3611, PO, zero %, 7/15/34 | 57,066 | 49,697 | ||||
| Federal National Mortgage Association | ||||||
| Ser. 11-15, Class AB, 9.75%, 8/25/19 | 22,732 | 23,247 | ||||
| Ser. 10-110, Class AE, 9.75%, 11/25/18 | 18,926 | 19,416 | ||||
| Ser. 05-48, Class AR, 5.50%, 2/25/35 | 48,015 | 49,441 | ||||
| Ser. 08-8, Class PA, 5.00%, 2/25/38 | 62,623 | 64,282 | ||||
| Ser. 09-15, Class MC, 5.00%, 3/25/24 | 8,291 | 8,421 | ||||
| Ser. 02-73, Class OE, 5.00%, 11/25/17 | 11 | 11 | ||||
| Ser. 09-100, Class PA, 4.50%, 4/25/39 | 3,428 | 3,443 | ||||
| Ser. 11-60, Class PA, 4.00%, 10/25/39 | 17,211 | 17,650 | ||||
| Ser. 11-36, Class PA, 4.00%, 2/25/39 | 81,511 | 81,914 | ||||
| Ser. 03-43, Class YA, 4.00%, 3/25/33 | 198,540 | 200,295 | ||||
| Ser. 04-27, Class HB, 4.00%, 5/25/19 | 12,496 | 12,613 | ||||
| Ser. 03-128, Class NG, 4.00%, 1/25/19 | 18,636 | 18,748 | ||||
| Ser. 11-20, Class PC, 3.50%, 3/25/39 | 38,429 | 38,867 | ||||
| Ser. 10-155, Class A, 3.50%, 9/25/25 | 13,498 | 13,663 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M1, 1 Month US LIBOR + 2.20%, 3.438%, 10/25/28 | 271,854 | 274,572 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M1, 1 Month US LIBOR + 2.15%, 3.388%, 9/25/28 | 433,492 | 437,892 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M1, 1 Month US LIBOR + 2.10%, 3.338%, 8/25/28 | 299,063 | 301,247 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M1, 1 Month US LIBOR + 2.00%, 3.238%, 10/25/28 | 181,141 | 184,205 | ||||
| Connecticut Avenue Securities FRB Ser. 13-C01, Class M1, 1 Month US LIBOR + 2.00%, 3.238%, 10/25/23 | 47,393 | 47,745 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M1, 1 Month US LIBOR + 1.95%, 3.188%, 8/25/28 | 347,339 | 350,511 | ||||
| Ser. 11-42, Class BJ, 3.00%, 8/25/25 | 122,484 | 122,781 | ||||
| Ser. 10-43, Class KG, 3.00%, 1/25/21 | 31,243 | 31,453 | ||||
| Connecticut Avenue Securities FRB Ser. 14-C01, Class M1, 1 Month US LIBOR + 1.60%, 2.838%, 1/25/24 | 311,097 | 313,498 | ||||
| Ser. 11-23, Class AB, 2.75%, 6/25/20 | 15,206 | 15,232 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M1, 1 Month US LIBOR + 1.35%, 2.588%, 1/25/29 | 5,839,171 | 5,872,503 | ||||
| Ser. 10-81, Class AP, 2.50%, 7/25/40 | 83,960 | 83,530 | ||||
| Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M1, 1 Month US LIBOR + 0.95%, 2.188%, 5/25/24 | 2,857 | 2,858 | ||||
| FRB Ser. 17-C06, Class 2M1, 1 Month US LIBOR + 0.75%, 1.988%, 2/25/30 | 1,792,017 | 1,796,694 | ||||
| FRB Ser. 10-90, Class GF, 1 Month US LIBOR + 0.50%, 1.738%, 8/25/40 | 1,498,682 | 1,490,461 | ||||
| FRB Ser. 06-74, Class FL, 1 Month US LIBOR + 0.35%, 1.588%, 8/25/36 | 256,475 | 255,587 | ||||
| FRB Ser. 05-63, Class FC, 1 Month US LIBOR + 0.25%, 1.488%, 10/25/31 | 818,639 | 815,890 | ||||
| Ser. 92-96, Class B, PO, zero %, 5/25/22 | 4,385 | 4,303 | ||||
| Government National Mortgage Association | ||||||
| Ser. 10-39, Class PH, 4.50%, 11/20/38 | 41,721 | 42,207 | ||||
| Ser. 09-32, Class AB, 4.00%, 5/16/39 | 20,367 | 21,431 | ||||
| 143,317,304 | ||||||
| Commercial mortgage-backed securities (—%) | ||||||
| JPMorgan Chase Commercial Mortgage Securities Trust Ser. 04-LN2, Class A2, 5.115%, 7/15/41 | 29,436 | 29,436 | ||||
| 29,436 | ||||||
| Residential mortgage-backed securities (non-agency) (2.1%) | ||||||
| Banc of America Funding Trust FRB Ser. 05-B, Class 3A1, 1 Month US LIBOR + 0.23%, 1.469%, 4/20/35 | 1,157,134 | 1,151,348 | ||||
| Banc of America Funding Trust 144A FRB Ser. 15-R4, Class 6A1, 1 Month US LIBOR + 0.14%, 1.377%, 8/27/36 | 10,790,729 | 10,736,776 | ||||
| BCAP, LLC Trust 144A FRB Ser. 15-RR6, Class 3A1, 1 Month US LIBOR + 0.94%, 1.829%, 5/26/46 | 875,489 | 866,758 | ||||
| Bear Stearns Asset Backed Securities I Trust | ||||||
| FRB Ser. 07-HE7, Class 1A1, 1 Month US LIBOR + 1.00%, 2.238%, 10/25/37 | 11,955,911 | 12,002,043 | ||||
| FRB Ser. 05-FR1, Class M1, 1 Month US LIBOR + 0.75%, 1.988%, 6/25/35 | 1,674,501 | 1,676,204 | ||||
| FRB Ser. 05-TC1, Class M1, 1 Month US LIBOR + 0.66%, 1.898%, 5/25/35 | 1,688,575 | 1,675,911 | ||||
| FRB Ser. 06-HE1, Class 1M1, 1 Month US LIBOR + 0.41%, 1.648%, 12/25/35 | 1,148,100 | 1,146,814 | ||||
| Bear Stearns Asset Backed Securities Trust | ||||||
| FRB Ser. 05-SD3, Class 1A, 1 Month US LIBOR + 0.49%, 1.728%, 7/25/35 | 2,829,328 | 2,816,627 | ||||
| FRB Ser. 05-SD2, Class 1A3, 1 Month US LIBOR + 0.40%, 1.638%, 3/25/35 | 491,282 | 490,503 | ||||
| CIT Mortgage Loan Trust 144A FRB Ser. 07-1, Class 2A3, 1 Month US LIBOR + 1.45%, 2.688%, 10/25/37 | 5,317,143 | 5,357,969 | ||||
| Citigroup Mortgage Loan Trust, Inc. | ||||||
| FRB Ser. 06-WFH3, Class M1, 1 Month US LIBOR + 0.29%, 1.528%, 10/25/36 | 22,568,000 | 22,459,317 | ||||
| FRB Ser. 06-WFH3, Class A4, 1 Month US LIBOR + 0.24%, 1.478%, 10/25/36 | 554,828 | 549,280 | ||||
| Countrywide Asset-Backed Certificates Trust | ||||||
| FRB Ser. 05-4, Class MV3, 1 Month US LIBOR + 0.50%, 1.738%, 10/25/35 | 719,931 | 719,746 | ||||
| FRB Ser. 05-16, Class 3AV, 1 Month US LIBOR + 0.23%, 1.468%, 5/25/36 | 10,033,926 | 9,833,247 | ||||
| FRB Ser. 06-2, Class 1A1, 1 Month US LIBOR + 0.20%, 1.438%, 6/25/36 | 5,279,209 | 5,273,226 | ||||
| Credit-Based Asset Servicing & Securitization, LLC 144A FRB Ser. 07-SP2, Class A3, 1 Month US LIBOR + 0.45%, 1.688%, 3/25/46 | 5,229,768 | 5,236,924 | ||||
| CSMC Trust 144A FRB Ser. 14-5R, Class 6A1, 1 Month US LIBOR + 0.15%, 1.387%, 10/27/36 | 3,312,042 | 3,319,215 | ||||
| EquiFirst Mortgage Loan Trust FRB Ser. 05-1, Class M3, 1 Month US LIBOR + 0.72%, 1.958%, 4/25/35 | 3,617,613 | 3,618,744 | ||||
| First Franklin Mortgage Loan Trust FRB Ser. 06-FF1, Class 1A, 1 Month US LIBOR + 0.22%, 1.458%, 1/25/36 | 2,006,097 | 2,002,650 | ||||
| GE-WMC Asset-Backed Pass-Through Certificates FRB Ser. 05-2, Class A1, 1 Month US LIBOR + 0.23%, 1.463%, 12/25/35 | 5,925,039 | 5,912,217 | ||||
| GSAA Home Equity Trust FRB Ser. 05-6, Class A3, 1 Month US LIBOR + 0.37%, 1.608%, 6/25/35 | 3,926,754 | 3,926,754 | ||||
| GSAMP Trust FRB Ser. 06-HE7, Class A2D, 1 Month US LIBOR + 0.23%, 1.468%, 10/25/46 | 1,917,844 | 1,899,241 | ||||
| GSMSC Resecuritization Trust 144A FRB Ser. 09-6R, Class 3A1, 3.04%, 2/26/36(WAC) | 2,064,491 | 2,090,211 | ||||
| JPMorgan Mortgage Acquisition Trust FRB Ser. 06-CH1, Class A5, 1 Month US LIBOR + 0.23%, 1.468%, 7/25/36 | 1,485,534 | 1,483,514 | ||||
| Lehman XS Trust FRB Ser. 06-1, Class 1A2, 1 Month US LIBOR + 0.31%, 1.548%, 2/25/36 | 2,285,631 | 2,272,384 | ||||
| Long Beach Mortgage Loan Trust FRB Ser. 06-WL3, Class 2A3, 1 Month US LIBOR + 0.20%, 1.438%, 1/25/36 | 1,659,705 | 1,684,723 | ||||
| Merrill Lynch Mortgage Investors Trust FRB Ser. 06-FF1, Class M2, 1 Month US LIBOR + 0.29%, 1.528%, 8/25/36 | 10,000,000 | 9,992,848 | ||||
| Morgan Stanley Home Equity Loan Trust 144A FRB Ser. 06-1, Class A1, 1 Month US LIBOR + 0.23%, 1.468%, 12/25/35 | 1,317,074 | 1,315,633 | ||||
| Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates | ||||||
| FRB Ser. 05-1, Class M3, 1 Month US LIBOR + 0.86%, 2.093%, 2/25/35 | 652,181 | 652,589 | ||||
| FRB Ser. 05-2, Class M2, 1 Month US LIBOR + 0.68%, 1.913%, 4/25/35 | 2,368,803 | 2,376,303 | ||||
| Opteum Mortgage Acceptance Corp. Trust FRB Ser. 05-4, Class 1A1C, 1 Month US LIBOR + 0.41%, 1.648%, 11/25/35 | 519,029 | 518,251 | ||||
| Park Place Securities, Inc. FRB Ser. 05-WHQ2, Class M1, 1 Month US LIBOR + 0.63%, 1.868%, 5/25/35 | 1,031,395 | 1,032,617 | ||||
| Residential Asset Mortgage Products Trust FRB Ser. 05-EFC2, Class M3, 1 Month US LIBOR + 0.74%, 1.973%, 7/25/35 | 518,816 | 518,925 | ||||
| Residential Asset Mortgage Products, Inc. Trust FRB Ser. 06-RZ4, Class A2, 1 Month US LIBOR + 0.18%, 1.418%, 10/25/36 | 2,965,713 | 2,966,561 | ||||
| Residential Asset Securities Corp., Trust | ||||||
| FRB Ser. 04-KS10, Class M1, 1 Month US LIBOR + 0.90%, 2.138%, 11/25/34 | 5,892,453 | 5,942,806 | ||||
| FRB Ser. 05-KS11, Class M1, 1 Month US LIBOR + 0.40%, 1.638%, 12/25/35 | 2,374,591 | 2,372,359 | ||||
| Soundview Home Loan Trust FRB Ser. 06-2, Class M1, 1 Month US LIBOR + 0.33%, 1.568%, 3/25/36 | 5,000,000 | 4,994,070 | ||||
| Structured Asset Investment Loan Trust | ||||||
| FRB Ser. 04-7, Class A7, 1 Month US LIBOR + 0.84%, 2.078%, 8/25/34 | 5,067,683 | 5,070,279 | ||||
| FRB Ser. 05-8, Class A4, 1 Month US LIBOR + 0.72%, 1.958%, 10/25/35 | 1,233,728 | 1,234,910 | ||||
| FRB Ser. 05-HE1, Class M1, 1 Month US LIBOR + 0.71%, 1.943%, 7/25/35 | 2,045,442 | 2,030,643 | ||||
| FRB Ser. 05-3, Class M2, 1 Month US LIBOR + 0.66%, 1.898%, 4/25/35 | 1,821,485 | 1,821,197 | ||||
| Structured Asset Securities Corp Mortgage Loan Trust | ||||||
| FRB Ser. 06-WF1, Class M1, 1 Month US LIBOR + 0.32%, 1.558%, 2/25/36 | 2,692,477 | 2,686,061 | ||||
| FRB Ser. 06-OPT1, Class A5, 1 Month US LIBOR + 0.26%, 1.498%, 4/25/36 | 3,141,639 | 3,094,515 | ||||
| FRB Ser. 06-NC1, Class A4, 1 Month US LIBOR + 0.15%, 1.388%, 5/25/36 | 1,026,532 | 1,019,707 | ||||
| 159,842,620 | ||||||
| Total mortgage-backed securities (cost $302,596,715) | $303,189,360 | |||||
| CERTIFICATES OF DEPOSIT (3.4%)(a) | ||||||
| Yield (%) | Maturity date | Principal amount | Value | |||
| Bank of Nova Scotia/Houston | 1.827 | 11/1/18 | $5,000,000 | $4,999,005 | ||
| Bank of Nova Scotia/Houston FRN | 1.511 | 11/9/18 | 9,500,000 | 9,498,081 | ||
| Bank of Tokyo-Mitsubishi UFJ, Ltd./New York, NY FRN (Japan) | 1.965 | 2/22/19 | 10,000,000 | 10,032,030 | ||
| Canadian Imperial Bank of Commerce/New York, NY | 1.543 | 2/4/19 | 19,500,000 | 19,497,563 | ||
| Canadian Imperial Bank of Commerce/New York, NY FRN | 1.725 | 2/2/18 | 24,500,000 | 24,528,420 | ||
| Canadian Imperial Bank of Commerce/New York, NY FRN | 1.647 | 5/29/19 | 16,300,000 | 16,294,914 | ||
| Intesa Sanpaolo SpA/New York, NY (Italy) | 1.600 | 11/28/17 | 19,000,000 | 19,003,055 | ||
| National Bank of Canada/New York, NY FRN | 1.750 | 5/8/19 | 19,500,000 | 19,506,045 | ||
| Nordea Bank AB/New York, NY FRN | 1.696 | 2/21/19 | 6,000,000 | 5,998,446 | ||
| Nordea Bank AB/New York, NY FRN | 1.657 | 3/7/19 | 10,000,000 | 9,997,320 | ||
| Royal Bank of Canada/New York, NY FRN (Canada) | 1.617 | 12/8/17 | 5,000,000 | 5,002,155 | ||
| Skandinaviska Enskilda Banken AB/New York, NY FRN | 1.669 | 2/21/18 | 2,000,000 | 2,002,256 | ||
| Skandinaviska Enskilda Banken AB/New York, NY FRN | 1.561 | 5/3/19 | 19,750,000 | 19,747,077 | ||
| Skandinaviska Enskilda Banken AB/New York, NY FRN | 1.525 | 2/22/18 | 10,000,000 | 10,008,360 | ||
| Sumitomo Mitsui Banking Corp/New York FRN (Japan) | 1.776 | 6/5/19 | 19,650,000 | 19,668,412 | ||
| Svenska Handelsbanken/New York, NY FRN (Sweden) | 1.597 | 6/7/19 | 9,750,000 | 9,748,450 | ||
| Svenska Handelsbanken/New York, NY FRN (Sweden) | 1.439 | 2/12/19 | 20,000,000 | 19,997,440 | ||
| Swedbank AB/New York | 1.642 | 8/24/20 | 28,500,000 | 28,492,134 | ||
| Toronto-Dominion Bank/NY (Canada) | 1.757 | 11/20/17 | 10,000,000 | 10,003,200 | ||
| Total certificates of deposit (cost $263,923,369) | $264,024,363 | |||||
| ASSET-BACKED COMMERCIAL PAPER (1.0%)(a) | ||||||
| Yield (%) | Maturity date | Principal amount | Value | |||
| Atlantic Asset Securitization, LLC | 1.334 | 12/8/17 | $23,300,000 | $23,268,494 | ||
| MetLife Short Term Funding, LLC | 1.306 | 12/19/17 | 29,000,000 | 28,952,713 | ||
| Victory Receivables Corp. (Japan) | 1.325 | 12/15/17 | 24,000,000 | 23,961,000 | ||
| Total asset-backed commercial paper (cost $76,179,163) | $76,182,207 | |||||
| ASSET-BACKED SECURITIES (0.9%)(a) | ||||||
| Principal amount | Value | |||||
| Mortgage Repurchase Agreement Financing Trust 144A | ||||||
| FRB Ser. 16-4, Class A1, 1 Month US LIBOR + 1.20%, 2.435%, 5/10/19 | $3,898,000 | $3,898,000 | ||||
| FRB Ser. 16-5, Class A, 1 Month US LIBOR + 1.17%, 2.405%, 6/10/19 | 25,000,000 | 25,000,000 | ||||
| Station Place Securitization Trust 144A | ||||||
| FRB Ser. 17-1, Class A, 1 Month US LIBOR + 0.90%, 2.138%, 2/25/49 | 7,817,000 | 7,817,000 | ||||
| FRB Ser. 17-6, Class A, 1 Month US LIBOR + 0.70%, 1.938%, 11/24/18 | 32,563,000 | 32,563,000 | ||||
| Total asset-backed securities (cost $69,278,609) | $69,278,000 | |||||
| REPURCHASE AGREEMENTS (0.5%)(a) | ||||||
| Principal amount | Value | |||||
| Interest in $35,000,000 tri-party term repurchase agreement dated 10/31/17 with BNP Paribas due 12/5/17 - maturity value of $35,046,958 for an effective yield of 1.380% (collateralized by various corporate bonds and notes with coupon rates ranging from 1.700% to 8.500% and due dates ranging from 4/15/18 to 8/15/47, valued at $36,752,243)(IR) | $35,000,000 | $35,000,000 | ||||
| Total repurchase agreements (cost $35,000,000) | $35,000,000 | |||||
| U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (—%)(a) | ||||||
| Principal amount | Value | |||||
| U.S. Government Guaranteed Mortgage Obligations (—%) | ||||||
| Government National Mortgage Association Pass-Through Certificates | ||||||
| 4.50%, 10/15/19 | $23,596 | $23,987 | ||||
| 4.50%, 5/15/18 | 8,744 | 8,790 | ||||
| 32,777 | ||||||
| U.S. Government Agency Mortgage Obligations (—%) | ||||||
| Federal Home Loan Mortgage Corporation 4.50%, 10/1/18 | 2,947 | 2,968 | ||||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||||||
| 6.50%, 3/1/19 | 17,185 | 17,575 | ||||
| 6.00%, 2/1/19 | 80 | 80 | ||||
| 5.50%, with due dates from 4/1/18 to 11/1/18 | 9,953 | 10,006 | ||||
| 5.00%, with due dates from to 2/1/18 to 5/1/21 | 61,523 | 62,818 | ||||
| 4.50%, 8/1/18 | 9,222 | 9,301 | ||||
| Federal National Mortgage Association Pass-Through Certificates | ||||||
| 6.50%, 12/1/19 | 2,099 | 2,150 | ||||
| 6.00%, with due dates from 12/1/17 to 5/1/23 | 25,267 | 26,322 | ||||
| 5.50%, with due dates from 4/1/18 to 11/1/23 | 56,963 | 58,167 | ||||
| 5.00%, 11/1/19 | 27,618 | 28,180 | ||||
| 217,567 | ||||||
| Total U.S. government and agency mortgage obligations (cost $262,636) | $250,344 | |||||
| TOTAL INVESTMENTS | ||||||
| Total investments (cost $7,733,009,409) | $7,742,820,266 | |||||
| Key to holding's abbreviations | |||
| BKNT | Bank Note | ||
| 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. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
| FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
| GMTN | Global Medium Term Notes | ||
| IO | Interest Only | ||
| MTN | Medium Term Notes | ||
| PO | Principal Only | ||
| Notes to the fund's portfolio | ||||||
| Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2017 through October 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 $7,714,950,160. | |||||
| (R) | Real Estate Investment Trust. | |||||
| (IR) | Repurchase agreements with a maturity of more than seven days are considered to be illiquid investments. | |||||
| (WAC) | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | |||||
| 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 | 66.1% | |||||
| Canada | 7.3 | |||||
| United Kingdom | 5.5 | |||||
| Australia | 4.8 | |||||
| Netherlands | 4.3 | |||||
| France | 3.1 | |||||
| Sweden | 2.6 | |||||
| Japan | 1.8 | |||||
| Norway | 0.9 | |||||
| Denmark | 0.8 | |||||
| Germany | 0.8 | |||||
| Other | 2.0 | |||||
| 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. | ||||||
| Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
| To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | ||||||
| To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | ||||||
| Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $36,752,243, is held at the counterparty's custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. | ||||||
| Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates. | ||||||
| ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ||||
| Level 1: Valuations based on quoted prices for identical securities in active markets. | ||||
| Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | ||||
| Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. | ||||
| The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | ||||
| Valuation inputs | ||||
|
| ||||
| Investments in securities: | Level 1 | Level 2 | Level 3 | |
| Asset-backed commercial paper | $— | $76,182,207 | $— | |
| Asset-backed securities | — | 36,715,000 | 32,563,000 | |
| Certificates of deposit | — | 264,024,363 | — | |
| Commercial paper | — | 2,983,677,914 | — | |
| Corporate bonds and notes | — | 4,011,218,078 | — | |
| Mortgage-backed securities | — | 303,189,360 | — | |
| Repurchase agreements | — | 35,000,000 | — | |
| U.S. government and agency mortgage obligations | — | 250,344 | — | |
|
|
|
|
||
| Totals by level | $— | $7,710,257,266 | $32,563,000 | |
| During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method. | ||||
| 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. | ||||
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: December 28, 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: December 28, 2017 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer Date: December 28, 2017 |
| Certifications | |
| I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that: | |
1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: | |
2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report; | |
3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; | |
4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: | |
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; | |
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |
c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and | |
d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and | |
5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions): | |
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and | |
b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting. | |
/s/ Jonathan S. Horwitz | |
| _____________________________ | |
Date: December 28, 2017 | |
| Jonathan S. Horwitz | |
| Principal Executive Officer | |
Certifications | |
| I, Janet C. Smith, the Principal Financial Officer of the funds listed on Attachment A, certify that: | |
1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: | |
2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report; | |
3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; | |
4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: | |
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; | |
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |
c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and | |
d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and | |
5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions): | |
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and | |
b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting. | |
/s/ Janet C. Smith | |
| _______________________________ | |
Date: December 28, 2017 | |
| Janet C. Smith | |
| Principal Financial Officer | |
Attachment A | |
NQ | |
Period (s) ended October 31, 2017 | |
| Putnam Premier Income Trust | |
| Putnam Research Fund | |
| Putnam Investors Fund | |
| Putnam Tax- Free High Yield Fund | |
| Putnam AMT-Free Municipal Fund | |
| Putnam Growth Opportunities Fund | |
| George Putnam Balanced Fund | |
| Putnam Short Duration Income Fund | |
| Putnam Short Term Investment Fund | |
| Putnam Low Volatility Equity Fund | |
Putnam RetirementReady — Funds: | |
| Putnam RetirementReady — 2060 | |
| Putnam RetirementReady — 2055 | |
| Putnam RetirementReady — 2050 | |
| Putnam RetirementReady — 2045 | |
| Putnam RetirementReady — 2040 | |
| Putnam RetirementReady — 2035 | |
| Putnam RetirementReady — 2030 | |
| Putnam RetirementReady — 2025 | |
| Putnam RetirementReady — 2020 | |
| Putnam Retirement Income Fund Lifestyle 1 |