|
|
|
|
| |
|
|
REPURCHASE AGREEMENTS (48.7%)(a) |
| |
|
|
|
Principal amount |
Value |
|
Interest in $135,000,000 tri-party repurchase agreement dated 4/30/19 with Bank of Nova Scotia due 5/1/19 - maturity value of $135,010,238 for an effective yield of 2.730% (collateralized by various U.S. Treasury notes and bonds with coupon rates ranging from 0.125% to 6.125% and due dates ranging from 1/31/20 to 11/15/27, valued at $137,710,490) |
|
|
|
$135,000,000 |
$135,000,000 |
|
Interest in $225,000,000 tri-party repurchase agreement dated 4/30/19 with Barclays Capital, Inc. due 5/1/19 - maturity value of $225,017,063 for an effective yield of 2.730% (collateralized by a U.S. Treasury note with a coupon rate of 0.125% and a due date of 4/15/22, valued at $229,517,452) |
|
|
|
225,000,000 |
225,000,000 |
|
Interest in $31,000,000 tri-party term repurchase agreement dated 4/30/19 with BNP Paribas, 2.640% (collateralized by various corporate bonds and notes with coupon rates ranging from 0.250% to 10.750% and due dates ranging from 3/30/20 to perpetual maturity, valued at $32,552,387)(IR)(EG) (France) |
|
|
|
31,000,000 |
31,000,000 |
|
Interest in $407,705,000 joint tri-party repurchase agreement dated 4/30/19 with Citigroup Global Markets, Inc. due 5/1/19 - maturity value of $153,309,753 for an effective yield of 2.760% (collateralized by various U.S. Treasury notes with coupon rates ranging from 0.050% to 2.250% and due dates ranging from 11/30/19 to 1/15/28, valued at $415,859,108) |
|
|
|
153,298,000 |
153,298,000 |
|
Interest in $117,700,000 tri-party repurchase agreement dated 4/30/19 with Goldman, Sachs & Co. due 5/1/19 - maturity value of $117,708,860 for an effective yield of 2.710% (collateralized by various mortgage backed securities with coupon rates ranging from 2.078% to 6.000% and due dates ranging from 3/1/22 to 4/20/49, valued at $120,054,000) |
|
|
|
117,700,000 |
117,700,000 |
|
Interest in $429,200,000 joint tri-party repurchase agreement dated 4/30/19 with HSBC Bank USA, National Association due 5/1/19 - maturity value of $153,011,730 for an effective yield of 2.760% (collateralized by various mortgage backed securities with coupon rates ranging from 3.000% to 5.000% and due dates ranging from 2/1/31 to 2/1/49, valued at $437,817,564) |
|
|
|
153,000,000 |
153,000,000 |
|
Interest in $50,000,000 tri-party repurchase agreement dated 4/30/19 with JPMorgan Securities, LLC due 5/1/19 - maturity value of $50,003,819 for an effective yield of 2.750% (collateralized by various mortgage backed securities with coupon rates ranging from 2.500% to 7.500% and due dates ranging from 8/1/25 to 4/1/49, valued at $51,003,896) |
|
|
|
50,000,000 |
50,000,000 |
|
Interest in $150,000,000 tri-party repurchase agreement dated 4/30/19 with JPMorgan Securities, LLC due 5/1/19 - maturity value of $150,011,375 for an effective yield of 2.730% (collateralized by a U.S. Treasury note with a coupon rate of 2.000% and a due date of 10/31/22, valued at $153,011,674) |
|
|
|
150,000,000 |
150,000,000 |
|
Interest in $282,396,000 joint tri-party repurchase agreement dated 4/30/19 with Merrill Lynch, Pierce, Fenner & Smith, Inc. due 5/1/19 - maturity value of $142,787,907 for an effective yield of 2.750% (collateralized by various mortgage backed securities with coupon rates ranging from 2.500% to 6.000% and due dates ranging from 10/1/25 to 5/1/49, valued at $288,043,920) |
|
|
|
142,777,000 |
142,777,000 |
|
Interest in $100,000,000 tri-party term repurchase agreement dated 4/30/19 with Merrill Lynch, Pierce, Fenner & Smith, Inc. due 5/7/19 - maturity value of $100,049,000 for an effective yield of 2.520% (collateralized by various mortgage backed securities with coupon rates ranging from 4.000% to 4.500% and due dates ranging from 12/20/48 to 4/20/49, valued at $102,000,001) |
|
|
|
100,000,000 |
100,000,000 |
|
Interest in $25,000,000 tri-party term repurchase agreement dated 4/30/19 with RBC Capital Markets, LLC, 2.670% (collateralized by various corporate bonds and notes with coupon rates ranging from 2.250% to 9.400% and due dates ranging from 10/7/19 to 3/15/50, valued at $26,251,947)(IR)(EG) (Canada) |
|
|
|
25,000,000 |
25,000,000 |
|
Interest in $182,750,000 joint tri-party repurchase agreement dated 4/30/19 with Royal Bank of Canada due 5/1/19 - maturity value of $153,011,603 for an effective yield of 2.730% (collateralized by various mortgage backed securities with coupon rates ranging from 3.500% to 4.500% and due dates ranging from 12/1/26 to 1/1/49, valued at $186,419,136) |
|
|
|
153,000,000 |
153,000,000 |
|
|
|
|
|
|
|
|
Total repurchase agreements (cost $1,435,775,000) |
|
|
|
|
$1,435,775,000 |
|
|
|
|
| |
|
|
COMMERCIAL PAPER (22.6%)(a) |
| |
|
Yield (%) |
Maturity date |
|
Principal amount |
Value |
|
ABN AMRO Funding USA, LLC |
2.611 |
6/6/19 |
|
$13,000,000 |
$12,966,156 |
|
American Honda Finance Corp. |
2.536 |
7/23/19 |
|
10,000,000 |
9,941,527 |
|
American Honda Finance Corp. |
2.526 |
7/24/19 |
|
15,000,000 |
14,911,210 |
|
Apple, Inc. |
2.737 |
7/8/19 |
|
24,000,000 |
23,887,346 |
|
Apple, Inc. |
2.586 |
7/24/19 |
|
16,500,000 |
16,403,968 |
|
Berkshire Hathaway Energy Co. |
2.635 |
5/9/19 |
|
15,000,000 |
14,990,276 |
|
BP Capital Markets PLC (United Kingdom) |
2.694 |
8/27/19 |
|
6,000,000 |
5,946,708 |
|
BP Capital Markets PLC (United Kingdom) |
2.656 |
7/8/19 |
|
4,025,000 |
4,004,850 |
|
BP Capital Markets PLC (United Kingdom) |
2.655 |
7/5/19 |
|
5,150,000 |
5,125,414 |
|
BPCE SA (France) |
2.816 |
5/6/19 |
|
11,000,000 |
10,995,567 |
|
BPCE SA (France) |
2.657 |
12/20/19 |
|
15,000,000 |
14,748,548 |
|
Credit Suisse AG/New York, NY |
3.069 |
8/6/19 |
|
12,500,000 |
12,413,399 |
|
DNB Bank ASA (Norway) |
2.665 |
1/23/20 |
|
25,500,000 |
25,505,436 |
|
DNB Bank ASA (Norway) |
2.552 |
6/10/19 |
|
15,000,000 |
14,958,453 |
|
ENGIE SA (France) |
2.724 |
7/2/19 |
|
15,000,000 |
14,932,590 |
|
Eversource Energy |
2.623 |
5/9/19 |
|
15,000,000 |
14,989,931 |
|
Export Development Canada (Canada) |
2.837 |
5/17/19 |
|
15,000,000 |
14,982,780 |
|
Export Development Canada (Canada) |
2.548 |
10/2/19 |
|
15,000,000 |
14,835,829 |
|
Export Development Canada (Canada) |
2.528 |
10/1/19 |
|
15,000,000 |
14,836,953 |
|
Export Development Canada (Canada) |
2.509 |
7/29/19 |
|
15,000,000 |
14,906,625 |
|
GlaxoSmithKline, LLC (United Kingdom) |
2.517 |
6/10/19 |
|
15,000,000 |
14,957,035 |
|
HSBC USA, Inc. 144A |
2.815 |
7/5/19 |
|
15,000,000 |
15,008,247 |
|
HSBC USA, Inc. 144A |
2.666 |
9/5/19 |
|
15,000,000 |
14,861,067 |
|
ING (U.S.) Funding LLC |
2.805 |
5/28/19 |
|
16,000,000 |
16,004,225 |
|
ING (U.S.) Funding LLC |
2.785 |
7/8/19 |
|
7,000,000 |
7,003,279 |
|
International Business Machines Corp. |
2.530 |
5/30/19 |
|
15,000,000 |
14,969,875 |
|
Lloyds Bank PLC (United Kingdom) |
2.815 |
8/2/19 |
|
15,000,000 |
15,010,322 |
|
LVMH Moet Hennessy Louis Vuitton, Inc. |
2.737 |
10/10/19 |
|
15,000,000 |
14,820,021 |
|
Mitsubishi UFJ Trust & Banking Corp./NY |
2.607 |
5/14/19 |
|
15,000,000 |
14,985,778 |
|
National Australia Bank, Ltd. (Australia) |
2.715 |
8/2/19 |
|
22,000,000 |
22,009,419 |
|
Nationwide Building Society (United Kingdom) |
2.505 |
5/24/19 |
|
15,000,000 |
14,974,910 |
|
NRW.Bank (Germany) |
2.546 |
7/22/19 |
|
15,000,000 |
14,912,815 |
|
NRW.Bank (Germany) |
2.535 |
6/6/19 |
|
13,000,000 |
12,966,931 |
|
Roche Holdings, Inc. (Switzerland) |
2.477 |
5/17/19 |
|
2,080,000 |
2,077,612 |
|
Roche Holdings, Inc. (Switzerland) |
2.448 |
6/3/19 |
|
25,000,000 |
24,942,295 |
|
Simon Property Group LP |
2.586 |
5/8/19 |
|
15,000,000 |
14,991,893 |
|
Simon Property Group LP |
2.480 |
6/17/19 |
|
15,000,000 |
14,950,320 |
|
Skandinaviska Enskilda Banken AB (Sweden) |
2.959 |
7/8/19 |
|
6,950,000 |
6,916,991 |
|
Societe Generale SA (France) |
3.025 |
12/16/19 |
|
15,000,000 |
15,035,510 |
|
Stanley Black & Decker, Inc. |
2.645 |
5/15/19 |
|
4,600,000 |
4,594,825 |
|
Stanley Black & Decker, Inc. |
2.645 |
5/8/19 |
|
15,000,000 |
14,990,913 |
|
Toronto-Dominion Bank (The) (Canada) |
2.895 |
6/7/19 |
|
14,000,000 |
14,006,136 |
|
Toronto-Dominion Bank (The) (Canada) |
2.805 |
6/28/19 |
|
15,000,000 |
15,000,000 |
|
Total Capital SA (France) |
2.465 |
5/23/19 |
|
25,000,000 |
24,961,108 |
|
UnitedHealth Group, Inc. |
2.742 |
6/28/19 |
|
14,450,000 |
14,388,664 |
|
UnitedHealth Group, Inc. |
2.585 |
5/22/19 |
|
5,350,000 |
5,341,578 |
|
Walmart, Inc. |
2.479 |
5/13/19 |
|
10,000,000 |
9,991,243 |
|
Westpac Banking Corp. (Australia) |
2.775 |
5/30/19 |
|
15,000,000 |
15,003,894 |
|
|
|
|
|
|
|
|
Total commercial paper (cost $665,853,922) |
|
|
|
|
$665,960,472 |
|
|
|
|
| |
|
|
CERTIFICATES OF DEPOSIT (15.8%)(a) |
| |
|
Yield (%) |
Maturity date |
|
Principal amount |
Value |
|
Bank of America, NA FRN |
2.773 |
5/14/19 |
|
$15,000,000 |
$15,000,883 |
|
Bank of America, NA FRN |
2.560 |
11/4/19 |
|
17,000,000 |
17,002,784 |
|
Bank of Montreal/Chicago, IL FRN (Canada) |
2.804 |
8/6/19 |
|
15,000,000 |
15,008,575 |
|
Bank of Montreal/Chicago, IL FRN (Canada) |
2.673 |
4/3/20 |
|
15,000,000 |
14,999,522 |
|
Bank of Nova Scotia/Houston FRN |
2.998 |
11/4/19 |
|
12,120,000 |
12,135,938 |
|
Bank of Nova Scotia/Houston FRN |
2.807 |
6/19/19 |
|
15,000,000 |
15,006,739 |
|
Canadian Imperial Bank of Commerce FRN (Canada) |
2.657 |
4/6/20 |
|
15,000,000 |
14,997,390 |
|
Canadian Imperial Bank of Commerce/New York, NY FRN |
2.936 |
5/1/19 |
|
15,000,000 |
15,000,000 |
|
Canadian Imperial Bank of Commerce/New York, NY FRN |
2.864 |
12/6/19 |
|
15,000,000 |
15,023,861 |
|
Canadian Imperial Bank of Commerce/New York, NY FRN |
2.781 |
6/10/19 |
|
15,000,000 |
15,005,348 |
|
Citibank, NA |
2.570 |
10/21/19 |
|
15,250,000 |
15,249,192 |
|
Cooperatieve Rabobank UA/NY FRN (Netherlands) |
2.712 |
5/9/19 |
|
17,000,000 |
17,000,415 |
|
HSBC Bank USA, NA FRN |
2.654 |
11/8/19 |
|
15,000,000 |
15,003,415 |
|
HSBC Bank USA, NA FRN |
2.597 |
10/28/19 |
|
15,000,000 |
14,998,485 |
|
Mizuho Bank, Ltd./New York, NY |
2.607 |
7/1/19 |
|
18,000,000 |
18,003,249 |
|
MUFG Bank, Ltd./New York, NY FRN (Japan) |
2.787 |
5/21/19 |
|
15,000,000 |
15,003,029 |
|
Nordea Bank ABP/New York, NY FRN |
2.864 |
10/10/19 |
|
15,000,000 |
15,018,976 |
|
Rabobank Nederland NV NY (Netherlands) |
2.590 |
9/18/19 |
|
17,250,000 |
17,253,553 |
|
Skandinaviska Enskilda Banken AB/New York, NY |
2.700 |
7/17/19 |
|
11,700,000 |
11,705,408 |
|
Skandinaviska Enskilda Banken AB/New York, NY |
2.640 |
7/31/19 |
|
15,000,000 |
15,003,867 |
|
Societe Generale/New York, NY FRN (France) |
2.772 |
5/9/19 |
|
15,000,000 |
15,000,511 |
|
State Street Bank & Trust Co. |
2.510 |
7/18/19 |
|
25,000,000 |
25,000,159 |
|
Svenska Handelsbanken/New York, NY FRN (Sweden) |
2.787 |
8/20/19 |
|
16,000,000 |
16,010,965 |
|
Svenska Handelsbanken/New York, NY FRN (Sweden) |
2.754 |
7/8/19 |
|
15,000,000 |
15,007,341 |
|
Swedbank AB/New York FRN |
2.747 |
5/21/19 |
|
16,000,000 |
16,002,859 |
|
US Bank, NA/Cincinnati, OH FRN |
2.645 |
5/13/19 |
|
28,500,000 |
28,501,970 |
|
US Bank, NA/Cincinnati, OH FRN |
2.635 |
7/3/19 |
|
12,500,000 |
12,502,750 |
|
Wells Fargo Bank, NA FRN |
2.940 |
3/25/20 |
|
9,000,000 |
9,017,851 |
|
Wells Fargo Bank, NA FRN |
2.873 |
12/16/19 |
|
15,000,000 |
15,027,739 |
|
Wells Fargo Bank, NA FRN |
2.692 |
10/9/19 |
|
11,000,000 |
11,006,667 |
|
|
|
|
|
|
|
|
Total certificates of deposit (cost $466,360,140) |
|
|
|
|
$466,499,441 |
|
|
|
|
| |
|
|
ASSET-BACKED COMMERCIAL PAPER (11.6%)(a) |
| |
|
Yield (%) |
Maturity date |
|
Principal amount |
Value |
|
Atlantic Asset Securitization, LLC |
2.598 |
6/7/19 |
|
$10,977,000 |
$10,947,512 |
|
Atlantic Asset Securitization, LLC |
2.591 |
7/23/19 |
|
12,950,000 |
12,871,920 |
|
Barclays Bank PLC CCP (United Kingdom) |
2.755 |
7/3/19 |
|
15,000,000 |
14,929,227 |
|
Bedford Row Funding Corp. |
2.659 |
3/27/20 |
|
15,000,000 |
14,997,446 |
|
CAFCO, LLC |
2.558 |
6/18/19 |
|
13,000,000 |
12,955,499 |
|
CAFCO, LLC |
2.505 |
5/14/19 |
|
2,000,000 |
1,998,082 |
|
Chariot Funding, LLC |
3.026 |
6/10/19 |
|
15,000,000 |
14,957,206 |
|
Chariot Funding, LLC |
2.943 |
5/29/19 |
|
15,000,000 |
14,969,925 |
|
Chariot Funding, LLC |
2.567 |
6/3/19 |
|
15,000,000 |
14,964,654 |
|
CHARTA, LLC |
2.529 |
6/13/19 |
|
20,000,000 |
19,938,669 |
|
CRC Funding, LLC |
2.587 |
5/7/19 |
|
7,750,000 |
7,746,293 |
|
CRC Funding, LLC |
2.568 |
6/6/19 |
|
6,000,000 |
5,984,460 |
|
CRC Funding, LLC |
2.568 |
6/3/19 |
|
14,000,000 |
13,966,680 |
|
Fairway Finance Co., LLC (Canada) |
2.595 |
9/6/19 |
|
15,000,000 |
15,000,000 |
|
Liberty Street Funding, LLC (Canada) |
2.597 |
7/18/19 |
|
14,100,000 |
14,022,120 |
|
LMA-Americas, LLC (France) |
2.627 |
5/6/19 |
|
2,750,000 |
2,748,873 |
|
Manhattan Asset Funding Co., LLC (Japan) |
2.496 |
6/5/19 |
|
15,000,000 |
14,962,530 |
|
Manhattan Asset Funding Co., LLC (Japan) |
2.486 |
5/20/19 |
|
10,000,000 |
9,986,239 |
|
MetLife Short Term Funding, LLC |
2.621 |
6/17/19 |
|
14,000,000 |
13,953,445 |
|
MetLife Short Term Funding, LLC |
2.619 |
5/28/19 |
|
15,000,000 |
14,971,218 |
|
Old Line Funding, LLC |
2.623 |
6/10/19 |
|
15,000,000 |
14,957,206 |
|
Old Line Funding, LLC |
2.615 |
8/22/19 |
|
20,000,000 |
20,000,000 |
|
Regency Markets No. 1, LLC |
2.506 |
5/10/19 |
|
10,000,000 |
9,993,156 |
|
Sheffield Receivables Co., LLC (United Kingdom) |
2.755 |
12/18/19 |
|
12,000,000 |
11,795,376 |
|
Thunder Bay Funding, LLC |
2.610 |
10/9/19 |
|
11,000,000 |
10,999,927 |
|
Thunder Bay Funding, LLC |
2.551 |
7/29/19 |
|
15,000,000 |
14,906,625 |
|
Victory Receivables Corp. (Japan) |
2.576 |
6/17/19 |
|
13,000,000 |
12,956,424 |
|
|
|
|
|
|
|
|
Total asset-backed commercial paper (cost $342,472,970) |
|
|
|
|
$342,480,712 |
|
|
|
|
|
|
|
|
Key to holding's abbreviations |
| 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. |
|
Notes to the fund's portfolio |
|
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from August 1, 2018 through April 30, 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 $2,948,506,844. |
| (IR) |
Repurchase agreements with a maturity of more than seven days are considered to be illiquid investments. |
| (EG) |
Maturity date of the repurchase agreement is thirty-five days from the purchase date unless both parties agree to roll the transaction. Maturity value of the repurchase agreement will equal the principal amount of the repurchase agreement plus interest. |
|
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 |
76.2% |
|
|
|
|
Canada |
6.3 |
|
|
|
|
France |
4.4 |
|
|
|
|
United Kingdom |
2.9 |
|
|
|
|
Japan |
1.8 |
|
|
|
|
Sweden |
1.7 |
|
|
|
|
Norway |
1.4 |
|
|
|
|
Australia |
1.3 |
|
|
|
|
Netherlands |
1.2 |
|
|
|
|
Cayman Islands |
1.0 |
|
|
|
|
Germany |
0.9 |
|
|
|
|
Switzerland |
0.9 |
|
|
|
|
|
|
|
|
|
|
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. |
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Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. |
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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. |
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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. 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. |
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Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $1,466,242,150 at the end of the reporting period, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. |