0000928816-21-000418.txt : 20210330 0000928816-21-000418.hdr.sgml : 20210330 20210330170618 ACCESSION NUMBER: 0000928816-21-000418 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 19 CONFORMED PERIOD OF REPORT: 20210131 FILED AS OF DATE: 20210330 DATE AS OF CHANGE: 20210330 EFFECTIVENESS DATE: 20210330 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: 21787544 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_ultrashortduration.htm PUTNAM FUNDS TRUST a_ultrashortduration.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, 2021
Date of reporting period: August 1, 2020 — January 31, 2021



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:



 


 

Message from the Trustees

March 11, 2021

Dear Fellow Shareholder:

The continuing hardships of the global Covid-19 pandemic remain a concern for the economy, but we have optimism for the year ahead. Infection rates have declined in early 2021. In the United States, fiscal stimulus enacted in December is reaching people and President Biden is urging Congress to provide even more support. Worldwide, more than 140 million vaccinations are just the beginning of a massive effort to counter the pandemic.

While many challenges remain, the economy is rebounding, the stock market has reached new highs, and interest rates remain low. Conditions appear to be in place for rising employment rates and increasing business activity later in the year. Businesses and policy makers need to steer a careful course, but we believe it is reasonable to anticipate improvement.

Putnam continues to employ active strategies that seek superior investment performance for you and your fellow shareholders. Putnam’s portfolio managers and analysts take a research-intensive approach that includes risk management strategies designed to serve you through changing conditions.

As always, 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.

 

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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.

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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 1/31/21. See above and pages 9–11 for additional fund performance information. Index descriptions can be found on pages 15–16.

* Source: Bloomberg Index Services Limited.

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How were market conditions during the six months ended January 31, 2021?

Global financial markets proved to be surprisingly resilient during the fiscal six-month period. This was fueled by Covid-19 vaccines, signs of economic recovery, and U.S. stimulus packages. Both equities and fixed-income assets rebounded, continuing the market’s run from the downturn earlier in the period. The S&P 500 Index, a broad measure of stocks, rose 14.47% during the period. The ICE BofA 1–3 Year U.S. Corporate Index rose 1.04%.

In December 2020, the U.S. Congress and the White House finalized a $900 billion Covid-19 aid bill and a $1.4 trillion budget package to fund government agencies through September 2021 — averting a federal government shutdown. Market sentiment also picked up after Pfizer/BioNTech and Moderna announced positive news about the efficacy of their vaccines. Meanwhile, the Federal Reserve [Fed] has kept short-term interest rates near zero since March 2020. The Fed also maintained its purchases of U.S. Treasurys and agency mortgage-backed securities [ABS] while extending several lending facilities to support

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Allocations are shown as a percentage of the fund’s net assets as of 1/31/21. 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.


the short-end of the yield curve through March 2021.

The U.S. Treasury yield curve moved higher and steepened somewhat during the period. The 10-year Treasury yield ended the period at 1.11%, while the yield on the two-year note ended unchanged at around 0.11%. The 10-year Treasury yield at the end of the period was at its highest level since early March 2020.

How did the fund perform? What were the drivers of performance during the period?

The fund outperformed its benchmark, the ICE BofA U.S. Treasury Bill Index, during the period. The fund returned 0.31% versus a gain of 0.06% for the benchmark index for the six months ended January 31, 2021.

Corporate credit was the main contributor to the fund’s performance. The fund is primarily invested in investment-grade corporate bonds and commercial paper [CP]. Therefore, corporate spread movements tend to have the largest impact on the fund’s performance. Following a period of extreme widening in March 2020, corporate credit spreads tightened during the remainder of 2020, albeit at a slower pace in the second half of the year. This served as the main catalyst for the fund’s outperformance relative to its benchmark. The Bloomberg Barclays U.S. 1–3 Year Corporate Bond Index Option-Adjusted Spreads [OAS] versus Treasurys tightened by 24 basis points (bps) during the six-month period ended January 31, 2021. OAS are calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. Bond spreads have narrowed to pre-financial crisis levels. Issuer selection within the financials sector, which is the largest sector allocation within the fund, was particularly strong, especially within high-quality bank issuers.

In addition, the fund’s allocation to securitized sectors, including non-agency residential mortgage-backed securities (RMBS) and

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ABS, contributed to performance. The team increased the portfolio’s allocation to AAA-rated credit card and prime auto ABS during the second half of 2020, which proved beneficial.

What is your near-term outlook for fixed-income markets?

We believe the Covid-19 pandemic will continue to weigh on economic activity over the near term. Infections have the potential to accelerate due to new virus strains. However, the medium-term outlook for 2021 appears to be improving, with mass vaccinations expected to slow the pace of new infections and increase mobility by the third quarter of this year. In December 2020, the U.S. Food and Drug Administration approved both Pfizer-BioNTech’s and Moderna’s vaccines.

Furthermore, we believe credit markets, supported by the Fed’s promise to maintain quantitative easing, will continue to recover. The Fed has continued to express its commitment to aiding the economy by keeping borrowing costs low, pinning short-term interest rates near zero, and buying billions of dollars of bonds. We think bond yields, including Treasury debt, will remain low across the curve for an extended period, but will remain in positive territory.

What are the fund’s strategies going forward?

From a strategy perspective, the portfolio management team is continuing to take a more conservative approach since valuations are less attractive after several months of spread tightening. The fund is targeting a duration around 0.30 years, approximately a tenth of a year longer than where it began the past fiscal year. We are finding value in floating-rate instruments over fixed-rate securities, particularly those


Credit qualities are shown as a percentage of the fund’s net assets as of 1/31/21. 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 

 


 

issued by high-quality banks. Floating-rate securities also can participate in higher rates in the future as the economy recovers from the Covid-19 pandemic.

Within securitized sectors, we are finding opportunities in high-quality assets, including AAA-rated credit card and prime auto ABS. Although we limit the fund’s allocation to securitized sectors to approximately 10% of the portfolio, this smaller position has provided diversification benefits and additional incremental yield for the fund. As of period-end, we kept a balance of short-maturity commercial paper for liquidity. CP yields are trading through historical averages, driven by lower supply as many companies issued longer-term debt instead of commercial paper. That said, issuers have started to return to the CP market, which may present opportunities going forward.

We continue to structure the portfolio with a barbell approach, emphasizing positions at separate points on the yield curve: investing in lower-tier investment-grade securities [BBB or equivalent rated] maturing in one year or less and in upper-tier investment-grade securities [A or AA rated] maturing in a range of 1 and 3.5 years. Despite ongoing changes in the market environment, capital preservation remains the primary objective of the fund.

Thank you, Joanne, 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.

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Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended January 31, 2021, 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 1/31/21

  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  11.09%  1.14%  8.59%  1.66%  5.86%  1.92%  1.14%  0.31% 
Class B (10/17/11)                 
Net asset value  7.63  0.79  6.46  1.26  4.72  1.55  0.75  0.11 
Class C (10/17/11)                 
Net asset value  7.08  0.74  6.46  1.26  4.72  1.55  0.75  0.11 
Class N (11/1/18)                 
Before sales charge  9.71  1.00  7.90  1.53  5.49  1.80  0.99  0.23 
After sales charge  8.06  0.84  6.28  1.23  3.91  1.29  –0.53  –1.27 
Class R (10/17/11)                 
Net asset value  7.08  0.74  6.46  1.26  4.72  1.55  0.75  0.11 
Class R6 (7/2/12)                 
Net asset value  12.38  1.26  9.17  1.77  6.31  2.06  1.35  0.46 
Class Y (10/17/11)                 
Net asset value  12.22  1.25  9.12  1.76  6.17  2.02  1.24  0.36 

 

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.

Class B share performance reflects conversion to class A shares after eight years.

Ultra Short Duration Income Fund 9 

 


 

Comparative index returns For periods ended 1/31/21

  Life of  Annual    Annual    Annual     
  fund  average  5 years  average  3 years  average  1 year  6 months 
ICE BofA U.S. Treasury                 
Bill Index  6.68%  0.70%  6.27%  1.22%  4.94%  1.62%  0.61%  0.06% 

 

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

Fund price and distribution information For the 6-month period ended 1/31/21

Distributions  Class A  Class B  Class C  Class N  Class R  Class R6  Class Y 
Number  6  6  6  6  6  6  6 
Income  $0.020794  $0.001442  $0.001430  $0.013189  $0.001432  $0.026411  $0.025851 
Capital gains               
Total  $0.020794  $0.001442  $0.001430  $0.013189  $0.001432  $0.026411  $0.025851 
  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 
7/31/20  $10.08  $10.07  $10.07  $10.07  $10.22  $10.07  $10.09  $10.09 
1/31/21  10.09  10.08  10.08  10.08  10.23  10.08  10.11  10.10 
  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  0.37%  0.01%  0.01%  0.22%  0.22%  0.01%  0.48%  0.47% 
Current 30-day                 
SEC yield (with expense                 
limitation)2,3  0.15  –0.21  –0.21  N/A  0.00  –0.21  0.26  0.25 
Current 30-day                 
SEC yield (without                 
expense limitation)3  0.09  –0.28  –0.28  N/A  –0.06  –0.28  0.19  0.18 

 

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.

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Fund performance as of most recent calendar quarter Total return for periods ended 12/31/20

  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  11.06%  1.15%  8.50%  1.65%  6.07%  1.98%  1.38%  0.43% 
Class B (10/17/11)                 
Net asset value  7.59  0.80  6.48  1.26  4.82  1.58  0.98  0.23 
Class C (10/17/11)                 
Net asset value  7.08  0.75  6.48  1.26  4.82  1.58  0.98  0.23 
Class N (11/1/18)                 
Before sales charge  9.69  1.01  7.81  1.52  5.71  1.87  1.23  0.35 
After sales charge  8.04  0.84  6.19  1.21  4.12  1.35  –0.29  –1.16 
Class R (10/17/11)                 
Net asset value  7.08  0.75  6.37  1.24  4.82  1.58  0.98  0.23 
Class R6 (7/2/12)                 
Net asset value  12.34  1.27  9.20  1.78  6.41  2.09  1.59  0.48 
Class Y (10/17/11)                 
Net asset value  12.17  1.26  9.03  1.74  6.38  2.08  1.48  0.48 

 

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 7/31/20*†  0.40%  0.80%  0.80%  0.55%  0.80%  0.29%  0.30% 
Total annual operating expenses for the               
fiscal year ended 7/31/20  0.47%  0.87%  0.87%  0.62%  0.87%  0.36%  0.37% 
Annualized expense ratio for the               
six-month period ended 1/31/21  0.40%  0.78%  0.78%  0.55%  0.79%  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 11/30/21.

Restated to reflect current fees.

Reflects a voluntary waiver of certain fund expenses.

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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 8/1/20 to 1/31/21. 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  $3.93  $3.93  $2.78  $3.98  $1.47  $1.52 
Ending value (after expenses)  $1,003.10  $1,001.10  $1,001.10  $1,002.30  $1,001.10  $1,004.60  $1,003.60 

 

* 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 1/31/21. 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 1/31/21, use the following calculation method. To find the value of your investment on 8/1/20, 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*†  $2.04  $3.97  $3.97  $2.80  $4.02  $1.48  $1.53 
Ending value (after expenses)  $1,023.19  $1,021.27  $1,021.27  $1,022.43  $1,021.22  $1,023.74  $1,023.69 

 

* 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 1/31/21. 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.

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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. Our investment techniques, analyses, and judgments may not produce the outcome we intend. The investments we select for the fund may not perform as well as other securities that we do not select for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could have a negative effect on the fund. You can lose money by investing in the fund.

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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 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.

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:

14 Ultra Short Duration Income Fund 

 


 

Agency credit-risk transfer security (CRT) is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering different levels of risk and yield based on the underlying reference pool.

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. 1-3 Year Corporate Bond Index is an unmanaged index of U.S. investment-grade corporate debt with a remaining term to maturity of less than three years.

Bloomberg Barclays U.S. Corporate Bond Index is unmanaged index of investment-grade, fixed-rate, taxable corporate bonds. It includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial issuers.

Bloomberg Barclays Municipal Bond Index is an unmanaged index of long-term, fixed-rate, investment-grade tax-exempt bonds.

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

Bloomberg Barclays U.S. Treasury Index is an unmanaged index of U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury.

ICE BofA (Intercontinental Exchange Bank of America) 1–3 Year U.S. Corporate Index is an unmanaged index of U.S. investment-grade corporate debt with a remaining term to maturity of less than three years.

ICE BofA 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.

BLOOMBERG® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively

Ultra Short Duration Income Fund 15 

 


 

“Bloomberg”). BARCLAYS® is a trademark and service mark of Barclays Bank Plc (collectively with its affiliates, “Barclays”), used under license. Bloomberg or Bloomberg’s licensors, including Barclays, own all proprietary rights in the Bloomberg Barclays Indices. Neither Bloomberg nor Barclays approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or limited, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

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.


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, 2020, 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, 2021, Putnam employees had approximately $541,000,000 and the Trustees had approximately $76,000,000 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 

 


 

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.

Ultra Short Duration Income Fund 17 

 


 

The fund’s portfolio 1/31/21 (Unaudited)

  Principal   
CORPORATE BONDS AND NOTES (51.9%)*  amount  Value 
Banking (28.2%)     
ABN AMRO Bank NV 144A sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.57%), 0.803%, 8/27/21 (Netherlands)  $77,000,000  $77,222,480 
Australia & New Zealand Banking Group, Ltd. 144A sr.     
unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.87%),     
1.083%, 11/23/21 (Australia)  3,000,000  3,019,302 
Australia & New Zealand Banking Group, Ltd. 144A sr.     
unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.49%),     
0.703%, 11/21/22 (Australia)  24,180,000  24,343,687 
Australia & New Zealand Banking Group, Ltd. 144A     
unsec. FRN (BBA LIBOR USD 3 Month + 0.46%), 0.682%,     
5/17/21 (Australia)  14,625,000  14,645,058 
Banco Bilbao Vizcaya Argentaria SA sr. unsec. unsub.     
notes 0.875%, 9/18/23 (Spain)  28,200,000  28,394,580 
Banco Santander SA sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 1.56%), 1.785%, 4/11/22 (Spain)  19,870,000  20,162,359 
Banco Santander SA sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 1.12%), 1.344%, 4/12/23 (Spain)  2,810,000  2,854,876 
Banco Santander SA sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 1.09%), 1.303%, 2/23/23 (Spain)  3,400,000  3,451,273 
Banco Santander SA sr. unsec. unsub. notes 3.50%,     
4/11/22 (Spain)  25,349,000  26,278,299 
Bank of America Corp. sr. unsec. unsub. FRN     
3.004%, 12/20/23  16,679,000  17,472,160 
Bank of America Corp. sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 1.00%), 1.218%, 4/24/23  36,430,000  36,807,426 
Bank of America Corp. sr. unsec. unsub. FRN Ser. GMTN,     
(BBA LIBOR USD 3 Month + 1.42%), 1.643%, 4/19/21  22,027,000  22,093,616 
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 1.16%), 1.384%, 1/20/23  18,815,000  19,000,607 
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.79%), 1.015%, 3/5/24  61,349,000  61,960,650 
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.65%), 0.901%, 6/25/22  29,807,000  29,876,192 
Bank of Montreal sr. unsec. unsub. FRN Ser. D, (BBA     
LIBOR USD 3 Month + 0.46%), 0.685%, 4/13/21 (Canada)  11,600,000  11,609,876 
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (BBA     
LIBOR USD 3 Month + 0.79%), 1.023%, 8/27/21 (Canada)  7,500,000  7,533,367 
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (BBA     
LIBOR USD 3 Month + 0.57%), 0.821%, 3/26/22 (Canada)  57,966,000  58,290,223 
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN,     
(Secured Overnight Funding Rate + 0.68%), 0.741%,     
3/10/23 (Canada)  24,944,000  25,204,200 
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (BBA     
LIBOR USD 3 Month + 0.40%), 0.63%, 9/10/21 (Canada)  30,000,000  30,068,915 
Banque Federative du Credit Mutuel SA 144A sr.     
unsec. FRN (BBA LIBOR USD 3 Month + 0.96%), 1.184%,     
7/20/23 (France)  7,635,000  7,766,212 
Banque Federative du Credit Mutuel SA 144A sr. unsec.     
notes 2.125%, 11/21/22 (France)  22,009,000  22,695,673 
Banque Federative du Credit Mutuel SA 144A sr. unsec.     
notes 0.65%, 2/27/24 (France)  35,500,000  35,496,380 

 

18 Ultra Short Duration Income Fund 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Banking cont.     
Barclays PLC sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 1.43%), 1.651%, 2/15/23 (United Kingdom)  $9,500,000  $9,603,921 
Barclays PLC sr. unsec. unsub. FRN 4.61%, 2/15/23     
(United Kingdom)  63,388,000  66,010,940 
Barclays PLC sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.63%), 1.85%, 1/10/23 (United Kingdom)  33,456,000  33,858,420 
Barclays PLC sr. unsec. unsub. notes 3.20%, 8/10/21     
(United Kingdom)  64,656,000  65,612,057 
BBVA USA sr. unsec. notes Ser. BKNT, 3.50%, 6/11/21  28,745,000  29,002,328 
BBVA USA sr. unsec. notes Ser. BKNT, 2.875%, 6/29/22  8,545,000  8,822,954 
BNP Paribas SA 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.39%), 0.603%, 8/7/21 (France)  7,526,000  7,540,850 
BNP Paribas SA 144A sr. unsec. notes 2.95%,     
5/23/22 (France)  21,815,000  22,561,460 
BPCE SA 144A company guaranty sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 1.22%), 1.433%,     
5/22/22 (France)  8,035,000  8,132,947 
BPCE SA 144A sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 1.24%), 1.46%, 9/12/23 (France)  61,337,000  62,656,482 
BPCE SA 144A sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.30%), 0.534%, 1/14/22 (France)  26,050,000  26,107,438 
BPCE SA 144A sr. unsec. FRN (Secured Overnight     
Funding Rate + 0.44%), 0.509%, 2/17/22 (France)  46,500,000  46,594,270 
Canadian Imperial Bank of Commerce sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 0.72%), 0.939%,     
6/16/22 (Canada)  6,300,000  6,354,952 
Canadian Imperial Bank of Commerce sr. unsec. unsub.     
FRN (Secured Overnight Funding Rate + 0.80%), 0.857%,     
3/17/23 (Canada)  62,781,000  63,502,982 
Canadian Imperial Bank of Commerce sr. unsec. unsub.     
FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.66%),     
0.88%, 9/13/23 (Canada)  20,445,000  20,706,526 
Capital One Bank USA NA sr. unsec. FRN     
2.014%, 1/27/23  15,000,000  15,238,793 
Capital One NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.82%), 1.033%, 8/8/22  9,900,000  9,992,045 
Citibank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.60%), 0.824%, 5/20/22  23,000,000  23,040,160 
Citigroup, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 1.43%), 1.655%, 9/1/23  14,600,000  14,862,726 
Citigroup, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 1.02%), 1.248%, 6/1/24  13,298,000  13,485,063 
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.38%), 1.62%, 3/30/21  53,487,000  53,597,846 
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.19%), 1.392%, 8/2/21  28,093,000  28,255,564 
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.07%), 1.296%, 12/8/21  32,745,000  32,998,640 
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.96%), 1.178%, 4/25/22  28,085,000  28,366,666 
Citizens Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.81%), 1.043%, 5/26/22  9,960,000  10,041,609 

 

Ultra Short Duration Income Fund 19 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Banking cont.     
Citizens Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.72%), 0.941%, 2/14/22  $43,000,000  $43,212,531 
Citizens Bank NA sr. unsec. unsub. notes Ser. BKNT,     
2.55%, 5/13/21  15,878,000  15,950,255 
Compass Bank sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.73%), 0.951%, 6/11/21  48,162,000  48,252,843 
Cooperatieve Rabobank UA sr. unsec. FRN     
(Secured Overnight Funding Rate + 0.30%), 0.346%,     
1/12/24 (Netherlands)  46,000,000  46,066,944 
Cooperatieve Rabobank UA 144A sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.86%), 1.111%,     
9/26/23 (Netherlands)  27,341,000  27,761,234 
Cooperative Rabobank UA sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.83%), 1.055%, 1/10/22 (Netherlands)  29,100,000  29,323,779 
Cooperative Rabobank UA sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.43%), 0.645%, 4/26/21 (Netherlands)  25,370,000  25,392,406 
Credit Agricole Corporate & Investment Bank SA 144A     
company guaranty sr. unsec. FRN Ser. MTN, (BBA LIBOR     
USD 3 Month + 0.40%), 0.616%, 5/3/21 (France)  47,000,000  47,045,515 
Credit Agricole SA/London 144A sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 1.02%), 1.238%, 4/24/23     
(United Kingdom)  61,967,000  62,887,096 
Credit Agricole SA/London 144A sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.43%), 1.655%, 1/10/22     
(United Kingdom)  10,818,000  10,946,366 
Credit Suisse AG/New York, NY sr. unsec. FRN (Secured     
Overnight Funding Rate + 0.45%), 0.528%, 2/4/22  51,815,000  51,973,036 
Credit Suisse Group AG sr. unsec. FRN (Secured     
Overnight Funding Rate + 0.39%), 0.43%, 2/2/24  33,500,000  33,476,014 
Credit Suisse Group Funding Guernsey, Ltd. company     
guaranty sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 2.29%), 2.513%, 4/16/21 (United Kingdom)  69,194,000  69,517,772 
Credit Suisse Group Funding Guernsey, Ltd. 144A     
company guaranty sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 2.29%), 2.513%, 4/16/21     
(United Kingdom)  1,750,000  1,757,185 
Danske Bank A/S 144A sr. unsec. notes 2.80%,     
3/10/21 (Denmark)  23,650,000  23,712,420 
DNB Bank ASA 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 1.07%), 1.298%, 6/2/21 (Norway)  7,000,000  7,023,851 
DNB Bank ASA 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.62%), 0.848%, 12/2/22 (Norway)  46,725,000  47,162,344 
Fifth Third Bank sr. unsec. FRN Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.44%), 0.655%, 7/26/21  24,800,000  24,839,681 
Huntington Bancshares, Inc. sr. unsec. notes     
3.15%, 3/14/21  19,943,000  19,960,709 
Huntington National Bank (The) sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.55%), 0.775%, 2/5/21  3,870,000  3,870,191 
ING Bank NV 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.88%), 1.101%, 8/15/21 (Netherlands)  31,679,000  31,819,210 
ING Groep NV sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 1.00%), 1.238%, 10/2/23 (Netherlands)  53,383,000  54,367,965 

 

20 Ultra Short Duration Income Fund 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Banking cont.     
ING Groep NV sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.15%), 1.401%, 3/29/22 (Netherlands)  $34,003,000  $34,393,488 
ING Groep NV sr. unsec. unsub. notes 3.15%,     
3/29/22 (Netherlands)  3,337,000  3,446,866 
Intesa Sanpaolo SpA 144A sr. unsec. notes 6.50%,     
2/24/21 (Italy)  22,374,000  22,455,790 
JPMorgan Chase & Co. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 1.00%), 1.241%, 1/15/23  13,000,000  13,113,295 
JPMorgan Chase & Co. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.90%), 1.118%, 4/25/23  10,291,000  10,390,143 
JPMorgan Chase & Co. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.89%), 1.108%, 7/23/24  28,880,000  29,260,043 
JPMorgan Chase & Co. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.73%), 0.948%, 4/23/24  60,212,000  60,863,012 
JPMorgan Chase & Co. sr. unsec. unsub. FRN     
2.776%, 4/25/23  11,870,000  12,212,629 
JPMorgan Chase & Co. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 1.23%), 1.448%, 10/24/23  66,945,000  68,187,901 
KeyBank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.81%), 1.023%, 11/22/21  9,905,000  9,965,322 
KeyBank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.66%), 0.865%, 2/1/22  40,000,000  40,233,802 
KeyBank NA sr. unsec. FRN Ser. BKNT, 0.423%, 1/3/24  28,250,000  28,286,737 
KeyBank NA sr. unsec. FRN Ser. BKNT, (Secured     
Overnight Funding Rate + 0.34%), 0.38%, 1/3/24  37,750,000  37,800,024 
Lloyds Bank PLC company guaranty sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.49%), 0.703%, 5/7/21     
(United Kingdom)  65,400,000  65,476,611 
Lloyds Banking Group PLC sr. unsec. FRN 1.326%,     
6/15/23 (United Kingdom)  44,200,000  44,679,910 
Lloyds Banking Group PLC sr. unsec. unsub. FRN     
2.858%, 3/17/23 (United Kingdom)  25,589,000  26,254,435 
Lloyds Banking Group PLC sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.80%), 1.039%, 6/21/21     
(United Kingdom)  38,410,000  38,513,216 
Manufacturers & Traders Trust Co. unsec. sub.     
FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.64%),     
0.865%, 12/1/21  27,260,000  27,266,172 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 0.86%), 1.075%, 7/26/23 (Japan)  16,000,000  16,207,936 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 0.74%), 0.968%, 3/2/23 (Japan)  16,300,000  16,430,883 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 0.65%), 0.865%, 7/26/21 (Japan)  45,366,000  45,498,230 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 1.88%), 2.105%,     
3/1/21 (Japan)  4,588,000  4,594,341 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 1.06%), 1.28%,     
9/13/21 (Japan)  53,980,000  54,324,446 

 

Ultra Short Duration Income Fund 21 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Banking cont.     
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.92%), 1.125%,     
2/22/22 (Japan)  $23,818,000  $24,020,718 
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.79%), 1.008%,     
7/25/22 (Japan)  20,138,000  20,320,245 
Mizuho Financial Group, Inc. sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.94%), 1.164%, 2/28/22 (Japan)  45,569,000  45,980,416 
Mizuho Financial Group, Inc. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 1.14%), 1.36%, 9/13/21 (Japan)  60,305,000  60,720,200 
Mizuho Financial Group, Inc. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.88%), 1.101%, 9/11/22 (Japan)  52,440,000  53,016,074 
Mizuho Financial Group, Inc. 144A sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 1.48%), 1.704%, 4/12/21 (Japan)  14,050,000  14,089,267 
National Australia Bank, Ltd. 144A sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 0.71%), 0.93%, 11/4/21 (Australia)  27,500,000  27,647,678 
National Australia Bank, Ltd. 144A sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.58%), 0.819%,     
9/20/21 (Australia)  28,200,000  28,291,650 
National Australia Bank, Ltd. 144A sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.41%), 0.63%,     
12/13/22 (Australia)  36,650,000  36,809,677 
National Bank of Canada company guaranty sr. unsec.     
FRN 0.90%, 8/15/23 (Canada)  48,000,000  48,351,421 
National Bank of Canada 144A sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 0.40%), 0.639%, 3/21/21 (Canada)  6,250,000  6,253,510 
Nationwide Building Society sr. unsec. FRN 3.622%,     
4/26/23 (United Kingdom)  62,004,000  64,267,193 
NatWest Group PLC sr. unsec. unsub. FRN 3.498%,     
5/15/23 (United Kingdom)  29,795,000  30,898,495 
NatWest Group PLC sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 1.47%), 1.691%, 5/15/23     
(United Kingdom)  59,339,000  60,145,958 
Nordea Bank ABP 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.99%), 1.223%, 5/27/21 (Finland)  8,353,000  8,378,938 
Nordea Bank ABP 144A unsec. sub. notes 4.875%,     
5/13/21 (Finland)  36,040,000  36,485,493 
PNC Bank NA sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.43%), 0.66%, 12/9/22  48,700,000  48,867,719 
PNC Bank NA sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.33%), 0.53%, 2/24/23  46,065,000  46,154,804 
PNC Bank NA sr. unsec. unsub. FRN Ser. BKNT, (BBA     
LIBOR USD 3 Month + 0.45%), 0.672%, 7/22/22  50,520,000  50,606,310 
Regions Bank sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.38%), 0.618%, 4/1/21  35,385,000  35,390,856 
Royal Bank of Canada sr. unsec. FRN Ser. GMTN, (BBA     
LIBOR USD 3 Month + 0.36%), 0.583%, 1/17/23 (Canada)  42,500,000  42,671,387 
Royal Bank of Canada sr. unsec. unsub. FRN     
Ser. GMTN, (BBA LIBOR USD 3 Month + 0.47%), 0.682%,     
4/29/22 (Canada)  18,200,000  18,288,983 
Royal Bank of Canada sr. unsec. unsub. FRN     
Ser. GMTN, (BBA LIBOR USD 3 Month + 0.39%), 0.602%,     
4/30/21 (Canada)  35,750,000  35,781,993 

 

22 Ultra Short Duration Income Fund 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Banking cont.     
Royal Bank of Canada sr. unsec. unsub. FRN Ser. GMTN,     
(Secured Overnight Funding Rate + 0.30%), 0.343%,     
1/19/24 (Canada)  $45,885,000  $45,866,297 
Royal Bank of Canada sr. unsec. unsub. FRN Ser. MTN,     
(Secured Overnight Funding Rate + 0.45%), 0.49%,     
10/26/23 (Canada)  27,919,000  28,049,829 
Royal Bank of Canada sr. unsec. unsub. notes     
(Secured Overnight Funding Rate + 0.40%), 0.478%,     
8/5/22 (Canada)  27,800,000  27,893,408 
Santander UK Group Holdings PLC company     
guaranty sr. unsec. unsub. notes 2.875%, 8/5/21     
(United Kingdom)  40,453,000  40,976,837 
Santander UK PLC sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.62%), 0.845%, 6/1/21     
(United Kingdom)  64,370,000  64,492,187 
Skandinaviska Enskilda Banken AB 144A sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.65%), 0.865%,     
12/12/22 (Sweden)  20,000,000  20,168,958 
Skandinaviska Enskilda Banken AB 144A sr. unsec. FRN     
Ser. BKNT, (BBA LIBOR USD 3 Month + 0.43%), 0.652%,     
5/17/21 (Sweden)  52,250,000  52,310,251 
Skandinaviska Enskilda Banken AB 144A sr. unsec.     
notes 3.25%, 5/17/21 (Sweden)  35,000,000  35,304,850 
Skandinaviska Enskilda Banken AB 144A sr. unsec.     
notes 0.55%, 9/1/23 (Sweden)  23,478,000  23,539,865 
Skandinaviska Enskilda Banken AB 144A sr. unsec.     
notes (BBA LIBOR USD 3 Month + 0.32%), 0.545%,     
9/1/23 (Sweden)  47,957,000  48,035,649 
Sumitomo Mitsui Financial Group, Inc. sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.80%), 1.023%,     
10/16/23 (Japan)  18,592,000  18,806,506 
Sumitomo Mitsui Financial Group, Inc. sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 1.14%), 1.363%,     
10/19/21 (Japan)  33,620,000  33,877,130 
Sumitomo Mitsui Financial Group, Inc. sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 0.97%), 1.194%,     
1/11/22 (Japan)  25,439,000  25,646,325 
Sumitomo Mitsui Financial Group, Inc. sr. unsec.     
unsub. FRN (BBA LIBOR USD 3 Month + 0.78%), 1.004%,     
7/12/22 (Japan)  10,614,000  10,712,883 
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. notes     
0.80%, 9/12/23 (Japan)  61,202,000  61,757,422 
SunTrust Bank sr. unsec. FRN Ser. BKNT, (BBA LIBOR     
USD 3 Month + 0.59%), 0.792%, 8/2/22  2,527,000  2,533,628 
SunTrust Bank sr. unsec. unsub. FRN Ser. BKNT, (BBA     
LIBOR USD 3 Month + 0.59%), 0.812%, 5/17/22  36,600,000  36,811,461 
Svenska Handelsbanken AB company guaranty sr.     
unsec. FRN (BBA LIBOR USD 3 Month + 0.47%), 0.675%,     
5/24/21 (Sweden)  53,242,000  53,318,696 
Svenska Handelsbanken AB company guaranty sr.     
unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month     
+ 1.15%), 1.39%, 3/30/21 (Sweden)  23,400,000  23,441,892 

 

Ultra Short Duration Income Fund 23 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Banking cont.     
Svenska Handelsbanken AB 144A sr. unsec. notes     
0.625%, 6/30/23 (Sweden)  $17,000,000  $17,096,638 
Swedbank AB 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.70%), 0.92%, 3/14/22 (Sweden)  9,300,000  9,356,507 
Swedbank AB 144A sr. unsec. notes 1.30%,     
6/2/23 (Sweden)  19,500,000  19,841,582 
Swedbank AB 144A sr. unsec. notes 0.60%,     
9/25/23 (Sweden)  19,002,000  19,034,303 
Toronto-Dominion Bank (The) sr. unsec. FRN     
Ser. GMTN, (BBA LIBOR USD 3 Month + 0.27%), 0.499%,     
3/17/21 (Canada)  5,000,000  5,002,206 
Toronto-Dominion Bank (The) sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.90%), 1.125%,     
7/13/21 (Canada)  1,001,000  1,004,900 
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN     
Ser. MTN, (BBA LIBOR USD 3 Month + 1.00%), 1.237%,     
4/7/21 (Canada)  26,000,000  26,047,919 
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN     
Ser. MTN, (BBA LIBOR USD 3 Month + 0.35%), 0.572%,     
7/22/22 (Canada)  42,000,000  42,099,582 
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN     
Ser. MTN, (Secured Overnight Funding Rate + 0.48%),     
0.52%, 1/27/23 (Canada)  57,295,000  57,616,424 
Toronto-Dominion Bank (The) sr. unsec. unsub. notes     
Ser. MTN, 0.45%, 9/11/23 (Canada)  20,840,000  20,895,450 
Truist Bank sr. unsec. FRN Ser. BKNT, (Secured     
Overnight Funding Rate + 0.73%), 0.792%, 3/9/23  38,890,000  39,341,315 
Truist Bank sr. unsec. notes Ser. BKNT, 2.85%, 4/1/21  4,007,000  4,015,605 
Truist Financial Corp. sr. unsec. unsub. FRB Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.65%), 0.888%, 4/1/22  26,180,000  26,331,623 
U.S. Bank NA sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.40%), 0.63%, 12/9/22  47,500,000  47,692,328 
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.44%), 0.653%, 5/23/22  47,990,000  48,211,488 
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.38%), 0.601%, 11/16/21  7,210,000  7,227,330 
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD     
3 Month + 0.32%), 0.535%, 4/26/21  5,000,000  5,002,414 
UBS AG/London 144A sr. unsec. notes 1.75%, 4/21/22     
(United Kingdom)  9,355,000  9,512,501 
US Bancorp sr. unsec. unsub. FRN Ser. MTN, (BBA LIBOR     
USD 3 Month + 0.64%), 0.858%, 1/24/22  13,507,000  13,580,026 
Wells Fargo & Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 1.23%), 1.442%, 10/31/23  28,224,000  28,693,871 
Wells Fargo & Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 1.11%), 1.328%, 1/24/23  25,159,000  25,383,402 
Wells Fargo & Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.93%), 1.144%, 2/11/22  10,175,000  10,177,137 
Wells Fargo & Co. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.34%), 1.571%, 3/4/21  22,715,000  22,741,056 
Wells Fargo & Co. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 1.03%), 1.24%, 7/26/21  40,277,000  40,467,149 

 

24 Ultra Short Duration Income Fund 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Banking cont.     
Wells Fargo Bank NA sr. unsec. FRN Ser. BKNT,     
2.082%, 9/9/22  $24,300,000  $24,558,964 
Wells Fargo Bank NA sr. unsec. FRN Ser. BKNT, (BBA     
LIBOR USD 3 Month + 0.62%), 0.853%, 5/27/22  5,000,000  5,009,533 
Wells Fargo Bank NA sr. unsec. FRN Ser. BKNT, (BBA     
LIBOR USD 3 Month + 0.51%), 0.732%, 10/22/21  35,700,000  35,808,696 
Westpac Banking Corp. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.85%), 1.075%,     
1/11/22 (Australia)  21,400,000  21,562,804 
Westpac Banking Corp. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.39%), 0.615%,     
1/13/23 (Australia)  17,300,000  17,373,940 
    4,877,039,381 
Basic materials (0.5%)     
Celanese US Holdings, LLC company guaranty sr.     
unsec. notes 5.875%, 6/15/21 (Germany)  17,332,000  17,659,577 
Georgia-Pacific, LLC 144A sr. unsec. notes     
0.625%, 5/15/24  41,895,000  41,992,323 
Nutrien, Ltd. sr. unsec. notes 1.90%, 5/13/23 (Canada)  15,600,000  16,088,132 
Nutrition & Biosciences, Inc. 144A sr. unsec. notes     
0.697%, 9/15/22  14,000,000  14,035,176 
    89,775,208 
Capital goods (0.9%)     
Honeywell International, Inc. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.37%), 0.583%, 8/8/22  28,000,000  28,125,890 
Honeywell International, Inc. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.23%), 0.461%, 8/19/22  17,500,000  17,520,653 
L3Harris Technologies, Inc. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.75%), 0.98%, 3/10/23  64,900,000  65,434,483 
Otis Worldwide Corp. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.45%), 0.688%, 4/5/23  36,885,000  36,899,518 
    147,980,544 
Communication services (0.5%)     
American Tower Corp. sr. unsec. notes 0.60%, 1/15/24 R   21,400,000  21,423,896 
Time Warner Cable, LLC company guaranty sr. unsec.     
unsub. notes 4.00%, 9/1/21  36,127,000  36,555,847 
Verizon Communications, Inc. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.00%), 1.219%, 3/16/22  24,750,000  25,018,871 
    82,998,614 
Conglomerates (0.2%)     
Siemens Financieringsmaatschappij NV 144A company     
guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.61%), 0.829%, 3/16/22 (Netherlands)  37,850,000  38,096,036 
    38,096,036 
Consumer cyclicals (2.1%)     
7-Eleven, Inc. 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.45%), 0.652%, 8/10/22  23,250,000  23,263,974 
BMW US Capital, LLC 144A company guaranty sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.50%), 0.714%, 8/13/21  20,406,000  20,453,811 
BMW US Capital, LLC 144A company guaranty sr. unsec.     
FRN (BBA LIBOR USD 3 Month + 0.41%), 0.634%, 4/12/21  19,000,000  19,014,471 

 

Ultra Short Duration Income Fund 25 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Consumer cyclicals cont.     
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. notes     
3.75%, 10/1/21  $1,730,000  $1,769,626 
Marriott International, Inc. sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.65%), 0.876%, 3/8/21  18,205,000  18,209,733 
Toyota Motor Credit Corp. sr. unsec. unsub. FRN     
Ser. MTN, (BBA LIBOR USD 3 Month + 0.29%),     
0.527%, 10/7/21  32,100,000  32,167,811 
Toyota Motor Credit Corp. sr. unsec. unsub. FRN     
Ser. MTN, (BBA LIBOR USD 3 Month + 0.20%),     
0.42%, 3/12/21  70,313,000  70,333,719 
Toyota Motor Credit Corp. sr. unsec. unsub. FRN     
Ser. MTN, (Secured Overnight Funding Rate + 0.34%),     
0.384%, 10/14/22  18,500,000  18,536,024 
Toyota Motor Credit Corp. sr. unsec. unsub. FRN     
Ser. MTN, (Secured Overnight Funding Rate + 0.33%),     
0.375%, 1/11/24  55,600,000  55,696,481 
Toyota Motor Credit Corp. sr. unsec. unsub. notes     
Ser. MTN, 0.35%, 10/14/22  32,550,000  32,579,069 
Vulcan Materials Co. sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 0.65%), 0.875%, 3/1/21  35,938,000  35,949,135 
Walt Disney Co. (The) company guaranty sr. unsec. FRN     
(BBA LIBOR USD 3 Month + 0.25%), 0.475%, 9/1/21  26,000,000  26,029,842 
Walt Disney Co. (The) company guaranty sr. unsec.     
notes 4.50%, 2/15/21  14,500,000  14,522,185 
    368,525,881 
Consumer finance (1.8%)     
American Express Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.75%), 0.966%, 8/3/23  14,155,000  14,342,138 
American Express Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.65%), 0.883%, 2/27/23  5,901,000  5,959,361 
American Express Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.60%), 0.825%, 11/5/21  22,853,000  22,936,244 
American Express Co. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.61%), 0.815%, 8/1/22  2,600,000  2,615,760 
American Express Co. sr. unsec. notes 2.50%, 8/1/22  9,300,000  9,589,112 
American Express Co. sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 0.62%), 0.844%, 5/20/22  61,545,000  61,940,734 
American Express Co. sr. unsec. unsub. FRN (BBA LIBOR     
USD 3 Month + 0.53%), 0.747%, 5/17/21  9,500,000  9,509,880 
American Honda Finance Corp. sr. unsec. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.42%), 0.646%, 9/8/23  19,000,000  19,096,470 
American Honda Finance Corp. sr. unsec. FRN Ser. MTN,     
(BBA LIBOR USD 3 Month + 0.37%), 0.576%, 5/10/23  69,262,000  69,439,119 
Aviation Capital Group, LLC 144A sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 0.95%), 1.175%, 6/1/21  36,800,000  36,767,525 
Aviation Capital Group, LLC 144A sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 0.67%), 0.882%, 7/30/21  16,960,000  16,932,602 
Capital One Financial Corp. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.95%), 1.18%, 3/9/22  4,355,000  4,385,795 

 

26 Ultra Short Duration Income Fund 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Consumer finance cont.     
Capital One Financial Corp. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.72%), 0.932%, 1/30/23  $27,644,000  $27,818,710 
Capital One Financial Corp. sr. unsec. unsub. notes     
3.05%, 3/9/22  7,680,000  7,891,575 
    309,225,025 
Consumer staples (1.2%)     
ERAC USA Finance, LLC 144A company guaranty sr.     
unsec. notes 4.50%, 8/16/21  2,825,000  2,885,904 
Keurig Dr Pepper, Inc. company guaranty sr. unsec.     
unsub. notes 3.551%, 5/25/21  56,815,000  57,399,608 
McDonald’s Corp. sr. unsec. FRN Ser. MTN, (BBA LIBOR     
USD 3 Month + 0.43%), 0.649%, 10/28/21  53,080,000  53,231,091 
Mondelez International Holdings Netherlands     
BV 144A company guaranty sr. unsec. notes 2.125%,     
9/19/22 (Netherlands)  6,790,000  6,984,261 
Mondelez International Holdings Netherlands BV 144A     
company guaranty sr. unsec. unsub. notes 2.00%,     
10/28/21 (Netherlands)  26,318,000  26,610,311 
Mondelez International, Inc. company guaranty sr.     
unsec. sub. notes 0.625%, 7/1/22  25,500,000  25,611,328 
Nestle Holdings, Inc. 144A company guaranty sr. unsec.     
notes 0.375%, 1/15/24  32,455,000  32,448,211 
    205,170,714 
Energy (0.9%)     
BP Capital Markets America, Inc. company guaranty sr.     
unsec. notes 4.742%, 3/11/21  14,900,000  14,971,073 
Chevron USA, Inc. company guaranty sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.20%), 0.414%, 8/11/23  42,293,000  42,347,852 
Chevron USA, Inc. company guaranty sr. unsec. unsub.     
FRN (BBA LIBOR USD 3 Month + 0.11%), 0.32%, 8/12/22  28,196,000  28,210,655 
Total Capital International SA company guaranty sr.     
unsec. unsub. notes 2.218%, 7/12/21 (France)  31,445,000  31,671,422 
Williams Cos Inc/The sr. unsec. notes 4.00%, 11/15/21  16,388,000  16,697,325 
Williams Cos., Inc. (The) sr. unsec. unsub. notes     
7.875%, 9/1/21  16,923,000  17,649,649 
Williams Partners LP sr. unsec. sub. notes     
3.60%, 3/15/22  3,723,000  3,833,526 
    155,381,502 
Financial (2.2%)     
Bank of Nova Scotia (The) sr. unsec. notes 1.625%,     
5/1/23 (Canada)  5,040,000  5,176,828 
Bank of Nova Scotia (The) sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.64%), 0.865%, 3/7/22 (Canada)  22,345,000  22,491,388 
Bank of Nova Scotia (The) sr. unsec. unsub. FRN     
Ser. BKNT, (BBA LIBOR USD 3 Month + 0.62%), 0.859%,     
9/19/22 (Canada)  5,096,000  5,139,293 
Credit Suisse Group AG 144A sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 1.24%), 1.46%, 6/12/24 (Switzerland)  13,623,000  13,888,878 
Intercontinental Exchange, Inc. sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 0.65%), 0.867%, 6/15/23  65,500,000  65,667,353 

 

Ultra Short Duration Income Fund 27 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Financial cont.     
Macquarie Bank Ltd. 144A unsec.sub. notes 6.625%,     
4/7/21 (Australia)  $20,778,000  $21,011,129 
Macquarie Bank, Ltd. 144A sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.45%), 0.655%, 11/24/21 (Australia)  33,250,000  33,355,502 
Nasdaq, Inc. sr. unsec. notes 0.445%, 12/21/22  14,000,000  14,012,501 
UBS Group AG 144A sr. unsec. FRN 2.859%,     
8/15/23 (Switzerland)  46,684,000  48,381,156 
UBS Group AG 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 1.22%), 1.433%, 5/23/23 (Switzerland)  15,030,000  15,221,729 
UBS Group AG 144A sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.95%), 1.171%, 8/15/23 (Switzerland)  31,169,000  31,480,449 
UBS Group Funding (Switzerland) AG 144A company     
guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 1.53%), 1.735%, 2/1/22 (Switzerland)  20,587,000  20,882,279 
UBS Group Funding (Switzerland) AG 144A company     
guaranty sr. unsec. notes (BBA LIBOR USD 3 Month     
+ 1.78%), 2.014%, 4/14/21 (Switzerland)  37,754,000  37,890,012 
UBS Group Funding Jersey, Ltd. 144A company     
guaranty sr. unsec. notes 3.00%, 4/15/21 (Switzerland)  24,323,000  24,458,954 
USAA Capital Corp. 144A sr. unsec. notes 2.00%, 6/1/21  8,300,000  8,349,277 
USAA Capital Corp. 144A sr. unsec. notes Ser. MTN,     
2.625%, 6/1/21  9,390,000  9,463,637 
    376,870,365 
Health care (3.8%)     
AbbVie, Inc. sr. unsec. FRN 0.863%, 11/21/22     
(acquired various dates 8/17/20 thru 10/30/20, cost     
$23,077,356) ∆∆   22,961,000  23,148,467 
AbbVie, Inc. sr. unsec. FRN 0.691%, 11/19/21 (acquired     
11/12/19, cost $37,000,000) ∆∆   37,000,000  37,108,292 
AbbVie, Inc. sr. unsec. FRN 0.563%, 5/21/21     
(acquired various dates 11/12/19 thru 2/19/20, cost     
$57,802,106) ∆∆   57,800,000  57,848,316 
AbbVie, Inc. sr. unsec. notes 3.375%, 11/14/21  9,250,000  9,465,923 
AbbVie, Inc. sr. unsec. sub. notes 5.00%, 12/15/21  20,984,000  21,591,447 
AbbVie, Inc. sr. unsec. sub. notes 2.15%, 11/19/21  15,817,000  16,043,275 
AbbVie, Inc. sr. unsec. unsub. notes 2.30%, 5/14/21  8,200,000  8,238,720 
AstraZeneca PLC sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.67%), 0.887%, 8/17/23 (United Kingdom)  36,320,000  36,689,353 
Becton Dickinson and Co. sr. unsec. unsub. notes     
3.125%, 11/8/21  30,042,000  30,658,736 
Bristol-Myers Squibb Co. sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.38%), 0.601%, 5/16/22 (acquired     
5/7/19, cost $9,300,000) ∆∆   9,300,000  9,333,955 
Bristol-Myers Squibb Co. sr. unsec. sub. notes     
0.537%, 11/13/23  33,400,000  33,422,178 
Cigna Corp. company guaranty sr. unsec. unsub. notes     
3.40%, 9/17/21  745,000  759,442 
CVS Health Corp. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.72%), 0.95%, 3/9/21  25,310,000  25,328,546 
CVS Health Corp. sr. unsec. unsub. notes 3.35%, 3/9/21  17,208,000  17,260,484 
CVS Health Corp. sr. unsec. unsub. notes 2.125%, 6/1/21  14,410,000  14,476,476 

 

28 Ultra Short Duration Income Fund 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Health care cont.     
Gilead Sciences, Inc. sr. unsec. FRN (BBA LIBOR USD     
3 Month + 0.15%), 0.379%, 9/17/21  $19,000,000  $19,011,573 
Gilead Sciences, Inc. sr. unsec. notes 0.75%, 9/29/23  28,000,000  28,056,577 
GlaxoSmithKline Capital PLC company guaranty sr.     
unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.35%),     
0.571%, 5/14/21 (United Kingdom)  23,750,000  23,773,431 
Mylan NV company guaranty sr. unsec. notes     
3.15%, 6/15/21  69,482,000  70,022,374 
Stryker Corp. sr. unsec. notes 0.60%, 12/1/23  14,000,000  14,019,910 
UnitedHealth Group, Inc. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.26%), 0.477%, 6/15/21  27,450,000  27,469,827 
Viatris, Inc. 144A company guaranty sr. unsec. notes     
1.125%, 6/22/22  68,540,000  69,155,825 
Zoetis, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month     
+ 0.44%), 0.664%, 8/20/21  60,480,000  60,640,752 
    653,523,879 
Insurance (3.6%)     
AIG Global Funding 144A notes 0.80%, 7/7/23  15,000,000  15,159,127 
AIG Global Funding 144A sr. FRN (BBA LIBOR USD     
3 Month + 0.46%), 0.711%, 6/25/21  20,134,000  20,168,423 
AIG Global Funding 144A sr. unsub. FRN (Secured     
Overnight Funding Rate + 0.38%), 0.439%, 12/15/23  37,000,000  36,999,160 
American International Group, Inc. sr. unsec. unsub.     
notes 3.30%, 3/1/21  6,917,000  6,917,000 
Jackson National Life Global Funding 144A     
FRN (Secured Overnight Funding Rate + 0.60%),     
0.649%, 1/6/23  46,750,000  47,048,885 
Jackson National Life Global Funding 144A sr. FRN (BBA     
LIBOR USD 3 Month + 0.73%), 0.981%, 6/27/22  33,784,000  34,056,975 
Jackson National Life Global Funding 144A sr. FRN (BBA     
LIBOR USD 3 Month + 0.48%), 0.701%, 6/11/21  47,303,000  47,360,095 
MassMutual Global Funding II 144A notes 2.25%, 7/1/22  18,600,000  19,108,840 
MET Tower Global Funding 144A FRN (Secured     
Overnight Funding Rate + 0.55%), 0.593%, 1/17/23  13,300,000  13,387,572 
MET Tower Global Funding 144A notes 0.55%, 7/13/22  23,000,000  23,087,239 
Metropolitan Life Global Funding I 144A FRN (Secured     
Overnight Funding Rate + 0.57%), 0.615%, 1/13/23  31,350,000  31,577,095 
Metropolitan Life Global Funding I 144A FRN (Secured     
Overnight Funding Rate + 0.50%), 0.54%, 5/28/21  19,550,000  19,575,272 
Metropolitan Life Global Funding I 144A FRN (Secured     
Overnight Funding Rate + 0.32%), 0.368%, 1/7/24  27,300,000  27,327,194 
Metropolitan Life Global Funding I 144A notes     
2.40%, 6/17/22  18,500,000  19,026,181 
New York Life Global Funding 144A FRN (BBA LIBOR USD     
3 Month + 0.52%), 0.75%, 6/10/22  47,550,000  47,856,977 
New York Life Global Funding 144A FRN (Secured     
Overnight Funding Rate + 0.36%), 0.401%, 10/21/23  9,500,000  9,529,678 
New York Life Global Funding 144A FRN (Secured     
Overnight Funding Rate + 0.22%), 0.26%, 2/2/23  27,255,000  27,256,962 
New York Life Global Funding 144A sr. FRN (BBA LIBOR     
USD 3 Month + 0.28%), 0.504%, 1/21/22  42,000,000  42,103,143 

 

Ultra Short Duration Income Fund 29 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Insurance cont.     
New York Life Global Funding 144A sr. notes (BBA LIBOR     
USD 3 Month + 0.28%), 0.505%, 1/10/23  $56,750,000  $56,908,154 
Pacific Life Global Funding II 144A company guaranty sr.     
notes 0.50%, 9/23/23  28,215,000  28,293,974 
Protective Life Global Funding 144A notes     
0.631%, 10/13/23  23,200,000  23,341,668 
Trinity Acquisition PLC company guaranty sr. unsec.     
unsub. notes 3.50%, 9/15/21 (United Kingdom)  12,818,000  13,027,183 
Willis Towers Watson PLC company guaranty sr. unsec.     
unsub. notes 5.75%, 3/15/21  15,041,000  15,135,307 
    624,252,104 
Investment banking/Brokerage (3.1%)     
Charles Schwab Corp. (The) sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.32%), 0.533%, 5/21/21  28,500,000  28,518,738 
Deutsche Bank AG sr. unsec. unsub. notes 4.25%,     
10/14/21 (Germany)  75,450,000  77,320,760 
Deutsche Bank AG sr. unsec. unsub. notes Ser. GMTN,     
3.375%, 5/12/21 (Germany)  3,185,000  3,209,443 
Deutsche Bank AG sr. unsec. unsub. notes 4.25%,     
2/4/21 (Germany)  11,510,000  11,512,304 
Deutsche Bank AG sr. unsec. unsub. notes 3.375%,     
5/12/21 (Germany)  12,824,000  12,925,533 
Goldman Sachs Group, Inc. (The) sr. unsec. FRN (BBA     
LIBOR USD 3 Month + 1.05%), 1.275%, 6/5/23  7,263,000  7,336,188 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 1.11%), 1.325%, 4/26/22  14,877,000  14,913,309 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.78%), 0.992%, 10/31/22  533,000  535,488 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.75%), 0.963%, 2/23/23  58,371,000  58,978,117 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub.     
FRN (Secured Overnight Funding Rate + 0.54%),     
0.61%, 11/17/23  19,200,000  19,252,419 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub.     
FRN (Secured Overnight Funding Rate + 0.41%),     
0.45%, 1/27/23  47,000,000  47,017,820 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub.     
notes 5.25%, 7/27/21  8,089,000  8,285,374 
Goldman Sachs Group, Inc. (The) sr. unsec. unsub.     
notes 0.481%, 1/27/23  23,500,000  23,497,298 
Morgan Stanley sr. unsec. FRN Ser. GMTN, (Secured     
Overnight Funding Rate + 0.70%), 0.741%, 1/20/23  29,940,000  30,061,278 
Morgan Stanley sr. unsec. FRN Ser. MTN,     
0.56%, 11/10/23  18,500,000  18,512,212 
Morgan Stanley sr. unsec. FRN Ser. MTN,     
0.529%, 1/25/24  23,000,000  23,008,950 
Morgan Stanley sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.93%), 1.152%, 7/22/22  18,363,000  18,433,070 
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, (BBA     
LIBOR USD 3 Month + 1.40%), 1.624%, 4/21/21  27,462,000  27,539,401 

 

30 Ultra Short Duration Income Fund 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Investment banking/Brokerage cont.     
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, (BBA     
LIBOR USD 3 Month + 1.22%), 1.433%, 5/8/24  $26,144,000  $26,687,511 
TD Ameritrade Holding Corp. sr. unsec. FRN (BBA LIBOR     
USD 3 Month + 0.43%), 0.635%, 11/1/21  70,400,000  70,574,983 
    528,120,196 
Technology (0.4%)     
Fiserv, Inc. sr. unsec. notes 4.75%, 6/15/21  4,287,000  4,358,070 
IBM Corp. sr. unsec. unsub. FRN (BBA LIBOR USD     
3 Month + 0.40%), 0.621%, 5/13/21  18,680,000  18,702,398 
Microchip Technology, Inc. company guaranty sr. notes     
3.922%, 6/1/21  39,819,000  40,278,954 
    63,339,422 
Utilities and power (2.5%)     
American Electric Power Co., Inc. sr. unsec. unsub. FRN     
(BBA LIBOR USD 3 Month + 0.48%), 0.685%, 11/1/23  18,500,000  18,522,445 
American Electric Power Co., Inc. sr. unsec. unsub.     
notes 0.75%, 11/1/23  9,500,000  9,521,144 
Consolidated Edison Co. of New York, Inc. sr. unsec.     
unsub. FRN Ser. C, (BBA LIBOR USD 3 Month + 0.40%),     
0.651%, 6/25/21  47,100,000  47,175,823 
Dominion Energy, Inc. jr. unsec. sub. notes     
4.104%, 4/1/21  7,180,000  7,225,353 
Dominion Energy, Inc. jr. unsec. sub. notes     
2.715%, 8/15/21  10,451,000  10,577,986 
Dominion Energy, Inc. sr. unsec. unsub. FRN Ser. D, (BBA     
LIBOR USD 3 Month + 0.53%), 0.747%, 9/15/23  20,688,000  20,732,773 
Dominion Energy, Inc. sr. unsec. unsub. notes     
Ser. C, 2.00%, 8/15/21  4,700,000  4,735,406 
Duke Energy Corp. sr. unsec. unsub. notes (BBA LIBOR     
USD 3 Month + 0.65%), 0.871%, 3/11/22  23,600,000  23,752,728 
Duke Energy Corp. 144A sr. unsec. notes (BBA LIBOR     
USD 3 Month + 0.50%), 0.721%, 5/14/21  53,295,000  53,361,288 
Duke Energy Florida, LLC sr. unsec. FRN Ser. A, (BBA     
LIBOR USD 3 Month + 0.25%), 0.482%, 11/26/21  14,825,000  14,847,682 
Duke Energy Progress, LLC sr. unsec. unsub.     
FRN Ser. A, (BBA LIBOR USD 3 Month + 0.18%),     
0.40%, 2/18/22  19,200,000  19,201,651 
Enbridge Energy Partners LP company guaranty sr.     
unsec. notes 4.20%, 9/15/21  6,608,000  6,702,064 
Entergy Louisiana, LLC sr. notes 0.62%, 11/17/23  17,300,000  17,342,821 
Florida Power & Light Co. sr. unsec. unsub. FRN (BBA     
LIBOR USD 3 Month + 0.38%), 0.599%, 7/28/23  28,390,000  28,391,164 
Kinder Morgan Energy Partners LP company guaranty     
sr. unsec. unsub. notes 5.80%, 3/1/21  10,210,000  10,252,917 
Kinder Morgan Energy Partners LP company guaranty     
sr. unsec. unsub. notes 5.00%, 10/1/21  36,034,000  36,706,751 
Kinder Morgan, Inc. 144A company guaranty sr. unsec.     
notes 5.00%, 2/15/21  7,060,000  7,071,350 
Pacific Gas and Electric Co. FRN (BBA LIBOR USD     
3 Month + 1.48%), 1.699%, 6/16/22  23,090,000  23,111,879 
Pacific Gas and Electric Co. notes 1.75%, 6/16/22  19,282,000  19,333,775 

 

Ultra Short Duration Income Fund 31 

 


 

  Principal   
CORPORATE BONDS AND NOTES (51.9%)* cont.  amount  Value 
Utilities and power cont.     
PPL Electric Utilities Corp. sr. unsub. FRN (BBA LIBOR     
USD 3 Month + 0.25%), 0.501%, 9/28/23  $9,000,000  $9,008,787 
PPL WEM Ltd./Western Power Distribution, Ltd. 144A sr.     
unsec. unsub. notes 5.375%, 5/1/21 (United Kingdom)  2,976,000  2,986,695 
Public Service Enterprise Group, Inc. sr. unsec. unsub.     
notes 2.00%, 11/15/21  32,058,000  32,424,462 
Xcel Energy, Inc. sr. unsec. notes 0.50%, 10/15/23  9,189,000  9,204,008 
    432,190,952 
Total corporate bonds and notes (cost $8,923,515,198)    $8,952,489,823 

 

    Maturity  Principal   
COMMERCIAL PAPER (28.7%)*  Yield (%)  date  amount  Value 
Alexandria Real Estate Equities, Inc.  0.200  2/10/21  $108,465,000  $108,452,635 
Alexandria Real Estate Equities, Inc.  0.180  2/3/21  60,000,000  59,997,250 
Amcor Finance (USA), Inc.  0.280  2/16/21  45,750,000  45,746,454 
Amcor Flexibles NA, Inc.  0.230  2/22/21  21,250,000  21,247,266 
Amcor Flexibles NA, Inc.  0.230  2/19/21  47,500,000  47,494,736 
Amcor Flexibles NA, Inc.  0.220  2/11/21  23,250,000  23,247,815 
American Electric Power Co., Inc.  0.300  3/26/21  13,995,000  13,989,884 
American Electric Power Co., Inc.  0.270  2/18/21  27,750,000  27,747,117 
American Electric Power Co., Inc.  0.230  3/15/21  22,250,000  22,243,881 
American Electric Power Co., Inc.  0.200  3/9/21  38,000,000  37,991,273 
American Honda Finance Corp.  0.320  2/26/21  25,250,000  25,245,110 
American Honda Finance Corp.  0.310  2/22/21  15,000,000  14,997,520 
American Honda Finance Corp.  0.300  4/8/21  23,050,000  23,038,381 
American Honda Finance Corp.  0.300  4/6/21  12,000,000  11,994,149 
American Honda Finance Corp.  0.290  3/5/21  8,750,000  8,747,856 
AT&T, Inc.  0.432  12/14/21  23,250,000  23,173,566 
AT&T, Inc.  0.414  12/15/21  32,500,000  32,392,533 
AT&T, Inc.  0.402  12/16/21  46,500,000  46,345,760 
AT&T, Inc.  0.381  11/18/21  46,500,000  46,367,918 
AT&T, Inc.  0.300  6/1/21  23,250,000  23,228,393 
Autonation, Inc.  0.200  2/1/21  115,500,000  115,496,400 
Baker Hughes Holdings, LLC  0.250  3/5/21  46,500,000  46,492,631 
Banco Santander SA (Spain)  0.573  8/16/21  15,250,000  15,231,201 
Banco Santander SA (Spain)  0.533  8/23/21  9,400,000  9,389,135 
BP Capital Markets PLC (United Kingdom)  0.290  5/4/21  23,500,000  23,485,117 
Cabot Corp.  0.330  2/1/21  58,550,000  58,549,268 
Cabot Corp.  0.250  2/16/21  60,000,000  59,994,510 
Cabot Corp.  0.200  2/2/21  36,600,000  36,599,390 
CenterPoint Energy, Inc.  0.260  2/4/21  18,650,000  18,649,655 
CenterPoint Energy, Inc.  0.240  2/3/21  9,500,000  9,499,851 
CenterPoint Energy, Inc.  0.220  3/2/21  14,000,000  13,997,474 
CenterPoint Energy, Inc.  0.220  2/24/21  9,500,000  9,498,717 
CenterPoint Energy, Inc.  0.220  2/18/21  6,768,000  6,767,387 
CenterPoint Energy, Inc.  0.210  2/25/21  22,000,000  21,996,865 
CenterPoint Energy, Inc.  0.210  2/11/21  8,000,000  7,999,639 
CenterPoint Energy, Inc.  0.200  3/4/21  20,000,000  19,996,128 
CenterPoint Energy, Inc.  0.200  3/3/21  22,000,000  21,995,886 

 

32 Ultra Short Duration Income Fund 

 


 

    Maturity  Principal   
COMMERCIAL PAPER (28.7%)* cont.  Yield (%)  date  amount  Value 
CenterPoint Energy, Inc.  0.200  2/24/21  $7,500,000  $7,498,987 
Conagra Brands, Inc.  0.651  2/16/21  47,000,000  46,987,216 
Conagra Brands, Inc.  0.270  2/1/21  58,250,000  58,247,379 
Conagra Brands, Inc.  0.250  2/4/21  34,000,000  33,996,940 
Consolidated Edison, Inc.  0.400  2/12/21  55,500,000  55,496,396 
Consolidated Edison, Inc.  0.280  2/8/21  69,750,000  69,746,939 
Crown Castle International Corp.  0.410  2/3/21  55,750,000  55,747,081 
Crown Castle International Corp.  0.389  2/17/21  66,250,000  66,236,189 
Crown Castle International Corp.  0.400  2/10/21  50,000,000  49,993,567 
Dominion Energy South Carolina  0.240  3/24/21  23,250,000  23,241,909 
Duke Energy Corp.  0.260  2/17/21  19,000,000  18,998,165 
Enbridge US, Inc.  0.300  4/27/21  14,000,000  13,990,520 
Enbridge US, Inc.  0.220  2/16/21  11,950,000  11,948,925 
Enbridge US, Inc.  0.220  2/5/21  23,250,000  23,249,322 
Enbridge US, Inc.  0.210  2/9/21  27,750,000  27,748,643 
Enbridge US, Inc.  0.200  2/22/21  37,250,000  37,245,207 
ENGIE SA (France)  0.300  3/26/21  14,000,000  13,994,882 
ENGIE SA (France)  0.280  3/8/21  28,000,000  27,993,764 
ENGIE SA (France)  0.280  2/11/21  27,468,000  27,466,562 
ENGIE SA (France)  0.280  2/9/21  46,500,000  46,498,011 
ENGIE SA (France)  0.280  2/5/21  46,500,000  46,498,824 
ENGIE SA (France)  0.270  2/18/21  9,500,000  9,499,076 
Eni Finance USA, Inc.  0.401  2/23/21  18,500,000  18,497,777 
Eni Finance USA, Inc.  0.380  2/16/21  30,000,000  29,997,690 
Eni Finance USA, Inc.  0.380  2/8/21  23,500,000  23,499,086 
Eni Finance USA, Inc.  0.380  2/5/21  23,250,000  23,249,367 
Eni Finance USA, Inc.  0.380  2/2/21  23,500,000  23,499,634 
Entergy Corp.  0.401  5/24/21  23,500,000  23,479,131 
Entergy Corp.  0.401  5/14/21  26,550,000  26,528,705 
Entergy Corp.  0.371  2/23/21  25,000,000  24,995,955 
Entergy Corp.  0.320  3/12/21  17,800,000  17,794,850 
Entergy Corp.  0.320  3/4/21  13,500,000  13,496,902 
Entergy Corp.  0.320  3/1/21  30,000,000  29,993,774 
Entergy Corp.  0.310  3/16/21  15,351,000  15,346,077 
Entergy Corp.  0.300  4/5/21  3,000,000  2,998,559 
ERP Operating Limited Partnership  0.320  2/26/21  30,000,000  29,995,380 
ERP Operating LP  0.300  2/22/21  39,000,000  38,994,982 
ERP Operating LP  0.268  3/18/21  37,250,000  37,238,875 
ETP Legacy LP  0.579  2/1/21  172,000,000  171,994,639 
Fidelity National Information Services, Inc.  0.263  3/3/21  18,100,000  18,096,615 
Fidelity National Information Services, Inc.  0.240  2/22/21  46,500,000  46,493,955 
Fidelity National Information Services, Inc.  0.230  2/16/21  38,750,000  38,746,454 
Fidelity National Information Services, Inc.  0.230  2/5/21  43,000,000  42,998,746 
FMC Corp.  0.550  2/4/21  23,250,000  23,247,582 
FMC Corp.  0.550  2/2/21  9,500,000  9,499,395 
FMC Corp.  0.500  2/24/21  46,500,000  46,478,305 
FMC Corp.  0.500  2/11/21  9,500,000  9,497,719 
FMC Corp.  0.500  2/10/21  23,250,000  23,244,869 
FMC Corp.  0.400  2/1/21  46,500,000  46,497,881 
General Motors Financial Co., Inc.  0.802  3/15/21  18,750,000  18,738,281 

 

Ultra Short Duration Income Fund 33 

 


 

    Maturity  Principal   
COMMERCIAL PAPER (28.7%)* cont.  Yield (%)  date  amount  Value 
General Motors Financial Co., Inc.  0.802  2/25/21  $14,000,000  $13,995,212 
General Motors Financial Co., Inc.  0.802  2/22/21  14,000,000  13,995,781 
General Motors Financial Co., Inc.  0.802  2/17/21  9,500,000  9,497,784 
General Motors Financial Co., Inc.  0.770  2/23/21  37,500,000  37,488,203 
General Motors Financial Co., Inc.  0.752  4/1/21  9,500,000  9,491,378 
General Motors Financial Co., Inc.  0.752  2/11/21  9,500,000  9,498,611 
General Motors Financial Co., Inc.  0.751  2/8/21  14,000,000  13,998,569 
General Motors Financial Co., Inc.  0.701  3/2/21  7,250,000  7,247,003 
General Motors Financial Co., Inc.  0.701  3/1/21  19,000,000  18,992,425 
General Motors Financial Co., Inc.  0.320  2/3/21  19,000,000  18,999,137 
HSBC USA, Inc.  0.501  3/3/21  47,000,000  46,991,039 
HSBC USA, Inc.  0.501  2/5/21  4,600,000  4,599,893 
HSBC USA, Inc.  0.451  3/22/21  44,700,000  44,685,279 
HSBC USA, Inc.  0.391  7/9/21  46,250,000  46,183,397 
Humana, Inc.  0.350  2/23/21  9,500,000  9,496,484 
Humana, Inc.  0.350  2/17/21  28,000,000  27,992,242 
Humana, Inc.  0.300  2/3/21  31,500,000  31,497,725 
Humana, Inc.  0.300  2/2/21  46,500,000  46,497,313 
Humana, Inc.  0.300  2/1/21  10,750,000  10,749,534 
Humana, Inc.  0.280  3/18/21  31,500,000  31,476,816 
Humana, Inc.  0.280  3/12/21  14,250,000  14,240,890 
Hyundai Capital America (South Korea)  0.350  3/8/21  35,000,000  34,989,249 
Hyundai Capital America (South Korea)  0.350  3/2/21  23,500,000  23,494,088 
Hyundai Capital America (South Korea)  0.350  2/9/21  32,500,000  32,498,411 
Hyundai Capital America (South Korea)  0.350  2/1/21  23,500,000  23,499,706 
Hyundai Capital America (South Korea)  0.320  2/19/21  23,500,000  23,496,710 
Hyundai Capital America (South Korea)  0.320  2/17/21  23,500,000  23,497,309 
Hyundai Capital America (South Korea)  0.320  2/3/21  10,500,000  10,499,781 
Intercontinental Exchange, Inc.  0.421  6/22/21  3,500,000  3,493,298 
Intercontinental Exchange, Inc.  0.370  2/24/21  49,000,000  48,988,534 
Intercontinental Exchange, Inc.  0.350  3/17/21  19,000,000  18,991,279 
Intercontinental Exchange, Inc.  0.330  3/24/21  15,000,000  14,991,885 
Intercontinental Exchange, Inc.  0.320  3/5/21  20,000,000  19,993,480 
Intesa Sanpaolo Funding, LLC (Spain)  0.411  2/25/21  28,000,000  27,989,374 
Intesa Sanpaolo Funding, LLC (Spain)  0.351  4/23/21  76,000,000  75,904,595 
Intesa Sanpaolo Funding, LLC (Spain)  0.340  4/21/21  18,250,000  18,227,677 
Intesa Sanpaolo Funding, LLC (Spain)  0.320  3/1/21  9,850,000  9,845,666 
Intesa Sanpaolo Funding, LLC (Spain)  0.300  4/26/21  17,575,000  17,552,107 
National Grid North America Inc.  0.300  2/18/21  42,000,000  41,995,637 
National Grid North America, Inc.  0.270  3/26/21  58,250,000  58,228,706 
National Grid PLC (United Kingdom)  0.240  2/11/21  25,000,000  24,998,511 
National Grid PLC (United Kingdom)  0.240  2/10/21  23,500,000  23,498,731 
National Grid PLC (United Kingdom)  0.230  2/8/21  23,250,000  23,248,980 
Plains All American Pipeline LP  0.600  2/4/21  39,750,000  39,749,006 
Plains Midstream Canada ULC (Canada)  0.650  2/1/21  23,250,000  23,249,128 
Plains Midstream Canada ULC (Canada)  0.600  2/8/21  23,750,000  23,747,005 
Plains Midstream Canada ULC (Canada)  0.550  2/5/21  27,750,000  27,747,572 
Plains Midstream Canada ULC (Canada)  0.559  2/2/21  57,500,000  57,497,125 
PPG Industries, Inc.  0.421  8/2/21  70,750,000  70,622,021 
Questar Gas Co.  0.220  2/18/21  18,500,000  18,494,584 

 

34 Ultra Short Duration Income Fund 

 


 

    Maturity  Principal   
COMMERCIAL PAPER (28.7%)* cont.  Yield (%)  date  amount  Value 
Realty Income Corp.  0.241  2/19/21  $53,900,000  $53,892,454 
Schlumberger Holdings Corp.  0.472  8/13/21  23,750,000  23,719,613 
Schlumberger Holdings Corp.  0.401  2/11/21  29,500,000  29,499,574 
Shell International Finance BV (Netherlands)  0.553  6/14/21  48,000,000  47,968,267 
Shell International Finance BV (Netherlands)  0.523  6/22/21  48,000,000  47,965,824 
Shell International Finance BV (Netherlands)  0.512  5/3/21  38,000,000  37,984,819 
Simon Property Group LP  0.350  4/9/21  23,250,000  23,243,987 
Societe Generale SA (France)  0.667  6/2/21  33,000,000  33,037,488 
Societe Generale SA (France)  0.657  6/8/21  29,000,000  29,034,220 
Societe Generale SA (France)  0.650  6/14/21  49,000,000  49,060,270 
Societe Generale SA (France)  0.350  12/10/21  18,000,000  18,006,012 
Societe Generale SA (France)  0.322  12/3/21  46,500,000  46,505,255 
Suncor Energy, Inc. (Canada)  0.380  3/18/21  14,750,000  14,745,595 
Suncor Energy, Inc. (Canada)  0.360  3/15/21  16,250,000  16,245,531 
Suncor Energy, Inc. (Canada)  0.350  3/16/21  9,250,000  9,247,388 
Suncor Energy, Inc. (Canada)  0.330  2/18/21  14,000,000  13,998,546 
Suncor Energy, Inc. (Canada)  0.320  3/9/21  18,500,000  18,495,751 
Suncor Energy, Inc. (Canada)  0.327  3/8/21  43,000,000  42,990,423 
Suncor Energy, Inc. (Canada)  0.320  3/3/21  9,500,000  9,498,224 
Suncor Energy, Inc. (Canada)  0.310  2/24/21  32,750,000  32,745,364 
Suncor Energy, Inc. (Canada)  0.310  2/22/21  14,000,000  13,998,199 
UDR, Inc.  0.220  3/2/21  37,250,000  37,243,279 
Walgreens Boots Alliance, Inc.  0.356  2/12/21  23,000,000  22,998,238 
Walgreens Boots Alliance, Inc.  0.340  2/10/21  46,500,000  46,497,024 
Walgreens Boots Alliance, Inc.  0.330  2/19/21  33,000,000  32,995,765 
Walt Disney Co. (The)  0.502  6/15/21  23,250,000  23,223,810 
Waste Management, Inc.  0.452  9/10/21  47,000,000  46,923,380 
Total commercial paper (cost $4,956,673,201)        $4,957,203,610 

 

  Principal   
ASSET-BACKED SECURITIES (8.2%)*  amount  Value 
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE,     
(BBA LIBOR USD 3 Month + 2.90%), 3.118%, 7/25/24  $36,188,000  $36,314,658 
Ally Auto Receivables Trust Ser. 17-4, Class A4,     
1.96%, 7/15/22  9,934,425  9,965,519 
American Express Credit Account Master Trust     
Ser. 18-6, Class A, 3.06%, 2/15/24  18,868,000  19,118,831 
Ser. 19-3, Class A, 2.00%, 4/15/25  58,000,000  59,694,998 
Bank of America Credit Card Trust Ser. 18-A1, Class A1,     
2.70%, 7/17/23  17,690,000  17,707,460 
Bank of The West Auto Trust 144A     
Ser. 18-1, Class A3, 3.43%, 12/15/22  5,412,814  5,452,660 
Ser. 19-1, Class A3, 2.43%, 4/15/24  18,171,000  18,485,613 
Ser. 19-1, Class A2, 2.40%, 10/17/22  472,641  473,557 
BMW Vehicle Owner Trust Ser. 20-A, Class A2,     
0.39%, 2/27/23  5,997,230  6,002,274 
Canadian Pacer Auto Receivables Trust 144A Ser. 20-1A,     
Class A2A, 1.77%, 11/21/22 (Canada)  10,496,589  10,553,243 
Capital One Multi-Asset Execution Trust FRB Ser. 17-A2,     
Class A2, (1 Month US LIBOR + 0.41%), 0.537%, 1/15/25  14,850,000  14,883,267 

 

Ultra Short Duration Income Fund 35 

 


 

  Principal   
ASSET-BACKED SECURITIES (8.2%)* cont.  amount  Value 
CarMax Auto Owner Trust     
Ser. 18-4, Class A3, 3.36%, 9/15/23  $22,937,960  $23,440,600 
Ser. 18-1, Class A3, 2.48%, 11/15/22  4,790,277  4,821,276 
Ser. 19-3, Class A3, 2.18%, 8/15/24  15,300,000  15,672,035 
Ser. 20-1, Class A2, 1.87%, 4/17/23  8,435,335  8,489,670 
Ser. 20-3, Class A3, 0.62%, 3/17/25  19,000,000  19,111,340 
Carvana Auto Receivables Trust Ser. 20-P1, Class A2,     
0.28%, 11/8/23  9,750,000  9,740,855 
Ford Credit Auto Owner Trust     
Ser. 18-A, Class A4, 3.16%, 10/15/23  3,375,000  3,452,700 
Ser. 20-B, Class A2, 0.50%, 2/15/23  11,215,986  11,234,919 
FRB Ser. 19-C, Class A2B, (1 Month US LIBOR + 0.19%),     
0.317%, 7/15/22  7,902,360  7,902,376 
Ford Credit Floorplan Master Owner Trust     
Ser. 18-3, Class A1, 3.52%, 10/15/23  28,457,000  29,115,151 
Ser. 20-1, Class A1, 0.70%, 9/15/25  31,000,000  31,263,345 
FRB Ser. 18-1, Class A2, (1 Month US LIBOR + 0.28%),     
0.407%, 5/15/23  5,600,000  5,604,271 
General Motors Financial Floorplan Owner     
Revolving Trust 144A     
Ser. 18-4, Class A1, 3.50%, 9/15/23  445,000  454,003 
Ser. 20-1, Class A, 0.68%, 8/15/25  26,500,000  26,689,131 
GM Financial Automobile Leasing Trust Ser. 20-3,     
Class A2A, 0.35%, 11/21/22  19,000,000  18,998,670 
GM Financial Consumer Automobile Receivables Trust     
Ser. 18-4, Class A3, 3.21%, 10/16/23  19,828,032  20,196,337 
Ser. 18-3, Class A3, 3.02%, 5/16/23  4,708,197  4,768,930 
Ser. 18-1, Class A3, 2.32%, 7/18/22  2,927,689  2,938,609 
Ser. 20-4, Class A3, 0.38%, 8/18/25  3,000,000  3,008,358 
Ser. 20-3, Class A2, 0.35%, 7/17/23  9,061,891  9,070,258 
GM Financial Consumer Automobile Receivables Trust     
Ser. 21-1, Class A2, 0.23%, 11/16/23  21,500,000  21,479,042 
Golden Credit Card Trust 144A Ser. 18-4A,     
Class A, 3.44%, 8/15/25  1,250,000  1,348,045 
Honda Auto Receivables Owner Trust     
Ser. 18-3, Class A3, 2.95%, 8/22/22  3,741,309  3,782,484 
Ser. 19-3, Class A2, 1.90%, 4/15/22  5,111,491  5,127,287 
Ser. 19-4, Class A2, 1.86%, 6/20/22  16,093,400  16,172,322 
Ser. 20-2, Class A3, 0.82%, 7/15/24  12,500,000  12,646,350 
Ser. 20-3, Class A3, 0.37%, 10/18/24  12,500,000  12,513,728 
Hyundai Auto Lease Securitization Trust 144A     
Ser. 20-B, Class A2, 0.36%, 1/17/23  17,500,000  17,518,008 
Hyundai Auto Receivables Trust     
Ser. 16-B, Class D, 2.68%, 9/15/23  5,490,000  5,511,345 
Ser. 17-A, Class A, 2.09%, 4/17/23  1,066,487  1,067,271 
Ser. 20-B, Class A2, 0.38%, 3/15/23  15,000,000  15,023,145 
Mello Warehouse Securitization Trust 144A     
FRB Ser. 20-1, Class A, (1 Month US LIBOR + 0.90%),     
1.03%, 10/25/53  15,023,000  15,023,000 
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%),     
0.93%, 11/25/53  8,972,000  8,972,000 

 

36 Ultra Short Duration Income Fund 

 


 

  Principal   
ASSET-BACKED SECURITIES (8.2%)* cont.  amount  Value 
Mello Warehouse Securitization Trust 144A     
FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%),     
0.93%, 6/25/52  $21,799,000  $21,785,376 
FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.70%),     
zero %, 2/25/55  19,068,000  19,068,000 
Mercedes-Benz Auto Receivables Trust     
Ser. 18-1, Class A3, 3.03%, 1/17/23  2,754,061  2,783,556 
Ser. 19-1, Class A3, 1.94%, 3/15/24  34,000,000  34,525,895 
Mortgage Repurchase Agreement Financing Trust     
FRB Ser. 20-4, Class A1, (1 Month US LIBOR + 1.35%),     
1.483%, 4/23/23  19,594,000  19,591,974 
Mortgage Repurchase Agreement Financing Trust 144A     
FRB Ser. 20-5, Class A1, (1 Month US LIBOR + 1.00%),     
1.133%, 8/10/23  27,343,000  27,343,000 
MRA Issuance Trust 144A     
FRB Ser. 20-2, Class A2, (1 Month US LIBOR + 1.45%),     
1.95%, 7/21/21  45,609,000  46,012,092 
FRB Ser. 20-11, Class A1X, (1 Month US LIBOR + 1.75%),     
1.90%, 4/23/21  50,917,000  51,165,068 
FRB Ser. 20-12, Class A1X, (1 Month US LIBOR + 1.35%),     
1.477%, 7/15/21  44,799,000  44,895,587 
FRB Ser. 21-5, Class A1X, (1 Month US LIBOR + 1.75%),     
zero %, 7/26/21  50,917,000  50,917,000 
Nissan Auto Lease Trust Ser. 20-B, Class A2,     
0.34%, 12/15/22  16,000,000  16,017,424 
Nissan Auto Receivables Owner Trust     
Ser. 19-A, Class A3, 2.90%, 10/16/23  13,158,211  13,388,302 
Ser. 19-B, Class A3, 2.50%, 11/15/23  25,000,000  25,447,688 
Ser. 17-C, Class A3, 2.12%, 4/18/22  1,394,951  1,397,796 
Ser. 17-A, Class A4, 2.11%, 5/15/23  10,135,660  10,166,369 
Ser. 17-B, Class A4, 1.95%, 10/16/23  15,055,911  15,135,381 
Ser. 19-C, Class A3, 1.93%, 7/15/24  20,500,000  20,931,874 
Santander Consumer Auto Receivables Trust 144A     
Ser. 20-BA, Class A4, 0.54%, 4/15/25  8,925,000  8,951,757 
Ser. 20-BA, Class A2, 0.38%, 2/15/23  13,238,025  13,250,667 
Santander Retail Auto Lease Trust 144A     
Ser. 20-B, Class A2, 0.42%, 11/20/23  7,600,000  7,612,803 
Securitized Term Auto Receivables Trust 144A     
Ser. 18-1A, Class A3, 3.068%, 1/25/22 (Canada)  1,498,401  1,501,977 
Ser. 19-1A, Class A3, 2.986%, 2/27/23 (Canada)  6,195,544  6,269,940 
Station Place Securitization Trust 144A     
FRB Ser. 20-6, Class A, (1 Month US LIBOR + 1.75%),     
1.88%, 9/7/21  42,187,000  42,187,000 
FRB Ser. 20-13, Class A, (1 Month US LIBOR + 1.50%),     
1.63%, 10/10/21  49,536,000  49,536,000 
FRB Ser. 20-15, Class A, (1 Month US LIBOR + 1.37%),     
1.50%, 12/10/21  49,539,000  49,539,000 
FRB Ser. 21-WL1, Class A, (1 Month US LIBOR + 0.00%),     
1.298%, 1/26/54  31,964,000  31,964,000 

 

Ultra Short Duration Income Fund 37 

 


 

  Principal   
ASSET-BACKED SECURITIES (8.2%)* cont.  amount  Value 
Station Place Securitization Trust 144A     
FRB Ser. 20-WL1, Class A, (1 Month US LIBOR + 1.15%),     
1.28%, 6/25/51  $40,074,000  $40,074,000 
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.83%),     
0.955%, 3/26/21  49,203,000  49,203,000 
Towd Point Asset Trust 144A FRB Ser. 18-SL1,     
Class A, (1 Month US LIBOR + 0.60%), 0.749%, 1/25/46  1,612,386  1,580,348 
Toyota Auto Receivables Owner Trust     
Ser. 18-D, Class A4, 3.30%, 2/15/24  2,200,000  2,301,998 
Ser. 19-B, Class A2A, 2.59%, 2/15/22  1,184,184  1,185,623 
Ser. 17-D, Class A4, 2.12%, 2/15/23  5,330,000  5,377,533 
Ser. 17-C, Class A4, 1.98%, 12/15/22  1,583,232  1,591,989 
Ser. 20-B, Class A3, 1.36%, 8/15/24  35,000,000  35,635,355 
Ser. 20-C, Class A2, 0.36%, 2/15/23  15,861,995  15,881,546 
Verus Securitization Trust 144A     
Volkswagen Auto Loan Enhanced Trust Ser. 20-1,     
Class A3, 0.98%, 11/20/24  10,000,000  10,094,015 
World Omni Auto Receivables Trust     
Ser. 18-C, Class A3, 3.13%, 11/15/23  22,490,521  22,851,446 
Ser. 18-A, Class A, 2.50%, 4/17/23  2,158,525  2,181,138 
Total asset-backed securities (cost $1,406,066,847)    $1,410,152,458 

 

  Principal   
MORTGAGE-BACKED SECURITIES (5.1%)*  amount  Value 
Agency collateralized mortgage obligations (—%)     
Federal Home Loan Mortgage Corporation     
REMICs Ser. 1619, Class PZ, 6.50%, 11/15/23  $20,250  $21,346 
REMICs Ser. 3724, Class CM, 5.50%, 6/15/37  94,786  108,117 
REMICs Ser. 3316, Class CD, 5.50%, 5/15/37  33,156  38,367 
REMICs Ser. 3539, Class PM, 4.50%, 5/15/37  9,397  10,240 
REMICs Ser. 3611, PO, zero %, 7/15/34  30,769  29,091 
Federal National Mortgage Association     
REMICs Ser. 08-8, Class PA, 5.00%, 2/25/38  1,838  1,846 
REMICs Ser. 11-60, Class PA, 4.00%, 10/25/39  6,955  7,548 
REMICs Ser. 03-43, Class YA, 4.00%, 3/25/33  34,253  34,695 
REMICs Ser. 10-81, Class AP, 2.50%, 7/25/40  39,394  40,327 
REMICs FRB Ser. 10-90, Class GF, (1 Month US LIBOR     
+ 0.50%), 0.648%, 8/25/40  356,335  355,754 
REMICs FRB Ser. 06-74, Class FL, (1 Month US LIBOR     
+ 0.35%), 0.48%, 8/25/36  172,263  172,369 
REMICs FRB Ser. 05-63, Class FC, (1 Month US LIBOR     
+ 0.25%), 0.38%, 10/25/31  434,099  434,525 
Government National Mortgage Association Ser. 09-32,     
Class AB, 4.00%, 5/16/39  9,050  9,830 
    1,264,055 
Residential mortgage-backed securities (non-agency) (5.1%)     
Ameriquest Mortgage Securities, Inc. Asset-Backed     
Pass-Through Certificates     
FRB Ser. 05-R7, Class M2, (1 Month US LIBOR + 0.75%),     
0.88%, 9/25/35  1,037,380  1,036,341 

 

38 Ultra Short Duration Income Fund 

 


 

  Principal   
MORTGAGE-BACKED SECURITIES (5.1%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Ameriquest Mortgage Securities, Inc. Asset-Backed     
Pass-Through Certificates     
FRB Ser. 05-R8, Class M2, (1 Month US LIBOR + 0.74%),     
0.865%, 10/25/35  $1,179,639  $1,179,639 
FRB Ser. 05-R11, Class M2, (1 Month US LIBOR + 0.71%),     
0.835%, 1/25/36  8,321,209  8,237,997 
Angel Oak Mortgage Trust I, LLC 144A     
Ser. 19-4, Class A1, 2.993%, 7/26/49 W   10,857,825  10,984,862 
FRB Ser. 18-3, Class A1, 3.649%, 9/25/48 W   6,902,172  6,998,773 
Arroyo Mortgage Trust 144A Ser. 19-3, Class A1,     
2.962%, 10/25/48 W   14,682,802  15,177,144 
Argent Securities, Inc. Asset-Backed Pass-Through     
Certificates FRB Ser. 04-W8, Class A2, (1 Month     
US LIBOR + 0.96%), 1.09%, 5/25/34  479,651  479,842 
Bear Stearns Asset Backed Securities I Trust FRB     
Ser. 07-HE7, Class 1A1, (1 Month US LIBOR + 1.00%),     
1.13%, 10/25/37  3,982,827  3,982,826 
Bellemeade Re, Ltd. 144A FRB Ser. 18-1A, Class M1B,     
(1 Month US LIBOR + 1.60%), 1.73%, 4/25/28 (Bermuda)  6,347,194  6,347,221 
BRAVO Residential Funding Trust 144A     
Ser. 19-1, Class A1C, 3.50%, 3/25/58  6,755,033  6,964,709 
Ser. 19-NQM2, Class A1, 2.748%, 11/25/59 W   18,030,032  18,387,026 
Ser. 19-NQM1, Class A1, 2.666%, 7/25/59 W   11,192,684  11,424,144 
Ser. 20-NQM1, Class A1, 1.449%, 5/25/60 W   12,171,055  12,160,162 
Bunker Hill Loan Depositary Trust 144A FRB Ser. 19-1,     
Class A1, 3.77%, 10/26/48  7,961,093  7,980,996 
Carrington Mortgage Loan Trust     
FRB Ser. 06-RFC1, Class A4, (1 Month US LIBOR     
+ 0.48%), 0.61%, 3/25/36  5,616,584  5,580,864 
FRB Ser. 07-FRE1, Class A2, (1 Month US LIBOR     
+ 0.20%), 0.33%, 2/25/37  933,917  938,586 
CIT Mortgage Loan Trust 144A FRB Ser. 07-1, Class 2A3,     
(1 Month US LIBOR + 1.45%), 1.58%, 10/25/37  1,908,827  1,911,481 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-WFH1,     
Class M4, (1 Month US LIBOR + 0.75%), 0.88%, 1/25/36  2,584,000  2,573,249 
Citigroup Mortgage Loan Trust 144A Ser. 19-IMC1,     
Class A1, 2.72%, 7/25/49 W   2,137,827  2,175,573 
COLT Funding, LLC 144A Ser. 19-4, Class A1,     
2.579%, 11/25/49 W   19,907,958  20,137,913 
COLT Mortgage Loan Trust 144A     
FRB Ser. 19-1, Class A1, 3.705%, 3/25/49 W   1,082,845  1,105,197 
FRB Ser. 20-1, Class A1, 2.488%, 2/25/50 W   11,354,791  11,625,955 
Ser. 20-1R, Class A1, 1.255%, 9/25/65 W   8,516,289  8,516,289 
Countrywide Asset-Backed Certificates     
FRB Ser. 05-BC3, Class M4, (1 Month US LIBOR     
+ 1.50%), 1.63%, 6/25/35  2,073,042  2,078,818 
FRB Ser. 05-BC5, Class M3, (1 Month US LIBOR     
+ 0.75%), 0.88%, 1/25/36  2,556,280  2,554,943 
Countrywide Asset-Backed Certificates Trust FRB     
Ser. 05-BC4, Class M6, (1 Month US LIBOR + 1.05%),     
1.18%, 8/25/35  603,087  601,391 

 

Ultra Short Duration Income Fund 39 

 


 

  Principal   
MORTGAGE-BACKED SECURITIES (5.1%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Countrywide Alternative Loan Trust FRB Ser. 04-J5,     
Class M1, (1 Month US LIBOR + 0.90%), 1.03%, 8/25/34  $762,054  $762,054 
Credit-Based Asset Servicing and Securitization, LLC     
FRB Ser. 05-CB7, Class M1, (1 Month US LIBOR + 0.62%),     
0.745%, 11/25/35  2,518,756  2,494,324 
Credit Suisse Mortgage Capital Certificates 144A FRB     
Ser. 20-SPT1, Class A1, 1.616%, 4/25/65  12,548,974  12,695,169 
Credit Suisse Mortgage Trust 144A Ser. 20-AFC1,     
Class A1, 2.24%, 2/25/50 W   7,989,203  8,167,660 
CSMC Trust 144A     
Ser. 15-2R, Class 7A3, 2.992%, 8/27/36 W   3,586,571  3,625,536 
Ser. 19-NQM1, Class A1, 2.656%, 10/25/59  12,019,541  12,308,243 
CWABS Asset-Backed Certificates Trust     
FRB Ser. 04-10, Class MV3, (1 Month US LIBOR     
+ 1.13%), 1.255%, 12/25/34  5,878,929  5,818,741 
FRB Ser. 05-3, Class MV5, (1 Month US LIBOR + 1.01%),     
1.135%, 8/25/35  3,625,713  3,617,357 
FRB Ser. 05-4, Class MV4, (1 Month US LIBOR + 0.96%),     
1.09%, 10/25/35  1,459,649  1,488,842 
FRB Ser. 04-AB2, Class M2, (1 Month US LIBOR     
+ 0.86%), 0.985%, 5/25/36  932,115  931,709 
Deephaven Residential Mortgage Trust 144A     
Ser. 18-4A, Class A1, 4.08%, 10/25/58 W   6,243,052  6,266,093 
Ser. 19-2A, Class A1, 3.558%, 4/25/59 W   6,402,893  6,451,555 
Ser. 18-1A, Class A1, 2.976%, 12/25/57 W   4,525,335  4,539,994 
Ser. 19-3A, Class A1, 2.964%, 7/25/59 W   12,722,641  12,907,510 
Ser. 19-4A, Class A1, 2.791%, 10/25/59 W   4,550,639  4,612,072 
FRB Ser. 17-3A, Class A1, 2.577%, 10/25/47 W   345,647  349,103 
Ellington Financial Mortgage Trust 144A     
Ser. 19-1, Class A1, 2.934%, 6/25/59 W   6,402,228  6,472,653 
Ser. 19-2, Class A1, 2.739%, 11/25/59 W   10,169,721  10,383,285 
Ser. 20-2, Class A1, 1.178%, 10/25/65 W   5,462,343  5,467,805 
Ellington Loan Acquisition Trust 144A FRB Ser. 07-1,     
Class A2C, (1 Month US LIBOR + 1.25%), 1.38%, 5/25/37  31,965  31,971 
Encore Credit receivables Trust     
FRB Ser. 05-3, Class M3, (1 Month US LIBOR + 0.77%),     
0.895%, 10/25/35  2,170,478  2,156,100 
FRB Ser. 05-4, Class M3, (1 Month US LIBOR + 0.71%),     
0.835%, 1/25/36  6,500,000  6,485,999 
EquiFirst Mortgage Loan Trust FRB Ser. 05-1, Class M3,     
(1 Month US LIBOR + 0.48%), 0.61%, 4/25/35  2,188,250  2,187,550 
Federal Home Loan Mortgage Corporation Structured     
Agency Credit Risk Debt FRN Ser. 17-HQA3, Class M2,     
(1 Month US LIBOR + 2.35%), 2.48%, 4/25/30  4,437,399  4,496,279 
First Franklin Mortgage Loan Trust     
FRB Ser. 04-FF7, Class M1, (1 Month US LIBOR     
+ 0.87%), 1.00%, 9/25/34  1,064,654  1,054,466 
FRB Ser. 05-FFH4, Class M1, (1 Month US LIBOR     
+ 0.72%), 0.85%, 12/25/35  2,726,627  2,726,627 
FRB Ser. 05-FF9, Class A4, (1 Month US LIBOR + 0.72%),     
0.85%, 10/25/35  1,379,260  1,375,766 

 

40 Ultra Short Duration Income Fund 

 


 

  Principal   
MORTGAGE-BACKED SECURITIES (5.1%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
First Franklin Mortgage Loan Trust     
FRB Ser. 05-FF12, Class M1, (1 Month US LIBOR     
+ 0.68%), 0.805%, 11/25/36  $642,648  $638,331 
FRB Ser. 06-FF7, Class 1A, (1 Month US LIBOR + 0.28%),     
0.41%, 5/25/36  9,166,027  9,045,351 
FWD Securitization Trust 144A Ser. 19-INV1, Class A1,     
2.81%, 6/25/49 W   9,600,630  9,734,952 
GCAT Trust 144A Ser. 19-NQM2, Class A1,     
2.855%, 9/25/59  16,118,844  16,402,115 
GCAT, LLC 144A Ser. 19-NQM1, Class A1, 2.985%, 2/25/59  14,066,884  14,210,027 
GSAA Home Equity Trust FRB Ser. 05-8, Class A3,     
(1 Month US LIBOR + 0.86%), 0.99%, 6/25/35  3,631,885  3,631,885 
GSAMP Trust FRB Ser. 06-HE7, Class A2D, (1 Month     
US LIBOR + 0.23%), 0.36%, 10/25/46  811,486  775,537 
Home Equity Asset Trust     
FRB Ser. 06-1, Class M2, (1 Month US LIBOR + 0.46%),     
0.59%, 4/25/36  9,038,625  9,027,186 
FRB Ser. 06-4, Class 1A1, (1 Month US LIBOR + 0.16%),     
0.29%, 8/25/36  6,032,047  5,971,471 
Federal Home Loan Mortgage Corporation     
Structured Agency Credit Risk Debt FRN     
Ser. 14-HQ3, Class M3, (1 Month US LIBOR + 4.75%),     
4.88%, 10/25/24  2,751,474  2,796,573 
Structured Agency Credit Risk Debt FRN Ser. 15-DN1,     
Class M3, (1 Month US LIBOR + 4.15%), 4.28%, 1/25/25  329,065  331,731 
Structured Agency Credit Risk Debt FRN Ser. 14-HQ1,     
Class M3, (1 Month US LIBOR + 4.10%), 4.23%, 8/25/24  2,256,337  2,281,721 
Structured Agency Credit Risk Debt FRN     
Ser. 15-DNA2, Class M3, (1 Month US LIBOR + 3.90%),     
4.03%, 12/25/27  2,954,021  2,995,754 
Structured Agency Credit Risk Debt FRN Ser. 16-DNA4,     
Class M3, (1 Month US LIBOR + 3.80%), 3.93%, 3/25/29  4,042,093  4,199,279 
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1,     
Class M2, (1 Month US LIBOR + 3.25%), 3.38%, 7/25/29  25,472,458  26,115,986 
Structured Agency Credit Risk Debt FRN     
Ser. 16-HQA3, Class M2, (1 Month US LIBOR + 1.35%),     
1.48%, 3/25/29  72,118  72,231 
Structured Agency Credit Risk Debt FRN Ser. 17-HQA2,     
Class M2AS, (1 Month US LIBOR + 1.05%),     
1.18%, 12/25/29  24,733,264  24,333,018 
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3,     
Class M1, (1 Month US LIBOR + 0.75%), 0.88%, 3/25/30  201,549  201,549 
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3,     
Class M2AR, (1 Month US LIBOR + 0.75%),     
0.88%, 3/25/30  13,169,500  12,992,536 
Federal Home Loan Mortgage Corporation 144A     
Structured Agency Credit Risk Trust REMICs FRB     
Ser. 20-HQA3, Class M1, (1 Month US LIBOR + 1.55%),     
1.68%, 7/25/50  2,085,355  2,088,940 
Structured Agency Credit Risk Trust REMICs FRB     
Ser. 20-DNA4, Class M1, (1 Month US LIBOR + 1.50%),     
1.63%, 8/25/50  2,607,750  2,611,928 

 

Ultra Short Duration Income Fund 41 

 


 

  Principal   
MORTGAGE-BACKED SECURITIES (5.1%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Federal Home Loan Mortgage Corporation 144A     
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2,     
Class M2, (1 Month US LIBOR + 1.25%), 1.38%, 2/25/47  $5,134,207  $5,140,044 
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2,     
Class M3AS, (1 Month US LIBOR + 1.00%),     
1.13%, 2/25/47  14,000,000  13,565,579 
Structured Agency Credit Risk Trust FRB     
Ser. 18-DNA2, Class M1, (1 Month US LIBOR + 0.80%),     
0.93%, 12/25/30  187,187  187,187 
Structured Agency Credit Risk Trust FRB     
Ser. 18-HQA2, Class M1, (1 Month US LIBOR + 0.75%),     
0.88%, 10/25/48  49,225  49,217 
Structured Agency Credit Risk Trust FRB     
Ser. 18-DNA3, Class M1, (1 Month US LIBOR + 0.75%),     
0.88%, 9/25/48  4,263  4,263 
Federal National Mortgage Association     
Connecticut Avenue Securities FRB     
Ser. 16-C01, Class 1M2, (1 Month US LIBOR + 6.75%),     
6.88%, 8/25/28  9,969,778  10,530,578 
Connecticut Avenue Securities FRB     
Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%),     
6.13%, 9/25/28  15,907,647  16,744,011 
Connecticut Avenue Securities FRB     
Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%),     
5.13%, 7/25/25  3,146,912  3,207,758 
Connecticut Avenue Securities FRB     
Ser. 15-C01, Class 2M2, (1 Month US LIBOR + 4.55%),     
4.68%, 2/25/25  7,271,215  7,337,287 
Connecticut Avenue Securities FRB     
Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%),     
4.38%, 1/25/29  2,944,684  3,057,466 
Connecticut Avenue Securities FRB     
Ser. 16-C04, Class 1M2A, (1 Month US LIBOR + 4.25%),     
4.38%, 1/25/29  1,361,898  1,368,678 
Connecticut Avenue Securities FRB     
Ser. 15-C02, Class 2M2, (1 Month US LIBOR + 4.00%),     
4.13%, 5/25/25  4,524,972  4,577,239 
Connecticut Avenue Securities FRB     
Ser. 14-C03, Class 2M2, (1 Month US LIBOR + 2.90%),     
3.03%, 7/25/24  5,030,589  5,058,559 
Connecticut Avenue Securities FRB     
Ser. 14-C02, Class 2M2, (1 Month US LIBOR + 2.60%),     
2.73%, 5/25/24  1,494,498  1,507,857 
FWD Securitization Trust 144A FRB Ser. 20-INV1,     
Class A1, 2.28%, 1/25/50 W   5,829,823  5,981,399 
Galton Funding Mortgage Trust 144A     
Ser. 18-2, Class A41, 4.50%, 10/25/58 W   5,153,782  5,244,410 
Ser. 19-2, Class A22, 3.50%, 6/25/59 W   13,644,926  13,988,819 
Ser. 18-1, Class A43, 3.50%, 11/25/57 W   1,633,490  1,651,261 
Ser. 19-H1, Class A1, 2.657%, 10/25/59 W   5,070,836  5,220,056 

 

42 Ultra Short Duration Income Fund 

 


 

  Principal   
MORTGAGE-BACKED SECURITIES (5.1%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
GCAT Trust 144A Ser. 19-NQM3, Class A1,     
2.686%, 11/25/59 W   $8,197,361  $8,441,011 
GS Mortgage-Backed Securities Trust 144A     
Ser. 20-NQM1, Class A1, 1.382%, 9/27/60 W   5,541,818  5,569,527 
Home Re, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month     
US LIBOR + 1.60%), 1.73%, 10/25/28 (Bermuda)  2,462,849  2,462,861 
HomeBanc Mortgage Trust FRB Ser. 05-4, Class A1,     
(1 Month US LIBOR + 0.54%), 0.67%, 10/25/35  5,393,297  5,315,334 
Homeward Opportunities Fund I Trust 144A     
Ser. 18-1, Class A1, 3.78%, 6/25/48 W   8,372,041  8,442,667 
Ser. 19-2, Class A1, 2.702%, 9/25/59 W   9,128,534  9,228,948 
JPMorgan Resecuritization Trust 144A Ser. 14-1,     
Class 7A1, 3.00%, 6/26/35  3,663,092  3,683,572 
MFRA Trust 144A Ser. 20-NQM1, Class A1,     
1.479%, 3/25/65 W   5,016,580  5,063,776 
JPMorgan Mortgage Acquisition Corp. FRB     
Ser. 05-OPT2, Class M2, (1 Month US LIBOR + 0.68%),     
0.805%, 12/25/35  2,606,807  2,601,397 
JPMorgan Mortgage Acquisition Trust     
FRB Ser. 07-CH2, Class MV1, (1 Month US LIBOR     
+ 0.28%), 0.41%, 1/25/37  6,660,000  6,535,842 
FRB Ser. 07-CH1, Class MV2, (1 Month US LIBOR     
+ 0.28%), 0.41%, 11/25/36  1,749,216  1,748,257 
FRB Ser. 07-CH4, Class A4, (1 Month US LIBOR     
+ 0.16%), 0.29%, 1/25/36  935,430  933,030 
Long Beach Mortgage Loan Trust FRB Ser. 04-1,     
Class M1, (1 Month US LIBOR + 0.75%), 0.88%, 2/25/34  469,504  461,594 
MASTR Asset-Backed Securities Trust FRB Ser. 06-FRE1,     
Class A4, (1 Month US LIBOR + 0.58%), 0.71%, 12/25/35  927,605  904,764 
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-AR1,     
Class M1, (1 Month US LIBOR + 0.75%), 0.88%, 6/25/36  686,450  685,403 
Morgan Stanley ABS Capital I, Inc. Trust FRB     
Ser. 06-NC1, Class M1, (1 Month US LIBOR + 0.57%),     
0.70%, 12/25/35  2,750,089  2,733,581 
Nationstar Home Equity Loan Trust FRB     
Ser. 07-B, Class 2AV4, (1 Month US LIBOR + 0.32%),     
0.45%, 4/25/37  4,843,000  4,749,053 
New Century Home Equity Loan Trust FRB Ser. 05-3,     
Class M3, (1 Month US LIBOR + 0.77%), 0.895%, 7/25/35  950,400  949,226 
New Residential Mortgage Loan Trust 144A     
Ser. 19-NQM4, Class A1, 2.492%, 9/25/59 W   8,256,671  8,414,373 
Ser. 20-NQM1, Class A1, 2.464%, 1/26/60 W   4,298,814  4,386,079 
FRB Ser. 18-4A, Class 4A, (1 Month US LIBOR + 0.75%),     
0.88%, 1/25/48  5,507,005  5,499,235 
Nomura Home Equity Loan, Inc./Home Equity Loan     
Trust FRB Ser. 05-FM1, Class M2, (1 Month US LIBOR     
+ 0.74%), 0.865%, 5/25/35  1,301,424  1,293,411 
Nomura Resecuritization Trust 144A FRB     
Ser. 15-8R, Class 4A1, (1 Month US LIBOR + 2.00%),     
2.609%, 11/25/47  954,979  950,617 

 

Ultra Short Duration Income Fund 43 

 


 

  Principal   
MORTGAGE-BACKED SECURITIES (5.1%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Park Place Securities, Inc. Asset-Backed     
Pass-Through Certificates     
Asset Backed Pass-Through Certificates FRB     
Ser. 04-MHQ1, Class M3, (1 Month US LIBOR + 1.28%),     
1.405%, 12/25/34  $3,463,280  $3,479,339 
FRB Ser. 04-WHQ2, Class M3, (1 Month US LIBOR     
+ 1.04%), 1.165%, 2/25/35  857,155  856,757 
RASC Series Trust FRB Ser. 06-KS6, Class A4, (1 Month     
US LIBOR + 0.25%), 0.38%, 8/25/36  6,340,401  6,257,255 
Residential Asset Mortgage Products Trust     
FRB Ser. 05-RS2, Class M4, (1 Month US LIBOR     
+ 1.08%), 1.21%, 2/25/35  2,799,673  2,814,513 
FRB Ser. 05-RS6, Class M4, (1 Month US LIBOR     
+ 0.98%), 1.105%, 6/25/35  2,698,307  2,725,290 
FRB Ser. 05-RS1, Class MII1, (1 Month US LIBOR     
+ 0.83%), 0.955%, 1/25/35  18,602  18,615 
Residential Asset Securities Corp., Trust     
FRB Ser. 04-KS10, Class M1, (1 Month US LIBOR     
+ 0.90%), 1.03%, 11/25/34  4,297,400  4,278,732 
FRB Ser. 04-KS12, Class M1, (1 Month US LIBOR     
+ 0.80%), 0.925%, 1/25/35  813,983  798,798 
FRB Ser. 06-KS7, Class A4, (1 Month US LIBOR + 0.24%),     
0.37%, 9/25/36  520,233  515,462 
Residential Mortgage Loan Trust 144A Ser. 19-3,     
Class A1, 2.633%, 9/25/59 W   10,506,859  10,710,066 
Onslow Bay Financial, LLC Trust 144A FRB Ser. 20-EXP3,     
Class 2A1, (1 Month US LIBOR + 0.90%), 1.03%, 1/25/60  1,736,990  1,733,859 
Opteum Mortgage Acceptance Corp. Asset-Backed     
Pass-Through Certificates FRB Ser. 05-3, Class M1,     
(1 Month US LIBOR + 0.69%), 0.82%, 7/25/35  4,479,141  4,451,878 
Securitized Asset Backed Receivables, LLC Trust FRB     
Ser. 06-CB1, Class AV1, (1 Month US LIBOR + 0.48%),     
0.61%, 1/25/36  7,612,269  7,544,266 
SG Residential Mortgage Trust 144A Ser. 19-3, Class A1,     
2.703%, 9/25/59 W   1,762,868  1,790,929 
Spruce Hill Mortgage Loan Trust 144A Ser. 19-SH1,     
Class A1, 3.368%, 4/29/49 W   9,005,917  9,107,684 
Soundview Home Loan Trust     
FRB Ser. 06-2, Class M1, (1 Month US LIBOR + 0.50%),     
0.625%, 3/25/36  109,782  109,700 
FRB Ser. 05-OPT3, Class M1, (1 Month US LIBOR     
+ 0.47%), 0.60%, 11/25/35  8,012,000  7,973,582 
Starwood Mortgage Residential Trust 144A     
FRB Ser. 18-IMC2, Class A1, 4.121%, 10/25/48 W   10,825,447  11,047,693 
Ser. 19-1, Class A1, 2.868%, 6/25/49 W   16,122,070  16,365,580 
Ser. 19-INV1, Class A1, 2.61%, 9/27/49 W   10,349,333  10,551,865 
Structured Asset Investment Loan Trust     
FRB Ser. 04-7, Class A7, (1 Month US LIBOR + 0.84%),     
0.97%, 8/25/34  1,324,923  1,317,169 
FRB Ser. 05-HE3, Class M1, (1 Month US LIBOR     
+ 0.72%), 0.85%, 9/25/35  6,431,445  6,401,612 

 

44 Ultra Short Duration Income Fund 

 


 

  Principal   
MORTGAGE-BACKED SECURITIES (5.1%)* cont.  amount  Value 
Residential mortgage-backed securities (non-agency) cont.     
Structured Asset Investment Loan Trust     
FRB Ser. 05-HE1, Class M1, (1 Month US LIBOR     
+ 0.71%), 0.835%, 7/25/35  $79,958  $79,902 
Structured Asset Investment Loan Trust 144A FRB     
Ser. 05-1, Class M2, (1 Month US LIBOR + 0.72%),     
0.85%, 2/25/35  1,509,511  1,502,125 
Structured Asset Securities Corp. FRB Ser. 05-WF1,     
Class M1, (1 Month US LIBOR + 0.66%), 0.79%, 2/25/35  3,185,072  3,167,735 
Structured Asset Securities Corp. Mortgage Loan Trust     
FRB Ser. 06-OPT1, Class A5, (1 Month US LIBOR     
+ 0.26%), 0.39%, 4/25/36  1,405,059  1,376,958 
FRB Ser. 06-WF1, Class M4, (1 Month US LIBOR     
+ 0.65%), 0.775%, 2/25/36  1,953,000  1,940,180 
Structured Asset Securities Corp. Mortgage Loan Trust     
144A FRB Ser. 06-GEL3, Class A3, (1 Month US LIBOR     
+ 0.60%), 0.73%, 7/25/36  990,872  988,840 
Towd Point HE Trust 144A FRB Ser. 19-HE1, Class A1,     
(1 Month US LIBOR + 0.90%), 1.03%, 4/25/48  6,308,307  6,324,470 
Towd Point Mortgage Trust 144A     
FRB Ser. 19-HY2, Class A1, (1 Month US LIBOR     
+ 1.00%), 1.13%, 5/25/58  1,251,427  1,259,327 
FRB Ser. 19-HY1, Class A1, (1 Month US LIBOR     
+ 1.00%), 1.13%, 10/25/48  10,511,315  10,544,089 
Verus Securitization Trust 144A     
Ser. 19-2, Class A1, 3.211%, 5/25/59 W   18,142,406  18,295,792 
Ser. 19-INV2, Class A1, 2.913%, 7/25/59 W   26,065,126  26,672,741 
Ser. 19-3, Class A1, 2.784%, 7/25/59  9,899,343  10,141,686 
Ser. 19-INV3, Class A1, 2.692%, 11/25/59 W   7,796,991  8,031,796 
Ser. 20-1, Class A1, 2.417%, 1/25/60  6,144,879  6,269,465 
Ser. 20-5, Class A1, 1.218%, 5/25/65  15,506,960  15,571,516 
Wells Fargo Home Equity Asset-Backed Securities Trust     
FRB Ser. 05-3, Class M6, (1 Month US LIBOR + 1.01%),     
1.135%, 11/25/35  1,585,000  1,575,282 
    871,542,279 
Total mortgage-backed securities (cost $870,424,340)    $872,806,334 

 

    Maturity  Principal   
CERTIFICATES OF DEPOSIT (3.7%)*  Yield (%)  date  amount  Value 
Bank of Montreal/Chicago, IL FRN (Canada)  0.280  3/2/21  $29,500,000  $29,505,216 
Bank of Nova Scotia/Houston FRN  0.240  12/9/21  70,000,000  70,025,162 
Canadian Imperial Bank of Commerce/New         
York, NY FRN  0.348  1/3/22  46,500,000  46,525,535 
Canadian Imperial Bank of Commerce/New         
York, NY FRN  0.280  3/3/21  24,250,000  24,254,300 
Cooperatieve Rabobank UA/NY FRN (Netherlands)  0.538  9/24/21  28,500,000  28,558,218 
Cooperatieve Rabobank UA/NY FRN (Netherlands)  0.529  6/17/21  32,500,000  32,539,600 
Credit Suisse AG/New York, NY FRN  0.280  7/19/22  23,250,000  23,252,348 
Morgan Stanley Bank, NA FRN  0.361  12/2/21  47,000,000  47,786,404 
Natixis SA/New York, NY FRN (France)  0.280  12/10/21  32,500,000  32,517,374 
Nordea Bank ABP/New York, NY FRN  0.551  11/19/21  57,000,000  57,145,257 
Nordea Bank ABP/New York, NY FRN  0.504  2/12/21  28,000,000  28,002,609 

 

Ultra Short Duration Income Fund 45 

 


 

    Maturity  Principal   
CERTIFICATES OF DEPOSIT (3.7%)* cont.  Yield (%)  date  amount  Value 
Nordea Bank ABP/New York, NY FRN  0.394  2/12/21  $35,000,000  $35,002,192 
Sumitomo Mitsui Banking Corp./New York FRN (Japan)  0.595  11/5/21  38,000,000  38,086,331 
Sumitomo Mitsui Banking Corp./New York FRN (Japan)  0.576  5/13/21  28,000,000  28,029,152 
Sumitomo Mitsui Banking Corp./New York FRN (Japan)  0.574  7/12/21  27,900,000  27,943,097 
Sumitomo Mitsui Trust Bank Ltd./New York FRN  0.230  6/16/21  46,500,000  46,512,488 
Svenska Handelsbanken/New York, NY FRN (Sweden)  0.497  1/6/22  47,000,000  47,108,549 
Total certificates of deposit (cost $641,380,329)        $642,793,832 

 

      Principal   
ASSET-BACKED COMMERCIAL PAPER (1.3%)*      amount  Value 
Arabella Finance, LLC  0.451  3/11/21  $4,070,000  $4,068,299 
Arabella Finance, LLC  0.443  2/16/21  22,710,000  22,705,980 
Arabella Finance, LLC  0.441  2/19/21  28,400,000  28,394,069 
Arabella Finance, LLC  0.441  2/5/21  18,500,000  18,498,813 
Arabella Finance, LLC  0.441  2/4/21  24,500,000  24,498,653 
Arabella Finance, LLC  0.427  3/2/21  35,910,000  35,898,477 
Arabella Finance, LLC  0.421  2/25/21  17,200,000  17,195,369 
Arabella Finance, LLC  0.350  4/6/21  13,200,000  13,190,787 
Arabella Finance, LLC  0.340  3/8/21  6,100,000  6,097,650 
Chariot Funding, LLC  0.210  2/10/21  50,000,000  49,997,434 
Total asset-backed commercial paper (cost $220,545,827)      $220,545,531 

 

MUTUAL FUNDS (1.2%)*  Shares  Value 
Putnam Short Term Investment Fund Class P 0.13% L   199,385,176  $199,385,176 
Total mutual funds (cost $199,385,176)    $199,385,176 

 

  Principal   
REPURCHASE AGREEMENTS (0.6%)*  amount  Value 
Interest in $75,000,000 tri-party term repurchase agreement dated 1/29/2021     
with BNP Paribas due 3/5/2021 — maturity value of $75,020,417 for an effective     
yield of 0.270% (collateralized by various corporate bonds and notes with     
coupon rates ranging from 1.323% to 5.850% and due dates ranging from     
10/14/2021 to 11/1/2066, valued at $78,751,772) T EG (France)  $75,000,000  $75,000,000 
Interest in $25,000,000 tri-party term repurchase agreement dated 1/29/2021     
with RBC Capital Markets, LLC due 3/5/2021 — maturity value of $25,059,063     
for an effective yield of 0.290% (collateralized by various corporate bonds and     
notes with coupon rates ranging from 1.150% to 8.100% and due dates ranging     
from 11/10/2022 to 10/1/2050, valued at $26,250,635) T EG (Canada)  25,000,000  25,000,000 
Total repurchase agreements (cost $100,000,000)    $100,000,000 

 

  Principal   
U.S. GOVERNMENT AGENCY OBLIGATIONS (0.5%)*  amount  Value 
Federal Farm Credit Banks Funding Corporation unsec.     
FRB, 5.00%, 11/7/22  $93,000,000  $93,582,366 
Total U.S. government agency obligations (cost $93,000,000)    $93,582,366 

 

46 Ultra Short Duration Income Fund 

 


 

U.S. GOVERNMENT AND AGENCY  Principal   
MORTGAGE OBLIGATIONS (—%)*  amount  Value 
U.S. Government Agency Mortgage Obligations (—%)     
Federal National Mortgage Association     
Pass-Through Certificates     
6.00%, 5/1/23  $1,190  $1,212 
5.50%, 11/1/23  29  29 
Total U.S. government and agency mortgage obligations (cost $1,317)    $1,241 

 

TOTAL INVESTMENTS   
Total investments (cost $17,410,992,235)  $17,448,960,371 

 

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, 2020 through January 31, 2021 (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 $17,250,783,753.

∆∆ This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $127,439,030, or 0.7% of net assets.

L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

R Real Estate Investment Trust.

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

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

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

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.

Ultra Short Duration Income Fund 47 

 


 

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  68.7%  Spain  1.5% 
Canada  6.0  Australia  1.3 
United Kingdom  5.4  Switzerland  1.1 
France  4.4  South Korea  1.0 
Japan  3.4  Germany  0.7 
Netherlands  3.4  Other  1.0 
Sweden  2.1  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  $—­  $220,545,531  $—­ 
Asset-backed securities  —­  1,410,152,458  —­ 
Certificates of deposit  —­  642,793,832  —­ 
Commercial paper  —­  4,957,203,610  —­ 
Corporate bonds and notes  —­  8,952,489,823  —­ 
Mortgage-backed securities  —­  872,806,334  —­ 
Mutual funds  —­  199,385,176  —­ 
Repurchase agreements  —­  100,000,000  —­ 
U.S. government agency obligations  —­  93,582,366  —­ 
U.S. government and agency mortgage obligations  —­  1,241  —­ 
Totals by level  $—­  $17,448,960,371  $—­ 

 

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

48 Ultra Short Duration Income Fund 

 


 

Statement of assets and liabilities 1/31/21 (Unaudited)

ASSETS   
Investment in securities, at value (Note 1):   
Unaffiliated issuers (identified cost $17,211,607,059)  $17,249,575,195 
Affiliated issuers (identified cost $199,385,176) (Notes 1 and 5)  199,385,176 
Interest and other receivables  28,158,870 
Receivable for shares of the fund sold  61,058,265 
Receivable for investments sold  4,284,462 
Prepaid assets  395,047 
Total assets  17,542,857,015 
 
LIABILITIES   
Payable to custodian  36,391 
Payable for investments purchased  195,773,541 
Payable for shares of the fund repurchased  90,190,865 
Payable for compensation of Manager (Note 2)  1,585,068 
Payable for custodian fees (Note 2)  98,698 
Payable for investor servicing fees (Note 2)  1,710,223 
Payable for Trustee compensation and expenses (Note 2)  431,263 
Payable for administrative services (Note 2)  194,214 
Payable for distribution fees (Note 2)  665,300 
Distributions payable to shareholders  733,170 
Other accrued expenses  654,529 
Total liabilities  292,073,262 
Net assets  $17,250,783,753 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $17,235,041,461 
Total distributable earnings (Note 1)  15,742,292 
Total — Representing net assets applicable to capital shares outstanding  $17,250,783,753 
 
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value, offering price and redemption price per class A share   
($7,603,045,380 divided by 753,288,978 shares)  $10.09 
Net asset value and offering price per class B share ($385,567 divided by 38,240 shares)*  $10.08 
Net asset value and offering price per class C share ($28,672,474 divided by 2,843,969 shares)*  $10.08 
Net asset value and redemption price per class N share   
($20,596,355 divided by 2,042,697 shares)  $10.08 
Offering price per class N share (100/98.50 of $10.08)**  $10.23 
Net asset value, offering price and redemption price per class R share   
($5,108,578 divided by 506,825 shares)  $10.08 
Net asset value, offering price and redemption price per class R6 share   
($98,046,202 divided by 9,700,334 shares)  $10.11 
Net asset value, offering price and redemption price per class Y share   
($9,494,929,197 divided by 939,728,984 shares)  $10.10 

 

*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.

Ultra Short Duration Income Fund 49 

 


 

Statement of operations Six months ended 1/31/21 (Unaudited)

INVESTMENT INCOME   
Interest (including interest income of $314,813 from investments in affiliated issuers) (Note 5)  $70,676,417 
Total investment income  70,676,417 
 
EXPENSES   
Compensation of Manager (Note 2)  23,840,236 
Investor servicing fees (Note 2)  5,164,692 
Custodian fees (Note 2)  71,427 
Trustee compensation and expenses (Note 2)  372,781 
Distribution fees (Note 2)  3,910,049 
Administrative services (Note 2)  291,048 
Other  1,549,692 
Fees waived and reimbursed by Manager (Note 2)  (5,216,408) 
Total expenses  29,983,517 
Expense reduction (Note 2)  (62,869) 
Net expenses  29,920,648 
 
Net investment income  40,755,769 
 
REALIZED AND UNREALIZED GAIN (LOSS)   
Net realized gain on:   
Securities from unaffiliated issuers (Notes 1 and 3)  9,103,574 
Total net realized gain  9,103,574 
Change in net unrealized appreciation on:   
Securities from unaffiliated issuers  15,250,578 
Total change in net unrealized appreciation  15,250,578 
 
Net gain on investments  24,354,152 
 
Net increase in net assets resulting from operations  $65,109,921 

 

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

50 Ultra Short Duration Income Fund 

 


 

Statement of changes in net assets

INCREASE (DECREASE) IN NET ASSETS  Six months ended 1/31/21*  Year ended 7/31/20 
Operations     
Net investment income  $40,755,769  $297,228,905 
Net realized gain (loss) on investments  9,103,574  (30,651,897) 
Change in net unrealized appreciation of investments  15,250,578  13,528,394 
Net increase in net assets resulting from operations  65,109,921  280,105,402 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (15,742,022)  (146,658,777) 
Class B  (42)  (2,458) 
Class C  (4,180)  (320,368) 
Class M    (21,536) 
Class N  (28,208)  (271,300) 
Class R  (779)  (69,003) 
Class R6  (257,036)  (1,634,148) 
Class Y  (24,549,308)  (149,079,410) 
Increase (decrease) from capital share transactions (Note 4)  849,900,222  (54,611,578) 
Total increase (decrease) in net assets  874,428,568  (72,563,176) 
 
NET ASSETS     
Beginning of period  16,376,355,185  16,448,918,361 
End of period  $17,250,783,753  $16,376,355,185 

 

*Unaudited.

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

Ultra Short Duration Income Fund 51 

 


 

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    Net asset  Total return  Net assets,  to average  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  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, 2021**   $10.08­  .02­  .01­  .03­  (.02)  —­  (.02)  $10.09­  .31*  $7,603,045­  .20*  .21*  30* 
July 31, 2020­  10.05­  .17­  .03­  .20­  (.17)  —­  (.17)  10.08­  2.01­  7,373,343­  .40­  1.73­  53­ 
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 
Class B                           
January 31, 2021**   $10.07­  —­e  .01­  .01­  —­e  —­  —­e  $10.08­  .11*  $386­  .39*f  .02*f  30* 
July 31, 2020­  10.04­  .13­  .03­  .16­  (.13)  —­  (.13)  10.07­  1.61­  258­  .80­  1.21­  53­ 
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 
Class C                           
January 31, 2021**   $10.07­  —­e  .01­  .01­  —­e  —­  —­e  $10.08­  .11*  $28,672­  .40*f  .02*f  30* 
July 31, 2020­  10.04­  .13­  .03­  .16­  (.13)  —­  (.13)  10.07­  1.61­  27,790­  .80­  1.24­  53­ 
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 
Class N                           
January 31, 2021**   $10.07­  .01­  .01­  .02­  (.01)  —­  (.01)  $10.08­  .23*  $20,596­  .28*  .13*  30* 
July 31, 2020­  10.04­  .15­  .03­  .18­  (.15)  —­  (.15)  10.07­  1.86­  19,303­  .55­  1.48­  53­ 
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, 2021**   $10.07­  —­e  .01­  .01­  —­e  —­  —­e  $10.08­  .11*  $5,109­  .40*f  .02*f  30* 
July 31, 2020­  10.04­  .13­  .03­  .16­  (.13)  —­  (.13)  10.07­  1.61­  5,118­  .80­  1.30­  53­ 
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 
Class R6                           
January 31, 2021**   $10.09­  .03­  .02­  .05­  (.03)  —­  (.03)  $10.11­  .46*  $98,046­  .15*  .26*  30* 
July 31, 2020­  10.06­  .18­  .03­  .21­  (.18)  —­  (.18)  10.09­  2.12­  92,676­  .29­  1.80­  53­ 
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 

 

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

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

52 Ultra Short Duration Income Fund  Ultra Short Duration Income Fund 53 

 


 

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    Net asset  Total return  Net assets,  to average  income (loss)  Portfolio 
  beginning  Net investment  gain (loss)  investment  investment  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, 2021**   $10.09­  .03­  .01­  .04­  (.03)  —­  (.03)  $10.10­  .36*  $9,494,929­  .15*  .26*  30* 
July 31, 2020­  10.06­  .18­  .03­  .21­  (.18)  —­  (.18)  10.09­  2.11­  8,857,867­  .30­  1.79­  53­ 
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 

 

* 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):

  1/31/21  7/31/20  7/31/19  7/31/18  7/31/17  7/31/16 
Class A  0.03%  0.09%  0.14%  0.14%  0.15%  0.15% 
Class B  0.03  0.09  0.14  0.14  0.15  0.15 
Class C  0.03  0.09  0.14  0.14  0.15  0.15 
Class N  0.03  0.09  0.10  N/A  N/A  N/A 
Class R  0.03  0.09  0.14  0.14  0.15  0.15 
Class R6  0.03  0.09  0.14  0.14  0.15  0.15 
Class Y  0.03  0.09  0.14  0.14  0.15  0.15 

 

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):

  1/31/21  7/31/16 
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.

54 Ultra Short Duration Income Fund  Ultra Short Duration Income Fund 55 

 


 

Notes to financial statements 1/31/21 (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, 2020 through January 31, 2021.

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. 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 convert to class A shares after approximately 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. Effective March 1, 2021, class C shares will generally convert to class A shares after approximately eight 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.

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

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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.

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 $105,002,407 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

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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, if any, 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 Bank Funding Rate (overnight LIBOR prior to October 16, 2020) for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate (1.30% prior to October 16, 2020) 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.

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At July 31, 2020, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:

  Loss carryover   
Short-term  Long-term  Total 
$28,121,205  $2,880,383  $31,001,588 

 

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 $17,411,003,697,

 

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resulting in gross unrealized appreciation and depreciation of $45,141,824 and $7,185,150, respectively, or net unrealized appreciation of $37,956,674.

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. 

 

For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.139% of the fund’s average net assets.

Putnam Management has contractually agreed, through November 30, 2021, 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 Management has also contractually agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through November 30, 2021, 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 $5,213,899 as a result of this limit.

Putnam Management may from time to time voluntarily undertake to waive fees and/or reimburse certain fund expenses in order to enhance the annualized net yield for the fund. Any such waiver or reimbursement would be voluntary and may be modified or discontinued by Putnam Management at any time without notice. During the reporting period, the fund’s expenses were reduced by $2,509 as a result of this limit. This includes the following amounts per class of class specific distribution fees from the fund:

  Distribution fee waived 
Class B  $28 
Class C  2,127 
Class R  354 
Total  $2,509 

 

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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 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.

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

During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:

Class A  $2,270,941  Class R  1,504 
Class B  96  Class R6  24,341 
Class C  8,535  Class Y  2,852,853 
Class N  6,422  Total  $5,164,692 

 

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 $62,869 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $11,884, 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.

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

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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%  $3,798,437 
Class B  0.75%  0.50%  803 
Class C  1.00%  0.50%  71,391 
Class N  1.00%  0.25%  26,850 
Class R  1.00%  0.50%  12,568 
Total      $3,910,049 

 

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $264 from the sale of class N shares and received no monies and $34 in contingent deferred sales charges from redemptions of class B and class C shares purchased by exchange from another Putnam fund, respectively.

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 $65 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)  $3,638,454,026  $3,136,567,448 
U.S. government securities (Long-term)     
Total  $3,638,454,026  $3,136,567,448 

 

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.

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 1/31/21  YEAR ENDED 7/31/20 
Class A  Shares  Amount  Shares  Amount 
Shares sold  242,196,330  $2,443,336,616  753,578,499  $7,571,828,404 
Shares issued in connection with         
reinvestment of distributions  1,535,202  15,487,497  14,565,154  146,148,394 
  243,731,532  2,458,824,113  768,143,653  7,717,976,798 
Shares repurchased  (222,031,697)  (2,239,965,202)  (858,188,077)  (8,584,097,825) 
Net increase (decrease)  21,699,835  $218,858,911  (90,044,424)  $(866,121,027) 

 

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  SIX MONTHS ENDED 1/31/21  YEAR ENDED 7/31/20 
Class B  Shares  Amount  Shares  Amount 
Shares sold  25,431  $256,333  32,369  $323,987 
Shares issued in connection with         
reinvestment of distributions  4  38  244  2,441 
  25,435  256,371  32,613  326,428 
Shares repurchased  (12,803)  (129,009)  (13,812)  (138,487) 
Net increase  12,632  $127,362  18,801  $187,941 
 
  SIX MONTHS ENDED 1/31/21  YEAR ENDED 7/31/20 
Class C  Shares  Amount  Shares  Amount 
Shares sold  745,565  $7,514,079  1,933,117  $19,377,511 
Shares issued in connection with         
reinvestment of distributions  390  3,933  31,677  317,419 
  745,955  7,518,012  1,964,794  19,694,930 
Shares repurchased  (662,464)  (6,676,418)  (1,172,141)  (11,734,358) 
Net increase  83,491  $841,594  792,653  $7,960,572 

 

  YEAR ENDED 7/31/20 * 
Class M  Shares  Amount 
Shares sold  118,437  $1,189,109 
Shares issued in connection with reinvestment of distributions  1,625  16,313 
  120,062  1,205,422 
Shares repurchased  (396,889)  (3,984,763) 
Net decrease  (276,827)  $(2,779,341) 

 

  SIX MONTHS ENDED 1/31/21  YEAR ENDED 7/31/20 
Class N  Shares  Amount  Shares  Amount 
Shares sold  524,283  $5,282,311  2,045,617  $20,401,196 
Shares issued in connection with         
reinvestment of distributions  2,772  27,938  27,073  271,298 
  527,055  5,310,249  2,072,690  20,672,494 
Shares repurchased  (401,551)  (4,047,006)  (1,457,204)  (14,534,292) 
Net increase  125,504  $1,263,243  615,486  $6,138,202 
 
  SIX MONTHS ENDED 1/31/21  YEAR ENDED 7/31/20 
Class R  Shares  Amount  Shares  Amount 
Shares sold  166,547  $1,677,783  219,393  $2,200,621 
Shares issued in connection with         
reinvestment of distributions  74  746  6,718  67,328 
  166,621  1,678,529  226,111  2,267,949 
Shares repurchased  (168,244)  (1,695,711)  (256,662)  (2,554,382) 
Net decrease  (1,623)  $(17,182)  (30,551)  $(286,433) 

 

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  SIX MONTHS ENDED 1/31/21  YEAR ENDED 7/31/20 
Class R6  Shares  Amount  Shares  Amount 
Shares sold  2,355,161  $23,792,992  4,736,113  $47,571,268 
Shares issued in connection with         
reinvestment of distributions  25,151  254,147  162,942  1,637,353 
  2,380,312  24,047,139  4,899,055  49,208,621 
Shares repurchased  (1,862,146)  (18,815,369)  (5,451,428)  (54,707,359) 
Net increase (decrease)  518,166  $5,231,770  (552,373)  $(5,498,738) 
 
  SIX MONTHS ENDED 1/31/21  YEAR ENDED 7/31/20 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  471,754,341  $4,763,890,354  1,036,435,643  $10,414,654,047 
Shares issued in connection with         
reinvestment of distributions  1,952,689  19,722,158  12,669,457  127,253,934 
  473,707,030  4,783,612,512  1,049,105,100  10,541,907,981 
Shares repurchased  (411,927,915)  (4,160,017,988)  (971,505,141)  (9,736,120,735) 
Net increase  61,779,115  $623,594,524  77,599,959  $805,787,246 

 

* 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.

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 7/31/20  cost  proceeds  income  of 1/31/21 
Short-term investments           
Putnam Short Term           
Investment Fund*  $365,382,337  $1,310,040,445  $1,476,037,606  $314,813  $199,385,176 
Total Short-term           
investments  $365,382,337  $1,310,040,445  $1,476,037,606  $314,813  $199,385,176 

 

* 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.

On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced a desire to phase out the use of LIBOR by the end of 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and

Ultra Short Duration Income Fund 63 

 


 

financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. The transition process might lead to increased volatility and illiquidity in markets that currently rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of new hedges placed against existing LIBOR-based investments. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur prior to the end of 2021.

Beginning in January 2020, global financial markets have experienced, and may continue to experience, significant volatility resulting from the spread of a virus known as Covid–19. The outbreak of Covid–19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of Covid–19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the fund’s performance.

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**  $75,000,000  $25,000,000  $100,000,000 
Total Assets  $75,000,000  $25,000,000  $100,000,000 
Liabilities:       
Total Liabilities  $—  $—  $— 
Total Financial and Derivative Net Assets  $75,000,000  $25,000,000  $100,000,000 
Total collateral received (pledged)†##  $75,000,000  $25,000,000   
Net amount  $—  $—   
Controlled collateral received (including       
TBA commitments)**  $—  $—  $— 
Uncontrolled collateral received  $78,751,772  $26,250,635  $105,002,407 
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 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this provision.

64 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  George Putnam, III   
London, England SW1A 1ER  Robert L. Reynolds  Richard T. Kircher 
  Manoj P. Singh  Vice President and BSA 
Marketing Services  Mona K. Sutphen  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.

(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: March 30, 2021
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: March 30, 2021
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: March 30, 2021
EX-99.CERT 2 b_lu7certifications.htm CERTIFICATIONS b_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: March 30, 2021

/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: March 30, 2021

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















Attachment A

Period (s) ended January 31, 2021

               George Putnam Balanced Fund
               Putnam Growth Opportunities Fund
               Putnam Premier Income Trust
               Putnam Research Fund
               Putnam Ultra Short Duration Income Fund
               Putnam Short Term Investment Fund
               Putnam Strategic Intermediate Municipal Fund
               Putnam Tax-Free High Yield Fund

               Putnam RetirementReady — Funds:
               Putnam RetirementReady — 2065
               Putnam RetirementReady — 2060
               Putnam RetirementReady — 2055
               Putnam RetirementReady — 2050
               Putnam RetirementReady — 2045
               Putnam RetirementReady — 2040
               Putnam RetirementReady — 2035
               Putnam RetirementReady — 2030
               Putnam RetirementReady — 2025
               Putnam RetirementReady Maturity Fund
EX-99.906 CERT 3 c_lu7noscertification.htm 906 CERTIFICATIONS c_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, 2021 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, 2021 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.

Date: March 30, 2021

/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, 2021 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, 2021 fairly presents, in all material respects, the financial condition and results of operations of the Funds listed on Attachment A.

Date: March 30, 2021

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















Attachment A

Period (s) ended January 31, 2021

               George Putnam Balanced Fund
               Putnam Growth Opportunities Fund
               Putnam Premier Income Trust
               Putnam Research Fund
               Putnam Ultra Short Duration Income Fund
               Putnam Short Term Investment Fund
               Putnam Strategic Intermediate Municipal Fund
               Putnam Tax-Free High Yield Fund

               Putnam RetirementReady — Funds:
               Putnam RetirementReady — 2065
               Putnam RetirementReady — 2060
               Putnam RetirementReady — 2055
               Putnam RetirementReady — 2050
               Putnam RetirementReady — 2045
               Putnam RetirementReady — 2040
               Putnam RetirementReady — 2035
               Putnam RetirementReady — 2030
               Putnam RetirementReady — 2025
               Putnam RetirementReady Maturity Fund
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