N-CSR 1 a_ultrashrtdurationinc.htm PUTNAM FUNDS TRUST a_ultrashrtdurationinc.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: Stephen Tate, 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 — July 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

September 10, 2021

Dear Fellow Shareholder:

Through the summer months of 2021, financial markets continued to rise. Stocks were powered by new highs in corporate earnings, and bonds appreciated despite an uptick in inflation. Experts at Putnam believe inflation will likely be temporary, caused by an uneven recovery from the Covid-19 pandemic.

Even as the economy returns to a more normal trajectory, the evolving pandemic remains a justifiable concern. During these unsettled times, well-managed companies have tried to be flexible and resilient, adapting to conditions while focusing on their goals.

Putnam’s research teams also remain focused on their objectives. They analyze and debate how businesses are adjusting to these challenges as they work to identify investment opportunities for our portfolios. We believe this active approach is well-suited to this time.

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.


2 Ultra Short Duration Income Fund 

 

 

A broader range of income opportunities

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


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

Ultra Short Duration Income Fund 3 

 

 


Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. See below and pages 9–12 for additional performance information. The fund had expense limitations during the period, without which returns would have been lower.


This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 7/31/21. See above and pages 9–12 for additional fund performance information. Index descriptions can be found on page 17.

All Bloomberg indices provided by Bloomberg Index Services Limited.

4 Ultra Short Duration Income Fund 

 

 



How were market conditions during the 12-month reporting period?

Global financial markets proved to be surprisingly resilient during the fiscal 12-month period. Key equity market indexes advanced, driven by a broader rollout of vaccines, fiscal stimulus, low interest rates, and a pick-up in economic activity. Growth in the United States is being fueled largely by federal funding, including President Biden’s multitrillion dollar spending packages, and consumer spending, in our opinion. However, fixed-income securities, stocks, and other risky assets came under pressure periodically due to concerns that rising inflation and a speedy economic recovery could prompt central bankers to pare back easy monetary policies. In July, Covid-19 cases and hospitalizations began to rise, spurred by the Delta variant and some vaccine resistance. Worries about growth and mobility restrictions have resurfaced in financial markets.

In July, the Federal Reserve voted to leave its benchmark interest rate near zero and to continue the government-backed bond purchases. However, Fed officials have started to discuss when and how to start reducing, or tapering, the bond-buying program. The central

Ultra Short Duration Income Fund 5 

 

 

Allocations are shown as a percentage of the fund’s net assets as of 7/31/21. 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.

bank has said it wants to first see “substantial further progress” toward its goals of maximum employment and stable inflation. The yield on the 10-year Treasury note, which helps set borrowing costs on everything from mortgages to corporate debt, rose to 1.24% at period-end from 0.55% at the end of July 2020. The yield on the 2-year Treasury note advanced to 0.19% from 0.11%.

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 0.36% versus 0.08% for the benchmark index for the 12 months ended July 31, 2021.

Corporate credit was the largest contributor to the fund’s relative performance over the one-year period. Generally, the fund is primarily invested in investment-grade corporate bonds and commercial paper [CP], so corporate spread movements tend to have the largest impact on the fund’s performance. Spreads tightened on the Bloomberg 1–3 Year U.S. Corporate Bond Index by approximately 27 basis points over the past year. Issuer selection within the financials sector, which is the largest sector allocation within the fund, was particularly strong, especially within high-quality bank issuers. To a lesser extent, the fund’s smaller allocation to the industrials sector contributed as well.

Additionally, the fund’s allocation to securitized sectors, including non-agency residential mortgage-backed securities [RMBS] and asset-backed securities [ABS], contributed to performance. The portfolio management team continues to focus allocations in this area to highly rated securities that are senior in the capital structure. We believe this approach provides diversification benefits to our corporate exposure.

6 Ultra Short Duration Income Fund 

 

 

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

We believe the environment for risk assets remains generally supportive. Growth in the United States will be robust, particularly in the second half of 2021, fueled by the lifting of pandemic-related restrictions, pent-up consumer demand, and widespread vaccinations, in our opinion. We are also anticipating further strength in corporate earnings growth. Given expectations for sturdier growth, we believe U.S. Treasury yields could rise further this year. That said, we think the trend toward higher rates will be gradual, as bond investors adjust their growth and inflation outlooks, leading to periods of market volatility.

Near-term inflation expectations are significantly higher than they were prior to the pandemic. While it is possible that higher-than-expected inflation could unnerve policymakers and investors, we think the Fed will view any near-term uptick in domestic inflation as transitory. We believe the Fed will maintain its accommodative policy over the short term as it seeks broader and more inclusive employment gains. While the past year has been a challenging environment for investors focused at the short end of the curve, we believe the Fed’s recent actions are a first step toward unwinding the pandemic-driven liquidity, which in turn may create attractive opportunities.


What are the fund’s strategies going forward?

From a strategy perspective, the portfolio management team is continuing to take a more


Credit qualities are shown as a percentage of the fund’s net assets as of 7/31/21. 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 

 

 

conservative approach, as valuations remain less attractive on the heels of historically tight spreads, in our opinion. In terms of rates, we continue to believe the Fed will tighten policy earlier than market expectations, and we are beginning to see this play out. Within the fund, we have been positioning the portfolio based on this view. We have been shortening the duration of the fund by selling fixed-rate corporates and swapping into floating-rate instruments, specifically investment-grade corporate bonds that have a floating-rate coupon. Typically, when we see the Fed change course, short-term rates trend higher in anticipation of an eventual rate hike. Therefore, we believe owning securities with floating-rate coupons allows the fund to participate in a higher rate environment in the future as floating-rate coupons reset.

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 for the fund, in our opinion. We are also keeping a balance of short-maturity commercial paper for liquidity. CP yields remain low; however, 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: lower-tier investment-grade securities [BBB or equivalent] maturing in one year or less and upper-tier investment-grade securities [A or AA rated] maturing in a range of 1 to 3.5 years. Despite ongoing changes in the market environment, preservation remains one of the primary objectives of the fund.

Thank you, Joanne, for your time and insights today.

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

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


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

8 Ultra Short Duration Income Fund 

 

 

Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended July 31, 2021, the end of its most recent 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 7/31/21

    Annual    Annual    Annual   
  Life of fund  average  5 years  average  3 years  average  1 year 
Class A (10/17/11)               
Net asset value  11.15%  1.09%  7.91%  1.53%  4.98%  1.63%  0.36% 
Class B (10/17/11)               
Net asset value  7.69  0.76  5.95  1.16  3.79  1.25  0.02 
Class C (10/17/11)               
Net asset value  7.69  0.76  5.95  1.16  3.79  1.25  0.02 
Class N (11/1/18)               
Before sales charge  9.69  0.95  7.22  1.40  4.61  1.51  0.21 
After sales charge  8.05  0.79  5.61  1.10  3.04  1.00  –1.29 
Class R (10/17/11)               
Net asset value  6.98  0.69  5.95  1.16  3.79  1.25  0.02 
Class R6 (7/2/12)               
Net asset value  12.51  1.21  8.60  1.66  5.42  1.78  0.57 
Class Y (10/17/11)               
Net asset value  12.34  1.20  8.44  1.63  5.29  1.73  0.46 

 

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 and C share performance reflects conversion to class A shares after eight years.

Ultra Short Duration Income Fund 9 

 

 

Comparative index returns For periods ended 7/31/21

    Annual    Annual    Annual   
  Life of fund  average  5 years  average  3 years  average  1 year 
ICE BofA U.S.               
Treasury Bill Index  6.71%  0.67%  6.08%  1.19%  4.09%  1.34%  0.08% 

 

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


Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B, C, N, R, R6, and Y shares would have been valued at $10,769, $10,769, $10,969 ($10,805 after sales charge), $10,698, $11,251, and $11,234, respectively.

10 Ultra Short Duration Income Fund 

 

 

Fund price and distribution information For the 12-month period ended 7/31/21

Distributions  Class A  Class B  Class C  Class N  Class R  Class R6  Class Y 
Number  12  12  12  12  12  12  12 
Income  $0.036649  $0.001963  $0.001941  $0.021457  $0.001946  $0.047802  $0.046757 
Capital gains  —  —  —  —  —  —  — 
Total  $0.036649  $0.001963  $0.001941  $0.021457  $0.001946  $0.047802  $0.046757 
  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 
7/31/21  10.08  10.07  10.07  10.07  10.22  10.07  10.10  10.09 
  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  0.26%  0.01%  0.01%  0.11%  0.11%  0.01%  0.37%  0.36% 
Current 30-day                 
SEC yield (with                 
expense limitation)2,3  0.07  –0.18  –0.18  N/A  –0.08  –0.18  0.18  0.17 
Current 30-day                 
SEC yield (without                 
expense limitation)3  0.02  –0.37  –0.37  N/A  –0.12  –0.37  0.13  0.12 

 

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.

Ultra Short Duration Income Fund 11 

 

 

Fund performance as of most recent calendar quarter Total return for periods ended 6/30/21

    Annual    Annual    Annual   
  Life of fund  average  5 years  average  3 years  average  1 year 
Class A (10/17/11)               
Net asset value  11.13%  1.09%  8.07%  1.56%  5.15%  1.69%  0.49% 
Class B (10/17/11)               
Net asset value  7.66  0.76  5.98  1.17  3.94  1.30  0.13 
Class C (10/17/11)               
Net asset value  7.66  0.76  5.98  1.17  3.94  1.30  0.13 
Class N (11/1/18)               
Before sales charge  9.68  0.96  7.38  1.43  4.78  1.57  0.34 
After sales charge  8.04  0.80  5.77  1.13  3.21  1.06  –1.16 
Class R (10/17/11)               
Net asset value  6.98  0.70  5.98  1.17  3.94  1.30  0.13 
Class R6 (7/2/12)               
Net asset value  12.47  1.22  8.65  1.67  5.59  1.83  0.60 
Class Y (10/17/11)               
Net asset value  12.41  1.21  8.71  1.68  5.56  1.82  0.69 

 

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

12 Ultra Short Duration Income Fund 

 

 

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 7/31/21†  0.40%  0.78%‡  0.78%‡  0.55%  0.77%‡  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.

† Expense ratios for each class are for the fund’s most recent fiscal half year. As a result of this, ratios may differ from expense ratios based on one-year data in the financial highlights.

‡ Reflects a voluntary waiver of certain fund expenses.

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 2/1/21 to 7/31/21. 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 †  $1.98  $3.87  $3.87  $2.73  $3.82  $1.44  $1.49 
Ending value (after expenses)  $1,000.60  $999.10  $999.10  $999.80  $999.10  $1,001.10  $1,001.10 

 

* 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 7/31/21. 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 (181); and then dividing that result by the number of days in the year (365).

Ultra Short Duration Income Fund 13 

 

 

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 7/31/21, use the following calculation method. To find the value of your investment on 2/1/21, 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*†  $2.01  $3.91  $3.91  $2.76  $3.86  $1.45  $1.51 
Ending value (after expenses)  $1,022.81  $1,020.93  $1,020.93  $1,022.07  $1,020.98  $1,023.36  $1,023.31 

 

* 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 7/31/21. 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 (181); and then dividing that result by the number of days in the year (365).

14 Ultra Short Duration Income Fund 

 

 

Consider these risks before investing

Putnam Ultra Short Duration Income Fund is not a money market fund. The effects of inflation may erode the value of your investment over time. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are also subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage-backed investments, in other investments with less attractive terms and yields.

The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings.

Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Credit risk is generally greater for debt not backed by the full faith and credit of the U.S. government. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. Unlike bonds, funds that invest in bonds have fees and expenses.

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.

Ultra Short Duration Income Fund 15 

 

 

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:

16 Ultra Short Duration Income Fund 

 

 

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

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

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

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

BLOOMBERG®  is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, 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.

Ultra Short Duration Income Fund 17 

 

 

Other information for shareholders

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, 2021, are available in the Individual Investors section of putnam.com and on the Securities and Exchange Commission (SEC) 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 July 31, 2021, Putnam employees had approximately $569,000,000 and the Trustees had approximately $80,000,000 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.

Liquidity risk management program

Putnam, as the administrator of the fund’s liquidity risk management program (appointed by the Board of Trustees), presented the most recent annual report on the program to the Trustees in April 2021. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from January 2020 through December 2020. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2020. The report noted that there were no material compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classification of the fund’s investments. The report also included a discussion of liquidity monitoring during the period, including during the market liquidity challenges caused by the Covid-19 pandemic, and the impact those challenges had on the liquidity of the fund’s investments. Putnam concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4.

18 Ultra Short Duration Income Fund 

 

 

Important notice regarding Putnam’s privacy policy

In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.

It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.

Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.

Ultra Short Duration Income Fund 19 

 

 

Trustee approval of management contract

General conclusions

The Board of Trustees of The Putnam Funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management, LLC (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of The Putnam Funds (“Independent Trustees”).

At the outset of the review process, members of the Board’s independent staff and independent legal counsel considered any possible changes to the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and, as applicable, identified those changes to Putnam Management. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management and its affiliates furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2021, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for The Putnam Funds and the Independent Trustees.

In May 2021, the Contract Committee met in executive session to discuss and consider its recommendations with respect to the continuance of the contracts. At the Trustees’ June 2021 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial, performance and other data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its recommendations. The Contract Committee recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2021. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not attempted to evaluate PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)

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

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

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

These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with certain exceptions primarily involving newly launched or repositioned funds, the current

20 Ultra Short Duration Income Fund 

 

 

fee arrangements under the vast majority of the funds’ management contracts were first implemented at the beginning of 2010 following extensive review by the Contract Committee and discussions with representatives of Putnam Management, as well as approval by shareholders.

Management fee schedules and total expenses

The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. Under its management contract, your fund has the benefit of breakpoints in its management fee schedule that provide shareholders with reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to fund shareholders. (Two funds have implemented so-called “all-in” management fees covering substantially all routine fund operating costs.)

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

As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. The Trustees and Putnam Management and the funds’ investor servicing agent, Putnam Investor Services, Inc. (“PSERV”), have implemented expense limitations that were in effect during your fund’s fiscal year ending in 2020. These expense limitations were: (i) a contractual expense limitation applicable to specified open-end funds, including your fund, of 25 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to specified open-end funds, including your fund, of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, distribution fees, investor servicing fees, investment-related expenses, interest, taxes, brokerage commissions, acquired fund fees and expenses and extraordinary expenses).

These expense limitations attempt to maintain competitive expense levels for the funds. Most funds, including your fund, had sufficiently low expenses that these expense limitations were not operative during their fiscal years ending in 2020. Putnam Management and PSERV have agreed to maintain these expense limitations until at least November 30, 2022. In addition, Putnam Management contractually agreed to waive fees and/or reimburse expenses of your fund to the extent that expenses of the fund (excluding payments under the fund’s distribution plans, investor servicing fees, brokerage, interest, taxes, investment-related expenses, extraordinary expenses and acquired fund fees and expenses) would exceed an annual rate of 0.24% of its average net assets through at least November 30, 2022. During its fiscal year ending in 2020, your fund’s expenses were reduced as a result of this expense limitation. Putnam Management and PSERV’s commitment to these expense limitation arrangements, which were intended to support an effort to have fund expenses meet competitive standards, was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.

The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Broadridge Financial Solutions, Inc. (“Broadridge”). This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fees), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the second quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the third quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2020. The first quintile represents the least expensive funds and the fifth quintile the most expensive funds. The fee and expense data reported by Broadridge as of December 31, 2020 reflected the most recent fiscal year-end data available in Broadridge’s database at that time.

In connection with their review of fund management fees and total expenses, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends

Ultra Short Duration Income Fund 21 

 

 

in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of the revenues, expenses and profitability of Putnam Management and its affiliates, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts. For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place for the Putnam funds, including the fee schedule for your fund, represented reasonable compensation for the services being provided and represented an appropriate sharing between fund shareholders and Putnam Management of any economies of scale as may exist in the management of the Putnam funds at that time.

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

Investment performance

The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of Putnam Management’s investment process and performance by the work of the investment oversight committees of the Trustees and the full Board of Trustees, which meet on a regular basis with individual portfolio managers and with senior management of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.

The Trustees considered that, in the aggregate, The Putnam Funds generally performed well in 2020, which Putnam Management characterized as a challenging year with significant volatility and varied market dynamics. On an asset-weighted basis, the Putnam funds ranked in the second quartile of their peers as determined by Lipper Inc. (“Lipper”) for the year ended December 31, 2020 and, on an asset-weighted-basis, delivered a gross return that was 2.3% ahead of their benchmarks in 2020. In addition to the performance of the individual Putnam funds, the Trustees considered, as they had in prior years, the performance of The Putnam Fund complex versus competitor fund complexes. In this regard, the Trustees observed that The Putnam Funds’ relative performance, as reported in the Barron’s/Lipper Fund Families survey, continued to be exceptionally strong over the long term, with The Putnam Funds ranking as the 3rd best performing mutual fund complex out of 44 complexes for the ten-year period, with 2020 marking the fourth consecutive year that The Putnam Funds have ranked in the top ten fund complexes for the ten-year period. The Trustees noted that The Putnam Funds’ performance was solid over the one- and five-year periods, with The Putnam Funds ranking 22nd out of 53 complexes

22 Ultra Short Duration Income Fund 

 

 

and 14th out of 50 complexes, respectively. In addition to the Barron’s/Lipper Fund Families Survey, the Trustees also considered the funds’ ratings assigned by Morningstar Inc., noting that 26 of the funds were four- or five-star rated at the end of 2020 (representing an increase of four funds year-over-year) and that this included seven funds that had achieved a five-star rating (representing an increase of two funds year-over-year). They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2020 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor closely the performance of those funds and evaluate whether additional actions to address areas of underperformance may be warranted.

For purposes of the Trustees’ evaluation of the Putnam funds’ investment performance, the Trustees generally focus on a competitive industry ranking of each fund’s total net return over a one-year, three-year and five-year period. For a number of Putnam funds with relatively unique investment mandates for which Putnam Management informed the Trustees that meaningful competitive performance rankings are not considered to be available, the Trustees evaluated performance based on their total gross and net returns and comparisons of those returns to the returns of selected investment benchmarks. In the case of your fund, the Trustees considered information about your fund’s total return and its performance relative to its benchmark over the one-year, three-year and five-year periods ended December 31, 2020. Your fund’s class A shares’ return, net of fees and expenses, was positive and exceeded the return of its benchmark over the one-year, three-year and five-year periods ended December 31, 2020. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)

The Trustees considered Putnam Management’s continued efforts to support fund performance through certain initiatives, including structuring compensation for portfolio managers to enhance accountability for fund performance, emphasizing accountability in the portfolio management process, and affirming its commitment to a fundamental-driven approach to investing. The Trustees noted further that Putnam Management had made selective hires and internal promotions in 2020 to strengthen its investment team.

Brokerage and soft-dollar allocations; investor servicing

The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used predominantly to acquire brokerage and research services (including third-party research and market data) that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee. In addition, with the assistance of their Brokerage Committee, the Trustees indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.

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

Ultra Short Duration Income Fund 23 

 

 

Audited financial statements

These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, constitute the fund’s audited 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.

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.

24 Ultra Short Duration Income Fund 

 

 

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Putnam Funds Trust and Shareholders of
Putnam Ultra Short Duration Income Fund:

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the fund’s portfolio, of Putnam Ultra Short Duration Income Fund (one of the funds constituting Putnam Funds Trust, referred to hereafter as the “Fund”) as of July 31, 2021, the related statement of operations for the year ended July 31, 2021, the statement of changes in net assets for each of the two years in the period ended July 31, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of July 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended July 31, 2021 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

The financial statements of the Fund as of and for the year ended July 31, 2019 and the financial highlights for each of the periods ended on or prior to July 31, 2019 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated September 10, 2019 expressed an unqualified opinion on those financial statements and financial highlights.

Basis for Opinion

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2021 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP
Boston, Massachusetts
September 10, 2021

We have served as the auditor of one or more investment companies in the Putnam Investments family of mutual funds since at least 1957. We have not been able to determine the specific year we began serving as auditor.

Ultra Short Duration Income Fund 25 

 

 

The fund’s portfolio 7/31/21
CORPORATE BONDS AND NOTES (53.2%)* Principal
amount		 Value
Banking (28.0%)
ABN AMRO Bank NV 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.57%), 0.709%, 8/27/21 (Netherlands)     $77,000,000 $77,027,866
Australia & New Zealand Banking Group, Ltd. 144A sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.87%), 1.02%, 11/23/21 (Australia)     3,000,000 3,007,806
Australia & New Zealand Banking Group, Ltd. 144A sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.49%), 0.639%, 11/21/22 (Australia)     24,180,000 24,329,438
Banco Bilbao Vizcaya Argentaria SA sr. unsec. unsub. notes 0.875%, 9/18/23 (Spain)     28,200,000 28,343,233
Banco Santander SA sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.56%), 1.679%, 4/11/22 (Spain)     19,870,000 20,053,003
Banco Santander SA sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.09%), 1.24%, 2/23/23 (Spain)     8,200,000 8,302,093
Banco Santander SA sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.12%), 1.239%, 4/12/23 (Spain)     36,610,000 37,117,804
Banco Santander SA sr. unsec. unsub. notes 3.50%, 4/11/22 (Spain)     25,349,000 25,908,575
Bank of America Corp. sr. unsec. FRN Ser. GMTN,
(BBA LIBOR USD 3 Month + 0.96%), 1.098%, 7/23/24		     11,340,000 11,503,520
Bank of America Corp. sr. unsec. FRN Ser. MTN, (Bloomberg 3 Month Short Term Bank Yield Index + 0.43%), 0.536%, 5/28/24     71,000,000 71,071,000
Bank of America Corp. sr. unsec. unsub. FRN 3.004%, 12/20/23     16,679,000 17,265,167
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 1.16%), 1.294%, 1/20/23     18,815,000 18,909,471
Bank of America Corp. sr. unsec. unsub. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.79%), 0.921%, 3/5/24     62,949,000 63,500,902
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN,
(BBA LIBOR USD 3 Month + 0.79%), 0.929%, 8/27/21 (Canada)		     7,500,000 7,504,171
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.57%), 0.716%, 3/26/22 (Canada)     57,966,000 58,187,591
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (Secured Overnight Funding Rate + 0.32%), 0.372%, 7/9/24 (Canada)     37,695,000 37,728,549
Bank of Montreal sr. unsec. unsub. FRN Ser. MTN, (Secured Overnight Funding Rate + 0.27%), 0.32%, 4/14/23 (Canada)     28,038,000 28,095,758
Banque Federative du Credit Mutuel SA 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.96%), 1.094%, 7/20/23 (France)     7,635,000 7,761,718
Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 2.125%, 11/21/22 (France)     22,009,000 22,532,113
Banque Federative du Credit Mutuel SA 144A sr. unsec. notes 0.65%, 2/27/24 (France)     35,500,000 35,509,477
Barclays PLC sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.43%), 1.586%, 2/15/23 (United Kingdom)     9,500,000 9,561,559
Barclays PLC sr. unsec. unsub. FRN 4.61%, 2/15/23 (United Kingdom)     63,388,000 64,795,505


26 Ultra Short Duration Income Fund


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Banking cont.
Barclays PLC sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.63%), 1.744%, 1/10/23 (United Kingdom)     $42,803,000 $43,069,206
Barclays PLC sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.38%), 1.536%, 5/16/24 (United Kingdom)     15,271,000 15,538,287
Barclays PLC sr. unsec. unsub. notes 3.20%, 8/10/21 (United Kingdom)     49,385,000 49,413,033
BBVA USA sr. unsec. notes Ser. BKNT, 2.875%, 6/29/22     8,545,000 8,732,793
BNP Paribas SA 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.39%), 0.56%, 8/7/21 (France)     7,526,000 7,526,376
BNP Paribas SA 144A sr. unsec. notes 2.95%, 5/23/22 (France)     21,815,000 22,278,366
BPCE SA 144A company guaranty sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.22%), 1.37%, 5/22/22 (France)     8,035,000 8,100,271
BPCE SA 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.24%), 1.359%, 9/12/23 (France)     61,337,000 62,579,197
BPCE SA 144A sr. unsec. FRN (Secured Overnight Funding Rate + 0.44%), 0.477%, 2/17/22 (France)     46,500,000 46,567,026
BPCE SA 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.30%), 0.433%, 1/14/22 (France)     26,050,000 26,085,194
Canadian Imperial Bank of Commerce sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.80%), 0.85%, 3/17/23 (Canada)     62,781,000 63,407,554
Canadian Imperial Bank of Commerce sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.72%), 0.838%, 6/16/22 (Canada)     6,300,000 6,336,947
Canadian Imperial Bank of Commerce sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.34%), 0.389%, 6/22/23 (Canada)     47,455,000 47,491,066
Canadian Imperial Bank of Commerce sr. unsec. unsub. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.66%), 0.779%, 9/13/23 (Canada)     20,445,000 20,686,409
Capital One Bank USA NA sr. unsec. FRN 2.014%, 1/27/23     19,127,000 19,280,984
Capital One NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 1.15%), 1.279%, 1/30/23     8,310,000 8,351,171
Capital One NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.82%), 0.982%, 8/8/22     9,900,000 9,965,839
Citigroup, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.43%), 1.565%, 9/1/23     23,996,000 24,305,283
Citigroup, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.02%), 1.158%, 6/1/24     69,168,000 70,144,147
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.19%), 1.366%, 8/2/21     28,093,000 28,093,000
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.07%), 1.198%, 12/8/21     32,745,000 32,837,691
Citigroup, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.96%), 1.085%, 4/25/22     28,085,000 28,247,742
Citizens Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.95%), 1.096%, 3/29/23     8,675,000 8,776,047
Citizens Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.81%), 0.951%, 5/26/22     9,960,000 10,021,090


Ultra Short Duration Income Fund 27


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Banking cont.
Citizens Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.72%), 0.874%, 2/14/22     $43,000,000 $43,133,215
Cooperatieve Rabobank UA sr. unsec. FRN (Secured Overnight Funding Rate + 0.30%), 0.35%, 1/12/24 (Netherlands)     46,000,000 46,079,459
Cooperatieve Rabobank UA 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.86%), 1.006%, 9/26/23 (Netherlands)     27,341,000 27,716,485
Cooperative Rabobank UA sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.83%), 0.949%, 1/10/22 (Netherlands)     29,100,000 29,206,755
Credit Agricole SA/London 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.02%), 1.145%, 4/24/23 (United Kingdom)     65,372,000 66,293,009
Credit Agricole SA/London 144A sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.43%), 1.549%, 1/10/22 (United Kingdom)     10,818,000 10,882,785
Credit Suisse AG/New York, NY sr. unsec. FRN (Secured Overnight Funding Rate + 0.45%), 0.48%, 2/4/22     51,815,000 51,889,211
Credit Suisse Group AG sr. unsec. FRN (Secured Overnight Funding Rate + 0.39%), 0.44%, 2/2/24     33,500,000 33,488,208
Danske Bank A/S 144A sr. unsec. notes 5.00%, 1/12/22 (Denmark)     9,641,000 9,826,984
DNB Bank ASA 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.62%), 0.751%, 12/2/22 (Norway)     46,725,000 47,037,311
Federation des Caisses Desjardins du Quebec 144A sr. unsec. FRN (Secured Overnight Funding Rate + 0.43%), 0.469%, 5/21/24 (Canada)     41,990,000 42,049,206
ING Bank NV 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.88%), 1.036%, 8/15/21 (Netherlands)     31,679,000 31,689,251
ING Groep NV sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.00%), 1.146%, 10/2/23 (Netherlands)     68,129,000 69,260,351
ING Groep NV sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.15%), 1.296%, 3/29/22 (Netherlands)     34,003,000 34,255,914
ING Groep NV sr. unsec. unsub. notes 3.15%, 3/29/22 (Netherlands)     3,337,000 3,401,435
JPMorgan Chase & Co. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 1.00%), 1.126%, 1/15/23		     13,000,000 13,054,782
JPMorgan Chase & Co. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 0.89%), 1.028%, 7/23/24		     28,880,000 29,281,089
JPMorgan Chase & Co. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 0.90%), 1.025%, 4/25/23		     10,291,000 10,367,069
JPMorgan Chase & Co. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 0.73%), 0.868%, 4/23/24		     60,212,000 60,750,871
JPMorgan Chase & Co. sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.58%), 0.629%, 3/16/24     13,994,000 14,084,453
JPMorgan Chase & Co. sr. unsec. unsub. FRN 2.776%, 4/25/23     11,870,000 12,081,289
JPMorgan Chase & Co. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 1.23%), 1.355%, 10/24/23		     52,951,000 53,657,338
KeyBank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.81%), 0.96%, 11/22/21     9,905,000 9,929,797


28 Ultra Short Duration Income Fund


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Banking cont.
KeyBank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.66%), 0.786%, 2/1/22     $40,000,000 $40,130,002
KeyBank NA sr. unsec. FRN Ser. BKNT, 0.423%, 1/3/24     28,250,000 28,282,088
KeyBank NA sr. unsec. FRN Ser. BKNT, (Secured Overnight Funding Rate + 0.34%), 0.39%, 1/3/24     54,980,000 55,046,599
KeyBank NA sr. unsec. FRN Ser. BKNT, (Secured Overnight Funding Rate + 0.32%), 0.37%, 6/14/24     27,540,000 27,602,722
Lloyds Banking Group PLC sr. unsec. FRN 1.326%, 6/15/23 (United Kingdom)     44,200,000 44,529,507
Lloyds Banking Group PLC sr. unsec. unsub. FRN 2.858%, 3/17/23 (United Kingdom)     30,389,000 30,855,865
Lloyds Banking Group PLC sr. unsec. unsub. FRN 0.695%, 5/11/24 (United Kingdom)     37,392,000 37,535,303
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN
(BBA LIBOR USD 3 Month + 0.86%), 0.985%, 7/26/23 (Japan)		     16,000,000 16,204,471
Mitsubishi UFJ Financial Group, Inc. sr. unsec. FRN
(BBA LIBOR USD 3 Month + 0.74%), 0.871%, 3/2/23 (Japan)		     16,300,000 16,445,205
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.06%), 1.179%, 9/13/21 (Japan)     53,980,000 54,043,153
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.92%), 1.07%, 2/22/22 (Japan)     23,818,000 23,931,711
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.79%), 0.915%, 7/25/22 (Japan)     20,138,000 20,273,741
Mizuho Financial Group, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.99%), 1.109%, 7/10/24 (Japan)     17,800,000 18,076,206
Mizuho Financial Group, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.94%), 1.075%, 2/28/22 (Japan)     45,569,000 45,798,614
Mizuho Financial Group, Inc. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 1.14%), 1.259%, 9/13/21 (Japan)		     60,305,000 60,379,132
Mizuho Financial Group, Inc. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 0.88%), 1.005%, 9/11/22 (Japan)		     52,440,000 52,896,737
National Australia Bank, Ltd. 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.71%), 0.886%, 11/4/21 (Australia)     27,500,000 27,547,318
National Australia Bank, Ltd. 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.58%), 0.715%, 9/20/21 (Australia)     28,200,000 28,218,089
National Australia Bank, Ltd. 144A sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.41%), 0.529%, 12/13/22 (Australia)     36,650,000 36,833,243
National Bank of Canada company guaranty sr. unsec. FRN 0.90%, 8/15/23 (Canada)     48,000,000 48,220,808
Nationwide Building Society sr. unsec. FRN 3.622%, 4/26/23 (United Kingdom)     68,804,000 70,398,091


Ultra Short Duration Income Fund 29


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Banking cont.
NatWest Group PLC sr. unsec. unsub. FRN 3.498%, 5/15/23 (United Kingdom)     $56,615,000 $57,947,454
NatWest Group PLC sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 1.55%), 1.697%,
6/25/24 (United Kingdom)		     25,070,000 25,614,479
NatWest Group PLC sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 1.47%), 1.626%,
5/15/23 (United Kingdom)		     76,404,000 77,149,237
Nordea Bank ABP 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.94%), 1.075%, 8/30/23 (Finland)     3,187,000 3,234,079
PNC Bank NA sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.43%), 0.553%, 12/9/22     48,700,000 48,767,467
PNC Bank NA sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.33%), 0.475%, 2/24/23     46,065,000 46,132,093
Royal Bank of Canada sr. unsec. FRN Ser. GMTN,
(BBA LIBOR USD 3 Month + 0.36%), 0.494%, 1/17/23 (Canada)		     42,500,000 42,682,944
Royal Bank of Canada sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.36%), 0.41%, 7/29/24 (Canada)     37,500,000 37,565,550
Royal Bank of Canada sr. unsec. unsub. FRN Ser. GMTN, (BBA LIBOR USD 3 Month + 0.47%), 0.60%, 4/29/22 (Canada)     18,200,000 18,256,970
Royal Bank of Canada sr. unsec. unsub. FRN Ser. MTN, (Secured Overnight Funding Rate + 0.45%), 0.50%, 10/26/23 (Canada)     27,919,000 28,139,281
Royal Bank of Canada sr. unsec. unsub. notes (Secured Overnight Funding Rate + 0.40%), 0.43%, 8/5/22 (Canada)     27,800,000 27,870,709
Santander Holdings USA, Inc. sr. unsec. notes 4.45%, 12/3/21     23,191,000 23,423,424
Santander UK Group Holdings PLC company guaranty sr. unsec. unsub. notes 2.875%, 8/5/21 (United Kingdom)     29,043,000 29,047,061
Skandinaviska Enskilda Banken AB 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.65%), 0.764%, 12/12/22 (Sweden)     20,000,000 20,150,763
Skandinaviska Enskilda Banken AB 144A sr. unsec. notes 0.55%, 9/1/23 (Sweden)     23,478,000 23,527,562
Skandinaviska Enskilda Banken AB 144A sr. unsec. notes (BBA LIBOR USD 3 Month + 0.32%), 0.455%, 9/1/23 (Sweden)     47,957,000 48,080,975
Standard Chartered PLC 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.20%), 1.328%, 9/10/22 (United Kingdom)     66,750,000 66,820,860
Sumitomo Mitsui Financial Group, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.80%), 0.926%, 10/16/23 (Japan)     21,997,000 22,281,354
Sumitomo Mitsui Financial Group, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.14%), 1.274%, 10/19/21 (Japan)     33,620,000 33,700,921


30 Ultra Short Duration Income Fund


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Banking cont.
Sumitomo Mitsui Financial Group, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.97%), 1.089%, 1/11/22 (Japan)     $25,439,000 $25,539,608
Sumitomo Mitsui Financial Group, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.78%), 0.899%, 7/12/22 (Japan)     10,614,000 10,674,142
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. notes 0.80%, 9/12/23 (Japan)     47,459,000 47,817,033
SunTrust Bank sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.59%), 0.766%, 8/2/22     2,527,000 2,527,000
SunTrust Bank sr. unsec. unsub. FRN Ser. BKNT,
(BBA LIBOR USD 3 Month + 0.59%), 0.746%, 5/17/22		     36,600,000 36,757,402
Svenska Handelsbanken AB 144A sr. unsec. notes 0.625%, 6/30/23 (Sweden)     17,000,000 17,106,346
Swedbank AB 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.70%), 0.819%, 3/14/22 (Sweden)     9,300,000 9,332,736
Swedbank AB 144A sr. unsec. notes 1.30%, 6/2/23 (Sweden)     19,500,000 19,800,710
Swedbank AB 144A sr. unsec. notes 0.60%, 9/25/23 (Sweden)     9,653,000 9,669,989
Synovus Bank sr. unsec. FRN 2.289%, 2/10/23     13,485,000 13,581,337
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. MTN, (Secured Overnight Funding Rate + 0.48%), 0.53%, 1/27/23 (Canada)     57,295,000 57,570,081
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.35%), 0.488%, 7/22/22 (Canada)     42,000,000 41,951,070
Toronto-Dominion Bank (The) sr. unsec. unsub. notes Ser. MTN, 0.45%, 9/11/23 (Canada)     11,127,000 11,142,282
Truist Bank sr. unsec. FRN Ser. BKNT, (Secured Overnight Funding Rate + 0.73%), 0.776%, 3/9/23     38,890,000 39,178,696
Truist Financial Corp. sr. unsec. unsub. FRB Ser. MTN, (BBA LIBOR USD 3 Month + 0.65%), 0.795%, 4/1/22     26,180,000 26,272,236
U.S. Bank NA sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.40%), 0.523%, 12/9/22     47,500,000 47,745,195
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.44%), 0.59%, 5/23/22     47,990,000 48,143,924
U.S. Bank NA sr. unsec. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.38%), 0.536%, 11/16/21     7,210,000 7,216,167
UBS AG/London 144A sr. unsec. FRN (Secured Overnight Funding Rate + 0.36%), 0.391%, 2/9/24 (United Kingdom)     47,500,000 47,626,635
UBS AG/London 144A sr. unsec. notes 1.75%, 4/21/22 (United Kingdom)     9,355,000 9,447,878
UniCredit SpA 144A sr. unsec. notes 6.572%, 1/14/22 (Italy)     28,670,000 29,402,837
UniCredit SpA 144A sr. unsec. unsub. notes 3.75%, 4/12/22 (Italy)     68,691,000 70,147,724
US Bancorp sr. unsec. unsub. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.64%), 0.765%, 1/24/22     13,507,000 13,540,818
Wells Fargo & Co. sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.23%), 1.359%, 10/31/23     53,206,000 53,903,193


Ultra Short Duration Income Fund 31


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Banking cont.
Wells Fargo & Co. sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.11%), 1.235%, 1/24/23     $25,159,000 $25,283,635
Wells Fargo & Co. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.90%), 1.056%, 5/17/23     9,100,000 9,174,593
Wells Fargo Bank NA sr. unsec. FRN Ser. BKNT, 2.082%, 9/9/22     24,300,000 24,345,464
Wells Fargo Bank NA sr. unsec. FRN Ser. BKNT,
(BBA LIBOR USD 3 Month + 0.51%), 0.648%, 10/22/21		     35,700,000 35,725,614
Westpac Banking Corp. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.85%), 0.969%, 1/11/22 (Australia)     21,400,000 21,478,043
Westpac Banking Corp. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.39%), 0.519%, 1/13/23 (Australia)     17,300,000 17,388,292
4,388,399,773
Basic materials (0.4%)
FMC Corp. sr. unsec. unsub. notes 3.95%, 2/1/22     11,460,000 11,558,720
Georgia-Pacific, LLC 144A sr. unsec. notes 0.625%, 5/15/24     23,275,000 23,334,540
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 0.697%, 9/15/22     14,000,000 14,021,320
Nutrien, Ltd. sr. unsec. notes 1.90%, 5/13/23 (Canada)     15,600,000 15,973,717
64,888,297
Capital goods (0.9%)
Honeywell International, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.37%), 0.532%, 8/8/22     28,000,000 28,118,322
Honeywell International, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.23%), 0.38%, 8/19/22     17,500,000 17,502,609
L3Harris Technologies, Inc. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 0.75%), 0.878%, 3/10/23		     64,900,000 65,341,539
Otis Worldwide Corp. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.45%), 0.595%, 4/5/23     37,823,000 37,825,645
148,788,115
Communication services (0.7%)
American Tower Corp. sr. unsec. notes 0.60%, 1/15/24 R     21,400,000 21,375,907
AT&T, Inc. sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.64%), 0.69%, 3/25/24     33,300,000 33,376,252
Verizon Communications, Inc. sr. unsec. FRN (Secured Overnight Funding Rate + 0.50%), 0.55%, 3/22/24     30,615,000 30,818,838
Verizon Communications, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.00%), 1.118%, 3/16/22     24,750,000 24,896,515
110,467,512
Conglomerates (0.5%)
Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.61%), 0.728%, 3/16/22 (Netherlands)     37,850,000 38,005,618
Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. FRN (Secured Overnight Funding Rate + 0.43%), 0.48%, 3/11/24 (Netherlands)     42,200,000 42,481,010
80,486,628


32 Ultra Short Duration Income Fund


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Consumer cyclicals (1.6%)
7-Eleven, Inc. 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.45%), 0.612%, 8/10/22     $23,250,000 $23,255,839
BMW US Capital, LLC 144A company guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.50%), 0.66%, 8/13/21     20,406,000 20,410,161
BMW US Capital, LLC 144A company guaranty sr. unsec. FRN (Secured Overnight Funding Rate + 0.53%), 0.58%, 4/1/24     24,200,000 24,407,007
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. notes 3.75%, 10/1/21     1,730,000 1,739,602
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.125%, 1/15/22     15,560,000 15,669,854
Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.29%), 0.428%, 10/7/21     32,100,000 32,114,276
Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, (Secured Overnight Funding Rate + 0.34%), 0.39%, 10/14/22     18,500,000 18,549,395
Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, (Secured Overnight Funding Rate + 0.33%), 0.38%, 1/11/24     55,600,000 55,812,315
Toyota Motor Credit Corp. sr. unsec. unsub. FRN Ser. MTN, (Secured Overnight Funding Rate + 0.32%), 0.37%, 4/6/23     32,700,000 32,788,617
Walt Disney Co. (The) company guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.25%), 0.385%, 9/1/21     26,000,000 26,006,353
250,753,419
Consumer finance (2.3%)
Air Lease Corp. sr. unsec. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.35%), 0.484%, 12/15/22     46,500,000 46,541,260
American Express Co. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.75%), 0.868%, 8/3/23     14,155,000 14,314,223
American Express Co. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.65%), 0.789%, 2/27/23     5,901,000 5,944,799
American Express Co. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.60%), 0.776%, 11/5/21     22,853,000 22,870,882
American Express Co. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.61%), 0.736%, 8/1/22     2,600,000 2,611,914
American Express Co. sr. unsec. notes 2.50%, 8/1/22     9,300,000 9,492,213
American Express Co. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.62%), 0.775%, 5/20/22     61,545,000 61,805,065
American Honda Finance Corp. sr. unsec. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.42%), 0.548%, 9/8/23     19,000,000 19,109,773
American Honda Finance Corp. sr. unsec. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.37%), 0.532%, 5/10/23     69,262,000 69,526,589
Capital One Financial Corp. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 0.95%), 1.073%, 3/9/22		     4,355,000 4,374,823
Capital One Financial Corp. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 0.72%), 0.849%, 1/30/23		     39,577,000 39,861,638
Capital One Financial Corp. sr. unsec. unsub. notes 3.05%, 3/9/22     7,680,000 7,791,416


Ultra Short Duration Income Fund 33


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Consumer finance cont.
Discover Financial Services sr. unsec. unsub. notes 5.20%, 4/27/22     $10,064,000 $10,416,128
Synchrony Financial sr. unsec. notes 2.85%, 7/25/22     38,670,000 39,513,752
354,174,475
Consumer staples (1.0%)
Constellation Brands, Inc. company guaranty sr. unsec. notes 3.20%, 2/15/23     2,480,000 2,581,970
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 4.50%, 8/16/21     2,825,000 2,829,213
General Mills, Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.01%), 1.144%, 10/17/23     11,535,000 11,690,530
Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 0.75%, 3/15/24     13,974,000 13,984,914
McDonald’s Corp. sr. unsec. FRN Ser. MTN, (BBA LIBOR USD 3 Month + 0.43%), 0.562%, 10/28/21     53,080,000 53,133,202
Mondelez International Holdings Netherlands BV 144A company guaranty sr. unsec. notes 2.125%, 9/19/22 (Netherlands)     6,790,000 6,925,707
Mondelez International Holdings Netherlands BV 144A company guaranty sr. unsec. unsub. notes 2.00%, 10/28/21 (Netherlands)     26,318,000 26,388,795
Mondelez International, Inc. company guaranty sr. unsec. sub. notes 0.625%, 7/1/22     25,500,000 25,601,627
Nestle Holdings, Inc. 144A company guaranty sr. unsec. notes 0.375%, 1/15/24     13,931,000 13,892,790
157,028,748
Energy (0.9%)
Chevron USA, Inc. company guaranty sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.20%), 0.36%, 8/11/23     42,293,000 42,398,150
Chevron USA, Inc. company guaranty sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.11%), 0.278%, 8/12/22     28,196,000 28,230,135
Plains All American Pipeline LP/PAA Finance Corp. sr. unsec. unsub. notes 3.65%, 6/1/22     26,001,000 26,463,293
Williams Cos Inc/The sr. unsec. notes 4.00%, 11/15/21     16,388,000 16,407,909
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.875%, 9/1/21     16,923,000 17,021,357
Williams Partners LP sr. unsec. sub. notes 3.60%, 3/15/22     3,723,000 3,776,394
134,297,238
Financial (4.2%)
Bank of Nova Scotia (The) sr. unsec. FRN (Secured Overnight Funding Rate + 0.45%), 0.495%, 4/15/24 (Canada)     74,000,000 74,332,792
Bank of Nova Scotia (The) sr. unsec. notes 1.625%, 5/1/23 (Canada)     5,040,000 5,156,827
Bank of Nova Scotia (The) sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.38%), 0.43%, 7/31/24 (Canada)     46,700,000 46,700,234
Bank of Nova Scotia (The) sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.28%), 0.33%, 6/23/23 (Canada)     25,700,000 25,718,504


34 Ultra Short Duration Income Fund


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Financial cont.
Bank of Nova Scotia (The) sr. unsec. unsub. FRN Ser. BKNT, (BBA LIBOR USD 3 Month + 0.62%), 0.755%, 9/19/22 (Canada)     $5,096,000 $5,129,500
Credit Suisse Group AG 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.24%), 1.359%, 6/12/24 (Switzerland)     56,565,000 57,445,884
Intercontinental Exchange, Inc. sr. unsec. FRN
(BBA LIBOR USD 3 Month + 0.65%), 0.769%, 6/15/23		     65,500,000 65,419,304
Macquarie Bank, Ltd. 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.45%), 0.60%, 11/24/21 (Australia)     33,250,000 33,290,362
Macquarie Group, Ltd. 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.35%), 1.496%, 3/27/24 (Australia)     28,323,000 28,795,286
Macquarie Group, Ltd. 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.02%), 1.155%, 11/28/23 (Australia)     6,582,000 6,641,227
Nasdaq, Inc. sr. unsec. notes 0.445%, 12/21/22     14,000,000 14,006,010
Secured Forward-Backed Note 2021-05 144A sr. FRN (BBA LIBOR USD 3 Month + 0.35%), 0.496%, 6/28/22     82,500,000 82,524,750
Secured Forward-Backed Note 2021-05 144A sr. FRN (BBA LIBOR USD 3 Month + 0.30%), 0.446%, 12/28/21     52,500,000 52,510,500
Secured Forward-Backed Note 2021-05 144A sr. unsub. FRN (BBA LIBOR USD 3 Month + 0.37%), 0.516%, 9/28/22     30,000,000 30,012,000
UBS Group AG 144A sr. unsec. FRN 2.859%, 8/15/23 (Switzerland)     46,684,000 47,831,061
UBS Group AG 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.22%), 1.37%, 5/23/23 (Switzerland)     15,030,000 15,164,065
UBS Group AG 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.95%), 1.106%, 8/15/23 (Switzerland)     50,313,000 50,737,987
UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.53%), 1.656%, 2/1/22 (Switzerland)     20,587,000 20,745,426
662,161,719
Health care (2.4%)
AbbVie, Inc. sr. unsec. FRN 0.799%, 11/21/22     22,961,000 23,107,293
AbbVie, Inc. sr. unsec. FRN 0.61%, 11/19/21     37,000,000 37,042,397
AbbVie, Inc. sr. unsec. notes 3.375%, 11/14/21     9,250,000 9,325,258
AbbVie, Inc. sr. unsec. sub. notes 5.00%, 12/15/21     20,984,000 21,103,918
AbbVie, Inc. sr. unsec. sub. notes 2.15%, 11/19/21     15,817,000 15,909,273
AstraZeneca PLC sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.67%), 0.821%, 8/17/23 (United Kingdom)     36,320,000 36,666,652
Becton Dickinson and Co. sr. unsec. FRN (BBA LIBOR USD 3 Month + 1.03%), 1.161%, 6/6/22     45,451,000 45,799,966
Bristol-Myers Squibb Co. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.38%), 0.536%, 5/16/22     9,300,000 9,326,571
Cigna Corp. company guaranty sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.89%), 1.016%, 7/15/23     64,462,000 65,289,901
Gilead Sciences, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.15%), 0.275%, 9/17/21     19,000,000 19,002,762
Gilead Sciences, Inc. sr. unsec. notes 0.75%, 9/29/23     28,000,000 28,016,128
Stryker Corp. sr. unsec. notes 0.60%, 12/1/23     14,000,000 14,001,638
Zoetis, Inc. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.44%), 0.595%, 8/20/21     60,480,000 60,492,371
385,084,128


Ultra Short Duration Income Fund 35


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Insurance (4.1%)
AIG Global Funding 144A sr. unsub. FRN (Secured Overnight Funding Rate + 0.38%), 0.427%, 12/15/23     $37,000,000 $37,037,078
Jackson National Life Global Funding 144A FRN (Secured Overnight Funding Rate + 0.60%), 0.65%, 1/6/23     46,750,000 46,994,950
Jackson National Life Global Funding 144A sr. FRN
(BBA LIBOR USD 3 Month + 0.73%), 0.876%, 6/27/22		     33,784,000 33,970,164
MassMutual Global Funding II 144A FRN (Secured Overnight Funding Rate + 0.36%), 0.41%, 4/12/24     74,780,000 74,992,792
MassMutual Global Funding II 144A notes 2.25%, 7/1/22     7,440,000 7,581,457
MET Tower Global Funding 144A FRN (Secured Overnight Funding Rate + 0.55%), 0.60%, 1/17/23     13,300,000 13,384,867
MET Tower Global Funding 144A notes 0.55%, 7/13/22     23,000,000 23,055,346
Metropolitan Life Global Funding I 144A FRN (Secured Overnight Funding Rate + 0.57%), 0.62%, 1/13/23     31,350,000 31,551,894
Metropolitan Life Global Funding I 144A FRN (Secured Overnight Funding Rate + 0.32%), 0.37%, 1/7/24     27,300,000 27,362,927
Metropolitan Life Global Funding I 144A notes 2.40%, 6/17/22     7,400,000 7,538,824
New York Life Global Funding 144A FRN (BBA LIBOR USD 3 Month + 0.52%), 0.648%, 6/10/22     47,550,000 47,765,867
New York Life Global Funding 144A FRN (Secured Overnight Funding Rate + 0.36%), 0.41%, 10/21/23     9,500,000 9,530,571
New York Life Global Funding 144A FRN (Secured Overnight Funding Rate + 0.22%), 0.27%, 2/2/23     27,255,000 27,268,682
New York Life Global Funding 144A sr. FRN (BBA LIBOR USD 3 Month + 0.28%), 0.414%, 1/21/22     42,000,000 42,066,119
New York Life Global Funding 144A sr. notes (BBA LIBOR USD 3 Month + 0.28%), 0.399%, 1/10/23     56,750,000 56,907,839
Northwestern Mutual Global Funding 144A FRN (Secured Overnight Funding Rate + 0.33%), 0.38%, 3/25/24     27,995,000 28,045,263
Pacific Life Global Funding II 144A company guaranty sr. notes 0.50%, 9/23/23     28,215,000 28,332,525
Pacific Life Global Funding II 144A unsec. FRN (Secured Overnight Funding Rate + 0.38%), 0.43%, 4/12/24     47,055,000 47,106,422
Principal Life Global Funding II 144A FRN (Secured Overnight Funding Rate + 0.45%), 0.50%, 4/12/24     28,000,000 28,088,928
Protective Life Global Funding 144A notes 0.631%, 10/13/23     11,851,000 11,901,737
Trinity Acquisition PLC company guaranty sr. unsec. unsub. notes 3.50%, 9/15/21 (United Kingdom)     12,818,000 12,831,644
643,315,896
Investment banking/Brokerage (3.6%)
Ares Capital Corp. sr. unsec. notes 3.625%, 1/19/22     13,057,000 13,197,042
Charles Schwab Corp. (The) sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.50%), 0.55%, 3/18/24     60,160,000 60,627,117
Deutsche Bank AG sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 1.23%), 1.369%, 2/27/23 (Germany)     19,725,000 19,915,105
Deutsche Bank AG sr. unsec. unsub. notes 4.25%, 10/14/21 (Germany)     88,985,000 89,658,616


36 Ultra Short Duration Income Fund


CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Investment banking/Brokerage cont.
Goldman Sachs Group, Inc. (The) sr. unsec. FRN
(BBA LIBOR USD 3 Month + 1.05%), 1.181%, 6/5/23		     $7,263,000 $7,313,610
Goldman Sachs Group, Inc. (The) sr. unsec. FRN (Secured Overnight Funding Rate + 0.58%), 0.624%, 3/8/24     37,850,000 37,975,822
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.78%), 0.909%, 10/31/22     533,000 533,852
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.75%), 0.90%, 2/23/23     63,153,000 63,694,349
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.00%), 0.575%, 11/17/23     19,200,000 19,251,884
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.50%), 0.547%, 9/10/24     37,185,000 37,203,730
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 0.481%, 1/27/23     16,920,000 16,900,711
Morgan Stanley sr. unsec. FRN Ser. GMTN, (Secured Overnight Funding Rate + 0.70%), 0.75%, 1/20/23     29,940,000 30,020,268
Morgan Stanley sr. unsec. FRN Ser. MTN, 0.56%, 11/10/23     18,500,000 18,531,553
Morgan Stanley sr. unsec. FRN Ser. MTN, 0.529%, 1/25/24     23,000,000 23,006,404
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN,
(BBA LIBOR USD 3 Month + 1.22%), 1.382%, 5/8/24		     62,439,000 63,535,799
TD Ameritrade Holding Corp. sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.43%), 0.556%, 11/1/21     70,400,000 70,447,899
571,813,761
Real estate (0.2%)
Public Storage sr. unsec. FRN (Secured Overnight Funding Rate + 0.47%), 0.52%, 4/23/24     28,100,000 28,143,049
28,143,049
Technology (0.1%)
Fidelity National Information Services, Inc. sr. unsec. notes 0.375%, 3/1/23     14,000,000 14,004,191
VMware, Inc. sr. unsec. notes 2.95%, 8/21/22     3,856,000 3,948,938
17,953,129
Utilities and power (2.3%)
American Electric Power Co., Inc. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.48%), 0.606%, 11/1/23     18,500,000 18,512,808
American Electric Power Co., Inc. sr. unsec. unsub. notes 0.75%, 11/1/23     9,500,000 9,507,113
Atmos Energy Corp. sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.38%), 0.503%, 3/9/23     18,700,000 18,704,842
Dominion Energy, Inc. jr. unsec. sub. notes 2.715%, 8/15/21     10,451,000 10,455,494
Dominion Energy, Inc. sr. unsec. unsub. FRN Ser. D,
(BBA LIBOR USD 3 Month + 0.53%), 0.649%, 9/15/23		     20,688,000 20,699,498
Duke Energy Corp. sr. unsec. FRN (Secured Overnight Funding Rate + 0.25%), 0.296%, 6/10/23     18,629,000 18,631,939
Duke Energy Corp. sr. unsec. unsub. notes (BBA LIBOR USD 3 Month + 0.65%), 0.775%, 3/11/22     28,667,000 28,767,573


Ultra Short Duration Income Fund 37



CORPORATE BONDS AND NOTES (53.2%)* cont. Principal
amount		 Value
Utilities and power cont.
Duke Energy Florida, LLC sr. unsec. FRN Ser. A,
(BBA LIBOR USD 3 Month + 0.25%), 0.391%, 11/26/21		     $14,825,000 $14,833,497
Duke Energy Progress, LLC sr. unsec. unsub. FRN Ser. A, (BBA LIBOR USD 3 Month + 0.18%), 0.335%, 2/18/22     19,200,000 19,200,347
Enbridge, Inc. company guaranty sr. unsec. FRN (Secured Overnight Funding Rate + 0.40%), 0.435%, 2/17/23 (Canada)     18,620,000 18,662,100
Florida Power & Light Co. sr. unsec. unsub. FRN
(BBA LIBOR USD 3 Month + 0.38%), 0.512%, 7/28/23		     28,390,000 28,391,280
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. FRN (Secured Overnight Funding Rate + 0.54%), 0.581%, 3/1/23     18,700,000 18,789,498
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. FRN (BBA LIBOR USD 3 Month + 0.27%), 0.42%, 2/22/23     60,000,000 60,007,502
ONEOK Partners LP company guaranty sr. unsec. unsub. notes 3.375%, 10/1/22     6,520,000 6,688,913
Pacific Gas and Electric Co. notes 1.75%, 6/16/22     19,282,000 19,255,533
PPL Electric Utilities Corp. sr. FRN (Secured Overnight Funding Rate + 0.33%), 0.381%, 6/24/24     7,765,000 7,768,572
PPL Electric Utilities Corp. sr. unsub. FRN (BBA LIBOR USD 3 Month + 0.25%), 0.396%, 9/28/23     9,000,000 9,001,723
Public Service Enterprise Group, Inc. sr. unsec. unsub. notes 2.00%, 11/15/21     32,058,000 32,171,210
Xcel Energy, Inc. sr. unsec. notes 0.50%, 10/15/23     9,189,000 9,199,915
369,249,357
Total corporate bonds and notes (cost $8,349,060,518) $8,367,005,244

COMMERCIAL PAPER (26.2%)* Yield (%) Maturity
date		 Principal
amount		 Value
Alexandria Real Estate Equities, Inc. 0.150 8/4/21 $77,000,000 $76,998,182
Amcor Flexibles North America, Inc. 0.180 8/20/21 50,000,000 49,995,829
Amcor Flexibles North America, Inc. 0.180 8/16/21 21,000,000 20,998,483
Amcor Flexibles North America, Inc. 0.160 8/19/21 23,000,000 22,998,134
American Electric Power Co., Inc. 0.200 8/11/21 20,000,000 19,999,087
American Electric Power Co., Inc. 0.200 8/9/21 25,000,000 24,999,063
American Honda Finance Corp. 0.200 9/23/21 19,300,000 19,294,309
American Honda Finance Corp. 0.180 10/13/21 25,000,000 24,989,583
American Honda Finance Corp. 0.150 8/18/21 15,110,000 15,108,939
Arrow Electronics, Inc. 0.268 8/11/21 44,000,000 43,995,087
AT&T, Inc. 0.432 12/14/21 23,250,000 23,234,870
AT&T, Inc. 0.414 12/15/21 32,500,000 32,478,572
AT&T, Inc. 0.402 12/16/21 46,500,000 46,468,939
AT&T, Inc. 0.381 11/18/21 46,500,000 46,477,490
Aviation Capital Group, LLC 0.330 8/30/21 9,000,000 8,999,070
Aviation Capital Group, LLC 0.256 8/18/21 33,500,000 33,498,179
Aviation Capital Group, LLC 0.250 8/13/21 15,000,000 14,999,481
Aviation Capital Group, LLC 0.250 8/9/21 27,000,000 26,999,370
Aviation Capital Group, LLC 0.237 8/3/21 27,500,000 27,499,756


38 Ultra Short Duration Income Fund


COMMERCIAL PAPER (26.2%)* cont. Yield (%) Maturity
date		 Principal
amount		 Value
Baker Hughes Holdings, LLC 0.200 9/7/21 $70,000,000 $69,989,383
Banco Santander SA (Spain) 0.573 8/16/21 15,250,000 15,249,417
Banco Santander SA (Spain) 0.533 8/23/21 9,400,000 9,399,461
Cabot Corp. 0.300 8/31/21 51,015,000 51,008,153
Cabot Corp. 0.280 8/9/21 49,000,000 48,998,176
Cabot Corp. 0.280 8/4/21 12,000,000 11,999,782
Cabot Corp. 0.230 8/5/21 44,985,000 44,984,010
Cigna Corp. 0.401 9/23/21 5,000,000 4,998,373
Conagra Brands, Inc. 0.300 10/8/21 30,000,000 29,982,675
Conagra Brands, Inc. 0.260 8/27/21 37,000,000 36,991,683
Conagra Brands, Inc. 0.210 8/10/21 23,875,000 23,872,921
Conagra Brands, Inc. 0.210 8/2/21 22,000,000 21,999,479
Conagra Brands, Inc. 0.200 8/11/21 24,500,000 24,497,681
Crown Castle International Corp. 0.280 8/11/21 113,500,000 113,487,325
Crown Castle International Corp. 0.270 8/4/21 48,000,000 47,997,953
Dominion Energy South Carolina 0.240 8/4/21 28,000,000 27,999,421
Dominion Energy, Inc. 0.210 8/23/21 14,000,000 13,998,637
Eaton Capital Unlimited Co. (Ireland) 0.200 8/6/21 49,500,000 49,498,729
Eaton Capital Unlimited Co. (Ireland) 0.200 8/5/21 28,000,000 27,999,384
Eaton Capital Unlimited Co. (Ireland) 0.200 8/4/21 8,000,000 7,999,854
Eaton Corp. 0.180 8/2/21 64,950,000 64,949,291
Enbridge US, Inc. 0.200 8/9/21 24,000,000 23,999,100
Enbridge US, Inc. 0.210 8/12/21 26,000,000 25,998,704
Enbridge US, Inc. 0.192 8/20/21 43,500,000 43,496,346
Enbridge US, Inc. 0.190 8/25/21 15,000,000 14,998,407
Enbridge US, Inc. 0.190 8/23/21 31,000,000 30,996,983
Enel Finance America, LLC 0.300 1/28/22 23,150,000 23,121,794
Enel Finance America, LLC 0.290 1/12/22 44,000,000 43,952,321
Energy Transfer LP 0.350 8/2/21 93,000,000 92,997,644
Eni Finance USA, Inc. 0.260 8/3/21 14,250,000 14,249,842
Eni Finance USA, Inc. 0.219 8/13/21 29,000,000 28,998,872
Eni Finance USA, Inc. 0.240 8/9/21 12,317,000 12,316,658
ERP Operating LP 0.200 9/7/21 71,750,000 71,737,874
Fidelity National Information Services, Inc. 0.235 8/19/21 41,000,000 40,996,766
Fidelity National Information Services, Inc. 0.220 8/23/21 25,000,000 24,997,583
Fidelity National Information Services, Inc. 0.160 8/16/21 17,275,000 17,273,858
Fidelity National Information Services, Inc. 0.160 8/5/21 40,000,000 39,999,120
FMC Corp. 0.500 8/26/21 28,000,000 27,990,592
FMC Corp. 0.476 8/16/21 49,500,000 49,489,692
FMC Corp. 0.450 8/20/21 23,500,000 23,493,914
FMC Corp. 0.450 8/13/21 23,500,000 23,495,988
FMC Corp. 0.350 8/2/21 20,000,000 19,999,263
General Motors Financial Co., Inc. 0.420 8/19/21 9,500,000 9,498,074
General Motors Financial Co., Inc. 0.380 9/13/21 6,000,000 5,996,888
General Motors Financial Co., Inc. 0.309 8/12/21 19,500,000 19,497,697
General Motors Financial Co., Inc. 0.360 8/9/21 14,250,000 14,248,836
General Motors Financial Co., Inc. 0.360 8/2/21 8,250,000 8,249,825
General Motors Financial Co., Inc. 0.340 10/26/21 13,000,000 12,983,348
General Motors Financial Co., Inc. 0.340 10/13/21 15,000,000 14,984,844
General Motors Financial Co., Inc. 0.320 9/14/21 24,000,000 23,987,212


Ultra Short Duration Income Fund 39


COMMERCIAL PAPER (26.2%)* cont. Yield (%) Maturity
date		 Principal
amount		 Value
General Motors Financial Co., Inc. 0.320 8/30/21 $9,500,000 $9,496,720
General Motors Financial Co., Inc. 0.311 8/11/21 27,500,000 27,497,103
General Motors Financial Co., Inc. 0.280 8/4/21 8,000,000 7,999,714
Glencore Funding, LLC 0.270 10/6/21 24,500,000 24,486,441
Glencore Funding, LLC 0.250 9/8/21 21,200,000 21,193,334
Glencore Funding, LLC 0.244 10/12/21 64,500,000 64,460,888
Glencore Funding, LLC 0.240 10/7/21 46,500,000 46,473,887
Healthpeak Properties, Inc. 0.190 8/12/21 52,000,000 51,995,719
Healthpeak Properties, Inc. 0.190 8/5/21 31,000,000 30,999,318
Healthpeak Properties, Inc. 0.170 8/4/21 38,000,000 37,999,309
HSBC USA, Inc. 0.370 3/24/22 48,000,000 48,057,072
HSBC USA, Inc. 0.330 7/8/22 46,750,000 46,799,789
Humana, Inc. 0.260 10/21/21 21,500,000 21,484,237
Humana, Inc. 0.260 10/19/21 28,000,000 27,980,029
Humana, Inc. 0.260 8/26/21 5,000,000 4,998,894
Humana, Inc. 0.260 8/24/21 46,000,000 45,990,704
Humana, Inc. 0.260 8/19/21 19,500,000 19,496,913
Humana, Inc. 0.230 8/17/21 8,000,000 7,998,852
Humana, Inc. 0.230 8/16/21 32,000,000 31,995,648
Hyundai Capital America (South Korea) 0.210 10/1/21 23,500,000 23,493,749
Hyundai Capital America (South Korea) 0.160 8/11/21 45,000,000 44,998,395
Intesa Sanpaolo Funding, LLC (Spain) 0.240 11/26/21 20,000,000 19,965,688
Intesa Sanpaolo Funding, LLC (Spain) 0.240 11/23/21 45,000,000 44,925,035
Intesa Sanpaolo Funding, LLC (Spain) 0.240 11/22/21 17,000,000 16,971,924
Mid-America Apartments LP 0.150 8/5/21 20,000,000 19,999,560
Mid-America Apartments LP 0.150 8/4/21 20,000,000 19,999,636
National Grid North America, Inc. 0.160 8/16/21 46,000,000 45,996,937
National Grid PLC (United Kingdom) 0.170 8/26/21 35,000,000 34,996,141
Plains Midstream Canada ULC (Canada) 0.350 8/4/21 39,000,000 38,998,429
Plains Midstream Canada ULC (Canada) 0.330 8/3/21 32,000,000 31,998,969
Plains Midstream Canada ULC (Canada) 0.319 8/2/21 60,000,000 59,998,550
PPG Industries, Inc. 0.421 8/2/21 70,750,000 70,749,227
PPG Industries, Inc. 0.210 9/9/21 39,750,000 39,742,892
PPG Industries, Inc. 0.170 8/23/21 22,000,000 21,997,873
Realty Income Corp. 0.180 8/27/21 23,500,000 23,497,076
Rogers Communications, Inc. (Canada) 0.210 8/25/21 23,500,000 23,497,505
Schlumberger Holdings Corp. 0.472 8/13/21 23,750,000 23,749,169
Sempra Energy 0.170 8/11/21 18,750,000 18,749,144
Sempra Energy 0.170 8/9/21 13,000,000 12,999,513
Societe Generale SA (France) 0.248 12/10/21 18,000,000 18,008,244
Societe Generale SA (France) 0.229 12/3/21 46,500,000 46,516,740
Suncor Energy, Inc. (Canada) 0.240 8/26/21 9,500,000 9,498,946
Suncor Energy, Inc. (Canada) 0.230 10/4/21 14,500,000 14,495,109
Suncor Energy, Inc. (Canada) 0.210 8/9/21 10,000,000 9,999,625
Suncor Energy, Inc. (Canada) 0.200 8/17/21 14,250,000 14,248,988
Suncor Energy, Inc. (Canada) 0.200 8/16/21 15,750,000 15,748,951
Suncor Energy, Inc. (Canada) 0.200 8/6/21 8,000,000 7,999,795
TransCanada PipeLines, Ltd. (Canada) 0.200 9/20/21 19,000,000 18,995,362
TransCanada PipeLines, Ltd. (Canada) 0.190 8/10/21 24,500,000 24,498,982
UDR, Inc. 0.180 8/17/21 42,000,000 41,997,018


40 Ultra Short Duration Income Fund



COMMERCIAL PAPER (26.2%)* cont. Yield (%) Maturity
date		 Principal
amount		 Value
UDR, Inc. 0.180 8/13/21 $97,488,000 $97,482,730
UDR, Inc. 0.180 8/9/21 9,000,000 8,999,663
Viatris, Inc. 0.400 9/21/21 23,500,000 23,486,403
Viatris, Inc. 0.380 9/27/21 23,500,000 23,484,633
Viatris, Inc. 0.370 8/16/21 31,000,000 30,994,833
VW Credit, Inc. 0.200 8/25/21 24,550,000 24,547,394
VW Credit, Inc. 0.200 8/24/21 38,425,000 38,421,078
VW Credit, Inc. 0.170 9/9/21 22,000,000 21,996,066
VW Credit, Inc. 0.170 8/17/21 25,000,000 24,998,225
Waste Management, Inc. 0.452 9/10/21 47,000,000 46,991,336
Welltower, Inc. 0.160 8/18/21 32,500,000 32,497,581
Welltower, Inc. 0.150 8/17/21 37,000,000 36,997,410
Welltower, Inc. 0.150 8/3/21 25,000,000 24,999,636
Westpac Banking Corp. (Australia) 0.170 11/24/21 46,500,000 46,503,163
Westpac Banking Corp. (Australia) 0.170 11/24/21 16,000,000 16,001,088
Westpac Banking Corp. (Australia) 0.165 3/11/22 46,750,000 46,758,910
Total commercial paper (cost $4,113,672,997) $4,113,880,148

ASSET-BACKED SECURITIES (9.9%)* Principal
amount		 Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24     $36,188,000 $36,209,713
Bank of The West Auto Trust 144A        
Ser. 18-1, Class A3, 3.43%, 12/15/22     538,210 538,941
Ser. 19-1, Class A3, 2.43%, 4/15/24     13,040,885 13,187,947
BMW Vehicle Owner Trust Ser. 20-A, Class A2, 0.39%, 2/27/23     2,129,153 2,130,060
Canadian Pacer Auto Receivables Trust 144A Ser. 20-1A, Class A2A, 1.77%, 11/21/22 (Canada)     3,210,635 3,217,372
Capital One Multi-Asset Execution Trust FRB Ser. 17-A2, Class A2, (1 Month US LIBOR + 0.41%), 0.503%, 1/15/25     14,850,000 14,886,565
CarMax Auto Owner Trust        
Ser. 18-4, Class A3, 3.36%, 9/15/23     13,385,338 13,559,000
Ser. 18-1, Class A3, 2.48%, 11/15/22     593,286 593,868
Ser. 19-3, Class A3, 2.18%, 8/15/24     14,011,787 14,202,682
Ser. 20-1, Class A2, 1.87%, 4/17/23     2,941,620 2,948,933
Ser. 20-3, Class A3, 0.62%, 3/17/25     19,000,000 19,110,789
Ser. 21-1, Class A2A, 0.22%, 2/15/24     2,981,493 2,982,417
Carvana Auto Receivables Trust Ser. 20-P1, Class A2, 0.28%, 11/8/23     6,666,906 6,669,599
Cascade Funding Mortgage Trust 144A Ser. 21-HB6, Class A, 0.898%, 6/25/36 W     8,621,216 8,621,216
Cascade Funding Mortgage Trust, LLC 144A Ser. 21-HB5, Class A, 0.801%, 2/25/31 W     17,375,632 17,203,179
Discover Card Execution Note Trust Ser. 17-A2, Class A2, 2.39%, 7/15/24     15,481,000 15,639,092
Finance of America HECM Buyout 144A Ser. 21-HB1, Class A, 0.875%, 2/25/31 W     8,074,503 8,074,503
Ford Credit Auto Owner Trust        
Ser. 18-A, Class A4, 3.16%, 10/15/23     3,375,000 3,415,391
Ser. 19-B, Class A3, 2.23%, 10/15/23     9,617,114 9,706,216


Ultra Short Duration Income Fund 41


ASSET-BACKED SECURITIES (9.9%)* cont. Principal
amount		 Value
Ford Credit Auto Owner Trust        
Ser. 20-A, Class A3, 1.04%, 8/15/24     $36,000,000 $36,241,920
Ser. 20-B, Class A2, 0.50%, 2/15/23     4,318,281 4,321,023
Ser. 21-A, Class A2, 0.17%, 10/15/23     24,558,033 24,558,607
Ford Credit Floorplan Master Owner Trust        
Ser. 18-3, Class A1, 3.52%, 10/15/23     39,385,000 39,657,603
Ser. 20-1, Class A1, 0.70%, 9/15/25     31,000,000 31,182,900
General Motors Financial Floorplan Owner Revolving Trust 144A        
Ser. 18-4, Class A1, 3.50%, 9/15/23     445,000 446,787
Ser. 20-1, Class A, 0.68%, 8/15/25     26,500,000 26,664,539
GM Financial Automobile Leasing Trust        
Ser. 20-3, Class A3, 0.45%, 8/21/23     20,870,000 20,916,799
Ser. 20-3, Class A2A, 0.35%, 11/21/22     10,856,558 10,855,798
GM Financial Consumer Automobile Receivables Trust        
Ser. 18-4, Class A3, 3.21%, 10/16/23     10,969,086 11,085,743
Ser. 18-3, Class A3, 3.02%, 5/16/23     2,247,980 2,264,001
Ser. 20-4, Class A3, 0.38%, 8/18/25     3,000,000 3,010,206
Ser. 20-3, Class A2, 0.35%, 7/17/23     4,300,485 4,302,104
Ser. 21-1, Class A2, 0.23%, 11/16/23     17,090,437 17,095,181
Golden Credit Card Trust 144A        
Ser. 18-4A, Class A, 3.44%, 8/15/25     1,250,000 1,328,698
FRB Ser. 17-4A, Class A, (1 Month US LIBOR + 0.52%), 0.613%, 7/15/24     22,680,000 22,789,036
Honda Auto Receivables Owner Trust        
Ser. 18-3, Class A3, 2.95%, 8/22/22     1,173,881 1,178,945
Ser. 19-4, Class A2, 1.86%, 6/20/22     153,855 153,970
Ser. 19-4, Class A3, 1.83%, 1/18/24     8,328,000 8,417,100
Ser. 20-2, Class A3, 0.82%, 7/15/24     12,500,000 12,576,525
Ser. 20-3, Class A3, 0.37%, 10/18/24     12,500,000 12,523,753
Ser. 21-2, Class A2, 0.17%, 11/15/23     10,000,000 10,000,019
Ser. 21-1, Class A2, 0.16%, 7/21/23     20,500,000 20,500,371
Hyundai Auto Lease Securitization Trust 144A Ser. 20-B, Class A2, 0.36%, 1/17/23     12,484,326 12,492,228
Hyundai Auto Receivables Trust Ser. 20-B, Class A2, 0.38%, 3/15/23     6,992,664 6,997,629
Mello Warehouse Securitization Trust 144A        
FRB Ser. 20-1, Class A, (1 Month US LIBOR + 0.90%), 0.989%, 10/25/53     15,023,000 15,023,000
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), 0.889%, 11/25/53     8,972,000 8,972,000
FRB Ser. 21-2, Class A, (1 Month US LIBOR + 0.75%), 0.839%, 4/25/55     30,633,000 30,633,000
FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.70%), 0.792%, 2/25/55     26,582,000 26,582,000
Mercedes-Benz Auto Receivables Trust        
Ser. 18-1, Class A3, 3.03%, 1/17/23     961,518 965,902
Ser. 19-1, Class A3, 1.94%, 3/15/24     28,575,604 28,865,807
Mortgage Repurchase Agreement Financing Trust FRB Ser. 20-4, Class A1, (1 Month US LIBOR + 1.35%), 1.45%, 4/23/23     19,742,000 19,749,670


42 Ultra Short Duration Income Fund


ASSET-BACKED SECURITIES (9.9%)* cont. Principal
amount		 Value
Mortgage Repurchase Agreement Financing Trust 144A FRB Ser. 20-5, Class A1, (1 Month US LIBOR + 1.00%), 1.10%, 8/10/23     $27,573,000 $27,581,876
MRA Issuance Trust 144A        
FRB Ser. 21-EBO1, Class A1X, (1 Month US LIBOR + 1.75%), 1.85%, 10/8/21     45,251,000 45,251,000
FRB Ser. 21-EBO4, Class A1X, (1 Month US LIBOR + 1.75%), 1.842%, 2/16/22     49,013,000 49,013,000
FRB Ser. 20-11, Class A1X, (1 Month US LIBOR + 1.70%), 1.793%, 4/22/22     51,544,000 51,544,000
FRB Ser. 21-NA1, Class A1X, (1 Month US LIBOR + 1.50%), 1.591%, 3/8/22     50,895,000 50,895,000
FRB Ser. 20-2, Class A2, (1 Month US LIBOR + 1.45%), 1.30%, 8/15/22     45,609,000 45,609,000
FRB Ser. 21-8, Class A1X, (1 Month US LIBOR + 1.15%), 1.25%, 10/15/21     45,586,000 45,586,000
FRB Ser. 21-14, Class A1X, (1 Month US LIBOR + 1.25%), 1.243%, 2/15/22     47,539,000 47,539,000
FRB Ser. 21-11, Class A1X, (1 Month US LIBOR + 1.15%), 1.243%, 1/25/22     32,045,000 32,045,000
MSG III Securitization Trust 144A FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.75%), 0.841%, 6/25/54     11,886,000 11,886,000
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.75%), 0.839%, 5/25/55     17,008,000 17,037,424
Nissan Auto Lease Trust Ser. 20-B, Class A2, 0.34%, 12/15/22     16,935,923 16,948,575
Nissan Auto Receivables Owner Trust        
Ser. 19-A, Class A3, 2.90%, 10/16/23     7,841,488 7,930,569
Ser. 19-B, Class A3, 2.50%, 11/15/23     16,499,620 16,714,501
Ser. 17-B, Class A4, 1.95%, 10/16/23     3,876,419 3,879,073
Ser. 19-C, Class A3, 1.93%, 7/15/24     19,921,108 20,132,392
Santander Consumer Auto Receivables Trust 144A        
Ser. 20-BA, Class A4, 0.54%, 4/15/25     8,925,000 8,952,078
Ser. 20-BA, Class A2, 0.38%, 2/15/23     3,751,666 3,752,818
Ser. 21-AA, Class A2, 0.23%, 11/15/23     7,298,220 7,300,039
Santander Retail Auto Lease Trust 144A Ser. 20-B, Class A2, 0.42%, 11/20/23     6,269,458 6,280,476
Securitized Term Auto Receivables Trust 144A Ser. 19-1A, Class A3, 2.986%, 2/27/23 (Canada)     3,013,296 3,037,940
Station Place Securitization Trust 144A        
FRB Ser. 20-15, Class A, (1 Month US LIBOR + 1.37%), 1.459%, 12/10/21     49,539,000 49,539,000
FRB Ser. 21-6, Class A, (1 Month US LIBOR + 0.80%), 0.889%, 4/25/22     51,131,000 51,131,000
FRB Ser. 21-10, Class A, (1 Month US LIBOR + 0.75%), 0.854%, 8/8/22     48,657,000 48,657,000
FRB Ser. 21-WL2, Class A, (1 Month US LIBOR + 0.70%), 0.789%, 3/25/54     31,964,000 31,964,000
FRB Ser. 21-WL1, Class A, (1 Month US LIBOR + 0.65%), 0.742%, 1/26/54     31,964,000 31,964,000


Ultra Short Duration Income Fund 43



ASSET-BACKED SECURITIES (9.9%)* cont. Principal
amount		 Value
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 0.689%, 1/25/46     $1,292,628 $1,286,269
Toyota Auto Receivables Owner Trust        
Ser. 18-D, Class A4, 3.30%, 2/15/24     2,200,000 2,264,910
Ser. 18-C, Class A4, 3.13%, 2/15/24     6,852,000 7,007,727
Ser. 18-C, Class A3, 3.02%, 12/15/22     5,733,488 5,768,866
Ser. 19-B, Class A3, 2.57%, 8/15/23     1,240,473 1,254,137
Ser. 17-D, Class A4, 2.12%, 2/15/23     2,685,701 2,693,838
Ser. 17-C, Class A4, 1.98%, 12/15/22     442,582 442,915
Ser. 20-B, Class A3, 1.36%, 8/15/24     35,000,000 35,375,760
Ser. 20-C, Class A2, 0.36%, 2/15/23     7,073,073 7,076,068
Ser. 21-A, Class A2, 0.16%, 7/17/23     14,979,339 14,979,609
UNIFY Auto Receivables Trust 144A Ser. 21-1A, Class A2, 0.39%, 2/15/24     22,908,347 22,919,801
Volkswagen Auto Loan Enhanced Trust Ser. 20-1, Class A3, 0.98%, 11/20/24     10,000,000 10,068,869
World Omni Auto Receivables Trust        
Ser. 18-C, Class A3, 3.13%, 11/15/23     12,334,523 12,456,669
Ser. 18-A, Class A, 2.50%, 4/17/23     910,703 915,147
Ser. 21-A, Class A2, 0.17%, 2/15/24     27,428,345 27,428,715
Total asset-backed securities (cost $1,550,077,365) $1,549,360,408

MORTGAGE-BACKED SECURITIES (4.9%)* Principal
amount		 Value
Agency collateralized mortgage obligations (—%)
Federal Home Loan Mortgage Corporation        
REMICs Ser. 1619, Class PZ, 6.50%, 11/15/23     $14,204 $14,853
REMICs Ser. 3724, Class CM, 5.50%, 6/15/37     81,926 94,231
REMICs Ser. 3316, Class CD, 5.50%, 5/15/37     29,347 33,978
REMICs Ser. 3539, Class PM, 4.50%, 5/15/37     8,861 9,619
REMICs Ser. 3611, PO, zero %, 7/15/34     26,814 25,305
Federal National Mortgage Association        
REMICs Ser. 11-60, Class PA, 4.00%, 10/25/39     6,337 6,895
REMICs Ser. 03-43, Class YA, 4.00%, 3/25/33     5,778 5,783
REMICs Ser. 10-81, Class AP, 2.50%, 7/25/40     27,392 27,865
REMICs FRB Ser. 10-90, Class GF, (1 Month US LIBOR + 0.50%), 0.589%, 8/25/40     278,370 278,796
REMICs FRB Ser. 06-74, Class FL, (1 Month US LIBOR + 0.35%), 0.439%, 8/25/36     169,338 169,987
REMICs FRB Ser. 05-63, Class FC, (1 Month US LIBOR + 0.25%), 0.339%, 10/25/31     379,257 380,491
Government National Mortgage Association Ser. 09-32, Class AB, 4.00%, 5/16/39     7,514 8,109
1,055,912
Residential mortgage-backed securities (non-agency) (4.9%)
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates        
FRB Ser. 04-R5, Class M1, (1 Month US LIBOR + 0.87%), 0.959%, 7/25/34     606,744 606,744
FRB Ser. 05-R7, Class M2, (1 Month US LIBOR + 0.75%), 0.839%, 9/25/35     554,058 554,008


44 Ultra Short Duration Income Fund


MORTGAGE-BACKED SECURITIES (4.9%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates        
FRB Ser. 05-R11, Class M2, (1 Month US LIBOR + 0.71%), 0.794%, 1/25/36     $7,525,352 $7,514,718
Angel Oak Mortgage Trust I, LLC 144A        
Ser. 19-1, Class A1, 3.92%, 11/25/48 W     5,449,666 5,524,327
FRB Ser. 18-3, Class A1, 3.649%, 9/25/48 W     4,278,934 4,304,442
Ser. 19-4, Class A1, 2.993%, 7/26/49 W     12,885,165 12,992,112
Angel Oak Mortgage Trust LLC 144A Ser. 20-3, Class A1, 1.691%, 4/25/65 W     24,926,501 25,175,766
Arroyo Mortgage Trust 144A        
Ser. 19-2, Class A1, 3.347%, 4/25/49 W     8,353,197 8,510,050
Ser. 19-3, Class A1, 2.962%, 10/25/48 W     10,705,339 10,874,505
Bear Stearns Asset Backed Securities I Trust FRB Ser. 07-HE7, Class 1A1, (1 Month US LIBOR + 1.00%), 1.089%, 10/25/37     2,891,891 2,892,617
Bellemeade Re, Ltd. 144A FRB Ser. 18-1A, Class M1B, (1 Month US LIBOR + 1.60%), 1.689%, 4/25/28 (Bermuda)     6,347,194 6,392,554
BRAVO Residential Funding Trust 144A        
Ser. 19-1, Class A1C, 3.50%, 3/25/58     4,480,471 4,583,364
Ser. 19-NQM2, Class A1, 2.748%, 11/25/59 W     12,640,006 12,833,398
Ser. 19-NQM1, Class A1, 2.666%, 7/25/59 W     7,776,130 7,835,762
Ser. 20-NQM1, Class A1, 1.449%, 5/25/60 W     11,535,975 11,647,090
Ser. 21-NQM1, Class A1, 0.941%, 2/25/49 W     7,584,218 7,594,889
FRB Ser. 21-HE1, Class A1, (US 30 Day Average SOFR + 0.75%), 0.80%, 1/25/70     16,498,395 16,764,861
Carrington Mortgage Loan Trust FRB Ser. 06-RFC1, Class A4, (1 Month US LIBOR + 0.48%), 0.569%, 3/25/36     3,597,608 3,582,327
CIT Mortgage Loan Trust 144A FRB Ser. 07-1, Class 2A3, (1 Month US LIBOR + 1.45%), 1.539%, 10/25/37     1,201,356 1,206,716
Citigroup Mortgage Loan Trust 144A Ser. 19-IMC1, Class A1, 2.72%, 7/25/49 W     1,458,871 1,466,930
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-WFH1, Class M4, (1 Month US LIBOR + 0.75%), 0.839%, 1/25/36     2,179,333 2,177,928
COLT Funding, LLC 144A        
Ser. 19-4, Class A1, 2.579%, 11/25/49 W     11,967,158 12,001,378
Ser. 21-3R, Class A1, 1.051%, 12/25/64 W     7,044,725 7,044,725
COLT Mortgage Loan Trust 144A        
FRB Ser. 20-1, Class A1, 2.488%, 2/25/50 W     6,233,906 6,269,652
Ser. 20-1R, Class A1, 1.255%, 9/25/65 W     5,545,443 5,567,625
Countrywide Asset-Backed Certificates        
FRB Ser. 05-BC3, Class M4, (1 Month US LIBOR + 1.50%), 1.589%, 6/25/35     1,766,295 1,771,034
FRB Ser. 05-BC5, Class M3, (1 Month US LIBOR + 0.75%), 0.839%, 1/25/36     1,257,807 1,258,001
Countrywide Asset-Backed Certificates Trust FRB Ser. 05-BC4, Class M6, (1 Month US LIBOR + 1.05%), 1.139%, 8/25/35     258,741 258,612
Credit Suisse Mortgage Capital Certificates 144A FRB Ser. 20-SPT1, Class A1, 1.616%, 4/25/65     7,920,418 7,955,901


Ultra Short Duration Income Fund 45


MORTGAGE-BACKED SECURITIES (4.9%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
Credit Suisse Mortgage Trust 144A Ser. 20-AFC1, Class A1, 2.24%, 2/25/50 W     $6,010,376 $6,094,346
Credit-Based Asset Servicing and Securitization, LLC FRB Ser. 05-CB7, Class M1, (1 Month US LIBOR + 0.62%), 0.704%, 11/25/35     1,720,537 1,712,364
CSMC Trust 144A        
Ser. 19-NQM1, Class A1, 2.656%, 10/25/59     11,999,936 12,191,351
Ser. 15-2R, Class 7A3, 2.458%, 8/27/36 W     2,209,449 2,225,559
CWABS Asset-Backed Certificates Trust        
FRB Ser. 04-10, Class MV3, (1 Month US LIBOR + 1.13%), 1.214%, 12/25/34     3,698,045 3,679,388
FRB Ser. 05-3, Class MV5, (1 Month US LIBOR + 1.01%), 1.094%, 8/25/35     1,420,935 1,419,489
FRB Ser. 05-4, Class MV4, (1 Month US LIBOR + 0.96%), 1.049%, 10/25/35     673,069 673,617
FRB Ser. 04-AB2, Class M2, (1 Month US LIBOR + 0.86%), 0.944%, 5/25/36     607,908 607,908
Deephaven Residential Mortgage Trust 144A Ser. 19-4A, Class A1, 2.791%, 10/25/59 W     2,767,996 2,785,434
Ellington Financial Mortgage Trust 144A        
Ser. 19-2, Class A1, 2.739%, 11/25/59 W     7,821,754 7,967,238
Ser. 20-2, Class A1, 1.178%, 10/25/65 W     3,790,025 3,807,080
Encore Credit receivables Trust        
FRB Ser. 05-3, Class M3, (1 Month US LIBOR + 0.77%), 0.854%, 10/25/35     2,057,317 2,052,380
FRB Ser. 05-4, Class M3, (1 Month US LIBOR + 0.71%), 0.794%, 1/25/36     6,275,994 6,280,956
EquiFirst Mortgage Loan Trust FRB Ser. 05-1, Class M3, (1 Month US LIBOR + 0.48%), 0.809%, 4/25/35     1,510,627 1,510,143
Federal Home Loan Mortgage Corporation        
Structured Agency Credit Risk Debt FRN Ser. 14-HQ3, Class M3, (1 Month US LIBOR + 4.75%), 4.842%, 10/25/24     1,105,881 1,115,596
Structured Agency Credit Risk Debt FRN Ser. 14-HQ1, Class M3, (1 Month US LIBOR + 4.10%), 4.189%, 8/25/24     1,058,801 1,065,419
Structured Agency Credit Risk Debt FRN Ser. 16-DNA4, Class M3, (1 Month US LIBOR + 3.80%), 3.889%, 3/25/29     3,967,744 4,109,392
Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class M2, (1 Month US LIBOR + 3.25%), 3.339%, 7/25/29     24,951,787 25,629,442
Structured Agency Credit Risk Debt FRN Ser. 17-HQA3, Class M2, (1 Month US LIBOR + 2.35%), 2.439%, 4/25/30     4,362,065 4,461,825
Structured Agency Credit Risk Debt FRN Ser. 16-HQA3, Class M2, (1 Month US LIBOR + 1.35%), 1.439%, 3/25/29     42,552 42,539
Structured Agency Credit Risk Debt FRN Ser. 17-HQA2, Class M2AS, (1 Month US LIBOR + 1.05%), 1.139%, 12/25/29     23,750,907 23,735,944


46 Ultra Short Duration Income Fund


MORTGAGE-BACKED SECURITIES (4.9%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation        
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class M1, (1 Month US LIBOR + 0.75%), 0.839%, 3/25/30     $151,420 $151,420
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class M2AR, (1 Month US LIBOR + 0.75%), 0.839%, 3/25/30     13,169,500 13,003,281
Federal Home Loan Mortgage Corporation 144A        
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M2, (1 Month US LIBOR + 1.25%), 1.339%, 2/25/47     5,134,207 5,140,022
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (1 Month US LIBOR + 1.00%), 1.089%, 2/25/47     14,000,000 13,985,366
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class M1, (1 Month US LIBOR + 0.80%), 0.889%, 12/25/30     187,187 187,187
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M1, (1 Month US LIBOR + 0.75%), 0.839%, 10/25/48     49,225 49,225
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class M1, (1 Month US LIBOR + 0.75%), 0.839%, 9/25/48     4,263 4,262
Federal National Mortgage Association        
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (1 Month US LIBOR + 6.75%), 6.839%, 8/25/28     9,711,738 10,279,844
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 6.089%, 9/25/28     10,798,708 11,341,042
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, (1 Month US LIBOR + 5.00%), 5.089%, 7/25/25     1,407,082 1,425,771
Connecticut Avenue Securities FRB Ser. 15-C01, Class 2M2, (1 Month US LIBOR + 4.55%), 4.639%, 2/25/25     705,540 708,034
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (1 Month US LIBOR + 4.25%), 4.339%, 1/25/29     2,879,123 3,004,576
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2A, (1 Month US LIBOR + 4.25%), 4.339%, 1/25/29     1,123,775 1,130,133
Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, (1 Month US LIBOR + 4.00%), 4.089%, 5/25/25     1,968,425 1,984,234
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (1 Month US LIBOR + 2.90%), 2.989%, 7/25/24     3,435,679 3,503,911
Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M2, (1 Month US LIBOR + 2.60%), 2.689%, 5/25/24     1,060,095 1,070,153


Ultra Short Duration Income Fund 47


MORTGAGE-BACKED SECURITIES (4.9%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
First Franklin Mortgage Loan Trust        
FRB Ser. 04-FF7, Class M1, (1 Month US LIBOR + 0.87%), 0.959%, 9/25/34     $689,049 $685,673
FRB Ser. 05-FFH4, Class M1, (1 Month US LIBOR + 0.72%), 0.809%, 12/25/35     1,224,360 1,224,360
FRB Ser. 05-FF9, Class A4, (1 Month US LIBOR + 0.72%), 0.809%, 10/25/35     1,016,240 1,016,050
FRB Ser. 05-FF12, Class M1, (1 Month US LIBOR + 0.68%), 0.764%, 11/25/36     442,773 441,317
FRB Ser. 06-FF3, Class A2C, (1 Month US LIBOR + 0.58%), 0.669%, 2/25/36     6,693,643 6,697,643
FRB Ser. 06-FF7, Class 1A, (1 Month US LIBOR + 0.28%), 0.369%, 5/25/36     7,607,066 7,545,724
FWD Securitization Trust 144A        
Ser. 19-INV1, Class A1, 2.81%, 6/25/49 W     6,947,080 7,135,770
FRB Ser. 20-INV1, Class A1, 2.24%, 1/25/50 W     4,523,183 4,610,028
Galton Funding Mortgage Trust 144A        
Ser. 18-2, Class A41, 4.50%, 10/25/58 W     686,476 687,573
Ser. 19-2, Class A22, 3.50%, 6/25/59 W     8,262,223 8,376,229
Ser. 18-1, Class A43, 3.50%, 11/25/57 W     79,662 79,463
Ser. 19-H1, Class A1, 2.657%, 10/25/59 W     2,159,848 2,206,326
GCAT Trust 144A        
Ser. 19-NQM2, Class A1, 2.855%, 9/25/59     10,643,774 10,700,748
Ser. 19-NQM3, Class A1, 2.686%, 11/25/59 W     5,427,978 5,565,645
GCAT, LLC 144A Ser. 19-NQM1, Class A1, 2.985%, 2/25/59     9,912,114 9,960,007
GS Mortgage-Backed Securities Trust 144A Ser. 20-NQM1, Class A1, 1.382%, 9/27/60 W     3,628,709 3,641,410
GSAA Home Equity Trust        
FRB Ser. 05-8, Class A3, (1 Month US LIBOR + 0.86%), 0.949%, 6/25/35     2,503,334 2,503,334
FRB Ser. 06-2, Class 2A4, (1 Month US LIBOR + 0.62%), 0.709%, 12/25/35     5,051,046 5,055,622
GSAMP Trust FRB Ser. 06-HE7, Class A2D, (1 Month US LIBOR + 0.23%), 0.319%, 10/25/46     577,339 553,784
Home Equity Asset Trust        
FRB Ser. 06-1, Class M2, (1 Month US LIBOR + 0.46%), 0.779%, 4/25/36     6,898,230 6,894,786
FRB Ser. 06-4, Class 1A1, (1 Month US LIBOR + 0.16%), 0.409%, 8/25/36     4,408,789 4,393,744
Home Re, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.60%), 1.689%, 10/25/28 (Bermuda)     2,462,849 2,467,836
HomeBanc Mortgage Trust FRB Ser. 05-4, Class A1, (1 Month US LIBOR + 0.54%), 0.629%, 10/25/35     3,756,784 3,750,793
Homeward Opportunities Fund I Trust 144A        
Ser. 18-2, Class A1, 3.985%, 11/25/58 W     4,257,507 4,330,691
Ser. 19-2, Class A1, 2.702%, 9/25/59 W     6,481,101 6,518,691
Ser. 19-3, Class A1, 2.675%, 11/25/59 W     9,675,451 9,767,895
Ser. 20-2, Class A1, 1.657%, 5/25/65 W     6,724,134 6,761,285
JPMorgan Mortgage Acquisition Corp. FRB Ser. 05-OPT2, Class M2, (1 Month US LIBOR + 0.68%), 0.764%, 12/25/35     975,871 975,710


48 Ultra Short Duration Income Fund


MORTGAGE-BACKED SECURITIES (4.9%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
JPMorgan Mortgage Acquisition Trust        
FRB Ser. 07-CH2, Class MV1, (1 Month US LIBOR + 0.28%), 0.369%, 1/25/37     $6,660,000 $6,625,728
FRB Ser. 07-CH4, Class A4, (1 Month US LIBOR + 0.16%), 0.249%, 1/25/36     7,675 7,673
JPMorgan Resecuritization Trust 144A Ser. 14-1, Class 7A1, 3.00%, 6/26/35     2,653,618 2,664,164
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class M1, (1 Month US LIBOR + 0.75%), 0.839%, 2/25/34     423,127 422,390
MASTR Asset-Backed Securities Trust FRB Ser. 06-FRE1, Class A4, (1 Month US LIBOR + 0.58%), 0.669%, 12/25/35     709,969 698,131
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-AR1, Class M1, (1 Month US LIBOR + 0.75%), 0.839%, 6/25/36     375,084 374,955
MFA Trust 144A Ser. 21-NQM1, Class A1, 1.153%, 4/25/65 W     16,690,945 16,675,694
MFRA Trust 144A Ser. 20-NQM1, Class A1, 1.479%, 3/25/65 W     3,576,635 3,604,576
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 06-NC1, Class M1, (1 Month US LIBOR + 0.57%), 0.659%, 12/25/35     8,242,140 8,246,185
Nationstar Home Equity Loan Trust FRB Ser. 07-B, Class 2AV4, (1 Month US LIBOR + 0.32%), 0.409%, 4/25/37     4,165,025 4,121,390
New Century Home Equity Loan Trust FRB Ser. 05-C, Class A2D, (1 Month US LIBOR + 0.68%), 0.769%, 12/25/35     1,339,172 1,339,460
New Residential Mortgage Loan Trust 144A        
Ser. 19-NQM4, Class A1, 2.492%, 9/25/59 W     5,144,795 5,211,678
Ser. 20-NQM1, Class A1, 2.464%, 1/26/60 W     2,911,324 2,951,501
FRB Ser. 18-4A, Class 4A, (1 Month US LIBOR + 0.75%), 0.839%, 1/25/48     6,670,520 6,679,731
Nomura Home Equity Loan, Inc./Home Equity Loan Trust FRB Ser. 05-FM1, Class M2, (1 Month US LIBOR + 0.74%), 0.824%, 5/25/35     766,099 763,358
Nomura Resecuritization Trust 144A FRB Ser. 15-8R, Class 4A1, (1 Month US LIBOR + 2.00%), 2.116%, 11/25/47     62,759 62,603
Onslow Bay Financial, LLC Trust 144A FRB Ser. 20-EXP3, Class 2A1, (1 Month US LIBOR + 0.90%), 0.989%, 1/25/60     1,214,726 1,218,552
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%), 1.364%, 12/25/34     2,984,821 2,989,849
Radnor Re, Ltd. 144A FRB Ser. 19-1, Class M1B, (1 Month US LIBOR + 1.95%), 2.039%, 2/25/29 (Bermuda)     3,851,475 3,863,835
RASC Series Trust FRB Ser. 06-KS6, Class A4, (1 Month US LIBOR + 0.25%), 0.339%, 8/25/36     4,563,322 4,521,455
Residential Asset Mortgage Products Trust        
FRB Ser. 05-RS2, Class M4, (1 Month US LIBOR + 1.08%), 1.169%, 2/25/35     2,118,523 2,128,121
FRB Ser. 05-RS6, Class M4, (1 Month US LIBOR + 0.98%), 1.064%, 6/25/35     1,861,939 1,880,558


Ultra Short Duration Income Fund 49


MORTGAGE-BACKED SECURITIES (4.9%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
Residential Asset Securities Corp., Trust        
FRB Ser. 05-KS1, Class M2, (1 Month US LIBOR + 0.75%), 1.214%, 2/25/35     $1,697,423 $1,681,438
FRB Ser. 04-KS10, Class M1, (1 Month US LIBOR + 0.90%), 0.989%, 11/25/34     2,987,621 2,978,146
FRB Ser. 06-KS3, Class M1, (1 Month US LIBOR + 0.33%), 0.584%, 4/25/36     3,113,804 3,113,804
FRB Ser. 06-KS7, Class A4, (1 Month US LIBOR + 0.24%), 0.329%, 9/25/36     488,003 485,585
Residential Mortgage Loan Trust 144A        
Ser. 19-2, Class A1, 2.913%, 5/25/59 W     1,388,707 1,402,594
Ser. 19-3, Class A1, 2.633%, 9/25/59 W     7,230,681 7,318,119
Securitized Asset Backed Receivables, LLC Trust FRB Ser. 06-CB1, Class AV1, (1 Month US LIBOR + 0.48%), 0.569%, 1/25/36     6,599,609 6,556,125
SG Residential Mortgage Trust 144A Ser. 19-3, Class A1, 2.703%, 9/25/59 W     769,760 773,249
Soundview Home Loan Trust        
FRB Ser. 05-OPT3, Class M1, (1 Month US LIBOR + 0.47%), 0.794%, 11/25/35     6,822,563 6,827,184
FRB Ser. 06-OPT1, Class 2A4, (1 Month US LIBOR + 0.27%), 0.359%, 3/25/36     2,457,653 2,455,997
Spruce Hill Mortgage Loan Trust 144A Ser. 19-SH1, Class A1, 3.395%, 4/29/49 W     5,309,510 5,357,296
Starwood Mortgage Residential Trust 144A        
FRB Ser. 18-IMC2, Class A1, 4.121%, 10/25/48 W     7,216,081 7,282,252
FRB Ser. 20-2, Class A1, 2.718%, 4/25/60 W     15,508,398 15,684,738
Ser. 19-INV1, Class A1, 2.61%, 9/27/49 W     6,100,453 6,175,495
Starwood Residential Mortgage Trust 144A Ser. 21-1, Class A1, 1.219%, 5/25/65 W     12,663,683 12,698,224
Structured Asset Investment Loan Trust        
FRB Ser. 04-7, Class A7, (1 Month US LIBOR + 0.84%), 0.929%, 8/25/34     769,693 767,698
FRB Ser. 05-HE3, Class M1, (1 Month US LIBOR + 0.72%), 0.809%, 9/25/35     5,232,290 5,218,073
Structured Asset Investment Loan Trust 144A FRB Ser. 05-1, Class M2, (1 Month US LIBOR + 0.72%), 0.809%, 2/25/35     875,888 873,620
Structured Asset Securities Corp Mortgage Loan Trust FRB Ser. 06-OPT1, Class A5, (1 Month US LIBOR + 0.26%), 0.349%, 4/25/36     1,047,299 1,041,307
Structured Asset Securities Corp. FRB Ser. 05-WF1, Class M1, (1 Month US LIBOR + 0.66%), 0.749%, 2/25/35     2,373,704 2,374,441
Structured Asset Securities Corp. Mortgage Loan Trust        
FRB Ser. 05-NC2, Class M5, (1 Month US LIBOR + 0.93%), 1.019%, 5/25/35     2,900,000 2,903,795
FRB Ser. 05-NC2, Class M4, (1 Month US LIBOR + 0.71%), 0.794%, 5/25/35     1,739,618 1,741,004
FRB Ser. 06-WF1, Class M4, (1 Month US LIBOR + 0.65%), 0.734%, 2/25/36     1,953,000 1,955,953


50 Ultra Short Duration Income Fund



MORTGAGE-BACKED SECURITIES (4.9%)* cont. Principal
amount		 Value
Residential mortgage-backed securities (non-agency) cont.
Structured Asset Securities Corp. Mortgage Loan Trust 144A FRB Ser. 06-GEL3, Class A3, (1 Month US LIBOR + 0.60%), 0.689%, 7/25/36     $458,909 $458,517
Towd Point HE Trust 144A        
FRB Ser. 19-HE1, Class A1, (1 Month US LIBOR + 0.90%), 0.989%, 4/25/48     3,925,498 3,926,944
Ser. 21-HE1, Class A1, 0.918%, 2/25/63 W     2,839,609 2,879,136
Towd Point Mortgage Trust 144A        
Ser. 15-2, Class 2M1, 3.75%, 11/25/57 W     3,500,000 3,557,372
Ser. 18-1, Class A1, 3.00%, 1/25/58 W     7,853,316 8,060,383
Ser. 17-3, Class A1, 2.75%, 7/25/57 W     6,430,559 6,550,865
FRB Ser. 19-HY1, Class A1, (1 Month US LIBOR + 1.00%), 1.092%, 10/25/48     8,568,265 8,621,603
FRB Ser. 19-HY2, Class A1, (1 Month US LIBOR + 1.00%), 1.089%, 5/25/58     1,042,747 1,049,696
Verus Securitization Trust 144A        
Ser. 19-INV2, Class A1, 2.913%, 7/25/59 W     16,225,426 16,429,969
Ser. 19-3, Class A1, 2.784%, 7/25/59     5,647,402 5,715,965
Ser. 19-INV3, Class A1, 2.692%, 11/25/59 W     5,672,910 5,772,240
Ser. 19-4, Class A1, 2.642%, 11/25/59     15,332,708 15,620,598
Ser. 20-1, Class A1, 2.417%, 1/25/60     3,794,114 3,849,065
Ser. 20-5, Class A1, 1.218%, 5/25/65     11,981,484 12,010,029
Wells Fargo Home Equity Asset-Backed Securities Trust FRB Ser. 05-3, Class M6, (1 Month US LIBOR + 1.01%), 1.094%, 11/25/35     1,585,000 1,582,154
772,648,304
Total mortgage-backed securities (cost $772,302,008) $773,704,216

CERTIFICATES OF DEPOSIT (3.8%)* Yield (%) Maturity
date		 Principal
amount		 Value
Bank of Montreal/Chicago, IL FRN (Canada) 0.174 3/4/22 $34,500,000 $34,502,352
Bank of Montreal/Chicago, IL FRN (Canada) 0.168 3/16/22 20,000,000 20,002,598
Bank of Nova Scotia/Houston FRN 0.260 12/9/21 23,300,000 23,311,595
Canadian Imperial Bank of Commerce/New York, NY FRN 0.248 1/3/22 46,500,000 46,521,564
Cooperatieve Rabobank UA/NY FRN (Netherlands) 0.434 9/24/21 28,500,000 28,513,427
Credit Suisse AG/New York, NY FRN 0.300 7/19/22 23,250,000 23,208,498
Deutsche Bank AG/New York, NY FRN (Germany) 0.770 2/16/22 46,500,000 46,624,172
Morgan Stanley Bank, NA FRN 0.343 12/2/21 47,000,000 47,030,503
Natixis SA/New York, NY FRN (France) 0.300 12/10/21 32,500,000 32,520,964
Nordea Bank ABP/New York, NY FRN 0.470 11/19/21 57,000,000 57,056,074
Nordea Bank ABP/New York, NY FRN 0.362 1/28/22 20,585,000 20,608,060
Standard Chartered Bank/New York FRN 0.237 4/25/22 25,000,000 25,003,501
Standard Chartered Bank/New York FRN 0.222 3/18/22 49,000,000 49,000,104
Sumitomo Mitsui Banking Corp./New York FRN (Japan) 0.546 11/5/21 38,000,000 38,035,975
Svenska Handelsbanken/New York, NY FRN (Sweden) 0.398 1/6/22 47,000,000 47,052,466
Toronto-Dominion Bank/NY FRN (Canada) 0.250 5/24/22 51,000,000 51,025,042
Total certificates of deposit (cost $589,660,130) $590,016,895


Ultra Short Duration Income Fund 51



ASSET-BACKED COMMERCIAL PAPER (0.9%)* Yield (%) Maturity
date		 Principal
amount		 Value
Arabella Finance, LLC 0.366 8/6/21 $29,000,000 $28,998,365
Arabella Finance, LLC 0.320 10/15/21 5,000,000 4,996,621
Arabella Finance, LLC 0.320 10/4/21 760,000 759,565
Arabella Finance, LLC 0.300 8/18/21 16,000,000 15,997,526
Arabella Finance, LLC 0.300 8/10/21 15,000,000 14,998,671
Arabella Finance, LLC 0.300 8/4/21 2,750,000 2,749,889
Arabella Finance, LLC 0.280 10/6/21 4,000,000 3,997,635
Romulus Funding Corp. 0.270 8/25/21 31,000,000 30,987,753
Romulus Funding Corp. 0.270 8/12/21 30,000,000 29,994,150
Romulus Funding Corp. 0.260 8/18/21 14,000,000 13,995,988
Total asset-backed commercial paper (cost $147,489,739) $147,476,163

REPURCHASE AGREEMENTS (0.6%)* Principal
amount		 Value
Interest in $75,000,000 tri-party term repurchase agreement dated 7/30/2021 with BNP Paribas, 0.250% (collateralized by Corporate Debt Securities with coupon rates ranging from 2.625% to 6.900% and due dates ranging from 3/2/2027 to 3/23/2055, valued at $78,751,763) (France) Ŧ EG $75,000,000 $75,000,000
Interest in $25,000,000 tri-party term repurchase agreement dated 7/30/2021 with Royal Bank of Canada, 0.30% (collateralized by Corporate Debt Securities and U.S. Treasuries (including strips) with coupon rates ranging from 0.000% to 7.500% and due dates ranging from 10/30/2025 to 2/2/2065, valued at $26,249,918) (Canada) Ŧ EG 25,000,000 25,000,000
Total repurchase agreements (cost $100,000,000) $100,000,000

U.S. GOVERNMENT AGENCY OBLIGATIONS (0.6%)* Yield (%) Maturity
date		 Principal
amount		 Value
Federal Farm Credit Banks Funding Corporation unsec. FRB 0.470 11/7/22 $93,000,000 $93,461,120
Total U.S. government agency obligations (cost $93,000,000) $93,461,120

U.S. GOVERNMENT AND AGENCY
MORTGAGE OBLIGATIONS (—%)*		 Principal
amount		 Value
U.S. Government Agency Mortgage Obligations (—%)
Federal National Mortgage Association Pass-Through Certificates        
6.00%, 5/1/23     $311 $316
5.50%, 11/1/23     9 9
Total U.S. government and agency mortgage obligations (cost $346) $325

TOTAL INVESTMENTS
Total investments (cost $15,715,263,103) $15,734,904,519
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.


52 Ultra Short Duration Income Fund



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 July 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 $15,718,194,562.
R Real Estate Investment Trust.
W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
Ŧ Repurchase agreements with a maturity of more than seven days are considered to be illiquid investments.
EG Maturity date of the repurchase agreement is thirty-five days from the purchase date unless both parties agree to roll the transaction. Maturity value of the repurchase agreement will equal the principal amount of the repurchase agreement plus interest.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.

DIVERSIFICATION BY COUNTRY
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
United States 69.1% Sweden 1.2%
Canada 7.8 Switzerland 1.2
United Kingdom 5.3 Germany 1.0
Japan 3.1 Italy 0.6
Netherlands 2.9 Ireland 0.5
France 2.6 Other 1.2
Australia 2.1 Total 100.0%
Spain 1.4



Ultra Short Duration Income Fund 53


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 $— $147,476,163 $—
Asset-backed securities — 1,151,766,695 397,593,713
Certificates of deposit — 590,016,895 —
Commercial paper — 4,113,880,148 —
Corporate bonds and notes — 8,367,005,244 —
Mortgage-backed securities — 773,704,216 —
Repurchase agreements — 100,000,000 —
U.S. government agency obligations — 93,461,120 —
U.S. government and agency mortgage obligations — 325 —
Totals by level $— $15,337,310,806 $397,593,713
The following is a reconciliation of Level 3 assets as of the close of the reporting period:
Investments in securities: Balance
as of
7/31/20		 Accrued discounts/premiums Realized gain/(loss) Change in net
unrealized
appreciation/
(depreciation)#		 Cost of purchases Proceeds from sales Total
transfers
into
Level 3†		 Total
transfers
out of
Level 3†		 Balance
as of
7/31/21
Asset-backed securities $— $— $— $(112) $361,384,112 $— $36,209,713 $— $397,593,713
Totals $— $— $— $(112) $361,384,112 $— $36,209,713 $— $397,593,713
† Transfers during the reporting period include valuations provided by a single broker quote. .
# Includes $(112) related to Level 3 securities still held at period end. Total change in unrealized appreciation/(depreciation) for securities (including Level 1 and Level 2) can be found in the Statement of operations.


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


54 Ultra Short Duration Income Fund


Statement of assets and liabilities 7/31/21

ASSETS   
Investment in securities, at value (Note 1):   
Unaffiliated issuers (identified cost $15,715,263,103)  $15,734,904,519 
Cash  115,844 
Interest and other receivables  21,116,275 
Receivable for shares of the fund sold  65,932,890 
Receivable for investments sold  56,505,399 
Prepaid assets  302,256 
Total assets  15,878,877,183 
 
LIABILITIES   
Payable for investments purchased  115,935,747 
Payable for shares of the fund repurchased  39,279,056 
Payable for compensation of Manager (Note 2)  1,576,042 
Payable for custodian fees (Note 2)  97,305 
Payable for investor servicing fees (Note 2)  1,575,357 
Payable for Trustee compensation and expenses (Note 2)  488,039 
Payable for administrative services (Note 2)  49,986 
Payable for distribution fees (Note 2)  578,917 
Distributions payable to shareholders  400,209 
Other accrued expenses  701,963 
Total liabilities  160,682,621 
 
Net assets  $15,718,194,562 
 
REPRESENTED BY   
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)  $15,718,638,010 
Total distributable earnings (Note 1)  (443,448) 
Total — Representing net assets applicable to capital shares outstanding  $15,718,194,562 
 
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE   
Net asset value, offering price and redemption price per class A share   
($6,611,459,108 divided by 655,692,754 shares)  $10.08 
Net asset value and offering price per class B share ($326,235 divided by 32,386 shares)*  $10.07 
Net asset value and offering price per class C share ($22,030,785 divided by 2,187,296 shares)*  $10.07 
Net asset value and redemption price per class N share ($14,369,418 divided by 1,426,555 shares)  $10.07 
Offering price per class N share (100/98.50 of $10.07)**  $10.22 
Net asset value, offering price and redemption price per class R share   
($4,206,696 divided by 417,773 shares)  $10.07 
Net asset value, offering price and redemption price per class R6 share   
($121,669,178 divided by 12,050,447 shares)  $10.10 
Net asset value, offering price and redemption price per class Y share   
($8,944,133,142 divided by 886,101,163 shares)  $10.09 

 

* 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 55 

 

 

Statement of operations Year ended 7/31/21

INVESTMENT INCOME   
Interest (including interest income of $343,887 from investments in affiliated issuers) (Note 5)  $128,939,509 
Total investment income  128,939,509 
 
EXPENSES   
Compensation of Manager (Note 2)  46,112,816 
Investor servicing fees (Note 2)  10,011,903 
Custodian fees (Note 2)  169,613 
Trustee compensation and expenses (Note 2)  734,466 
Distribution fees (Note 2)  7,531,622 
Administrative services (Note 2)  439,680 
Other  2,957,714 
Fees waived and reimbursed by Manager (Note 2)  (9,760,247) 
Total expenses  58,197,567 
Expense reduction (Note 2)  (73,730) 
Net expenses  58,123,837 
 
Net investment income  70,815,672 
 
REALIZED AND UNREALIZED GAIN (LOSS)   
Net realized gain on:   
Securities from unaffiliated issuers (Notes 1 and 3)  11,328,393 
Total net realized gain  11,328,393 
Change in net unrealized depreciation on:   
Securities from unaffiliated issuers  (3,076,142) 
Total change in net unrealized depreciation  (3,076,142) 
 
Net gain on investments  8,252,251 
 
Net increase in net assets resulting from operations  $79,067,923 

 

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

56 Ultra Short Duration Income Fund 

 

 

Statement of changes in net assets

DECREASE IN NET ASSETS  Year ended 7/31/21  Year ended 7/31/20 
Operations     
Net investment income  $70,815,672  $297,228,905 
Net realized gain (loss) on investments  11,328,393  (30,651,897) 
Change in net unrealized appreciation (depreciation)     
of investments  (3,076,142)  13,528,394 
Net increase in net assets resulting from operations  79,067,923  280,105,402 
Distributions to shareholders (Note 1):     
From ordinary income     
Net investment income     
Class A  (26,949,735)  (146,658,777) 
Class B  (60)  (2,458) 
Class C  (5,433)  (320,368) 
Class M  —  (21,536) 
Class N  (42,991)  (271,300) 
Class R  (1,003)  (69,003) 
Class R6  (509,506)  (1,634,148) 
Class Y  (43,702,486)  (149,079,410) 
Decrease from capital share transactions (Note 4)  (666,017,332)  (54,611,578) 
Total decrease in net assets  (658,160,623)  (72,563,176) 
 
NET ASSETS     
Beginning of year  16,376,355,185  16,448,918,361 
End of year  $15,718,194,562  $16,376,355,185 

 

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

Ultra Short Duration Income Fund 57 

 

 

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                           
July 31, 2021­  $10.08­  .04­  —­e  .04­  (.04)  —­  (.04)  $10.08­  .36­  $6,611,459­  .40­  .37­  63­ 
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 
Class B                           
July 31, 2021­  $10.07­  —­e  —­e  —­e  —­e  —­  —­e  $10.07­  .02­  $326­  .74­f  .02­f ­  63­ 
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 
Class C                           
July 31, 2021­  $10.07­  —­e  —­e  —­e  —­e  —­  —­e  $10.07­  .02­  $22,031­  .75­f ­  .02­f ­  63­ 
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 
Class N                           
July 31, 2021­  $10.07­  .02­  —­e  .02­  (.02)  —­  (.02)  $10.07­  .21­  $14,369­  .55­  .22­  63­ 
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                           
July 31, 2021­  $10.07­  —­e  —­e  —­e  —­e  —­  —­e  $10.07­  .02­  $4,207­  .75­f ­  .02­f ­  63­ 
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 
Class R6                           
July 31, 2021­  $10.09­  .05­  .01­  .06­  (.05)  —­  (.05)  $10.10­  .57­  $121,669­  .29­  .46­  63­ 
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 
Class Y                           
July 31, 2021­  $10.09­  .05­  —­e  .05­  (.05)  —­  (.05)  $10.09­  .46­  $8,944,133­  .30­  .46­  63­ 
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 

 

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

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

58 Ultra Short Duration Income Fund  Ultra Short Duration Income Fund 59 

 

 

Financial highlights cont.

* Not annualized.

† 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):

  7/31/21  7/31/20  7/31/19  7/31/18  7/31/17 
Class A  0.06%  0.09%  0.14%  0.14%  0.15% 
Class B  0.06  0.09  0.14  0.14  0.15 
Class C  0.06  0.09  0.14  0.14  0.15 
Class N  0.06  0.09  0.10  N/A  N/A 
Class R  0.06  0.09  0.14  0.14  0.15 
Class R6  0.06  0.09  0.14  0.14  0.15 
Class Y  0.06  0.09  0.14  0.14  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 waiver, the expenses reflect a reduction of the following amounts as a percentage of average net assets (Note 2):

  7/31/21 
Class B  0.06% 
Class C  0.05 
Class R  0.05 

 

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

60 Ultra Short Duration Income Fund 

 

 

Notes to financial statements 7/31/21

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 July 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 are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately eight years. Prior to March 1, 2021, class C shares generally converted to class A shares after approximately ten years. Class R shares are not available to all investors. The expenses for class A, class B, class C, class N and class R shares may differ based on each class’ distribution fee, which is identified in Note 2. Class R6 and class Y shares are generally subject to the same expenses as class A, class B, class C, class N and class R shares, but do not bear a distribution fee. Class R6 and class Y shares are not available to all investors.

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

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

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

Ultra Short Duration Income Fund 61 

 

 

Note 1: Significant accounting policies

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

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

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

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

Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

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

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

62 Ultra Short Duration Income Fund 

 

 

to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $105,001,681 at the end of the reporting period, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.

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

Interest income, net of any applicable withholding taxes, 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 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 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, 2021, 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 
$19,380,085  $296,623  $19,676,708 

 

Ultra Short Duration Income Fund 63 

 

 

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. For the reporting period, there were no material temporary or permanent differences. 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. At the close of the reporting period, the fund reclassified $485,897 to decrease distributions in excess of net investment income and $485,897 to decrease paid-in capital.

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 tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:

Unrealized appreciation  $28,167,019 
Unrealized depreciation  (8,533,552) 
Net unrealized appreciation  19,633,467 
Capital loss carryforward  (19,676,708) 
Cost for federal income tax purposes  $15,715,271,052 

 

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 0.273% of the fund’s average net assets.

Putnam Management has contractually agreed, through November 30, 2022, 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, 2022, to the extent that total expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, payments under distribution plans, extraordinary expenses, payments under the fund’s investor servicing contract and acquired fund fees and expenses, but including payments under the fund’s investment management contract) would exceed an annual rate of 0.24% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $9,744,349 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

64 Ultra Short Duration Income Fund 

 

 

reporting period, the fund’s expenses were reduced by $15,898 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  $187 
Class C  13,338 
Class R  2,373 
Total  $15,898 

 

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  $4,356,686  Class R  2,796 
Class B  197  Class R6  54,402 
Class C  15,814  Class Y  5,570,477 
Class N  11,531  Total  $10,011,903 

 

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 $73,730 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $10,312, 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.

Ultra Short Duration Income Fund 65 

 

 

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

  Maximum %  Approved %  Amount 
Class A  0.35%  0.10%  $7,325,070 
Class B  0.75%  0.50%  1,663 
Class C  1.00%  0.50%  132,935 
Class N  1.00%  0.25%  48,454 
Class R  1.00%  0.50%  23,500 
Total      $7,531,622 

 

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 $40 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)  $6,821,470,705  $6,598,393,996 
U.S. government securities (Long-term)  —  — 
Total  $6,821,470,705  $6,598,393,996 

 

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:

  YEAR ENDED 7/31/21  YEAR ENDED 7/31/20 
Class A  Shares  Amount  Shares  Amount 
Shares sold  399,194,704  $4,026,832,544  753,578,499  $7,571,828,404 
Shares issued in connection with         
reinvestment of distributions  2,646,112  26,689,388  14,565,154  146,148,394 
  401,840,816  4,053,521,932  768,143,653  7,717,976,798 
Shares repurchased  (477,737,205)  (4,818,972,338)  (858,188,077)  (8,584,097,825) 
Net decrease  (75,896,389)  $(765,450,406)  (90,044,424)  $(866,121,027) 

 

66 Ultra Short Duration Income Fund 

 

 

  YEAR ENDED 7/31/21  YEAR ENDED 7/31/20 
Class B  Shares  Amount  Shares  Amount 
Shares sold  26,094  $263,012  32,369  $323,987 
Shares issued in connection with         
reinvestment of distributions  5  55  244  2,441 
  26,099  263,067  32,613  326,428 
Shares repurchased  (19,321)  (194,671)  (13,812)  (138,487) 
Net increase  6,778  $68,396  18,801  $187,941 
 
  YEAR ENDED 7/31/21  YEAR ENDED 7/31/20 
Class C  Shares  Amount  Shares  Amount 
Shares sold  1,019,066  $10,269,451  1,933,117  $19,377,511 
Shares issued in connection with         
reinvestment of distributions  512  5,161  31,677  317,419 
  1,019,578  10,274,612  1,964,794  19,694,930 
Shares repurchased  (1,592,760)  (16,049,463)  (1,172,141)  (11,734,358) 
Net increase (decrease)  (573,182)  $(5,774,851)  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) 
 
  YEAR ENDED 7/31/21  YEAR ENDED 7/31/20 
Class N  Shares  Amount  Shares  Amount 
Shares sold  531,438  $5,354,413  2,045,617  $20,401,196 
Shares issued in connection with         
reinvestment of distributions  4,241  42,738  27,073  271,298 
  535,679  5,397,151  2,072,690  20,672,494 
Shares repurchased  (1,026,317)  (10,342,502)  (1,457,204)  (14,534,292) 
Net increase (decrease)  (490,638)  $(4,945,351)  615,486  $6,138,202 
 
  YEAR ENDED 7/31/21  YEAR ENDED 7/31/20 
Class R  Shares  Amount  Shares  Amount 
Shares sold  315,832  $3,181,477  219,393  $2,200,621 
Shares issued in connection with         
reinvestment of distributions  96  969  6,718  67,328 
  315,928  3,182,446  226,111  2,267,949 
Shares repurchased  (406,603)  (4,096,872)  (256,662)  (2,554,382) 
Net decrease  (90,675)  $(914,426)  (30,551)  $(286,433) 

 

Ultra Short Duration Income Fund 67 

 

 

  YEAR ENDED 7/31/21  YEAR ENDED 7/31/20 
Class R6  Shares  Amount  Shares  Amount 
Shares sold  7,728,408  $78,066,540  4,736,113  $47,571,268 
Shares issued in connection with         
reinvestment of distributions  50,261  507,799  162,942  1,637,353 
  7,778,669  78,574,339  4,899,055  49,208,621 
Shares repurchased  (4,910,390)  (49,605,627)  (5,451,428)  (54,707,359) 
Net increase (decrease)  2,868,279  $28,968,712  (552,373)  $(5,498,738) 
 
  YEAR ENDED 7/31/21  YEAR ENDED 7/31/20 
Class Y  Shares  Amount  Shares  Amount 
Shares sold  819,260,036  $8,272,859,782  1,036,435,643  $10,414,654,047 
Shares issued in connection with         
reinvestment of distributions  3,496,348  35,307,960  12,669,457  127,253,934 
  822,756,384  8,308,167,742  1,049,105,100  10,541,907,981 
Shares repurchased  (814,605,090)  (8,226,137,148)  (971,505,141)  (9,736,120,735) 
Net increase  8,151,294  $82,030,594  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 7/31/21 
Short-term investments           
Putnam Short Term           
Investment Fund*  $365,382,337  $2,462,886,324  $2,828,268,661  $343,887  $— 
Total Short-term           
investments  $365,382,337  $2,462,886,324  $2,828,268,661  $343,887  $— 

 

* 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 fluctuation. 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.

68 Ultra Short Duration Income Fund 

 

 

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. On March 5, 2021, the FCA and LIBOR’s administrator, ICE Benchmark Administration, announced that most LIBOR settings will no longer be published after the end of 2021 and a majority of U.S. dollar LIBOR settings will no longer be published after June 30, 2023. 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 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 date on which the applicable rate ceases to be published.

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.

    Royal Bank of   
  BNP Paribas  Canada  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  $78,751,763  $26,249,918  $105,001,681 
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.

Ultra Short Duration Income Fund 69 

 

 

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. The discontinuation of LIBOR was subsequently extended to June 30, 2023. 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.

70 Ultra Short Duration Income Fund 

 

 

Federal tax information (Unaudited)

The Form 1099 that will be mailed to you in January 2022 will show the tax status of all distributions paid to your account in calendar 2021.

Ultra Short Duration Income Fund 71 

 

 


72 Ultra Short Duration Income Fund 

 

 


* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund and Putnam Investments. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.

The address of each Trustee is 100 Federal Street, Boston, MA 02110.

As of July 31, 2021, there were 100 Putnam funds. All Trustees serve as Trustees of all Putnam funds.

Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.

Ultra Short Duration Income Fund 73 

 

 

Officers

In addition to Robert L. Reynolds, the other officers of the fund are shown below:

James F. Clark (Born 1974)  Susan G. Malloy (Born 1957) 
Vice President and Chief Compliance Officer  Vice President and Assistant Treasurer 
Since 2016  Since 2007 
Chief Compliance Officer and Chief Risk Officer,  Head of Accounting and Middle Office Services, 
Putnam Investments and Chief Compliance Officer,  Putnam Investments and Putnam Management 
Putnam Management 
Denere P. Poulack (Born 1968) 
Nancy E. Florek (Born 1957)  Assistant Vice President, Assistant Clerk, 
Vice President, Director of Proxy Voting and Corporate  and Assistant Treasurer 
Governance, Assistant Clerk, and Assistant Treasurer  Since 2004 
Since 2000 
Janet C. Smith (Born 1965) 
Michael J. Higgins (Born 1976)  Vice President, Principal Financial Officer, Principal 
Vice President, Treasurer, and Clerk  Accounting Officer, and Assistant Treasurer 
Since 2010  Since 2007 
  Head of Fund Administration Services, 
Jonathan S. Horwitz (Born 1955)  Putnam Investments and Putnam Management 
Executive Vice President, Principal Executive Officer,   
and Compliance Liaison  Stephen J. Tate (Born 1974) 
Since 2004  Vice President and Chief Legal Officer 
  Since 2021 
Richard T. Kircher (Born 1962)  General Counsel, Putnam Investments, 
Vice President and BSA Compliance Officer  Putnam Management, and Putnam Retail Management 
Since 2019   
Assistant Director, Operational Compliance, Putnam  Mark C. Trenchard (Born 1962) 
Investments and Putnam Retail Management  Vice President 
  Since 2002 
  Director of Operational Compliance, Putnam 
  Investments and Putnam Retail Management 

 

The principal occupations of the officers for the past five years have been with the employers as shown above, although in some cases they have held different positions with such employers. The address of each officer is 100 Federal Street, Boston, MA 02110.

74 Ultra Short Duration Income Fund 

 

 

Putnam family of funds

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

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

 

Ultra Short Duration Income Fund 75 

 

 

Absolute Return  Asset Allocation (cont.) 
Fixed Income Absolute Return Fund  Putnam Retirement Advantage Maturity Fund 
Multi-Asset Absolute Return Fund  Putnam Retirement Advantage 2065 Fund 
Putnam Retirement Advantage 2060 Fund 
Putnam PanAgora§  Putnam Retirement Advantage 2055 Fund 
Putnam PanAgora Risk Parity Fund  Putnam Retirement Advantage 2050 Fund 
  Putnam Retirement Advantage 2045 Fund 
Asset Allocation  Putnam Retirement Advantage 2040 Fund 
Dynamic Risk Allocation Fund  Putnam Retirement Advantage 2035 Fund 
George Putnam Balanced Fund  Putnam Retirement Advantage 2035 Fund 
  Putnam Retirement Advantage 2030 Fund 
Dynamic Asset Allocation Balanced Fund  Putnam Retirement Advantage 2025 Fund 
Dynamic Asset Allocation Conservative Fund 
Dynamic Asset Allocation Growth Fund  RetirementReady® Maturity Fund 
  RetirementReady® 2065 Fund 
  RetirementReady® 2060 Fund 
  RetirementReady® 2055 Fund 
  RetirementReady® 2050 Fund 
  RetirementReady® 2045 Fund 
  RetirementReady® 2040 Fund 
  RetirementReady® 2035 Fund 
  RetirementReady® 2030 Fund 
  RetirementReady® 2025 Fund 

 

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

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

‡ Not available in all states.

§ Sub-advised by PanAgora Asset Management.

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

76 Ultra Short Duration Income Fund 

 

 

Fund information

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

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

 

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:
(a) The fund's principal executive, financial and accounting officers are employees of Putnam Investment Management, LLC, the Fund's investment manager. As such they are subject to a comprehensive Code of Ethics adopted and administered by Putnam Investments which is designed to protect the interests of the firm and its clients. The Fund has adopted a Code of Ethics which incorporates the Code of Ethics of Putnam Investments with respect to all of its officers and Trustees who are employees of Putnam Investment Management, LLC. For this reason, the Fund has not adopted a separate code of ethics governing its principal executive, financial and accounting officers.

(c) In April 2021, the Code of Ethics of Putnam Investments was amended. The key changes to the Code of Ethics are as follows: (i) Employees may invest in the Putnam Exchange Traded Funds (ETFs) with preclearing requirements for certain individuals (ii) All employees must hold Putnam ETFs in an approved Putnam broker (iii) All access persons must report Putnam ETF trades or holdings in the quarterly transaction report or annual holdings report.

Item 3. Audit Committee Financial Expert:
The Funds' Audit, Compliance and Risk Committee is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations implementing Section 407 of the Sarbanes-Oxley Act (the “Regulations”)). The Trustees believe that each member of the Audit, Compliance and Risk Committee also possesses a combination of knowledge and experience with respect to financial accounting matters, as well as other attributes, that qualifies him or her for service on the Committee. In addition, the Trustees have determined that each of Dr. Hill, Dr. Joskow, and Mr. Singh qualifies as an “audit committee financial expert” (as such term has been defined by the Regulations) based on their review of his or her pertinent experience and education; in the case of Dr. Joskow, including his experience serving on the audit committees of several public companies and institutions and his education and experience as an economist who studies companies and industries, routinely using public company financial statements in his research. The SEC has stated, and the funds' amended and restated agreement and Declaration of Trust provides, that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liability that are greater than the duties, obligations and liability imposed on such person as a member of the Audit, Compliance and Risk Committee and the Board of Trustees in the absence of such designation or identification.

Item 4. Principal Accountant Fees and Services:
The following table presents fees billed in each of the last two fiscal years for services rendered to the fund by the fund's independent auditor:


Fiscal year ended Audit Fees Audit-Related Fees Tax Fees All Other Fees
July 31, 2021 $175,199 $ — $7,132 $ —
July 31, 2020 $282,728 $ — $7,132 $ —

For the fiscal years ended July 31, 2021 and July 31, 2020, the fund's independent auditor billed aggregate non-audit fees in the amounts of $316,432 and $352,974 respectively, to the fund, Putnam Management and any entity controlling, controlled by or under common control with Putnam Management that provides ongoing services to the fund.

Audit Fees represent fees billed for the fund's last two fiscal years relating to the audit and review of the financial statements included in annual reports and registration statements, and other services that are normally provided in connection with statutory and regulatory filings or engagements.

Audit-Related Fees represent fees billed in the fund's last two fiscal years for services traditionally performed by the fund's auditor, including accounting consultation for proposed transactions or concerning financial accounting and reporting standards and other audit or attest services not required by statute or regulation.

Tax Fees represent fees billed in the fund's last two fiscal years for tax compliance, tax planning and tax advice services. Tax planning and tax advice services include assistance with tax audits, employee benefit plans and requests for rulings or technical advice from taxing authorities.

Pre-Approval Policies of the Audit, Compliance and Risk Committee. The Audit, Compliance and Risk Committee of the Putnam funds has determined that, as a matter of policy, all work performed for the funds by the funds' independent auditors will be pre-approved by the Committee itself and thus will generally not be subject to pre-approval procedures.

The Audit, Compliance and Risk Committee also has adopted a policy to pre-approve the engagement by Putnam Management and certain of its affiliates of the funds' independent auditors, even in circumstances where pre-approval is not required by applicable law. Any such requests by Putnam Management or certain of its affiliates are typically submitted in writing to the Committee and explain, among other things, the nature of the proposed engagement, the estimated fees, and why this work should be performed by that particular audit firm as opposed to another one. In reviewing such requests, the Committee considers, among other things, whether the provision of such services by the audit firm are compatible with the independence of the audit firm.

The following table presents fees billed by the fund's independent auditor for services required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2–01 of Regulation S-X.


Fiscal year ended Audit-Related Fees Tax Fees All Other Fees Total Non-Audit Fees
July 31, 2021 $ — $309,300 $ — $ —
July 31, 2020 $ — $345,842 $ — $ —

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 Management Investment Companies:
Not applicable

Item 13. Exhibits:
(a)(1) The Code of Ethics of The Putnam Funds, which incorporates the Code of Ethics of Putnam Investments, is filed herewith.

(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: September 28, 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: September 28, 2021
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: September 28, 2021