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: 100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service: Robert T. Burns, Vice President
100 Federal Street
Boston, Massachusetts 02110
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, 2019
Date of reporting period: February 28, 2019



Item 1. Schedule of Investments:


Putnam Dynamic Risk Allocation Fund
The fund's portfolio
2/28/19 (Unaudited)



COMMON STOCKS (48.6%)(a)
        Shares Value
Banking (3.2%)
ABN AMRO Group NV GDR (Netherlands) 5,592 $135,608
Banco de Chile ADR (Chile) 716 22,819
Banco do Brasil SA (Brazil) 8,988 121,080
Banco Santander (Brasil) S.A. (Units) (Brazil) 6,000 71,786
Banco Santander Chile ADR (Chile) 1,314 41,588
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand Class B (Mexico) 33,900 46,556
Bank Leumi Le-Israel BM (Israel) 6,150 40,673
Bank of China, Ltd. (China) 60,000 27,975
Bank of Communications Co., Ltd. (China) 101,000 84,791
China Construction Bank Corp. Class H (China) 12,000 10,670
Comerica, Inc. 6,743 587,383
DNB ASA (Norway) 1,010 19,358
East West Bancorp, Inc. 2,574 140,566
FirstRand, Ltd. (South Africa) 14,997 68,421
Grupo Financiero Banorte SAB de CV (Mexico) 15,600 84,936
Hang Seng Bank, Ltd. (Hong Kong) 5,600 138,756
HSBC Holdings PLC (United Kingdom) 3,513 28,558
Industrial & Commercial Bank of China, Ltd. (China) 227,000 174,665
Industrial Bank of Korea (South Korea) 3,539 43,895
Itau Unibanco Holding SA (Preference) (Brazil) 10,352 97,094
JPMorgan Chase & Co. 10,626 1,108,929
KBC Groep NV (Belgium) 461 34,147
Lloyds Banking Group PLC (United Kingdom) 167,288 140,984
Mizuho Financial Group, Inc. (Japan) 107,700 169,282
Resona Holdings, Inc. (Japan) 28,600 129,138
Sberbank of Russia PJSC ADR (Russia) 5,323 67,921
Shinhan Financial Group Co., Ltd. (South Korea) 971 37,685
Sumitomo Mitsui Financial Group, Inc. (Japan) 5,000 176,827
Sumitomo Mitsui Trust Holdings, Inc. (Japan) 1,300 49,206
SunTrust Banks, Inc. 3,999 259,415
Swedbank AB Class A (Sweden) 6,408 117,739
U.S. Bancorp 5,057 261,396
4,539,847
Basic materials (2.0%)
Anglo American PLC (United Kingdom) 5,295 140,706
Anhui Conch Cement Co., Ltd. (China) 21,000 120,118
ArcelorMittal SA (France) 3,334 76,642
Arkema SA (France) 786 79,247
Ashland Global Holdings, Inc. 1,923 148,802
Astral Foods, Ltd. (South Africa) 760 8,790
Axalta Coating Systems, Ltd.(NON) 6,406 171,232
BASF SE (Germany) 1,919 146,223
BlueScope Steel, Ltd. (Australia) 9,543 91,115
Boliden AB (Sweden) 903 24,711
Catcher Technology Co., Ltd. (Taiwan) 10,000 76,032
China Oriental Group Co., Ltd. (China) 38,000 25,463
China Railway Construction Corp., Ltd. (China) 29,500 42,466
CIMIC Group, Ltd. (Australia) 1,332 47,384
Covestro AG (Germany) 1,423 81,156
Evonik Industries AG (Germany) 1,029 28,968
Evraz PLC (Russia) 12,497 93,585
Formosa Chemicals & Fibre Corp. (Taiwan) 22,000 75,415
Formosa Plastics Corp. (Taiwan) 23,000 76,601
Glencore PLC (United Kingdom) 5,095 20,540
HOCHTIEF AG (Germany) 328 52,008
Kajima Corp. (Japan) 2,700 39,919
Kumba Iron Ore, Ltd. (South Africa) 1,276 33,800
Lotte Chemical Corp. (South Korea) 108 30,632
Mitsubishi Chemical Holdings Corp. (Japan) 4,100 30,232
Mitsubishi Gas Chemical Co., Inc. (Japan) 1,700 25,958
PTT Global Chemical PCL (Thailand) 43,600 99,618
Rio Tinto PLC (United Kingdom) 4,228 243,154
Sherwin-Williams Co. (The) 583 252,556
Shimizu Corp. (Japan) 3,200 28,077
Sika AG (Switzerland) 117 15,826
Sinopec Shanghai Petrochemical Co., Ltd. (China) 66,000 33,463
South32, Ltd. (Australia) 22,427 62,203
Sumitomo Chemical Co., Ltd. (Japan) 11,900 58,932
Taisei Corp. (Japan) 3,100 146,288
UPM-Kymmene OYJ (Finland) 3,958 119,394
2,847,256
Capital goods (2.8%)
ACS Actividades de Construccion y Servicios SA (Spain) 3,109 137,846
Avery Dennison Corp. 360 38,894
Berry Plastics Group, Inc.(NON) 4,786 251,121
China Railway Group, Ltd. (China) 65,000 64,422
Daelim Industrial Co., Ltd. (South Korea) 754 62,750
Faurecia SA (France) 2,304 109,911
General Dynamics Corp. 231 39,321
HD Supply Holdings, Inc.(NON) 5,178 222,706
Hitachi, Ltd. (Japan) 5,800 173,534
Honeywell International, Inc. 4,018 619,053
Northrop Grumman Corp. 2,268 657,629
Raytheon Co. 3,717 693,221
Resideo Technologies, Inc.(NON) 6,969 179,103
Safran SA (France) 56 7,637
Sandvik AB (Sweden) 10,002 164,336
Tervita Corp. (Canada)(NON) 63 338
United Tractors Tbk PT (Indonesia) 7,000 13,186
Waste Management, Inc. 3,912 396,090
Weichai Power Co., Ltd. Class H (China) 33,000 45,823
3,876,921
Communication services (1.7%)
ARRIS International PLC(NON) 1,182 37,446
AT&T, Inc. 6,271 195,154
BT Group PLC (United Kingdom) 39,601 112,771
China Mobile, Ltd. (China) 16,000 168,362
Deutsche Telekom AG (Germany) 7,569 124,707
Eutelsat Communications SA (France) 894 17,653
Hikari Tsushin, Inc. (Japan) 100 17,898
HKT Trust & HKT, Ltd. (Units) (Hong Kong) 16,000 24,989
Juniper Networks, Inc. 11,990 324,689
KDDI Corp. (Japan) 4,200 101,303
KT Corp. (South Korea) 548 13,862
LG Uplus Corp. (South Korea) 6,872 91,651
MultiChoice Group, Ltd. (South Africa)(NON) 121 902
Nippon Telegraph & Telephone Corp. (Japan) 1,500 64,608
NTT DoCoMo, Inc. (Japan) 3,200 74,398
SK Telecom Co., Ltd. (South Korea) 446 103,301
Swisscom AG (Switzerland) 85 39,355
T-Mobile US, Inc.(NON) 2,258 163,050
Telenor ASA (Norway) 6,465 126,064
Telkom SA SOC, Ltd. (South Africa) 6,102 30,316
Telstra Corp., Ltd. (Australia) 30,525 67,774
Verizon Communications, Inc. 8,338 474,599
2,374,852
Conglomerates (0.3%)
Marubeni Corp. (Japan) 17,900 127,620
Mitsubishi Corp. (Japan) 3,400 95,748
Mitsui & Co., Ltd. (Japan) 8,600 135,020
358,388
Consumer cyclicals (6.4%)
ABC-Mart, Inc. (Japan) 500 28,619
Amazon.com, Inc.(NON) 294 482,110
Aristocrat Leisure, Ltd. (Australia) 2,001 34,946
Astro Malaysia Holdings Bhd (Malaysia) 8,500 3,428
Atacadao Distribuicao Comercio e Industria Ltda. (Brazil) 1,163 6,044
Automatic Data Processing, Inc. 4,935 755,203
AutoZone, Inc.(NON) 463 434,743
Berkeley Group Holdings PLC (The) (United Kingdom) 634 33,216
Capri Holdings, Ltd.(NON) 2,624 119,654
CK Hutchison Holdings, Ltd. (Hong Kong) 5,500 58,540
Crown, Ltd. (Australia) 5,357 43,548
Dongfeng Motor Group Co., Ltd. (China) 40,000 42,549
Ecolab, Inc. 1,037 175,160
El Puerto de Liverpool SAB de CV Class C1 (Mexico) 2,500 15,686
Fast Retailing Co., Ltd. (Japan) 100 46,795
Fiat Chrysler Automobiles NV (Italy)(NON) 4,247 62,713
Ford Motor Co. 11,549 101,285
Ford Otomotiv Sanayi AS (Turkey) 2,141 22,239
Galaxy Entertainment Group, Ltd. (Hong Kong) 7,000 49,715
Geely Automobile Holdings, Ltd. (China) 22,000 41,311
Genting Bhd (Singapore) 75,100 56,658
Genting Bhd (Malaysia) 18,200 32,985
Guangzhou Automobile Group Co., Ltd. Class H (China) 82,000 100,806
Haier Electronics Group Co., Ltd. (China) 7,000 20,867
Hermes International (France) 271 171,633
Home Depot, Inc. (The) 624 115,527
Host Hotels & Resorts, Inc.(R) 7,123 139,682
Industria de Diseno Textil SA (Inditex) (Spain) 1,274 38,459
Itausa - Investimentos Itau SA (Preference) (Brazil) 3,061 10,081
John Wiley & Sons, Inc. Class A 598 31,030
Kering SA (France) 78 42,595
Kimberly-Clark Corp. 1,222 142,766
Liberty Media Corp.-Liberty SiriusXM Class C(NON) 2,795 115,182
Lowe's Cos., Inc. 6,718 705,995
Mitsubishi Motors Corp. (Japan) 2,800 15,700
Moncler SpA (Italy) 548 21,018
Mr Price Group, Ltd. (South Africa) 4,294 65,776
Namco Bandai Holdings, Inc. (Japan) 800 34,020
News Corp. Class A 11,514 149,912
Next PLC (United Kingdom) 644 43,460
Nintendo Co., Ltd. (Japan) 300 81,927
Omnicom Group, Inc. 7,198 544,889
Pearson PLC (United Kingdom) 6,414 71,971
Peugeot SA (France) 7,049 179,280
Pou Chen Corp. (Taiwan) 8,000 10,086
President Chain Store Corp. (Taiwan) 6,000 62,093
ProSiebenSat.1 Media SE (Germany) 2,551 46,542
PVH Corp. 1,664 191,094
Qualicorp SA (Brazil) 10,300 42,476
Randstad Holding NV (Netherlands) 759 40,533
Ross Stores, Inc. 4,314 409,097
RTL Group SA (Belgium) 409 23,065
ServiceMaster Global Holdings, Inc.(NON) 3,232 145,957
Sinotruk Hong Kong, Ltd. (China) 20,500 37,293
Sony Corp. (Japan) 3,700 177,291
Suzuki Motor Corp. (Japan) 500 25,573
Tapestry, Inc. 674 23,550
Taylor Wimpey PLC (United Kingdom) 40,735 98,008
Tekfen Holding AS (Turkey) 3,227 15,959
TJX Cos., Inc. (The) 14,847 761,503
Toyota Motor Corp. (Japan) 2,000 120,163
TUI AG (Germany) 6,604 70,091
Volkswagen AG (Preference) (Germany) 257 44,112
Volvo AB (Sweden) 12,130 178,614
Wal-Mart de Mexico SAB de CV (Mexico) 46,839 121,219
Walt Disney Co. (The) 5,737 647,363
Wolters Kluwer NV (Netherlands) 1,736 114,488
Zhongsheng Group Holdings, Ltd. (China) 14,500 33,693
8,929,586
Consumer finance (0.5%)
American Express Co. 5,358 577,271
Capitec Bank Holdings, Ltd. (South Africa) 419 38,833
Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) 4,100 20,856
636,960
Consumer staples (4.2%)
Altria Group, Inc. 363 19,025
Ashtead Group PLC (United Kingdom) 4,975 132,170
Associated British Foods PLC (United Kingdom) 2,883 85,769
Bright Horizons Family Solutions, Inc.(NON) 802 99,448
Carlsberg A/S Class B (Denmark) 732 88,675
Cia Cervecerias Unidas SA ADR (Chile) 952 27,341
Coca-Cola Amatil, Ltd. (Australia) 3,384 19,132
Coca-Cola Co. (The) 14,367 651,400
Coca-Cola European Partners PLC (United Kingdom) 3,080 145,191
Coles Group, Ltd. (Australia)(NON) 807 6,486
Colruyt SA (Belgium) 579 41,293
Costco Wholesale Corp. 845 184,835
Estacio Participacoes SA (Brazil) 878 6,440
Hanjaya Mandala Sampoerna Tbk PT (Indonesia) 90,900 24,554
Hershey Co. (The) 2,526 279,578
Hindustan Unilever, Ltd. (India) 2,713 66,089
Imperial Brands PLC (United Kingdom) 5,552 184,871
Indofood Sukses Makmur Tbk PT (Indonesia) 38,800 19,514
J Sainsbury PLC (United Kingdom) 13,221 40,157
Koninklijke Ahold Delhaize NV (Netherlands) 6,661 171,798
L'Oreal SA (France) 638 161,031
LG Corp. (South Korea) 427 28,474
Marine Harvest ASA (Norway) 1,426 32,898
McDonald's Corp. 638 117,290
Mondelez International, Inc. Class A 16,160 762,106
Nestle SA (Switzerland) 1,651 149,476
PepsiCo, Inc. 434 50,188
Pigeon Corp. (Japan) 200 8,146
Pola Orbis Holdings, Inc. (Japan) 900 25,232
Procter & Gamble Co. (The) 3,431 338,125
Reckitt Benckiser Group PLC (United Kingdom) 1,271 97,220
Sao Martinho SA (Brazil) 3,746 18,729
Smiles Fidelidade SA (Brazil) 3,782 48,330
Starbucks Corp. 11,337 796,538
Swedish Match AB (Sweden) 1,276 59,821
Sysco Corp. 6,106 412,460
Turkiye Sise ve Cam Fabrikalari AS (Turkey) 6,116 7,722
Uni-President Enterprises Corp. (Taiwan) 31,000 75,545
Unilever PLC (United Kingdom) 474 25,198
US Foods Holding Corp.(NON) 6,647 234,240
Want Want China Holdings, Ltd. (China) 63,000 50,803
Wesfarmers, Ltd. (Australia) 807 18,994
WH Group, Ltd. (Hong Kong) 18,000 15,983
5,828,315
Energy (2.1%)
BP PLC (United Kingdom) 13,224 93,732
China Petroleum & Chemical Corp. (Sinopec) (China) 150,000 129,558
Ecopetrol SA ADR (Colombia) 4,834 97,840
Equinor ASA (Norway) 7,002 157,402
Exxon Mobil Corp. 8,261 652,867
Jastrzebska Spolka Weglowa SA (Poland)(NON) 1,101 16,760
JX Holdings, Inc. (Japan) 1,800 8,409
Marathon Petroleum Corp. 6,247 387,376
Nine Point Energy(F) 540 7,798
Occidental Petroleum Corp. 9,132 604,082
OMV AG (Austria) 1,240 65,261
Petronas Dagangan Bhd (Malaysia) 2,500 16,415
Phillips 66 1,885 181,639
PTT PCL (Foreign depositary shares) (Thailand) 77,900 119,894
Royal Dutch Shell PLC Class B (United Kingdom) 4,350 136,423
Surgutneftegas OJSC (Russia) 50,664 30,888
Thai Oil PCL (Thailand) 10,900 24,991
TOTAL SA (France) 4,857 276,174
Valero Energy Corp. 250 20,390
3,027,899
Financial (0.6%)
3i Group PLC (United Kingdom) 7,916 99,303
Broadridge Financial Solutions, Inc. 699 70,774
CoreLogic, Inc.(NON) 1,879 68,903
Deutsche Boerse AG (Germany) 310 39,175
Hana Financial Group, Inc. (South Korea) 1,669 57,652
Intercontinental Exchange, Inc. 746 57,554
KB Financial Group, Inc. (South Korea) 167 6,585
London Stock Exchange Group PLC (United Kingdom) 683 40,829
Macquarie Group, Ltd. (Australia) 2,056 187,612
ORIX Corp. (Japan) 10,100 146,066
Yuanta Financial Holding Co., Ltd. (Taiwan) 95,000 53,864
828,317
Health care (5.8%)
AbbVie, Inc. 1,528 121,079
Advanz Pharma Corp. (Canada)(NON) 214 3,987
Alfresa Holdings Corp. (Japan) 2,200 63,652
Allergan PLC 399 54,946
Amgen, Inc. 1,584 301,087
Anthem, Inc. 578 173,822
Astellas Pharma, Inc. (Japan) 10,500 161,883
Baxter International, Inc. 5,817 434,704
Bayer AG (Germany) 451 36,053
Biogen, Inc.(NON) 413 135,468
Bristol-Myers Squibb Co. 1,904 98,361
Celgene Corp.(NON) 1,856 154,271
Centene Corp.(NON) 8,978 546,670
Charles River Laboratories International, Inc.(NON) 538 76,487
China Shineway Pharmaceutical Group, Ltd. (China) 9,000 9,425
Cigna Corp. 407 70,997
Eli Lilly & Co. 2,357 297,666
Encompass Health Corp. 1,642 103,676
Gilead Sciences, Inc. 1,765 114,760
GlaxoSmithKline PLC (United Kingdom) 12,589 250,027
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. (China) 10,000 38,791
Humana, Inc. 2,155 614,261
Hypermarcas SA (Brazil) 7,500 53,712
Ipsen SA (France) 84 11,618
Johnson & Johnson 4,110 561,590
Koninklijke Philips NV (Netherlands) 905 36,029
Laboratory Corp. of America Holdings(NON) 1,372 203,385
Medipal Holdings Corp. (Japan) 1,900 44,251
Merck & Co., Inc. 5,281 429,292
Novartis AG (Switzerland) 2,306 210,348
Novo Nordisk A/S Class B (Denmark) 1,599 78,459
Omega Healthcare Investors, Inc.(R) 3,190 114,521
Pfizer, Inc. 10,891 472,125
QIAGEN NV (Netherlands)(NON) 2,700 103,761
Quest Diagnostics, Inc. 3,010 260,516
Roche Holding AG (Switzerland) 1,279 355,360
Sanofi (France) 1,376 115,037
Sartorius Stedim Biotech (France) 364 42,852
Shionogi & Co., Ltd. (Japan) 2,500 159,602
Siemens Healthineers AG (Germany) 748 30,306
Straumann Holding AG (Switzerland) 58 45,270
Takeda Pharmaceutical Co., Ltd. ADR (Japan) 510 10,231
Thermo Fisher Scientific, Inc. 303 78,650
UCB SA (Belgium) 936 78,444
UnitedHealth Group, Inc. 1,312 317,793
Ventas, Inc.(R) 993 62,311
Vertex Pharmaceuticals, Inc.(NON) 424 80,030
Waters Corp.(NON) 246 59,586
Zoetis, Inc. 3,395 319,911
8,197,063
Insurance (1.6%)
Aegon NV (Netherlands) 2,259 12,149
Aflac, Inc. 4,977 244,570
Allianz SE (Germany) 1,128 250,963
Allstate Corp. (The) 4,897 462,179
Athene Holding, Ltd. Class A(NON) 4,819 214,686
Aviva PLC (United Kingdom) 26,204 147,086
Berkshire Hathaway, Inc. Class B(NON) 175 35,228
Fosun International, Ltd. (China) 34,000 55,961
IRB Brasil Resseguros SA (Brazil) 3,600 85,300
Legal & General Group PLC (United Kingdom) 50,921 189,515
Loews Corp. 5,761 274,339
Ping An Insurance (Group) Co. of China, Ltd. Class H (China) 12,500 131,612
Reinsurance Group of America, Inc. 940 135,821
2,239,409
Investment banking/Brokerage (0.2%)
Daiwa Securities Group, Inc. (Japan) 2,000 10,147
Korea Investment Holdings Co., Ltd. (South Korea) 800 45,879
Partners Group Holding AG (Switzerland) 234 169,278
Schroders PLC (United Kingdom) 1,372 49,770
275,074
Real estate (6.0%)
AGNC Investment Corp.(R) 20,661 364,667
Alexander's, Inc.(R) 41 15,650
Alexandria Real Estate Equities, Inc.(R) 48 6,523
American Campus Communities, Inc.(R) 2,498 112,560
American Homes 4 Rent(R) 4,011 87,600
Americold Realty Trust(R) 3,013 86,624
Annaly Capital Management, Inc.(R) 32,334 327,543
Apartment Investment & Management Co. Class A(R) 2,440 119,384
Apple Hospitality REIT, Inc.(R) 9,011 148,502
AvalonBay Communities, Inc.(R) 1,225 238,422
Boston Properties, Inc.(R) 342 45,380
Brixmor Property Group, Inc.(R) 6,453 112,669
Camden Property Trust(R) 1,552 152,236
Cheung Kong Property Holdings, Ltd. (Hong Kong) 21,000 174,292
Chimera Investment Corp.(R) 5,716 105,689
City Office REIT, Inc. (Canada)(R) 3,366 37,026
Columbia Property Trust, Inc.(R) 4,405 95,280
Country Garden Holdings co., Ltd. (China) 49,000 64,545
Cousins Properties, Inc.(R) 6,831 65,031
Digital Realty Trust, Inc.(R) 592 66,967
Duke Realty Corp.(R) 6,240 184,517
Easterly Government Properties, Inc.(R) 4,605 82,798
Empire State Realty Trust, Inc. Class A(R) 1,543 23,484
EPR Properties(R) 1,468 107,869
Equity Commonwealth(R) 1,958 63,929
Equity Lifestyle Properties, Inc.(R) 1,997 216,954
Equity Residential Trust(R) 8,183 603,005
Essex Property Trust, Inc.(R) 123 34,420
Extra Space Storage, Inc.(R) 1,521 145,925
Four Corners Property Trust, Inc.(R) 2,823 77,322
Gaming and Leisure Properties, Inc.(R) 7,032 255,824
Getty Realty Corp.(R) 1,898 62,539
Gladstone Commercial Corp.(R) 1,668 34,428
Guangzhou R&F Properties Co., Ltd. (China) 27,600 51,615
HCP, Inc.(R) 335 10,308
Healthcare Trust of America, Inc. Class A(R) 3,933 112,051
Henderson Land Development Co., Ltd. (Hong Kong) 11,000 62,219
Highwoods Properties, Inc.(R) 3,557 164,725
InfraREIT, Inc.(R) 2,534 54,101
JBG SMITH Properties(R) 2,614 105,318
Kerry Properties, Ltd. (Hong Kong) 3,500 14,625
Liberty Property Trust(R) 4,242 200,774
Medical Properties Trust, Inc.(R) 6,568 119,735
MFA Financial, Inc.(R) 7,461 54,241
Mirvac Group (Australia)(R) 19,536 35,615
Monmouth Real Estate Investment Corp.(R) 594 7,876
National Health Investors, Inc.(R) 1,160 90,515
National Retail Properties, Inc. 2,379 123,946
New Residential Investment Corp.(R) 10,421 172,363
Park Hotels & Resorts, Inc.(R) 3,753 117,244
Persimmon PLC (United Kingdom) 5,077 163,835
Piedmont Office Realty Trust, Inc. Class A(R) 4,828 98,829
Prologis, Inc.(R) 2,665 186,710
Public Storage(R) 556 117,588
Realty Income Corp.(R) 654 45,231
Scentre Group (Australia)(R) 24,860 68,245
Senior Housing Properties Trust(R) 1,326 17,172
Simon Property Group, Inc.(R) 2,273 411,777
Spirit Realty Capital, Inc.(R) 2,432 93,972
Starwood Property Trust, Inc.(R) 6,154 138,034
Stockland (Units) (Australia)(R) 20,344 50,509
STORE Capital Corp.(R) 3,501 113,677
Sun Hung Kai Properties, Ltd. (Hong Kong) 4,000 66,244
Swire Properties, Ltd. (Hong Kong) 4,200 16,854
Two Harbors Investment Corp.(R) 5,460 75,730
UDR, Inc.(R) 4,931 219,036
VICI Properties, Inc.(R) 26,711 569,212
Washington Real Estate Investment Trust(R) 1,891 50,093
Weingarten Realty Investors(R) 3,341 96,254
Welltower, Inc.(R) 1,246 92,590
8,508,467
Technology (8.2%)
Alibaba Group Holding, Ltd. ADR (China)(NON)(S) 1,090 199,503
Alphabet, Inc. Class A(NON) 904 1,018,401
Amadeus IT Holding SA Class A (Spain) 1,873 141,035
Amdocs, Ltd. 1,488 82,688
Apple, Inc.(S) 4,287 742,294
AU Optronics Corp. (Taiwan) 97,000 35,772
Avaya Holdings Corp.(NON) 1,802 27,913
Brother Industries, Ltd. (Japan) 1,000 18,257
Cadence Design Systems, Inc.(NON) 5,694 325,982
Capgemini SE (France) 720 86,155
Cisco Systems, Inc. 10,006 518,011
Citrix Systems, Inc. 4,532 478,126
Cognizant Technology Solutions Corp. Class A 9,047 642,156
Delta Electronics Thailand PCL (Thailand) 5,900 13,574
F5 Networks, Inc.(NON) 2,652 445,907
Facebook, Inc. Class A(NON) 2,360 381,022
Fidelity National Information Services, Inc. 4,285 463,423
Fiserv, Inc.(NON) 4,257 360,525
Fujitsu, Ltd. (Japan) 600 40,420
Genpact, Ltd. 2,261 75,110
HannStar Display Corp. (Taiwan) 51,000 11,749
Harris Corp. 2,277 375,546
HCL Technologies, Ltd. (India) 7,045 104,388
Hoya Corp. (Japan) 2,700 164,837
Infosys, Ltd. (India) 11,314 116,805
Innolux Corp. (Taiwan) 8,000 2,664
Intuit, Inc. 3,288 812,563
Maxim Integrated Products, Inc. 4,238 230,674
Microsoft Corp. 6,600 739,398
Naspers, Ltd. Class N (South Africa) 121 26,146
NTT Data Corp. (Japan) 8,800 96,080
NXP Semiconductors NV 4,555 415,962
Radiant Opto-Electronics Corp. (Taiwan) 26,000 77,384
Samsung Electronics Co., Ltd. (South Korea) 9,828 394,099
SK Hynix, Inc. (South Korea) 2,265 140,971
SoftBank Group Corp. (Japan) 900 83,004
Synopsys, Inc.(NON) 2,470 251,150
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) 3,707 144,758
Tata Consultancy Services, Ltd. (India) 4,608 128,500
Tech Mahindra, Ltd. (India)(NON) 9,167 106,993
Tencent Holdings, Ltd. (China) 5,200 222,448
Texas Instruments, Inc. 7,059 746,701
Tianneng Power International, Ltd. (China) 18,000 17,634
Tripod Technology Corp. (Taiwan) 9,000 27,576
Wipro, Ltd. (India) 7,273 37,722
11,572,026
Transportation (1.1%)
Aena SME SA (Spain) 715 127,603
AirAsia Bhd (Malaysia) 45,600 31,062
Central Japan Railway Co. (Japan) 800 179,249
Delta Air Lines, Inc. 1,648 81,708
Deutsche Lufthansa AG (Germany) 809 20,658
Deutsche Post AG (Germany) 1,136 35,301
Grupo Aeroportuario del Centro Norte SAB de CV (Mexico) 6,643 37,857
Imperial Holdings, Ltd. (South Africa) 4,891 22,359
International Consolidated Airlines Group SA (Spain) 18,303 144,815
Japan Airlines Co., Ltd. (Japan) 2,700 98,466
Norfolk Southern Corp. 3,194 572,684
SG Holdings Co., Ltd. (Japan) 1,300 38,021
United Continental Holdings, Inc.(NON) 756 66,384
Yangzijiang Shipbuilding Holdings, Ltd. (China) 49,100 51,933
1,508,100
Utilities and power (1.9%)
AGL Energy, Ltd. (Australia) 477 7,177
American Electric Power Co., Inc. 8,579 696,186
Cia de Saneamento Basico do Estado de Sao Paulo (Brazil) 7,155 74,957
CLP Holdings, Ltd. (Hong Kong) 5,500 65,161
Endesa SA (Spain) 4,998 125,922
Enel Americas SA ADR (Chile) 3,734 32,747
Enel SpA (Italy) 19,248 116,474
Eni SpA (Italy) 10,675 184,150
Exelon Corp. 14,586 708,734
GAIL India, Ltd. (India) 8,777 42,203
Glow Energy PCL (Thailand) 7,300 21,081
Inter RAO UES PJSC (Russia) 482,903 28,690
Kansai Electric Power Co., Inc. (The) (Japan) 400 5,977
Kinder Morgan, Inc. 20,354 389,983
Manila Electric Co. (Philippines) 2,500 17,769
Pinnacle West Capital Corp. 1,519 142,391
RWE AG (Germany) 967 23,604
Tenaga Nasional Bhd (Malaysia) 13,500 44,552
2,727,758
Total common stocks (cost $59,967,146) $68,276,238









CORPORATE BONDS AND NOTES (24.3%)(a)
        Principal amount Value
Basic materials (1.9%)
Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $35,000 $38,336
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 20,000 20,556
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 5,000 5,444
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) 40,000 43,887
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 30,000 30,975
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 35,000 32,583
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 65,000 67,356
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 55,000 52,525
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 70,000 68,600
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 50,000 48,813
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 15,000 14,752
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 120,000 113,850
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 47,000 47,909
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 45,000 37,631
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 85,000 84,279
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 35,000 33,950
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 35,000 36,488
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 5,000 5,188
Cleveland-Cliffs, Inc. company guaranty sr. unsec. notes 5.75%, 3/1/25 15,000 14,663
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 80,000 74,400
Cornerstone Chemical Co. 144A company guaranty sr. notes 6.75%, 8/15/24 5,000 4,725
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 30,000 29,550
Dow Chemical Co. (The) sr. unsec. unsub. bonds 3.50%, 10/1/24 52,000 51,316
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 55,000 58,094
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 20,000 17,550
GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 100,000 100,750
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 44,000 44,766
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 71,000 69,836
Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 35,000 35,661
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 35,000 36,313
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4.875%, 11/15/20 50,000 51,225
Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 50,000 47,875
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 35,000 35,859
International Flavors & Fragrances, Inc. sr. unsec. notes 3.40%, 9/25/20 85,000 85,341
International Paper Co. sr. unsec. unsub. notes 3.00%, 2/15/27 20,000 18,698
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 15,000 15,731
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 25,000 25,281
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 40,000 39,400
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 9,000 9,360
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 30,000 30,600
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) 20,000 19,100
Mercer International, Inc. 144A sr. unsec. notes 7.375%, 1/15/25 (Canada) 5,000 5,225
NCI Building Systems, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 40,000 37,700
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 10,000 8,900
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 105,000 102,375
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 5,000 5,025
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 10,000 9,951
Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada) 25,000 22,542
PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 50,000 48,375
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 22,000 20,970
Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22 15,000 14,752
Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 40,000 45,600
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 30,000 30,525
Steel Dynamics, Inc. company guaranty sr. unsec. notes 4.125%, 9/15/25 15,000 14,585
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 30,000 30,825
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 5,000 5,088
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 20,000 19,769
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) 10,000 10,738
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 55,000 52,525
TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 45,000 43,369
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 15,000 13,950
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 48,000 47,280
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 30,000 30,825
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 45,000 45,435
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 35,000 35,350
Westlake Chemical Corp. company guaranty sr. unsec. unsub. bonds 4.375%, 11/15/47 49,000 41,441
Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26 90,000 85,046
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 25,000 32,166
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 22,000 27,870
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 35,000 36,400
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 30,000 31,941
2,655,759
Capital goods (1.2%)
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 55,000 52,663
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 3,000 3,072
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 35,000 36,148
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 20,000 20,250
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 50,000 50,063
Berry Global, Inc. 144A notes 4.50%, 2/15/26 10,000 9,463
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 15,000 16,454
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) 35,000 34,736
Bombardier, Inc. 144A sr. unsec. notes 7.50%, 12/1/24 (Canada) 65,000 65,975
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 55,000 56,444
Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 20,000 20,063
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 35,000 38,325
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 62,000 62,155
GFL Environmental, Inc. 144A sr. unsec. notes 5.375%, 3/1/23 (Canada) 20,000 18,800
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 60,000 62,910
Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 60,000 58,250
Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 65,000 61,750
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 35,000 30,875
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 26,000 23,473
L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26 42,000 41,837
L3 Technologies, Inc. company guaranty sr. unsec. notes 4.40%, 6/15/28 27,000 27,736
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 35,000 35,088
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 45,000 43,036
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 65,000 65,975
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 65,000 64,828
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 20,000 19,650
Raytheon Co. sr. unsec. unsub. notes 2.50%, 12/15/22 50,000 49,308
RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 65,000 63,700
Republic Services, Inc. sr. unsec. notes 3.95%, 5/15/28 35,000 35,754
Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 25,000 25,625
Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 60,000 61,200
Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 30,000 29,813
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 15,000 14,944
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 80,000 77,700
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 45,000 46,013
Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 25,000 23,500
United Technologies Corp. sr. unsec. unsub. notes 1.90%, 5/4/20 217,000 214,325
Vertiv Group Corp. 144A sr. unsec. notes 9.25%, 10/15/24 35,000 35,000
Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22(PIK) 15,000 14,550
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 30,000 27,675
Waste Management, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 6/30/20 24,000 24,515
1,763,641
Communication services (2.1%)
American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27(R) 26,000 24,289
American Tower Corp. sr. unsec. unsub. bonds 3.55%, 7/15/27(R) 64,000 61,361
AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 75,000 73,910
AT&T, Inc. sr. unsec. unsub. bonds 4.35%, 3/1/29 30,000 29,880
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 50,000 46,420
AT&T, Inc. sr. unsec. unsub. notes 3.40%, 5/15/25 51,000 49,732
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 35,000 35,788
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 90,000 93,713
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 80,000 82,375
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 25,000 25,440
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 63,000 67,754
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 31,000 32,130
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 5.375%, 5/1/47 50,000 47,430
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.969%, 11/1/47 31,000 28,719
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 5,000 4,581
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 64,000 78,276
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.375%, 2/15/25 34,000 34,011
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 5,000 4,907
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 10,000 10,225
CommScope Finance, LLC 144A sr. notes 5.50%, 3/1/24 10,000 10,180
CommScope Technologies Finance, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 70,000 65,975
CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 5,000 4,477
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 20,000 19,029
Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28(R) 20,000 19,326
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 30,000 28,818
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 15,000 15,548
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26(R) 34,000 33,105
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 180,000 179,939
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 130,000 138,450
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 12,000 16,089
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 110,000 92,642
Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) 65,000 67,275
Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26(R) 10,000 10,475
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 50,000 31,938
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 20,000 14,300
Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 60,000 55,800
Intelsat Connect Finance SA 144A company guaranty sr. unsec. notes 9.50%, 2/15/23 (Luxembourg) 90,000 87,075
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 2,000 2,088
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 85,000 88,400
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 65,000 65,488
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 5.15%, 4/30/20 50,000 51,293
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 4.375%, 4/1/21 160,000 164,479
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 15,000 15,563
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 40,000 39,475
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 145,000 151,163
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 185,000 195,407
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 30,000 31,219
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 20,000 20,550
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 105,000 107,756
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 15,000 15,038
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 40,000 38,846
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 15,000 14,775
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 22,000 22,041
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 45,000 46,595
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 135,000 137,025
Vodafone Group PLC sr. unsec. unsub. notes 4.375%, 5/30/28 (United Kingdom) 50,000 49,505
2,978,088
Conglomerates (0.2%)
Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 2.20%, 3/16/20 (Netherlands) 250,000 248,247
248,247
Consumer cyclicals (3.8%)
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. notes 7.75%, 12/1/45 93,000 137,035
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 20,000 19,004
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 70,000 69,039
Amazon.com, Inc. sr. unsec. unsub. notes 3.30%, 12/5/21 150,000 152,393
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 15,000 13,444
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 15,000 13,502
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 35,000 32,288
American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 10,000 10,163
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 30,000 30,825
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 41,000 41,848
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 2,000 2,006
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.40%, 8/13/21 10,000 10,079
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 2.80%, 4/11/26 35,000 32,919
BMW US Capital, LLC 144A company guaranty sr. unsec. notes 2.00%, 4/11/21 80,000 78,327
Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 20,000 20,513
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 20,000 20,900
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 35,000 36,488
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 20,000 20,000
Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 35,000 35,700
CBS Corp. company guaranty sr. unsec. bonds 4.20%, 6/1/29 60,000 59,096
CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 48,000 43,788
CBS Corp. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 18,000 16,612
CBS Corp. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/26 11,000 10,888
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 85,000 84,150
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 50,000 49,938
Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. notes 9.25%, 2/15/24 25,000 26,219
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 90,000 86,175
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 65,000 61,669
Ecolab, Inc. sr. unsec. notes 4.35%, 12/8/21 85,000 88,081
Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 71,000 67,712
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 15,000 15,713
Eldorado Resorts, Inc. 144A company guaranty sr. unsec. notes 6.00%, 9/15/26 5,000 5,088
Ford Motor Co. sr. unsec. unsub. notes 4.346%, 12/8/26 46,000 41,643
Fox Corp. 144A company guaranty sr. unsec. notes 4.03%, 1/25/24 30,000 30,620
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 30,000 30,225
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 51,000 47,650
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 15,000 14,590
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 7,000 6,727
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 30,000 30,300
Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 60,000 63,450
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 30,000 29,967
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 150,000 149,250
Home Depot, Inc. (The) sr. unsec. unsub. notes 2.625%, 6/1/22 67,000 66,643
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 65,000 64,188
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 45,000 46,436
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 (In default)(NON) 265,000 184,175
IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 30,000 30,300
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 178,000 181,783
IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 10,000 9,700
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 140,000 141,475
Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28(R) 10,000 9,575
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 55,000 52,044
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 80,000 86,200
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 65,000 66,950
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 20,000 20,950
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 25,000 23,156
Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.625%, 12/15/25 30,000 28,238
Lear Corp. sr. unsec. unsub. bonds 3.80%, 9/15/27 96,000 89,408
Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 15,000 15,750
Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 45,000 45,563
Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 35,000 35,875
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 25,000 24,813
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 30,000 30,675
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 45,000 44,663
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 15,000 14,442
Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 55,000 56,804
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 40,000 41,700
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 5,000 5,313
Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 80,000 82,482
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21 16,458 8,558
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 75,000 74,438
Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 25,000 24,688
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 65,000 64,838
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 52,000 50,193
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 40,000 41,012
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 25,000 23,891
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 30,000 30,450
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 75,000 73,590
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 10,000 9,922
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 70,000 75,600
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 20,000 20,150
QVC, Inc. company guaranty sr. sub. notes 4.45%, 2/15/25 36,000 35,066
Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 45,000 45,394
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 65,000 65,000
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 26,000 27,141
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 2.95%, 1/22/27 24,000 22,796
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 45,000 45,900
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 145,000 152,431
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 25,000 25,219
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 30,000 31,088
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 155,000 150,738
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 95,000 93,338
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 35,000 34,475
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 35,000 34,256
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 30,000 29,550
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 50,000 50,750
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 128,000 121,920
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 5,000 4,675
Star Merger Sub, Inc. 144A sr. notes 6.875%, 8/15/26 20,000 20,069
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 35,000 34,563
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 15,000 13,838
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 40,000 39,163
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 20,000 20,350
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 55,000 48,125
Warner Media, LLC company guaranty sr. unsec. unsub. bonds 3.80%, 2/15/27 62,000 60,324
Warner Media, LLC company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26 27,000 24,990
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 30,000 28,350
Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 60,000 51,750
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 30,000 30,075
WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 10,000 10,063
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 25,000 24,000
Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 30,000 30,338
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 80,000 76,525
5,314,915
Consumer staples (1.0%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 50,000 48,375
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 25,000 25,063
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 50,000 48,688
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertson's, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26 35,000 36,050
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 3.65%, 2/1/26 19,000 18,781
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 45,000 43,819
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 20,000 19,600
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 65,000 58,663
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 60,000 54,450
Diageo Investment Corp. company guaranty sr. unsec. notes 8.00%, 9/15/22 7,000 8,117
Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 5,000 5,325
Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 15,000 15,150
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 37,000 34,776
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 132,000 162,113
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 42,000 45,379
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 35,000 26,513
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 50,000 51,500
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 65,000 65,325
Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 50,000 48,625
Keurig Dr Pepper, Inc. 144A company guaranty sr. unsec. notes 4.597%, 5/25/28 107,000 108,162
Keurig Dr Pepper, Inc. 144A company guaranty sr. unsec. unsub. notes 4.417%, 5/25/25 28,000 28,512
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 61,050
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 15,161
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 19,700
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 145,000 145,182
Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 55,000 54,397
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 35,000 34,081
Netflix, Inc. 144A sr. unsec. bonds 6.375%, 5/15/29 20,000 21,244
Netflix, Inc. 144A sr. unsec. unsub. bonds 5.875%, 11/15/28 25,000 26,039
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 65,000 55,413
Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.30%, 11/18/21 26,000 26,108
1,411,361
Energy (3.5%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 50,000 15,875
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 25,000 25,063
Antero Resources Corp. company guaranty sr. unsec. notes 5.00%, 3/1/25 5,000 4,800
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 20,000 20,075
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 15,000 15,024
Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 45,000 44,944
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 31,000 33,403
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 7.00%, 11/1/26 20,000 19,300
Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 20,000 17,950
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 2.315%, 2/13/20 (United Kingdom) 82,000 81,548
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.768%, 9/19/19 (United Kingdom) 40,000 39,791
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 30,000 27,825
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 21,000 16,774
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 30,000 31,650
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 85,000 90,526
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 105,000 107,100
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 20,000 19,800
Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 1/15/25 100,000 101,625
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5.75%, 3/15/23 10,000 9,650
Chevron Corp. sr. unsec. unsub. notes 1.561%, 5/16/19 30,000 29,940
Comstock Resouces Inc. 144A company guaranty sr. unsec. notes 9.75%, 8/15/26 55,000 50,978
Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 115,000 111,563
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 30,000 28,733
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 15,000 14,815
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 60,000 55,800
CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 40,000 38,750
DCP Midstream Operating LP company guaranty sr. unsec. unsub. notes 5.375%, 7/15/25 45,000 46,800
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 40,000 40,800
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 35,000 29,313
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 36,000 36,315
Denbury Resources, Inc. 144A notes 7.50%, 2/15/24 15,000 13,388
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 50,000 51,750
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 20,000 20,225
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 60,000 63,900
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 20,000 20,750
Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 136,000 123,760
Energy Transfer Partners LP sr. unsec. unsub. bonds 6.125%, 12/15/45 13,000 13,550
Energy Transfer Partners LP sr. unsec. unsub. notes 5.20%, 2/1/22 25,000 25,973
Ensco PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 30,000 25,200
EOG Resources, Inc. sr. unsec. unsub. notes 4.15%, 1/15/26 5,000 5,195
EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23 35,000 34,276
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 24,000 18,960
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 9.375%, 5/1/24 41,000 19,270
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 7.75%, 5/15/26 20,000 17,725
EQT Corp. sr. unsec. unsub. notes 3.90%, 10/1/27 60,000 54,450
Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 240,000 237,874
FTS International, Inc. company guaranty sr. notes 6.25%, 5/1/22 20,000 19,025
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 70,000 70,350
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 70,000 71,750
Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 45,000 39,263
Jagged Peak Energy, LLC 144A company guaranty sr. unsec. notes 5.875%, 5/1/26 45,000 45,464
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 10,000 9,150
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 5,000 4,563
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 50,000 49,125
Motiva Enterprises, LLC 144A sr. unsec. notes 5.75%, 1/15/20 11,000 11,153
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 60,000 53,100
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.50%, 1/15/23 5,000 4,688
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 25,000 26,313
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 75,000 79,125
Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 20,000 20,000
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 15,000 13,350
Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 25,000 23,375
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 81,000 80,899
Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 35,000 33,338
Occidental Petroleum Corp. sr. unsec. unsub. bonds 4.40%, 4/15/46 41,000 41,975
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 201,956
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 133,000 146,167
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 294,000 310,170
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 18,000 18,945
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 126,000 127,733
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 8,000 8,080
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) (In default)(NON) 110,000 24,750
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 159,000 154,070
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.375%, 1/23/45 (Mexico) 12,000 10,092
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 30,000 29,475
Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 25,000 25,313
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 10,000 10,593
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 25,000 25,661
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 5,000 4,675
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 20,000 19,475
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 26,000 25,662
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 34,000 35,318
SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24 50,000 42,500
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 20,000 18,500
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 50,000 5
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) 55,000 53,440
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 15,000 14,288
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 25,000 23,531
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 34,000 33,830
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 39,000 37,423
Statoil ASA company guaranty sr. unsec. unsub. notes 2.90%, 11/8/20 (Norway) 55,000 55,109
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 30,000 29,925
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 20,000 20,100
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 80,000 77,700
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 10,000 10,644
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.50%, 7/15/27 15,000 15,863
Total Capital International SA company guaranty sr. unsec. unsub. notes 2.75%, 6/19/21 (France) 235,000 234,817
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 46,000 42,780
Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 23,625 23,832
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 5,000 5,138
Transocean, Inc. company guaranty sr. unsec. unsub. bonds 7.50%, 4/15/31 20,000 16,550
Transocean, Inc. 144A company guaranty sr. unsec. notes 9.00%, 7/15/23 2,000 2,110
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26 30,000 30,525
USA Compression Partners LP/USA Compression Finance Corp. 144A sr. unsec. notes 6.875%, 9/1/27 10,000 10,200
Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes 5.625%, 3/15/25 (Canada) 20,000 19,300
Weatherford International, Ltd. company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 37,000 26,640
Whiting Petroleum Corp. sr. unsec. notes 6.625%, 1/15/26 35,000 34,300
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 38,000 51,068
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 60,000 61,440
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 30,000 33,638
WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 25,000 25,156
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 14,000 14,456
4,891,725
Financials (5.5%)
AIG Global Funding 144A sr. notes 2.15%, 7/2/20 50,000 49,418
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 105,000 103,059
Air Lease Corp. sr. unsec. unsub. notes 3.625%, 4/1/27 41,000 37,440
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 40,000 40,600
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 30,000 30,994
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 100,000 123,500
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 80,000 84,800
American Express Co. sr. unsec. bonds 8.125%, 5/20/19 75,000 75,869
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 150,000 174,000
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 49,000 51,756
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 15,000 16,275
Bank of America Corp. sr. unsec. unsub. bonds Ser. MTN, 3.248%, 10/21/27 56,000 53,639
Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, 2.151%, 11/9/20 15,000 14,797
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 170,000 196,668
Bank of Montreal sr. unsec. unsub. notes Ser. D, 3.10%, 4/13/21 (Canada) 55,000 55,143
Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) 10,000 9,555
Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.70%, 3/7/22 (Canada) 16,000 15,845
Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.35%, 10/21/20 (Canada) 60,000 59,413
Banque Federative du Credit Mutuel SA 144A sr. unsec. unsub. notes 2.20%, 7/20/20 (France) 245,000 241,728
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 7,000 7,112
Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19 25,000 25,664
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 48,000 50,472
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 37,000 39,106
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 35,000 36,101
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 35,000 36,138
CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 57,000 59,708
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 30,000 30,975
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 60,000 58,779
Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20 118,000 117,335
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 97,000 96,638
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 60,000 60,240
Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 49,000 50,117
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 50,000 49,063
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 50,000 51,250
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) 55,000 52,830
Commonwealth Bank of Australia 144A unsec. notes 2.20%, 11/9/20 (Australia) 330,000 324,812
Cooperatieve Rabobank UA company guaranty sr. unsec. unsub. bonds Ser. MTN, 5.25%, 5/24/41 (Netherlands) 30,000 34,562
Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 35,000 36,094
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 10,000 10,025
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28(R) 80,000 81,111
Digital Realty Trust LP company guaranty sr. unsec. notes 3.40%, 10/1/20(R) 25,000 25,076
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 40,000 39,800
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 85,000 83,613
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 60,000 61,077
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 25,000 23,875
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 35,000 32,900
Freedom Mortgage Corp. 144A sr. unsec. notes 8.125%, 11/15/24 30,000 28,125
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 30,000 30,900
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 60,000 61,822
goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 30,000 31,500
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 85,000 85,268
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 120,000 117,799
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 12/27/20 238,000 235,825
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.30%, 12/13/19 136,000 135,369
Hospitality Properties Trust sr. unsec. notes 4.375%, 2/15/30(R) 57,000 51,310
Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25(R) 13,000 12,545
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 40,000 39,200
Huntington Bancshares, Inc. unsec. notes 4.35%, 2/4/23 30,000 30,580
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 30,000 31,425
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 30,000 30,894
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 30,000 30,300
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 15,000 15,169
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 20,000 19,975
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 15,000 14,700
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity 9,000 9,349
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity 43,000 43,777
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 196,000 184,060
JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 124,000 120,001
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 19,000 18,719
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20 41,000 42,818
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 92,000 104,880
Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) 200,000 206,200
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 60,000 60,675
Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, 7/29/20 (Australia) 49,000 48,851
Macquarie Group Ltd. 144A sr. unsec. notes 7.625%, 8/13/19 (Australia) 110,000 112,209
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24(R) 25,000 25,813
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 4.50%, 1/15/28(R) 15,000 14,025
Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23(R) 20,000 20,514
Mitsubishi UFJ Financial Group, Inc. sr. unsec. notes 3.535%, 7/26/21 (Japan) 90,000 90,692
Morgan Stanley sr. unsec. unsub. notes 4.375%, 1/22/47 55,000 54,652
Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 120,000 118,097
Morgan Stanley sr. unsec. unsub. notes 2.65%, 1/27/20 80,000 79,767
National Australia Bank, Ltd./New York sr. unsec. notes 2.50%, 1/12/21 (Australia) 250,000 247,720
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 10,000 10,200
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 8.125%, 7/15/23 35,000 35,656
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 55,000 55,069
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 40,000 34,738
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976%, 2/15/25 100,000 99,355
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 40,000 36,000
Regions Financial Corp. sr. unsec. unsub. notes 2.75%, 8/14/22 35,000 34,171
Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 77,000 76,473
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 30,000 31,382
Skandinaviska Enskilda Banken AB 144A sr. unsec. unsub. notes 2.625%, 11/17/20 (Sweden) 270,000 267,846
Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 15,000 15,188
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 35,000 35,831
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 5/15/22 30,000 31,125
Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25(R) 45,000 43,776
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 60,000 60,039
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 35,000 32,463
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 43,000 41,546
Travelport Corporate Finance PLC 144A company guaranty sr. notes 6.00%, 3/15/26 (United Kingdom) 90,000 95,400
UBS AG/London 144A sr. unsec. notes 2.20%, 6/8/20 (United Kingdom) 200,000 197,864
UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. unsub. notes 2.65%, 2/1/22 (Switzerland) 200,000 196,028
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 55,000 53,488
VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R) 40,000 40,659
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 46,000 48,645
Wells Fargo & Co. sr. unsec. notes Ser. GMTN, 2.60%, 7/22/20 115,000 114,469
Westpac Banking Corp. sr. unsec. unsub. notes 2.15%, 3/6/20 (Australia) 286,000 284,185
Westpac Banking Corp. sr. unsec. unsub. notes 2.00%, 8/19/21 (Australia) 45,000 43,901
WeWork Cos, Inc. 144A company guaranty sr. unsec. notes 7.875%, 5/1/25 70,000 64,985
7,694,979
Health care (2.0%)
AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25 19,000 18,677
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 70,000 59,325
Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 16,000 15,931
Allergan Funding SCS company guaranty sr. unsec. unsub. notes 3.80%, 3/15/25 (Luxembourg) 15,000 14,817
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 47,000 45,012
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 69,000 63,868
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 50,000 23,250
AstraZeneca PLC sr. unsec. unsub. notes 6.45%, 9/15/37 (United Kingdom) 12,000 14,572
Bausch Health Americas, Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 40,000 43,100
Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 45,000 46,688
Bausch Health Cos, Inc. 144A sr. notes 5.75%, 8/15/27 15,000 15,131
Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 15,000 15,131
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 35,000 37,494
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 135,000 129,938
Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 5.625%, 12/1/21 4,000 4,006
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 55,000 57,956
Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 20,000 20,725
Becton Dickinson and Co. (BD) sr. unsec. unsub. bonds 4.669%, 6/6/47 69,000 68,340
Becton Dickinson and Co. (BD) sr. unsec. unsub. bonds 3.70%, 6/6/27 59,000 57,389
Biogen, Inc. sr. unsec. sub. notes 3.625%, 9/15/22 56,000 56,817
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 45,000 44,100
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 60,000 62,775
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 15,000 15,281
Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 20,000 20,750
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 140,000 134,750
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 70,000 45,850
CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 8.125%, 6/30/24 41,000 34,440
Cigna Corp. 144A sr. unsub. notes 3.75%, 7/15/23 58,000 58,714
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22 60,000 62,651
CVS Health Corp. sr. unsec. unsub. bonds 5.05%, 3/25/48 31,000 30,653
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 39,000 37,847
Elanco Animal Health, Inc. 144A sr. unsec. notes 4.90%, 8/28/28 133,000 138,140
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 65,000 53,625
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 50,000 52,734
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 20,000 20,778
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 35,000 36,564
Hologic, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/15/25 20,000 19,650
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 30,000 30,225
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 25,000 27,063
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 30,000 24,450
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 35,000 33,312
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 25,000 25,773
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 20,000 19,700
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 60,000 60,095
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R) 45,000 44,156
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 72,000 73,351
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 45,000 43,313
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 30,000 29,444
Pfizer, Inc. sr. unsec. unsub. notes 1.70%, 12/15/19 105,000 104,205
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 30,000 29,626
Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 225,000 230,063
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 36,000 33,667
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) 26,000 25,094
Sotera Health Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 40,000 40,300
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 20,000 19,950
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 25,000 26,688
Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 20,000 20,588
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.70%, 2/15/21 43,000 44,331
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 90,000 92,336
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 20,000 20,419
WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26 15,000 15,431
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 30,000 29,849
2,820,898
Technology (1.9%)
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 30,000 27,793
Analog Devices, Inc. sr. unsec. unsub. notes 2.85%, 3/12/20 45,000 45,059
Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 19,000 19,430
Apple, Inc. sr. unsec. notes 2.85%, 5/6/21 50,000 50,104
Apple, Inc. sr. unsec. notes 2.10%, 5/6/19 250,000 249,762
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 28,000 29,027
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 75,000 72,264
Apple, Inc. sr. unsec. unsub. notes 2.00%, 5/6/20 35,000 34,737
Avaya, Inc. 144A escrow notes 7.00%, 4/1/19 300,000 —
Banff Merger Sub, Inc. 144A sr. unsec. notes 9.75%, 9/1/26 65,000 62,969
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 57,000 52,754
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28 70,000 62,009
Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 30,000 28,518
Cisco Systems, Inc. sr. unsec. unsub. notes 2.20%, 2/28/21 150,000 148,509
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 188,000 199,457
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 40,000 42,447
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 15,000 17,552
Fidelity National Information Services, Inc. sr. unsec. notes 3.00%, 8/15/26 11,000 10,258
Fidelity National Information Services, Inc. sr. unsec. sub. notes Ser. 10Y, 4.25%, 5/15/28 15,000 15,025
First Data Corp. 144A notes 5.75%, 1/15/24 95,000 97,798
Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 45,000 44,471
Google, LLC sr. unsec. notes 3.375%, 2/25/24 25,000 25,679
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 22,000 19,250
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 115,000 115,460
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 15,000 15,297
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 10,000 12,300
Microchip Technology, Inc. 144A company guaranty sr. notes 4.333%, 6/1/23 90,000 90,010
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 112,000 106,334
Microsoft Corp. sr. unsec. unsub. notes 3.70%, 8/8/46 15,000 14,639
Microsoft Corp. sr. unsec. unsub. notes 1.55%, 8/8/21 180,000 175,346
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 90,000 85,507
Oracle Corp. sr. unsec. unsub. notes 2.25%, 10/8/19 212,000 211,268
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 45,000 44,831
Qorvo, Inc. 144A sr. unsec. notes 5.50%, 7/15/26 30,000 30,525
Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 65,000 66,620
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 80,000 86,700
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 80,000 80,800
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 70,000 66,325
VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 10,000 9,335
Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 115,000 108,675
2,674,844
Transportation (0.1%)
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 16,000 14,816
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24 15,000 14,816
United Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 14-2, Class A, 3.75%, 9/3/26 20,734 20,539
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 60,000 60,150
110,321
Utilities and power (1.1%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 140,000 144,200
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 55,000 56,513
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.875%, 5/15/23 25,000 25,281
AES Corp./Virginia (The) sr. unsec. unsub. notes 4.50%, 3/15/23 20,000 20,150
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 40,000 41,236
American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds 5.00%, 9/1/44 49,000 51,991
Berkshire Hathaway Energy Co. sr. unsec. bonds 3.80%, 7/15/48 30,000 27,369
Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 7,000 8,506
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 85,000 81,388
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 15,300
Consolidated Edison, Inc. sr. unsec. unsub. notes Ser. A, 2.00%, 3/15/20 10,000 9,901
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 40,000 38,184
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 30,000 30,425
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 20,000 25,451
Emera US Finance LP company guaranty sr. unsec. notes 3.55%, 6/15/26 11,000 10,557
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 42,000 42,757
Energy Transfer LP sr. sub. notes 5.875%, 1/15/24 166,000 178,035
Energy Transfer LP sr. sub. notes 5.50%, 6/1/27 15,000 15,750
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 65,000 60,881
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 80,000 86,847
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 25,000 24,585
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 29,000 29,608
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 45,000 44,987
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 60,000 59,355
MidAmerican Funding, LLC sr. bonds 6.927%, 3/1/29 15,000 18,666
NextEra Energy Capital Holdings, Inc. company guaranty jr. unsec. sub. FRB 4.80%, 12/1/77 35,000 29,925
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 5,000 5,400
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 85,000 90,392
NRG Energy, Inc. company guaranty sr. unsec. notes 5.75%, 1/15/28 15,000 15,394
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 64,000 61,447
Vistra Energy Corp. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 33,000 35,063
Vistra Energy Corp. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 25,000 27,125
Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 20,000 20,600
Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 50,000 51,875
1,509,644
Total corporate bonds and notes (cost $34,530,137) $34,074,422









U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (8.3%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (2.2%)
Government National Mortgage Association Pass-Through Certificates 3.50%, TBA, 3/1/49 $3,000,000 $3,026,719
3,026,719
U.S. Government Agency Mortgage Obligations (6.1%)
Federal National Mortgage Association Pass-Through Certificates
6.00%, TBA, 3/1/49 1,000,000 1,075,859
4.00%, 1/1/57 81,196 83,256
4.00%, TBA, 3/1/49 4,000,000 4,078,125
3.00%, TBA, 3/1/49 2,000,000 1,954,531
3.00%, TBA, 3/1/34 1,000,000 998,203
2.404%, 7/1/22(i) 457,842 453,575
8,643,549
Total U.S. government and agency mortgage obligations (cost $11,669,195) $11,670,268









COMMODITY LINKED NOTES (5.3%)(a)(CLN)
        Principal amount Value
Citigroup Global Markets Holding, Inc. sr. notes Ser. N, 1-month LIBOR less 0.15%, 2019 (Indexed to the S&P GSCI 3 Month Forward Total Return Index multiplied by 3) $2,711,000 $2,045,551
Bank of America Corp. sr. notes, 1-month LIBOR less 0.16%, 2020 (Indexed to the S&P GSCI Total Return Index multiplied by 3) 723,000 884,634
UBS AG/London 144A sr. notes, 1-month LIBOR less 0.25%, 2020 (Indexed to the S&P GSCI Total Return Index multiplied by 3) (United Kingdom) 3,300,000 4,563,813
Total commodity linked notes (cost $6,734,000) $7,493,998









MORTGAGE-BACKED SECURITIES (3.3%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (0.6%)
Federal Home Loan Mortgage Corporation IFB Ser. 3829, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.95%), 4.461%, 3/15/41 $158,411 $25,794
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (1 Month US LIBOR + 6.95%), 9.44%, 8/25/28 44,909 52,016
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (1 Month US LIBOR + 6.75%), 9.24%, 8/25/28 139,248 162,810
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 8.49%, 9/25/28 40,000 45,756
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (1 Month US LIBOR + 4.90%), 7.39%, 11/25/24 23,055 26,026
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%), 6.74%, 1/25/29 50,000 55,668
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (1 Month US LIBOR + 2.90%), 5.39%, 7/25/24 22,924 24,106
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (1 Month US LIBOR + 2.60%), 5.09%, 5/25/24 34,000 35,718
Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M2, (1 Month US LIBOR + 2.60%), 5.09%, 5/25/24 64,390 67,068
IFB Ser. 18-86, Class DS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.61%, 12/25/48 813,392 117,433
Government National Mortgage Association
Ser. 17-162, Class QI, IO, 5.00%, 10/20/47 158,181 33,416
Ser. 16-135, Class PI, IO, 4.00%, 5/20/46 437,388 75,659
IFB Ser. 13-99, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 3.565%, 6/20/43 271,414 49,036
Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 284,114 30,073
Ser. 17-H22, Class EI, IO, 2.257%, 10/20/67(WAC) 307,672 34,613
Ser. 15-H26, Class DI, IO, 2.048%, 10/20/65(WAC) 286,937 26,142
861,334
Commercial mortgage-backed securities (1.7%)
CD Commercial Mortgage Trust FRB Ser. 16-CD1, Class XA, IO, 1.423%, 8/10/49(WAC) 369,676 30,798
Citigroup Commercial Mortgage Trust
Ser. 14-GC21, Class C, 4.78%, 5/10/47(WAC) 61,000 61,917
Ser. 14-GC21, Class AS, 4.026%, 5/10/47 75,000 76,347
FRB Ser. 14-GC19, Class XA, IO, 1.161%, 3/10/47(WAC) 1,017,285 48,949
Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class XA, IO, 1.789%, 9/10/45(WAC) 679,064 34,259
COMM Mortgage Trust
FRB Ser. 12-LC4, Class C, 5.539%, 12/10/44(WAC) 33,000 33,071
FRB Ser. 14-CR17, Class C, 4.736%, 5/10/47(WAC) 37,000 37,872
FRB Ser. 14-UBS6, Class C, 4.457%, 12/10/47(WAC) 113,000 111,492
FRB Ser. 14-LC15, Class XA, IO, 1.237%, 4/10/47(WAC) 1,769,701 80,534
FRB Ser. 14-CR17, Class XA, IO, 1.046%, 5/10/47(WAC) 1,020,372 43,078
FRB Ser. 14-UBS6, Class XA, IO, 0.943%, 12/10/47(WAC) 1,368,960 52,643
FRB Ser. 13-CR11, Class XA, IO, 0.938%, 8/10/50(WAC) 644,133 23,838
CSAIL Commercial Mortgage Trust Ser. 15-C1, Class XA, IO, 0.911%, 4/15/50(WAC) 1,294,327 51,074
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.361%, 12/15/49(WAC) 125,000 122,324
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.338%, 8/10/44(WAC) 100,000 103,037
GS Mortgage Securities Trust
FRB Ser. 14-GC22, Class C, 4.689%, 6/10/47(WAC) 139,000 141,131
FRB Ser. 14-GC22, Class XA, IO, 0.989%, 6/10/47(WAC) 1,791,657 65,293
GS Mortgage Securities Trust 144A FRB Ser. 13-GC16, Class D, 5.311%, 11/10/46(WAC) 43,000 44,969
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 14-C22, Class C, 4.56%, 9/15/47(WAC) 118,000 115,280
FRB Ser. 14-C22, Class XA, IO, 0.866%, 9/15/47(WAC) 3,323,013 123,999
JPMorgan Chase Commercial Mortgage Securities Trust Ser. 12-C6, Class AS, 4.117%, 5/15/45 41,000 41,945
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.128%, 4/20/48(WAC) 147,000 138,989
Morgan Stanley Bank of America Merrill Lynch Trust
Ser. 14-C18, Class C, 4.489%, 10/15/47(WAC) 45,000 45,092
FRB Ser. 14-C17, Class C, 4.457%, 8/15/47(WAC) 44,000 43,283
Ser. 12-C5, Class AS, 3.792%, 8/15/45 41,000 41,401
FRB Ser. 14-C17, Class XA, IO, 1.189%, 8/15/47(WAC) 710,484 27,207
FRB Ser. 13-C12, Class XA, IO, 0.616%, 10/15/46(WAC) 730,601 17,148
Morgan Stanley Capital I Trust 144A Ser. 12-C4, Class C, 5.42%, 3/15/45(WAC) 100,000 98,949
UBS-Barclays Commercial Mortgage Trust 144A
FRB Ser. 12-C3, Class C, 5.031%, 8/10/49(WAC) 50,000 50,844
FRB Ser. 12-C2, Class D, 4.892%, 5/10/63(WAC) 48,000 45,480
Wachovia Bank Commercial Mortgage Trust FRB Ser. 05-C21, Class D, 5.234%, 10/15/44(WAC) 29,607 29,339
Wells Fargo Commercial Mortgage Trust FRB Ser. 13-LC12, Class C, 4.286%, 7/15/46(WAC) 45,000 43,790
WF-RBS Commercial Mortgage Trust
FRB Ser. 13-C16, Class AS, 4.668%, 9/15/46(WAC) 33,000 34,293
Ser. 13-UBS1, Class AS, 4.306%, 3/15/46(WAC) 48,000 49,516
FRB Ser. 14-C22, Class XA, IO, 0.845%, 9/15/57(WAC) 2,423,214 84,182
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 11-C3, Class D, 5.683%, 3/15/44(WAC) 47,000 42,134
FRB Ser. 12-C6, Class D, 5.582%, 4/15/45(WAC) 25,000 25,441
FRB Ser. 11-C5, Class XA, IO, 1.734%, 11/15/44(WAC) 963,902 33,494
FRB Ser. 12-C10, Class XA, IO, 1.563%, 12/15/45(WAC) 831,744 39,191
2,333,623
Residential mortgage-backed securities (non-agency) (1.0%)
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 4.86%, 5/25/35(WAC) 56,621 57,934
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 3.272%, 6/25/46 195,386 175,555
FRB Ser. 07-OH1, Class A1D, (1 Month US LIBOR + 0.21%), 2.70%, 4/25/47 29,700 26,440
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 8.39%, 10/25/28 249,797 284,691
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 8.19%, 4/25/28 161,336 184,541
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 8.04%, 4/25/28 150,410 169,031
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 7.49%, 7/25/25 20,009 22,175
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (1 Month US LIBOR + 4.30%), 6.79%, 2/25/25 67,513 73,627
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 6.74%, 4/25/29 10,000 11,116
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 6.49%, 5/25/25 19,476 21,169
GSAA Trust FRB Ser. 07-6, Class 1A1, (1 Month US LIBOR + 0.12%), 2.61%, 5/25/47 30,029 23,261
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 4.455%, 2/25/35(WAC) 21,119 21,716
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 3.336%, 8/26/47(WAC) 80,000 78,146
Structured Asset Investment Loan Trust FRB Ser. 04-10, Class A10, (1 Month US LIBOR + 0.90%), 3.39%, 11/25/34 65,976 65,798
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (1 Month US LIBOR + 0.85%), 3.34%, 5/25/47 59,196 49,357
Structured Asset Securities Corp. Mortgage Loan Trust FRB Ser. 06-AM1, Class A4, (1 Month US LIBOR + 0.16%), 2.65%, 4/25/36 27,071 26,986
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR10, Class 1A3, 4.116%, 9/25/35(WAC) 25,089 25,216
FRB Ser. 05-AR12, Class 1A8, 4.014%, 10/25/35(WAC) 99,550 97,526
FRB Ser. 05-AR19, Class A1B3, (1 Month US LIBOR + 0.35%), 2.84%, 12/25/45 35,360 34,198
1,448,483
Total mortgage-backed securities (cost $4,642,475) $4,643,440









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (1.0%)(a)
        Principal amount Value
Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) $255,000 $222,169
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 150,000 124,313
Argentina (Republic of) 144A sr. unsec. notes 7.125%, 8/1/27 (Argentina) 160,000 123,000
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 200,000 207,244
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) EUR 200,000 216,539
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) $205,000 212,328
Russia (Federation of) 144A sr. unsec. unsub. bonds 4.375%, 3/21/29 (Russia) 200,000 195,250
Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default)(NON) 51,000 14,981
Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default)(NON) 82,000 23,985
Total foreign government and agency bonds and notes (cost $1,439,823) $1,339,809









ASSET-BACKED SECURITIES (0.9%)(a)
        Principal amount Value
loanDepot Station Place Agency Securitization Trust 144A FRB Ser. 17-LD1, Class A, (1 Month US LIBOR + 0.80%), 3.29%, 11/25/50 $121,000 $121,000
Mello Warehouse Securitization Trust 144A FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), 3.34%, 11/25/51 34,000 34,000
Station Place Securitization Trust 144A
FRB Ser. 18-1, Class A, (1 Month US LIBOR + 0.90%), 3.412%, 4/24/19 308,000 308,000
FRB Ser. 18-8, Class A, (1 Month US LIBOR + 0.70%), 3.212%, 2/24/20 159,000 159,000
FRB Ser. 18-5, Class A, (1 Month US LIBOR + 0.70%), 3.212%, 9/24/19 248,000 248,000
FRB Ser. 18-3, Class A, (1 Month US LIBOR + 0.70%), 3.212%, 7/24/19 242,000 242,000
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 3.11%, 1/25/46 122,939 121,336
Total asset-backed securities (cost $1,234,444) $1,233,336









PURCHASED OPTIONS OUTSTANDING (0.5%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
GBP/USD (Call) Jul-19/$1.37 1,698,789 GBP 1,280,800 $21,746
SPDR S&P 500 ETF Trust (Put) Nov-19/240.00 $6,856,085 $24,602 105,250
SPDR S&P 500 ETF Trust (Put) Oct-19/240.00 6,867,233 24,642 97,190
Citibank, N.A.
SPDR S&P 500 ETF Trust (Put) Feb-20/240.00 6,889,248 24,721 152,694
SPDR S&P 500 ETF Trust (Put) Jan-20/230.00 7,034,162 25,241 107,239
Goldman Sachs International
USD/CNH (Call) Apr-19/CNH 7.00 1,850,700 1,850,700 291
JPMorgan Chase Bank N.A.
SPDR S&P 500 ETF Trust (Put) Sep-19/$240.00 7,135,601 25,605 87,204
SPDR S&P 500 ETF Trust (Put) Dec-19/215.00 7,030,539 25,228 62,640
Total purchased options outstanding (cost $1,233,705) $634,254









SENIOR LOANS (0.4%)(a)(c)
        Principal amount Value
Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 6.781%, 12/15/24 $54,388 $54,309
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.957%, 6/21/24 73,875 72,144
California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 7.037%, 11/17/22 30,000 29,275
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 6.633%, 5/5/24 9,669 9,548
Eagleclaw Midstream Ventures, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.879%, 6/30/24 39,698 37,825
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 7.243%, 4/16/21 15,074 15,024
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.727%, 5/21/24 45,000 43,313
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 7.761%, 10/16/23 19,794 19,769
KCA Deutag Alpha, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 6.75%), 9.553%, 3/21/23 12,814 10,123
Keane Group Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 6.313%, 5/25/25 62 60
Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.89%, 11/6/24 94,000 93,569
Neiman Marcus Group, Ltd., Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 5.763%, 10/25/20 56,445 51,647
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.738%, 11/3/23 9,811 9,333
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 6.128%, 9/7/23 28,551 21,176
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 10.50%, 2/28/26 30,000 26,100
Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 6.00%, 2/28/25 29,775 27,914
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.493%, 3/28/25 69,463 66,545
Total senior loans (cost $612,480) $587,674









WARRANTS (0.2%)(a)(NON)
    Expiration date Strike Price Warrants Value
Bank of Shanghai Co., Ltd. 144A (China) 12/12/19 $0.00 57,229 $105,279
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. 144A (China) 2/25/20 0.00 8,200 30,832
Gree Electric Appliances of Zhuhai, Inc. 144A (China) 8/29/19 0.00 17,100 114,576
Guangdong Kangmei Pharmaceutic 144A (China) 12/12/19 0.00 17,071 27,115
Total warrants (cost $261,463) $277,802









CONVERTIBLE PREFERRED STOCKS (—%)(a)
        Shares Value
EPR Properties Ser. C, $1.438 cv. pfd.(R) 1,550 $47,228
Nine Point Energy 6.75% cv. pfd. 11 12,940
Total convertible preferred stocks (cost $45,286) $60,168









INVESTMENT COMPANIES (—%)(a)
        Shares Value
iShares U.S. Real Estate ETF 620 $52,173
Total investment companies (cost $46,079) $52,173









CONVERTIBLE BONDS AND NOTES (—%)(a)
        Principal amount Value
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 $20,000 $17,178
Total convertible bonds and notes (cost $18,638) $17,178









SHORT-TERM INVESTMENTS (13.4%)(a)
        Principal amount/
shares		 Value
Putnam Cash Collateral Pool, LLC 2.67%(AFF) Shares 829,100 $829,100
Putnam Short Term Investment Fund 2.58%(AFF) Shares 13,064,318 13,064,318
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.35%(P) Shares 306,000 306,000
U.S. Treasury Bills 2.531%, 6/6/19(SEG)(SEGCCS) $483,001 479,875
U.S. Treasury Bills 2.528%, 6/20/19(SEGSF)(SEGCCS) 127,999 127,054
U.S. Treasury Bills 2.473%, 7/25/19(SEG)(SEGCCS) 1,174,001 1,162,537
U.S. Treasury Bills 2.465%, 7/18/19(SEG)(SEGCCS) 1,511,001 1,496,924
U.S. Treasury Bills 2.464%, 4/18/19 3,001 2,990
U.S. Treasury Bills 2.451%, 7/11/19(SEGCCS) 225,001 223,020
U.S. Treasury Bills 2.430%, 5/16/19(SEG)(SEGCCS) 831,999 827,804
U.S. Treasury Bills 2.425%, 5/23/19(SEG)(SEGCCS) 161,000 160,111
U.S. Treasury Bills 2.385%, 3/7/19(SEGCCS) 148,000 147,943
Total short-term investments (cost $18,827,606) $18,827,676
TOTAL INVESTMENTS
Total investments (cost $141,262,477) $149,188,436









FORWARD CURRENCY CONTRACTS at 2/28/19 (aggregate face value $41,630,321) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 4/17/19 $182,718 $180,564 $2,154
Brazilian Real Sell 4/2/19 4,544 3,084 (1,460)
British Pound Buy 3/20/19 357,746 345,794 11,952
Canadian Dollar Buy 4/17/19 424,505 424,244 261
Euro Sell 3/20/19 627,349 633,650 6,301
Japanese Yen Sell 5/15/19 365,528 374,293 8,765
New Zealand Dollar Buy 4/17/19 413,940 411,970 1,970
Norwegian Krone Buy 3/20/19 422,879 424,459 (1,580)
Norwegian Krone Sell 3/20/19 422,879 421,143 (1,736)
Barclays Bank PLC
Australian Dollar Buy 4/17/19 103,924 103,949 (25)
British Pound Buy 3/20/19 236,948 231,346 5,602
British Pound Sell 3/20/19 236,948 228,719 (8,229)
Canadian Dollar Sell 4/17/19 625,347 621,543 (3,804)
Euro Sell 3/20/19 521,766 521,978 212
Hong Kong Dollar Sell 5/15/19 427,395 428,060 665
Japanese Yen Buy 5/15/19 9,426 5,995 3,431
New Zealand Dollar Sell 4/17/19 208,231 208,865 634
Norwegian Krone Buy 3/20/19 43,939 44,569 (630)
Citibank, N.A.
Australian Dollar Buy 4/17/19 508,828 509,198 (370)
British Pound Buy 3/20/19 29,469 26,745 2,724
Canadian Dollar Sell 4/17/19 207,611 208,679 1,068
Danish Krone Buy 3/20/19 232,658 234,510 (1,852)
Euro Sell 3/20/19 362,764 364,715 1,951
Japanese Yen Sell 5/15/19 503,695 517,317 13,622
New Zealand Dollar Buy 4/17/19 209,253 209,454 (201)
Norwegian Krone Buy 3/20/19 11,462 13,552 (2,090)
Swedish Krona Buy 3/20/19 208,450 206,970 1,480
Swedish Krona Sell 3/20/19 208,450 206,756 (1,694)
Credit Suisse International
Australian Dollar Buy 4/17/19 654,065 655,547 (1,482)
Canadian Dollar Sell 4/17/19 104,529 103,766 (763)
Euro Buy 3/20/19 510,604 514,586 (3,982)
Euro Sell 3/20/19 510,604 513,382 2,778
Japanese Yen Sell 5/15/19 107,013 109,676 2,663
Goldman Sachs International
Australian Dollar Buy 4/17/19 297,290 303,274 (5,984)
Brazilian Real Sell 4/2/19 7,706 851 (6,855)
Euro Sell 3/20/19 474,840 478,580 3,740
Japanese Yen Sell 5/15/19 1,245,081 1,275,349 30,268
New Zealand Dollar Buy 4/17/19 395,672 397,419 (1,747)
Norwegian Krone Buy 3/20/19 1,645,415 1,674,471 (29,056)
Swedish Krona Buy 3/20/19 491,757 494,901 (3,144)
Swedish Krona Sell 3/20/19 491,757 508,982 17,225
HSBC Bank USA, National Association
Australian Dollar Buy 4/17/19 100,374 100,155 219
British Pound Buy 3/20/19 607,304 585,713 21,591
Chinese Yuan (Offshore) Buy 5/15/19 134,247 132,251 1,996
Euro Sell 3/20/19 373,129 378,760 5,631
Japanese Yen Sell 5/15/19 534,954 552,009 17,055
New Zealand Dollar Sell 4/17/19 7,225 4,408 (2,817)
Norwegian Krone Buy 3/20/19 89,902 100,191 (10,289)
Swedish Krona Buy 3/20/19 199,235 204,339 (5,104)
Swedish Krona Sell 3/20/19 199,235 200,859 1,624
JPMorgan Chase Bank N.A.
Australian Dollar Sell 4/17/19 218,921 221,189 2,268
British Pound Buy 3/20/19 417,082 407,382 9,700
Canadian Dollar Buy 4/17/19 442,231 429,159 13,072
Canadian Dollar Sell 4/17/19 438,275 429,216 (9,059)
Euro Buy 3/20/19 5,521,767 5,554,373 (32,606)
Japanese Yen Buy 5/15/19 5,737,194 5,877,417 (140,223)
Norwegian Krone Buy 3/20/19 547,563 562,547 (14,984)
Singapore Dollar Sell 5/15/19 75,088 75,261 173
Swedish Krona Sell 3/20/19 457,814 490,599 32,785
Swiss Franc Sell 3/20/19 414,532 419,381 4,849
NatWest Markets PLC
Australian Dollar Buy 4/17/19 737,616 734,101 3,515
British Pound Buy 3/20/19 208,408 200,573 7,835
British Pound Sell 3/20/19 208,408 205,353 (3,055)
Canadian Dollar Sell 4/17/19 412,409 409,568 (2,841)
Euro Sell 3/20/19 222,214 222,383 169
Japanese Yen Sell 5/15/19 114,717 117,558 2,841
New Zealand Dollar Buy 4/17/19 207,685 206,542 1,143
Norwegian Krone Buy 3/20/19 346,029 354,435 (8,406)
State Street Bank and Trust Co.
Australian Dollar Buy 4/17/19 115,637 114,210 1,427
British Pound Buy 3/20/19 421,861 413,873 7,988
British Pound Sell 3/20/19 421,861 413,302 (8,559)
Canadian Dollar Sell 4/17/19 355,580 332,998 (22,582)
Euro Sell 3/20/19 225,290 230,408 5,118
Israeli Shekel Buy 4/17/19 7,249 7,056 193
Japanese Yen Sell 5/15/19 637,805 649,945 12,140
New Zealand Dollar Sell 4/17/19 411,349 412,914 1,565
Norwegian Krone Buy 3/20/19 618,706 629,639 (10,933)
Swedish Krona Sell 3/20/19 135,642 148,708 13,066
UBS AG
Australian Dollar Buy 4/17/19 207,705 207,659 46
British Pound Buy 3/20/19 232,966 227,753 5,213
British Pound Sell 3/20/19 232,966 224,940 (8,026)
Canadian Dollar Sell 4/17/19 203,048 201,302 (1,746)
Euro Sell 3/20/19 545,684 554,000 8,316
Japanese Yen Sell 5/15/19 401,025 410,906 9,881
Norwegian Krone Buy 3/20/19 422,879 422,946 (67)
Norwegian Krone Sell 3/20/19 422,879 421,142 (1,737)
WestPac Banking Corp.
Australian Dollar Buy 4/17/19 200,606 203,891 (3,285)
Canadian Dollar Buy 4/17/19 131,612 125,406 6,206
Euro Sell 3/20/19 93,510 92,059 (1,451)
Japanese Yen Sell 5/15/19 644,617 660,500 15,883
New Zealand Dollar Buy 4/17/19 206,731 206,137 594
Unrealized appreciation 333,568
Unrealized (depreciation) (364,454)
Total $(30,886)
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 2/28/19 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
Euro-Bobl 5 yr (Long) 27 $4,075,984 $4,075,982 Mar-19 $11,605
Euro-Bund 10 yr (Long) 33 6,205,051 6,205,048 Mar-19 86,081
Euro-Buxl 30 yr (Long) 13 2,721,372 2,721,370 Mar-19 71,264
Euro-Schatz 2 yr (Long) 19 2,416,495 2,416,494 Mar-19 (2,361)
Japanese Government Bond 10 yr (Long) 12 16,443,547 16,443,547 Mar-19 99,266
Russell 2000 Index E-Mini (Long) 29 2,284,546 2,284,475 Mar-19 199,778
S&P 500 Index E-Mini (Long) 9 1,253,021 1,253,115 Mar-19 (3,807)
S&P 500 Index E-Mini (Short) 52 7,239,674 7,240,220 Mar-19 (352,383)
Tokyo Price Index (Long) 19 2,740,371 2,737,541 Mar-19 55,066
U.K. Gilt 10 yr (Long) 26 4,337,881 4,337,880 Jun-19 (47,988)
U.S. Treasury Bond 30 yr (Long) 6 866,813 866,813 Jun-19 (3,200)
U.S. Treasury Bond Ultra 30 yr (Long) 13 2,074,719 2,074,719 Jun-19 (19,979)
U.S. Treasury Note 2 yr (Long) 146 30,980,516 30,980,515 Jun-19 1,989
U.S. Treasury Note 5 yr (Long) 40 4,582,500 4,582,500 Jun-19 (1,330)
U.S. Treasury Note 10 yr (Long) 44 5,368,000 5,368,000 Jun-19 (5,986)
U.S. Treasury Note 10 yr (Short) 469 57,218,000 57,218,000 Jun-19 56,429
Unrealized appreciation 581,478
Unrealized (depreciation) (437,034)
Total $144,444









WRITTEN OPTIONS OUTSTANDING at 2/28/19 (premiums $30,511) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
GBP/USD (Call) Jul-19/$1.47 $2,548,184 GBP $1,921,200 $1,860
Citibank, N.A.
SPDR S&P 500 ETF Trust (Call) Mar-19/288.00 8,418,365 30,208 9,430
Goldman Sachs International
USD/CNH (Call) Apr-19/CNH 7.20 1,850,700 1,850,700 17
UBS AG
SPDR S&P 500 ETF Trust (Call) Mar-19/$287.00 8,453,200 30,333 3,259
Total $14,566











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/28/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$82,000 $1,334 $(1,353) 12/20/28 3 month USD-LIBOR-BBA — Quarterly 2.9585% — Semiannually $8
1,685,500 24,637 (E) (35,523) 3/18/49 3 month USD-LIBOR-BBA — Quarterly 2.95% — Semiannually (10,885)
216,600 3,166 (E) 4,556 3/18/49 2.95% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,390
31,356,300 353,542 (E) (219,909) 3/18/29 3 month USD-LIBOR-BBA — Quarterly 2.85% — Semiannually 133,632
7,189,900 81,066 (E) 47,785 3/18/29 2.85% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (33,281)
5,505,600 61,811 (E) (46,341) 3/18/24 3 month USD-LIBOR-BBA — Quarterly 2.80% — Semiannually 15,470
4,173,100 46,851 (E) 27,922 3/18/24 2.80% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (18,929)
1,298,500 3,659 (E) (3,150) 3/18/21 3 month USD-LIBOR-BBA — Quarterly 2.75% — Semiannually 510
7,464,100 21,034 (E) 13,714 3/18/21 2.75% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (7,320)
82,000 1,334 (3) 12/20/48 2.9585% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (1,363)
1,890,000 11,321 (25) 12/31/28 3 month USD-LIBOR-BBA — Quarterly 2.7845% — Semiannually 11,238
200,000 842 (E) 3,567 3/18/49 2.90% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 2,724
157,000 1,763 (E) (1,554) 3/20/24 3 month USD-LIBOR-BBA — Quarterly 2.80% — Semiannually 208
4,000 58 (E) 86 3/20/20 2.95% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 28
Total $(210,228) $93,430
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/19 (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.
$20,975,825 $20,954,629 $— 6/13/19 (3 month USD-LIBOR-BBA plus 0.10%) — Quarterly A basket (MLFCF15) of common stocks — Quarterly* $(21,196)
20,973,406 20,940,957 — 6/13/19 3 month USD-LIBOR-BBA minus 0.07% — Quarterly Russell 1000 Total Return Index — Quarterly 77,207
Barclays Bank PLC
9,550 9,534 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 64
282,731 283,391 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,296
Citibank, N.A.
7,357,792 7,331,841 — 11/26/19 (3 month USD-LIBOR-BBA plus 0.34%) — Quarterly A basket (CGPUTQL2) of common stocks — Quarterly* (23,814)
6,268,255 6,253,165 — 11/26/19 3 month USD-LIBOR-BBA plus 0.25% — Quarterly Russell 1000 Total Return Index — Quarterly 16,602
Credit Suisse International
24,770 24,890 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 327
JPMorgan Securities LLC
282,731 283,391 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (3,296)
Upfront premium received — Unrealized appreciation 97,496
Upfront premium (paid) — Unrealized (depreciation) (48,306)
Total $— Total $49,190
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.









A BASKET (MLFCF15) OF COMMON STOCKS
        Percentage
  Common stocks Sector Shares Value value
Alphabet, Inc. Class A Communication Services 759 $854,681 4.08%
JPMorgan Chase & Co. Financials 5,541 578,251 2.76%
Apple, Inc. Information Technology 2,975 515,057 2.46%
Boeing Co. (The) Industrials 1,145 503,950 2.40%
Cisco Systems, Inc. Information Technology 9,724 503,402 2.40%
Home Depot, Inc. (The) Consumer Discretionary 2,650 490,678 2.34%
Verizon Communications, Inc. Communication Services 8,340 474,689 2.27%
Chevron Corp. Energy 3,656 437,224 2.09%
Citigroup, Inc. Financials 6,611 422,952 2.02%
International Business Machines Corp. Information Technology 2,972 410,544 1.96%
Starbucks Corp. Consumer Discretionary 5,476 384,747 1.84%
Microsoft Corp. Information Technology 3,294 368,990 1.76%
Amazon.com, Inc. Consumer Discretionary 225 368,786 1.76%
Oracle Corp. Information Technology 6,142 320,173 1.53%
Coca-Cola Co. (The) Consumer Staples 7,014 318,030 1.52%
Adobe, Inc. Information Technology 1,181 309,915 1.48%
Johnson & Johnson Health Care 2,119 289,601 1.38%
Lowe's Cos., Inc. Consumer Discretionary 2,733 287,229 1.37%
Medtronic PLC Health Care 3,009 272,313 1.30%
Abbott Laboratories Health Care 3,367 261,337 1.25%
Amgen, Inc. Health Care 1,360 258,584 1.23%
ConocoPhillips Energy 3,650 247,637 1.18%
Facebook, Inc. Class A Communication Services 1,515 244,619 1.17%
PepsiCo, Inc. Consumer Staples 2,055 237,657 1.13%
Merck & Co., Inc. Health Care 2,896 235,395 1.12%
Walgreens Boots Alliance, Inc. Consumer Staples 3,048 216,959 1.04%
Intuit, Inc. Information Technology 870 215,053 1.03%
Lockheed Martin Corp. Industrials 666 206,112 0.98%
NXP Semiconductors NV Information Technology 2,180 199,072 0.95%
Honeywell International, Inc. Industrials 1,270 195,690 0.93%
Intel Corp. Information Technology 3,606 190,977 0.91%
Automatic Data Processing, Inc. Information Technology 1,192 182,487 0.87%
MetLife, Inc. Financials 4,031 182,172 0.87%
United Continental Holdings, Inc. Industrials 1,985 174,303 0.83%
Mondelez International, Inc. Class A Consumer Staples 3,575 168,620 0.80%
Morgan Stanley Financials 3,976 166,930 0.80%
Xilinx, Inc. Information Technology 1,316 164,852 0.79%
Delta Air Lines, Inc. Industrials 3,119 154,623 0.74%
Walmart, Inc. Consumer Staples 1,508 149,326 0.71%
Booking Holdings, Inc. Consumer Discretionary 88 149,267 0.71%
AbbVie, Inc. Health Care 1,875 148,596 0.71%
Exelon Corp. Utilities 3,047 148,075 0.71%
HCA Healthcare, Inc. Health Care 1,064 148,002 0.71%
Southwest Airlines Co. Industrials 2,632 147,498 0.70%
Valero Energy Corp. Energy 1,792 146,143 0.70%
Phillips 66 Energy 1,486 143,170 0.68%
LyondellBasell Industries NV Materials 1,653 141,332 0.67%
Procter & Gamble Co. (The) Consumer Staples 1,417 139,653 0.67%
Sysco Corp. Consumer Staples 1,949 131,670 0.63%
Pfizer, Inc. Health Care 2,993 129,732 0.62%









A BASKET (CGPUTQL2) OF COMMON STOCKS
        Percentage
  Common stocks Sector Shares Value value
JPMorgan Chase & Co. Financials 1,846 $192,696 2.63%
Alphabet, Inc. Class A Communication Services 159 178,749 2.44%
Intuit, Inc. Information Technology 586 144,763 1.97%
Starbucks Corp. Consumer Discretionary 1,962 137,840 1.88%
Texas Instruments, Inc. Information Technology 1,267 134,062 1.83%
TJX Cos., Inc. (The) Consumer Discretionary 2,601 133,414 1.82%
Automatic Data Processing, Inc. Information Technology 866 132,464 1.81%
Microsoft Corp. Information Technology 1,173 131,457 1.79%
Mondelez International, Inc. Class A Consumer Staples 2,786 131,396 1.79%
Apple, Inc. Information Technology 758 131,203 1.79%
Lowe's Cos., Inc. Consumer Discretionary 1,165 122,418 1.67%
Exelon Corp. Utilities 2,488 120,910 1.65%
Raytheon Co. Industrials 646 120,415 1.64%
American Electric Power Co., Inc. Utilities 1,451 117,753 1.61%
Walt Disney Co. (The) Communication Services 1,001 112,968 1.54%
Exxon Mobil Corp. Energy 1,424 112,569 1.54%
Northrop Grumman Corp. Industrials 386 112,031 1.53%
Cognizant Technology Solutions Corp. Class A Information Technology 1,573 111,631 1.52%
Coca-Cola Co. (The) Consumer Staples 2,461 111,582 1.52%
Humana, Inc. Health Care 380 108,406 1.48%
Honeywell International, Inc. Industrials 699 107,733 1.47%
Occidental Petroleum Corp. Energy 1,582 104,671 1.43%
Comerica, Inc. Financials 1,169 101,852 1.39%
Norfolk Southern Corp. Industrials 562 100,724 1.37%
American Express Co. Financials 925 99,667 1.36%
Johnson & Johnson Health Care 703 96,120 1.31%
Centene Corp. Health Care 1,554 94,617 1.29%
Omnicom Group, Inc. Communication Services 1,225 92,722 1.26%
Cisco Systems, Inc. Information Technology 1,776 91,923 1.25%
Amazon.com, Inc. Consumer Discretionary 52 85,967 1.17%
Citrix Systems, Inc. Information Technology 789 83,260 1.14%
Pfizer, Inc. Health Care 1,903 82,505 1.13%
Verizon Communications, Inc. Communication Services 1,431 81,480 1.11%
Allstate Corp. (The) Financials 850 80,199 1.09%
Fidelity National Information Services, Inc. Information Technology 737 79,700 1.09%
F5 Networks, Inc. Information Technology 467 78,552 1.07%
VICI Properties, Inc. Real Estate 3,645 77,684 1.06%
Baxter International, Inc. Health Care 1,022 76,344 1.04%
Merck & Co., Inc. Health Care 921 74,874 1.02%
AutoZone, Inc. Consumer Discretionary 79 74,065 1.01%
Ross Stores, Inc. Consumer Discretionary 768 72,853 0.99%
Sysco Corp. Consumer Staples 1,053 71,107 0.97%
NXP Semiconductors NV Information Technology 778 71,020 0.97%
Waste Management, Inc. Industrials 680 68,865 0.94%
Marathon Petroleum Corp. Energy 1,100 68,225 0.93%
Kinder Morgan, Inc. Energy 3,497 67,008 0.91%
Facebook, Inc. Class A Communication Services 408 65,838 0.90%
Harris Corp. Industrials 389 64,147 0.87%
Equity Residential Trust Real Estate 851 62,734 0.86%
Fiserv, Inc. Information Technology 738 62,516 0.85%









CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/19 (Unaudited)
  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)
$1,500,000 $32,168 $— 4/7/26 (1.858%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity $32,168
1,400,000 3,678 — 8/7/25 (1.92%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 3,678
1,400,000 3,633 (24) 2/7/29 (2.099%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity 3,609
3,500,000 7,648 (38) 11/7/27 (2.1438%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (7,685)
1,400,000 32,603 (24) 4/6/28 (2.3075%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (32,627)
3,600,000 40,558 — 5/5/27 (2.17%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (40,558)
1,700,000 50,152 (29) 7/9/28 (2.3875%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (50,180)
700,000 71,164 — 9/10/22 (2.5925%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (71,164)
4,000,000 97,484 (67) 3/7/28 (2.335%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (97,551)
4,800,000 109,474 — 12/5/26 (2.308%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (109,474)
6,000,000 156,624 (99) 7/2/28 (2.356%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (156,724)
1,600,000 157,435 — 8/8/22 (2.5325%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (157,435)
2,600,000 323,908 — 1/9/23 (2.76%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (323,908)
6,900,000 646,413 — 7/19/23 (2.57%) — At maturity USA Non Revised Consumer Price Index- Urban (CPI-U) — At maturity (646,413)
Total $(281) $(1,654,264)









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 2/28/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.6 Index A/P $775 $32,000 $659 5/11/63 200 bp — Monthly $123
CMBX NA BB.6 Index BB/P 4,923 20,000 4,656 5/11/63 500 bp — Monthly 278
CMBX NA BB.7 Index BB/P 555 4,000 463 1/17/47 500 bp — Monthly 95
CMBX NA BB.7 Index BB/P 643 5,000 579 1/17/47 500 bp — Monthly 67
CMBX NA BBB-.7 Index BBB-/P 280 3,000 123 1/17/47 300 bp — Monthly 158
Credit Suisse International
CMBX NA A.6 Index A/P 158 7,000 144 5/11/63 200 bp — Monthly 16
CMBX NA A.6 Index A/P 997 20,000 412 5/11/63 200 bp — Monthly 590
CMBX NA A.6 Index A/P 893 46,000 948 5/11/63 200 bp — Monthly (44)
CMBX NA A.6 Index A/P 4,009 79,000 1,627 5/11/63 200 bp — Monthly 2,399
CMBX NA A.7 Index A-/P 1,040 25,000 135 1/17/47 200 bp — Monthly 1,180
CMBX NA A.7 Index A-/P 943 24,000 130 1/17/47 200 bp — Monthly 1,078
CMBX NA A.7 Index A-/P 294 8,000 43 1/17/47 200 bp — Monthly 339
CMBX NA BB.7 Index BB/P 936 7,000 810 1/17/47 500 bp — Monthly 130
CMBX NA BBB-.6 Index BBB-/P 1,393 12,000 1,457 5/11/63 300 bp — Monthly (60)
Goldman Sachs International
CMBX NA A.6 Index A/P 607 12,000 247 5/11/63 200 bp — Monthly 363
CMBX NA A.6 Index A/P 301 13,000 268 5/11/63 200 bp — Monthly 36
CMBX NA A.6 Index A/P 759 15,000 309 5/11/63 200 bp — Monthly 454
CMBX NA A.6 Index A/P 781 15,000 309 5/11/63 200 bp — Monthly 475
CMBX NA A.6 Index A/P 1,248 19,000 391 5/11/63 200 bp — Monthly 861
CMBX NA A.6 Index A/P 1,133 22,000 453 5/11/63 200 bp — Monthly 685
CMBX NA A.6 Index A/P 1,186 24,000 494 5/11/63 200 bp — Monthly 697
CMBX NA A.6 Index A/P 1,988 31,000 639 5/11/63 200 bp — Monthly 1,357
CMBX NA A.6 Index A/P 1,083 35,000 721 5/11/63 200 bp — Monthly 369
CMBX NA A.6 Index A/P 1,820 58,000 1,195 5/11/63 200 bp — Monthly 638
CMBX NA A.6 Index A/P 3,736 62,000 1,277 5/11/63 200 bp — Monthly 2,473
CMBX NA A.6 Index A/P 3,257 64,000 1,318 5/11/63 200 bp — Monthly 1,953
CMBX NA BBB-.6 Index BBB-/P 109 1,000 121 5/11/63 300 bp — Monthly (12)
CMBX NA BBB-.6 Index BBB-/P 317 4,000 486 5/11/63 300 bp — Monthly (168)
CMBX NA BBB-.6 Index BBB-/P 613 9,000 1,093 5/11/63 300 bp — Monthly (476)
CMBX NA BBB-.6 Index BBB-/P 1,056 9,000 1,093 5/11/63 300 bp — Monthly (34)
CMBX NA BBB-.6 Index BBB-/P 1,266 15,000 1,821 5/11/63 300 bp — Monthly (550)
CMBX NA BBB-.6 Index BBB-/P 1,941 23,000 2,792 5/11/63 300 bp — Monthly (844)
CMBX NA BBB-.6 Index BBB-/P 4,261 35,000 4,249 5/11/63 300 bp — Monthly 24
CMBX NA BBB-.6 Index BBB-/P 5,939 79,000 9,591 5/11/63 300 bp — Monthly (3,626)
CMBX NA BBB-.6 Index BBB-/P 8,253 88,000 10,683 5/11/63 300 bp — Monthly (2,400)
JPMorgan Securities LLC
CMBX NA BB.6 Index BB/P 1,059 5,000 1,164 5/11/63 500 bp — Monthly (102)
CMBX NA BB.6 Index BB/P 1,270 6,000 1,397 5/11/63 500 bp — Monthly (124)
CMBX NA A.6 Index A/P 396 12,000 247 5/11/63 200 bp — Monthly 152
CMBX NA A.6 Index A/P 717 14,000 288 5/11/63 200 bp — Monthly 432
CMBX NA A.6 Index A/P 1,176 19,000 391 5/11/63 200 bp — Monthly 789
CMBX NA A.6 Index A/P 1,114 22,000 453 5/11/63 200 bp — Monthly 666
CMBX NA A.6 Index A/P 2,118 36,000 742 5/11/63 200 bp — Monthly 1,385
CMBX NA A.6 Index A/P 1,069 38,000 783 5/11/63 200 bp — Monthly 295
CMBX NA A.6 Index A/P 1,205 42,000 865 5/11/63 200 bp — Monthly 349
CMBX NA A.6 Index A/P 1,613 49,000 1,009 5/11/63 200 bp — Monthly 614
CMBX NA A.6 Index A/P 3,188 72,000 1,483 5/11/63 200 bp — Monthly 1,721
CMBX NA A.6 Index A/P 12,776 212,000 4,367 5/11/63 200 bp — Monthly 8,456
CMBX NA A.6 Index A/P 21,202 701,000 14,441 5/11/63 200 bp — Monthly 6,913
CMBX NA BBB-.6 Index BBB-/P 10,716 81,000 9,833 5/11/63 300 bp — Monthly 909
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index A/P 622 46,000 948 5/11/63 200 bp — Monthly (315)
CMBX NA BB.6 Index BB/P 1,473 6,000 1,397 5/11/63 500 bp — Monthly 80
CMBX NA BB.6 Index BB/P 3,203 13,000 3,026 5/11/63 500 bp — Monthly 184
Upfront premium received 124,410 Unrealized appreciation 39,783
Upfront premium (paid) — Unrealized (depreciation) (8,755)
Total $124,410 Total $31,028
* 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 February 28, 2019. 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 2/28/19 (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 A.7 Index $(22) $3,000 $16 1/17/47 (200 bp) — Monthly $(39)
CMBX NA BB.7 Index (1,143) 7,000 810 1/17/47 (500 bp) — Monthly (337)
CMBX NA BB.7 Index (1,099) 7,000 810 1/17/47 (500 bp) — Monthly (293)
CMBX NA BB.7 Index (1,413) 7,000 810 1/17/47 (500 bp) — Monthly (607)
CMBX NA BB.9 Index (1,386) 9,000 1,212 9/17/58 (500 bp) — Monthly (178)
CMBX NA BB.9 Index (1,393) 9,000 1,212 9/17/58 (500 bp) — Monthly (185)
CMBX NA BB.9 Index (1,386) 9,000 1,212 9/17/58 (500 bp) — Monthly (179)
CMBX NA BB.9 Index (626) 4,000 539 9/17/58 (500 bp) — Monthly (90)
Credit Suisse International
CMBX NA BB.10 Index (1,070) 9,000 994 11/17/59 (500 bp) — Monthly (82)
CMBX NA BB.10 Index (1,201) 9,000 994 11/17/59 (500 bp) — Monthly (212)
CMBX NA BB.10 Index (622) 5,000 552 11/17/59 (500 bp) — Monthly (72)
CMBX NA BB.7 Index (2,348) 133,000 30,962 5/11/63 (500 bp) — Monthly 28,541
CMBX NA BB.9 Index (2,235) 14,000 1,886 9/17/58 (500 bp) — Monthly (357)
CMBX NA BB.9 Index (767) 5,000 674 9/17/58 (500 bp) — Monthly (97)
CMBX NA BB.9 Index (606) 4,000 539 9/17/58 (500 bp) — Monthly (70)
CMBX NA BB.9 Index (616) 4,000 539 9/17/58 (500 bp) — Monthly (79)
CMBX NA BB.9 Index (313) 2,000 269 9/17/58 (500 bp) — Monthly (45)
CMBX NA BBB-.7 Index (78) 1,000 41 1/17/47 (300 bp) — Monthly (38)
Goldman Sachs International
CMBX NA BB.6 Index (2,557) 25,000 5,820 5/11/63 (500 bp) — Monthly 3,249
CMBX NA BB.7 Index (303) 2,000 231 1/17/47 (500 bp) — Monthly (72)
CMBX NA BB.7 Index (6,904) 34,000 3,934 1/17/47 (500 bp) — Monthly (2,989)
CMBX NA BB.7 Index (655) 4,000 463 1/17/47 (500 bp) — Monthly (195)
JPMorgan Securities LLC
CMBX NA A.7 Index (1,138) 54,000 292 1/17/47 (200 bp) — Monthly (1,442)
CMBX NA BB.6 Index (399) 3,000 698 5/11/63 (500 bp) — Monthly 298
CMBX NA BB.6 Index (281) 2,000 466 5/11/63 (500 bp) — Monthly 183
CMBX NA BB.7 Index (12,910) 102,000 11,801 1/17/47 (500 bp) — Monthly (1,163)
CMBX NA BBB-.7 Index (67) 1,000 41 1/17/47 (300 bp) — Monthly (27)
Merrill Lynch International
CMBX NA BB.7 Index (2,255) 13,000 1,504 1/17/47 (500 bp) — Monthly (758)
CMBX NA BB.9 Index (1,564) 10,000 1,347 9/17/58 (500 bp) — Monthly (223)
Morgan Stanley & Co. International PLC
CMBX NA BB.7 Index (2,614) 13,000 1,504 1/17/47 (500 bp) — Monthly (1,117)
CMBX NA BB.7 Index (2,121) 11,000 1,273 1/17/47 (500 bp) — Monthly (855)
CMBX NA BB.7 Index (1,211) 6,000 694 1/17/47 (500 bp) — Monthly (520)
Upfront premium received — Unrealized appreciation 32,271
Upfront premium (paid) (53,303) Unrealized (depreciation) (12,321)
Total $(53,303) Total $19,950
* 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 2/28/19 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments received
by fund		 Unrealized
appreciation
EM Series 30 Index BBB-/P $452,503 $9,500,000 $269,772 12/20/23 100 bp — Quarterly $201,468
NA HY Series 31 Index B+/P (339,193) 5,602,660 349,085 12/20/23 500 bp — Quarterly 65,140
NA IG Series 31 Index BBB+/P (46,431) 2,790,000 49,684 12/20/23 100 bp — Quarterly 8,756
Total $66,879 $275,364
* 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 February 28, 2019. 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 2/28/19 (Unaudited)
  Referenced debt* Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments (paid) by fund Unrealized
appreciation
NA HY Series 31 Index $13,715 $187,180 $11,663 12/20/23 (500 bp) — Quarterly $206
Total $13,715 $206
* 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)
EUR Euro
GBP British Pound
USD / $ United States Dollar
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
bp Basis Points
DAC Designated Activity Company
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. 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.
GDR Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
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
OJSC Open Joint Stock Company
OTC Over-the-counter
PJSC Public Joint Stock Company
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from June 1, 2018 through February 28, 2019 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $140,409,089.
(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.
(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
5/31/18		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as  of
2/28/19
Short-term investments
Putnam Cash Collateral Pool, LLC*# $144,050 $4,242,259 $3,557,209 $7,131 $829,100
Putnam Short Term Investment Fund** 19,395,321 32,190,626 38,521,629 239,734 13,064,318
Total Short-term investments $19,539,371 $36,432,885 $42,078,838 $246,865 $13,893,418
* 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 $829,100, 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 $804,394.
** 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 $1,171,627.
(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 $121,085.
(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 $3,176,846.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. 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. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $15,517,746 to cover certain derivative contracts, delayed delivery securities and the settlement of certain 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 77.1%
United Kingdom 5.6
Japan 2.5
China 1.6
France 1.3
Australia 1.3
Canada 1.0
Brazil 0.8
Switzerland 0.8
Germany 0.7
South Korea 0.7
Netherlands 0.7
Sweden 0.6
Taiwan 0.5
Spain 0.5
Hong Kong 0.5
Mexico 0.5
Other 3.3
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. 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 and/or centrally cleared 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 and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared 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 or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return 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 total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral 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 $54,534 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $121,085 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 $2,847,256 $— $—
Capital goods 3,876,921 — —
Communication services 2,374,852 — —
Conglomerates 358,388 — —
Consumer cyclicals 8,929,586 — —
Consumer staples 5,828,315 — —
Energy 3,020,101 — 7,798
Financials 17,028,074 — —
Health care 8,197,063 — —
Technology 11,572,026 — —
Transportation 1,508,100 — —
Utilities and power 2,727,758 — —
Total common stocks 68,268,440 — 7,798
Asset-backed securities — 1,233,336 —
Commodity linked notes — 7,493,998 —
Convertible bonds and notes — 17,178 —
Convertible preferred stocks — 60,168 —
Corporate bonds and notes — 34,074,417 5
Foreign government and agency bonds and notes — 1,339,809 —
Investment companies 52,173 — —
Mortgage-backed securities — 4,643,440 —
Purchased options outstanding — 634,254 —
Senior loans — 587,674 —
U.S. government and agency mortgage obligations — 11,670,268 —
Warrants — 277,802 —
Short-term investments 13,370,318 5,457,358 —
Totals by level $81,690,931 $67,489,702 $7,803
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(30,886) $—
Futures contracts 144,444 — —
Written options outstanding — (14,566) —
Interest rate swap contracts — 303,658 —
Total return swap contracts — (1,604,793) —
Credit default contracts — 174,847 —
Totals by level $144,444 $(1,171,740) $—

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 $533,414 $358,567
Foreign exchange contracts 355,605 366,331
Equity contracts 1,238,672 413,889
Interest rate contracts 827,836 1,931,980
Total $2,955,527 $3,070,767
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) $160,000
Purchased currency option contracts (contract amount) $2,800,000
Written equity option contracts (contract amount) $73,000
Written currency option contracts (contract amount) $2,900,000
Futures contracts (number of contracts) 700
Forward currency contracts (contract amount) $78,100,000
Centrally cleared interest rate swap contracts (notional) $67,400,000
OTC total return swap contracts (notional) $59,800,000
Centrally cleared total return swap contracts (notional) $42,400,000
OTC credit default contracts (notional) $7,100,000
Centrally cleared credit default contracts (notional) $19,500,000
Warrants (number of warrants) 63,000

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: April 26, 2019

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: April 26, 2019

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: April 26, 2019