NPORT-EX 1 b_ed8nportex.htm PUTNAM FUNDS TRUST

Putnam Multi-Asset Absolute Return Fund
The fund's portfolio
7/31/19 (Unaudited)



COMMON STOCKS (25.6%)(a)
        Shares Value
Basic materials (2.7%)
Anglo American Platinum, Ltd. (South Africa) 33,551 $1,992,403
Anhui Conch Cement Co., Ltd. (China) 844,500 4,889,689
Antofagasta PLC (Chile) 54,610 614,780
Astral Foods, Ltd. (South Africa) 34,888 396,924
Catcher Technology Co., Ltd. (Taiwan) 466,000 3,435,301
China Oriental Group Co., Ltd. (China) 1,014,000 451,467
Evraz PLC (Russia) 602,223 4,778,941
Formosa Chemicals & Fibre Corp. (Taiwan) 440,000 1,341,841
Formosa Plastics Corp. (Taiwan) 173,000 558,470
Korea Zinc Co., Ltd. (South Korea) 2,937 1,097,033
Kumba Iron Ore, Ltd. (South Africa) 71,025 2,353,063
MMC Norilsk Nickel PJSC ADR (Russia) 45,562 1,051,977
Novolipetsk Steel PJSC (Russia) 26,852 633,008
PETRONAS Chemicals Group (PCG) Bhd (Malaysia) 1,071,000 1,940,352
PTT Global Chemical PCL (Thailand) 1,981,400 3,897,730
Severstal PJSC (Russia) 56,396 914,748
Tekfen Holding AS (Turkey) 204,882 865,464
31,213,191
Capital goods (0.7%)
China Railway Group, Ltd. Class H (China) 912,000 640,631
Daelim Industrial Co., Ltd. (South Korea) 15,382 1,368,847
Hyundai Mobis Co., Ltd. (South Korea) 6,056 1,225,954
Weichai Power Co., Ltd. Class H (China) 2,722,000 4,214,450
Zhejiang Expressway Co., Ltd. (China) 470,000 456,789
7,906,671
Communication services (1.2%)
China Mobile, Ltd. (China) 872,500 7,426,858
KT Corp. (South Korea) 24,609 575,471
LG Uplus Corp. (South Korea) 311,782 3,417,116
SK Telecom Co., Ltd. (South Korea) 5,918 1,237,679
Telkom SA SOC, Ltd. (South Africa) 268,837 1,614,434
14,271,558
Consumer cyclicals (3.1%)
Astro Malaysia Holdings Bhd (Malaysia) 366,900 128,398
Atacadao Distribuicao Comercio e Industria Ltda. (Brazil) 52,200 320,202
Clear Channel Outdoor Holdings, Inc.(NON) 62,644 189,811
El Puerto de Liverpool SAB de CV Class C1 (Mexico) 77,540 377,064
Ford Otomotiv Sanayi AS (Turkey) 60,562 662,584
Geely Automobile Holdings, Ltd. (China) 1,744,000 2,651,205
Genting Bhd (Malaysia) 553,300 920,045
Genting Malaysia Bhd (Malaysia) 735,700 689,413
Guangzhou Automobile Group Co., Ltd. Class H (China) 3,756,000 3,842,604
Haier Electronics Group Co., Ltd. (China) 335,000 789,774
Home Product Center PCL (Thailand) 3,684,000 2,048,330
iHeartMedia, Inc. Class A(NON)(S) 26,640 398,539
Kia Motors Corp. (South Korea) 150,277 5,507,776
Lojas Renner SA (Brazil) 19,140 238,024
Mr Price Group, Ltd. (South Africa) 192,536 2,368,550
Pou Chen Corp. (Taiwan) 340,000 419,731
President Chain Store Corp. (Taiwan) 249,000 2,400,557
Qualicorp SA (Brazil) 360,662 2,099,889
Shinsegae International, Inc. (South Korea) 4,837 692,128
Sinotruk Hong Kong, Ltd. (China) 1,168,500 1,723,557
Wal-Mart de Mexico SAB de CV (Mexico) 1,972,361 5,820,208
Zhongsheng Group Holdings, Ltd. (China) 646,500 1,798,059
36,086,448
Consumer staples (1.7%)
Charoen Pokphand Foods PCL (Thailand) 796,300 718,495
Cia Cervecerias Unidas SA ADR (Chile)(S) 46,597 1,302,852
Estacio Participacoes SA (Brazil) 39,400 354,113
Hanjaya Mandala Sampoerna Tbk PT (Indonesia) 4,077,000 879,256
Hindustan Unilever, Ltd. (India) 121,605 3,049,532
Indofood Sukses Makmur Tbk PT (Indonesia) 1,472,300 740,917
LG Corp. (South Korea) 11,281 673,767
Smiles Fidelidade SA (Brazil) 156,449 1,616,409
TCI Co., Ltd. (Taiwan) 91,000 1,207,166
Uni-President Enterprises Corp. (Taiwan) 1,243,000 3,231,778
United Tractors Tbk PT (Indonesia) 312,200 555,142
Vipshop Holdings, Ltd. ADR (China)(NON) 151,696 1,152,890
Want Want China Holdings, Ltd. (China) 1,890,000 1,475,270
Yum China Holdings, Inc. (China) 75,996 3,457,818
20,415,405
Energy (1.6%)
CHC Group, LLC (acquired 3/23/17, cost $27,318)(NON)(RES) 1,884 94
China Petroleum & Chemical Corp. (Sinopec) (China) 6,730,000 4,335,307
Ecopetrol SA ADR (Colombia)(S) 172,112 3,085,968
Hindustan Petroleum Corp., Ltd. (India) 652,461 2,531,507
Jastrzebska Spolka Weglowa SA (Poland)(NON) 40,209 404,610
Lukoil PJSC ADR (Russia) 7,017 576,921
Oil & Natural Gas Corp., Ltd. (India) 178,398 358,374
PTT PCL (Foreign depositary shares) (Thailand) 3,537,500 5,434,787
Sao Martinho SA (Brazil) 98,400 521,091
Surgutneftegas OJSC (Russia) 2,271,451 1,115,178
18,363,837
Financials (5.9%)
Banco de Chile ADR (Chile) 32,141 923,732
Banco do Brasil SA (Brazil) 386,758 4,988,072
Banco Macro SA ADR (Argentina) 36,796 2,549,227
Banco Santander (Brasil) S.A. (Units) (Brazil) 268,571 3,015,517
Banco Santander Chile ADR (Chile) 58,883 1,707,018
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand Class B (Mexico) 1,408,418 2,002,708
Bank of China, Ltd. (China) 2,678,000 1,086,936
Bank of Communications Co., Ltd. (China) 4,620,000 3,359,477
Capitec Bank Holdings, Ltd. (South Africa) 18,805 1,547,604
China Construction Bank Corp. Class H (China) 560,000 431,131
Country Garden Holdings co., Ltd. (China) 2,218,000 2,992,855
FirstRand, Ltd. (South Africa) 82,097 352,439
Fosun International, Ltd. (China) 1,531,000 2,014,179
Grupo Financiero Banorte SAB de CV (Mexico) 311,519 1,558,428
Guangzhou R&F Properties Co., Ltd. (China) 1,234,800 2,248,434
Industrial & Commercial Bank of China, Ltd. (China) 10,287,000 6,924,325
Industrial Bank of Korea (South Korea) 116,701 1,295,270
IRB Brasil Resseguros SA (Brazil) 182,800 4,550,421
Itau Unibanco Holding SA (Preference) (Brazil) 363,733 3,318,664
Itausa - Investimentos Itau SA (Preference) (Brazil) 137,260 448,500
Korea Investment Holdings Co., Ltd. (South Korea) 6,291 393,054
Logan Property Holdings Co., Ltd. (China) 546,000 821,103
OTP Bank Nyrt (Hungary) 32,545 1,356,657
Ping An Insurance (Group) Co. of China, Ltd. Class H (China) 747,000 8,860,007
Powszechny Zaklad Ubezpieczen SA (Poland) 114,691 1,236,019
RHB Bank Bhd (Malaysia) 861,300 1,148,169
Sberbank of Russia PJSC ADR (Russia) 238,658 3,555,406
Shinhan Financial Group Co., Ltd. (South Korea) 43,783 1,604,680
Thanachart Capital PCL (Thailand) 216,400 415,139
Tisco Financial Group PCL (Thailand) 339,600 1,115,253
Yuanta Financial Holding Co., Ltd. (Taiwan) 2,650,000 1,488,579
69,309,003
Health care (0.5%)
Advanz Pharma Corp. (Canada)(NON) 8,181 108,971
Aurobindo Pharma, Ltd. (India) 179,464 1,489,838
Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd. (China) 380,000 1,554,059
Hypermarcas SA (Brazil) 336,358 2,659,946
5,812,814
Technology (7.1%)
Alibaba Group Holding, Ltd. ADR (China)(NON) 50,756 8,786,371
Avaya Holdings Corp.(NON) 75,496 908,972
Globalwafers Co., Ltd. (Taiwan) 138,000 1,467,692
HannStar Display Corp. (Taiwan) 2,293,000 488,030
HCL Technologies, Ltd. (India) 319,567 4,792,887
Infosys, Ltd. (India) 136,596 1,558,750
Innolux Corp. (Taiwan) 367,000 85,216
Naspers, Ltd. Class N (South Africa) 5,487 1,334,945
Radiant Opto-Electronics Corp. (Taiwan) 596,000 2,342,607
Samsung Electronics Co., Ltd. (South Korea) 442,158 16,869,782
Samsung SDS Co., Ltd. (South Korea) 11,406 1,987,876
SK Hynix, Inc. (South Korea) 102,819 6,636,590
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) 174,995 7,460,037
Tata Consultancy Services, Ltd. (India) 200,179 6,402,072
Tech Mahindra, Ltd. (India)(NON) 416,129 3,846,569
Tencent Holdings, Ltd. (China) 224,800 10,513,982
Tianneng Power International, Ltd. (China) 634,000 506,806
Tripod Technology Corp. (Taiwan) 395,000 1,315,296
Wipro, Ltd. (India) 434,788 1,677,012
Xhen Ding Technology Holding, Ltd. (Taiwan) 819,000 2,994,095
81,975,587
Transportation (0.1%)
AirAsia Bhd (Malaysia) 1,049,200 496,219
Grupo Aeroportuario del Centro Norte SAB de CV (Mexico) 143,629 882,591
1,378,810
Utilities and power (1.0%)
Cia de Saneamento Basico do Estado de Sao Paulo (Brazil) 388,500 5,436,058
Electricity Generating PCL (Thailand) 104,400 1,116,814
Enel Americas SA ADR (Chile)(S) 167,427 1,381,273
Enel Chile SA ADR (Chile) 84,851 390,315
GAIL India, Ltd. (India) 786,960 1,462,075
Glow Energy PCL (Thailand) 327,300 949,814
Inter RAO UES PJSC (Russia) 14,822,390 1,044,934
Manila Electric Co. (Philippines) 38,110 273,229
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 25,989 20,012
12,074,524
Total common stocks (cost $283,062,432) $298,807,848









U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (18.2%)(a)
        Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (1.9%)
Government National Mortgage Association Pass-Through Certificates
5.50%, 5/20/49 $78,819 $86,629
5.00%, with due dates from 5/20/49 to 7/20/49 509,448 540,841
5.00%, 6/20/49(FWC) 140,000 152,119
5.00%, 7/20/49(FWC) 140,000 150,095
4.50%, 5/20/49 253 271
4.50%, TBA, 8/1/49 16,000,000 16,663,750
4.00%, TBA, 8/1/49 5,000,000 5,192,188
22,785,893
U.S. Government Agency Mortgage Obligations (16.3%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
3.50%, 8/1/43 549,020 573,992
3.00%, 3/1/43 471,205 481,147
Federal National Mortgage Association Pass-Through Certificates
5.50%, 1/1/38 1,216,380 1,348,312
5.00%, 5/1/49 84,783 92,428
4.50%, 5/1/49 67,834 72,536
3.50%, with due dates from 6/1/42 to 6/1/56 3,261,667 3,404,969
3.00%, 2/1/43 1,064,944 1,086,739
Uniform Mortgage-Backed Securities
5.50%, TBA, 8/1/49 3,000,000 3,214,922
4.00%, TBA, 8/1/49 49,000,000 50,726,486
3.50%, TBA, 8/1/49 79,000,000 80,900,938
3.00%, TBA, 8/1/49 48,000,000 48,431,251
190,333,720
Total U.S. government and agency mortgage obligations (cost $212,566,412) $213,119,613









U.S. TREASURY OBLIGATIONS (—%)(a)
        Principal amount Value
U.S. Treasury Notes
2.00%, 2/15/25(i) $154,000 $156,401
1.125%, 2/28/21(i) 362,000 359,035
Total U.S. treasury obligations (cost $515,436) $515,436









INVESTMENT COMPANIES (10.0%)(a)
        Shares Value
Communication Services Select Sector SPDR Fund(S) 378,500 $19,220,230
Consumer Staples Select Sector SPDR Fund(S) 330,300 19,629,729
Financial Select Sector SPDR Fund 676,400 19,108,300
Industrial Select Sector SPDR Fund(S) 244,900 19,058,118
Real Estate Select Sector SPDR Fund 538,600 20,149,026
Utility Select Sector SPDR Fund(S) 329,000 19,591,950
Total investment companies (cost $110,058,226) $116,757,353









MORTGAGE-BACKED SECURITIES (9.7%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (6.4%)
Federal Home Loan Mortgage Corporation
IFB Ser. 2990, Class LB, ((-2.556 x 1 Month US LIBOR) + 16.95%), 11.003%, 6/15/34 $175,585 $203,239
Ser. 4122, Class TI, IO, 4.50%, 10/15/42 1,291,928 218,482
IFB Ser. 3747, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.50%), 4.175%, 10/15/40 2,555,676 447,196
Ser. 4568, Class MI, IO, 4.00%, 4/15/46 7,949,471 1,093,052
Ser. 4530, Class HI, IO, 4.00%, 11/15/45 5,026,724 762,227
Ser. 4389, Class IA, IO, 4.00%, 9/15/44 4,999,862 742,445
Ser. 4355, Class DI, IO, 4.00%, 3/15/44 3,946,412 362,936
Ser. 4193, Class PI, IO, 4.00%, 3/15/43 2,813,937 339,889
Ser. 4213, Class GI, IO, 4.00%, 11/15/41 1,725,376 161,269
Ser. 3996, Class IK, IO, 4.00%, 3/15/39 1,416,911 57,710
IFB Ser. 4073, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 3.725%, 8/15/38 4,757,644 261,459
IFB Ser. 3852, Class NT, ((-1 x 1 Month US LIBOR) + 6.00%), 3.675%, 5/15/41 1,745,231 1,763,956
Ser. 4369, Class IA, IO, 3.50%, 7/15/44 1,079,546 176,303
Ser. 4501, Class BI, IO, 3.50%, 10/15/43 2,086,623 210,207
Ser. 4663, Class KI, IO, 3.50%, 11/15/42 2,179,122 139,143
Ser. 4136, Class IW, IO, 3.50%, 10/15/42 3,239,276 365,441
Ser. 4097, Class PI, IO, 3.50%, 11/15/40 3,520,307 296,154
Ser. 4150, Class DI, IO, 3.00%, 1/15/43 3,061,926 327,243
Ser. 4158, Class TI, IO, 3.00%, 12/15/42 5,817,512 494,023
Ser. 4134, Class PI, IO, 3.00%, 11/15/42 4,799,079 454,450
Ser. 4183, Class MI, IO, 3.00%, 2/15/42 2,223,464 158,755
Ser. 4206, Class IP, IO, 3.00%, 12/15/41 4,280,355 306,831
FRB Ser. 8, Class A9, IO, 0.426%, 11/15/28(WAC) 180,343 2,489
FRB Ser. 59, Class 1AX, IO, 0.28%, 10/25/43(WAC) 576,110 5,646
Ser. 48, Class A2, IO, 0.212%, 7/25/33(WAC) 915,640 6,593
Ser. 315, PO, zero %, 9/15/43 1,932,973 1,645,466
Ser. 3206, Class EO, PO, zero %, 8/15/36 14,237 12,698
Ser. 3175, Class MO, PO, zero %, 6/15/36 13,144 11,493
Federal National Mortgage Association
IFB Ser. 05-74, Class NK, ((-5 x 1 Month US LIBOR) + 27.50%), 16.17%, 5/25/35 52,258 70,393
IFB Ser. 05-122, Class SE, ((-3.5 x 1 Month US LIBOR) + 23.10%), 15.169%, 11/25/35 61,686 81,567
IFB Ser. 11-4, Class CS, ((-2 x 1 Month US LIBOR) + 12.90%), 8.368%, 5/25/40 733,076 860,412
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 7.266%, 7/25/25 200,807 213,891
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, (1 Month US LIBOR + 4.55%), 6.816%, 2/25/25 135,553 142,939
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, (1 Month US LIBOR + 4.00%), 6.266%, 5/25/25 180,916 187,917
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 3,864,861 843,165
Ser. 18-58, Class IO, IO, 5.50%, 8/25/48 3,493,531 698,493
Ser. 15-28, IO, 5.50%, 5/25/45 5,490,743 1,122,198
Ser. 397, Class 2, IO, 5.00%, 9/25/39 31,568 6,412
Ser. 17-113, IO, 5.00%, 1/25/38 1,177,774 165,498
Ser. 12-104, Class QI, IO, 4.50%, 5/25/42 1,625,874 264,857
Ser. 17-48, Class LI, IO, 4.00%, 5/25/47 4,337,684 589,144
Ser. 17-2, Class KI, IO, 4.00%, 2/25/47 1,876,052 268,951
Ser. 14-47, Class IP, IO, 4.00%, 3/25/44 4,691,124 621,150
Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 4,602,235 719,697
Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 3,505,749 381,374
IFB Ser. 17-8, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.834%, 2/25/47 9,035,044 1,597,486
Ser. 15-73, Class PI, IO, 3.50%, 10/25/45 2,357,957 214,710
Ser. 15-10, Class AI, IO, 3.50%, 8/25/43 1,127,877 140,738
Ser. 12-136, Class PI, IO, 3.50%, 11/25/42 2,363,030 166,849
Ser. 14-10, IO, 3.50%, 8/25/42 2,289,377 309,965
Ser. 12-101, Class PI, IO, 3.50%, 8/25/40 2,129,312 133,753
Ser. 13-21, Class AI, IO, 3.50%, 3/25/33 3,058,727 379,141
IFB Ser. 17-74, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.75%), 3.484%, 10/25/47 11,162,100 1,543,549
Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 2,650,205 227,430
Ser. 6, Class BI, IO, 3.00%, 12/25/42 3,389,777 160,543
Ser. 13-35, Class IP, IO, 3.00%, 6/25/42 2,701,756 137,941
Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 3,316,522 118,827
Ser. 13-31, Class NI, IO, 3.00%, 6/25/41 4,283,120 175,557
Ser. 98-W5, Class X, IO, 0.781%, 7/25/28(WAC) 335,696 9,668
Ser. 98-W2, Class X, IO, 0.649%, 6/25/28(WAC) 1,263,386 41,060
Ser. 08-36, Class OV, PO, zero %, 1/25/36 8,957 7,965
Government National Mortgage Association
Ser. 17-132, Class IB, IO, 5.50%, 9/20/47 922,683 207,604
Ser. 16-150, Class I, IO, 5.00%, 11/20/46 4,852,679 922,397
Ser. 18-127, Class IC, IO, 5.00%, 10/20/44 2,498,021 514,492
Ser. 14-76, IO, 5.00%, 5/20/44 2,805,558 564,520
Ser. 14-163, Class NI, IO, 5.00%, 2/20/44 2,368,591 435,668
Ser. 14-2, Class IC, IO, 5.00%, 1/16/44 4,979,260 1,136,597
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 1,004,850 212,727
Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 40,888 2,599
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 702,989 147,592
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 1,082,237 229,805
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 3,492,508 739,364
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 2,696,561 556,786
Ser. 17-160, Class AI, IO, 4.50%, 10/20/47 974,769 184,335
Ser. 16-49, IO, 4.50%, 11/16/45 2,760,847 575,068
Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 4,989,508 975,041
Ser. 18-127, Class IB, IO, 4.50%, 6/20/45 5,286,105 553,402
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 2,010,514 422,912
Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 544,775 67,372
Ser. 10-35, Class AI, IO, 4.50%, 3/20/40 1,697,783 294,646
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 818,767 153,074
Ser. 13-151, Class IB, IO, 4.50%, 2/20/40 1,337,120 253,503
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 972,906 185,047
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 466,491 103,505
Ser. 13-34, Class PI, IO, 4.50%, 8/20/39 1,675,069 120,454
IFB Ser. 11-81, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.71%), 4.373%, 11/16/36 296,908 8,902
Ser. 17-99, Class AI, IO, 4.00%, 1/20/47 3,107,825 434,132
Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 1,515,383 171,008
Ser. 17-57, Class AI, IO, 4.00%, 6/20/45 2,083,005 285,601
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 4,533,685 886,335
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 3,309,444 546,139
Ser. 14-63, Class PI, IO, 4.00%, 7/20/43 928,097 111,777
Ser. 13-24, Class PI, IO, 4.00%, 11/20/42 1,350,946 206,090
Ser. 12-106, Class QI, IO, 4.00%, 7/20/42 519,763 85,137
Ser. 12-47, Class CI, IO, 4.00%, 3/20/42 1,738,854 307,839
Ser. 14-104, IO, 4.00%, 3/20/42 4,656,274 708,825
Ser. 12-50, Class PI, IO, 4.00%, 12/20/41 1,765,415 232,586
Ser. 12-8, Class PI, IO, 4.00%, 5/20/41 2,961,059 383,313
Ser. 14-162, Class DI, IO, 4.00%, 11/20/38 562,225 11,888
Ser. 14-133, Class AI, IO, 4.00%, 10/20/36 3,526,182 181,388
IFB Ser. 18-91, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 3.979%, 7/20/48 5,370,388 771,993
IFB Ser. 13-129, Class SN, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 3.879%, 9/20/43 702,993 122,391
FRB Ser. 1162, Class FL2, IO, ((-1 x 1 Month US LIBOR) + 0.00%), 3.784%, 8/20/49(FWC) 250,000 38,125
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 3.779%, 6/20/49 396,510 54,520
IFB Ser. 11-17, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 3.779%, 2/20/41 1,576,817 269,398
IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.768%, 7/16/43 819,122 134,066
IFB Ser. 10-134, Class ES, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 3.729%, 11/20/39 2,301,470 152,242
Ser. 18-127, Class IE, IO, 3.50%, 1/20/46 3,679,647 428,017
Ser. 15-24, Class IA, IO, 3.50%, 2/20/45 1,935,248 231,262
Ser. 13-102, Class IP, IO, 3.50%, 6/20/43 1,603,054 137,446
Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 2,614,762 293,141
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 1,819,295 239,929
Ser. 12-145, IO, 3.50%, 12/20/42 1,743,452 315,717
Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 862,002 111,181
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 1,137,983 92,017
Ser. 13-37, Class LI, IO, 3.50%, 1/20/42 1,381,060 141,835
Ser. 12-141, Class WI, IO, 3.50%, 11/20/41 2,685,903 211,193
Ser. 15-36, Class GI, IO, 3.50%, 6/16/41 2,154,826 188,116
Ser. 13-157, Class IA, IO, 3.50%, 4/20/40 2,176,657 134,844
Ser. 13-90, Class HI, IO, 3.50%, 4/20/40 1,661,142 28,299
Ser. 13-79, Class XI, IO, 3.50%, 11/20/39 4,864,058 474,530
Ser. 183, Class AI, IO, 3.50%, 10/20/39 2,374,627 129,574
Ser. 13-6, Class AI, IO, 3.50%, 8/20/39 2,974,811 312,355
Ser. 15-118, Class EI, IO, 3.50%, 7/20/39 3,751,889 187,857
Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 4,123,592 231,746
Ser. 15-96, Class NI, IO, 3.50%, 1/20/39 6,490,028 467,522
Ser. 15-82, Class GI, IO, 3.50%, 12/20/38 6,878,507 284,304
Ser. 15-24, Class IC, IO, 3.50%, 11/20/37 2,400,864 184,867
Ser. 15-H22, Class GI, IO, 2.574%, 9/20/65(WAC) 8,627,058 1,004,190
Ser. 16-H04, Class HI, IO, 2.378%, 7/20/65(WAC) 5,466,142 465,715
Ser. 17-H02, Class BI, IO, 2.351%, 1/20/67(WAC) 6,586,586 802,266
Ser. 17-H11, Class NI, IO, 2.299%, 5/20/67(WAC) 13,463,575 1,433,063
Ser. 16-H23, Class NI, IO, 2.276%, 10/20/66(WAC) 8,462,008 935,898
FRB Ser. 16-H16, Class DI, IO, 2.248%, 6/20/66(WAC) 5,413,805 568,450
Ser. 16-H03, Class AI, IO, 2.143%, 1/20/66(WAC) 11,308,482 1,046,035
Ser. 16-H11, Class HI, IO, 2.098%, 1/20/66(WAC) 5,316,353 458,535
Ser. 15-H09, Class AI, IO, 2.086%, 4/20/65(WAC) 10,515,066 860,185
Ser. 15-H24, Class HI, IO, 2.028%, 9/20/65(WAC) 19,248,319 1,225,252
FRB Ser. 15-H16, Class XI, IO, 2.015%, 7/20/65(WAC) 10,152,636 1,040,645
Ser. 15-H20, Class CI, IO, 1.998%, 8/20/65(WAC) 15,133,842 1,532,937
Ser. 15-H15, Class JI, IO, 1.988%, 6/20/65(WAC) 10,721,390 1,032,470
Ser. 15-H26, Class DI, IO, 1.938%, 10/20/65(WAC) 6,058,415 579,342
Ser. 15-H25, Class BI, IO, 1.932%, 10/20/65(WAC) 14,542,870 1,297,224
Ser. 15-H19, Class NI, IO, 1.928%, 7/20/65(WAC) 14,776,765 1,334,342
Ser. 16-H02, Class BI, IO, 1.914%, 11/20/65(WAC) 14,497,473 1,308,498
Ser. 16-H07, Class HI, IO, 1.889%, 2/20/66(WAC) 7,014,089 644,090
Ser. 15-H25, Class EI, IO, 1.867%, 10/20/65(WAC) 10,583,886 923,973
Ser. 15-H18, Class IA, IO, 1.837%, 6/20/65(WAC) 7,226,709 461,064
Ser. 15-H10, Class CI, IO, 1.828%, 4/20/65(WAC) 15,506,332 1,377,614
Ser. 15-H26, Class GI, IO, 1.816%, 10/20/65(WAC) 10,087,452 890,722
Ser. 16-H04, Class KI, IO, 1.811%, 2/20/66(WAC) 10,656,711 785,932
Ser. 15-H26, Class EI, IO, 1.746%, 10/20/65(WAC) 11,187,959 966,640
Ser. 17-H14, Class DI, IO, 1.721%, 6/20/67(WAC) 11,314,248 786,125
Ser. 15-H09, Class BI, IO, 1.713%, 3/20/65(WAC) 15,032,285 1,135,839
Ser. 14-H21, Class AI, IO, 1.67%, 10/20/64(WAC) 11,898,376 970,800
Ser. 15-H10, Class EI, IO, 1.64%, 4/20/65(WAC) 12,876,994 589,380
Ser. 15-H24, Class BI, IO, 1.634%, 8/20/65(WAC) 17,460,596 725,627
Ser. 15-H25, Class AI, IO, 1.628%, 9/20/65(WAC) 14,169,971 1,089,671
Ser. 15-H14, Class BI, IO, 1.59%, 5/20/65(WAC) 17,133,953 772,056
Ser. 11-H15, Class AI, IO, 1.545%, 6/20/61(WAC) 4,483,169 229,762
Ser. 16-H08, Class GI, IO, 1.443%, 4/20/66(WAC) 14,930,643 779,126
Ser. 11-H08, Class GI, IO, 1.287%, 3/20/61(WAC) 8,474,417 358,468
Ser. 15-H26, Class CI, IO, 0.503%, 8/20/65(WAC) 24,406,829 292,882
GSMPS Mortgage Loan Trust 144A
FRB Ser. 98-2, IO, 1.004%, 5/19/27(WAC) 32,943 —
FRB Ser. 99-2, IO, 0.84%, 9/19/27(WAC) 96,732 851
FRB Ser. 98-3, IO, zero %, 9/19/27(WAC) 44,469 —
FRB Ser. 98-4, IO, zero %, 12/19/26(WAC) 75,884 —
74,823,661
Commercial mortgage-backed securities (2.1%)
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.211%, 1/15/49(WAC) 1,303,332 823
Banc of America Commercial Mortgage Trust 144A FRB Ser. 08-1, Class C, 6.567%, 2/10/51 (In default)(NON)(WAC) 1,107,980 279,621
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-1, Class C, 5.504%, 11/10/42(WAC) 721,000 327,738
Bear Stearns Commercial Mortgage Securities Trust
FRB Ser. 07-T26, Class AJ, 5.464%, 1/12/45(WAC) 884,000 786,760
Ser. 05-PWR7, Class D, 5.304%, 2/11/41(WAC) 806,000 807,394
Ser. 05-PWR7, Class C, 5.235%, 2/11/41(WAC) 489,000 507,520
Bear Stearns Commercial Mortgage Securities Trust 144A
FRB Ser. 06-PW11, Class B, 5.775%, 3/11/39(WAC) 2,322,474 1,648,608
FRB Ser. 06-PW11, Class C, 5.775%, 3/11/39 (In default)(NON)(WAC) 364,908 46,077
COMM Mortgage Trust 144A
FRB Ser. 14-CR17, Class D, 4.85%, 5/10/47(WAC) 315,000 314,036
Ser. 12-CR3, Class F, 4.75%, 10/15/45(WAC) 725,000 572,017
Ser. 12-LC4, Class E, 4.25%, 12/10/44 1,056,000 932,031
Credit Suisse First Boston Mortgage Securities Corp. 144A FRB Ser. 03-C3, Class AX, IO, 2.005%, 5/15/38(WAC) 181,232 3,491
GS Mortgage Securities Trust 144A
FRB Ser. 14-GC24, Class D, 4.533%, 9/10/47(WAC) 1,168,000 965,155
FRB Ser. 06-GG8, Class X, IO, 0.957%, 11/10/39(WAC) 8,901,799 117,103
JPMBB Commercial Mortgage Securities Trust 144A
FRB Ser. 14-C18, Class D, 4.812%, 2/15/47(WAC) 2,751,000 2,579,629
FRB Ser. 13-C14, Class E, 4.702%, 8/15/46(WAC) 1,491,000 1,312,338
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 07-LDPX, Class X, IO, 0.146%, 1/15/49(WAC) 1,383,836 14
JPMorgan Chase Commercial Mortgage Securities Trust 144A
FRB Ser. 12-C6, Class F, 5.147%, 5/15/45(WAC) 766,000 719,329
FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 370,000 313,985
Ser. 12-C6, Class G, 2.972%, 5/15/45(WAC) 1,166,000 980,682
LB-UBS Commercial Mortgage Trust FRB Ser. 07-C2, Class XW, IO, 0.285%, 2/15/40(WAC) 121,902 16
Merrill Lynch Mortgage Trust 144A FRB Ser. 05-MCP1, Class XC, IO, 0.001%, 6/12/43(WAC) 391,507 10
ML-CFC Commercial Mortgage Trust 144A FRB Ser. 06-4, Class XC, IO, 0.558%, 12/12/49(WAC) 784,709 4,033
Morgan Stanley Bank of America Merrill Lynch Trust 144A
FRB Ser. 13-C11, Class E, 4.354%, 8/15/46(WAC) 1,350,000 610,443
FRB Ser. 13-C11, Class F, 4.354%, 8/15/46(WAC) 1,720,000 618,151
FRB Ser. 13-C10, Class D, 4.082%, 7/15/46(WAC) 2,538,000 2,489,531
Morgan Stanley Capital I Trust
Ser. 07-HQ11, Class C, 5.558%, 2/12/44(WAC) 609,496 167,404
Ser. 06-HQ10, Class B, 5.448%, 11/12/41(WAC) 2,236,941 2,037,888
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class G, 5.111%, 7/15/49(WAC) 795,000 720,469
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 4.891%, 5/10/63(WAC) 853,000 629,062
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.307%, 11/15/48(WAC) 1,074,083 32
Wachovia Bank Commercial Mortgage Trust 144A
FRB Ser. 05-C21, Class E, 5.113%, 10/15/44(WAC) 701,200 667,732
FRB Ser. 07-C31, IO, zero %, 4/15/47(WAC) 2,007,445 2
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.285%, 7/15/46(WAC) 1,041,000 962,344
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C4, Class E, 5.23%, 6/15/44(WAC) 146,000 144,958
Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 1,355,000 1,071,384
Ser. 11-C3, Class E, 5.00%, 3/15/44(WAC) 367,000 226,050
FRB Ser. 13-C15, Class D, 4.472%, 8/15/46(WAC) 673,004 549,666
FRB Ser. 12-C10, Class E, 4.438%, 12/15/45(WAC) 697,000 434,963
Ser. 13-C12, Class E, 3.50%, 3/15/48 280,000 234,795
24,783,284
Residential mortgage-backed securities (non-agency) (1.2%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 2.456%, 5/25/47 280,904 201,026
Bellemeade Re Ltd. 144A FRB Ser. 15-1A, Class B1, (1 Month US LIBOR + 6.30%), 8.566%, 7/25/25 (Bermuda) 919,000 922,306
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 2.616%, 3/25/37 814,298 712,203
Countrywide Alternative Loan Trust FRB Ser. 06-OA10, Class 1A1, (1 Month US LIBOR + 0.96%), 3.469%, 8/25/46 431,540 407,351
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, (1 Month US LIBOR + 0.62%), 2.886%, 4/25/35 349,363 314,366
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 12.404%, 7/25/28 1,233,246 1,650,155
Federal Home Loan Mortgage Corporation 144A Structured Agency Credit Risk Trust FRN Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 5.054%, 1/25/49 135,000 137,504
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 14.516%, 9/25/28 2,221,748 3,228,817
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 7.966%, 4/25/28 1,401,753 1,550,334
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 7.816%, 4/25/28 111,470 120,464
Connecticut Avenue Securities FRB Ser. 15-C03, Class 1M2, (1 Month US LIBOR + 5.00%), 7.266%, 7/25/25 272,580 297,440
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 7.116%, 10/25/29 290,000 326,467
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (1 Month US LIBOR + 4.25%), 6.516%, 4/25/29 56,000 60,756
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 6.266%, 5/25/25 68,903 73,238
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2, (1 Month US LIBOR + 3.65%), 5.916%, 9/25/29 90,000 95,278
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 5.866%, 1/25/30 310,000 327,111
Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, (1 Month US LIBOR + 2.80%), 5.066%, 2/25/30 130,000 133,983
GSAA Trust FRB Ser. 07-6, Class 1A1, (1 Month US LIBOR + 0.12%), 2.386%, 5/25/47 223,705 173,088
MortgageIT Trust FRB Ser. 04-1, Class M2, (1 Month US LIBOR + 1.01%), 3.271%, 11/25/34 247,722 241,981
Residential Accredit Loans, Inc. FRB Ser. 06-QO10, Class A1, (1 Month US LIBOR + 0.16%), 2.426%, 1/25/37 262,909 252,866
Residential Accredit Loans, Inc. Trust FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.22%), 2.481%, 5/25/46 215,325 201,328
Structured Asset Mortgage Investments II Trust
FRB Ser. 07-AR7, Class 1A1, (1 Month US LIBOR + 0.85%), 3.116%, 5/25/47 172,344 144,043
FRB Ser. 07-AR1, Class 2A1, (1 Month US LIBOR + 0.18%), 2.446%, 1/25/37 1,091,248 1,021,365
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR14, Class 1A2, 4.175%, 12/25/35(WAC) 691,389 693,441
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 06-AR6, Class 7A2, 4.831%, 3/25/36(WAC) 240,438 241,083
13,527,994
Total mortgage-backed securities (cost $119,970,330) $113,134,939









COMMODITY LINKED NOTES (5.2%)(a)(CLN)
        Principal amount Value
Bank of America Corp. 144A sr. unsec. unsub. notes 1-month LIBOR less 0.17%, 2019 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 Excess Return Strategy multiplied by 3) $10,100,000 $14,358,943
Bank of America Corp. 144A sr. unsec. unsub. notes 1-month LIBOR less 0.12%, 2020 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 Excess Return Strategy multiplied by 3) 8,530,000 8,423,963
Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, 1-month USD LIBOR less 0.15%, 2019 (Indexed to the Citi Commodities F3 vs F0 - 4x Leveraged CVIC4X30 Index multiplied by 3) 14,476,000 19,683,090
Citigroup Global Markets Holdings, Inc. 144A sr. notes 1-month USD LIBOR less 0.18%, 2019 (Indexed to the Citi Cross-Asset Trend 10% Vol Index multiplied by 3) 17,400,000 16,765,847
Goldman Sachs International 144A notes zero %, 2019 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) 1,375,000 1,855,824
Total commodity Linked Notes (cost $51,881,000) $61,087,667









CORPORATE BONDS AND NOTES (4.3%)(a)
        Principal amount Value
Basic materials (0.6%)
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) $1,045,000 $1,175,625
Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%, 1/11/25 (Mexico) 2,585,000 2,636,700
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 415,000 416,818
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 440,000 440,000
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 953,000 979,208
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 1,468,000 1,490,020
7,138,371
Capital goods (0.6%)
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 2,500,000 2,583,854
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 2,010,000 2,200,950
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 1,144,000 1,142,570
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/29/20 840,000 843,728
6,771,102
Communication services (0.7%)
Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 548,000 557,590
Crown Castle International Corp. sr. unsec. notes 3.15%, 7/15/23(R) 840,000 856,407
CSC Holdings, LLC 144A sr. unsec. notes 5.125%, 12/15/21 240,000 240,000
CSC Holdings, LLC 144A sr. unsec. unsub. notes 5.125%, 12/15/21 4,215,000 4,215,000
Digicel Group Two Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 200,000 96,000
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 1,500,000 1,556,250
Virgin Media Secured Finance PLC 144A company guaranty sr. bonds 5.00%, 4/15/27 (United Kingdom) GBP 425,000 534,739
8,055,986
Consumer cyclicals (0.3%)
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) $1,343,000 1,368,181
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 1,300,000 1,358,500
iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 150,659 160,029
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 273,068 287,404
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 390,000 384,150
3,558,264
Consumer staples (0.1%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 1,080,000 1,082,700
1,082,700
Energy (0.5%)
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 193,000 135,100
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 1,413,000 1,406,430
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 1,008,000 1,191,154
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 496,000 553,040
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 471,000 506,914
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.999%, 1/27/28 (Brazil) 355,000 386,950
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 655,000 703,306
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default)(NON) 1,809,000 253,260
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 165,000 163,705
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.375%, 1/23/45 (Mexico) 267,000 234,270
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 393,000 407,246
5,941,375
Financials (0.6%)
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 1,880,000 1,922,300
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 600,000 669,750
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 2,015,000 2,070,654
Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 (In default)(NON) 963,000 481,500
VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 1,800,000 1,912,500
7,056,704
Health care (—%)
Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 328,000 209,920
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sr. notes 7.875%, 2/15/21 96,000 98,114
308,034
Technology (0.3%)
Avaya, Inc. 144A escrow notes 7.00%, 4/1/20 1,000,000 —
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 3,315,000 3,373,013
3,373,013
Utilities and power (0.6%)
AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 3,529,000 3,661,338
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 3,308,000 3,572,640
7,233,978
Total corporate bonds and notes (cost $49,523,226) $50,519,527









SENIOR LOANS (2.7%)(a)(c)
        Principal amount Value
Academy, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.284%, 7/2/22 $1,653,068 $1,146,300
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.564%, 4/28/22 398,556 384,274
Ascent Resources - Marcellus, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 6.50%), 8.825%, 3/30/23 76,667 74,367
Asurion, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 6.50%), 8.734%, 8/4/25 2,558,000 2,600,634
Capital Automotive LP bank term loan FRN (BBA LIBOR USD 3 Month + 6.00%), 8.234%, 3/24/25 947,901 950,271
CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 5.933%, 5/5/24 397,932 393,455
Diamond Resorts International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 5.984%, 9/2/23 1,108,864 1,052,728
FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.984%, 4/16/21 281,242 280,187
Golden Nugget, Inc./NV bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.02%, 10/4/23 1,033,505 1,033,505
iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 6.23%, 5/1/26 659,130 664,073
Infor US, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.08%, 2/1/22 619,887 620,662
Jaguar Holding Co. II bank term loan FRN (BBA LIBOR USD 3 Month + 2.50%), 4.734%, 8/18/22 1,536,000 1,533,120
Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 5.00%), 7.259%, 10/16/23 3,740,026 3,203,957
Kinetic Concepts, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.58%, 2/3/24 1,602,300 1,604,303
Neiman Marcus Group, Ltd., LLC bank term loan FRN (BBA LIBOR USD 3 Month + 6.00%), 8.38%, 10/25/23 1,653,436 1,415,755
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.563%, 6/1/25 1,189,500 1,155,302
Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.576%, 11/3/23 491,248 455,282
Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 6.022%, 9/7/23 2,026,894 1,684,856
Reynolds Group Holdings, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.984%, 2/5/23 423,065 422,914
Sabre GLBL, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.00%), 4.234%, 2/22/24 975,790 977,619
Scientific Games International, Inc. bank term loan FRN Ser. B5, (BBA LIBOR USD 3 Month + 2.75%), 4.984%, 8/14/24 2,646,472 2,631,585
Talbots, Inc. (The) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 7.00%), 9.33%, 11/28/22 2,014,527 1,989,346
TransDigm, Inc. bank term loan FRN Ser. E, (BBA LIBOR USD 3 Month + 2.50%), 4.83%, 5/30/25 253,644 251,425
TransDigm, Inc. bank term loan FRN Ser. F, (BBA LIBOR USD 3 Month + 2.50%), 4.83%, 6/9/23 928,378 921,416
Tribune Media Co. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.234%, 1/27/24 757,897 756,318
Tribune Media Co. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.234%, 12/27/20 60,808 60,717
Univision Communications, Inc. bank term loan FRN Ser. C5, (BBA LIBOR USD 3 Month + 2.75%), 4.984%, 3/15/24 1,058,765 1,036,267
Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.33%, 11/15/23 2,034,580 1,932,851
Welbilt, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.50%), 4.734%, 10/23/25 794,103 786,823
Total senior loans (cost $33,848,403) $32,020,312









WARRANTS (1.0%)(a)(NON)
    Expiration date Strike Price Warrants Value
Bank of Shanghai Co., Ltd. 144A (China) 12/12/19 $0.00 3,345,654 $4,523,712
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. 144A (China) 2/25/20 0.00 368,800 1,569,362
Gree Electric Appliances of Zhuhai, Inc. 144A (China) 8/29/19 0.00 585,649 4,685,702
Seazen Holdings Co., Ltd. 144A (China) 4/17/20 0.00 170,400 651,729
Total warrants (cost $10,251,453) $11,430,505









FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.9%)(a)
        Principal amount Value
Argentina (Republic of) sr. unsec. unsub. bonds 6.625%, 7/6/28 (Argentina) $200,000 $161,000
Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 225,000 185,906
Argentina (Republic of) 144A sr. unsec. notes 7.125%, 8/1/27 (Argentina) 535,000 414,625
Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%, 1/7/25 (Brazil) 470,000 495,263
Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 275,000 204,188
Buenos Aires (Province of) sr. unsec. unsub. notes Ser. REGS, 6.50%, 2/15/23 (Argentina) 255,000 208,144
Buenos Aires (Province of) unsec. FRN (Argentina Deposit Rates BADLAR + 3.83%), 54.142%, 5/31/22 (Argentina) ARS 13,300,000 266,710
Buenos Aires (Province of) 144A sr. unsec. unsub. notes 9.125%, 3/16/24 (Argentina) $735,000 615,648
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/15/24 (Indonesia) 1,005,000 1,131,900
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 300,000 329,251
Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Ivory Coast) 555,000 522,394
Ivory Coast (Republic of) 144A sr. unsec. bonds 6.125%, 6/15/33 (Ivory Coast) 1,700,000 1,604,167
Ivory Coast (Republic of) 144A sr. unsec. unsub. bonds 5.25%, 3/22/30 (Ivory Coast) EUR 190,000 212,658
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) $1,495,000 1,729,926
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 410,000 405,900
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 495,000 502,924
United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 1,310,000 1,364,793
Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default)(NON) 815,000 118,175
Total foreign government and agency bonds and notes (cost $11,210,513) $10,473,572









ASSET-BACKED SECURITIES (0.8%)(a)
        Principal amount Value
Mello Warehouse Securitization Trust 144A FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 3.066%, 6/25/52 $1,450,000 $1,450,000
Station Place Securitization Trust 144A
FRB Ser. 18-5, Class A, (1 Month US LIBOR + 0.70%), 3.13%, 9/24/19 4,465,000 4,465,000
FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%), 3.083%, 6/24/20 1,194,000 1,194,000
FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.650%), zero %, 8/25/52 758,000 758,000
FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%), zero %, 9/24/20 1,353,000 1,353,000
Total asset-backed securities (cost $9,220,000) $9,220,000









PURCHASED SWAP OPTIONS OUTSTANDING (—%)(a)
  Counterparty Fixed right % to receive or (pay)/Floating rate index/
Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Value
Bank of America N.A.
2.785/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 $833,400 $102,900
(2.785)/3 month USD-LIBOR-BBA/Jan-47 Jan-27/2.785 833,400 46,529
2.3075/3 month USD-LIBOR-BBA/Jun-52 Jun-22/2.3075 359,700 32,258
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 Jun-22/2.3075 359,700 24,719
Total purchased swap options outstanding (cost $239,266) $206,406









PURCHASED OPTIONS OUTSTANDING (0.2%)(a)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Bank of America N.A.
SPDR S&P 500 ETF Trust (Put) Apr-20/$255.00 $28,605,628 $96,176 $451,518
SPDR S&P 500 ETF Trust (Put) May-20/250.00 29,183,832 98,120 436,724
Citibank, N.A.
SPDR S&P 500 ETF Trust (Put) Jul-20/255.00 29,823,306 100,270 646,513
SPDR S&P 500 ETF Trust (Put) Feb-20/240.00 30,886,916 103,846 230,000
HSBC Bank USA, National Association
AUD/JPY (Put) Sep-19/JPY 73.00 26,177,710 AUD 38,279,900 127,276
JPMorgan Chase Bank N.A.
SPDR S&P 500 ETF Trust (Put) Jun-20/255.00 28,976,523 $97,423 607,094
SPDR S&P 500 ETF Trust (Put) Mar-20/250.00 29,624,028 99,600 382,031
Total purchased options outstanding (cost $4,576,104) $2,881,156









CONVERTIBLE BONDS AND NOTES (—%)(a)
        Principal amount Value
CHC Group, LLC/CHC Finance Ltd. cv. notes Ser. AI, zero %, 10/1/20, (acquired 2/2/17, cost $75,429)(RES) $96,895 $28,100
Total convertible bonds and notes (cost $85,884) $28,100









SHORT-TERM INVESTMENTS (41.9%)(a)
        Principal amount/
shares		 Value
Atlantic Asset Securitization, LLC asset backed commercial paper 2.281%, 10/4/19 $5,500,000 $5,477,855
Barclays Bank PLC CCP asset backed commercial paper 2.557%, 8/21/19 6,000,000 5,991,936
CAFCO, LLC asset backed commercial paper 2.505%, 8/15/19 3,439,000 3,435,733
CAFCO, LLC asset backed commercial paper 2.378%, 8/5/19 4,000,000 3,998,692
Chariot Funding, LLC asset backed commercial paper 2.505%, 8/13/19 2,250,000 2,248,121
CRC Funding, LLC asset backed commercial paper 2.374%, 9/9/19 3,000,000 2,992,267
DNB Bank ASA commercial paper 2.485%, 8/15/19 8,750,000 8,741,636
Federal Home Loan Banks unsec. discount notes commercial paper 2.359%, 8/28/19 5,000,000 4,992,125
Interest in $551,350,000 joint tri-party repurchase agreement dated 7/31/19 with Citigroup Global Markets, Inc. due 8/1/19 - maturity value of $41,591,923 for an effective yield of 2.530% (collateralized by various U.S. Treasury notes and bonds with coupon rates ranging from 1.125% to 7.875% and due dates ranging from 11/30/20 to 2/28/21, valued at $562,383,253) 41,589,000 41,589,000
Manhattan Asset Funding Co., LLC asset backed commercial paper 2.494%, 8/20/19 8,750,000 8,738,756
Matchpoint Finance PLC asset backed commercial paper 2.313%, 9/19/19 3,250,000 3,240,011
MetLife Short Term Funding, LLC asset backed commercial paper 2.223%, 10/25/19 6,750,000 6,714,573
NRW.Bank commercial paper 2.252%, 10/9/19 7,250,000 7,219,254
Old Line Funding, LLC asset backed commercial paper 2.550%, 8/5/19 6,000,000 5,998,037
Prudential PLC commercial paper 2.232%, 10/15/19 7,250,000 7,215,256
Putnam Cash Collateral Pool, LLC 2.49%(AFF) Shares 34,114,242 34,114,242
Putnam Short Term Investment Fund 2.48%(AFF) Shares 251,979,517 251,979,517
Regency Markets No. 1, LLC asset backed commercial paper 2.415%, 8/8/19 $9,250,000 9,245,080
Simon Property Group LP commercial paper 2.474%, 8/19/19 6,000,000 5,992,688
Societe Generale SA commercial paper 2.212%, 10/15/19 5,750,000 5,722,736
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.26%(P) Shares 8,049,000 8,049,000
Thunder Bay Funding, LLC asset backed commercial paper 2.445%, 9/4/19 $3,750,000 3,741,669
Toronto-Dominion Bank (The) commercial paper 2.511%, 8/6/19 7,250,000 7,247,140
Total Capital Canada, Ltd. commercial paper 2.233%, 10/23/19 8,750,000 8,704,920
U.S. Treasury Bills 2.369%, 8/15/19(SEG)(SEGSF)(SEGCCS) 2,699,000 2,696,896
U.S. Treasury Bills 2.246%, 8/6/19(SEG)(SEGSF)(SEGCCS) 18,905,000 18,899,724
U.S. Treasury Bills 2.150%, 8/13/19(SEG)(SEGSF)(SEGCCS) 10,494,999 10,487,778
U.S. Treasury Bills 2.062%, 12/5/19(SEG)(SEGSF)(SEGCCS) 4,278,000 4,247,539
Total short-term investments (cost $489,722,999) $489,722,181
TOTAL INVESTMENTS
Total investments (cost $1,386,731,684) $1,409,924,615









FORWARD CURRENCY CONTRACTS at 7/31/19 (aggregate face value $279,026,865) (Unaudited)
  Counterparty Currency Contract type* Delivery
date		 Value Aggregate face value Unrealized
appreciation/
(depreciation)
Bank of America N.A.
Australian Dollar Buy 10/16/19 $1,332,848 $1,363,915 $(31,067)
Brazilian Real Buy 10/2/19 3,140,045 3,203,661 (63,616)
British Pound Buy 9/18/19 3,189,290 3,294,901 (105,611)
Canadian Dollar Buy 10/16/19 1,590,966 1,604,102 (13,136)
Japanese Yen Sell 8/21/19 4,639,728 4,475,113 (164,615)
Mexican Peso Buy 10/16/19 3,231,973 3,205,609 26,364
New Zealand Dollar Buy 10/16/19 1,559,402 1,610,323 (50,921)
Russian Ruble Buy 9/18/19 3,205,253 3,223,784 (18,531)
Barclays Bank PLC
Canadian Dollar Sell 10/16/19 5,741,027 5,778,325 37,298
Euro Sell 9/18/19 6,481,184 6,614,070 132,886
New Zealand Dollar Sell 10/16/19 3,244,206 3,298,412 54,206
Norwegian Krone Buy 9/18/19 3,267,808 3,309,154 (41,346)
Citibank, N.A.
Australian Dollar Buy 10/16/19 399,745 409,096 (9,351)
Brazilian Real Buy 10/2/19 3,254,208 3,228,405 25,803
British Pound Sell 9/18/19 113,481 118,449 4,968
Canadian Dollar Buy 10/16/19 2,427,837 2,460,813 (32,976)
Euro Buy 9/18/19 3,219,479 3,303,951 (84,472)
Japanese Yen Sell 8/21/19 739,159 499,145 (240,014)
New Zealand Dollar Sell 10/16/19 1,637,260 1,665,060 27,800
Credit Suisse International
Euro Buy 9/18/19 50,671 55,675 (5,004)
Goldman Sachs International
Australian Dollar Sell 10/16/19 6,303,162 6,465,512 162,350
British Pound Sell 9/18/19 1,791,926 1,867,500 75,574
Canadian Dollar Sell 10/16/19 478,375 481,517 3,142
Euro Buy 9/18/19 3,285,707 3,363,903 (78,196)
Indian Rupee Buy 11/20/19 3,252,706 3,204,972 47,734
Japanese Yen Sell 8/21/19 6,901,688 6,762,473 (139,215)
New Taiwan Dollar Sell 8/21/19 6,538,031 6,564,708 26,677
New Zealand Dollar Sell 10/16/19 1,887,998 1,899,735 11,737
Norwegian Krone Buy 9/18/19 9,272,701 9,376,847 (104,146)
Russian Ruble Buy 9/18/19 3,205,251 3,216,460 (11,209)
South Korean Won Sell 11/20/19 6,408,117 6,548,770 140,653
Swedish Krona Sell 9/18/19 12,825,522 13,080,043 254,521
HSBC Bank USA, National Association
Australian Dollar Sell 10/16/19 1,275,948 1,328,158 52,210
British Pound Buy 9/18/19 3,154,185 3,249,062 (94,877)
Euro Sell 9/18/19 142,900 147,509 4,609
Indonesian Rupiah Buy 11/20/19 3,255,137 3,205,274 49,863
Japanese Yen Buy 8/21/19 3,380,481 3,383,191 (2,710)
Japanese Yen Sell 8/21/19 3,380,481 3,340,003 (40,478)
New Zealand Dollar Buy 10/16/19 3,173,910 3,229,116 (55,206)
South Korean Won Sell 11/20/19 3,204,059 3,285,743 81,684
Swedish Krona Sell 9/18/19 3,137,623 3,201,500 63,877
JPMorgan Chase Bank N.A.
Canadian Dollar Sell 10/16/19 8,322,506 8,376,645 54,139
Euro Sell 9/18/19 10,661,630 10,858,574 196,944
Japanese Yen Buy 8/21/19 6,658,638 6,670,217 (11,579)
Japanese Yen Sell 8/21/19 6,658,638 6,673,226 14,588
Mexican Peso Buy 10/16/19 3,231,973 3,221,656 10,317
New Zealand Dollar Sell 10/16/19 5,127,403 5,188,507 61,104
Norwegian Krone Buy 9/18/19 4,129,404 4,202,884 (73,480)
Swedish Krona Sell 9/18/19 3,267,677 3,348,621 80,944
Swiss Franc Sell 9/18/19 1,235,940 1,241,204 5,264
NatWest Markets PLC
Australian Dollar Buy 10/16/19 9,905,321 10,109,014 (203,693)
Canadian Dollar Buy 10/16/19 3,169,640 3,203,902 (34,262)
Euro Sell 9/18/19 3,229,925 3,316,254 86,329
Indian Rupee Buy 11/20/19 3,252,704 3,207,467 45,237
Japanese Yen Buy 8/21/19 1,137,777 1,140,035 (2,258)
Japanese Yen Sell 8/21/19 1,137,777 1,115,117 (22,660)
New Taiwan Dollar Sell 8/21/19 3,269,017 3,284,107 15,090
Norwegian Krone Buy 9/18/19 3,219,160 3,300,002 (80,842)
Swedish Krona Sell 9/18/19 3,177,997 3,307,472 129,475
State Street Bank and Trust Co.
Australian Dollar Buy 10/16/19 35,581 21,472 14,109
British Pound Sell 9/18/19 69,844 70,435 591
Canadian Dollar Buy 10/16/19 1,590,966 1,604,101 (13,135)
Euro Buy 9/18/19 2,943,347 2,933,959 9,388
Japanese Yen Sell 8/21/19 8,888,809 8,652,178 (236,631)
Norwegian Krone Buy 9/18/19 14,503,551 14,799,127 (295,576)
Swedish Krona Sell 9/18/19 5,726,963 5,867,697 140,734
UBS AG
Australian Dollar Buy 10/16/19 3,548,001 3,629,922 (81,921)
Japanese Yen Buy 8/21/19 4,854,925 4,880,368 (25,443)
Japanese Yen Sell 8/21/19 4,854,925 4,864,200 9,275
Swedish Krona Sell 9/18/19 3,283,278 3,363,675 80,397
WestPac Banking Corp.
Australian Dollar Buy 10/16/19 6,530,491 6,650,868 (120,377)
Unrealized appreciation 2,237,881
Unrealized (depreciation) (2,588,554)
Total $(350,673)
* The exchange currency for all contracts listed is the United States Dollar.









FUTURES CONTRACTS OUTSTANDING at 7/31/19 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
S&P 500 Index E-Mini (Long) 22 $3,278,418 $3,280,530 Sep-19 $(1,579)
S&P Mid Cap 400 Index E-Mini (Long) 996 195,885,312 196,022,760 Sep-19 6,087,907
U.S. Treasury Note 10 yr (Long) 3,416 435,273,125 435,273,125 Sep-19 7,156,002
Unrealized appreciation 13,243,909
Unrealized (depreciation) (1,579)
Total $13,242,330









WRITTEN OPTIONS OUTSTANDING at 7/31/19 (premiums $196,932) (Unaudited)
  Counterparty Expiration date/
strike price		 Notional
amount		   Contract amount Value
Citibank, N.A.
SPDR S&P 500 ETF Trust (Call) Aug-19/$309.00 $36,171,949 $121,615 $49,297
SPDR S&P 500 ETF Trust (Call) Aug-19/309.00 36,149,642 121,540 9,532
HSBC Bank USA, National Association
AUD/JPY (Put) Sep-19/JPY 69.00 39,266,599 AUD 57,419,900 15,235
Total $74,064









FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 7/31/19 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/
Maturity date		 Expiration date/
strike		   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Goldman Sachs International
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 $166,600 $(21,033) $2,541
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175 166,600 (21,033) (9,428)
JPMorgan Chase Bank N.A.
2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 833,400 (116,363) 24,002
(2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325 833,400 (116,363) (90,083)
Unrealized appreciation 26,543
Unrealized (depreciation) (99,511)
Total $(72,968)









TBA SALE COMMITMENTS OUTSTANDING at 7/31/19 (proceeds receivable $34,657,148) (Unaudited)
  Agency Principal amount Settlement date Value
Government National Mortgage Association, 4.50%, 8/1/49 $1,000,000 8/21/19 $1,041,484
Uniform Mortgage-Backed Securities, 4.50%, 8/1/49 10,000,000 8/13/19 10,483,594
Uniform Mortgage-Backed Securities, 3.00%, 8/1/49 23,000,000 8/13/19 23,206,642
Total $34,731,720











CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 7/31/19 (Unaudited)
  Notional
amount		 Value   Upfront premium received (paid)   Termination
date		 Payments made
by fund		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
$276,000 $70,467 $(9) 11/8/48 3 month USD-LIBOR-BBA — Quarterly 3.312% — Semiannually $70,897
159,900 15,929 (E) (5) 3/28/52 2.67% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (15,934)
391,400 6,866 (E) (6) 12/7/30 2.184% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (6,871)
39,635,000 180,815 (E) 40,289 9/18/29 2.00% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (140,527)
43,320,000 118,740 (E) 109,312 9/18/24 3 month USD-LIBOR-BBA — Quarterly 1.75% — Semiannually (9,428)
470,500 2,950 (E) (5) 6/5/29 3 month USD-LIBOR-BBA — Quarterly 2.2225% — Semiannually 2,945
39,300 772 (E) (1) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (773)
278,435,000 1,026,033 (E) 329,865 9/18/21 1.70% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,355,894
66,473,000 23,531 (E) 397,275 9/18/24 1.80% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 420,807
8,793,400 149,549 (E) (152,419) 9/18/49 3 month USD-LIBOR-BBA — Quarterly 2.25% — Semiannually (2,869)
96,733,000 884,817 (E) (1,204,681) 9/18/29 3 month USD-LIBOR-BBA — Quarterly 2.05% — Semiannually (319,862)
5,725,500 1,867 (76) 6/26/29 1.9451% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 4,320
5,725,500 2,021 (76) 6/26/29 1.9448% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 4,476
4,702,000 6,583 (62) 6/28/29 3 month USD-LIBOR-BBA — Quarterly 1.9335% — Semiannually (8,910)
4,800,000 3,672 (64) 7/2/29 3 month USD-LIBOR-BBA — Quarterly 1.9575% — Semiannually 1,898
6,142,000 17,327 (23) 7/5/21 3 month USD-LIBOR-BBA — Quarterly 1.78913% — Semiannually (19,955)
6,142,000 17,271 (23) 7/5/21 3 month USD-LIBOR-BBA — Quarterly 1.7896% — Semiannually (19,898)
6,142,000 17,443 (23) 7/5/21 3 month USD-LIBOR-BBA — Quarterly 1.78813% — Semiannually (20,076)
4,611,000 231 (37) 7/12/24 1.82% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 1,757
5,174,000 11,766 (42) 7/15/24 1.8675% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (10,474)
3,459,000 2,539 (13) 7/16/21 1.9002% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 3,357
8,180,000 96,589 (108) 7/16/29 2.07946% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (95,343)
5,007,000 9,068 (41) 7/16/24 1.8585% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (7,818)
5,360,000 4,052 (43) 7/17/24 1.8355% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (2,778)
4,538,000 11,463 (37) 7/18/24 1.8725% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (10,510)
4,428,000 5,987 (59) 7/24/29 3 month USD-LIBOR-BBA — Quarterly 1.965% — Semiannually 5,374
4,753,000 8,560 (38) 7/24/24 1.781% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 9,287
6,604,000 31,158 (88) 7/30/29 2.00168% — Semiannually 3 month USD-LIBOR-BBA — Quarterly (30,781)
4,566,000 12,744 (61) 8/1/29 3 month USD-LIBOR-BBA — Quarterly 1.981% — Semiannually 12,683
4,550,000 6,962 (37) 8/2/24 1.7855% — Semiannually 3 month USD-LIBOR-BBA — Quarterly 6,925
AUD 52,818,000 372,935 (E) 61,670 9/18/24 1.25% — Semiannually 6 month AUD-BBR-BBSW — Semiannually (311,265)
AUD 32,585,000 386,146 (E) (189,036) 9/18/29 6 month AUD-BBR-BBSW — Semiannually 1.60% — Semiannually 197,110
CAD 80,711,000 487,764 (E) (76,675) 9/18/24 1.65% — Semiannually 3 month CAD-BA-CDOR — Semiannually 411,089
CAD 24,612,000 203,546 (E) (95,743) 9/18/29 1.80% — Semiannually 3 month CAD-BA-CDOR — Semiannually 107,804
CHF 9,796,000 12,105 (E) (25,214) 9/18/24 — 0.70% plus 6 month CHF-LIBOR-BBA — Semiannually (37,319)
CHF 39,015,000 143,930 (E) 285,609 9/18/29 0.30% plus 6 month CHF-LIBOR-BBA — Semiannually — 429,539
EUR 53,140,000 242,951 (E) 110,719 9/18/24 — 0.25% plus 6 month EUR-EURIBOR-REUTERS — Semiannually (132,234)
EUR 70,557,000 1,378,347 (E) 154,015 9/18/29 6 month EUR-EURIBOR-REUTERS — Semiannually 0.20% — Annually 1,532,362
GBP 29,296,000 295,703 (E) (11,022) 9/18/24 6 month GBP-LIBOR-BBA — Semiannually 0.85% — Semiannually 284,683
GBP 37,349,000 676,578 (E) 2,116 9/18/29 6 month GBP-LIBOR-BBA — Semiannually 1.00% — Semiannually 678,695
NOK 613,000 818 (E) (587) 9/18/24 1.50% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 230
NOK 76,529,000 68,538 (E) 68,366 9/18/29 6 month NOK-NIBOR-NIBR — Semiannually 1.70% — Annually (172)
NZD 43,547,000 204,268 (E) (16,596) 9/18/24 1.45% — Semiannually 3 month NZD-BBR-FRA — Quarterly (220,865)
NZD 20,727,000 182,433 (E) 18,861 9/18/29 3 month NZD-BBR-FRA — Quarterly 1.80% — Semiannually 201,295
SEK 166,769,000 96,026 (E) (48,513) 9/18/24 0.10% — Annually 3 month SEK-STIBOR-SIDE — Quarterly (144,540)
SEK 224,254,000 457,619 (E) (103,931) 9/18/29 3 month SEK-STIBOR-SIDE — Quarterly 0.60% — Annually 353,688
Total $(347,297) $4,527,913
(E) Extended effective date.









OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 7/31/19 (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.
$471,032,053 $471,609,256 $— 6/20/23 (3 month USD-LIBOR-BBA plus 0.10%) — Quarterly A basket (MLFCF15) of common stocks — Quarterly* $233,102
471,028,286 472,491,883 — 6/20/23 3 month USD-LIBOR-BBA minus 0.07% — Quarterly Russell 1000 Total Return Index — Quarterly (810,665)
Barclays Bank PLC
2,742,046 2,743,273 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 3,146
440,396 440,593 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 505
166,311 166,385 — 1/12/40 4.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.00% 30 year Fannie Mae pools — Monthly 191
2,696,149 2,702,484 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 8,806
845,180 847,166 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 2,760
250,079 250,667 — 1/12/40 4.50% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools — Monthly 817
14,151,933 14,198,997 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 62,996
1,968,372 1,981,484 — 1/12/40 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 15,336
923,540 924,307 — 1/12/39 (6.00%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.00% 30 year Fannie Mae pools — Monthly (2,143)
15,540,234 15,558,917 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (43,807)
185,645 179,595 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 4,413
46,533 45,518 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (489)
135,974 132,923 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (1,513)
6,813 6,660 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (75)
Citibank, N.A.
437,704,058 438,164,522 — 11/26/19 (3 month USD-LIBOR-BBA plus 0.34%) — Quarterly A basket (CGPUTQL2) of common stocks — Quarterly* 150,273
1,557,405 1,499,327 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly ACI Worldwide, Inc. — Monthly 60,085
7,241,094 6,999,724 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Advanced Micro Devices — Monthly 250,699
2,157,559 1,968,623 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Aerojet Rocketdyne Holdings, Inc. — Monthly 191,716
1,651,768 1,470,459 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Allscripts Healthcare Solutions, Inc. — Monthly 183,438
661,354 791,615 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Appian Corp. — Monthly (129,789)
1,251,014 1,067,625 — 7/5/22 1 month USD-LIBOR-BBA minus 1.85% — Monthly B&G Foods, Inc. — Monthly 180,884
936,196 965,740 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Balchem Corporation — Monthly (28,338)
1,647,164 1,546,034 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Bruker Corp — Monthly 103,252
1,661,446 1,752,075 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly BWX Technologies, Inc. — Monthly (88,489)
2,066,717 2,105,100 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Catalent, Inc. — Monthly (35,720)
6,581,926 6,330,134 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Cerner Corp. — Monthly 260,272
1,304,059 1,319,325 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly China Biologic Products Holdings, Inc. — Monthly (13,711)
11,146,119 10,521,990 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Citrix Systems, Inc. — Monthly 638,489
1,552,516 1,466,489 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Coty, Inc. — Monthly 88,027
1,143,589 1,117,853 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Cubic Corp. — Monthly 26,120
880,095 1,279,219 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Diebold Nixdorf, Inc. — Monthly (398,187)
1,732,931 1,491,904 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Dine Brands Global, Inc. — Monthly 242,386
1,195,902 1,252,359 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Dolby Laboratories, Inc. — Monthly (54,917)
6,530,206 5,738,630 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Domino's Pizza, Inc. — Monthly 799,989
960,745 839,774 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Dorman Products Inc. — Monthly 121,724
894,831 800,876 — 7/5/22 1 month USD-LIBOR-BBA minus 1.25% — Monthly Ebix, Inc. — Monthly 94,965
1,272,853 1,380,853 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Edgewell Personal Care — Monthly (106,360)
2,278,250 2,459,618 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Energizer Holdings, Inc. — Monthly (180,602)
1,348,538 1,106,038 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Granite Construction, Inc. — Monthly 243,557
230,978 155,183 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly GTT Communications Inc — Monthly 74,042
2,318,429 2,315,481 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Guidewire Software, Inc. — Monthly 5,936
3,808,132 3,525,480 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Hanesbrands, Inc. — Monthly 287,558
793,861 793,055 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Home BancShares — Monthly 1,829
1,671,919 1,693,908 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly HubSpot, Inc. — Monthly (19,835)
3,869,478 3,916,119 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly ICON PLC — Monthly (41,656)
615,940 574,902 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Inogen, Inc. — Monthly 41,832
1,826,946 1,674,243 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Instructure Inc — Monthly 155,056
4,027,559 4,131,399 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Insulet Corp. — Monthly (98,650)
2,506,105 2,453,663 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Jabil, Inc. — Monthly 55,671
430,810 424,836 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly John Wiley & Sons, Inc. — Monthly 3,356
11,072,241 11,558,649 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Kellogg Co. — Monthly (472,144)
689,296 692,048 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Kulicke & Soffa Industries — Monthly (1,865)
1,969,531 2,054,014 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly LHC Group, Inc. — Monthly (82,938)
2,943,537 2,892,806 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly MasTec, Inc. — Monthly 54,523
1,801,233 1,815,339 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Medidata Solutions, Inc. — Monthly (11,786)
32,964,678 32,519,414 — 9/20/19 3 month USD-LIBOR-BBA minus 0.27% — Quarterly MSCI Emerging Markets TR Net USD — Quarterly 526,667
72,858,748 72,969,495 — 3/19/20 3 month USD-LIBOR-BBA plus 0.11% — Quarterly MSCI Emerging Markets TR Net USD — Quarterly 109,297
1,102,084 1,158,563 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly National Vision Holdings, Inc. — Monthly (55,060)
9,281,553 8,698,574 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Netapp Inc — Monthly 594,936
1,162,278 1,013,154 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Omnicell, Inc. — Monthly 150,621
3,719,065 3,731,568 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Oshkosh Corp. — Monthly (7,711)
1,661,961 1,673,766 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Paylocity Holding Corp. — Monthly (9,664)
3,297,327 2,884,073 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly PerkinElmer, Inc. — Monthly 415,158
1,413,682 1,544,959 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Prestige Brands Holdings, Inc. — Monthly (129,456)
1,852,794 1,352,821 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly PTC, Inc. — Monthly 502,360
1,425,538 1,395,867 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Qualys, Inc. — Monthly 31,508
9,584,652 9,481,598 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Quintiles IMS Holdings, Inc. — Monthly 115,403
8,275,525 7,771,493 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Ralph Lauren Corp. — Monthly 514,694
224,452,591 223,622,183 — 11/26/19 3 month USD-LIBOR-BBA plus 0.09% — Quarterly Russell 1000 Total Return Index — Quarterly 1,084,086
2,023,418 2,120,439 — 7/5/22 1 month USD-LIBOR-BBA minus 1.30% — Monthly Signet Jewelers, Ltd. — Monthly (93,055)
1,681,176 1,820,832 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Silicon Laboratories, Inc. — Monthly (138,338)
1,017,013 1,084,525 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Supernus Pharmaceuticals, Inc. — Monthly (66,202)
890,116 893,076 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 3,962
427,582 429,004 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,904
9,772,718 10,129,499 — 7/5/22 1 month USD-LIBOR-BBA minus 1.30% — Monthly Tesla, Inc. — Monthly (348,249)
6,579,757 6,103,143 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Textron Inc — Monthly 485,092
2,088,185 1,942,904 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Trimble, Inc. — Monthly 147,971
3,755,886 3,915,883 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Triumph Group, Inc. — Monthly (155,158)
466,590 419,004 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Under Armour, Inc. Class C — Monthly 48,187
6,320,397 5,320,030 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Varian Medical Systems, Inc. — Monthly 1,008,509
815,234 837,555 — 7/5/22 1 month USD-LIBOR-BBA minus 0.35% — Monthly Winnebago Industires — Monthly (22,047)
Credit Suisse International
615,891 617,939 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 2,742
508,727 501,112 — 1/12/45 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (2,658)
295,580 285,947 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (7,025)
188,160 182,028 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (4,472)
74,105 71,689 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (1,761)
14,109 13,649 — 1/12/43 3.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly (335)
804,696 789,130 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (7,481)
200,826 196,941 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (1,867)
109,070 105,922 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,040)
11,207 10,883 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (210)
438,289 425,639 — 1/12/41 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 8,200
Goldman Sachs International
397,826,134 389,992,401 — 12/15/20 (1 month USD-LIBOR-BBA plus 0.45%) — Monthly A basket (GSGLPW2L) of common stocks — Monthly* (8,068,604)
397,401,719 390,906,386 — 12/15/20 1 month USD-LIBOR-BBA minus 0.15% — Monthly A basket (GSGLPW2S) of common stocks — Monthly* 6,386,275
515,630,652 504,354,559 — 12/15/20 (1 month USD-LIBOR-BBA plus 0.50%) — Monthly A basket (GSGLPWDL) of common stocks — Monthly* (11,591,411)
484,335,293 475,597,739 — 12/15/20 1 month USD-LIBOR-BBA minus 0.15% — Monthly A basket (GSGLPWDS) of common stocks — Monthly* 8,913,467
56,006,213 59,316,541 — 12/15/20 (0.20%) — Monthly Goldman Sachs Cross Asset Trend Series 27 Excess Return Strategy — Monthly††† 3,305,038
17,620,198 17,609,388 — 12/15/20 (0.45%) — Monthly Goldman Sachs Volatility Carry US Enhanced 3x Excess Return Strategy — Monthly†† (14,554)
52,410,119 52,462,541 — 12/15/20 (0.45%) — Monthly Goldman Sachs Volatility Carry US Series 85 Excess Return Strategy — Monthly†† 41,285
8,721,136 8,693,990 — 12/15/20 (0.30%) — Monthly Goldman Sachs Volatility of Volatility Carry Excess Return Strategy — Monthly† (28,382)
26,608,168 26,620,345 — 12/15/20 (0.30%) — Monthly Goldman Sachs Volatility of Volatility Carry Series 69 Excess Return Strategy — Monthly† 8,407
14,060,510 13,838,708 — 12/12/19 1 month USD-LIBOR-BBA plus 0.21% — Monthly MSCI Emerging Markets TR Net USD — Monthly 241,948
406,796 408,149 — 1/12/41 5.00% (1 month USD-LIBOR) — Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools — Monthly 1,811
54,226 54,292 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (153)
144,573 144,747 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (407)
302,452 302,816 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (853)
805,102 806,069 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (2,269)
1,102,875 1,104,201 — 1/12/38 (6.50%) 1 month USD-LIBOR — Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools — Monthly (3,109)
443,476 438,017 — 1/12/44 (3.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.00% 30 year Fannie Mae pools — Monthly 1,787
386,307 373,718 — 1/12/43 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 9,182
525,406 515,243 — 1/12/45 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (4,885)
19,711 19,142 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (369)
387,753 379,292 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (4,072)
281,328 275,189 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (2,955)
150,274 146,995 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (1,578)
817 799 — 1/12/39 6.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.00% 30 year Fannie Mae pools — Monthly (9)
237,939 232,600 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (2,647)
189,753 185,495 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (2,110)
173,143 169,258 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (1,926)
133,576 130,579 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (1,485)
5,783 5,654 — 1/12/38 6.50% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 6.50% 30 year Fannie Mae pools — Monthly (65)
JPMorgan Chase Bank N.A.
38,574,676 38,531,658 — 3/25/20 (1 month USD-LIBOR-BBA plus 0.18%) — Monthly Energy Select Sector SPDR — Monthly (50,801)
141,339 137,260 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,644)
126,078 122,439 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (2,358)
30,885 29,994 — 1/12/41 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (578)
JPMorgan Securities LLC
112,033 110,357 — 1/12/45 (3.50%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools — Monthly 585
215,700 208,046 — 1/12/44 4.00% (1 month USD-LIBOR) — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly (5,587)
215,700 208,046 — 1/12/44 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 5,587
409,987 402,056 — 1/12/45 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 3,811
1,120,942 1,099,258 — 1/12/45 (4.00%) 1 month USD-LIBOR — Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools — Monthly 10,421
UBS AG
197,859,532 193,964,229 — 8/21/19 1 month USD-LIBOR-BBA — Monthly MSCI Emerging Markets TR Net USD — Monthly 4,024,833
Upfront premium received — Unrealized appreciation 33,353,485
Upfront premium (paid) — Unrealized (depreciation) (23,470,279)
Total $— Total $9,883,206
† Replicates exposure to the difference between the implied and the realized volatility risk premium in the CBOE Volatility Index option market, with a delta hedge overlay.
†† Replicates exposure to the difference between the implied and the realized volatility risk premium on the S&P500 Index, with a delta hedge overlay.
††† Provides synthetic exposure to assets in several asset classes (equity, credit, foreign exchange and interest rates). The Strategy is calculated on an "excess return" basis and does not include any synthetic interest rate return on a notional cash amount.
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.









A BASKET (MLFCF15) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Alphabet, Inc. Class A Technology 15,303 $18,641,888 3.95%
JPMorgan Chase & Co. Financials 116,019 13,458,174 2.85%
Amazon.com, Inc. Consumer cyclicals 6,977 13,023,965 2.76%
Cisco Systems, Inc. Technology 199,415 11,047,591 2.34%
Chevron Corp. Energy 89,187 10,979,820 2.33%
Apple, Inc. Technology 50,877 10,838,830 2.30%
Microsoft Corp. Technology 77,267 10,529,143 2.23%
Verizon Communications, Inc. Communication services 182,143 10,067,068 2.13%
Citigroup, Inc. Financials 138,134 9,829,626 2.08%
Starbucks Corp. Consumer staples 101,477 9,608,834 2.04%
Boeing Co. (The) Capital goods 27,012 9,215,963 1.95%
Oracle Corp. Technology 158,169 8,904,909 1.89%
Adobe, Inc. Technology 27,579 8,242,309 1.75%
Coca-Cola Co. (The) Consumer staples 151,602 7,978,792 1.69%
International Business Machines Corp. Technology 53,815 7,977,579 1.69%
Comcast Corp. Class A Communication services 173,533 7,491,427 1.59%
Medtronic PLC Health care 63,572 6,480,530 1.37%
Abbott Laboratories Health care 72,570 6,320,866 1.34%
Johnson & Johnson Health care 45,380 5,909,329 1.25%
PepsiCo, Inc. Consumer staples 43,815 5,599,998 1.19%
Merck & Co., Inc. Health care 67,342 5,588,752 1.19%
Amgen, Inc. Health care 28,633 5,342,313 1.13%
PayPal Holdings, Inc. Consumer cyclicals 48,208 5,322,132 1.13%
Lockheed Martin Corp. Capital goods 14,409 5,218,579 1.11%
Intuit, Inc. Technology 18,765 5,203,661 1.10%
Honeywell International, Inc. Capital goods 29,077 5,014,624 1.06%
ConocoPhillips Energy 82,925 4,899,231 1.04%
Home Depot, Inc. (The) Consumer cyclicals 22,695 4,849,758 1.03%
Automatic Data Processing, Inc. Consumer cyclicals 25,641 4,269,766 0.91%
Walmart, Inc. Consumer cyclicals 38,011 4,195,704 0.89%
Mondelez International, Inc. Class A Consumer staples 76,236 4,077,880 0.86%
Xilinx, Inc. Technology 35,612 4,067,229 0.86%
Delta Air Lines, Inc. Transportation 65,886 4,021,668 0.85%
MetLife, Inc. Financials 77,359 3,823,081 0.81%
Procter & Gamble Co. (The) Consumer staples 32,028 3,780,598 0.80%
eBay, Inc. Technology 88,498 3,645,239 0.77%
Morgan Stanley Financials 78,367 3,492,052 0.74%
Phillips 66 Energy 31,456 3,226,102 0.68%
Booking Holdings, Inc. Consumer cyclicals 1,700 3,206,611 0.68%
Valero Energy Corp. Energy 37,255 3,175,962 0.67%
Best Buy Co., Inc. Consumer cyclicals 40,741 3,117,909 0.66%
Lowe's Cos., Inc. Consumer cyclicals 29,347 2,975,753 0.63%
Danaher Corp. Conglomerates 21,112 2,966,263 0.63%
Broadcom, Inc. Technology 10,206 2,959,675 0.63%
Exelon Corp. Utilities and power 64,927 2,925,620 0.62%
Ingersoll-Rand PLC Capital goods 23,258 2,876,131 0.61%
Veeva Systems, Inc. Class A Technology 17,301 2,870,161 0.61%
Waste Management, Inc. Capital goods 24,509 2,867,577 0.61%
Cummins, Inc. Capital goods 17,347 2,844,898 0.60%
Sysco Corp. Consumer staples 39,961 2,740,129 0.58%









A BASKET (CGPUTQL2) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
JPMorgan Chase & Co. Financials 102,532 $11,893,697 2.71%
Alphabet, Inc. Class A Technology 8,658 10,547,377 2.41%
TWDC Enterprises 18 Corp. Consumer cyclicals 72,633 10,387,227 2.37%
Microsoft Corp. Technology 70,794 9,647,126 2.20%
Apple, Inc. Technology 41,610 8,864,655 2.02%
Starbucks Corp. Consumer staples 93,124 8,817,939 2.01%
Amazon.com, Inc. Consumer cyclicals 4,586 8,560,912 1.95%
Texas Instruments, Inc. Technology 68,169 8,521,754 1.94%
Honeywell International, Inc. Capital goods 49,244 8,492,548 1.94%
U.S. Bancorp Financials 136,498 7,800,847 1.78%
Automatic Data Processing, Inc. Consumer cyclicals 46,553 7,752,038 1.77%
Mondelez International, Inc. Class A Consumer staples 141,429 7,565,050 1.73%
Intuit, Inc. Technology 27,062 7,504,454 1.71%
Fidelity National Information Services, Inc. Technology 54,771 7,298,239 1.67%
TJX Cos., Inc. (The) Consumer cyclicals 133,280 7,271,781 1.66%
Intercontinental Exchange, Inc. Financials 80,330 7,057,812 1.61%
Ingersoll-Rand PLC Capital goods 56,938 7,041,006 1.61%
Kinder Morgan, Inc. Utilities and power 340,916 7,029,691 1.60%
T-Mobile US, Inc. Communication services 81,001 6,458,232 1.47%
Allstate Corp. (The) Financials 59,829 6,425,611 1.47%
Exelon Corp. Utilities and power 138,907 6,259,149 1.43%
Zimmer Biomet Holdings, Inc. Health care 45,074 6,090,904 1.39%
Waste Management, Inc. Capital goods 51,608 6,038,105 1.38%
Exxon Mobil Corp. Energy 80,299 5,971,013 1.36%
Cisco Systems, Inc. Technology 107,711 5,967,163 1.36%
Sysco Corp. Consumer staples 86,232 5,912,916 1.35%
Johnson & Johnson Health care 44,844 5,839,543 1.33%
Cognizant Technology Solutions Corp. Class A Technology 86,586 5,640,185 1.29%
Omnicom Group, Inc. Consumer cyclicals 70,028 5,617,615 1.28%
eBay, Inc. Technology 128,061 5,274,848 1.20%
Annaly Capital Management, Inc. Financials 536,816 5,126,596 1.17%
VICI Properties, Inc. Financials 224,570 4,792,316 1.09%
Baxter International, Inc. Health care 56,618 4,754,206 1.09%
Norfolk Southern Corp. Transportation 24,163 4,618,105 1.05%
Vistra Energy Corp. Utilities and power 214,741 4,608,336 1.05%
Occidental Petroleum Corp. Energy 88,074 4,523,465 1.03%
Ross Stores, Inc. Consumer cyclicals 41,835 4,435,719 1.01%
Merck & Co., Inc. Health care 52,798 4,381,665 1.00%
Verizon Communications, Inc. Communication services 77,493 4,283,028 0.98%
Pfizer, Inc. Health care 108,562 4,216,544 0.96%
Hershey Co. (The) Consumer staples 27,467 4,167,772 0.95%
AGNC Investment Corp. Financials 238,826 4,093,474 0.93%
Cadence Design Systems, Inc. Technology 54,810 4,051,034 0.92%
Procter & Gamble Co. (The) Consumer staples 33,095 3,906,516 0.89%
Leidos Holdings, Inc. Technology 46,034 3,779,404 0.86%
Juniper Networks, Inc. Communication services 138,939 3,754,126 0.86%
AutoZone, Inc. Consumer cyclicals 3,332 3,742,113 0.85%
F5 Networks, Inc. Technology 25,476 3,737,817 0.85%
Garmin, Ltd. Technology 45,954 3,611,526 0.82%
Hologic, Inc. Health care 69,732 3,573,773 0.82%









A BASKET (GSGLPW2L) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Newcrest Mining, Ltd. (Australia) Basic materials 137,321 $3,367,591 0.86%
Shin-Etsu Chemical Co., Ltd. (Japan) Basic materials 31,313 3,217,100 0.82%
Aristocrat Leisure, Ltd. (Australia) Consumer cyclicals 149,834 3,165,321 0.81%
Telstra Corp., Ltd. (Australia) Communication services 1,138,759 3,116,011 0.80%
Shionogi & Co., Ltd. (Japan) Health care 54,015 3,013,285 0.77%
Cheung Kong Property Holdings, Ltd. (Hong Kong) Financials 397,419 3,013,177 0.77%
Hoya Corp. (Japan) Technology 38,886 3,010,231 0.77%
Arkema SA (France) Basic materials 33,019 3,003,547 0.77%
Kansai Electric Power Co., Inc. (The) (Japan) Utilities and power 239,481 2,968,833 0.76%
Kajima Corp. (Japan) Basic materials 228,662 2,965,292 0.76%
Shinhan Financial Group Co., Ltd. (South Korea) Financials 80,107 2,945,347 0.76%
Swiss Life Holding AG (Switzerland) Financials 6,056 2,945,337 0.76%
Rio Tinto PLC (United Kingdom) Basic materials 50,965 2,931,751 0.75%
Goodman Group (Australia) Financials 286,234 2,921,817 0.75%
Peugeot SA (France) Consumer cyclicals 122,637 2,916,579 0.75%
Hitachi, Ltd. (Japan) Capital goods 80,694 2,892,583 0.74%
Partners Group Holding AG (Switzerland) Financials 3,593 2,881,991 0.74%
Tosoh Corp. (Japan) Basic materials 203,014 2,866,411 0.73%
Faurecia SA (France) Capital goods 59,353 2,841,609 0.73%
Porsche Automobil Holding SE (Preference) (Germany) Consumer cyclicals 42,406 2,817,808 0.72%
Unilever PLC (United Kingdom) Consumer staples 45,855 2,782,367 0.71%
3i Group PLC (United Kingdom) Financials 203,590 2,773,304 0.71%
Namco Bandai Holdings, Inc. (Japan) Consumer cyclicals 50,469 2,742,499 0.70%
BHP Billiton PLC (United Kingdom) Basic materials 112,374 2,730,196 0.70%
Dassault Systemes SA (France) Technology 17,756 2,728,241 0.70%
Xhen Ding Technology Holding, Ltd. (Taiwan) Technology 740,381 2,714,330 0.70%
Otsuka Corp. (Japan) Technology 68,138 2,714,237 0.70%
Macquarie Group, Ltd. (Australia) Financials 29,564 2,624,390 0.67%
Auto Trader Group PLC (United Kingdom) Consumer staples 394,374 2,616,307 0.67%
CSL, Ltd. (Australia) Health care 16,455 2,604,298 0.67%
WH Group, Ltd. (Hong Kong) Consumer staples 2,643,373 2,603,560 0.67%
Yangzijiang Shipbuilding Holdings, Ltd. (China) Transportation 2,451,331 2,561,399 0.66%
Roche Holding AG (Switzerland) Health care 9,452 2,545,786 0.65%
Deutsche Boerse AG (Germany) Financials 18,064 2,540,165 0.65%
Ashtead Group PLC (United Kingdom) Consumer staples 91,090 2,535,188 0.65%
Evraz PLC (Russia) Basic materials 317,749 2,532,834 0.65%
Deutsche Telekom AG (Germany) Communication services 152,672 2,529,381 0.65%
Legal & General Group PLC (United Kingdom) Financials 787,897 2,525,691 0.65%
Allianz SE (Germany) Financials 10,759 2,520,331 0.65%
Baloise Holding AG (Switzerland) Financials 13,594 2,470,323 0.63%
Sonova Holding AG (Switzerland) Health care 10,599 2,456,929 0.63%
GlaxoSmithKline PLC (United Kingdom) Health care 117,215 2,443,647 0.63%
Amada Holdings Co., Ltd. (Japan) Capital goods 215,756 2,400,492 0.62%
IHI Corp. (Japan) Capital goods 99,687 2,392,666 0.61%
Legrand SA (France) Capital goods 33,385 2,373,702 0.61%
Coca-Cola HBC AG (Switzerland) Consumer staples 67,643 2,348,924 0.60%
Fila Korea, Ltd. (South Korea) Consumer cyclicals 41,033 2,341,059 0.60%
Scentre Group (Australia) Financials 837,959 2,304,479 0.59%
Sumitomo Mitsui Financial Group, Inc. (Japan) Financials 65,690 2,303,307 0.59%
Kering SA (France) Consumer cyclicals 4,392 2,295,653 0.59%









A BASKET (GSGLPW2S) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Umicore SA (Belgium) Basic materials 101,676 $3,219,580 0.82%
Otsuka Holdings Company, Ltd. (Japan) Health care 86,358 3,195,017 0.82%
Yaskawa Electric Corp. (Japan) Technology 94,993 3,193,409 0.82%
EssilorLuxottica SA (France) Health care 23,164 3,163,268 0.81%
Westpac Banking Corp. (Australia) Financials 158,205 3,124,082 0.80%
Galenica AG (Switzerland) Health care 20,934 3,123,141 0.80%
Deutsche Bank AG (Germany) Financials 397,844 3,118,432 0.80%
Compagnie Financiere Richemont SA (Switzerland) Consumer cyclicals 36,054 3,110,127 0.80%
Daimler AG (Germany) Consumer cyclicals 58,881 3,074,352 0.79%
Commonwealth Bank of Australia (Australia) Financials 54,124 3,070,220 0.79%
Worldline SA (France) Technology 42,435 3,061,609 0.78%
Terumo Corp. (Japan) Health care 102,934 3,016,668 0.77%
Sysmex Corp. (Japan) Health care 41,024 3,001,534 0.77%
JGC Corp. (Japan) Capital goods 228,505 2,999,034 0.77%
Weir Group PLC (The) (United Kingdom) Capital goods 162,859 2,985,206 0.76%
MS&AD Insurance Group Holdings (Japan) Financials 89,593 2,954,935 0.76%
Singapore Telecommunications, Ltd. (Singapore) Communication services 1,190,943 2,897,841 0.74%
Takeda Pharmaceutical Co., Ltd. (Japan) Health care 85,778 2,871,772 0.73%
British Land Co., PLC (The) (United Kingdom) Financials 461,019 2,867,633 0.73%
Bunzl PLC (United Kingdom) Consumer staples 108,682 2,861,127 0.73%
Canon, Inc. (Japan) Capital goods 104,421 2,856,845 0.73%
Yamato Holdings Co., Ltd. (Japan) Transportation 142,541 2,814,067 0.72%
Nissan Motor Co., Ltd. (Japan) Consumer cyclicals 429,500 2,811,775 0.72%
Atlas Copco AB Class A (Sweden) Capital goods 89,068 2,757,514 0.71%
Anheuser-Busch InBev SA/NV (Belgium) Consumer staples 26,840 2,721,476 0.70%
Ferrovial SA (Spain) Basic materials 99,562 2,610,579 0.67%
St. James's Place PLC (United Kingdom) Financials 216,623 2,609,997 0.67%
Nitori Holdings Co., Ltd. (Japan) Consumer cyclicals 19,021 2,580,519 0.66%
Air Liquide SA (France) Basic materials 18,405 2,561,499 0.66%
S-Oil Corp. (South Korea) Energy 32,025 2,547,127 0.65%
AIA Group, Ltd. (Hong Kong) Financials 246,172 2,544,147 0.65%
Japan Tobacco, Inc. (Japan) Consumer staples 113,875 2,537,596 0.65%
Samsung Biologics Co., Ltd. (South Korea) Health care 10,656 2,521,974 0.65%
Hyundai Heavy Industries Co., Ltd. (South Korea) Capital goods 27,329 2,506,271 0.64%
ThyssenKrupp AG (Germany) Basic materials 190,154 2,474,976 0.63%
Prudential PLC (United Kingdom) Financials 118,359 2,460,818 0.63%
voestalpine AG (Austria) Basic materials 91,760 2,456,072 0.63%
LafargeHolcim, Ltd. (Switzerland) Basic materials 49,509 2,447,947 0.63%
Samsung SDI Co., Ltd. (South Korea) Communication services 11,622 2,446,010 0.63%
FANUC Corp. (Japan) Technology 13,428 2,415,423 0.62%
Intesa Sanpaolo SpA (Italy) Financials 1,100,348 2,401,740 0.61%
Danone SA (France) Consumer staples 27,476 2,398,394 0.61%
Chunghwa Telecom Co., Ltd. (Taiwan) Communication services 686,641 2,384,823 0.61%
Power Assets Holdings, Ltd. (Hong Kong) Utilities and power 330,729 2,372,342 0.61%
Sumitomo Metal Mining Co., Ltd. (Japan) Basic materials 82,090 2,355,150 0.60%
Royal Dutch Shell PLC Class A (United Kingdom) Energy 74,070 2,352,638 0.60%
ITOCHU Corp. (Japan) Consumer staples 120,774 2,315,916 0.59%
Transurban Group (Units) (Australia) Transportation 215,095 2,305,349 0.59%
Seiko Epson Corp. (Japan) Technology 155,172 2,300,960 0.59%
Siemens AG (Germany) Conglomerates 20,588 2,269,118 0.58%









A BASKET (GSGLPWDL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Starbucks Corp. Consumer staples 34,477 $3,264,590 0.65%
AXA Equitable Holdings, Inc. Financials 145,116 3,262,218 0.65%
Cincinnati Financial Corp. Financials 27,733 2,976,547 0.59%
Expedia, Inc. Consumer cyclicals 22,300 2,960,113 0.59%
Carlsberg A/S Class B (Denmark) Consumer staples 21,639 2,956,310 0.59%
Hershey Co. (The) Consumer staples 19,320 2,931,584 0.58%
AMETEK, Inc. Conglomerates 32,694 2,929,671 0.58%
CGI Group, Inc. Class A (Canada) Technology 37,996 2,924,413 0.58%
Toronto-Dominion Bank (Canada) Financials 49,934 2,918,931 0.58%
Keysight Technologies, Inc. Technology 32,598 2,918,197 0.58%
Roper Technologies, Inc. Capital goods 8,018 2,915,649 0.58%
Omnicom Group, Inc. Consumer cyclicals 36,198 2,903,837 0.58%
Oracle Corp. Technology 51,551 2,902,345 0.58%
Ingersoll-Rand PLC Capital goods 23,302 2,881,509 0.57%
Swiss Life Holding AG (Switzerland) Financials 5,921 2,866,560 0.57%
Expeditors International of Washington, Inc. Transportation 37,490 2,862,331 0.57%
Dollar General Corp. Consumer cyclicals 21,357 2,862,324 0.57%
Xcel Energy, Inc. Utilities and power 47,748 2,846,266 0.56%
PulteGroup, Inc. Consumer cyclicals 90,267 2,844,308 0.56%
Cisco Systems, Inc. Technology 51,294 2,841,689 0.56%
Cummins, Inc. Capital goods 17,297 2,836,666 0.56%
National Bank of Canada (Canada) Financials 58,377 2,825,543 0.56%
MTU Aero Engines AG (Germany) Capital goods 11,258 2,822,836 0.56%
Coca-Cola European Partners PLC (United Kingdom) Consumer staples 51,012 2,819,958 0.56%
Swisscom AG (Switzerland) Communication services 5,795 2,811,425 0.56%
Royal Bank of Canada (Canada) Financials 35,467 2,800,726 0.56%
Shionogi & Co., Ltd. (Japan) Health care 50,049 2,786,557 0.55%
E*Trade Financial Corp. Financials 57,098 2,785,816 0.55%
Telia Company AB (Sweden) Communication services 621,559 2,776,067 0.55%
Pernod Ricard SA (France) Consumer staples 15,626 2,751,316 0.55%
Zions Bancorporation Financials 60,976 2,748,181 0.54%
OGE Energy Corp. Utilities and power 63,781 2,739,386 0.54%
Amgen, Inc. Health care 14,655 2,734,374 0.54%
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) Financials 11,285 2,720,783 0.54%
Biogen, Inc. Health care 11,426 2,717,303 0.54%
Diageo PLC (United Kingdom) Consumer staples 64,645 2,707,094 0.54%
Mitsubishi Heavy Industries, Ltd. (Japan) Capital goods 65,084 2,696,920 0.53%
Rio Tinto PLC (United Kingdom) Basic materials 46,991 2,684,681 0.53%
AutoZone, Inc. Consumer cyclicals 2,374 2,666,504 0.53%
Endesa SA (Spain) Utilities and power 107,715 2,665,031 0.53%
WEC Energy Group, Inc. Utilities and power 31,073 2,655,467 0.53%
Paychex, Inc. Technology 31,972 2,655,287 0.53%
Dexus Property Group (Australia) Financials 295,334 2,649,773 0.53%
Canadian Imperial Bank of Commerce (Canada) Financials 33,568 2,640,832 0.52%
Annaly Capital Management, Inc. Financials 276,410 2,639,720 0.52%
Raymond James Financial, Inc. Financials 32,685 2,636,661 0.52%
Advanced Micro Devices, Inc. Technology 86,449 2,632,370 0.52%
Repsol SA (Spain) Energy 165,207 2,630,790 0.52%
Kajima Corp. (Japan) Basic materials 201,604 2,609,230 0.52%
Comcast Corp. Class A Communication services 60,369 2,606,138 0.52%









A BASKET (GSGLPWDS) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Nokia OYJ (Finland) Technology 547,028 $2,954,827 0.62%
Constellation Brands, Inc. Class A Consumer staples 14,961 2,944,579 0.62%
United Parcel Service, Inc. Class B Transportation 24,558 2,933,930 0.62%
MGM Resorts International Consumer cyclicals 97,721 2,933,596 0.62%
Liberty Media Corp.-Liberty Formula One Class C Consumer cyclicals 74,240 2,923,577 0.61%
SBA Communications Corp. Communication services 11,763 2,886,732 0.61%
Equifax, Inc. Consumer cyclicals 20,685 2,877,068 0.60%
Targa Resources Corp. Energy 73,783 2,870,893 0.60%
Sabre Corp. Consumer cyclicals 120,545 2,834,012 0.60%
Bunge, Ltd. Consumer staples 47,989 2,803,999 0.59%
Perrigo Co. PLC Health care 51,902 2,803,245 0.59%
Lowe's Cos., Inc. Consumer cyclicals 27,457 2,784,160 0.59%
Entergy Corp. Utilities and power 26,352 2,783,302 0.59%
Danone SA (France) Consumer staples 31,880 2,766,822 0.58%
Coca-Cola Co. (The) Consumer staples 52,285 2,751,765 0.58%
Becton Dickinson and Co. Health care 10,873 2,748,639 0.58%
FedEx Corp. Transportation 16,101 2,745,777 0.58%
Zurich Insurance Group AG (Switzerland) Financials 7,822 2,725,330 0.57%
Deere & Co. Capital goods 16,413 2,718,849 0.57%
Westpac Banking Corp. (Australia) Financials 138,577 2,715,042 0.57%
Panasonic Corp. (Japan) Consumer cyclicals 319,319 2,714,170 0.57%
Markel Corp. Financials 2,432 2,708,675 0.57%
Prologis, Inc. Financials 33,378 2,690,626 0.57%
Weyerhaeuser Co. Basic materials 105,786 2,688,023 0.57%
CME Group, Inc. Financials 13,791 2,681,224 0.56%
Applied Materials, Inc. Technology 54,207 2,676,215 0.56%
AIA Group, Ltd. (Hong Kong) Financials 258,793 2,674,493 0.56%
Fortis, Inc. (Canada) Utilities and power 66,660 2,627,404 0.55%
Camden Property Trust Financials 25,081 2,601,175 0.55%
Takeda Pharmaceutical Co., Ltd. (Japan) Health care 77,000 2,572,786 0.54%
Mitsubishi Estate Co., Ltd. (Japan) Financials 138,871 2,568,335 0.54%
DBS Group Holdings, Ltd. (Singapore) Financials 133,483 2,565,516 0.54%
Alexandria Real Estate Equities, Inc. Financials 17,527 2,565,212 0.54%
ABB, Ltd. (Switzerland) Capital goods 135,410 2,560,346 0.54%
Xylem, Inc. Capital goods 31,883 2,559,920 0.54%
Autodesk, Inc. Technology 16,256 2,538,688 0.53%
Compagnie Financiere Richemont SA (Switzerland) Consumer cyclicals 29,455 2,529,204 0.53%
Arthur J. Gallagher & Co. Financials 27,823 2,515,995 0.53%
Dollarama, Inc. (Canada) Consumer cyclicals 67,803 2,512,186 0.53%
Iron Mountain, Inc. Consumer cyclicals 85,123 2,503,458 0.53%
Weir Group PLC (The) (United Kingdom) Capital goods 136,895 2,492,173 0.52%
Dollar Tree, Inc. Consumer cyclicals 24,485 2,491,329 0.52%
Anheuser-Busch InBev SA/NV (Belgium) Consumer staples 24,532 2,473,194 0.52%
Vornado Realty Trust Financials 38,352 2,466,772 0.52%
Mid-America Apartment Communities, Inc. Financials 20,926 2,465,970 0.52%
Ferguson PLC (United Kingdom) Consumer staples 32,803 2,458,961 0.52%
Nasdaq, Inc. Financials 25,392 2,446,991 0.51%
Cognizant Technology Solutions Corp. Class A Technology 37,000 2,410,181 0.51%
Cognex Corp. Technology 54,456 2,396,629 0.50%
Liberty Global PLC Class C (United Kingdom) Communication services 92,017 2,396,115 0.50%









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 7/31/19 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P $4,580 $67,000 $6,298 5/11/63 300 bp — Monthly $(1,679)
CMBX NA BBB-.6 Index BBB-/P 6,498 114,000 10,716 5/11/63 300 bp — Monthly (4,152)
CMBX NA BBB-.6 Index BBB-/P 15,001 243,000 22,842 5/11/63 300 bp — Monthly (7,699)
Barclays Bank PLC
CMBX NA BBB-.6 Index BBB-/P 26,163 236,000 22,184 5/11/63 300 bp — Monthly 4,117
CMBX NA BBB-.7 Index BBB-/P 8,583 1,527,000 35,732 1/17/47 300 bp — Monthly (26,258)
Citigroup Global Markets, Inc.
CMBX NA BBB-.6 Index BBB-/P 52,811 372,000 34,968 5/11/63 300 bp — Monthly 18,060
CMBX NA BB.6 Index BB/P 347,340 1,654,000 318,395 5/11/63 500 bp — Monthly 30,553
CMBX NA BB.7 Index BB/P 76,095 630,000 60,480 1/17/47 500 bp — Monthly 16,228
CMBX NA BBB-.6 Index BBB-/P 2,570 26,000 2,444 5/11/63 300 bp — Monthly 141
CMBX NA BBB-.6 Index BBB-/P 13,217 128,000 12,032 5/11/63 300 bp — Monthly 1,260
CMBX NA BBB-.6 Index BBB-/P 32,612 240,000 22,560 5/11/63 300 bp — Monthly 10,192
CMBX NA BBB-.6 Index BBB-/P 76,158 524,000 49,256 5/11/63 300 bp — Monthly 27,207
CMBX NA BBB-.6 Index BBB-/P 118,735 1,113,000 104,622 5/11/63 300 bp — Monthly 14,763
CMBX NA BBB-.6 Index BBB-/P 457,962 2,800,000 263,200 5/11/63 300 bp — Monthly 196,395
CMBX NA BBB-.6 Index BBB-/P 1,059,532 7,499,000 704,906 5/11/63 300 bp — Monthly 359,001
Credit Suisse International
CMBX NA BBB-.6 Index BBB-/P 3,581,285 38,114,000 3,586,527 5/11/63 300 bp — Monthly (5,243)
CMBX NA BBB-.7 Index BBB-/P 41,182 521,000 12,191 1/17/47 300 bp — Monthly 29,295
CMBX NA BBB-.7 Index BBB-/P 641,434 8,678,000 203,065 1/17/47 300 bp — Monthly 443,431
Goldman Sachs International
CMBX NA BBB-.6 Index BBB-/P 12,819 162,000 15,228 5/11/63 300 bp — Monthly (2,315)
CMBX NA BBB-.6 Index BBB-/P 14,345 170,000 15,980 5/11/63 300 bp — Monthly (1,535)
CMBX NA BBB-.6 Index BBB-/P 15,423 178,000 16,732 5/11/63 300 bp — Monthly (1,206)
CMBX NA BBB-.6 Index BBB-/P 21,266 252,000 23,688 5/11/63 300 bp — Monthly (2,276)
CMBX NA BBB-.6 Index BBB-/P 32,134 292,000 27,448 5/11/63 300 bp — Monthly 4,857
CMBX NA BBB-.6 Index BBB-/P 22,005 323,000 30,362 5/11/63 300 bp — Monthly (8,169)
CMBX NA BBB-.6 Index BBB-/P 43,866 508,000 47,752 5/11/63 300 bp — Monthly (3,589)
CMBX NA BBB-.6 Index BBB-/P 72,333 521,000 48,974 5/11/63 300 bp — Monthly 23,664
CMBX NA BBB-.6 Index BBB-/P 54,650 727,000 68,338 5/11/63 300 bp — Monthly (13,264)
CMBX NA BBB-.6 Index BBB-/P 43,204 871,000 81,874 5/11/63 300 bp — Monthly (38,162)
CMBX NA BBB-.6 Index BBB-/P 113,818 1,020,000 95,880 5/11/63 300 bp — Monthly 18,533
CMBX NA BBB-.6 Index BBB-/P 113,818 1,020,000 95,880 5/11/63 300 bp — Monthly 18,533
CMBX NA BBB-.6 Index BBB-/P 90,667 1,094,000 102,836 5/11/63 300 bp — Monthly (11,531)
CMBX NA BBB-.6 Index BBB-/P 123,458 1,108,000 104,152 5/11/63 300 bp — Monthly 19,952
CMBX NA BBB-.6 Index BBB-/P 67,079 1,286,000 120,884 5/11/63 300 bp — Monthly (53,055)
CMBX NA BBB-.6 Index BBB-/P 217,829 2,012,000 189,128 5/11/63 300 bp — Monthly 29,875
CMBX NA BBB-.6 Index BBB-/P 440,741 3,998,000 375,812 5/11/63 300 bp — Monthly 67,261
CMBX NA BBB-.7 Index BBB-/P 171,603 2,462,000 57,611 1/17/47 300 bp — Monthly 115,429
CMBX NA BBB-.7 Index BBB-/P 587,623 7,950,000 186,030 1/17/47 300 bp — Monthly 406,231
JPMorgan Securities LLC
CMBX NA BBB-.6 Index BBB-/P 6,714,865 50,757,000 4,771,158 5/11/63 300 bp — Monthly 1,976,333
Merrill Lynch International
CMBX NA BB.7 Index BB/P 23,979 210,000 20,160 1/17/47 500 bp — Monthly 4,023
CMBX NA BBB-.6 Index BBB-/P 1,479,894 14,999,000 1,409,906 5/11/63 300 bp — Monthly 78,737
Morgan Stanley & Co. International PLC
CMBX NA BBB-.6 Index BBB-/P 428,255 3,096,000 291,024 5/11/63 300 bp — Monthly 139,037
CMBX NA BBB-.6 Index BBB-/P 84,856 592,000 55,648 5/11/63 300 bp — Monthly 29,553
CMBX NA BBB-.6 Index BBB-/P 122,692 1,157,000 108,758 5/11/63 300 bp — Monthly 14,609
Upfront premium received 17,674,980 Unrealized appreciation 4,097,270
Upfront premium (paid) — Unrealized (depreciation) (180,133)
Total $17,674,980 Total $3,917,137
* 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 July 31, 2019. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 7/31/19 (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.6 Index $(1,350) $433,000 $476 5/11/63 (200 bp) — Monthly $(1,995)
CMBX NA BB.10 Index (46,162) 421,000 36,795 11/17/59 (500 bp) — Monthly (9,776)
CMBX NA BB.10 Index (21,916) 210,000 18,354 11/17/59 (500 bp) — Monthly (3,766)
CMBX NA BB.11 Index (81,623) 630,000 62,244 11/18/54 (500 bp) — Monthly (19,991)
CMBX NA BB.9 Index (88,579) 630,000 63,819 9/17/58 (500 bp) — Monthly (25,372)
CMBX NA BB.9 Index (54,597) 420,000 42,546 9/17/58 (500 bp) — Monthly (12,459)
CMBX NA BB.9 Index (56,458) 420,000 42,546 9/17/58 (500 bp) — Monthly (14,320)
CMBX NA BB.9 Index (61,772) 401,000 40,621 9/17/58 (500 bp) — Monthly (21,540)
CMBX NA BB.9 Index (62,050) 401,000 40,621 9/17/58 (500 bp) — Monthly (21,819)
CMBX NA BB.9 Index (31,154) 199,000 20,159 9/17/58 (500 bp) — Monthly (11,189)
Credit Suisse International
CMBX NA BB.10 Index (51,729) 435,000 38,019 11/17/59 (500 bp) — Monthly (14,133)
CMBX NA BB.10 Index (55,104) 413,000 36,096 11/17/59 (500 bp) — Monthly (19,409)
CMBX NA BB.7 Index (29,194) 1,654,000 318,395 5/11/63 (500 bp) — Monthly 287,593
CMBX NA BB.9 Index (112,076) 1,118,000 112,135 9/17/58 (500 bp) — Monthly 59
Goldman Sachs International
CMBX NA BB.7 Index (114,252) 755,000 72,480 1/17/47 (500 bp) — Monthly (42,506)
CMBX NA BB.7 Index (296,107) 1,622,000 155,712 1/17/47 (500 bp) — Monthly (141,972)
CMBX NA BB.7 Index (43,113) 255,000 24,480 1/17/47 (500 bp) — Monthly (18,881)
CMBX NA BB.7 Index (19,899) 98,000 9,408 1/17/47 (500 bp) — Monthly (10,586)
CMBX NA BB.9 Index (22,144) 184,000 18,639 9/17/58 (500 bp) — Monthly (3,684)
CMBX NA BB.9 Index (21,896) 184,000 18,639 9/17/58 (500 bp) — Monthly (3,436)
JPMorgan Securities LLC
CMBX NA BB.7 Index (466,967) 3,690,000 354,240 1/17/47 (500 bp) — Monthly (116,314)
CMBX NA BBB-.7 Index (430,813) 11,354,000 265,684 1/17/47 (300 bp) — Monthly (171,752)
Merrill Lynch International
CMBX NA A.6 Index (2,420) 520,000 572 5/11/63 (200 bp) — Monthly (3,194)
CMBX NA BB.10 Index (24,963) 210,000 18,354 11/17/59 (500 bp) — Monthly (6,813)
CMBX NA BB.10 Index (22,132) 210,000 18,354 11/17/59 (500 bp) — Monthly (3,982)
CMBX NA BB.9 Index (78,707) 769,000 77,900 9/17/58 (500 bp) — Monthly (1,555)
Morgan Stanley & Co. International PLC
CMBX NA BBB-.7 Index (315,451) 3,096,000 72,446 1/17/47 (300 bp) — Monthly (244,811)
CMBX NA BB.10 Index (22,024) 210,000 18,354 11/17/59 (500 bp) — Monthly (3,874)
CMBX NA BB.7 Index (67,176) 359,000 34,464 1/17/47 (500 bp) — Monthly (33,061)
CMBX NA BB.9 Index (44,620) 368,000 37,278 9/17/58 (500 bp) — Monthly (7,699)
CMBX NA BB.9 Index (22,310) 184,000 18,639 9/17/58 (500 bp) — Monthly (3,850)
Upfront premium received — Unrealized appreciation 287,652
Upfront premium (paid) (2,768,758) Unrealized (depreciation) (993,739)
Total $(2,768,758) Total $(706,087)
* 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 7/31/19 (Unaudited)
  Referenced debt* Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
NA HY Series 32 Index B+/P $(5,472,090) $89,988,030 $6,658,304 6/20/24 500 bp — Quarterly $1,711,145
Total $(5,472,090) $1,711,145
* 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 July 31, 2019. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.









CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 7/31/19 (Unaudited)
  Referenced debt* Upfront premium received (paid)**   Notional
amount		 Value   Termination
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
NA HY Series 32 Index $7,827,199 $129,843,450 $19,214,493 6/20/24 (500 bp) — Quarterly $(2,537,468)
Total $7,827,199 $(2,537,468)
* 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
ARS Argentine Peso
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
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.
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
JSC Joint Stock Company
OJSC Open Joint Stock Company
OTC Over-the-counter
PJSC Public Joint Stock Company
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
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 November 1, 2018 through July 31, 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 $1,168,913,491.
(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.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $28,194, or less than 0.1% of net assets.
(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
10/31/18		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as  of
7/31/19
Short-term investments
Putnam Cash Collateral Pool, LLC*# $113,519,357 $716,697,147 $796,102,262 $1,299,473 $34,114,242
Putnam Short Term Investment Fund** 235,711,650 200,035,841 183,767,974 4,925,741 251,979,517
Total Short-term investments $349,231,007 $916,732,988 $979,870,236 $6,225,214 $286,093,759
* 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 $34,114,242, 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 $33,134,354.
** 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 $11,050,378.
(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 $10,928,652.
(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 $7,989,676.
(FWC) Forward commitment, in part or in entirety.
(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.
(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 $243,541,539 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 70.6%
China 7.4
South Korea 3.3
Brazil 2.4
Taiwan 2.2
India 2.0
Canada 1.8
Mexico 1.2
Thailand 1.1
Russia 1.1
United Kingdom 1.0
South Africa 0.9
Norway 0.6
Japan 0.6
Germany 0.5
France 0.5
Chile 0.5
Other 2.3
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. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
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 $42,421,252 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.
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 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 and to gain exposure to specific sectors or industries.
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 posted to the fund which cannot be sold or repledged totaled $1,923,987 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $12,614,159 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $10,928,652 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 $4,812,478 $26,400,713 $—
Capital goods — 7,906,671 —
Communication services — 14,271,558 —
Consumer cyclicals 11,492,067 24,594,381 —
Consumer staples 8,602,577 11,812,828 —
Energy 10,157,024 8,206,813 —
Financials 26,592,679 42,716,324 —
Health care 2,768,917 3,043,897 —
Technology 17,155,380 64,820,207 —
Transportation 882,591 496,219 —
Utilities and power 10,319,208 1,755,316 —
Total common stocks 92,782,921 206,024,927 —
Asset-backed securities — 7,109,000 2,111,000
Commodity linked notes — 61,087,667 —
Convertible bonds and notes — 28,100 —
Corporate bonds and notes — 50,519,527 —
Foreign government and agency bonds and notes — 10,473,572 —
Investment companies 116,757,353 — —
Mortgage-backed securities — 113,096,814 38,125
Purchased options outstanding — 2,881,156 —
Purchased swap options outstanding — 206,406 —
Senior loans — 32,020,312 —
U.S. government and agency mortgage obligations — 213,119,613 —
U.S. treasury obligations — 515,436 —
Warrants — 11,430,505 —
Short-term investments 260,028,517 229,693,664 —
Totals by level $469,568,791 $938,206,699 $2,149,125
 
Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(350,673) $—
Futures contracts 13,242,330 — —
Written options outstanding — (74,064) —
Forward premium swap option contracts — (72,968) —
TBA sale commitments — (34,731,720) —
Interest rate swap contracts — 4,875,210 —
Total return swap contracts — 9,883,206 —
Credit default contracts — (14,876,604) —
Totals by level $13,242,330 $(35,347,613) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
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 $9,247,325 $24,123,929
Foreign exchange contracts 2,365,157 2,603,789
Equity contracts 53,476,815 23,414,752
Interest rate contracts 13,959,125 1,761,448
Total $79,048,422 $51,903,918
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) $670,000
Purchased currency option contracts (contract amount) $60,600,000
Purchased swap option contracts (contract amount) $8,900,000
Written equity option contracts (contract amount) $230,000
Written currency option contracts (contract amount) $46,600,000
Written swap option contracts (contract amount) $4,500,000
Futures contracts (number of contracts) 8,000
Forward currency contracts (contract amount) $617,500,000
Centrally cleared interest rate swap contracts (notional) $1,278,200,000
OTC total return swap contracts (notional) $4,638,400,000
OTC credit default contracts (notional) $200,900,000
Centrally cleared credit default contracts (notional) $243,500,000
Warrants (number of warrants) 4,100,000

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