0000928816-20-000419.txt : 20200406 0000928816-20-000419.hdr.sgml : 20200406 20200406154907 ACCESSION NUMBER: 0000928816-20-000419 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 21 CONFORMED PERIOD OF REPORT: 20200131 FILED AS OF DATE: 20200406 DATE AS OF CHANGE: 20200406 EFFECTIVENESS DATE: 20200406 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM FUNDS TRUST CENTRAL INDEX KEY: 0001005942 IRS NUMBER: 043299786 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-07513 FILM NUMBER: 20776977 BUSINESS ADDRESS: STREET 1: ONE POST STREET 2: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6172921010 MAIL ADDRESS: STREET 1: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 0001005942 S000034192 Putnam Ultra Short Duration Income Fund C000105375 Class A C000105376 Class B C000105377 Class C C000105379 Class R C000105380 Class Y C000118012 Class R6 C000207666 Class N Shares N-CSRS 1 a_ultrashortdurinc.htm PUTNAM FUNDS TRUST a_ultrashortdurinc.htm


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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES



Investment Company Act file number: (811–07513)
Exact name of registrant as specified in charter: Putnam Funds Trust
Address of principal executive offices: 100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service: Robert T. Burns, Vice President
100 Federal Street
Boston, Massachusetts 02110
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292–1000
Date of fiscal year end: July 31, 2020
Date of reporting period: August 1, 2019 — January 31, 2020



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



Putnam
Ultra Short Duration
Income Fund

Semiannual report
1 | 31 | 20

 

IMPORTANT NOTICE: Delivery of paper fund reports

In accordance with regulations adopted by the Securities and Exchange Commission, beginning on January 1, 2021, reports like this one will no longer be sent by mail unless you specifically request it. Instead, they will be on Putnam’s website, and you will be notified by mail whenever a new one is available, and provided with a website link to access the report.

If you wish to stop receiving paper reports sooner, or if you wish to continue to receive paper reports free of charge after January 1, 2021, please see the back cover or insert for instructions. If you invest through a bank or broker, your choice will apply to all funds held in your account. If you invest directly with Putnam, your choice will apply to all Putnam funds in your account.

If you already receive these reports electronically, no action is required.


Message from the Trustees

March 11, 2020

Dear Fellow Shareholder:

After a period of gains and relative tranquility, global financial markets encountered considerable challenges in early 2020. The spread of the coronavirus into regions beyond China unnerved investors worldwide. In late February, largely in response to this issue, stock markets experienced their worst weekly performance since the 2008 financial crisis. As often happens when stocks decline sharply, bonds provided better results. As investors rushed to safe havens, the yield on the benchmark 10-year U.S. Treasury note fell below 1% for the first time in history.

While this is not the first time global financial markets have encountered such turbulence, it can be unsettling for investors. Markets that are usually rational can behave irrationally at times. Throughout history, however, markets have proven remarkably resilient, routinely recovering from short-term crisis events to move higher over longer time periods. For investors, we believe the most important course of action is to remain calm, stay focused on your long-term goals, and consult with your financial advisor. At Putnam, our investment professionals have experience in all types of market conditions and remain focused on actively managing fund portfolios with a research-intensive approach that includes risk management strategies.

Thank you for investing with Putnam.




Putnam Ultra Short Duration Income Fund is designed for investors who seek a conservative risk profile and low volatility, along with income potential. Managed by a team of industry veterans, the fund offers a level of flexibility not necessarily available in other conservative investment options. Because the fund is not a money market fund, the managers can invest in a broader range of sectors and securities that may offer higher yields without taking on significantly more risk.

The fund’s management team has an average of more than 20 years of experience.

 

2 Ultra Short Duration Income Fund 

 


A broader range of income opportunities

The fund can invest in a wider range of securities than is available to money market funds.


Investors should be aware of the differences between Putnam Ultra Short Duration Income Fund and money market funds before investing: Both seek to preserve capital and maintain liquidity. Money market funds generally focus on stability of principal, while Putnam Ultra Short Duration Income Fund seeks a balance of stability and income, which may result in increased volatility. Money market funds seek to maintain a net asset value (NAV) of $1.00 per share; the NAV of Putnam Ultra Short Duration Income Fund will fluctuate to reflect the market value of the portfolio. The fund’s fees and expenses differ from money market funds; see the prospectus for details. The fund can invest in more bond sectors than money market funds and, as a result, will be exposed to a larger number of risks. Neither money market funds nor this fund is insured or guaranteed by the FDIC or any other government agency, and investors can lose money in each.

Ultra Short Duration Income Fund 3 

 



Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. See below and pages 9–11 for additional performance information. The fund had expense limitations during the period, without which returns would have been lower.

* Returns for the six-month period are not annualized, but cumulative.


This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 1/31/20. See above and pages 9–11 for additional fund performance information. Index descriptions can be found on page 15.

4 Ultra Short Duration Income Fund 

 




How was the market environment during the six-month period?

Financial markets gained during the six-month period as the United States and China signed a phase-one trade deal, tensions in the Middle East deescalated, and global central banks eased monetary policy. However, by the end of January, fears over the coronavirus outbreak and its potential effects on global growth caused investors to become more risk averse. U.S. Treasuries — widely considered as “safe haven” assets — rallied as yields fell across the board.

The Federal Reserve cut rates twice during the period to a range of 1.50% to 1.75% but held its policy rate steady in December 2019 and in January 2020. To keep the federal funds rate within the target, the Fed made some “technical” adjustments by lifting the interest rate on excess reserves (IOER) and the overnight reverse repo rate (RRR) at the January meeting. Fed chair Jerome Powell also said the coronavirus epidemic sweeping China could pose broader economic risks, but signaled that the Fed was comfortable holding interest rates steady.

Ultra Short Duration Income Fund 5 

 



Allocations are shown as a percentage of the fund’s net assets as of 1/31/20. Cash and net other assets, if any, represent the market value weights of cash, derivatives, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.

The cash and net other assets category may show a negative market value percentage as a result of the timing of trade-date and settlement-date transactions.


Against this backdrop, Treasury yields generally declined. The yield on the benchmark 10-year note fell to 1.51% at the end of January. The yield curve stayed positively sloped except at the shortest maturities, as 1-month to 6-month yields were slightly higher than 10-year yields as of January 31. Elsewhere, the one-month London Interbank Offered Rate [LIBOR] fell to 1.66% on January 31.

How did the fund perform?

The fund outperformed its benchmark, the ICE BofA U.S. Treasury Bill Index, for the period. The fund returned 1.17% versus 1.00% for the index for the 6 months ended January 31, 2019.

What were the drivers of performance?

All sectors contributed to the results, and there were no major detractors for this period. Bank holdings and securitized bonds — including short-term asset-backed securities and collateralized mortgage obligations — were the biggest drivers of performance. The fund was primarily invested in corporate securities and commercial paper [CP], which provided attractive income above short-term Treasury securities. The financial industry typically makes up about half of the fund’s exposure. We invest in short-dated assets with maturities of 3.5 years or less, including corporate CP, which makes up approximately 30% of the fund’s holdings.

We have taken steps to reduce the fund’s sensitivity to credit spread movements as we are cognizant of ongoing uncertainties related to the U.S. presidential election this year. Specifically, we have lowered the fund’s exposure to the relatively longer-dated securities of the portfolio. We also continue

6 Ultra Short Duration Income Fund 

 


to position the portfolio to generate natural liquidity through ongoing bond maturities.

What is your near-term outlook?

We expect short-term interest rates to trend lower in 2020. Heading into the new year, Fed officials indicated comfort with leaving monetary policy on hold while keeping an eye on inflation and growth risks. Prior to the coronavirus epidemic, the global economy was stabilizing, in our view.

Now, however, we think global business activity is likely to slow over the near term, which will lead to further easing from global central banks. With that in mind, we plan to maintain the portfolio’s current duration. There are also risks related to the final outcome of the U.S.–China trade talks, global growth prospects, and U.S. elections. In addition, short-term corporate bond spreads are hovering around their post-recession tightness levels. We continue to structure the portfolio with a barbell approach: investing in lower-quality investment-grade securities maturing in 1 year or less and in higher-quality investment-grade securities maturing between 1 and 3.5 years.


Despite ongoing changes in the market environment, capital preservation remains the primary objective of the fund. We believe our expertise


Credit qualities are shown as a percentage of the fund’s net assets as of 1/31/20. A bond rated BBB or higher (A-3/SP-3 or higher, for short-term debt) is considered investment grade. This chart reflects the highest security rating provided by one or more of Standard & Poor’s, Moody’s, and Fitch. Ratings may vary over time.

Cash and net other assets, if any, represent the market value weights of cash and derivatives and may show a negative market value as a result of the timing of trade versus settlement date transactions. The fund itself has not been rated by an independent rating agency.

Ultra Short Duration Income Fund 7 

 


on the short end will allow us to appropriately position the fund as the markets evolve and capitalize on opportunities as they arise.

Thank you for your time and for bringing us up to date.

The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.

Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund’s investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.


This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.

8 Ultra Short Duration Income Fund 

 


Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended January 31, 2020, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class N, R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.

Fund performance Total return for periods ended 1/31/20

  Life of  Annual    Annual    Annual     
  fund  average  5 years  average  3 years  average  1 year  6 months 
Class A (10/17/11)                 
Net asset value  9.84%  1.14%  7.56%  1.47%  6.08%  1.99%  2.69%  1.17% 
Class B (10/17/11)                 
Net asset value  6.41  0.75  5.56  1.09  4.92  1.62  2.28  0.97 
Class C (10/17/11)                 
Net asset value  6.28  0.74  5.56  1.09  4.92  1.62  2.28  0.97 
Class N (11/1/18)                 
Before sales charge  8.63  1.00  6.88  1.34  5.72  1.87  2.43  1.09 
After sales charge  7.01  0.82  5.28  1.03  4.13  1.36  0.90  –0.42 
Class R (10/17/11)                 
Net asset value  6.28  0.74  5.56  1.09  4.82  1.58  2.28  0.97 
Class R6 (7/2/12)                 
Net asset value  10.88  1.25  8.13  1.58  6.42  2.09  2.70  1.22 
Class Y (10/17/11)                 
Net asset value  10.84  1.25  8.09  1.57  6.39  2.09  2.79  1.22 

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Class A,B,C,R,R6, and Y share classes do not carry an initial sales charge or a contingent deferred sales charge. After-sales-charge returns for class N shares reflect the deduction of the maximum 1.50% sales charge, levied at the time of purchase. Performance for class N shares prior to its inception is derived from the historical performance of class A shares, adjusted for the applicable sales charge and the higher operating expenses of class N shares. Performance for class R6 shares prior to its inception is derived from the historical performance of class Y shares.

For a portion of the periods, the fund had expense limitations, without which returns would have been lower.

Ultra Short Duration Income Fund 9 

 


Comparative index returns For periods ended 1/31/20

  Life of  Annual    Annual    Annual     
  fund  average  5 years  average  3 years  average  1 year  6 months 
ICE BofA U.S. Treasury                 
Bill Index  6.04%  0.71%  5.73%  1.12%  5.21%  1.71%  2.27%  1.00% 

 

Index results should be compared with fund performance at net asset value.

Fund price and distribution information For the six-month period ended 1/31/20

Distributions  Class A  Class B  Class C  Class N  Class R  Class R6  Class Y 
Number  6  6  6  6  6  6  6 
Income  $0.106834  $0.086445  $0.086445  $0.099206  $0.086446  $0.112440  $0.111930 
Capital gains  —  —  —  —  —  —  — 
Total  $0.106834  $0.086445  $0.086445  $0.099206  $0.086446  $0.112440  $0.111930 
  Net  Net  Net  Before  After  Net  Net  Net 
  asset  asset  asset  sales  sales  asset  asset  asset 
Share value  value  value  value  charge  charge  value  value  value 
7/31/19  $10.05  $10.04  $10.04  $10.04  $10.19  $10.04  $10.06  $10.06 
1/31/20  10.06  10.05  10.05  10.05  10.20  10.05  10.07  10.07 
  Net  Net  Net  Before  After  Net  Net  Net 
Current rate  asset  asset  asset  sales  sales  asset  asset  asset 
(end of period)  value  value  value  charge  charge  value  value  value 
Current dividend rate1  1.84%  1.45%  1.45%  1.70%  1.67%  1.45%  1.95%  1.94% 
Current 30-day                 
SEC yield (with                 
expense limitation)2,3  1.73  1.33  1.33  N/A  1.56  1.33  1.84  1.83 
Current 30-day                 
SEC yield (without                 
expense limitation)3  1.66  1.26  1.26  N/A  1.49  1.27  1.77  1.76 

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class N shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (1.50% for class N shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.

2 For the period, the fund had an expense limitation, without which the yield would have been lower.

3 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.

10 Ultra Short Duration Income Fund 

 


Fund performance as of most recent calendar quarter Total return for periods ended 12/31/19

  Life of  Annual    Annual    Annual     
  fund  average  5 years  average  3 years  average  1 year  6 months 
Class A (10/17/11)                 
Net asset value  9.54%  1.12%  7.31%  1.42%  5.98%  1.96%  2.75%  1.12% 
Class B (10/17/11)                 
Net asset value  6.13  0.73  5.32  1.04  4.73  1.55  2.34  0.91 
Class C (10/17/11)                 
Net asset value  6.04  0.72  5.32  1.04  4.73  1.55  2.34  0.91 
Class N (11/1/18)                 
Before sales charge  8.36  0.98  6.64  1.29  5.62  1.84  2.60  1.04 
After sales charge  6.73  0.80  5.04  0.99  4.04  1.33  1.06  –0.48 
Class R (10/17/11)                 
Net asset value  6.04  0.72  5.32  1.04  4.73  1.55  2.34  0.91 
Class R6 (7/2/12)                 
Net asset value  10.57  1.23  7.88  1.53  6.22  2.03  2.86  1.17 
Class Y (10/17/11)                 
Net asset value  10.53  1.23  7.84  1.52  6.29  2.06  2.85  1.16 

 

See the discussion following the fund performance table on page 9 for information about the calculation of fund performance.


Your fund’s expenses

As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

  Class A  Class B  Class C  Class N  Class R  Class R6  Class Y 
Net expenses for the fiscal year               
ended 7/31/19*†  0.40%  0.80%  0.80%  0.55%‡  0.80%  0.29%  0.30% 
Total annual operating expenses for the               
fiscal year ended 7/31/19†  0.48%  0.88%  0.88%  0.63%‡  0.88%  0.37%  0.38% 
Annualized expense ratio for the               
six-month period ended 1/31/20  0.40%  0.80%  0.80%  0.55%  0.80%  0.29%  0.30% 

 

Fiscal-year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.

Expenses are shown as a percentage of average net assets.

* Reflects Putnam Management’s contractual obligation to limit certain fund expenses through 11/30/20.

† Restated to reflect current fees.

‡ Annualized.

Ultra Short Duration Income Fund 11 

 


Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 8/1/19 to 1/31/20. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

  Class A  Class B  Class C  Class N  Class R  Class R6  Class Y 
Expenses paid per $1,000*†  $2.02  $4.04  $4.04  $2.78  $4.04  $1.47  $1.52 
Ending value (after expenses)  $1,011.70  $1,009.70  $1,009.70  $1,010.90  $1,009.70  $1,012.20  $1,012.20 

 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 1/31/20. The expense ratio may differ for each share class.

† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period; and then dividing that result by the number of days in the year.

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 1/31/20, use the following calculation method. To find the value of your investment on 8/1/19, call Putnam at 1-800-225-1581.


Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

  Class A  Class B  Class C  Class N  Class R  Class R6  Class Y 
Expenses paid per $1,000*†  $2.03  $4.06  $4.06  $2.80  $4.06  $1.48  $1.53 
Ending value (after expenses)  $1,023.13  $1,021.11  $1,021.11  $1,022.37  $1,021.11  $1,023.68  $1,023.63 

 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 1/31/20. The expense ratio may differ for each share class.

† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period; and then dividing that result by the number of days in the year.

12 Ultra Short Duration Income Fund 

 


Consider these risks before investing

Putnam Ultra Short Duration Income Fund is not a money market fund. The effects of inflation may erode the value of your investment over time. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are also subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage-backed investments, in other investments with less attractive terms and yields. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Credit risk is generally greater for debt not backed by the full faith and credit of the U.S. government. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses. You can lose money by investing in the fund.

Ultra Short Duration Income Fund 13 

 


Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions, and are calculated by dividing the net assets of the class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 1.50% maximum sales charge for class N shares.

Net asset value (NAV) is the price, or value, of one share of a mutual fund, without a sales charge. Net asset values fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares obtained in exchange for the same class of shares of another Putnam Fund, and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.

Share classes

Class A shares are not subject to an initial sales charge or a CDSC, except that a CDSC may apply to certain redemptions of class A shares obtained by exchanging shares from another Putnam fund that were originally purchased without an initial sales charge if the shares are redeemed within nine months of the original purchase. Exchange of your fund’s class A shares into another Putnam fund may involve an initial sales charge.

Class B shares are closed to new investments and are only available by exchange from another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.

Class C shares are not subject to an initial sales charge or a CDSC, except that a CDSC of 1.00% may apply to class C shares obtained in an exchange for class C shares of another Putnam fund if exchanged within one year of the original purchase date.

Class N shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge). There is a 1.50% maximum sales charge.

Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.

Class R6 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.

Class Y shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.

Fixed-income terms

Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.

14 Ultra Short Duration Income Fund 

 


Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:

• Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).

• Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.

° Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.

• Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.

• Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

Comparative indexes

Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Index is an unmanaged index that seeks to measure the performance of U.S. Treasury bills available in the marketplace.

S&P 500 Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.

Ultra Short Duration Income Fund 15 

 


Other information for shareholders

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single copy of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2019, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.

Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of January 31, 2020, Putnam employees had approximately $466,000,000 and the Trustees had approximately $77,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

16 Ultra Short Duration Income Fund 

 


Trustee approval of management contract

Consideration of an amended management contract

At their meeting on November 22, 2019, the Board of Trustees of The Putnam Funds, including all of the Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended) (the “Independent Trustees”), approved an amended management contract with Putnam Investment Management, LLC (“Putnam Management”), effective December 1, 2019, for your fund. The Trustees noted that the amended management contract differed in substance from the existing management contract only in that in the amended management contract, the management fee was lower at every breakpoint level.

In considering whether to approve the amended management contract, the Trustees considered information provided by Putnam Management about the revised fee schedule, including the competitiveness of the proposed fees. The Trustees also took into account that they had most recently approved the annual continuance of the fund’s existing management contract with Putnam Management in June 2019. Because, other than the revised fee schedule, the fund’s amended management contract was in substance identical to the fund’s existing management contract, the Trustees relied to a considerable extent on their previous approval of the continuance of the fund’s existing management contract, which is described below.

After considering the factors described above relating to the amended management contract’s revised fee schedule, and taking into account all of the factors considered, as described below, as part of the approval of the continuance of the fund’s existing management contract in June 2019, the Trustees, including the Independent Trustees, approved the proposed amended management contract.

General conclusions in connection with the Trustees’ June 2019 approvals

The Board oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Management and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Independent Trustees.

At the outset of the review process, members of the Board’s independent staff and independent legal counsel discussed with representatives of Putnam Management the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review, identifying possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2019, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.

In May 2019, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2019 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2019. (Because PIL is an affiliate of Putnam

Ultra Short Duration Income Fund 17 

 


Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not attempted to evaluate PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)

The Independent Trustees’ approval was based on the following conclusions:

• That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, the costs incurred by Putnam Management in providing services to the fund, and the application of certain reductions and waivers noted below; and

• That the fee schedule in effect for your fund represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the fund at current asset levels.

These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with some minor exceptions, the funds’ current fee arrangements under the management contracts were first implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders.

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two funds have implemented so-called “all-in” management fees covering substantially all routine fund operating costs.)

In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment strategy, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not indicate that changes to the management fee structure for your fund would be appropriate at this time.

Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with economies of scale in the form of reduced fee rates as assets under management in the Putnam family of funds increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders and Putnam Management.

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to support the effort to have fund expenses meet competitive standards, the Trustees and Putnam Management and the funds’ investor servicing agent, Putnam Investor Services, Inc. (“PSERV”), have implemented expense limitations that were in effect during your fund’s fiscal year ending in 2018. These expense limitations were: (i) a contractual expense limitation applicable to all open-end funds of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified open-end funds, including your fund, of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses). These expense limitations attempt to maintain competitive expense levels for the funds. Most funds, including your fund, had sufficiently low expenses that these expense limitations were not

18 Ultra Short Duration Income Fund 

 


operative during their fiscal years ending in 2018. Putnam Management and PSERV have agreed to maintain these expense limitations until at least November 30, 2020. In addition, Putnam Management contractually agreed to waive fees and/or reimburse expenses of your fund to the extent that expenses of the fund (excluding payments under the fund’s distribution plans, investor servicing fees, brokerage, interest, taxes, investment-related expenses, extraordinary expenses, and acquired fund fees and expenses) would exceed an annual rate of 0.24% of its average net assets through at least November 30, 2020. During its fiscal year ending in 2018, your fund’s expenses were reduced as a result of this expense limitation. The support of Putnam Management and PSERV for these expense limitation arrangements was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fees), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the fifth quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the third quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2018. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2018 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.

In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders and Putnam Management of such economies of scale as may exist in the management of the Putnam funds at that time.

The information examined by the Trustees in connection with their annual contract review for the Putnam funds included information regarding fees charged by Putnam Management and its affiliates to institutional clients, including defined benefit pension and profit-sharing plans and sub-advised mutual funds. This information included, in cases where an institutional product’s investment strategy corresponds with a fund’s strategy, comparisons of those fees with fees charged to the Putnam funds, as well as an assessment of the differences in the services provided to these different types of clients as compared to the services provided to the Putnam funds. The Trustees observed that the differences in fee rates between these clients and the Putnam funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect, among other things, historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, and the Trustees also considered the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its other clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’

Ultra Short Duration Income Fund 19 

 


investment process and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officers and other senior members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered that, after a strong start to the year, 2018 was a mixed year for The Putnam Funds, with the Putnam open-end Funds’ performance, on an asset-weighted basis, ranking in the 54th percentile of their Lipper Inc. (“Lipper”) peers (excluding those Putnam funds that are evaluated based on their total returns versus selected investment benchmarks). The Trustees also noted that The Putnam Funds were ranked by the Barron’s/Lipper Fund Families survey as the 41st-best performing mutual fund complex out of 57 complexes for the one-year period ended December 31, 2018 and the 29th-best performing mutual fund complex out of 55 complexes for the five-year period ended December 31, 2018. The Trustees observed that The Putnam Funds’ performance over the longer-term continued to be strong, ranking 6th out of 49 mutual fund complexes in the survey over the ten-year period ended 2018. In addition, the Trustees noted that 22 of the funds were four- or five-star rated by Morningstar Inc. at the end of 2018. They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2018 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds, including the effectiveness of any efforts Putnam Management has undertaken to address underperformance and whether additional actions to address areas of underperformance are warranted.

For purposes of the Trustees’ evaluation of the Putnam Funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns with the returns of selected investment benchmarks. In the case of your fund, the Trustees considered information about the fund’s total return, and your fund’s performance relative to its benchmark, for the one-year, three-year and five-year periods ended December 31, 2018. Over the one-year period, your fund’s class A share net return was positive and slightly trailed the return of its benchmark, and over the three-year and five-year periods, your fund’s class A share net return was positive and exceeded the return of its benchmark. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)

The Trustees considered Putnam Management’s continued efforts to support fund performance through initiatives including structuring compensation for portfolio managers and research analysts to enhance accountability for fund performance, emphasizing accountability in the portfolio management process, and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management had made selective hires in 2018 to strengthen its investment team.

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance Putnam

20 Ultra Short Duration Income Fund 

 


Management’s investment capabilities and supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft dollars continues to be used to pay fund expenses. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee. The Trustees also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with PSERV and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are fair and reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services. Furthermore, the Trustees were of the view that the services provided were required for the operation of the funds, and that they were of a quality at least equal to those provided by other providers.

Ultra Short Duration Income Fund 21 

 


Financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

22 Ultra Short Duration Income Fund 

 


The fund’s portfolio 1/31/20 (Unaudited)

  Principal   
CORPORATE BONDS AND NOTES (53.2%)*  amount  Value 
Banking (27.7%)     
ABN AMRO Bank NV 144A sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.57%), 2.489%, 8/27/21 (Netherlands)  $51,500,000  $51,797,670 
ABN AMRO Bank NV 144A sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.41%), 2.229%, 1/19/21 (Netherlands)  46,350,000  46,486,605 
ABN AMRO Bank NV 144A sr. unsec. notes 2.65%,     
1/19/21 (Netherlands)  7,000,000  7,056,014 
Australia & New Zealand Banking Group, Ltd. 144A sr.     
unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.87%),     
2.78%, 11/23/21 (Australia)  3,000,000  3,035,535 
Australia & New Zealand Banking Group, Ltd. 144A sr.     
unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.49%),     
2.385%, 11/21/22 (Australia)  24,180,000  24,320,098 
Australia & New Zealand Banking Group, Ltd. 144A sr.     
unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.32%),     
2.221%, 11/9/20 (Australia)  24,900,000  24,954,176 
Australia & New Zealand Banking Group, Ltd. 144A     
unsec. FRN (BBA LIBOR USD 3 Month + 0.50%), 2.403%,     
8/19/20 (Australia)  28,950,000  29,022,287 
Australia & New Zealand Banking Group, Ltd. 144A     
unsec. FRN (BBA LIBOR USD 3 Month + 0.46%), 2.364%,     
5/17/21 (Australia)  14,625,000  14,691,980 
Banco Bilbao Vizcaya Argentaria SA sr. unsec. unsub.     
notes 3.00%, 10/20/20 (Spain)  46,668,000  47,040,072 
Banco Santander SA sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 1.56%), 3.408%, 4/11/22 (Spain)  4,720,000  4,813,924 
Bank of America Corp. sr. unsec. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.65%), 2.559%, 10/1/21  22,570,000  22,654,156 
Bank of America Corp. sr. unsec. sub. FRN (BBA LIBOR     
USD 3 Month + 0.38%), 2.186%, 1/23/22  39,485,000  39,542,237 
Bank of America Corp. sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 1.00%), 2.801%, 4/24/23  15,095,000  15,282,178 
Bank of America Corp. sr. unsec. unsub. FRN Ser. GMTN,     
(BBA LIBOR USD 3 Month + 1.42%), 3.239%, 4/19/21  28,683,000  29,125,864 
Bank of America Corp. sr. unsec. unsub. FRN Ser. GMTN,     
(BBA LIBOR USD 3 Month + 0.66%), 2.479%, 7/21/21  55,803,000  55,950,367 
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.65%), 2.597%, 6/25/22  29,807,000  29,992,073 
Bank of Montreal sr. unsec. FRN Ser. MTN, (BBA LIBOR     
USD 3 Month + 0.40%), 2.202%, 1/22/21 (Canada)  28,000,000  28,061,181 
Bank of Montreal sr. unsec. FRN Ser. MTN, (BBA LIBOR     
USD 3 Month + 0.34%), 2.188%, 7/13/20 (Canada)  24,944,000  24,978,463 
Bank of Montreal sr. unsec. unsub. FRN Ser. D, (BBA     
LIBOR USD 3 Month + 0.46%), 2.308%, 4/13/21 (Canada)  11,600,000  11,646,096 
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (BBA     
LIBOR USD 3 Month + 0.79%), 2.709%, 8/27/21 (Canada)  7,500,000  7,575,440 
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (BBA     
LIBOR USD 3 Month + 0.57%), 2.517%, 3/26/22 (Canada)  57,966,000  58,374,718 
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (BBA     
LIBOR USD 3 Month + 0.40%), 2.291%, 9/10/21 (Canada)  30,000,000  30,110,081 

 

Ultra Short Duration Income Fund 23 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Banking cont.     
Bank of New York Mellon (The) sr. unsec. unsub.     
FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.28%),     
2.18%, 6/4/21  $52,000,000  $52,051,539 
Bank of New York Mellon Corp. (The) sr. unsec. notes     
Ser. MTN, 1.95%, 8/23/22  20,600,000  20,769,626 
Bank of New York Mellon Corp. (The) sr. unsec. unsub.     
FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.87%),     
2.774%, 8/17/20  22,600,000  22,707,305 
Banque Federative du Credit Mutuel SA 144A sr. unsec.     
notes 2.75%, 10/15/20 (France)  6,200,000  6,242,446 
Banque Federative du Credit Mutuel SA 144A sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 0.49%), 2.309%,     
7/20/20 (France)  73,900,000  74,054,923 
Banque Federative du Credit Mutuel SA 144A sr. unsec.     
unsub. notes 2.20%, 7/20/20 (France)  13,770,000  13,798,160 
Barclays Bank PLC sr. unsec. unsub. FRN Ser. GMTN,     
(BBA LIBOR USD 3 Month + 0.65%), 2.544%, 8/7/20     
(United Kingdom)  25,500,000  25,570,174 
Barclays Bank PLC unsec. sub. notes 5.14%, 10/14/20     
(United Kingdom)  13,000,000  13,282,923 
Barclays PLC sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 2.11%), 4.011%, 8/10/21 (United Kingdom)  8,386,000  8,582,097 
Barclays PLC sr. unsec. unsub. notes 3.25%, 1/12/21     
(United Kingdom)  38,959,000  39,416,379 
BBVA USA unsec. sub. notes Ser. BKNT, 5.50%, 4/1/20  3,933,000  3,955,031 
BNP Paribas SA sr. unsec. notes 2.375%,     
5/21/20 (France)  36,820,000  36,892,646 
BNP Paribas SA 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.39%), 2.284%, 8/7/21 (France)  27,000,000  27,067,471 
BPCE SA 144A sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.30%), 2.138%, 1/14/22 (France)  47,000,000  47,011,652 
BPCE SA 144A sr. unsec. notes 3.145%, 7/31/20 (France)  33,000,000  33,233,844 
Canadian Imperial Bank of Commerce sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 0.72%), 2.614%,     
6/16/22 (Canada)  6,300,000  6,370,633 
Canadian Imperial Bank of Commerce sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 0.32%), 2.078%,     
2/2/21 (Canada)  27,300,000  27,346,336 
Capital One Bank USA NA sr. unsec. FRN     
2.014%, 1/27/23  42,500,000  42,636,436 
Citibank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.60%), 2.499%, 5/20/22  23,000,000  23,122,163 
Citigroup, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 1.31%), 3.104%, 10/26/20  18,205,000  18,360,320 
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.38%), 3.341%, 3/30/21  60,863,000  61,765,908 
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.07%), 2.955%, 12/8/21  32,745,000  33,143,998 
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.19%), 2.953%, 8/2/21  28,093,000  28,462,367 
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.96%), 2.754%, 4/25/22  28,085,000  28,519,261 

 

24 Ultra Short Duration Income Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Banking cont.     
Citizens Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.81%), 2.727%, 5/26/22  $4,960,000  $5,003,336 
Citizens Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.72%), 2.629%, 2/14/22  43,000,000  43,336,501 
Citizens Bank NA sr. unsec. notes Ser. BKNT,     
2.20%, 5/26/20  7,610,000  7,616,613 
Citizens Bank NA/Providence RI sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.54%), 2.447%, 3/2/20  37,900,000  37,917,689 
Citizens Bank NA/Providence RI sr. unsec. FRN     
Ser. BKNT, (BBA LIBOR USD 3 Month + 0.57%),     
2.487%, 5/26/20  49,176,000  49,256,802 
Comerica Bank sr. unsec. notes Ser. BKNT,     
2.50%, 6/2/20  7,100,000  7,116,181 
Commonwealth Bank of Australia 144A sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.45%), 2.341%,     
3/10/20 (Australia)  14,900,000  14,908,735 
Commonwealth Bank of Australia 144A sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.40%), 2.299%,     
9/18/20 (Australia)  19,600,000  19,644,710 
Compass Bank sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.73%), 2.618%, 6/11/21  42,600,000  42,734,322 
Cooperative Rabobank UA sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.83%), 2.664%, 1/10/22 (Netherlands)  29,100,000  29,412,604 
Cooperative Rabobank UA sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.43%), 2.224%, 4/26/21 (Netherlands)  25,370,000  25,458,288 
Credit Agricole Corporate & Investment Bank     
SA company guaranty sr. unsec. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.63%), 2.533%,     
10/3/21 (France)  15,345,000  15,390,010 
Credit Agricole Corporate & Investment Bank SA 144A     
company guaranty sr. unsec. FRN Ser. MTN, (BBA LIBOR     
USD 3 Month + 0.40%), 2.163%, 5/3/21 (France)  47,000,000  47,077,776 
Credit Agricole SA/London 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 1.18%), 3.089%, 7/1/21     
(United Kingdom)  51,180,000  51,881,217 
Credit Agricole SA/London 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.97%), 2.861%, 6/10/20     
(United Kingdom)  26,005,000  26,094,171 
Credit Suisse AG/New York, NY sr. unsec. FRN (1 Month     
US LIBOR + 0.45%), 2.033%, 2/4/22  51,815,000  51,830,545 
Credit Suisse Group Funding Guernsey, Ltd. company     
guaranty sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 2.29%), 4.109%, 4/16/21 (United Kingdom)  69,194,000  70,861,238 
Credit Suisse Group Funding Guernsey, Ltd. company     
guaranty sr. unsec. unsub. notes 2.750%, 3/26/20     
(United Kingdom)  —  — 
Credit Suisse Group Funding Guernsey, Ltd. company     
guaranty sr. unsec. unsub. notes 3.125%, 12/10/20     
(United Kingdom)  26,134,000  26,411,871 
Credit Suisse Group Funding Guernsey, Ltd. 144A     
company guaranty sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 2.29%), 4.109%,     
4/16/21 (United Kingdom)  1,750,000  1,786,821 

 

Ultra Short Duration Income Fund 25 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Banking cont.     
Danske Bank A/S 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.51%), 2.417%, 3/2/20 (Denmark)  $25,200,000  $25,210,107 
DNB Bank ASA 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 1.07%), 2.977%, 6/2/21 (Norway)  7,000,000  7,082,052 
DNB Bank ASA 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.62%), 2.527%, 12/2/22 (Norway)  46,725,000  47,103,081 
DNB Bank ASA 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.37%), 2.279%, 10/2/20 (Norway)  53,005,000  53,117,619 
DNB Boligkreditt AS 144A sr. notes 2.00%,     
5/28/20 (Norway)  15,190,000  15,199,084 
Fifth Third Bank sr. unsec. FRN Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.44%), 2.234%, 7/26/21  24,800,000  24,886,979 
Fifth Third Bank/Cincinnati, OH sr. unsec. FRN     
Ser. BKNT, (BBA LIBOR USD 3 Month + 0.25%),     
2.02%, 10/30/20  31,105,000  31,138,499 
Fifth Third Bank/Cincinnati, OH sr. unsec. notes     
Ser. BKNT, 1.80%, 1/30/23  16,220,000  16,266,777 
Goldman Sachs Bank USA/New York, NY sr. unsec. FRN     
(1 Month US LIBOR + 0.60%), 2.16%, 5/24/21  3,685,000  3,688,611 
HSBC Bank USA NA unsec. sub. notes Ser. BKNT,     
4.875%, 8/24/20  42,050,000  42,761,648 
HSBC Holdings PLC sr. unsec. FRN (BBA LIBOR USD     
3 Month + 2.24%), 4.125%, 3/8/21 (United Kingdom)  47,839,000  48,894,128 
HSBC Holdings PLC sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.66%), 3.57%, 5/25/21     
(United Kingdom)  34,629,000  35,285,770 
HSBC Holdings PLC sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.60%), 2.504%, 5/18/21     
(United Kingdom)  28,000,000  28,036,486 
Huntington Bancshares, Inc. sr. unsec. sub. notes     
7.00%, 12/15/20  14,387,000  15,020,815 
Huntington National Bank (The) sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.51%), 2.401%, 3/10/20  41,500,000  41,527,793 
Huntington National Bank (The) sr. unsec. notes     
2.375%, 3/10/20  68,200,000  68,205,456 
Huntington National Bank (The) sr. unsec. notes     
Ser. BKNT, 2.875%, 8/20/20  19,000,000  19,102,360 
Huntington National Bank (The) sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.55%), 2.441%, 2/5/21  3,870,000  3,884,129 
ING Bank NV 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.97%), 2.874%, 8/17/20 (Netherlands)  11,350,000  11,409,744 
ING Bank NV 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.88%), 2.79%, 8/15/21 (Netherlands)  31,679,000  32,005,136 
ING Bank NV 144A sr. unsec. notes 2.70%,     
8/17/20 (Netherlands)  1,500,000  1,507,409 
ING Groep NV sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.15%), 3.111%, 3/29/22 (Netherlands)  30,900,000  31,352,064 
JPMorgan Chase & Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.61%), 2.509%, 6/18/22  25,797,000  25,939,715 
JPMorgan Chase & Co. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.48%), 3.387%, 3/1/21  25,327,000  25,668,524 

 

26 Ultra Short Duration Income Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Banking cont.     
JPMorgan Chase & Co. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.21%), 2.98%, 10/29/20  $16,152,000  $16,267,822 
JPMorgan Chase & Co. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.00%), 2.831%, 1/15/23  8,400,000  8,512,506 
JPMorgan Chase & Co. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.90%), 2.694%, 4/25/23  6,457,000  6,528,333 
JPMorgan Chase & Co. sr. unsec. unsub. FRN     
BBA LIBOR USD 3 Month + 0.68%), 2.587%, 6/1/21  26,160,000  26,212,232 
JPMorgan Chase & Co. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.55%), 2.435%, 3/9/21  27,842,000  27,853,353 
JPMorgan Chase & Co. sr. unsec. unsub. notes     
4.25%, 10/15/20  28,300,000  28,798,163 
JPMorgan Chase Bank NA sr. unsec. FRN Ser. BKNT,     
(BBA LIBOR USD 3 Month + 0.34%), 2.134%, 4/26/21  14,750,000  14,760,288 
JPMorgan Chase Bank NA sr. unsec. unsub. FRN     
Ser. BKNT, (BBA LIBOR USD 3 Month + 0.29%),     
2.199%, 2/1/21  6,000,000  6,000,000 
KeyBank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.81%), 2.709%, 11/22/21  9,905,000  10,015,617 
KeyBank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.66%), 2.423%, 2/1/22  40,000,000  40,306,088 
KeyCorp sr. unsec. unsub. notes Ser. MTN,     
2.90%, 9/15/20  46,466,000  46,776,312 
Lloyds Bank PLC company guaranty sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.49%), 2.384%, 5/7/21     
(United Kingdom)  65,400,000  65,662,254 
Lloyds Banking Group PLC sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.80%), 2.728%, 6/21/21     
(United Kingdom)  36,565,000  36,841,569 
Manufacturers & Traders Trust Co. sr. unsec. FRN     
Ser. BKNT, (BBA LIBOR USD 3 Month + 0.27%),     
2.064%, 1/25/21  63,120,000  63,221,173 
Manufacturers & Traders Trust Co. unsec. sub.     
FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.64%),     
2.547%, 12/1/21  13,270,000  13,271,440 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.74%), 2.647%,     
3/2/23 (Japan)  6,300,000  6,336,795 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.65%), 2.444%,     
7/26/21 (Japan)  45,366,000  45,623,407 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 1.88%), 3.787%,     
3/1/21 (Japan)  8,429,000  8,576,263 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 1.06%), 2.947%,     
9/13/21 (Japan)  63,803,000  64,621,602 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.92%), 2.819%,     
2/22/22 (Japan)  23,818,000  24,104,148 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.79%), 2.584%,     
7/25/22 (Japan)  4,952,000  4,986,420 

 

Ultra Short Duration Income Fund 27 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Banking cont.     
Mitsubishi UFJ Trust & Banking Corp. 144A sr. unsec.     
unsub. notes 2.65%, 10/19/20 (Japan)  $4,000,000  $4,026,524 
Mizuho Financial Group, Inc. sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.94%), 2.854%, 2/28/22 (Japan)  34,526,000  34,956,360 
Mizuho Financial Group, Inc. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.14%), 3.027%,     
9/13/21 (Japan)  49,305,000  50,005,072 
Mizuho Financial Group, Inc. 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 1.48%), 3.318%,     
4/12/21 (Japan)  13,200,000  13,390,375 
National Australia Bank, Ltd. 144A sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.58%), 2.488%,     
9/20/21 (Australia)  28,200,000  28,380,480 
National Australia Bank, Ltd. 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.71%), 2.461%,     
11/4/21 (Australia)  27,500,000  27,757,808 
National Australia Bank, Ltd. 144A sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.51%), 2.409%,     
5/22/20 (Australia)  25,700,000  25,741,409 
National Australia Bank, Ltd. 144A sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.35%), 2.198%,     
1/12/21 (Australia)  27,900,000  27,970,782 
National Australia Bank, Ltd. 144A sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.41%), 2.251%,     
12/13/22 (Australia)  36,650,000  36,741,625 
National Bank of Canada company guaranty sr. unsec.     
FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.56%),     
2.447%, 6/12/20 (Canada)  21,023,000  21,056,222 
National Bank of Canada sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.33%), 2.093%, 11/2/20 (Canada)  18,700,000  18,723,805 
National Bank of Canada 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.40%), 2.328%,     
3/21/21 (Canada)  6,250,000  6,253,453 
Nordea Bank ABP 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.99%), 2.909%, 5/27/21 (Finland)  8,353,000  8,436,839 
PNC Bank NA sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.43%), 2.315%, 12/9/22  48,700,000  48,859,156 
PNC Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.36%), 2.263%, 5/19/20  9,652,000  9,661,180 
PNC Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.35%), 2.237%, 3/12/21  46,300,000  46,324,539 
PNC Bank NA sr. unsec. notes Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.31%), 2.201%, 6/10/21  28,000,000  28,030,119 
PNC Bank NA sr. unsec. unsub. FRN Ser. BKNT,     
(BBA LIBOR USD 3 Month + 0.45%), 2.252%, 7/22/22  50,520,000  50,798,998 
Regions Bank sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.38%), 2.289%, 4/1/21  35,385,000  35,460,047 
Regions Bank sr. unsec. FRN Ser. BKNT, 3.374%, 8/13/21  20,343,000  20,507,690 
Regions Bank sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.50%), 2.405%, 8/13/21  67,026,000  67,128,513 
Royal Bank of Canada sr. unsec. FRN Ser. GMTN,     
(BBA LIBOR USD 3 Month + 0.38%), 2.287%,     
3/2/20 (Canada)  20,000,000  20,007,920 

 

28 Ultra Short Duration Income Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Banking cont.     
Royal Bank of Canada sr. unsec. FRN Ser. GMTN,     
(BBA LIBOR USD 3 Month + 0.36%), 2.196%,     
1/17/23 (Canada)  $32,500,000  $32,554,178 
Royal Bank of Canada sr. unsec. FRN Ser. GMTN,     
(BBA LIBOR USD 3 Month + 0.30%), 2.102%,     
7/22/20 (Canada)  17,300,000  17,321,500 
Royal Bank of Canada sr. unsec. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.40%), 2.194%,     
1/25/21 (Canada)  28,000,000  28,108,894 
Royal Bank of Canada sr. unsec. unsub. FRN     
Ser. GMTN, (BBA LIBOR USD 3 Month + 0.47%), 2.245%,     
4/29/22 (Canada)  18,200,000  18,288,224 
Royal Bank of Canada sr. unsec. unsub. FRN     
Ser. GMTN, (BBA LIBOR USD 3 Month + 0.39%), 2.16%,     
4/30/21 (Canada)  35,750,000  35,848,634 
Royal Bank of Scotland Group PLC sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 1.47%), 3.38%, 5/15/23     
(United Kingdom)  5,000,000  5,082,966 
Santander Holdings USA, Inc. sr. unsec. unsub. notes     
2.65%, 4/17/20  50,100,000  50,152,618 
Santander UK Group Holdings PLC sr. unsec. unsub.     
notes 2.875%, 10/16/20 (United Kingdom)  29,800,000  29,979,873 
Santander UK PLC sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 0.62%), 2.527%, 6/1/21 (United Kingdom)  64,370,000  64,706,726 
Santander UK PLC sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.30%), 2.063%, 11/3/20     
(United Kingdom)  18,328,000  18,356,099 
Skandinaviska Enskilda Banken AB 144A sr. unsec. FRN     
Ser. BKNT, (BBA LIBOR USD 3 Month + 0.43%), 2.334%,     
5/17/21 (Sweden)  52,250,000  52,395,569 
Standard Chartered PLC 144A sr. unsec. unsub. notes     
2.25%, 4/17/20 (United Kingdom)  22,350,000  22,364,349 
State Street Corp. sr. unsec. unsub. notes     
2.55%, 8/18/20  39,773,000  39,954,665 
Sumitomo Mitsui Financial Group, Inc. sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 1.68%), 3.565%,     
3/9/21 (Japan)  16,660,000  16,924,882 
Sumitomo Mitsui Financial Group, Inc. sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 1.14%), 2.959%,     
10/19/21 (Japan)  52,212,000  52,948,611 
Sumitomo Mitsui Financial Group, Inc. sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 0.97%), 2.808%,     
1/11/22 (Japan)  25,439,000  25,691,736 
Sumitomo Mitsui Financial Group, Inc. sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 0.78%), 2.618%,     
7/12/22 (Japan)  10,614,000  10,687,957 
SunTrust Bank sr. unsec. FRN Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.59%), 2.353%, 8/2/22  2,527,000  2,538,645 
SunTrust Bank sr. unsec. notes Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.50%), 2.294%, 10/26/21  39,050,000  39,085,067 
SunTrust Bank sr. unsec. unsub. FRN Ser. BKNT,     
(BBA LIBOR USD 3 Month + 0.59%), 2.494%, 5/17/22  36,600,000  36,833,258 

 

Ultra Short Duration Income Fund 29 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Banking cont.     
Svenska Handelsbanken AB company guaranty sr.     
unsec. FRN (BBA LIBOR USD 3 Month + 0.47%), 2.38%,     
5/24/21 (Sweden)  $53,242,000  $53,480,125 
Svenska Handelsbanken AB company guaranty sr.     
unsec. FRN (BBA LIBOR USD 3 Month + 0.36%), 2.245%,     
9/8/20 (Sweden)  15,000,000  15,031,537 
Svenska Handelsbanken AB company guaranty sr.     
unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month     
+ 1.15%), 3.111%, 3/30/21 (Sweden)  23,400,000  23,693,846 
Swedbank AB 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.70%), 2.594%, 3/14/22 (Sweden)  9,300,000  9,346,942 
Toronto-Dominion Bank (The) sr. unsec. FRN     
Ser. GMTN, (BBA LIBOR USD 3 Month + 0.27%), 2.17%,     
3/17/21 (Canada)  5,000,000  5,011,173 
Toronto-Dominion Bank (The) sr. unsec. FRN     
Ser. GMTN, (BBA LIBOR USD 3 Month + 0.24%), 2.034%,     
1/25/21 (Canada)  28,500,000  28,542,242 
Toronto-Dominion Bank (The) sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.90%), 2.748%,     
7/13/21 (Canada)  1,001,000  1,012,183 
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN     
Ser. MTN, (BBA LIBOR USD 3 Month + 1.00%), 2.874%,     
4/7/21 (Canada)  26,000,000  26,273,108 
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN     
Ser. MTN, 2.75%, 7/22/22 (Canada)  42,000,000  42,031,878 
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN     
Ser. MTN, (BBA LIBOR USD 3 Month + 0.43%), 2.318%,     
6/11/21 (Canada)  38,200,000  38,385,406 
Toronto-Dominion Bank (The) sr. unsec. unsub.     
FRN Ser. MTN, (1 Month US LIBOR + 0.48%), 2.059%,     
1/27/23 (Canada)  38,400,000  38,433,864 
Truist Financial Corp. sr. unsec. unsub. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.57%), 2.464%, 6/15/20  14,855,000  14,881,872 
Truist Financial Corp. sr. unsec. unsub. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.22%), 1.983%, 2/1/21  37,845,000  37,871,686 
U.S. Bank NA sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.40%), 2.285%, 12/9/22  47,500,000  47,649,623 
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.44%), 2.35%, 5/23/22  45,000,000  45,166,541 
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.38%), 2.284%, 11/16/21  10,200,000  10,207,793 
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.29%), 2.185%, 5/21/21  57,880,000  57,899,158 
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.32%), 2.114%, 4/26/21  5,000,000  5,017,383 
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.14%), 1.946%, 10/23/20  2,420,000  2,422,612 
UBS AG 144A sr. unsec. notes 2.45%, 12/1/20     
(United Kingdom)  1,358,000  1,364,342 
UBS AG/London 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.58%), 2.465%, 6/8/20 (United Kingdom)  33,323,000  33,376,550 
UBS AG/London 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.48%), 2.387%, 12/1/20 (United Kingdom)  31,918,000  32,003,186 

 

30 Ultra Short Duration Income Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Banking cont.     
US Bancorp sr. unsec. unsub. FRN Ser. MTN, (BBA LIBOR     
USD 3 Month + 0.64%), 2.441%, 1/24/22  $13,507,000  $13,618,171 
Wells Fargo & Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 1.11%), 2.911%, 1/24/23  7,400,000  7,513,660 
Wells Fargo & Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.93%), 2.831%, 2/11/22  10,175,000  10,251,479 
Wells Fargo & Co. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.34%), 3.24%, 3/4/21  33,686,000  34,132,314 
Wells Fargo & Co. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.03%), 2.819%, 7/26/21  40,277,000  40,757,961 
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.88%), 2.682%, 7/22/20  6,012,000  6,032,549 
Wells Fargo & Co. sr. unsec. unsub. notes Ser. MTN,     
(BBA LIBOR USD 3 Month + 1.01%), 2.895%, 12/7/20  5,772,000  5,818,067 
Wells Fargo Bank NA sr. unsec. FRN Ser. BKNT,     
(BBA LIBOR USD 3 Month + 0.62%), 2.539%, 5/27/22  18,400,000  18,493,418 
Wells Fargo Bank NA sr. unsec. FRN Ser. BKNT,     
(BBA LIBOR USD 3 Month + 0.51%), 2.312%, 10/22/21  35,700,000  35,877,341 
Wells Fargo Bank NA sr. unsec. FRN Ser. BKNT,     
(BBA LIBOR USD 3 Month + 0.50%), 2.306%, 7/23/21  23,700,000  23,743,987 
Westpac Banking Corp. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.85%), 2.698%,     
1/11/22 (Australia)  21,400,000  21,654,461 
Westpac Banking Corp. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.43%), 2.317%,     
3/6/20 (Australia)  14,900,000  14,907,986 
Westpac Banking Corp. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.39%), 2.233%,     
1/13/23 (Australia)  17,300,000  17,327,403 
Westpac Banking Corp. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.28%), 2.19%,     
5/15/20 (Australia)  14,300,000  14,312,038 
Westpac Banking Corp. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.34%), 2.135%,     
1/25/21 (Australia)  23,450,000  23,502,300 
    5,181,273,606 
Basic materials (0.4%)     
DuPont de Nemours, Inc. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.71%), 2.62%, 11/15/20  29,920,000  30,069,687 
International Flavors & Fragrances, Inc. sr. unsec. notes     
3.40%, 9/25/20  19,070,000  19,234,400 
Nutrien, Ltd. sr. unsec. notes 4.875%, 3/30/20 (Canada)  18,500,000  18,584,025 
Sherwin-Williams Co. (The) sr. unsec. unsub. notes     
2.25%, 5/15/20  3,525,000  3,528,935 
    71,417,047 
Capital goods (0.8%)     
CNH Industrial Capital, LLC company guaranty sr.     
unsec. notes 4.375%, 11/6/20  51,485,000  52,383,516 
Honeywell International, Inc. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.37%), 2.274%, 8/8/22  28,000,000  28,144,421 

 

Ultra Short Duration Income Fund 31 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Capital goods cont.     
United Technologies Corp. sr. unsec. unsub. notes     
4.50%, 4/15/20  $1,250,000  $1,256,832 
United Technologies Corp. sr. unsec. unsub. notes     
1.90%, 5/4/20  66,000,000  66,017,551 
    147,802,320 
Communication services (1.8%)     
American Tower Corp. sr. unsec. notes 2.80%, 6/1/20 R   33,369,000  33,435,887 
AT&T, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.95%), 2.781%, 7/15/21  74,694,000  75,481,353 
AT&T, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.75%), 2.657%, 6/1/21  48,426,000  48,765,460 
BellSouth, LLC 144A company guaranty sr. unsec. notes     
4.266%, 4/26/20  10,750,000  10,804,073 
Charter Communications Operating, LLC/Charter     
Communications Operating Capital Corp. company     
guaranty sr. sub. notes 3.579%, 7/23/20  15,000,000  15,088,512 
Comcast Corp. company guaranty sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.33%), 2.239%, 10/1/20  42,517,000  42,600,620 
Crown Castle International Corp. sr. unsec. unsub.     
notes 3.40%, 2/15/21 R   9,300,000  9,431,262 
NBCUniversal Enterprise, Inc. 144A company guaranty     
sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.40%),     
2.309%, 4/1/21  83,500,000  83,843,735 
Verizon Communications, Inc. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.00%), 2.894%, 3/16/22  10,300,000  10,467,913 
Verizon Communications, Inc. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.55%), 2.449%, 5/22/20  6,800,000  6,809,641 
    336,728,456 
Conglomerates (0.3%)     
Siemens Financieringsmaatschappij NV 144A company     
guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.61%), 2.504%, 3/16/22 (Netherlands)  37,850,000  38,087,539 
Siemens Financieringsmaatschappij NV 144A company     
guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.34%), 2.234%, 3/16/20 (Netherlands)  25,150,000  25,163,833 
    63,251,372 
Consumer cyclicals (2.7%)     
Amazon.com, Inc. sr. unsec. notes 1.90%, 8/21/20  19,900,000  19,927,397 
BMW US Capital, LLC 144A company guaranty sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.50%), 2.401%, 8/13/21  20,406,000  20,491,429 
BMW US Capital, LLC 144A company guaranty sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.41%), 2.258%, 4/12/21  19,000,000  19,042,134 
BMW US Capital, LLC 144A company guaranty sr.     
unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.38%),     
2.28%, 4/6/20  9,800,000  9,808,252 
Discovery Communications, LLC company guaranty sr.     
unsec. unsub. notes 2.80%, 6/15/20  55,350,000  55,497,993 
General Motors Financial Co., Inc. company guaranty     
sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.93%),     
2.778%, 4/13/20  40,038,000  40,101,660 

 

32 Ultra Short Duration Income Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Consumer cyclicals cont.     
General Motors Financial Co., Inc. company guaranty sr.     
unsec. notes 2.65%, 4/13/20  $40,700,000  $40,754,538 
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. notes     
3.50%, 10/1/20  19,578,000  19,784,515 
Marriott International, Inc. sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.65%), 2.535%, 3/8/21  18,205,000  18,284,183 
Marriott International, Inc. sr. unsec. FRN Ser. Y,     
(BBA LIBOR USD 3 Month + 0.60%), 2.507%, 12/1/20  5,400,000  5,414,506 
Marriott International, Inc. sr. unsec. unsub. notes     
3.375%, 10/15/20  4,733,000  4,765,983 
Nissan Motor Acceptance Corp. 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.39%), 2.351%, 9/28/20  11,900,000  11,911,150 
Nissan Motor Acceptance Corp. 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.39%), 2.238%, 7/13/20  29,800,000  29,813,291 
Toyota Motor Credit Corp. sr. unsec. FRN     
Ser. MTN, (Secured Overnight Funding Rate + 0.40%),     
1.98%, 10/23/20  46,500,000  46,536,447 
Toyota Motor Credit Corp. sr. unsec. unsub. FRN     
Ser. MTN, (BBA LIBOR USD 3 Month + 0.29%),     
2.164%, 10/7/21  32,100,000  32,179,410 
Toyota Motor Credit Corp. sr. unsec. unsub. FRN     
Ser. MTN, (BBA LIBOR USD 3 Month + 0.20%),     
2.087%, 3/12/21  75,000,000  74,999,777 
Vulcan Materials Co. sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 0.65%), 2.557%, 3/1/21  35,938,000  36,025,249 
Walt Disney Co. (The) company guaranty sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.25%), 2.157%, 9/1/21  21,500,000  21,546,053 
    506,883,967 
Consumer finance (2.2%)     
American Express Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.60%), 2.491%, 11/5/21  28,700,000  28,891,429 
American Express Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.33%), 2.10%, 10/30/20  37,100,000  37,153,624 
American Express Co. sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 0.62%), 2.519%, 5/20/22  36,700,000  36,990,144 
American Express Co. sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 0.53%), 2.429%, 5/17/21  9,500,000  9,541,197 
American Express Co. sr. unsec. unsub. notes     
2.20%, 10/30/20  28,319,000  28,387,723 
American Express Credit Corp. sr. unsec. unsub.     
FRN Ser. F, (BBA LIBOR USD 3 Month + 1.05%),     
2.944%, 9/14/20  20,900,000  21,011,325 
American Express Credit Corp. sr. unsec. unsub.     
FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.43%),     
2.336%, 3/3/20  7,800,000  7,800,000 
American Honda Finance Corp. sr. unsec. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.37%), 2.047%, 5/10/23  92,350,000  92,322,661 
American Honda Finance Corp. sr. unsec. unsub.     
FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.34%),     
2.249%, 2/14/20  14,700,000  14,702,502 
Aviation Capital Group, LLC 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.95%), 2.857%, 6/1/21  36,800,000  37,020,802 

 

Ultra Short Duration Income Fund 33 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Consumer finance cont.     
Aviation Capital Group, LLC 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.67%), 2.44%, 7/30/21  $16,960,000  $16,990,432 
Capital One Financial Corp. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.72%), 2.49%, 1/30/23  13,950,000  14,029,872 
Capital One Financial Corp. sr. unsec. unsub. notes     
2.50%, 5/12/20  54,340,000  54,409,816 
Capital One Financial Corp. sr. unsec. unsub. notes     
2.40%, 10/30/20  4,827,000  4,846,422 
    404,097,949 
Consumer staples (1.1%)     
Anheuser-Busch InBev Finance, Inc. company guaranty     
sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.26%),     
3.023%, 2/1/21  31,025,000  31,358,794 
Coca-Cola Co. (The) sr. unsec. unsub. notes     
1.875%, 10/27/20  46,000,000  46,078,188 
Conagra Brands, Inc. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.50%), 2.378%, 10/9/20  14,020,000  14,046,737 
Diageo Capital PLC company guaranty sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.24%), 2.144%, 5/18/20     
(United Kingdom)  29,100,000  29,122,208 
McDonald’s Corp. sr. unsec. FRN Ser. MTN, (BBA LIBOR     
USD 3 Month + 0.43%), 2.225%, 10/28/21  37,430,000  37,604,284 
McDonald’s Corp. sr. unsec. unsub. notes Ser. MTN,     
2.75%, 12/9/20  14,500,000  14,610,702 
Tyson Foods, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.45%), 2.345%, 8/21/20  24,000,000  24,014,712 
    196,835,625 
Energy (1.4%)     
BP Capital Markets America, Inc. company guaranty sr.     
unsec. notes 4.50%, 10/1/20  43,500,000  44,273,968 
BP Capital Markets PLC company guaranty sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 0.25%), 2.16%,     
11/24/20 (United Kingdom)  41,000,000  41,082,669 
Chevron Corp. sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.21%), 2.116%, 3/3/20  24,950,000  24,957,688 
Columbia Pipeline Group, Inc. company guaranty sr.     
unsec. unsub. notes 3.30%, 6/1/20  1,900,000  1,906,650 
Occidental Petroleum Corp. sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.95%), 2.854%, 2/8/21  23,280,000  23,449,013 
Phillips 66 company guaranty sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.60%), 2.517%, 2/26/21  8,500,000  8,501,152 
Phillips 66 144A company guaranty sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.75%), 2.581%, 4/15/20  21,349,000  21,359,333 
Sabine Pass Liquefaction, LLC sr. notes 5.625%, 2/1/21  8,900,000  9,137,132 
Spectra Energy Partners LP company guaranty sr.     
unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.70%),     
2.592%, 6/5/20  12,930,000  12,956,099 
Total Capital International SA company guaranty sr.     
unsec. unsub. notes 2.218%, 7/12/21 (France)  32,515,000  32,818,012 
Williams Partners LP sr. unsec. notes 5.25%, 3/15/20  32,132,000  32,240,089 
    252,681,805 

 

34 Ultra Short Duration Income Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Financial (1.5%)     
Ally Financial, Inc. company guaranty sr. unsec. unsub.     
notes 8.00%, 3/15/20  $14,936,000  $15,029,962 
Bank of Nova Scotia (The) sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.42%), 2.214%, 1/25/21 (Canada)  49,100,000  49,246,043 
Bank of Nova Scotia (The) sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.64%), 2.525%,     
3/7/22 (Canada)  22,345,000  22,549,824 
Bank of Nova Scotia (The) sr. unsec. unsub. FRN     
Ser. BKNT, (BBA LIBOR USD 3 Month + 0.39%), 2.228%,     
7/14/20 (Canada)  25,518,000  25,558,444 
Macquarie Bank, Ltd. 144A sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.45%), 2.357%, 11/24/21 (Australia)  33,250,000  33,384,996 
Macquarie Bank, Ltd. 144A sr. unsec. notes (BBA LIBOR     
USD 3 Month + 1.12%), 2.915%, 7/29/20 (Australia)  9,400,000  9,446,083 
UBS Group Funding (Switzerland) AG 144A company     
guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 1.44%), 3.375%, 9/24/20 (Switzerland)  28,900,000  29,139,843 
UBS Group Funding (Switzerland) AG 144A company     
guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 1.53%), 3.293%, 2/1/22 (Switzerland)  20,587,000  21,100,554 
UBS Group Funding (Switzerland) AG 144A company     
guaranty sr. unsec. notes (BBA LIBOR USD 3 Month     
+ 1.78%), 3.618%, 4/14/21 (Switzerland)  37,754,000  38,475,444 
UBS Group Funding Jersey, Ltd. 144A company     
guaranty sr. unsec. notes 3.00%, 4/15/21 (Switzerland)  24,323,000  24,697,276 
USAA Capital Corp. 144A sr. unsec. notes 2.00%, 6/1/21  8,300,000  8,336,293 
    276,964,762 
Health care (3.5%)     
AbbVie, Inc. sr. unsec. notes 2.50%, 5/14/20  24,300,000  24,329,758 
AbbVie, Inc. 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.46%), 2.355%, 11/19/21  37,000,000  37,120,691 
AbbVie, Inc. 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.35%), 2.245%, 5/21/21  56,000,000  56,129,700 
Allergan Funding SCS company guaranty sr. unsec.     
unsub. notes 3.00%, 3/12/20 (Luxembourg)  38,592,000  38,603,212 
Becton Dickinson and Co. sr. unsec. notes     
2.404%, 6/5/20  23,200,000  23,232,479 
Biogen, Inc. sr. unsec. sub. notes 2.90%, 9/15/20  84,068,000  84,637,805 
Bristol-Myers Squibb Co. 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.38%), 2.284%, 5/16/22  9,300,000  9,336,977 
Bristol-Myers Squibb Co. 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.20%), 2.104%, 11/16/20  53,250,000  53,311,899 
Bristol-Myers Squibb Co. 144A sr. unsec. notes     
2.875%, 8/15/20  4,200,000  4,224,758 
Cigna Corp. company guaranty sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.35%), 2.25%, 3/17/20  45,615,000  45,635,585 
Cigna Corp. company guaranty sr. unsec. unsub. notes     
3.20%, 9/17/20  28,100,000  28,337,643 
Cigna Corp. 144A company guaranty sr. unsec. unsub.     
notes 4.125%, 9/15/20  55,000,000  55,786,244 
CVS Health Corp. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.72%), 2.605%, 3/9/21  10,800,000  10,864,676 

 

Ultra Short Duration Income Fund 35 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Health care cont.     
CVS Health Corp. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.63%), 2.515%, 3/9/20  $11,461,000  $11,467,086 
CVS Health Corp. sr. unsec. unsub. notes 2.80%, 7/20/20  52,500,000  52,681,703 
GlaxoSmithKline Capital PLC company guaranty sr.     
unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.35%),     
2.259%, 5/14/21 (United Kingdom)  23,750,000  23,837,983 
UnitedHealth Group, Inc. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.26%), 2.154%, 6/15/21  27,450,000  27,469,242 
Zoetis, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.44%), 2.339%, 8/20/21  60,480,000  60,649,004 
Zoetis, Inc. sr. unsec. unsub. notes 3.45%, 11/13/20  2,800,000  2,830,218 
    650,486,663 
Insurance (3.9%)     
AIG Global Funding 144A sr. FRN (BBA LIBOR USD     
3 Month + 0.65%), 2.452%, 1/22/21  47,000,000  47,206,513 
AIG Global Funding 144A sr. FRN (BBA LIBOR USD     
3 Month + 0.46%), 2.407%, 6/25/21  20,134,000  20,207,282 
AIG Global Funding 144A sr. FRN (BBA LIBOR USD     
3 Month + 0.48%), 2.389%, 7/2/20  28,938,000  28,993,367 
AIG Global Funding 144A sr. notes 2.15%, 7/2/20  8,236,000  8,250,474 
American International Group, Inc. sr. unsec. unsub.     
notes 3.375%, 8/15/20  8,879,000  8,951,392 
Hartford Financial Services Group, Inc. (The) sr. unsec.     
unsub. notes 5.50%, 3/30/20  47,300,000  47,566,772 
Jackson National Life Global Funding 144A FRN     
(1 Month US LIBOR + 0.60%), 2.174%, 1/6/23  46,750,000  46,883,883 
Jackson National Life Global Funding 144A FRN     
(BBA LIBOR USD 3 Month + 0.30%), 2.131%, 10/15/20  23,300,000  23,339,848 
Jackson National Life Global Funding 144A sr. FRN     
(BBA LIBOR USD 3 Month + 0.73%), 2.677%, 6/27/22  33,784,000  34,180,091 
Jackson National Life Global Funding 144A sr. FRN     
(BBA LIBOR USD 3 Month + 0.48%), 2.368%, 6/11/21  47,303,000  47,548,408 
Jackson National Life Global Funding 144A sr. FRN     
(BBA LIBOR USD 3 Month + 0.30%), 2.094%, 4/27/20  47,500,000  47,536,085 
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes     
3.50%, 12/29/20  4,300,000  4,368,325 
Marsh & McLennan Cos., Inc. sr. unsec. unsub. notes     
2.35%, 3/6/20  22,000,000  22,005,940 
MassMutual Global Funding II 144A notes 2.25%, 7/1/22  18,600,000  18,890,740 
MET Tower Global Funding 144A FRN (1 Month US LIBOR     
+ 0.55%), 2.127%, 1/17/23  13,300,000  13,319,230 
Metropolitan Life Global Funding I 144A FRN (Secured     
Overnight Funding Rate + 0.57%), 2.15%, 9/7/20  37,300,000  37,380,549 
Metropolitan Life Global Funding I 144A FRN (1 Month     
US LIBOR + 0.57%), 2.144%, 1/13/23  13,480,000  13,527,470 
Metropolitan Life Global Funding I 144A FRN (Secured     
Overnight Funding Rate + 0.50%), 2.08%, 5/28/21  19,550,000  19,606,332 
Metropolitan Life Global Funding I 144A notes     
2.50%, 12/3/20  31,500,000  31,734,147 
Metropolitan Life Global Funding I 144A notes     
2.40%, 6/17/22  18,500,000  18,803,382 

 

36 Ultra Short Duration Income Fund 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Insurance cont.     
Metropolitan Life Global Funding I 144A notes     
2.00%, 4/14/20  $13,365,000  $13,373,485 
Metropolitan Life Global Funding I 144A sr. FRN     
(BBA LIBOR USD 3 Month + 0.23%), 2.102%, 1/8/21  11,500,000  11,521,433 
New York Life Global Funding 144A FRN (BBA LIBOR USD     
3 Month + 0.52%), 2.411%, 6/10/22  47,550,000  47,919,800 
New York Life Global Funding 144A FRN (BBA LIBOR USD     
3 Month + 0.32%), 2.228%, 8/6/21  12,000,000  12,030,308 
New York Life Global Funding 144A sr. FRN (BBA LIBOR     
USD 3 Month + 0.28%), 2.099%, 1/21/22  42,000,000  42,135,991 
Principal Life Global Funding II 144A FRN (BBA LIBOR     
USD 3 Month + 0.30%), 2.247%, 6/26/20  37,200,000  37,231,754 
Protective Life Global Funding 144A FRN (BBA LIBOR     
USD 3 Month + 0.37%), 2.218%, 7/13/20  23,000,000  23,033,777 
    727,546,778 
Investment banking/Brokerage (2.8%)     
Charles Schwab Corp. (The) sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.32%), 2.215%, 5/21/21  28,500,000  28,558,144 
Discover Bank sr. unsec. unsub. notes Ser. BKNT,     
3.10%, 6/4/20  66,677,000  66,892,947 
Discover Bank unsec. sub. notes 7.00%, 4/15/20  47,785,000  48,256,734 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.20%), 3.094%, 9/15/20  16,803,000  16,900,936 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.16%), 2.966%, 4/23/20  14,845,000  14,867,379 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub.     
notes 2.60%, 12/27/20  15,285,000  15,334,773 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub.     
notes 2.60%, 4/23/20  2,540,000  2,542,927 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub.     
notes Ser. GMTN, 5.375%, 3/15/20  58,892,000  59,134,635 
Morgan Stanley sr. unsec. FRN Ser. GMTN, (BBA LIBOR     
USD 3 Month + 0.55%), 2.451%, 2/10/21  30,249,000  30,252,503 
Morgan Stanley sr. unsec. FRN Ser. GMTN, (1 Month     
US LIBOR + 0.70%), 2.279%, 1/20/23  28,900,000  28,938,721 
Morgan Stanley sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.18%), 2.999%, 1/20/22  56,643,000  57,201,500 
Morgan Stanley sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.98%), 2.874%, 6/16/20  11,042,000  11,080,095 
Morgan Stanley sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.93%), 2.732%, 7/22/22  17,591,000  17,771,708 
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN,     
(BBA LIBOR USD 3 Month + 1.40%), 3.219%, 4/21/21  50,962,000  51,672,003 
Morgan Stanley sr. unsec. unsub. notes 2.80%, 6/16/20  12,107,000  12,151,159 
TD Ameritrade Holding Corp. sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.43%), 2.193%, 11/1/21  70,400,000  70,632,755 
    532,188,919 
Real estate (—%)     
AvalonBay Communities, Inc. sr. unsec. unsub. notes     
Ser. GMTN, 3.95%, 1/15/21 R   4,300,000  4,364,530 
    4,364,530 

 

Ultra Short Duration Income Fund 37 

 


  Principal   
CORPORATE BONDS AND NOTES (53.2%)* cont.  amount  Value 
Technology (0.9%)     
Apple, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.20%), 2.094%, 2/7/20  $25,000,000  $25,001,009 
Applied Materials, Inc. sr. unsec. unsub. notes     
2.625%, 10/1/20  12,018,000  12,076,976 
Fiserv, Inc. sr. unsec. notes 4.75%, 6/15/21  6,367,000  6,608,981 
Fiserv, Inc. sr. unsec. notes 2.70%, 6/1/20  33,356,000  33,422,666 
IBM Corp. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.40%), 2.305%, 5/13/21  46,700,000  46,937,592 
IBM Credit, LLC sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.26%), 2.079%, 1/20/21  44,902,000  44,995,741 
    169,042,965 
Utilities and power (2.2%)     
Consolidated Edison Co. of New York, Inc. sr. unsec.     
unsub. FRN Ser. C, (BBA LIBOR USD 3 Month + 0.40%),     
2.347%, 6/25/21  47,100,000  47,339,835 
Dominion Energy, Inc. 144A sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.40%), 2.307%, 12/1/20  29,500,000  29,537,495 
Duke Energy Corp. sr. unsec. unsub. notes (BBA LIBOR     
USD 3 Month + 0.65%), 2.538%, 3/11/22  23,600,000  23,756,698 
Duke Energy Corp. 144A sr. unsec. notes (BBA LIBOR     
USD 3 Month + 0.50%), 2.409%, 5/14/21  53,295,000  53,542,506 
Duke Energy Corp. 144A sr. unsec. notes 2.10%, 6/15/20  28,250,000  28,268,876 
Duke Energy Florida, LLC sr. unsec. FRN Ser. A,     
BBA LIBOR USD 3 Month + 0.25%), 2.167%, 11/26/21  14,825,000  14,855,536 
Exelon Corp. sr. unsec. unsub. notes 2.85%, 6/15/20  3,080,000  3,088,395 
Florida Power & Light Co. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.40%), 2.308%, 5/6/22  19,100,000  19,101,259 
Georgia Power Co. sr. unsec. unsub. notes     
Ser. C, 2.00%, 9/8/20  26,000,000  26,050,663 
IPALCO Enterprises, Inc. sr. unsub. notes 3.45%, 7/15/20  3,652,000  3,666,807 
Kinder Morgan Energy Partners LP company guaranty     
sr. unsec. notes 6.85%, 2/15/20  2,800,000  2,803,681 
Kinder Morgan Energy Partners LP company guaranty     
sr. unsec. notes 6.50%, 4/1/20  45,620,000  45,929,302 
Kinder Morgan Energy Partners LP company guaranty     
sr. unsec. unsub. notes 5.80%, 3/1/21  510,000  530,691 
Kinder Morgan Energy Partners LP company guaranty     
sr. unsec. unsub. notes 5.30%, 9/15/20  6,661,000  6,799,299 
NextEra Energy Capital Holdings, Inc. company     
guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.45%), 2.411%, 9/28/20  22,600,000  22,646,922 
NextEra Energy Capital Holdings, Inc. company     
guaranty sr. unsec. unsub. notes Ser. H, 3.342%, 9/1/20  38,128,000  38,443,772 
NV Energy, Inc. sr. unsec. unsub. notes 6.25%, 11/15/20  20,522,000  21,244,831 
Public Service Enterprise Group, Inc. sr. unsec. unsub.     
notes 2.00%, 11/15/21  22,348,000  22,386,600 
Total Capital SA company guaranty sr. unsec. unsub.     
notes 4.45%, 6/24/20 (France)  4,000,000  4,039,405 
    414,032,573 
Total corporate bonds and notes (cost $9,908,528,322)    $9,935,599,337 

 

38 Ultra Short Duration Income Fund 

 


    Maturity  Principal   
COMMERCIAL PAPER (26.7%)*  Yield (%)  date  amount  Value 
Alexandria Real Estate Equities, Inc.  1.772  2/25/20  $62,500,000  $62,419,314 
Alexandria Real Estate Equities, Inc.  1.852  2/4/20  46,500,000  46,490,654 
American Electric Power Co., Inc.  1.763  3/2/20  18,000,000  17,972,394 
American Electric Power Co., Inc.  1.833  2/19/20  23,050,000  23,028,614 
American Electric Power Co., Inc.  1.853  2/11/20  23,500,000  23,487,614 
American Electric Power Co., Inc.  1.822  2/5/20  41,000,000  40,990,388 
American Express Credit Corp.  1.940  4/3/20  5,000,000  4,984,084 
Autonation, Inc.  1.870  2/3/20  120,000,000  119,973,350 
Bell Canada, Inc. (Canada)  1.930  4/8/20  9,500,000  9,466,570 
Bell Canada, Inc. (Canada)  1.939  4/2/20  30,750,000  30,651,868 
Bell Canada, Inc. (Canada)  1.763  2/26/20  28,000,000  27,962,791 
Bell Canada, Inc. (Canada)  1.823  2/13/20  37,500,000  37,475,219 
Bemis Co., Inc.  1.763  3/3/20  28,750,000  28,704,486 
Bemis Co., Inc.  1.773  2/20/20  18,911,000  18,892,509 
Boston Scientific Corp.  1.986  3/4/20  23,500,000  23,461,613 
Boston Scientific Corp.  1.831  2/13/20  15,000,000  14,990,586 
Boston Scientific Corp.  1.881  2/7/20  10,200,000  10,196,628 
Boston Scientific Corp.  1.963  2/6/20  5,000,000  4,998,588 
Boston Scientific Corp.  1.881  2/4/20  33,500,000  33,493,743 
BPCE SA (France)  2.037  5/19/20  32,400,000  32,233,721 
Brookfield U.S. Holdings, Inc.  1.771  2/14/20  30,125,000  30,103,374 
Brookfield U.S. Holdings, Inc.  1.771  2/13/20  46,500,000  46,469,070 
CenterPoint Energy, Inc.  1.764  3/9/20  18,500,000  18,466,041 
CenterPoint Energy, Inc.  1.784  3/4/20  23,250,000  23,213,726 
CenterPoint Energy, Inc.  1.794  3/3/20  46,500,000  46,429,940 
CenterPoint Energy, Inc.  1.783  2/26/20  21,500,000  21,474,037 
Cigna Corp.  2.010  2/11/20  15,000,000  14,992,025 
CNH Industrial Capital, LLC  2.297  10/20/20  23,500,000  23,157,841 
Crown Castle International Corp.  1.953  2/18/20  32,750,000  32,708,539 
Crown Castle International Corp.  2.003  2/11/20  41,750,000  41,717,151 
Crown Castle International Corp.  2.033  2/4/20  18,500,000  18,494,545 
DNB Bank ASA (Norway)  1.963  7/22/20  47,000,000  47,037,021 
Dominion Energy, Inc.  2.107  2/18/20  55,000,000  54,951,710 
Dow Chemical Co. (The)  1.959  3/31/20  28,500,000  28,414,500 
Dow Chemical Co. (The)  1.959  3/30/20  28,000,000  27,917,446 
DuPont de Nemours,Inc  1.815  3/24/20  18,000,000  17,953,201 
DuPont de Nemours,Inc  2.158  2/14/20  36,000,000  35,975,528 
Enbridge US, Inc.  2.012  4/27/20  46,500,000  46,295,702 
Enbridge US, Inc.  1.853  2/12/20  9,500,000  9,494,519 
Enbridge US, Inc.  2.006  2/4/20  23,500,000  23,495,611 
Enbridge US, Inc.  2.006  2/3/20  54,250,000  54,242,428 
Encana Corp. (Canada)  2.154  2/6/20  42,000,000  41,988,142 
Encana Corp. (Canada)  2.154  2/4/20  20,500,000  20,496,171 
ENGIE SA (France)  1.982  4/15/20  11,685,000  11,644,589 
ENGIE SA (France)  1.902  4/7/20  33,500,000  33,396,192 
ENGIE SA (France)  1.911  4/1/20  27,250,000  27,172,936 
Entergy Corp.  2.010  3/10/20  10,000,000  9,978,983 
Entergy Corp.  2.061  3/9/20  46,750,000  46,654,414 
Entergy Corp.  2.010  2/21/20  36,000,000  35,960,352 
Entergy Corp.  2.049  2/20/20  8,375,000  8,366,262 

 

Ultra Short Duration Income Fund 39 

 


    Maturity  Principal   
COMMERCIAL PAPER (26.7%)* cont.  Yield (%)  date  amount  Value 
Entergy Corp.  2.008  2/5/20  $39,000,000  $38,990,564 
ERP Operating LP  2.012  3/18/20  60,750,000  60,607,951 
ERP Operating LP  2.010  3/4/20  46,750,000  46,673,634 
ERP Operating LP  2.156  2/3/20  32,500,000  32,495,464 
FMC Corp.  1.900  2/3/20  32,800,000  32,795,422 
Fortive Corp.  1.782  2/20/20  23,250,000  23,227,267 
Fortive Corp.  1.781  2/7/20  23,500,000  23,492,232 
Fortive Corp.  1.851  2/5/20  37,500,000  37,491,209 
Fortive Corp.  1.812  2/4/20  38,000,000  37,992,902 
General Motors Financial Co., Inc.  1.965  3/9/20  14,000,000  13,962,065 
General Motors Financial Co., Inc.  1.903  2/27/20  9,500,000  9,481,917 
General Motors Financial Co., Inc.  1.861  2/14/20  9,500,000  9,490,612 
General Motors Financial Co., Inc.  1.902  2/13/20  9,500,000  9,491,245 
General Motors Financial Co., Inc.  1.891  2/7/20  9,500,000  9,495,160 
General Motors Financial Co., Inc.  1.942  2/6/20  9,500,000  9,495,834 
GlaxoSmithKline Finance PLC (United Kingdom)  2.019  3/6/20  36,000,000  35,942,600 
Hawaiian Electric Co., Inc.  1.951  2/4/20  23,250,000  23,244,872 
Hawaiian Electric Industries, Inc.  1.951  2/5/20  46,500,000  46,487,148 
Humana, Inc.  1.823  3/5/20  23,250,000  23,205,425 
Humana, Inc.  1.823  3/2/20  28,250,000  28,200,617 
Humana, Inc.  1.803  2/26/20  33,750,000  33,700,762 
ING (U.S.) Funding LLC  2.033  6/25/20  29,500,000  29,521,278 
ING (U.S.) Funding LLC  2.003  4/2/20  23,500,000  23,506,510 
Intesa Sanpaolo Funding, LLC (Spain)  2.051  4/17/20  46,500,000  46,298,298 
Intesa Sanpaolo Funding, LLC (Spain)  2.212  3/18/20  93,500,000  93,255,861 
Keurig Dr Pepper, Inc.  1.855  2/28/20  46,500,000  46,435,768 
Keurig Dr Pepper, Inc.  2.106  2/7/20  40,000,000  39,986,513 
Keurig Dr Pepper, Inc.  2.126  2/6/20  17,750,000  17,744,876 
Lloyds Bank PLC (United Kingdom)  2.063  4/20/20  47,000,000  47,021,711 
LVMH Moet Hennessy Louis Vuitton SA  2.018  2/14/20  37,500,000  37,476,944 
Macquarie Bank, Ltd. (Australia)  2.013  7/9/20  40,000,000  40,024,925 
Marriott International, Inc./MD  2.131  3/16/20  15,000,000  14,966,438 
Marriott International, Inc./MD  2.089  2/28/20  37,500,000  37,448,200 
Marriott International, Inc./MD  2.109  2/26/20  37,500,000  37,452,008 
Marriott International, Inc./MD  2.039  2/25/20  23,550,000  23,521,053 
Mylan, Inc.  2.103  2/24/20  4,000,000  3,993,237 
Mylan, Inc.  2.103  2/19/20  8,500,000  8,488,637 
Mylan, Inc.  2.103  2/13/20  24,250,000  24,227,652 
Mylan, Inc.  2.083  2/7/20  17,000,000  16,991,340 
NextEra Energy Capital Holdings, Inc.  1.805  3/20/20  18,750,000  18,704,241 
NextEra Energy Capital Holdings, Inc.  1.804  3/3/20  21,035,000  21,001,699 
Nissan Motor Acceptance Corp.  2.030  2/24/20  15,000,000  14,982,150 
Nissan Motor Acceptance Corp.  2.007  2/7/20  33,000,000  32,989,092 
NRW.Bank (Germany)  2.070  3/10/20  10,000,000  9,982,634 
NRW.Bank (Germany)  2.073  2/25/20  89,000,000  88,901,729 
NRW.Bank (Germany)  2.019  2/20/20  46,750,000  46,708,964 
Nutrien, Ltd. (Canada)  1.763  2/27/20  26,000,000  25,965,407 
Nutrien, Ltd. (Canada)  2.007  2/10/20  46,750,000  46,726,755 
Pfizer, Inc.  2.071  3/23/20  48,000,000  47,897,872 
Pfizer, Inc.  2.070  3/9/20  48,000,000  47,926,533 

 

40 Ultra Short Duration Income Fund 

 


    Maturity  Principal   
COMMERCIAL PAPER (26.7%)* cont.  Yield (%)  date  amount  Value 
Plains All American Pipeline LP  2.001  2/5/20  $46,500,000  $46,489,099 
Plains All American Pipeline LP  2.001  2/4/20  16,500,000  16,496,918 
PPL Capital Funding, Inc.  2.017  2/10/20  24,370,000  24,358,363 
Puget Sound Energy, Inc.  2.006  2/6/20  14,000,000  13,996,047 
Reckitt Benckiser Treasury Services PLC         
(United Kingdom)  2.459  3/2/20  28,000,000  27,959,011 
Reckitt Benckiser Treasury Services PLC         
(United Kingdom)  2.158  2/21/20  45,500,000  45,455,463 
Rogers Communications, Inc. (Canada)  1.803  2/18/20  51,250,000  51,205,003 
Rogers Communications, Inc. (Canada)  2.006  2/6/20  33,000,000  32,990,870 
Rogers Communications, Inc. (Canada)  1.873  2/4/20  14,000,000  13,997,449 
Royal Bank of Canada (Canada)  2.010  3/19/20  32,500,000  32,429,367 
Sempra Global  1.824  3/19/20  9,500,000  9,477,301 
Sempra Global  1.793  2/27/20  23,250,000  23,219,066 
Sempra Global  1.894  2/26/20  37,750,000  37,701,688 
Sempra Global  2.038  2/12/20  37,500,000  37,478,363 
Sempra Global  1.883  2/11/20  24,000,000  23,987,350 
Sempra Global  2.009  2/10/20  10,000,000  9,995,225 
Shell International Finance BV (Netherlands)  2.051  6/26/20  25,000,000  24,831,563 
Shell International Finance BV (Netherlands)  2.033  6/5/20  94,000,000  93,457,150 
Sherwin-Williams Co. (The)  1.873  2/20/20  18,750,000  18,733,542 
Societe Generale SA (France)  2.118  12/9/20  45,000,000  45,000,000 
Societe Generale SA (France)  2.103  6/3/20  33,500,000  33,500,000 
Societe Generale SA (France)  2.093  5/12/20  44,000,000  44,000,000 
Societe Generale SA (France)  2.050  10/1/20  28,000,000  28,000,000 
Societe Generale SA (France)  1.920  6/15/20  14,700,000  14,711,213 
Societe Generale SA (France)  1.750  5/14/20  20,000,000  19,901,489 
Suncor Energy, Inc. (Canada)  1.763  3/6/20  9,500,000  9,483,532 
Suncor Energy, Inc. (Canada)  2.030  3/5/20  32,750,000  32,694,851 
Suncor Energy, Inc. (Canada)  2.010  2/20/20  28,000,000  27,972,622 
Suncor Energy, Inc. (Canada)  2.000  2/19/20  18,500,000  18,482,835 
Suncor Energy, Inc. (Canada)  2.001  2/18/20  13,250,000  13,238,367 
Suncor Energy, Inc. (Canada)  2.000  2/12/20  26,100,000  26,084,940 
Telus Corp. (Canada)  1.784  3/12/20  30,750,000  30,687,418 
Telus Corp. (Canada)  2.090  3/5/20  18,750,000  18,718,426 
Telus Corp. (Canada)  2.000  2/21/20  14,000,000  13,985,610 
Telus Corp. (Canada)  2.011  2/13/20  45,000,000  44,971,758 
TransCanada PipeLines, Ltd. (Canada)  1.859  5/6/20  14,000,000  13,931,829 
TransCanada PipeLines, Ltd. (Canada)  2.030  3/5/20  17,000,000  16,971,373 
TransCanada PipeLines, Ltd. (Canada)  1.783  2/27/20  53,500,000  53,428,818 
TransCanada PipeLines, Ltd. (Canada)  2.072  2/19/20  44,000,000  43,959,175 
UDR, Inc.  1.956  3/4/20  42,000,000  41,931,393 
UDR, Inc.  1.833  2/14/20  32,500,000  32,477,958 
UDR, Inc.  2.006  2/4/20  47,000,000  46,991,221 
Union Electric Co.  1.803  2/20/20  38,385,000  38,347,468 
Union Electric Co.  1.823  2/3/20  18,500,000  18,497,348 
Ventas Realty LP  1.998  2/12/20  37,775,000  37,753,053 
Ventas Realty LP  1.802  2/7/20  23,250,000  23,242,179 
Ventas Realty LP  2.007  2/5/20  51,200,000  51,187,734 
ViacomCBS Inc.  2.005  2/19/20  46,500,000  46,456,856 

 

Ultra Short Duration Income Fund 41 

 


    Maturity  Principal   
COMMERCIAL PAPER (26.7%)* cont.  Yield (%)  date  amount  Value 
ViacomCBS Inc.  2.005  2/18/20  $9,500,000  $9,491,659 
ViacomCBS Inc.  2.107  2/12/20  26,250,000  26,234,854 
ViacomCBS Inc.  1.883  2/6/20  18,750,000  18,744,706 
Walgreens Boots Alliance, Inc.  2.275  3/24/20  14,000,000  13,963,003 
Walgreens Boots Alliance, Inc.  2.233  3/11/20  33,500,000  33,433,484 
Walgreens Boots Alliance, Inc.  2.309  2/28/20  27,500,000  27,462,013 
Walgreens Boots Alliance, Inc.  2.328  2/18/20  23,250,000  23,229,587 
Welltower, Inc.  1.752  2/28/20  60,500,000  60,416,430 
Welltower, Inc.  1.772  2/21/20  32,750,000  32,716,339 
Welltower, Inc.  1.803  2/18/20  23,250,000  23,229,587 
Welltower, Inc.  1.803  2/7/20  15,589,000  15,583,756 
Westpac Banking Corp. (Australia)  1.950  10/19/20  51,500,000  51,500,000 
WRKCo., Inc.  1.844  2/27/20  37,500,000  37,450,106 
WRKCo., Inc.  1.818  2/10/20  36,000,000  35,982,620 
WRKCo., Inc.  1.751  2/3/20  18,750,000  18,747,313 
Total commercial paper (cost $4,985,637,485)        $4,985,703,718 

 

  Principal   
MORTGAGE-BACKED SECURITIES (6.7%)*  amount  Value 
Agency collateralized mortgage obligations (—%)     
Federal Home Loan Mortgage Corporation     
REMICs Ser. 1619, Class PZ, 6.50%, 11/15/23  $36,615  $38,650 
REMICs Ser. 3724, Class CM, 5.50%, 6/15/37  118,633  135,800 
REMICs Ser. 3316, Class CD, 5.50%, 5/15/37  44,227  49,538 
REMICs Ser. 3539, Class PM, 4.50%, 5/15/37  11,899  12,661 
REMICs Ser. 3611, PO, zero %, 7/15/34  37,920  34,840 
Federal National Mortgage Association     
REMICs Ser. 08-8, Class PA, 5.00%, 2/25/38  7,267  7,317 
REMICs Ser. 09-15, Class MC, 5.00%, 3/25/24  27  27 
REMICs Ser. 11-60, Class PA, 4.00%, 10/25/39  8,574  8,992 
REMICs Ser. 03-43, Class YA, 4.00%, 3/25/33  63,963  64,214 
REMICs Ser. 10-155, Class A, 3.50%, 9/25/25  1,435  1,434 
REMICs Ser. 10-43, Class KG, 3.00%, 1/25/21  950  951 
REMICs Ser. 11-23, Class AB, 2.75%, 6/25/20  41  41 
REMICs Ser. 10-81, Class AP, 2.50%, 7/25/40  50,653  50,626 
REMICs FRB Ser. 10-90, Class GF, (1 Month US LIBOR     
+ 0.50%), 2.161%, 8/25/40  524,574  524,208 
REMICs FRB Ser. 06-74, Class FL, (1 Month US LIBOR     
+ 0.35%), 2.011%, 8/25/36  241,366  241,377 
REMICs FRB Ser. 05-63, Class FC, (1 Month US LIBOR     
+ 0.25%), 1.911%, 10/25/31  523,270  519,261 
REMICs Ser. 92-96, Class B, PO, zero %, 5/25/22  171  169 
Government National Mortgage Association Ser. 09-32,     
Class AB, 4.00%, 5/16/39  12,855  13,836 
    1,703,942 
Residential mortgage-backed securities (non-agency) (6.7%)     
Ameriquest Mortgage Securities, Inc. Asset-Backed     
Pass-Through Certificates     
FRB Ser. 05-R8, Class M2, (1 Month US LIBOR + 0.74%),     
2.396%, 10/25/35  3,167,008  3,167,008 

 

42 Ultra Short Duration Income Fund 

 


  Principal   
MORTGAGE-BACKED SECURITIES (6.7%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Ameriquest Mortgage Securities, Inc. Asset-Backed     
Pass-Through Certificates     
FRB Ser. 05-R7, Class M2, (1 Month US LIBOR + 0.50%),     
2.161%, 9/25/35  $1,759,259  $1,764,554 
Angel Oak Mortgage Trust I, LLC 144A     
Ser. 19-1, Class A1, 3.92%, 11/25/48 W   9,644,240  9,791,797 
FRB Ser. 18-3, Class A1, 3.649%, 9/25/48 W   13,146,196  13,452,051 
Ser. 19-4, Class A1, 2.993%, 7/26/49 W   18,255,630  18,306,745 
FRB Ser. 17-2, Class A1, 2.478%, 7/25/47 W   4,431,222  4,441,413 
Argent Securities, Inc. Asset-Backed Pass-Through     
Certificates FRB Ser. 04-W8, Class A2, (1 Month     
US LIBOR + 0.96%), 2.621%, 5/25/34  1,711,643  1,714,040 
Arroyo Mortgage Trust 144A Ser. 19-3, Class A1,     
2.962%, 10/25/48 W   20,460,096  20,600,759 
Banc of America Funding Trust FRB Ser. 05-B, Class 3A1,     
(1 Month US LIBOR + 0.46%), 2.114%, 4/20/35  41,005  41,005 
Banc of America Funding Trust 144A FRB Ser. 15-R4,     
Class 6A1, (1 Month US LIBOR + 0.14%), 1.932%, 8/27/36  2,019,276  2,009,179 
Bear Stearns Asset Backed Securities I Trust     
FRB Ser. 05-TC2, Class M2, (1 Month US LIBOR     
+ 1.01%), 2.666%, 8/25/35  3,955,269  3,995,217 
FRB Ser. 07-HE7, Class 1A1, (1 Month US LIBOR     
+ 1.00%), 2.661%, 10/25/37  7,822,850  7,772,843 
FRB Ser. 05-TC1, Class M1, (1 Month US LIBOR     
+ 0.66%), 2.321%, 5/25/35  1,195,240  1,201,216 
Bear Stearns Asset Backed Securities Trust FRB     
Ser. 05-SD1, Class 1M1, (1 Month US LIBOR + 0.75%),     
2.411%, 8/25/43  187,328  187,301 
Bellemeade Re, Ltd. 144A     
FRB Ser. 17-1, Class M1, (1 Month US LIBOR + 1.70%),     
3.361%, 10/25/27 (Bermuda)  3,874,617  3,868,966 
FRB Ser. 18-1A, Class M1B, (1 Month US LIBOR     
+ 0.00%), 3.261%, 4/25/28 (Bermuda)  12,184,322  12,184,322 
FRB Ser. 19-2A, Class M1A, (1 Month US LIBOR     
+ 1.00%), 2.661%, 4/25/29 (Bermuda)  1,921,256  1,921,721 
FRB Ser. 18-2A, Class M1A, (1 Month US LIBOR     
+ 0.95%), 2.611%, 8/25/28 (Bermuda)  89,055  88,711 
BRAVO Residential Funding Trust 144A     
Ser. 19-1, Class A1C, 3.50%, 3/25/58  10,731,516  10,952,585 
Ser. 19-NQM2, Class A1, 2.748%, 11/25/59 W   26,813,245  26,864,190 
Ser. 19-NQM1, Class A1, 2.666%, 7/25/59 W   17,195,853  17,222,722 
Bunker Hill Loan Depositary Trust 144A FRB Ser. 19-1,     
Class A1, 3.77%, 10/26/48  10,982,897  11,065,269 
Carrington Mortgage Loan Trust FRB Ser. 06-RFC1,     
Class A4, (1 Month US LIBOR + 0.24%), 1.901%, 3/25/36  6,384,412  6,328,902 
CIT Mortgage Loan Trust 144A FRB Ser. 07-1, Class 2A3,     
(1 Month US LIBOR + 1.45%), 3.111%, 10/25/37  2,915,012  2,932,385 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-WFH1,     
Class M4, (1 Month US LIBOR + 0.00%), 2.411%, 1/25/36  2,584,000  2,585,163 

 

Ultra Short Duration Income Fund 43 

 


  Principal   
MORTGAGE-BACKED SECURITIES (6.7%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
COLT Funding, LLC 144A     
Ser. 19-4, Class A1, 2.579%, 11/25/49 W   $15,803,904  $15,828,598 
COLT Mortgage Loan Trust 144A     
FRB Ser. 19-1, Class A1, 3.705%, 3/25/49 W   2,061,969  2,105,040 
FRB Ser. 20-1, Class A1, 2.488%, 2/25/50 W   17,228,000  17,288,212 
Ser. 18-2, Class A1, 3.47%, 7/27/48 W   5,003,030  5,103,091 
Ser. 18-1, Class A1, 2.93%, 2/25/48 W   3,522,175  3,523,232 
Countrywide Alternative Loan Trust FRB Ser. 04-J5,     
Class M1, (1 Month US LIBOR + 0.90%), 2.561%, 8/25/34  4,023,250  4,023,250 
Countrywide Asset-Backed Certificates     
FRB Ser. 04-8, Class M1, (1 Month US LIBOR + 1.05%),     
2.711%, 1/25/35  206,003  205,988 
FRB Ser. 05-BC5, Class M2, (1 Month US LIBOR     
+ 0.48%), 2.141%, 1/25/36  144,356  144,332 
FRB Ser. 06-BC1, Class M1, (1 Month US LIBOR     
+ 0.35%), 2.011%, 4/25/36  1,056,305  1,055,741 
Countrywide Asset-Backed Certificates Trust FRB     
Ser. 05-BC4, Class M6, (1 Month US LIBOR + 1.05%),     
2.711%, 8/25/35  1,067,888  1,068,383 
CSMC Trust 144A     
Ser. 15-2R, Class 7A3, 3.67%, 8/27/36 W   9,184,034  9,392,164 
Ser. 19-NQM1, Class A1, 2.656%, 10/25/59  17,697,579  17,769,475 
CWABS Asset-Backed Certificates Trust     
FRB Ser. 04-10, Class MV3, (1 Month US LIBOR     
+ 1.13%), 2.786%, 12/25/34  8,143,395  8,127,329 
FRB Ser. 05-3, Class MV5, (1 Month US LIBOR + 1.01%),     
2.666%, 8/25/35  2,298,853  2,296,079 
FRB Ser. 05-4, Class MV4, (1 Month US LIBOR + 0.96%),     
2.621%, 10/25/35  2,455,780  2,504,896 
FRB Ser. 04-AB2, Class M2, (1 Month US LIBOR     
+ 0.86%), 2.516%, 5/25/36  1,870,753  1,870,753 
Deephaven Residential Mortgage Trust 144A     
Ser. 19-2A, Class A1, 3.558%, 4/25/59 W   11,903,224  12,006,782 
Ser. 18-1A, Class A1, 2.976%, 12/25/57 W   7,507,652  7,499,696 
Ser. 19-3A, Class A1, 2.964%, 7/25/59 W   8,507,945  8,534,533 
Ser. 19-4A, Class A1, 2.791%, 10/25/59 W   7,634,052  7,645,503 
FRB Ser. 17-3A, Class A1, 2.577%, 10/25/47 W   1,063,167  1,060,510 
Eagle Re, Ltd. 144A FRB Ser. 19-1, Class M1A, (1 Month     
US LIBOR + 1.25%), 2.911%, 4/25/29 (Bermuda)  1,573,799  1,600,639 
Ellington Financial Mortgage Trust 144A     
Ser. 19-1, Class A1, 2.934%, 6/25/59 W   8,833,835  8,850,620 
Ser. 19-2, Class A1, 2.739%, 11/25/59 W   14,458,975  14,480,664 
FRB Ser. 18-1, Class AFLA, (1 Month US LIBOR + 0.75%),     
2.411%, 10/25/58  9,116,209  9,135,353 
Ellington Loan Acquisition Trust 144A FRB Ser. 07-1,     
Class A2C, (1 Month US LIBOR + 1.25%), 2.911%, 5/25/37  1,342,654  1,369,641 
EquiFirst Mortgage Loan Trust FRB Ser. 05-1, Class M3,     
(1 Month US LIBOR + 0.72%), 2.381%, 4/25/35  3,495,914  3,494,515 

 

44 Ultra Short Duration Income Fund 

 


  Principal   
MORTGAGE-BACKED SECURITIES (6.7%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Federal Home Loan Mortgage Corporation     
Structured Agency Credit Risk Debt FRN     
Ser. 14-HQ3, Class M3, (1 Month US LIBOR + 4.75%),     
6.411%, 10/25/24  $7,060,322  $7,454,438 
Structured Agency Credit Risk Debt FRN     
Ser. 14-DN4, Class M3, (1 Month US LIBOR + 4.55%),     
6.211%, 10/25/24  17,176,390  18,580,577 
Structured Agency Credit Risk Debt FRN     
Ser. 15-DN1, Class M3, (1 Month US LIBOR + 4.15%),     
5.811%, 1/25/25  1,633,163  1,703,802 
Structured Agency Credit Risk Debt FRN Ser. 14-HQ1,     
Class M3, (1 Month US LIBOR + 4.10%), 5.761%, 8/25/24  5,316,883  5,611,811 
Structured Agency Credit Risk Debt FRN     
Ser. 14-DN3, Class M3, (1 Month US LIBOR + 4.00%),     
5.661%, 8/25/24  12,378,650  13,207,008 
Structured Agency Credit Risk Debt FRN     
Ser. 15-DNA2, Class M3, (1 Month US LIBOR + 3.90%),     
5.561%, 12/25/27  5,100,000  5,292,574 
Structured Agency Credit Risk Debt FRN     
Ser. 15-HQ1, Class M3, (1 Month US LIBOR + 3.80%),     
5.461%, 3/25/25  20,795,511  21,355,297 
Structured Agency Credit Risk Debt FRN     
Ser. 15-DNA3, Class M2, (1 Month US LIBOR + 2.85%),     
4.511%, 4/25/28  15,557,847  15,731,992 
Structured Agency Credit Risk Debt FRN     
Ser. 14-HQ2, Class M2, (1 Month US LIBOR + 2.20%),     
3.861%, 9/25/24  4,401,055  4,458,049 
Structured Agency Credit Risk Debt FRN     
Ser. 14-DN1, Class M2, (1 Month US LIBOR + 2.20%),     
3.861%, 2/25/24  3,706,196  3,745,349 
Structured Agency Credit Risk Debt FRN     
Ser. 15-HQ2, Class M2, (1 Month US LIBOR + 1.95%),     
3.611%, 5/25/25  5,157,721  5,212,202 
Structured Agency Credit Risk Debt FRN     
Ser. 15-DNA1, Class M2, (1 Month US LIBOR + 1.85%),     
3.511%, 10/25/27  7,236,079  7,283,237 
Structured Agency Credit Risk Debt FRN     
Ser. 16-HQA3, Class M2, (1 Month US LIBOR + 1.35%),     
3.011%, 3/25/29  615,342  617,826 
Structured Agency Credit Risk Debt FRN     
Ser. 16-HQA4, Class M2, (1 Month US LIBOR + 1.30%),     
2.961%, 4/25/29  6,210,274  6,224,182 
Structured Agency Credit Risk Debt FRN     
Ser. 16-DNA4, Class M2, (1 Month US LIBOR + 1.30%),     
2.961%, 3/25/29  185,179  185,480 
Structured Agency Credit Risk Debt FRN     
Ser. 17-HQA1, Class M1, (1 Month US LIBOR + 1.20%),     
2.861%, 8/25/29  664,095  664,502 
Structured Agency Credit Risk Debt FRN Ser. 17-HQA2,     
Class M2AS, (1 Month US LIBOR + 1.05%),     
2.711%, 12/25/29  29,100,000  29,015,380 
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3,     
Class M1, (1 Month US LIBOR + 0.75%), 2.411%, 3/25/30  796,478  796,975 

 

Ultra Short Duration Income Fund 45 

 


  Principal   
MORTGAGE-BACKED SECURITIES (6.7%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Federal Home Loan Mortgage Corporation     
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3,     
Class M2AR, (1 Month US LIBOR + 0.75%),     
2.411%, 3/25/30  $13,169,500  $13,093,249 
Structured Agency Credit Risk Debt FRN     
Ser. 18-HQA1, Class M1, (1 Month US LIBOR + 0.70%),     
2.361%, 9/25/30  186,721  186,721 
Structured Agency Credit Risk Debt FRN Ser. 18-DNA1,     
Class DNA1, (1 Month US LIBOR + 0.45%),     
2.111%, 7/25/30  3,098,199  3,096,485 
Federal Home Loan Mortgage Corporation 144A     
Structured Agency Credit Risk Debt FRN Ser. 18-HRP2,     
Class M2, (1 Month US LIBOR + 1.25%), 2.911%, 2/25/47  7,710,000  7,722,749 
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2,     
Class M3AS, (1 Month US LIBOR + 1.00%),     
2.661%, 2/25/47  14,000,000  13,910,890 
Structured Agency Credit Risk Trust FRN     
Ser. 19-HQA1, Class M1, (1 Month US LIBOR + 0.90%),     
2.561%, 2/25/49  2,156,402  2,156,918 
Structured Agency Credit Risk Trust FRN     
Ser. 18-DNA2, Class M1, (1 Month US LIBOR + 0.80%),     
2.461%, 12/25/30  848,128  849,037 
Structured Agency Credit Risk Trust FRN     
Ser. 18-HQA2, Class M1, (1 Month US LIBOR + 0.75%),     
2.411%, 10/25/48  402,643  402,927 
Structured Agency Credit Risk Trust FRN     
Ser. 18-DNA3, Class M1, (1 Month US LIBOR + 0.75%),     
2.411%, 9/25/48  852,413  852,865 
Federal National Mortgage Association     
Connecticut Avenue Securities FRB     
Ser. 16-C01, Class 1M2, (1 Month US LIBOR + 6.75%),     
8.411%, 8/25/28  15,661,109  17,406,493 
Connecticut Avenue Securities FRB     
Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%),     
7.661%, 9/25/28  27,258,346  30,050,718 
Connecticut Avenue Securities FRB     
Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%),     
6.661%, 7/25/25  15,873,276  16,821,000 
Connecticut Avenue Securities FRB     
Ser. 15-C01, Class 2M2, (1 Month US LIBOR + 4.55%),     
6.211%, 2/25/25  20,334,223  21,175,544 
Connecticut Avenue Securities FRB     
Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%),     
5.911%, 1/25/29  4,390,230  4,675,310 
Connecticut Avenue Securities Trust FRB     
Ser. 16-C04, Class 1M2A, (1 Month US LIBOR + 4.25%),     
5.911%, 1/25/29  6,612,189  6,856,211 
Connecticut Avenue Securities FRB     
Ser. 15-C02, Class 2M2, (1 Month US LIBOR + 4.00%),     
5.661%, 5/25/25  9,790,902  10,196,387 
Connecticut Avenue Securities FRB     
Ser. 14-C03, Class 2M2, (1 Month US LIBOR + 2.90%),     
4.561%, 7/25/24  8,223,825  8,550,308 

 

46 Ultra Short Duration Income Fund 

 


  Principal   
MORTGAGE-BACKED SECURITIES (6.7%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Federal National Mortgage Association     
Connecticut Avenue Securities FRB     
Ser. 14-C02, Class 2M2, (1 Month US LIBOR + 2.60%),     
4.261%, 5/25/24  $2,276,443  $2,354,839 
Connecticut Avenue Securities FRB     
Ser. 17-C03, Class 1M1, (1 Month US LIBOR + 0.95%),     
2.611%, 10/25/29  388,911  389,350 
Connecticut Avenue Securities FRB     
Ser. 17-C04, Class 2M1, (1 Month US LIBOR + 0.85%),     
2.511%, 11/25/29  169,867  169,901 
Connecticut Avenue Securities FRB     
Ser. 17-C02, Class 2ED4, (1 Month US LIBOR + 0.85%),     
2.511%, 9/25/29  35,600,000  35,390,245 
Connecticut Avenue Securities FRB     
Ser. 18-C04, Class 2M1, (1 Month US LIBOR + 0.75%),     
2.411%, 12/25/30  246,753  246,781 
Connecticut Avenue Securities FRB     
Ser. 18-C03, Class 1M1, (1 Month US LIBOR + 0.68%),     
2.341%, 10/25/30  889,968  890,162 
Connecticut Avenue Securities FRB     
Ser. 17-C07, Class 1M1, (1 Month US LIBOR + 0.65%),     
2.311%, 5/25/30  2,381,453  2,381,452 
Connecticut Avenue Securities FRB     
Ser. 18-C01, Class 1M1, (1 Month US LIBOR + 0.60%),     
2.261%, 7/25/30  5,242,754  5,243,179 
Federal National Mortgage Association 144A     
Connecticut Avenue Securities Trust FRB Ser. 19-R03,     
Class 1M1, (1 Month US LIBOR + 0.75%), 2.411%, 9/25/31  455,843  455,843 
First Franklin Mortgage Loan Trust     
FRB Ser. 04-FFH4, Class M5, (1 Month US LIBOR     
+ 1.58%), 3.236%, 1/25/35  590,640  593,594 
FRB Ser. 04-FF7, Class M1, (1 Month US LIBOR     
+ 0.87%), 2.531%, 9/25/34  1,544,443  1,540,171 
FRB Ser. 05-FFH3, Class M2, (1 Month US LIBOR     
+ 0.80%), 2.456%, 9/25/35  2,023,920  2,021,369 
FRB Ser. 05-FFH4, Class M1, (1 Month US LIBOR     
+ 0.48%), 2.141%, 12/25/35  5,757,141  5,728,355 
FRB Ser. 05-FF12, Class M1, (1 Month US LIBOR     
+ 0.45%), 2.111%, 11/25/36  988,414  983,097 
FWD Securitization Trust 144A Ser. 19-INV1, Class A1,     
2.81%, 6/25/49 W   9,461,204  9,584,399 
Galton Funding Mortgage Trust 144A     
Ser. 18-2, Class A41, 4.50%, 10/25/58 W   12,055,549  12,125,138 
Ser. 19-2, Class A22, 3.50%, 6/25/59 W   26,908,201  27,113,093 
Ser. 18-1, Class A43, 3.50%, 11/25/57 W   4,264,511  4,311,311 
Ser. 19-H1, Class A1, 2.657%, 10/25/59 W   11,524,261  11,463,782 
GCAT Trust 144A     
Ser. 19-NQM2, Class A1, 2.855%, 9/25/59  23,212,501  23,299,548 
Ser. 19-NQM3, Class A1, 2.686%, 11/25/59 W   11,612,534  11,645,194 
GCAT, LLC 144A Ser. 19-NQM1, Class A1, 2.985%, 2/25/59  20,496,877  20,580,146 

 

Ultra Short Duration Income Fund 47 

 


  Principal   
MORTGAGE-BACKED SECURITIES (6.7%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
GE-WMC Asset-Backed Pass-Through Certificates     
FRB Ser. 05-2, Class A1, (1 Month US LIBOR + 0.23%),     
1.886%, 12/25/35  $1,379,677  $1,380,886 
GSAA Home Equity Trust     
FRB Ser. 05-8, Class A3, (1 Month US LIBOR + 0.43%),     
2.091%, 6/25/35  6,119,718  6,119,718 
FRB Ser. 05-6, Class A3, (1 Month US LIBOR + 0.37%),     
2.031%, 6/25/35  486,214  486,214 
GSAMP Trust     
FRB Ser. 04-AR2, Class M1, (1 Month US LIBOR     
+ 0.84%), 2.501%, 8/25/34  481,331  492,141 
FRB Ser. 06-HE7, Class A2D, (1 Month US LIBOR     
+ 0.23%), 1.891%, 10/25/46  1,222,707  1,206,689 
Home Re, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month     
US LIBOR + 1.60%), 3.261%, 10/25/28 (Bermuda)  4,952,478  4,936,630 
HomeBanc Mortgage Trust FRB Ser. 05-4, Class A1,     
(1 Month US LIBOR + 0.27%), 1.931%, 10/25/35  9,647,061  9,637,421 
Homeward Opportunities Fund I Trust 144A Ser. 18-1,     
Class A1, 3.78%, 6/25/48 W   10,343,292  10,488,512 
JPMorgan Mortgage Acquisition Trust     
FRB Ser. 07-CH1, Class MV2, (1 Month US LIBOR     
+ 0.28%), 1.941%, 11/25/36  8,540,000  8,527,769 
FRB Ser. 07-CH4, Class A4, (1 Month US LIBOR     
+ 0.16%), 1.821%, 1/25/36  2,211,443  2,205,350 
JPMorgan Resecuritization Trust 144A Ser. 14-1,     
Class 7A1, 3.00%, 6/26/35  5,631,902  5,696,005 
Long Beach Mortgage Loan Trust FRB Ser. 04-1,     
Class M1, (1 Month US LIBOR + 0.75%), 2.411%, 2/25/34  613,358  609,743 
MASTR Adjustable Rate Mortgages Trust FRB Ser. 04-13,     
Class 3A7, 4.692%, 11/21/34 W   1,106,957  1,123,562 
MASTR Asset-Backed Securities Trust FRB Ser. 06-FRE1,     
Class A4, (1 Month US LIBOR + 0.58%), 2.241%, 12/25/35  1,391,556  1,374,745 
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-AR1,     
Class M1, (1 Month US LIBOR + 0.75%), 2.411%, 6/25/36  1,205,607  1,210,700 
New Century Home Equity Loan Trust     
FRB Ser. 05-3, Class M3, (1 Month US LIBOR + 0.77%),     
2.426%, 7/25/35  3,079,000  3,072,636 
FRB Ser. 05-2, Class M2, (1 Month US LIBOR + 0.68%),     
2.336%, 6/25/35  506,245  506,105 
New Residential Mortgage Loan Trust 144A     
Ser. 19-NQM4, Class A1, 2.465%, 9/25/59 W   11,673,153  11,680,157 
Ser. 20-NQM1, Class A1, 2.464%, 1/26/60 W   5,740,000  5,748,610 
FRB Ser. 18-4A, Class 4A, (1 Month US LIBOR + 0.75%),     
2.411%, 1/25/48  7,559,205  7,549,900 
Nomura Home Equity Loan, Inc./Home Equity Loan     
Trust FRB Ser. 05-FM1, Class M2, (1 Month US LIBOR     
+ 0.49%), 2.151%, 5/25/35  1,901,731  1,891,002 
Nomura Resecuritization Trust 144A FRB     
Ser. 15-8R, Class 4A1, (1 Month US LIBOR + 2.00%),     
4.239%, 11/25/47  2,832,233  2,851,881 

 

48 Ultra Short Duration Income Fund 

 


  Principal   
MORTGAGE-BACKED SECURITIES (6.7%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Opteum Mortgage Acceptance Corp. Asset-Backed     
Pass-Through Certificates     
FRB Ser. 05-2, Class M2, (1 Month US LIBOR + 0.68%),     
2.336%, 4/25/35  $569,780  $568,818 
FRB Ser. 05-3, Class M1, (1 Month US LIBOR + 0.46%),     
2.121%, 7/25/35  12,082,000  12,023,081 
FRB Ser. 05-3, Class A1C, (1 Month US LIBOR + 0.37%),     
2.031%, 7/25/35  737,586  738,522 
Park Place Securities, Inc. Asset-Backed     
Pass-Through Certificates     
FRB Ser. 04-WHQ2, Class M3, (1 Month US LIBOR     
+ 1.04%), 2.696%, 2/25/35  4,803,261  4,799,651 
FRB Ser. 05-WCH1, Class M3, (1 Month US LIBOR     
+ 0.84%), 2.501%, 1/25/36  270,875  270,987 
Popular ABS Mortgage Pass-Through Trust FRB     
Ser. 05-A, Class M1, (1 Month US LIBOR + 0.43%),     
2.091%, 6/25/35  103,111  103,172 
Residential Asset Mortgage Products Trust     
FRB Ser. 05-RS1, Class MII1, (1 Month US LIBOR     
+ 0.83%), 2.486%, 1/25/35  450,960  454,526 
FRB Ser. 05-RS6, Class M3, (1 Month US LIBOR     
+ 0.80%), 2.456%, 6/25/35  3,614,370  3,610,270 
FRB Ser. 05-RS2, Class M4, (1 Month US LIBOR     
+ 0.72%), 2.381%, 2/25/35  4,133,959  4,146,338 
Residential Asset Securities Corp., Trust     
FRB Ser. 04-KS10, Class M1, (1 Month US LIBOR     
+ 0.90%), 2.561%, 11/25/34  6,275,756  6,243,709 
FRB Ser. 04-KS12, Class M1, (1 Month US LIBOR     
+ 0.80%), 2.456%, 1/25/35  1,114,310  1,116,680 
FRB Ser. 05-KS12, Class M1, (1 Month US LIBOR     
+ 0.44%), 2.101%, 1/25/36  965,733  966,837 
FRB Ser. 05-KS11, Class M1, (1 Month US LIBOR     
+ 0.40%), 2.061%, 12/25/35  457,540  458,041 
FRB Ser. 06-KS7, Class A4, (1 Month US LIBOR + 0.24%),     
1.901%, 9/25/36  838,925  828,220 
Residential Mortgage Loan Trust 144A Ser. 19-3,     
Class A1, 2.633%, 9/25/59 W   17,003,157  17,061,605 
Securitized Asset Backed Receivables, LLC Trust FRB     
Ser. 06-CB1, Class AV1, (1 Month US LIBOR + 0.48%),     
2.141%, 1/25/36  10,136,623  10,113,724 
SG Residential Mortgage Trust 144A     
FRB Ser. 18-1, Class A1, 3.425%, 4/27/48 W   2,759,347  2,760,849 
Ser. 19-3, Class A1, 2.703%, 9/25/59 W   2,841,872  2,843,648 
Soundview Home Loan Trust     
FRB Ser. 05-CTX1, Class M2, (1 Month US LIBOR     
+ 0.44%), 2.101%, 11/25/35  447,792  447,547 
FRB Ser. 06-2, Class M1, (1 Month US LIBOR + 0.33%),     
1.991%, 3/25/36  1,863,109  1,882,338 
Spruce Hill Mortgage Loan Trust 144A Ser. 19-SH1,     
Class A1, 3.368%, 4/29/49 W   16,460,877  16,543,181 

 

Ultra Short Duration Income Fund 49 

 


  Principal   
MORTGAGE-BACKED SECURITIES (6.7%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Starwood Mortgage Residential Trust 144A     
FRB Ser. 18-IMC2, Class A1, 4.121%, 10/25/48 W   $16,365,154  $16,635,506 
Ser. 18-IMC1, Class A1, 3.793%, 3/25/48 W   8,942,627  9,042,132 
Ser. 19-1, Class A1, 2.868%, 6/25/49 W   27,128,793  27,239,004 
Ser. 19-INV1, Class A1, 2.61%, 9/27/49 W   13,986,679  14,129,651 
Structured Asset Investment Loan Trust     
FRB Ser. 04-7, Class A7, (1 Month US LIBOR + 0.84%),     
2.501%, 8/25/34  2,110,199  2,101,374 
FRB Ser. 05-HE3, Class M1, (1 Month US LIBOR     
+ 0.00%), 2.381%, 9/25/35  8,230,783  8,230,492 
FRB Ser. 05-3, Class M2, (1 Month US LIBOR + 0.66%),     
2.321%, 4/25/35  580,397  579,086 
FRB Ser. 05-HE1, Class M1, (1 Month US LIBOR     
+ 0.47%), 2.131%, 7/25/35  588,403  587,567 
Structured Asset Investment Loan Trust 144A FRB Ser. 05-1,     
Class M2, (1 Month US LIBOR + 0.72%), 2.381%, 2/25/35  2,654,664  2,647,399 
Structured Asset Securities Corp. FRB Ser. 05-WF1,     
Class M1, (1 Month US LIBOR + 0.00%), 2.321%, 2/25/35  4,539,988  4,542,706 
Structured Asset Securities Corp Mortgage Loan Trust     
FRB Ser. 06-OPT1, Class A5, (1 Month US LIBOR     
+ 0.26%), 1.921%, 4/25/36  1,721,497  1,704,282 
FRB Ser. 06-NC1, Class A4, (1 Month US LIBOR     
+ 0.15%), 1.811%, 5/25/36  222,854  221,968 
Structured Asset Securities Corp. Mortgage Loan Trust     
144A FRB Ser. 06-GEL3, Class A3, (1 Month US LIBOR     
+ 0.30%), 1.961%, 7/25/36  2,701,981  2,705,391 
Towd Point HE Trust 144A FRB Ser. 19-HE1, Class A1,     
(1 Month US LIBOR + 0.90%), 2.561%, 4/25/48  4,695,049  4,695,035 
Towd Point Mortgage Trust 144A     
FRB Ser. 19-HY2, Class A1, (1 Month US LIBOR     
+ 0.00%), 2.661%, 5/25/58  1,494,104  1,502,140 
Ser. 17-1, Class A1, 2.75%, 10/25/56 W   2,204,257  2,229,165 
Verus Securitization Trust 144A     
Ser. 19-1, Class A1, 3.73%, 2/25/59 W   26,487,231  26,735,549 
Ser. 2, Class A1, 3.635%, 6/1/58 W   17,030,559  17,211,550 
Ser. 19-2, Class A1, 3.211%, 5/25/59 W   21,357,047  21,470,507 
Ser. 19-INV2, Class A1, 2.913%, 7/25/59 W   21,303,622  21,396,825 
Ser. 19-3, Class A1, 2.784%, 7/25/59  15,831,604  15,881,078 
Ser. 19-INV3, Class A1, 2.692%, 11/25/59 W   10,353,248  10,375,895 
Ser. 17-SG1A, Class A1, 2.69%, 11/25/47 W   2,450,537  2,451,495 
Ser. 17-2A, Class A1, 2.485%, 7/25/47 W   7,182,912  7,290,656 
Ser. 20-1, Class A1, 2.417%, 1/25/60 W   8,727,000  8,753,181 
Wells Fargo Home Equity Asset-Backed Securities Trust     
FRB Ser. 05-3, Class M6, (1 Month US LIBOR + 0.00%),     
2.666%, 11/25/35  1,585,000  1,585,676 
FRB Ser. 05-3, Class M4, (1 Month US LIBOR + 0.89%),     
2.546%, 11/25/35  426,362  426,362 
FRB Ser. 05-4, Class M1, (1 Month US LIBOR + 0.46%),     
2.121%, 12/25/35  125,545  125,514 
    1,245,375,831 
Total mortgage-backed securities (cost $1,248,360,795)    $1,247,079,773 

 

50 Ultra Short Duration Income Fund 

 


  Principal   
ASSET-BACKED SECURITIES (6.1%)*  amount  Value 
Ally Auto Receivables Trust     
Ser. 19-1, Class A2, 2.85%, 3/15/22  $5,864,208  $5,879,350 
Ser. 18-1, Class A3, 2.35%, 6/15/22  20,057,737  20,122,985 
Ser. 17-2, Class 2, 2.10%, 3/15/22  8,580,000  8,598,018 
American Express Credit Account Master Trust     
Ser. 19-3, Class A, 2.00%, 4/15/25  58,000,000  58,749,940 
Ser. 17-1, Class A, 1.93%, 9/15/22  35,246,000  35,249,796 
Ser. 17-3, Class A, 1.77%, 11/15/22  38,200,000  38,205,997 
Bank of America Credit Card Trust Ser. 17-A2, Class A2,     
1.84%, 1/17/23  9,350,000  9,355,666 
Bank of The West Auto Trust 144A     
Ser. 18-1, Class A3, 3.43%, 12/15/22  15,665,000  15,816,324 
Ser. 19-1, Class A2, 2.40%, 10/17/22  3,425,399  3,433,038 
BMW Vehicle Owner Trust Ser. 18-A, Class A3,     
2.35%, 4/25/22  10,933,179  10,968,620 
Canadian Pacer Auto Receivables Trust 144A Ser. 20-1A,     
Class A2A, 1.77%, 11/21/22 (Canada)  20,000,000  20,009,375 
Capital One Multi-Asset Execution Trust Ser. 17-A1,     
Class A1, 2.00%, 1/17/23  20,300,000  20,300,000 
Capital One Prime Auto Receivables Trust Ser. 19-2,     
Class A1, 2.132%, 9/15/20  7,773,961  7,775,554 
CarMax Auto Owner Trust     
Ser. 18-1, Class A3, 2.48%, 11/15/22  14,449,810  14,538,785 
Ser. 19-3, Class A3, 2.18%, 8/15/24  5,300,000  5,367,288 
Ser. 17-4, Class A3, 2.11%, 10/17/22  34,961,037  35,023,761 
Ser. 17-3, Class A3, 1.97%, 4/15/22  1,396,930  1,398,559 
Ser. 20-1, Class A2, 1.87%, 4/17/23  13,500,000  13,540,389 
Ser. 16-2, Class A4, 1.68%, 9/15/21  12,735,148  12,732,270 
Ser. 16-3, Class 3, 1.60%, 1/18/22  5,470,000  5,464,385 
Chase Issuance Trust Ser. 12-A7, Class A7, 2.16%, 9/15/24  25,615,000  26,040,908 
Citibank Credit Card Issuance Trust Ser. 17-A3, Class A3,     
1.92%, 4/7/22  38,045,000  38,052,989 
Discover Card Execution Note Trust     
Ser. 15-A2, Class A, 1.90%, 10/17/22  53,383,000  53,399,015 
Ser. 17-A6, Class A6, 1.88%, 2/15/23  25,540,000  25,565,982 
Finance of America Structured Securities Trust 144A     
Ser. 19-HB1, Class A, 3.279%, 4/25/29 W   5,418,086  5,452,762 
Ford Credit Auto Owner Trust     
Ser. 18-A, Class A3, 3.03%, 11/15/22  18,390,780  18,583,105 
Ser. 19-B, Class A2A, 2.35%, 2/15/22  17,840,223  17,881,229 
Ser. 16-C, Class A4, 1.40%, 2/15/22  22,152,000  22,105,481 
Ford Credit Floorplan Master Owner Trust Ser. 17-1,     
Class A1, 2.07%, 5/15/22  28,000,000  28,028,420 
GM Financial Automobile Leasing Trust Ser. 19-4,     
Class A2A, 1.84%, 11/16/22  23,000,000  23,032,062 
GM Financial Consumer Automobile Receivables Trust     
Ser. 18-1, Class A3, 2.32%, 7/18/22  12,340,857  12,387,160 
Golden Credit Card Trust 144A     
Ser. 18-1A, Class A, 2.62%, 1/15/23  72,802,000  73,465,110 
FRB Ser. 19-1A, Class A, (1 Month US LIBOR + 0.00%),     
2.126%, 12/15/22  7,355,000  7,370,766 
Ser. 15-2A, Class A, 2.02%, 4/15/22  7,990,000  7,991,740 

 

Ultra Short Duration Income Fund 51 

 


  Principal   
ASSET-BACKED SECURITIES (6.1%)* cont.  amount  Value 
Honda Auto Receivables Owner Trust     
Ser. 18-1, Class A3, 2.64%, 2/15/22  $7,135,389  $7,177,840 
Ser. 17-1, Class A4, 2.05%, 6/21/23  12,138,000  12,152,566 
Ser. 19-3, Class A2, 1.90%, 4/15/22  16,650,000  16,683,067 
Hyundai Auto Lease Securitization Trust 144A     
Ser. 17-C, Class A3, 2.12%, 2/16/21  3,944,282  3,944,262 
Hyundai Auto Receivables Trust     
Ser. 19-B, Class A3, 2.23%, 2/15/24  6,750,000  6,801,271 
Ser. 17-A, Class A, 2.09%, 4/17/23  7,729,000  7,747,851 
Ser. 16-B, Class A4, 1.45%, 11/15/22  13,035,000  13,013,245 
Mello Warehouse Securitization Trust 144A     
FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%),     
2.511%, 11/25/51  13,368,667  13,368,667 
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%),     
2.461%, 6/25/52  21,799,000  21,799,000 
Mercedes-Benz Auto Receivables Trust Ser. 19-1,     
Class A3, 1.94%, 3/15/24  34,000,000  34,232,890 
Nissan Auto Receivables Owner Trust     
Ser. 17-C, Class A3, 2.12%, 4/18/22  9,462,733  9,483,538 
Ser. 17-A, Class A4, 2.11%, 5/15/23  22,300,000  22,384,809 
Ser. 17-B, Class A4, 1.95%, 10/16/23  18,120,000  18,183,761 
Ser. 19-C, Class A3, 1.93%, 7/15/24  20,500,000  20,643,275 
RMF Buyout Issuance Trust 144A Ser. 18-1,     
Class A, 3.436%, 11/25/28 W   2,673,995  2,675,458 
Santander Retail Auto Lease Trust 144A     
Ser. 17-A, Class A3, 2.22%, 1/20/21  2,433,229  2,433,800 
Station Place Securitization Trust 144A     
FRB Ser. 19-11, Class A, (1 Month US LIBOR + 0.75%),     
2.409%, 10/24/20  30,965,000  30,965,000 
FRB Ser. 19-7, Class A, (1 Month US LIBOR + 0.70%),     
2.359%, 9/24/20  16,329,000  16,329,000 
FRB Ser. 19-3, Class A, (1 Month US LIBOR + 0.70%),     
2.359%, 6/24/20  23,683,000  23,683,000 
FRB Ser. 18-8, Class A, (1 Month US LIBOR + 0.70%),     
2.359%, 2/24/20  33,219,000  33,219,000 
FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%),     
2.311%, 8/25/52  27,906,000  27,906,000 
Towd Point Asset Trust 144A FRB Ser. 18-SL1,     
Class A, (1 Month US LIBOR + 0.60%), 2.392%, 1/25/46  2,262,554  2,234,365 
Toyota Auto Receivables Owner Trust     
Ser. 17-A, Class A4, 2.10%, 9/15/22  14,026,000  14,062,618 
Ser. 17-C, Class A4, 1.98%, 12/15/22  1,775,000  1,778,142 
USAA Auto Owner Trust Ser. 19-1, Class A2,     
2.26%, 2/15/22  9,500,000  9,519,829 
World Omni Auto Receivables Trust     
Ser. 18-C, Class A3, 3.13%, 11/15/23  34,107,000  34,738,784 
Ser. 18-A, Class A, 2.50%, 4/17/23  5,208,078  5,242,290 
Ser. 16-B, Class A4, 1.48%, 11/15/22  10,855,000  10,831,471 
Ser. 16-B, Class A3, 1.30%, 2/15/22  6,456,901  6,447,658 
Total asset-backed securities (cost $1,128,857,753)    $1,131,569,286 

 

52 Ultra Short Duration Income Fund 

 


    Maturity  Principal   
CERTIFICATES OF DEPOSIT (5.7%)*  Yield (%)  date  amount  Value 
Bank of Nova Scotia/Houston FRN  1.920  9/9/20  $49,000,000  $49,049,004 
BNP Paribas SA/New York, NY FRN (France)  1.905  8/3/20  47,000,000  47,000,000 
Canadian Imperial Bank of Commerce/New         
York, NY FRN  1.950  10/9/20  38,000,000  38,048,787 
Canadian Imperial Bank of Commerce/New         
York, NY FRN  1.910  9/30/20  80,000,000  80,000,000 
Cooperatieve Rabobank UA/NY FRN (Netherlands)  2.235  9/24/21  28,500,000  28,499,903 
Cooperatieve Rabobank UA/NY FRN (Netherlands)  2.200  6/17/21  32,500,000  32,508,630 
Credit Agricole Corporate and Investment Bank/New         
York FRN (France)  2.286  5/11/20  21,250,000  21,270,785 
Credit Suisse AG/New York, NY FRN  1.860  1/15/21  46,000,000  45,996,807 
Goldman Sachs Bank USA/New York, NY FRN  1.940  12/10/20  36,000,000  36,000,000 
Mizuho Bank, Ltd./New York, NY FRN  1.962  6/8/20  56,500,000  56,500,000 
Natixis SA/New York, NY FRN (France)  1.960  12/11/20  51,250,000  51,250,000 
Nordea Bank ABP/New York, NY FRN  2.223  11/19/21  57,000,000  57,089,975 
Nordea Bank ABP/New York, NY FRN  2.191  2/12/21  28,000,000  28,054,002 
Nordea Bank ABP/New York, NY FRN  2.081  2/12/21  35,000,000  35,028,255 
Nordea Bank ABP/New York, NY FRN  1.879  7/24/20  47,000,000  47,027,837 
Skandinaviska Enskilda Banken AB/New York, NY FRN  1.854  7/20/20  47,000,000  47,021,389 
Standard Chartered Bank/New York FRN  2.188  11/6/20  52,000,000  52,073,949 
State Street Bank & Trust Co. FRN  1.904  7/20/20  130,000,000  130,104,471 
Sumitomo Mitsui Banking Corp./New York FRN (Japan)  2.259  5/13/21  28,000,000  28,068,437 
Sumitomo Mitsui Banking Corp./New York FRN (Japan)  2.198  7/12/21  27,900,000  27,951,358 
Svenska Handelsbanken/New York, NY FRN (Sweden)  2.309  4/1/20  14,750,000  14,760,231 
Svenska Handelsbanken/New York, NY FRN (Sweden)  2.138  1/6/22  47,000,000  46,999,891 
Svenska Handelsbanken/New York, NY FRN (Sweden)  1.879  7/24/20  23,000,000  23,014,537 
Swedbank AB/New York FRN  2.230  8/24/20  28,500,000  28,542,383 
Toronto-Dominion Bank/NY (Canada)  2.000  3/19/20  22,250,000  22,260,775 
Total certificates of deposit (cost $1,073,332,327)        $1,074,121,406 

 

    Maturity  Principal   
ASSET-BACKED COMMERCIAL PAPER (0.8%)*  Yield (%)  date  amount  Value 
Barclays Bank PLC CCP (United Kingdom)  2.011  2/11/20  $50,000,000  $49,975,174 
Chariot Funding, LLC  1.953  2/5/20  50,000,000  50,002,724 
Sheffield Receivables Co., LLC (United Kingdom)  2.014  4/16/20  45,000,000  44,838,500 
Total asset-backed commercial paper (cost $144,795,278)      $144,816,398 

 

    Maturity  Principal   
U.S. GOVERNMENT AGENCY OBLIGATIONS (0.5%)*  Yield (%)  date  amount  Value 
Federal Farm Credit Banks Funding         
Corporation unsec. FRB  1.956  11/7/22  $93,000,000  $93,299,694 
Total U.S. government agency obligations (cost $93,000,000)      $93,299,694 

 

Ultra Short Duration Income Fund 53 

 


  Principal   
REPURCHASE AGREEMENTS (0.4%)*  amount  Value 
Interest in $50,000,000 tri-party term repurchase agreement dated     
1/31/20 with BNP Paribas due 3/6/20 — maturity value of $50,093,333 for     
an effective yield of 1.800% (collateralized by various corporate bonds and     
notes with coupon rates ranging from 2.600% to 7.750% and due dates ranging     
from 3/15/20 to perpetual maturity, valued at $52,507,875) (France) Ŧ EG   $50,000,000  $50,000,000 
Interest in $25,000,000 tri-party term repurchase agreement dated     
1/31/20 with RBC Capital Markets, LLC due 3/6/20 — maturity value of     
$25,059,063 for an effective yield of 1.830% (collateralized by various corporate     
bonds and notes with coupon rates ranging from 2.400% to 8.875% and due     
dates ranging from 9/18/20 to 12/15/49, valued at $26,254,819) (Canada) Ŧ EG   25,000,000  25,000,000 
Total repurchase agreements (cost $75,000,000)    $75,000,000 

 

U.S. GOVERNMENT AND AGENCY  Principal   
MORTGAGE OBLIGATIONS (—%)*  amount  Value 
U.S. Government Agency Mortgage Obligations (—%)     
Federal Home Loan Mortgage Corporation     
Pass-Through Certificates 5.00%, 5/1/21  $674  $676 
Federal National Mortgage Association     
Pass-Through Certificates     
6.00%, 5/1/23  4,277  4,390 
5.50%, 11/1/23  1,082  1,092 
5.50%, 6/1/20  —  — 
Total U.S. government and agency mortgage obligations (cost $6,504)    $6,158 

 

TOTAL INVESTMENTS   
Total investments (cost $18,657,518,464)  $18,687,195,770 

 

Key to holding’s abbreviations

 

BKNT  Bank Note 
FRB  Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the 
  close of the reporting period. 
FRN  Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in 
  place at the close of the reporting period. 
GMTN  Global Medium Term Notes 
MTN  Medium Term Notes 
PO  Principal Only 

 

Notes to the fund’s portfolio

Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from August 1, 2019 through January 31, 2020 (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 and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.

* Percentages indicated are based on net assets of $18,680,942,598.

R Real Estate Investment Trust.

W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.

Ŧ Repurchase agreements with a maturity of more than seven days are considered to be illiquid investments.

54 Ultra Short Duration Income Fund 

 


EG Maturity date of the repurchase agreement is thirty-five days from the purchase date unless both parties agree to roll the transaction. Maturity value of the repurchase agreement will equal the principal amount of the repurchase agreement plus interest.

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  69.6%  Sweden  1.3% 
Canada  8.1  Spain  1.0 
United Kingdom  5.5  Norway  0.9 
France  4.1  Germany  0.8 
Australia  2.7  Switzerland  0.6 
Netherlands  2.6  Other  0.6 
Japan  2.2  Total  100.0% 

 

ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:

Level 1: Valuations based on quoted prices for identical securities in active markets.

Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.

The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

      Valuation inputs   
Investments in securities:  Level 1  Level 2  Level 3 
Asset-backed commercial paper  $—­  $144,816,398  $—­ 
Asset-backed securities  —­  1,131,569,286  —­ 
Certificates of deposit  —­  1,074,121,406  —­ 
Commercial paper  —­  4,985,703,718  —­ 
Corporate bonds and notes  —­  9,935,599,337  —­ 
Mortgage-backed securities  —­  1,247,079,773  —­ 
Repurchase agreements  —­  75,000,000  —­ 
U.S. government agency obligations  —­  93,299,694  —­ 
U.S. government and agency mortgage obligations  —­  6,158  —­ 
Totals by level  $—­  $18,687,195,770  $—­ 

 

The accompanying notes are an integral part of these financial statements.

Ultra Short Duration Income Fund 55 

 


Statement of assets and liabilities 1/31/20 (Unaudited)

ASSETS     
Investment in securities, at value (Note 1):     
Unaffiliated issuers (identified cost $18,657,518,464)    $18,687,195,770 
Cash    578,727 
Interest and other receivables    51,184,714 
Receivable for shares of the fund sold    78,044,456 
Receivable for investments sold    76,581,258 
Prepaid assets    627,028 
Total assets    18,894,211,953 
 
LIABILITIES     
Payable for investments purchased    129,332,550 
Payable for shares of the fund repurchased    78,991,832 
Payable for compensation of Manager (Note 2)    495,099 
Payable for custodian fees (Note 2)    152,388 
Payable for investor servicing fees (Note 2)    1,849,433 
Payable for Trustee compensation and expenses (Note 2)    342,583 
Payable for administrative services (Note 2)    174,249 
Payable for distribution fees (Note 2)    851,413 
Distributions payable to shareholders    486,840 
Other accrued expenses    592,968 
Total liabilities    213,269,355 
 
Net assets   $18,680,942,598 
 
REPRESENTED BY     
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)    $18,656,149,808 
Total distributable earnings (Note 1)    24,792,790 
Total — Representing net assets applicable to capital shares outstanding   $18,680,942,598 
 
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE     
Net asset value, offering price and redemption price per class A share     
($9,935,035,608 divided by 987,706,116 shares)    $10.06 
Net asset value and offering price per class B share ($207,601 divided by 20,664 shares)*    $10.05 
Net asset value and offering price per class C share ($26,110,199 divided by 2,598,832 shares)*    $10.05 
Net asset value and redemption price per class N share ($20,246,186 divided by 2,014,958 shares)  $10.05 
Offering price per class N share (100/98.50 of $10.05)**    $10.20 
Net asset value, offering price and redemption price per class R share     
($5,705,573 divided by 567,907 shares)    $10.05 
Net asset value, offering price and redemption price per class R6 share     
($88,424,603 divided by 8,778,454 shares)    $10.07 
Net asset value, offering price and redemption price per class Y share     
($8,605,212,828 divided by 854,604,677 shares)    $10.07 

 

* Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

** On single retail sales of less than $50,000. On sales of more than $50,000 the offering price is reduced.

The accompanying notes are an integral part of these financial statements.

56 Ultra Short Duration Income Fund 

 


Statement of operations Six months ended 1/31/20 (Unaudited)

INVESTMENT INCOME   
Interest (including interest income of $18,445 from investments in affiliated issuers) (Note 5)  $219,500,123 
Total investment income  219,500,123 
 
EXPENSES   
Compensation of Manager (Note 2)  28,098,246 
Investor servicing fees (Note 2)  5,448,812 
Custodian fees (Note 2)  105,534 
Trustee compensation and expenses (Note 2)  373,576 
Distribution fees (Note 2)  4,663,733 
Administrative services (Note 2)  287,479 
Other  1,856,700 
Fees waived and reimbursed by Manager (Note 2)  (9,285,030) 
Total expenses  31,549,050 
Expense reduction (Note 2)  (51,150) 
Net expenses  31,497,900 
 
Net investment income  188,002,223 
 
REALIZED AND UNREALIZED GAIN (LOSS)   
Net realized loss on:   
Securities from unaffiliated issuers (Notes 1 and 3)  (3,223,662) 
Total net realized loss  (3,223,662) 
Change in net unrealized appreciation on:   
Securities from unaffiliated issuers  20,488,142 
Total change in net unrealized appreciation  20,488,142 
 
Net gain on investments  17,264,480 
 
Net increase in net assets resulting from operations  $205,266,703 

 

The accompanying notes are an integral part of these financial statements.

Ultra Short Duration Income Fund 57 

 


Statement of changes in net assets

INCREASE IN NET ASSETS  Six months ended 1/31/20*  Year ended 7/31/19 
Operations     
Net investment income  $188,002,223  $369,615,085 
Net realized loss on investments  (3,223,662)  (357,640) 
Change in net unrealized appreciation of investments  20,488,142  4,408,262 
Net increase in net assets resulting from operations  205,266,703  373,665,707 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (95,055,946)  (181,734,136) 
Class B  (1,500)  (28,016) 
Class C  (199,351)  (396,420) 
Class M  (21,536)  (69,665) 
Class N  (157,198)  (109,148) 
Class R  (45,967)  (109,618) 
Class R6  (1,021,624)  (2,099,463) 
Class Y  (93,083,934)  (184,660,746) 
Net realized short-term gain on investments     
Class A  —  (562,512) 
Class B  —  (161) 
Class C  —  (1,621) 
Class M  —  (209) 
Class N  —  (153) 
Class R  —  (396) 
Class R6  —  (7,713) 
Class Y  —  (608,997) 
From net realized long-term gain on investments     
Class A  —  (562,512) 
Class B  —  (161) 
Class C  —  (1,621) 
Class M  —  (209) 
Class N  —  (153) 
Class R  —  (396) 
Class R6  —  (7,713) 
Class Y  —  (608,997) 
Increase from capital share transactions (Note 4)  2,216,344,590  5,463,132,016 
Total increase in net assets  2,232,024,237  5,465,226,987 
 
NET ASSETS     
Beginning of period  16,448,918,361  10,983,691,374 
End of period  $18,680,942,598  $16,448,918,361 

 

* Unaudited.

The accompanying notes are an integral part of these financial statements.

58 Ultra Short Duration Income Fund 

 


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Ultra Short Duration Income Fund 59 

 


Financial highlights (For a common share outstanding throughout the period)

  INVESTMENT OPERATIONS      LESS DISTRIBUTIONS        RATIOS AND SUPPLEMENTAL DATA   
                      Ratio  Ratio of net   
  Net asset    Net realized                of expenses  investment   
  value,    and unrealized  Total from  From net  From    Net asset  Total return  Net assets,  to average  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  net realized gain  Total  value, end  at net asset  end of period  net assets  to average  turnover 
Period ended­  of period­  income (loss)a  on investments­  operations­  income­  on investments­  distributions  of period­  value (%)b  (in thousands)  (%)c,d  net assets (%)d  (%) 
Class A                           
January 31, 2020**   $10.05­  .11­  .01­  .12­  (.11)  —­e  (.11)  $10.06­  1.17*  $9,935,036­  .20*  1.04*  22* 
July 31, 2019­  10.05­  .25­  —­e  .25­  (.25)  —­e  (.25)  10.05­  2.53­  8,257,742­  .40­  2.50­  27­ 
July 31, 2018  10.06­  .17­  (.01)  .16­  (.17)  —­e  (.17)  10.05­  1.61­  6,002,162­  .40­  1.71­  36­ 
July 31, 2017  10.04­  .10­  .02­  .12­  (.10)  —­  (.10)  10.06­  1.17­  3,843,494­  .40­  .99­  45­ 
July 31, 2016  10.03­  .06­  .01­  .07­  (.06)  —­e  (.06)  10.04­  .76­  1,926,055­  .40­  .65­  51­ 
July 31, 2015  10.06­  .04­  (.02)  .02­  (.04)  (.01)  (.05)  10.03­  .20­  1,411,923­  .40­  .41­  46­ 
Class B                           
January 31, 2020**   $10.04­  .09­  .01­  .10­  (.09)  —­e  (.09)  $10.05­  .97*  $208­  .40*  .83*  22* 
July 31, 2019­  10.04­  .21­  —­e  .21­  (.21)  —­e  (.21)  10.04­  2.13­  68­  .80­  2.10­  27­ 
July 31, 2018  10.04­  .13­  —­e  .13­  (.13)  —­e  (.13)  10.04­  1.31­  1,529­  .80­  1.27­  36­ 
July 31, 2017  10.02­  .06­  .02­  .08­  (.06)  —­  (.06)  10.04­  .76­  1,751­  .80­  .55­  45­ 
July 31, 2016  10.02­  .02­  —­e  .02­  (.02)  —­e  (.02)  10.02­  .26­  2,042­  .80­f  .27­f  51­ 
July 31, 2015  10.05­  —­e  (.02)  (.02)  —­e  (.01)  (.01)  10.02­  (.18)  1,091­  .79­f  .02­f  46­ 
Class C                           
January 31, 2020**   $10.04­  .09­  .01­  .10­  (.09)  —­e  (.09)  $10.05­  .97*  $26,110­  .40*  .83*  22* 
July 31, 2019­  10.04­  .21­  —­e  .21­  (.21)  —­e  (.21)  10.04­  2.13­  19,754­  .80­  2.10­  27­ 
July 31, 2018  10.04­  .13­  —­e  .13­  (.13)  —­e  (.13)  10.04­  1.31­  15,434­  .80­  1.21­  36­ 
July 31, 2017  10.02­  .06­  .02­  .08­  (.06)  —­  (.06)  10.04­  .76­  24,162­  .80­  .57­  45­ 
July 31, 2016  10.02­  .02­  —­e  .02­  (.02)  —­e  (.02)  10.02­  .26­  17,590­  .80­f  .28­f  51­ 
July 31, 2015  10.05­  —­e  (.02)  (.02)  —­e  (.01)  (.01)  10.02­  (.18)  9,622­  .79­f  .02­f  46­ 
Class N                           
January 31, 2020**   $10.04­  .10­  .01­  .11­  (.10)  —­e  (.10)  $10.05­  1.09*  $20,246­  .28*  .96*  22* 
July 31, 2019†  10.03­  .18­  .01­  .19­  (.18)  —­e  (.18)  10.04­  1.94*  13,070­  .42*  1.81*  27­ 
Class R                           
January 31, 2020**   $10.04­  .09­  .01­  .10­  (.09)  —­e  (.09)  $10.05­  .97*  $5,706­  .40*  .84*  22* 
July 31, 2019­  10.04­  .21­  —­e  .21­  (.21)  —­e  (.21)  10.04­  2.13­  5,411­  .80­  2.09­  27­ 
July 31, 2018  10.05­  .13­  (.01)  .12­  (.13)  —­e  (.13)  10.04­  1.21­  5,019­  .80­  1.26­  36­ 
July 31, 2017  10.02­  .06­  .03­  .09­  (.06)  —­  (.06)  10.05­  .86­  4,178­  .80­  .58­  45­ 
July 31, 2016  10.02­  .02­  —­e  .02­  (.02)  —­e  (.02)  10.02­  .26­  2,393­  .79­f  .26­f  51­ 
July 31, 2015  10.05­  —­e  (.02)  (.02)  —­e  (.01)  (.01)  10.02­  (.18)  2,131­  .79­f  .03­f  46­ 
Class R6                           
January 31, 2020**   $10.06­  .11­  .01­  .12­  (.11)  —­e  (.11)  $10.07­  1.22*  $88,425­  .15*  1.10*  22* 
July 31, 2019­  10.06­  .26­  —­e  .26­  (.26)  —­e  (.26)  10.06­  2.64­  97,971­  .29­  2.68­  27­ 
July 31, 2018  10.07­  .18­  (.01)  .17­  (.18)  —­e  (.18)  10.06­  1.72­  3,680­  .29­  1.75­  36­ 
July 31, 2017  10.05­  .11­  .02­  .13­  (.11)  —­  (.11)  10.07­  1.27­  3,151­  .29­  1.08­  45­ 
July 31, 2016  10.04­  .07­  .01­  .08­  (.07)  —­e  (.07)  10.05­  .87­  2,270­  .29­  .79­  51­ 
July 31, 2015  10.07­  .05­  (.02)  .03­  (.05)  (.01)  (.06)  10.04­  .30­  1,303­  .30­  .50­  46­ 

 

See notes to financial highlights at the end of this section.

The accompanying notes are an integral part of these financial statements.

60 Ultra Short Duration Income Fund  Ultra Short Duration Income Fund 61 

 


Financial highlights cont.

  INVESTMENT OPERATIONS      LESS DISTRIBUTIONS        RATIOS AND SUPPLEMENTAL DATA   
                      Ratio  Ratio of net   
  Net asset    Net realized                of expenses  investment   
  value,    and unrealized  Total from  From net  From    Net asset  Total return  Net assets,  to average  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  net realized gain  Total  value, end  at net asset  end of period  net assets  to average  turnover 
Period ended­  of period­  income (loss)a  on investments­  operations­  income­  on investments­  distributions  of period­  value (%)b  (in thousands)  (%)c,d  net assets (%)d  (%) 
Class Y                           
January 31, 2020**   $10.06­  .11­  .01­  .12­  (.11)  —­e  (.11)  $10.07­  1.22*  $8,605,213­  .15*  1.09*  22* 
July 31, 2019­  10.06­  .26­  —­e  .26­  (.26)  —­e  (.26)  10.06­  2.63­  8,052,123­  .30­  2.61­  27­ 
July 31, 2018  10.07­  .18­  (.01)  .17­  (.18)  —­e  (.18)  10.06­  1.71­  4,952,524­  .30­  1.82­  36­ 
July 31, 2017  10.05­  .11­  .02­  .13­  (.11)  —­  (.11)  10.07­  1.27­  2,925,780­  .30­  1.09­  45­ 
July 31, 2016  10.04­  .07­  .01­  .08­  (.07)  —­e  (.07)  10.05­  .86­  1,381,082­  .30­  .77­  51­ 
July 31, 2015  10.07­  .05­  (.02)  .03­  (.05)  (.01)  (.06)  10.04­  .30­  663,319­  .30­  .51­  46­ 

 

* Not annualized.

** Unaudited.

† For the period November 1, 2018 (commencement of operations) to July 31, 2019.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

c Includes amounts paid through expense offset arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.

d Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts as a percentage of net assets (Note 2):

  1/31/20  7/31/19  7/31/18  7/31/17  7/31/16  7/31/15 
Class A  0.05%  0.14%  0.14%  0.15%  0.15%  0.12% 
Class B  0.05  0.14  0.14  0.15  0.15  0.12 
Class C  0.05  0.14  0.14  0.15  0.15  0.12 
Class N  0.05  0.10  N/A  N/A  N/A  N/A 
Class R  0.05  0.14  0.14  0.15  0.15  0.12 
Class R6  0.05  0.14  0.14  0.15  0.15  0.13 
Class Y  0.05  0.14  0.14  0.15  0.15  0.12 

 

e Amount represents less than $0.01 per share.

f Reflects a voluntary waiver of certain fund expenses in effect during the period relating to the enhancement of certain annualized net yields for the fund. As a result of such waivers, the expenses reflect a reduction of the following amounts as a percentage of average net assets (Note 2):

  7/31/16  7/31/15 
Class B  —%‡  0.01% 
Class C  —‡  0.01 
Class R  0.01  0.01 

 

‡ Amount represents less than 0.01% per share.

The accompanying notes are an integral part of these financial statements.

62 Ultra Short Duration Income Fund  Ultra Short Duration Income Fund 63 

 


Notes to financial statements 1/31/20 (Unaudited)

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from August 1, 2019 through January 31, 2020.

Putnam Ultra Short Duration Income Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek as high a rate of current income as Putnam Management believes is consistent with preservation of capital and maintenance of liquidity. The fund invests in a diversified portfolio of fixed income securities comprised of short duration, investment-grade money market and other fixed income securities. The fund’s investments may include obligations of the U.S. government, its agencies and instrumentalities, which are backed by the full faith and credit of the United States (e.g., U.S. Treasury bonds and Ginnie Mae mortgage-backed bonds) or by only the credit of a federal agency or government sponsored entity (e.g., Fannie Mae or Freddie Mac mortgage-backed bonds), domestic corporate debt obligations, taxable municipal debt securities, securitized debt instruments (such as mortgage- and asset backed securities), repurchase agreements, certificates of deposit, bankers acceptances, commercial paper (including asset-backed commercial paper), time deposits, Yankee Eurodollar securities and other money market instruments. The fund may also invest in U.S.-dollar denominated foreign securities of these types. Under normal circumstances, the effective duration of the fund’s portfolio will generally not be greater than one year. Effective duration provides a measure of a fund’s interest-rate sensitivity. The longer a fund’s duration, the more sensitive the fund is to shifts in interest rates. Under normal circumstances, the dollar-weighted average portfolio maturity of the fund is not expected to exceed three and one-half years. Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund may also use derivatives, such as futures, options and swap contracts, for both hedging and non-hedging purposes.

The fund offers class A, class B (only in exchange for class B shares of another Putnam fund), class C, class N, class R, class R6 and class Y shares. Effective November 25, 2019, all class M shares were converted to class A shares and are no longer available for purchase. Class A, B, C, R, R6, and Y share classes are sold without a front-end sales charge. Class N shares are sold with an initial sales charge of up to 1.50%. Class A, class N, class R, class R6 and class Y shares also are generally not subject to a contingent deferred sales charge. Class B shares of the fund acquired prior to May 8, 2019 converted automatically to class A shares effective May 8, 2019. Class B shares of the fund acquired on or after May 8, 2019 will convert automatically to class A shares eight years after the original purchase date and are subject to a contingent deferred sales charge on certain redemptions. Class C shares obtained in an exchange for class C shares of another Putnam fund, are subject to a one-year 1.00% contingent deferred sales charge on certain redemptions and generally convert to class A shares after approximately ten years. Class R shares are not available to all investors. The expenses for class A, class B, class C, class N and class R shares may differ based on each class’ distribution fee, which is identified in Note 2. Class R6 and class Y shares are generally subject to the same expenses as class A, class B, class C, class N and class R shares, but do not bear a distribution fee. Class R6 and class Y shares are not available to all investors.

In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.

The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.

Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.

64 Ultra Short Duration Income Fund 

 


Note 1: Significant accounting policies

The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.

Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.

Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.

Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

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.

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.

Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.

Ultra Short Duration Income Fund 65 

 


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 $78,762,694 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.

Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis.

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.

Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.

Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the overnight LIBOR for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.

Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.

The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

66 Ultra Short Duration Income Fund 

 


At July 31, 2019, the fund had a capital loss carryover of $349,691 available to the extent allowed by the Code to offset future net capital gain, if any. For any carryover, the amount of the carryover and that carryover’s expiration date is:

Loss carryover 
Short-term  Long-term  Total  Expiration 
$—  $349,691  $349,691  * 

 

* Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.

Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $18,657,529,926, resulting in gross unrealized appreciation and depreciation of $36,040,219 and $6,374,375, respectively, or net unrealized appreciation of $29,665,844.

Distributions to shareholders Income dividends are recorded daily by the fund and are paid monthly. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.

Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:

0.440%  of the first $5 billion,  0.240%  of the next $50 billion, 
0.390%  of the next $5 billion,  0.220%  of the next $50 billion, 
0.340%  of the next $10 billion,  0.210%  of the next $100 billion and 
0.290%  of the next $10 billion,  0.205%  of any excess thereafter. 

 

Prior to 12/1/19, the fund paid Putnam Management a management fee based on the following annual rates:

 

0.500%  of the first $5 billion,  0.300%  of the next $50 billion, 
0.450%  of the next $5 billion,  0.280%  of the next $50 billion, 
0.400%  of the next $10 billion,  0.270%  of the next $100 billion and 
0.350%  of the next $10 billion,  0.265%  of any excess thereafter. 

 

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.159% of the fund’s average net assets.

 

Ultra Short Duration Income Fund 67 

 


Putnam Management has contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through November 30, 2020, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses, payments under the fund’s investor servicing contract and acquired fund fees and expenses, but including payments under the fund’s investment management contract) would exceed an annual rate of 0.24% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $9,285,030 as a result of this limit.

Putnam Management has also contractually agreed, through November 30, 2020, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.

Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.25% of the average net assets of the portion of the fund managed by PIL.

The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.

Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class M, class N, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts. Effective November 25, 2019, the fund converted all of its class M shares to class A shares and class M shares were no longer able to be purchased.

Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.

Class A  $2,798,797  Class R  1,665 
Class B  56  Class R6  22,988 
Class C  7,284  Class Y  2,612,406 
Class M  627  Total  $5,448,812 
Class N  4,989     

 

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $51,150 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $12,566, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.

The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.

68 Ultra Short Duration Income Fund 

 


The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.

The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:

  Maximum %  Approved %  Amount 
Class A  0.35%  0.10%  $4,568,195 
Class B  0.75%  0.50%  454 
Class C  1.00%  0.50%  59,534 
ClassM *  1.00%  0.15%  1,508 
Class N  1.00%  0.25%  20,473 
Class R  1.00%  0.50%  13,569 
Total      $4,663,733 

 

* Effective November 25, 2019, the fund converted all of its class M shares to class A shares and class M shares were no longer able to be purchased.

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $7 and no monies, respectively, in contingent deferred sales charges from redemptions of class B and class C shares purchased by exchange from another Putnam fund.

A deferred sales charge of up to 1.00% for class A shares may be assessed on certain redemptions. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received no monies in contingent deferred sales charges from redemptions of class A shares purchased by exchange from another Putnam fund.

Note 3: Purchases and sales of securities

During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:

  Cost of purchases  Proceeds from sales 
Investments in securities (Long-term)  $3,293,572,739  $2,216,068,159 
U.S. government securities (Long-term)  —  — 
Total  $3,293,572,739  $2,216,068,159 

 

The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.

 

Ultra Short Duration Income Fund 69 

 


Note 4: Capital shares

At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:

  SIX MONTHS ENDED 1/31/20  YEAR ENDED 7/31/19 
Class A  Shares  Amount  Shares  Amount 
Shares sold  490,478,069  $4,929,686,822  800,920,769  $8,044,029,311 
Shares issued in connection with         
reinvestment of distributions  9,505,636  95,547,869  18,094,524  181,725,760 
  499,983,705  5,025,234,691  819,015,293  8,225,755,071 
Shares repurchased  (333,911,156)  (3,356,128,086)  (594,531,753)  (5,970,651,434) 
Net increase  166,072,549  $1,669,106,605  224,483,540  $2,255,103,637 
 
  SIX MONTHS ENDED 1/31/20  YEAR ENDED 7/31/19 
Class B  Shares  Amount  Shares  Amount 
Shares sold  16,609  $166,760  146,557  $1,468,785 
Shares issued in connection with         
reinvestment of distributions  150  1,500  2,710  27,176 
  16,759  168,260  149,267  1,495,961 
Shares repurchased  (2,902)  (29,140)  (294,762)  (2,957,841) 
Net increase (decrease)  13,857  $139,120  (145,495)  $(1,461,880) 
 
  SIX MONTHS ENDED 1/31/20  YEAR ENDED 7/31/19 
Class C  Shares  Amount  Shares  Amount 
Shares sold  1,016,444  $10,205,343  2,229,455  $22,362,659 
Shares issued in connection with         
reinvestment of distributions  19,840  199,225  38,932  390,529 
  1,036,284  10,404,568  2,268,387  22,753,188 
Shares repurchased  (405,277)  (4,069,568)  (1,838,036)  (18,434,080) 
Net increase  631,007  $6,335,000  430,351  $4,319,108 
 
  SIX MONTHS ENDED 1/31/20*  YEAR ENDED 7/31/19 
Class M  Shares  Amount  Shares  Amount 
Shares sold  118,437  $1,189,109  68,826  $690,672 
Shares issued in connection with         
reinvestment of distributions  1,625  16,313  6,971  69,955 
  120,062  1,205,422  75,797  760,627 
Shares repurchased  (396,889)  (3,984,763)  (131,858)  (1,322,999) 
Net decrease  (276,827)  $(2,779,341)  (56,061)  $(562,372) 

 

70 Ultra Short Duration Income Fund 

 


      FOR THE PERIOD 11/1/18 
      (COMMENCEMENT OF OPERATIONS) 
  SIX MONTHS ENDED 1/31/20  TO 7/31/19 
Class N  Shares  Amount  Shares  Amount 
Shares sold  1,219,854  $12,247,403  1,684,013  $16,891,306 
Shares issued in connection with         
reinvestment of distributions  15,806  158,730  10,935  109,454 
  1,235,660  12,406,133  1,694,948  17,000,760 
Shares repurchased  (522,409)  (5,246,304)  (393,241)  (3,942,434) 
Net increase  713,251  $7,159,829  1,301,707  $13,058,326 
 
  SIX MONTHS ENDED 1/31/20  YEAR ENDED 7/31/19 
Class R  Shares  Amount  Shares  Amount 
Shares sold  120,766  $1,212,914  336,461  $3,375,998 
Shares issued in connection with         
reinvestment of distributions  4,505  45,241  10,498  105,312 
  125,271  1,258,155  346,959  3,481,310 
Shares repurchased  (96,363)  (967,495)  (307,873)  (3,090,181) 
Net increase  28,908  $290,660  39,086  $391,129 
 
  SIX MONTHS ENDED 1/31/20  YEAR ENDED 7/31/19 
Class R6  Shares  Amount  Shares  Amount 
Shares sold  1,668,062  $16,788,066  13,304,029  $133,789,831 
Shares issued in connection with         
reinvestment of distributions  102,408  1,030,713  210,397  2,115,341 
  1,770,470  17,818,779  13,514,426  135,905,172 
Shares repurchased  (2,726,557)  (27,439,705)  (4,145,528)  (41,684,041) 
Net increase (decrease)  (956,087)  $(9,620,926)  9,368,898  $94,221,131 
 
  SIX MONTHS ENDED 1/31/20  YEAR ENDED 7/31/19 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  401,580,753  $4,040,269,264  1,018,182,624  $10,234,529,072 
Shares issued in connection with         
reinvestment of distributions  8,045,182  80,947,524  15,668,119  157,507,159 
  409,625,935  4,121,216,788  1,033,850,743  10,392,036,231 
Shares repurchased  (355,371,168)  (3,575,503,145)  (725,729,961)  (7,293,973,294) 
Net increase  54,254,767  $545,713,643  308,120,782  $3,098,062,937 

 

* Effective November 25, 2019, the fund converted all of its class M shares to class A shares and class M shares were no longer able to be purchased.

At the close of the reporting period, Putnam Investments, LLC owned the following shares of the fund:

  Shares owned  Percentage of ownership  Value 
Class B  1,049  5.08%  $10,542 
Class N  1,025  0.05  10,301 

 

Ultra Short Duration Income Fund 71 

 


Note 5: Affiliated transactions

Transactions during the reporting period with any company which is under common ownership or control were as follows:

          Shares 
          outstanding 
          and fair 
  Fair value as  Purchase  Sale  Investment  value as 
Name of affiliate  of 7/31/19  cost  proceeds  income  of 1/31/20 
Short-term investments           
Putnam Short Term           
Investment Fund*  $—  $333,571,309  $333,571,309  $18,445  $— 
Total Short-term           
investments  $—  $333,571,309  $333,571,309  $18,445  $— 

 

* 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.

Note 6: Market, credit and other risks

In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations.

The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

72 Ultra Short Duration Income Fund 

 


Note 7: Offsetting of financial and derivative assets and liabilities

The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

  BNP Paribas RBC Capital
Markets, LLC		 Total
Assets:       
Repurchase agreements**  $50,000,000  $25,000,000  $75,000,000 
Total Assets  $50,000,000  $25,000,000  $75,000,000 
Liabilities:       
Total Liabilities  $—  $—  $— 
Total Financial and Derivative Net Assets  $50,000,000  $25,000,000  $75,000,000 
Total collateral received (pledged)†##  $50,000,000  $25,000,000   
Net amount  $—  $—   
Controlled collateral received (including       
TBA commitments)**  $—  $—  $— 
Uncontrolled collateral received  $52,507,875  $26,254,819  $78,762,694 
Collateral (pledged) (including TBA commitments)**  $—  $—  $— 

 

** Included with Investments in securities on the Statement of assets and liabilities.

† Additional collateral may be required from certain brokers based on individual agreements.

## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

Note 8: New accounting pronouncements

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017–08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310–20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, to be amortized to the earliest call date. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. The adoption of these amendments is not material to the financial statements.

Ultra Short Duration Income Fund 73 

 


Putnam family of funds

The following is a list of Putnam’s open-end mutual funds offered to the public. Investors should carefully consider the investment objective, risks, charges, and expenses of a fund before investing. For a prospectus, or a summary prospectus if available, containing this and other information for any Putnam fund or product, contact your financial advisor or call Putnam Investor Services at 1-800-225-1581. Please read the prospectus carefully before investing.

Blend  Income 
Capital Spectrum Fund  Convertible Securities Fund 
Emerging Markets Equity Fund  Diversified Income Trust 
Equity Spectrum Fund  Floating Rate Income Fund 
Focused Equity Fund  Global Income Trust 
Global Equity Fund  Government Money Market Fund* 
International Capital Opportunities Fund  High Yield Fund 
International Equity Fund  Income Fund 
Multi-Cap Core Fund  Money Market Fund† 
Research Fund  Mortgage Opportunities Fund 
  Mortgage Securities Fund 
Global Sector  Short Duration Bond Fund 
Global Health Care Fund  Ultra Short Duration Income Fund 
Global Technology Fund   
  Tax-free Income 
Growth  AMT-Free Municipal Fund 
Growth Opportunities Fund  Intermediate-Term Municipal Income Fund 
International Growth Fund  Short-Term Municipal Income Fund 
Small Cap Growth Fund  Tax Exempt Income Fund 
Sustainable Future Fund  Tax-Free High Yield Fund 
Sustainable Leaders Fund   
  State tax-free income funds‡: 
Value  California, Massachusetts, Minnesota, 
Equity Income Fund  New Jersey, New York, Ohio, and Pennsylvania. 
International Value Fund   
Small Cap Value Fund   

 

74 Ultra Short Duration Income Fund 

 


Absolute Return  Asset Allocation 
Fixed Income Absolute Return Fund  Dynamic Risk Allocation Fund 
Multi-Asset Absolute Return Fund  George Putnam Balanced Fund 
   
Putnam PanAgora**  Dynamic Asset Allocation Balanced Fund 
Putnam PanAgora Managed Futures Strategy  Dynamic Asset Allocation Conservative Fund 
Putnam PanAgora Market Neutral Fund  Dynamic Asset Allocation Growth Fund 
Putnam PanAgora Risk Parity Fund   
  Retirement Income Fund Lifestyle 1 
   
  RetirementReady® 2060 Fund 
  RetirementReady® 2055 Fund 
  RetirementReady® 2050 Fund 
  RetirementReady® 2045 Fund 
  RetirementReady® 2040 Fund 
  RetirementReady® 2035 Fund 
  RetirementReady® 2030 Fund 
  RetirementReady® 2025 Fund 
  RetirementReady® 2020 Fund 

 

* You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.

† You could lose money by investing in the fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.

‡ Not available in all states.

** Sub-advised by PanAgora Asset Management.

Check your account balances and the most recent month-end performance in the Individual Investors section at putnam.com.

Ultra Short Duration Income Fund 75 

 


Services for shareholders

Investor services

Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.

Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.

Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.

Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.

Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.

Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.

Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.

Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.

For more information

Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.

Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.

76 Ultra Short Duration Income Fund 

 


Fund information

Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.

Investment Manager  Trustees  Michael J. Higgins 
Putnam Investment  Kenneth R. Leibler, Chair  Vice President, Treasurer, 
Management, LLC  Liaquat Ahamed  and Clerk 
100 Federal Street  Ravi Akhoury   
Boston, MA 02110  Barbara M. Baumann  Jonathan S. Horwitz 
  Katinka Domotorffy  Executive Vice President, 
Investment Sub-Advisor  Catharine Bond Hill  Principal Executive Officer, 
Putnam Investments Limited  Paul L. Joskow  and Compliance Liaison 
16 St James’s Street  Robert E. Patterson   
London, England SW1A 1ER  George Putnam, III  Richard T. Kircher 
  Robert L. Reynolds  Vice President and BSA 
Marketing Services  Manoj P. Singh  Compliance Officer 
Putnam Retail Management     
100 Federal Street  Officers  Susan G. Malloy 
Boston, MA 02110  Robert L. Reynolds  Vice President and 
  President  Assistant Treasurer 
Custodian     
State Street Bank  Robert T. Burns  Denere P. Poulack 
and Trust Company  Vice President and  Assistant Vice President, Assistant 
  Chief Legal Officer  Clerk, and Assistant Treasurer 
Legal Counsel     
Ropes & Gray LLP  James F. Clark  Janet C. Smith 
  Vice President, Chief Compliance  Vice President, 
  Officer, and Chief Risk Officer  Principal Financial Officer, 
    Principal Accounting Officer, 
  Nancy E. Florek  and Assistant Treasurer 
  Vice President, Director of   
  Proxy Voting and Corporate  Mark C. Trenchard 
  Governance, Assistant Clerk,  Vice President 
  and Assistant Treasurer   

 

This report is for the information of shareholders of Putnam Ultra Short Duration Income Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.



Item 2. Code of Ethics:
Not applicable

Item 3. Audit Committee Financial Expert:
Not applicable

Item 4. Principal Accountant Fees and Services:
Not applicable

Item 5. Audit Committee of Listed Registrants
Not applicable

Item 6. Schedule of Investments:
The registrant's schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:
Not applicable

Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:
Not applicable

Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable

Item 11. Controls and Procedures:

(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 180 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.

(b) Changes in internal control over financial reporting: Not applicable

Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies:
Not Applicable

Item 13. Exhibits:

(a)(1) Not applicable

(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.


(a)(4) Change in registrant's independent public accountant.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: April 6, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer

Date: April 6, 2020
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: April 6, 2020
EX-99 2 b_lu7changeinacct.htm CHANGE IN ACCT.

Putnam Ultra Short Duration Income Fund

 

On March 20, 2020, the Audit, Compliance and Distributions Committee of the Trustees of the Putnam Funds approved and recommended the decision to change the Fund’s independent accountant and to not retain KPMG LLP, and on April 3, 2020, upon request of the Putnam Funds, KPMG LLP provided a letter of resignation. During the two previous fiscal years, KPMG LLP audit reports contained no adverse opinion or disclaimer of opinion; nor were its reports qualified or modified as to uncertainty, audit scope, or accounting principle.  Further, in connection with its audits for the two previous fiscal years and the subsequent interim period through April 3, 2020: (i) there were no disagreements with KPMG LLP on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements if not resolved to the satisfaction of KPMG LLP would have caused it to make reference to the subject matter of the disagreements in its report on the Fund’s financial statements for such years, and (ii) there were no “reportable events” of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Act of 1933, as amended, and the Securities Exchange Act of 1934, as amended.

 

 EX-99 3 c_lu7kpmgletter.htm KPMG LLP LETTER

April 6, 2020

Securities and Exchange Commission Washington, D.C. 20549

Ladies and Gentlemen:

We were previously principal accountants for Putnam Ultra Short Duration Income Fund, a series of Putnam Funds Trust (Investment Company Act file number 811-07513) (the “Fund”) and, under the date of September 10, 2019, we reported on the statements of assets and liabilities, including the fund’s portfolio as of July 31, 2019, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the financial statements) and the financial highlights for each of the years or periods in the five-year period then ended. On April 3, 2020, based upon request of the Putnam Funds, we resigned our appointment as independent public accountant.

We have read the statements made by the Fund which we understand will be filed with the Commission pursuant to Item 13(a)(4) of Form N-CSR dated April 6, 2020, and we agree with such statements, except that we are not in a position to agree or disagree with the Fund’s statement that the Audit, Compliance and Distributions Committee of the Trustees of the Fund approved and recommended the decision to change independent accountants.

Very truly yours,

/s/ KPMG LLP

 EX-99.CERT 4 d_lu7certifications.htm CERTIFICATIONS d_lu7certifications.htm

Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 180 days prior to the filing date of each report based on such evaluation; and


d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.

Date: April 6, 2020

/s/ Jonathan S. Horwitz
_______________________
Jonathan S. Horwitz
Principal Executive Officer













Certifications

I, Janet C. Smith, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-CSR of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the financial statements, and other financial information included in each report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in each report;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 180 days prior to the filing date of each report based on such evaluation; and


d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.

Date: April 6, 2020

/s/ Janet C. Smith
_______________________
Janet C. Smith
Principal Financial Officer














Attachment A

Period (s) ended January 31, 2020

               Putnam Growth Opportunities Fund
               Putnam Premier Income Trust
               Putnam Research Fund
               Putnam Ultra Short Duration Income Fund
 EX-99.906 CERT 5 e_lu7noscertification.htm 906CERTIFICATIONS e_lu7noscertification.htm

Section 906 Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the Funds listed on Attachment A, certify that, to my knowledge:

1. The form N-CSR of the Funds listed on Attachment A for the period ended January 31, 2020 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended January 31, 2020 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.

Date: April 6, 2020

/s/ Jonathan S. Horwitz
______________________
Jonathan S. Horwitz
Principal Executive Officer













Section 906 Certifications

I, Janet C. Smith, the Principal Financial Officer of the Funds listed on Attachment A, certify that, to my knowledge:

1. The form N-CSR of the Funds listed on Attachment A for the period ended January 31, 2020 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Form N-CSR of the Funds listed on Attachment A for the period ended January 31, 2020 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.

Date: April 6, 2020

/s/ Janet C. Smith
______________________
Janet C. Smith
Principal Financial Officer














Attachment A

Period (s) ended January 31, 2020

               Putnam Growth Opportunities Fund
               Putnam Premier Income Trust
               Putnam Research Fund
               Putnam Ultra Short Duration Income Fund
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