N-Q 1 a_dynamicriskallocation.htm PUTNAM FUNDS TRUST a_dynamicriskallocation.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-07513)
Exact name of registrant as specified in charter: Putnam Funds Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: May 31, 2014
Date of reporting period: February 28, 2014



Item 1. Schedule of Investments:













Putnam Dynamic Risk Allocation Fund

The fund's portfolio
2/28/14 (Unaudited)
COMMON STOCKS (41.6%)(a)
Shares Value
Basic materials (2.1%)
Aceto Corp. 412 $7,535
Albemarle Corp. 3,394 223,931
Amcor, Ltd. (Australia) 10,050 91,297
Antofagasta PLC (United Kingdom) 6,672 100,609
Axiall Corp. 123 4,978
BASF SE (Germany) 1,719 197,934
BHP Billiton PLC (United Kingdom) 4,214 136,086
BHP Billiton, Ltd. (Australia) 5,030 173,169
Cambrex Corp.(NON) 1,515 30,406
Chemtura Corp.(NON) 1,446 35,789
EMS-Chemie Holding AG (Switzerland) 252 97,132
Glencore Xstrata PLC (United Kingdom) 19,589 107,987
Hitachi Metals, Ltd. (Japan) 17,000 254,676
Horsehead Holding Corp.(NON) 1,574 27,970
Innophos Holdings, Inc. 308 16,915
Innospec, Inc. 384 16,708
International Flavors & Fragrances, Inc. 3,358 314,947
Johnson Matthey PLC (United Kingdom) 4,865 265,745
KapStone Paper and Packaging Corp.(NON) 305 9,696
Koninklijke Boskalis Westminster NV (Netherlands) 2,196 109,924
Koppers Holdings, Inc. 124 4,903
Kraton Performance Polymers, Inc.(NON) 449 12,455
L.B. Foster Co. Class A 250 11,623
Landec Corp.(NON) 947 9,650
Louisiana-Pacific Corp.(NON) 145 2,725
LSB Industries, Inc.(NON) 669 21,870
Minerals Technologies, Inc. 149 7,972
NN, Inc. 1,150 22,184
OM Group, Inc.(NON) 384 12,134
PPG Industries, Inc. 2,773 548,555
Rio Tinto PLC (United Kingdom) 2,217 127,431
S&W Seed Co.(NON) 1,006 6,368
Sigma-Aldrich Corp. 4,963 468,557
Sumitomo Metal Mining Co., Ltd. (Japan) 7,000 91,736
Syngenta AG (Switzerland) 389 141,535
Trex Co., Inc.(NON) 290 22,684
Tronox, Ltd. Class A 341 8,078
U.S. Silica Holdings, Inc. 805 26,404
UPM-Kymmene OYJ (Finland) 7,564 137,398
voestalpine AG (Austria) 3,722 167,764
W.R. Grace & Co.(NON) 80 8,107
Wendel SA (France) 988 148,511
Zep, Inc. 848 14,925
4,247,003
Capital goods (2.0%)
ABB, Ltd. (Switzerland) 6,707 171,507
Airbus Group NV (France) 3,169 233,537
Aisin Seiki Co., Ltd. (Japan) 4,200 146,151
Alfa Laval AB (Sweden) 7,108 192,898
Alliant Techsystems, Inc. 229 30,867
Altra Industrial Motion Corp. 848 30,019
Astronics Corp.(NON) 216 14,450
AZZ, Inc. 376 16,683
Boeing Co. (The) 1,920 247,526
Chart Industries, Inc.(NON) 342 28,578
Chase Corp. 499 15,045
Douglas Dynamics, Inc. 733 11,860
DXP Enterprises, Inc.(NON) 158 16,078
Franklin Electric Co., Inc. 569 24,803
Generac Holdings, Inc. 473 26,947
General Dynamics Corp. 4,548 498,188
Greenbrier Cos., Inc. (The)(NON) 1,007 42,364
HEICO Corp. 202 12,562
Hyster-Yale Materials Holdings, Inc. 172 17,362
IHI Corp. (Japan) 29,000 133,146
II-VI, Inc.(NON) 1,126 18,455
IMI PLC (United Kingdom) 6,825 174,289
JGC Corp. (Japan) 4,000 148,400
Kadant, Inc. 476 19,111
Miller Industries, Inc. 604 10,902
Mine Safety Appliances Co. 188 9,673
MRC Global, Inc.(NON) 2,547 65,509
NACCO Industries, Inc. Class A 74 4,339
OSRAM Licht AG (Germany)(NON) 1,884 128,087
Polypore International, Inc.(NON) 116 4,015
Roper Industries, Inc. 1,710 231,910
Safran SA (France) 1,314 92,518
Singapore Technologies Engineering, Ltd. (Singapore) 39,000 117,068
Standard Motor Products, Inc. 833 29,280
Standex International Corp. 211 11,670
Stericycle, Inc.(NON) 1,556 177,384
Stoneridge, Inc.(NON) 1,406 15,480
Tenneco, Inc.(NON) 203 12,229
THK Co., Ltd. (Japan) 4,800 110,326
TriMas Corp.(NON) 1,062 35,694
US Ecology, Inc. 213 7,653
Vinci SA (France) 2,313 172,817
Waste Management, Inc. 7,347 304,901
WESCO International, Inc.(NON) 269 23,190
Zodiac Aerospace (France) 2,575 90,936
3,926,407
Communication services (1.2%)
Arris Group, Inc.(NON) 249 7,146
Aruba Networks, Inc.(NON) 282 5,784
BroadSoft, Inc.(NON) 86 2,581
BT Group PLC (United Kingdom) 30,071 206,357
CalAmp Corp.(NON) 831 26,625
Deutsche Telekom AG (Germany) 9,479 160,866
EchoStar Corp. Class A(NON) 1,135 56,546
Frontier Communications Corp. 3,125 15,250
HSN, Inc. 130 7,456
IDT Corp. Class B 459 8,239
Inteliquent, Inc. 671 9,367
Iridium Communications, Inc.(NON) 1,234 8,046
Loral Space & Communications, Inc.(NON) 201 15,883
NTT DoCoMo, Inc. (Japan) 7,600 127,311
Orange (France) 8,199 102,635
RingCentral, Inc. Class A(NON) 109 2,360
Ruckus Wireless, Inc.(NON) 692 9,688
SBA Communications Corp. Class A(NON) 1,621 154,271
ShoreTel, Inc.(NON) 755 6,636
Tele2 AB Class B (Sweden) 4,338 53,822
Telefonica SA (Spain) 7,776 119,246
Telenor ASA (Norway) 5,064 111,877
Telstra Corp., Ltd. (Australia) 32,032 144,487
Ubiquiti Networks, Inc.(NON) 445 21,987
USA Mobility, Inc. 638 9,219
Verizon Communications, Inc. 17,148 815,902
Vodafone Group PLC (United Kingdom) 23,041 96,073
2,305,660
Conglomerates (0.7%)
3M Co. 987 132,979
Danaher Corp. 7,867 601,747
Exor SpA (Italy) 2,083 84,731
General Electric Co. 8,301 211,426
Marubeni Corp. (Japan) 7,000 49,163
Siemens AG (Germany) 2,170 289,821
1,369,867
Consumer cyclicals (6.1%)
Aaron's, Inc. 2,074 63,734
Adidas AG (Germany) 959 111,721
Advance Auto Parts, Inc. 1,126 143,407
ANN, Inc.(NON) 641 22,852
Ascena Retail Group, Inc.(NON) 543 9,931
Ascent Capital Group, Inc. Class A(NON) 68 4,993
Automatic Data Processing, Inc. 7,845 610,184
AutoZone, Inc.(NON) 448 241,221
Babcock International Group PLC (United Kingdom) 6,464 159,225
Bally Technologies, Inc.(NON) 110 7,453
Bayerische Motoren Werke (BMW) AG (Germany) 1,179 137,025
Bed Bath & Beyond, Inc.(NON) 2,753 186,708
Big Lots, Inc.(NON) 531 15,691
Blyth, Inc. 423 4,137
Brown Shoe Co., Inc. 317 7,792
Brunswick Corp. 496 22,216
Buckle, Inc. (The) 185 8,393
Bureau Veritas SA (France) 3,753 103,554
Carmike Cinemas, Inc.(NON) 578 17,196
Century Casinos, Inc.(NON) 1,156 7,849
Cintas Corp. 2,232 135,393
Compagnie Financiere Richemont SA (Switzerland) 1,027 102,291
Compass Group PLC (United Kingdom) 8,085 127,873
Continental AG (Germany) 1,320 321,309
Conversant, Inc.(NON) 634 15,761
Cooper Tire & Rubber Co. 376 9,374
Corporate Executive Board Co. (The) 120 8,974
Crocs, Inc.(NON) 289 4,401
Deckers Outdoor Corp.(NON) 125 9,294
Deluxe Corp. 800 40,384
Demand Media, Inc.(NON) 815 3,953
Denso Corp. (Japan) 2,000 107,661
Destination Maternity Corp. 852 24,060
Dillards, Inc. Class A 695 64,343
Dollar Tree, Inc.(NON) 3,037 166,336
Equinix, Inc. 2,297 160,928
Experian PLC (United Kingdom) 5,954 107,779
FactSet Research Systems, Inc. 1,845 194,260
Five Below, Inc.(NON) 101 3,893
Fuji Heavy Industries, Ltd. (Japan) 8,400 227,974
G&K Services, Inc. Class A 288 18,037
Gartner, Inc.(NON) 3,422 238,034
Genesco, Inc.(NON) 224 16,632
Global Cash Access Holdings, Inc.(NON) 1,061 8,912
Green Dot Corp. Class A(NON) 506 10,196
Harbinger Group, Inc.(NON) 2,311 26,230
Hino Motors, Ltd. (Japan) 9,400 139,240
Home Depot, Inc. (The) 9,537 782,320
Host Hotels & Resorts, Inc.(R) 6,396 125,809
Intrawest Resorts Holdings, Inc.(NON) 454 6,106
ITV PLC (United Kingdom) 55,072 186,194
KAR Auction Services, Inc. 1,321 41,162
Kimberly-Clark Corp. 6,098 672,914
La-Z-Boy, Inc. 354 9,041
LifeLock, Inc.(NON) 341 6,789
LIN Media, LLC Class A(NON) 577 13,156
Lowe's Cos., Inc. 3,591 179,658
Lumber Liquidators Holdings, Inc.(NON) 83 8,904
Madison Square Garden Co. (The) Class A(NON) 1,319 75,196
Marcus Corp. 1,051 14,830
MasterCard, Inc. Class A 10,467 813,495
MAXIMUS, Inc. 179 8,554
MGM China Holdings, Ltd. (Hong Kong) 41,200 175,139
MSC Industrial Direct Co., Inc. Class A 1,195 103,164
Namco Bandai Holdings, Inc. (Japan) 5,100 114,474
Navistar International Corp.(NON) 202 7,575
Next PLC (United Kingdom) 2,485 280,261
Omnicom Group, Inc. 3,238 245,052
Panasonic Corp. (Japan) 12,200 153,636
Penn National Gaming, Inc.(NON) 1,624 20,868
Perry Ellis International, Inc.(NON) 814 11,355
PetSmart, Inc. 1,588 106,491
Pier 1 Imports, Inc. 233 4,408
Pitney Bowes, Inc. 724 18,426
priceline.com, Inc.(NON) 525 708,141
Randstad Holding NV (Netherlands) 769 48,450
Renault SA (France) 1,342 133,759
Ryland Group, Inc. (The) 661 30,796
Ryman Hospitality Properties(R) 2,794 117,879
Scotts Miracle-Gro Co. (The) Class A 1,772 101,199
Scripps Networks Interactive Class A 1,220 99,113
Select Comfort Corp.(NON) 667 12,046
Sinclair Broadcast Group, Inc. Class A 1,150 34,063
SJM Holdings, Ltd. (Hong Kong) 39,000 126,020
Sonic Automotive, Inc. Class A 795 18,889
Steiner Leisure, Ltd. (Bahamas)(NON) 590 26,090
Steven Madden, Ltd.(NON) 148 5,395
Suzuki Motor Corp. (Japan) 3,900 104,970
Swatch Group AG (The) (Switzerland) 184 122,806
Target Corp. 7,244 453,040
Thomson Reuters Corp. (Canada) 4,921 168,987
Tile Shop Holdings, Inc.(NON) 701 10,809
TiVo, Inc.(NON) 2,046 27,621
TJX Cos., Inc. (The) 1,740 106,940
Town Sports International Holdings, Inc. 798 7,246
Toyota Motor Corp. (Japan) 3,300 189,807
Vail Resorts, Inc. 153 10,759
Verisk Analytics, Inc. Class A(NON) 2,764 176,108
VF Corp. 5,758 337,361
Viacom, Inc. Class B 6,519 571,912
VOXX International Corp.(NON) 1,558 20,254
World Fuel Services Corp. 578 26,022
12,160,263
Consumer staples (4.0%)
Altria Group, Inc. 22,820 827,453
Angie's List, Inc.(NON) 102 1,419
Anheuser-Busch InBev NV (Belgium) 1,539 161,339
Barrett Business Services, Inc. 217 15,190
Beacon Roofing Supply, Inc.(NON) 260 9,825
Blue Nile, Inc.(NON) 201 7,073
Boulder Brands, Inc.(NON) 249 3,745
Bright Horizons Family Solutions, Inc.(NON) 391 15,433
British American Tobacco (BAT) PLC (United Kingdom) 2,786 151,622
Calbee, Inc. (Japan) 5,800 141,410
Carrefour SA (France) 3,881 143,138
Core-Mark Holding Co., Inc. 217 16,969
Corrections Corp. of America(R) 4,286 142,938
Diageo PLC (United Kingdom) 3,826 120,352
Distribuidora Internacional de Alimentacion SA (Spain) 11,393 97,814
Dr. Pepper Snapple Group, Inc. 7,855 409,324
General Mills, Inc. 4,340 217,130
Geo Group, Inc. (The)(R) 3,819 123,086
Grand Canyon Education, Inc.(NON) 145 6,873
Hain Celestial Group, Inc. (The)(NON) 71 6,340
Heineken Holding NV (Netherlands) 1,942 125,624
Hershey Co. (The) 4,677 494,920
ITT Educational Services, Inc.(NON) 2,048 63,549
Japan Tobacco, Inc. (Japan) 4,500 143,245
Kao Corp. (Japan) 2,300 79,271
Kforce, Inc. 935 20,486
Koninklijke Ahold NV (Netherlands) 6,294 117,413
Korn/Ferry International(NON) 503 12,771
L'Oreal SA (France) 1,048 177,565
Lindt & Spruengli AG (Switzerland) 44 216,823
Lorillard, Inc. 10,224 501,589
McDonald's Corp. 7,376 701,826
MEIJI Holdings Co., Ltd. (Japan) 2,100 138,677
MWI Veterinary Supply, Inc.(NON) 111 18,084
Nestle SA (Switzerland) 6,025 456,242
On Assignment, Inc.(NON) 665 22,876
Overstock.com, Inc.(NON) 611 12,018
Papa John's International, Inc. 454 23,109
PepsiCo, Inc. 10,029 803,022
Popeyes Louisiana Kitchen, Inc.(NON) 371 14,862
Procter & Gamble Co. (The) 1,263 99,348
Reckitt Benckiser Group PLC (United Kingdom) 1,347 110,841
RetailMeNot, Inc.(NON) 488 20,384
Ruby Tuesday, Inc.(NON) 1,262 7,736
SABMiller PLC (United Kingdom) 1,835 89,941
Shutterfly, Inc.(NON) 100 5,456
Spartan Stores, Inc. 443 10,007
Starbucks Corp. 7,959 564,771
Suedzucker AG (Germany) 3,017 83,912
TrueBlue, Inc.(NON) 1,936 55,137
Unilever PLC (United Kingdom) 2,262 92,461
United Natural Foods, Inc.(NON) 141 10,206
USANA Health Sciences, Inc.(NON) 104 7,610
Woolworths, Ltd. (Australia) 2,411 77,912
zulily, Inc. Class A(NON) 87 5,950
8,004,117
Energy (3.1%)
AMEC PLC (United Kingdom) 7,837 147,376
BG Group PLC (United Kingdom) 6,083 110,878
BP PLC (United Kingdom) 41,574 351,152
Callon Petroleum Co.(NON) 2,783 18,841
Chevron Corp. 8,538 984,688
ConocoPhillips 6,057 402,791
Delek US Holdings, Inc. 955 26,511
Dril-Quip, Inc.(NON) 619 66,580
EPL Oil & Gas, Inc.(NON) 766 23,057
EQT Corp. 1,200 122,748
Exxon Mobil Corp. 15,627 1,504,411
FutureFuel Corp. 1,519 26,355
Gulfport Energy Corp.(NON) 187 12,361
Key Energy Services, Inc.(NON) 2,197 19,861
Kodiak Oil & Gas Corp.(NON) 1,095 12,932
Occidental Petroleum Corp. 4,072 393,029
Phillips 66 3,392 253,925
Repsol YPF SA (Spain) 3,789 95,211
Rosetta Resources, Inc.(NON) 198 8,785
Royal Dutch Shell PLC Class A (United Kingdom) 6,638 242,099
Royal Dutch Shell PLC Class B (United Kingdom) 6,031 235,009
Spectra Energy Corp. 4,313 160,789
Statoil ASA (Norway) 8,075 213,109
Stone Energy Corp.(NON) 499 17,934
Swift Energy Co.(NON) 612 6,120
Total SA (France) 4,447 288,679
Unit Corp.(NON) 222 13,631
Vaalco Energy, Inc.(NON) 1,474 9,817
W&T Offshore, Inc. 445 6,706
Williams Cos., Inc. (The) 4,365 180,275
Woodside Petroleum, Ltd. (Australia) 3,176 107,978
6,063,638
Financials (10.2%)
Access National Corp. 474 7,987
ACE, Ltd. 4,029 394,318
AG Mortgage Investment Trust, Inc.(R) 269 4,933
Ageas (Belgium) 3,828 175,660
Agree Realty Corp.(R) 443 13,618
AIA Group, Ltd. (Hong Kong) 32,400 158,696
Alexandria Real Estate Equities, Inc.(R) 2,104 152,435
Alleghany Corp.(NON) 448 172,704
Allianz SE (Germany) 1,285 230,047
Allied World Assurance Co. Holdings AG 2,372 236,536
American Equity Investment Life Holding Co. 1,116 24,396
American Realty Capital Properties, Inc.(R) 2,912 42,777
Amtrust Financial Services, Inc. 521 19,694
Aon PLC 4,759 407,370
Apartment Investment & Management Co. Class A(R) 1,807 54,011
Arch Capital Group, Ltd.(NON) 3,666 205,736
Arlington Asset Investment Corp. Class A 299 7,929
ARMOUR Residential REIT, Inc.(R) 1,443 6,190
Ashford Hospitality Prime, Inc.(R) 361 6,047
Ashford Hospitality Trust, Inc.(R) 1,804 20,169
Aspen Insurance Holdings, Ltd. 2,872 107,872
Assicurazioni Generali SpA (Italy) 8,389 188,627
Australia & New Zealand Banking Group, Ltd. (Australia) 4,270 122,741
AvalonBay Communities, Inc.(R) 1,051 135,547
AXA SA (France) 7,467 195,209
Axis Capital Holdings, Ltd. 3,606 158,556
Banco Bilbao Vizcaya Argentaria SA (BBVA) (Spain) 10,156 126,095
Banco Latinoamericano de Exportaciones SA Class E (Panama) 1,039 26,484
Banco Santander Central Hispano SA (Spain) 19,334 175,225
Bank of Kentucky Financial Corp. 281 9,860
Bank of Yokohama, Ltd. (The) (Japan) 21,000 106,210
BankUnited, Inc. 5,950 199,206
Barclays PLC (United Kingdom) 15,833 66,840
Berkshire Hathaway, Inc. Class B(NON) 5,613 649,873
BNP Paribas SA (France) 1,961 160,944
BofI Holding, Inc.(NON) 387 36,030
Boston Properties, LP(R) 1,458 163,923
BRE Properties(R) 1,438 88,825
Broadridge Financial Solutions, Inc. 5,350 202,016
Camden Property Trust(R) 1,325 88,378
Cardinal Financial Corp. 957 16,499
CBL & Associates Properties, Inc.(R) 614 10,923
Chubb Corp. (The) 6,618 578,943
Citizens & Northern Corp. 536 10,677
CNO Financial Group, Inc. 1,189 21,711
Commonwealth Bank of Australia (Australia) 5,359 357,793
CommonWealth REIT(R) 4,857 131,868
Credit Acceptance Corp.(NON) 152 20,997
Credit Agricole SA (France)(NON) 13,225 210,292
Credit Suisse Group AG (Switzerland) 2,668 84,029
CYS Investments, Inc.(R) 940 8,272
DBS Group Holdings, Ltd. (Singapore) 9,000 117,104
DCT Industrial Trust, Inc.(R) 3,664 29,019
DDR Corp.(R) 372 6,183
Deutsche Bank AG (Germany) 3,197 155,508
Dexus Property Group (Australia)(R) 113,651 108,645
DFC Global Corp.(NON) 905 7,448
Digital Realty Trust, Inc.(R) 864 46,794
Douglas Emmett, Inc.(R) 3,423 92,181
Duke Realty Corp.(R) 1,079 18,127
DuPont Fabros Technology, Inc.(R) 4,421 117,422
East West Bancorp, Inc. 738 26,339
EastGroup Properties, Inc.(R) 758 47,026
Education Realty Trust, Inc.(R) 1,668 15,729
Encore Capital Group, Inc.(NON) 595 28,929
EPR Properties(R) 260 13,848
Equity Lifestyle Properties, Inc.(R) 3,293 132,543
Equity Residential Trust(R) 3,275 191,489
Essex Property Trust, Inc.(R) 261 43,652
Everest Re Group, Ltd. 1,392 207,742
Federal Realty Investment Trust(R) 1,074 119,547
Financial Institutions, Inc. 571 12,585
First Community Bancshares Inc. 558 9,347
First Industrial Realty Trust(R) 588 11,313
FirstMerit Corp. 679 14,096
Flushing Financial Corp. 600 12,432
General Growth Properties(R) 5,915 130,248
Genworth Financial, Inc. Class A(NON) 3,616 56,193
Glimcher Realty Trust(R) 1,071 10,421
Government Properties Income Trust(R) 4,261 106,142
GPT Group (Australia)(R) 35,600 118,410
Hammerson PLC (United Kingdom)(R) 9,192 88,430
Hang Seng Bank, Ltd. (Hong Kong) 8,000 129,789
Hanmi Financial Corp. 1,150 26,945
HCP, Inc.(R) 4,752 184,235
Health Care REIT, Inc.(R) 2,614 153,546
Heartland Financial USA, Inc. 370 9,953
Heritage Financial Group, Inc. 487 9,092
HFF, Inc. Class A 1,524 48,616
Home Properties, Inc.(R) 2,153 126,898
Hospitality Properties Trust(R) 4,952 131,228
HSBC Holdings PLC (United Kingdom) 32,372 341,351
Insurance Australia Group, Ltd. (Australia) 31,137 151,116
Invesco Mortgage Capital, Inc.(R) 413 6,951
Investor AB Class B (Sweden) 3,709 132,182
Investors Real Estate Trust(R) 1,331 11,686
iStar Financial, Inc.(NON)(R) 1,119 17,345
Joyo Bank, Ltd. (The) (Japan) 21,000 100,423
JPMorgan Chase & Co. 8,804 500,243
Kimco Realty Corp.(R) 9,645 214,698
Legal & General Group PLC (United Kingdom) 35,881 144,443
Lexington Realty Trust(R) 4,725 53,912
Lloyds Banking Group PLC (United Kingdom)(NON) 239,237 330,627
LTC Properties, Inc.(R) 609 22,947
M&T Bank Corp. 3,820 445,374
Macerich Co. (The)(R) 970 58,326
Maiden Holdings, Ltd. (Bermuda) 961 10,792
MainSource Financial Group, Inc. 860 14,852
Medical Properties Trust, Inc.(R) 7,950 104,861
MFA Financial, Inc.(R) 1,554 12,214
MicroFinancial, Inc. 669 5,439
Mid-America Apartment Communities, Inc.(R) 434 29,356
Mitsubishi UFJ Financial Group (MUFG), Inc. (Japan) 25,600 148,295
Muenchener Rueckversicherungs AG (Germany) 457 100,076
National Australia Bank, Ltd. (Australia) 4,353 135,228
National Health Investors, Inc.(R) 369 22,767
Nelnet, Inc. Class A 499 20,020
Ocwen Financial Corp.(NON) 333 12,468
OFG Bancorp (Puerto Rico) 566 9,056
One Liberty Properties, Inc.(R) 630 13,810
Pacific Premier Bancorp, Inc.(NON) 609 9,683
PacWest Bancorp 464 20,138
PartnerRe, Ltd. 1,693 167,404
Peoples Bancorp, Inc. 571 13,972
Performant Financial Corp.(NON) 1,120 8,859
PHH Corp.(NON) 494 12,859
Popular, Inc. (Puerto Rico)(NON) 449 12,837
Portfolio Recovery Associates, Inc.(NON) 529 28,688
Post Properties, Inc.(R) 2,521 122,344
ProAssurance Corp. 4,694 213,389
Prologis, Inc.(R) 5,925 244,051
Protective Life Corp. 432 22,524
Prudential PLC (United Kingdom) 4,789 108,663
PS Business Parks, Inc.(R) 349 29,323
Public Storage(R) 5,701 963,469
Ramco-Gershenson Properties Trust(R) 711 11,874
Realty Income Corp.(R) 1,390 61,744
Regency Centers Corp.(R) 310 15,739
RenaissanceRe Holdings, Ltd. 2,467 235,623
Republic Bancorp, Inc. Class A 385 9,275
Resona Holdings, Inc. (Japan) 39,100 204,126
Retail Opportunity Investments Corp.(R) 2,092 31,024
Select Income REIT(R) 495 14,429
Senior Housing Properties Trust(R) 574 12,800
Signature Bank(NON) 2,381 311,744
Simon Property Group, Inc.(R) 7,188 1,159,353
Skandinaviska Enskilda Banken AB (Sweden) 11,018 154,917
SL Green Realty Corp.(R) 591 58,704
Sovran Self Storage, Inc.(R) 109 8,065
Spirit Realty Capital, Inc.(R) 14,683 160,338
Starwood Property Trust, Inc.(R) 323 7,758
Starwood Waypoint Residential Trust(NON)(R) 65 1,762
Stewart Information Services Corp. 816 30,176
Sumitomo Mitsui Financial Group, Inc. (Japan) 2,600 116,396
Summit Hotel Properties, Inc.(R) 1,653 15,274
Swedbank AB Class A (Sweden) 5,209 147,049
Symetra Financial Corp. 961 18,932
Taubman Centers, Inc.(R) 2,144 151,045
Third Point Reinsurance, Ltd. (Bermuda)(NON) 1,000 15,000
Tokyu Fudosan Holdings Corp. (Japan)(NON) 19,400 153,289
Travelers Cos., Inc. (The) 7,561 633,914
UBS AG (Switzerland) 7,385 158,448
UDR, Inc.(R) 1,181 30,482
Universal Health Realty Income Trust(R) 134 5,706
Validus Holdings, Ltd. 5,830 214,602
Vornado Realty Trust(R) 3,420 329,312
W.R. Berkley Corp. 5,616 231,604
WageWorks, Inc.(NON) 347 20,525
Weingarten Realty Investors(R) 4,744 144,692
Wells Fargo & Co. 1,518 70,466
Westfield Group (Australia) 8,430 77,639
Westpac Banking Corp. (Australia) 4,805 143,911
Wheelock and Co., Ltd. (Hong Kong) 32,000 130,837
20,164,547
Health care (5.1%)
Abaxis, Inc.(NON) 120 4,554
AbbVie, Inc. 3,536 180,018
ACADIA Pharmaceuticals, Inc.(NON) 388 10,980
Accuray, Inc.(NON) 999 9,371
Actelion, Ltd. (Switzerland) 1,605 170,172
Aegerion Pharmaceuticals, Inc.(NON) 180 9,857
Alere, Inc.(NON) 611 22,448
Align Technology, Inc.(NON) 183 9,576
Alkermes PLC(NON) 329 16,012
Amedisys, Inc.(NON) 507 8,599
AmSurg Corp.(NON) 342 15,000
Antares Pharma, Inc.(NON) 1,912 8,508
Ariad Pharmaceuticals, Inc.(NON)(S) 2,366 20,561
Array BioPharma, Inc.(NON) 1,117 5,384
AstraZeneca PLC (United Kingdom) 3,740 255,774
athenahealth, Inc.(NON) 52 10,081
AtriCure, Inc.(NON) 368 7,651
Auxilium Pharmaceuticals, Inc.(NON) 554 17,036
Bayer AG (Germany) 2,237 317,728
Biospecifics Technologies Corp.(NON) 208 4,936
C.R. Bard, Inc. 1,254 180,777
Cardinal Health, Inc. 3,775 270,026
Celldex Therapeutics, Inc.(NON) 158 4,617
Centene Corp.(NON) 93 5,922
Chemed Corp. 414 35,024
Coloplast A/S Class B (Denmark) 2,861 240,988
Community Health Systems, Inc.(NON) 550 22,831
Computer Programs & Systems, Inc. 83 5,680
Conatus Pharmaceuticals, Inc.(NON) 159 1,784
Conmed Corp. 739 34,452
Cubist Pharmaceuticals, Inc.(NON) 479 38,090
Cyberonics, Inc.(NON) 113 7,737
DexCom, Inc.(NON) 214 9,651
Eli Lilly & Co. 8,644 515,269
Endo International PLC(NON) 452 36,079
Forest Laboratories, Inc.(NON) 3,563 347,642
GlaxoSmithKline PLC (United Kingdom) 10,127 283,456
Globus Medical, Inc. Class A(NON) 491 11,617
Greatbatch, Inc.(NON) 948 41,077
Haemonetics Corp.(NON) 219 7,989
Hanger, Inc.(NON) 592 20,986
Health Net, Inc.(NON) 355 12,088
HealthSouth Corp. 122 3,987
Henry Schein, Inc.(NON) 1,437 171,060
Hill-Rom Holdings, Inc. 562 21,260
Hisamitsu Pharmaceutical Co., Inc. (Japan) 1,700 79,744
Impax Laboratories, Inc.(NON) 713 18,374
Insulet Corp.(NON) 338 16,025
Insys Therapeutics, Inc.(NON) 528 35,524
Intercept Pharmaceuticals, Inc.(NON) 29 11,905
InterMune, Inc.(NON) 424 12,737
Isis Pharmaceuticals, Inc.(NON) 173 8,823
Jazz Pharmaceuticals PLC(NON) 708 107,577
Johnson & Johnson 12,336 1,136,392
Kindred Healthcare, Inc. 731 15,833
Laboratory Corp. of America Holdings(NON) 1,598 149,477
Lexicon Pharmaceuticals, Inc.(NON) 1,480 2,649
Magellan Health Services, Inc.(NON) 132 8,070
McKesson Corp. 2,157 381,897
MedAssets, Inc.(NON) 1,039 25,237
Medicines Co. (The)(NON) 785 23,982
Mednax, Inc.(NON) 2,401 146,029
Merck & Co., Inc. 18,013 1,026,561
Merrimack Pharmaceuticals, Inc.(NON) 1,604 7,988
Nanosphere, Inc.(NON) 2,633 6,319
Nektar Therapeutics(NON) 755 9,687
NewLink Genetics Corp.(NON) 140 6,188
Novartis AG (Switzerland) 2,863 239,099
Novo Nordisk A/S Class B (Denmark) 3,899 185,845
NPS Pharmaceuticals, Inc.(NON) 373 13,048
NxStage Medical, Inc.(NON) 500 6,935
Omega Healthcare Investors, Inc.(R) 1,712 54,716
OraSure Technologies, Inc.(NON) 1,728 11,992
Orion OYJ Class B (Finland) 3,996 131,604
Patterson Cos., Inc. 2,862 117,800
Perrigo Co. PLC 1,253 206,043
Pfizer, Inc. 32,902 1,056,483
Prestige Brands Holdings, Inc.(NON) 537 15,299
Providence Service Corp. (The)(NON) 916 24,356
Questcor Pharmaceuticals, Inc. 407 24,725
Receptos, Inc.(NON) 211 9,787
Repligen Corp.(NON) 521 7,799
Retrophin, Inc.(NON) 444 7,845
Roche Holding AG-Genusschein (Switzerland) 1,207 372,461
Sabra Health Care REIT, Inc.(R) 1,460 41,566
Salix Pharmaceuticals, Ltd.(NON) 97 10,468
Sanofi (France) 2,104 218,770
Sequenom, Inc.(NON) 1,696 4,020
SIGA Technologies, Inc.(NON) 2,448 7,858
STAAR Surgical Co.(NON) 1,357 19,215
Steris Corp. 234 10,799
Stryker Corp. 1,786 143,309
Sucampo Pharmaceuticals, Inc. Class A(NON) 748 6,732
Sunesis Pharmaceuticals, Inc.(NON) 635 4,159
Suzuken Co., Ltd. (Japan) 1,300 49,402
Thoratec Corp.(NON) 199 7,391
Threshold Pharmaceuticals, Inc.(NON) 1,237 6,185
Trinity Biotech PLC ADR (Ireland) 424 11,232
Triple-S Management Corp. Class B (Puerto Rico)(NON) 310 5,193
Ventas, Inc.(R) 5,053 315,459
WellCare Health Plans, Inc.(NON) 492 30,415
10,049,363
Technology (4.5%)
Accenture PLC Class A 2,613 217,794
Actuate Corp.(NON) 2,558 14,529
Acxiom Corp.(NON) 1,007 37,491
Advanced Energy Industries, Inc.(NON) 385 10,564
Amdocs, Ltd. 5,671 252,246
Anixter International, Inc. 372 39,785
Apple, Inc. 2,338 1,230,349
ASML Holding NV (Netherlands) 1,674 145,685
Aspen Technology, Inc.(NON) 455 21,362
AVG Technologies NV (Netherlands)(NON) 467 8,747
Bottomline Technologies, Inc.(NON) 169 6,032
Brady Corp. Class A 305 8,159
Brightcove, Inc.(NON) 795 7,712
CACI International, Inc. Class A(NON) 81 6,385
Calix, Inc.(NON) 408 3,244
Cap Gemini (France) 2,166 169,607
Cavium, Inc.(NON) 134 5,645
Ceva, Inc.(NON) 590 10,667
Cirrus Logic, Inc.(NON) 407 7,835
Commvault Systems, Inc.(NON) 176 12,123
Cornerstone OnDemand, Inc.(NON) 309 18,039
CSG Systems International, Inc. 197 5,516
DST Systems, Inc. 2,116 198,862
EnerSys 562 39,924
Entegris, Inc.(NON) 1,468 17,689
Fairchild Semiconductor International, Inc.(NON) 568 7,997
FEI Co. 159 16,321
Freescale Semiconductor, Ltd.(NON) 637 14,492
GenMark Diagnostics, Inc.(NON) 1,707 21,269
Google, Inc. Class A(NON) 1,185 1,440,545
GT Advanced Technologies, Inc.(NON) 316 4,528
inContact, Inc.(NON) 694 6,260
Infoblox, Inc.(NON) 276 6,370
Integrated Silicon Solutions, Inc.(NON) 1,676 20,414
IntraLinks Holdings, Inc.(NON) 1,392 16,161
Intuit, Inc. 5,630 439,985
Keyence Corp. (Japan) 500 215,351
Konica Minolta Holdings, Inc. (Japan) 13,000 132,654
L-3 Communications Holdings, Inc. 1,686 194,564
Lexmark International, Inc. Class A 302 12,726
Magnachip Semiconductor Corp. (South Korea)(NON) 349 5,144
Manhattan Associates, Inc.(NON) 913 34,594
Maxim Integrated Products, Inc. 8,841 289,189
Mellanox Technologies, Ltd. (Israel)(NON) 192 7,012
Mentor Graphics Corp. 1,521 32,914
MICROS Systems, Inc.(NON) 3,722 206,608
Microsemi Corp.(NON) 339 7,817
Microsoft Corp. 25,791 988,053
MTS Systems Corp. 122 8,657
Netscout Systems, Inc.(NON) 323 12,268
NIC, Inc. 359 6,979
Nomura Research Institute, Ltd. (Japan) 3,000 98,427
NTT Data Corp. (Japan) 1,800 74,770
Omnivision Technologies, Inc.(NON) 954 16,476
Omron Corp. (Japan) 4,900 206,726
Oracle Corp. 11,362 444,368
Pandora Media, Inc.(NON) 256 9,580
Perficient, Inc.(NON) 773 15,777
Photronics, Inc.(NON) 1,393 12,119
Plantronics, Inc. 109 4,837
Procera Networks, Inc.(NON) 548 6,044
Proofpoint, Inc.(NON) 208 8,622
PTC, Inc.(NON) 397 15,606
QLIK Technologies, Inc.(NON) 135 4,118
Quantum Corp.(NON) 7,257 8,491
RF Micro Devices, Inc.(NON) 4,487 31,768
Rovi Corp.(NON) 728 18,084
Safeguard Scientifics, Inc.(NON) 722 14,158
SAP AG (Germany) 874 70,598
SciQuest, Inc.(NON) 238 7,026
Semtech Corp.(NON) 350 8,733
Silicon Graphics International Corp.(NON) 381 4,690
Silicon Image, Inc.(NON) 2,137 12,929
SoftBank Corp. (Japan) 2,800 212,293
SolarWinds, Inc.(NON) 606 27,985
Sparton Corp.(NON) 482 15,617
SS&C Technologies Holdings, Inc.(NON) 278 10,753
Synaptics, Inc.(NON) 328 21,333
Synopsys, Inc.(NON) 5,818 235,047
Tech Data Corp.(NON) 401 23,098
Tokyo Electron, Ltd. (Japan) 2,300 132,606
Tyler Technologies, Inc.(NON) 234 21,945
Ultimate Software Group, Inc.(NON) 155 25,730
Ultra Clean Holdings, Inc.(NON) 1,337 17,595
Unisys Corp.(NON) 562 19,232
United Internet AG (Germany) 2,648 123,230
VeriFone Systems, Inc.(NON) 447 12,941
Verint Systems, Inc.(NON) 282 13,200
VeriSign, Inc.(NON) 4,358 240,169
Vocus, Inc.(NON) 750 10,013
XO Group, Inc.(NON) 889 10,615
Zynga, Inc. Class A(NON) 1,507 7,625
8,919,837
Transportation (1.4%)
Aegean Marine Petroleum Network, Inc. (Greece) 2,256 22,853
Alaska Air Group, Inc. 1,570 136,025
Central Japan Railway Co. (Japan) 1,900 221,590
ComfortDelgro Corp., Ltd. (Singapore) 61,000 93,033
Copa Holdings SA Class A (Panama) 751 101,730
Diana Shipping, Inc. (Greece)(NON) 942 12,265
Hawaiian Holdings, Inc.(NON) 1,460 17,578
International Consolidated Airlines Group SA (Spain)(NON) 25,541 186,566
Japan Airlines Co., Ltd. (Japan) 2,000 99,630
Matson, Inc. 196 4,728
Quality Distribution, Inc.(NON) 2,819 36,140
Republic Airways Holdings, Inc.(NON) 1,139 10,912
SkyWest, Inc. 826 10,490
Southwest Airlines Co. 12,312 276,281
Spirit Airlines, Inc.(NON) 758 42,812
StealthGas, Inc. (Greece)(NON) 3,451 36,270
Swift Transportation Co.(NON) 1,890 46,040
Union Pacific Corp. 4,087 737,213
United Parcel Service, Inc. Class B 6,469 619,536
Universal Truckload Services, Inc. 565 14,690
XPO Logistics, Inc.(NON) 536 16,852
Yamato Transport Co., Ltd. (Japan) 4,400 91,343
2,834,577
Utilities and power (1.2%)
Centrica PLC (United Kingdom) 25,909 138,401
Chubu Electric Power Co., Inc. (Japan) 1,900 23,503
CMS Energy Corp. 3,907 111,076
Enel SpA (Italy) 27,958 143,556
ENI SpA (Italy) 6,550 158,036
GDF Suez (France) 5,812 149,135
ITC Holdings Corp. 793 81,362
Kinder Morgan, Inc. 4,387 139,726
PG&E Corp. 6,547 288,461
PPL Corp. 9,380 302,880
Red Electrica Corporacion SA (Spain) 2,786 216,887
Southern Co. (The) 12,786 541,487
United Utilities Group PLC (United Kingdom) 9,989 130,388
2,424,898
Total common stocks (cost $68,636,288) $82,470,177

CORPORATE BONDS AND NOTES (11.5%)(a)
Principal amount Value
Basic materials (0.8%)
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada) $13,000 $13,926
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France) 85,000 108,056
ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France) 25,000 26,063
Ashland, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 65,000 65,406
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 49,000 52,736
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 55,000 58,713
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 25,000 24,938
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 40,000 43,100
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 35,000 37,450
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 15,000 14,783
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 15,000 15,938
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021 30,000 30,150
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 75,000 82,125
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 30,000 36,600
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020 15,000 15,506
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020 40,000 41,100
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021 25,000 28,250
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 20,000 22,075
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 105,000 106,969
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 40,000 35,200
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 90,000 103,950
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 60,000 66,600
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 15,000 14,888
Nufarm Australia, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2019 (Australia) 15,000 15,469
PQ Corp. 144A sr. notes 8 3/4s, 2018 55,000 60,500
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 30,000 32,700
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 85,000 94,031
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 40,000 40,500
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023 33,000 33,908
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium) 80,000 90,800
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 15,000 16,200
Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 45,000 46,238
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 10,000 10,650
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 40,000 39,300
1,524,818
Capital goods (0.7%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 100,000 108,500
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 10,000 11,525
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 45,000 47,531
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 75,000 79,500
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 35,000 35,438
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 80,000 88,800
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 60,000 58,950
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 20,000 21,300
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON) 60,000 48,750
GrafTech International, Ltd. company guaranty sr. unsec. notes 6 3/8s, 2020 60,000 61,650
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 15,000 19,742
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 65,000 68,900
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 107,000 103,790
Oshkosh Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 105,000 107,363
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 85,000 92,650
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 105,000 109,725
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 55,000 60,500
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 90,000 97,425
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 93,000 97,883
Titan International, Inc. 144A company guaranty sr. bonds 6 7/8s, 2020 30,000 31,725
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 15,000 16,538
Triumph Group, Inc. company guaranty sr. unsec. notes 4 7/8s, 2021 50,000 49,375
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 20,000 20,750
1,438,310
Communication services (1.5%)
AT&T, Inc. sr. unsec. unsub. notes 1.7s, 2017 41,000 41,393
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 155,000 155,000
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 20,000 19,450
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 85,000 90,100
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 15,000 15,675
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 35,000 35,875
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 100,000 112,750
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 70,000 81,025
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 20,000 21,050
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda) 20,000 21,100
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 315,000 347,288
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg) 115,000 124,919
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg) 140,000 150,675
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 20,000 21,150
NII International Telecom SCA144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) 45,000 31,275
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) 70,000 70,875
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 295,000 286,283
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 $33,000 37,320
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 330,000 360,113
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 120,000 132,900
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021 90,000 98,550
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 10,000 10,813
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 25,000 27,094
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 80,000 85,300
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019 25,000 26,688
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 75,000 79,500
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 5,000 5,263
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045s, 2036 (Spain) 220,000 260,620
Verizon Communications, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 30,000 32,514
Vodafone Group PLC sr. unsec. unsub. notes 1 1/4s, 2017 (United Kingdom) 142,000 141,137
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 100,000 114,500
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 25,000 24,625
3,062,820
Consumer cyclicals (2.4%)
Amazon.com, Inc. sr. unsec. notes 1.2s, 2017 143,000 141,829
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 170,000 196,138
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 7/8s, 2022 35,000 35,438
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 50,000 53,625
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 7 1/4s, 2023 25,000 25,750
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 15,000 14,288
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 120,000 127,500
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) 35,000 35,910
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021 25,000 27,125
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020 130,000 126,425
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 230,000 234,888
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 50,000 51,500
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 35,000 35,569
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 85,000 97,325
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 35,000 40,031
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 10,000 9,700
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2019 30,000 31,500
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 50,000 54,125
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 35,000 37,275
CST Brands, Inc. company guaranty sr. unsec. notes 5s, 2023 80,000 77,800
D.R. Horton, Inc. company guaranty sr. unsec. notes 5 3/4s, 2023 15,000 15,750
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 50,000 51,750
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 65,000 70,038
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R) 15,000 15,075
Ford Motor Co. sr. unsec. unsub. notes 7.45s, 2031 30,000 38,558
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2020 35,000 35,875
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2019 40,000 41,800
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) 80,000 83,000
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 40,000 42,500
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2020 60,000 62,100
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 3/8s, 2018 35,000 36,313
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 60,000 65,400
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020 75,000 65,438
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 60,000 63,300
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 70,000 71,750
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 45,000 48,825
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 35,000 36,138
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 20,000 20,950
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 25,000 27,250
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 55,000 61,600
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 50,000 53,000
Lamar Media Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 20,000 20,650
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 45,000 47,925
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 90,000 85,950
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 25,000 25,531
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada) 5,000 5,500
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) 50,000 50,250
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 45,000 51,188
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020 25,000 27,625
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 125,000 149,375
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 10,000 11,025
Michaels FinCo Holdings, LLC/Michaels FinCo, Inc. 144A sr. unsec. notes 7 1/2s, 2018(PIK) 50,000 51,625
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019 95,000 107,350
Navistar International Corp. sr. notes 8 1/4s, 2021 80,000 83,800
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 60,000 62,325
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) 40,000 43,000
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021 30,000 32,175
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 80,000 79,800
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 30,000 32,325
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) 35,000 36,575
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020 20,000 20,250
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 80,000 88,200
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 50,000 56,000
Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021 75,000 73,125
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK) 25,000 25,563
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 6s, 2035 90,000 81,000
Quiksilver, Inc./QS Wholesale, Inc. company guaranty sr. unsec. notes 10s, 2020 5,000 5,675
Quiksilver, Inc./QS Wholesale, Inc. 144A sr. notes 7 7/8s, 2018 5,000 5,463
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 175,000 189,875
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 60,000 60,600
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 10,000 10,250
Rent-A-Center, Inc./TX company guaranty sr. unsec. notes 4 3/4s, 2021 40,000 37,700
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 10,000 11,125
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 50,000 52,875
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 25,000 25,125
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022 15,000 15,525
Sirius XM Holdings, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 60,000 63,075
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 90,000 91,125
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 5,000 5,450
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 25,000 26,688
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 30,000 29,775
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 20,000 20,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 48,000 47,760
Townsquare Radio, LLC/Townsquare Radio, Inc. 144A company guaranty sr. unsec. notes 9s, 2019 35,000 38,763
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK) 106,210 112,848
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 15,000 15,488
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 30,000 33,338
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 30,000 33,225
4,740,031
Consumer staples (0.7%)
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. notes 1 1/4s, 2018 145,000 143,256
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 65,000 70,525
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 95,000 95,950
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021 35,000 34,738
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022 25,000 25,688
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020 20,000 19,000
Claire's Stores, Inc. 144A sr. notes 9s, 2019 30,000 31,575
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 15,000 14,700
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 94,000 90,710
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 15,000 14,663
CVS Caremark Corp. sr. unsec. unsub. notes 2 1/4s, 2018 145,000 146,208
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 45,000 48,150
Elizabeth Arden, Inc. 144A sr. unsec. notes 7 3/8s, 2021 45,000 48,150
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020 125,000 124,688
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022 50,000 52,875
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020 20,000 21,200
JBS USA LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) 20,000 21,150
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 15,000 15,938
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 130,000 143,000
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020 50,000 54,125
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 5,000 5,444
Post Holdings, Inc. 144A company guaranty sr. unsec. notes 7 3/8s, 2022 5,000 5,444
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 50,000 50,375
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 75,000 75,000
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2021 15,000 15,450
Sun Merger Sub, Inc. 144A sr. unsec. notes 5 1/4s, 2018 10,000 10,525
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 20,000 22,700
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 45,000 47,700
1,448,927
Energy (1.0%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 85,000 86,700
Anadarko Petroleum Corp. sr. unsec. notes 6.45s, 2036 130,000 154,192
Antero Resources Finance Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2021 45,000 46,013
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021 73,000 77,380
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 40,000 41,800
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 75,000 80,813
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 20,000 21,500
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 20,000 20,850
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 35,000 35,263
Forum Energy Technologies, Inc. 144A sr. unsec. notes 6 1/4s, 2021 55,000 58,438
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 70,000 75,600
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 15,000 15,788
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 150,000 152,625
Hercules Offshore, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 20,000 21,200
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021 25,000 28,438
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 40,000 43,200
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022 15,000 15,413
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 7s, 2019 135,000 140,738
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 60,000 64,500
Northern Oil and Gas, Inc. company guaranty sr. unsec. notes 8s, 2020 25,000 26,625
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 85,000 92,225
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 50,000 53,770
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) 55,000 56,238
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022 35,000 38,675
Plains Exploration & Production Co. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 20,000 22,300
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021 35,000 36,050
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 20,000 20,900
Samson Investment Co. 144A sr. unsec. notes 10 3/4s, 2020 110,000 122,238
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021 15,000 15,863
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) 55,000 59,758
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018 40,000 43,100
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) 15,000 16,088
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 125,000 135,313
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 35,000 35,613
1,955,207
Financials (2.0%)
Allegion US Holding Co., Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 35,000 36,531
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 230,000 258,750
American Express Co. sr. unsec. notes 6.15s, 2017 55,000 65,905
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 220,000 283,316
American International Group, Inc. sr. unsec. unsub. notes 3.8s, 2017 145,000 155,769
Bank of America Corp. sr. unsec. unsub. notes 2s, 2018 143,000 143,730
BPCE SA 144A unsec. sub. notes 5.15s, 2024 (France) 200,000 200,488
CBL & Associates LP company guaranty sr. unsec. unsub. notes 5 1/4s, 2023(R) 180,000 186,803
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 30,000 30,000
CIT Group, Inc. sr. unsec. notes 5s, 2023 35,000 36,400
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019 20,000 20,350
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 155,000 168,563
Citigroup, Inc. sr. unsec. unsub. notes 4.45s, 2017 145,000 157,572
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 80,000 83,000
Credit Suisse Group AG 144A jr. unsec. sub. FRN notes 7 1/2s, perpetual maturity (Switzerland) 200,000 220,250
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 100,000 108,500
Fifth Third Bancorp jr. unsec. sub. FRB bonds 5.1s, 2049 38,000 34,770
General Electric Capital Corp. sr. unsec. notes Ser. MTN, 5.4s, 2017 143,000 160,696
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021 70,000 73,675
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2020 145,000 152,975
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 60,000 61,200
iStar Financial, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2018(R) 45,000 45,450
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 30,000 33,450
JPMorgan Chase & Co. sr. unsec. unsub. notes 2s, 2017 26,000 26,421
Leucadia National Corp. sr. unsec. bonds 5 1/2s, 2023 180,000 189,322
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 195,000 211,575
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN notes 6.657s, 2049 (United Kingdom) 30,000 29,700
Mid-America Apartments LP sr. unsec. notes 4.3s, 2023(R) 60,000 60,610
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) 35,000 36,750
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2018 20,000 20,150
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 30,000 28,425
Nationwide Mutual Insurance Co. 144A notes 9 3/8s, 2039 20,000 29,322
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 135,000 144,113
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 25,000 26,188
PNC Bank, NA sr. unsec. unsub. notes Ser. BKNT, 1 1/8s, 2017 250,000 250,271
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 75,000 73,500
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom) 35,000 36,052
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 15,000 16,613
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 30,000 30,675
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 30,000 32,775
Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021 45,000 45,225
4,005,830
Health care (0.8%)
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5 1/8s, 2021 10,000 10,350
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 6 7/8s, 2022 15,000 15,956
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021 60,000 61,950
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 65,000 68,413
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 6s, 2021 60,000 62,550
Biomet, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2020 45,000 47,981
Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 25,000 26,969
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) 50,000 51,875
Endo Finance Co. 144A company guaranty sr. unsec. notes 5 3/4s, 2022 25,000 25,875
Envision Healthcare Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 45,000 48,319
HCA, Inc. sr. notes 6 1/2s, 2020 210,000 236,775
Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes 7 3/8s, 2018(PIK) 40,000 41,400
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 55,000 58,850
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 20,000 21,400
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 20,000 21,050
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) 75,000 76,500
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 125,000 145,000
MPH Intermediate Holding Co. 2 144A sr. unsec. notes 8 3/8s, 2018(PIK) 35,000 36,619
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020 80,000 86,600
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021 20,000 21,400
Service Corp. International/US 144A sr. unsec. notes 5 3/8s, 2022 45,000 45,788
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 30,000 29,925
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021 55,000 54,313
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 100,000 110,750
Tenet Healthcare Corp. 144A sr. notes 6s, 2020 55,000 59,125
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 90,000 95,738
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 5,000 5,463
Valeant Pharmaceuticals International 144A sr. unsec. notes 6 3/4s, 2018 70,000 77,175
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 45,000 46,913
1,691,022
Technology (0.6%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 40,000 42,250
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 15,000 14,213
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 300,000 297,750
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 215,000 233,275
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 45,000 51,188
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021 90,000 96,300
First Data Corp. 144A company guaranty sr. unsec. sub. notes 11 3/4s, 2021 15,000 16,050
First Data Holdings, Inc. 144A sr. unsec. notes 14 1/2s, 2019(PIK) 35,000 35,088
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 45,000 46,125
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 60,000 63,600
Infor US, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2018 50,000 58,125
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023 60,000 63,750
Jabil Circuit, Inc. sr. unsec. notes 8 1/4s, 2018 14,000 16,835
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022 55,000 57,475
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019 30,000 32,063
1,124,087
Transportation (0.1%)
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 100,000 110,125
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 50,000 50,500
160,625
Utilities and power (0.9%)
AES Corp. (VA) sr. unsec. notes 8s, 2020 170,000 199,750
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023 25,000 24,250
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 15,000 15,900
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 15,000 15,375
Electricite de France (EDF) 144A jr. unsec. sub. FRN notes 5 5/8s, 2049 (France) 695,000 691,525
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020 25,000 26,000
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10 1/4s, 2020 195,000 202,800
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019 10,000 10,763
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 95,000
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 123,000 123,615
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 115,000 127,650
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 80,000 83,200
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 30,000 30,300
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 55,000 51,425
1,697,553
Total corporate bonds and notes (cost $22,242,275) $22,849,230

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (3.7%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.5%)
Government National Mortgage Association Pass-Through Certificates 3s, TBA, March 1, 2044 $1,000,000 $990,391
990,391
U.S. Government Agency Mortgage Obligations (3.2%)
Federal National Mortgage Association Pass-Through Certificates
     6s, TBA, March 1, 2044 2,000,000 2,226,875
     4s, TBA, March 1, 2044 3,000,000 3,144,375
     3 1/2s, TBA, March 1, 2029 1,000,000 1,057,344
6,428,594
Total U.S. government and agency mortgage obligations (cost $7,396,485) $7,418,985

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Bonds 4 5/8s, February 15, 2040(i) $80,182 $80,182
U.S. Treasury Notes 2s, February 15, 2023(i) 113,046 113,046
Total U.S. treasury obligations (cost $193,228) $193,228

COMMODITY LINKED NOTES (3.6%)(a)(CLN)
Principal amount Value
Deutsche Bank AG/London 144A sr. unsec. notes, 1-month USD LIBOR less 0.16%, 2014 (Indexed to the S&P GSCI Total Return Index multiplied by 3) (United Kingdom) $3,350,000 $3,930,220
UBS AG/London 144A sr. notes, 1-month LIBOR less 0.10%, 2014 (Indexed to the S&P GSCI TR Index multiplied by 3) (Jersey) 2,200,000 2,359,800
Deutsche Bank AG/London 144A sr. unsec. notes, 1-month USD LIBOR less 0.16%, 2014 (Indexed to the DB Commodity Booster OYE Benchmark TR Index multiplied by 3) (United Kingdom) 929,000 940,427
Total commodity linked notes (cost $6,479,000) $7,230,447

MORTGAGE-BACKED SECURITIES (3.4%)(a)
Principal amount Value
Commercial mortgage-backed securities (2.5%)
Banc of America Commercial Mortgage Trust
     FRB Ser. 07-3, Class A3, 5.618s, 2049 $45,632 $45,614
     Ser. 06-5, Class A2, 5.317s, 2047 47,250 47,557
     FRB Ser. 05-1, Class AJ, 5.289s, 2042 325,000 337,610
     Ser. 05-4, Class B, 5.118s, 2045 212,000 214,120
Citigroup Commercial Mortgage Trust
     FRB Ser. 06-C4, Class AJ, 5.784s, 2049 175,000 181,970
     Ser. 13-GC11, Class D, 4.459s, 2046 100,000 89,598
COMM Mortgage Trust
     FRB Ser. 04-LB3A, Class E, 5.429s, 2037 200,000 202,060
     Ser. 12-CR1, Class AM, 3.912s, 2045 93,000 94,535
COMM Mortgage Trust 144A FRB Ser. 13-CR12, Class D, 5.086s, 2046 237,000 221,334
Commercial Mortgage Trust 144A FRB Ser. 12-LC4, Class D, 5.648s, 2044 100,000 100,240
DBRR Trust 144A FRB Ser. 13-EZ3, Class A, 1.636s, 2049 187,209 187,794
GE Capital Commercial Mortgage Corp. FRB Ser. 06-C1, Class AJ, 5.281s, 2044 100,000 98,521
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042 44,000 44,382
GS Mortgage Securities Trust 144A
     Ser. 10-C1, Class D, 5.978s, 2043 158,403 172,452
     FRB Ser. 12-GC6, Class D, 5.638s, 2045 193,000 196,011
     Ser. 11-GC5, Class XA, IO, 1.719s, 2044 1,277,532 85,850
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 06-LDP7, Class B, 5.873s, 2045 118,000 104,844
     Ser. 07-C1, Class A3, 5.79s, 2051 55,000 55,715
     Ser. 06-LDP6, Class AJ, 5.565s, 2043 100,000 102,810
     Ser. 04-LN2, Class A2, 5.115s, 2041 183,293 185,480
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 10-C1, Class D, 6.312s, 2043 142,000 152,680
     FRB Ser. 11-C3, Class E, 5.543s, 2046 213,000 223,934
     FRB Ser. 12-C6, Class E, 5.202s, 2045 186,000 185,812
LB-UBS Commercial Mortgage Trust
     FRB Ser. 07-C6, Class A4, 5.858s, 2040 80,492 86,473
     Ser. 06-C6, Class E, 5.541s, 2039 125,000 117,275
     Ser. 06-C6, Class D, 5.502s, 2039 125,000 120,375
ML-CFC Commercial Mortgage Trust Ser. 06-4, Class AJ, 5.239s, 2049 28,000 27,160
Morgan Stanley Bank of America Merrill Lynch Trust
     FRB Ser. 13-C11, Class AS, 4.419s, 2046 45,000 47,154
     FRB Ser. 13-C11, Class C, 4.419s, 2046 83,000 80,500
Morgan Stanley Capital I Trust FRB Ser. 06-HQ8, Class D, 5.497s, 2044 125,000 111,263
UBS-Barclays Commercial Mortgage Trust Ser. 13-C6, Class AS, 3.469s, 2046 306,000 298,411
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C3, Class C, 4.958s, 2049 50,000 51,590
     FRB Ser. 12-C3, Class D, 4.958s, 2049 114,000 103,686
     Ser. 13-C6, Class D, 4.354s, 2046 70,000 61,915
WF-RBS Commercial Mortgage Trust
     Ser. 12-C9, Class AS, 3.388s, 2045 62,000 60,884
     Ser. 13-C17, Class XA, IO, 1.617s, 2046 1,470,218 137,144
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 12-C6, Class D, 5.562s, 2045 193,000 194,930
     FRB Ser. 12-C7, Class E, 4.847s, 2045 300,000 280,770
5,110,453
Residential mortgage-backed securities (non-agency) (0.9%)
Countrywide Alternative Loan Trust Ser. 05-28CB, Class 2A7, 5 3/4s, 2035 342,030 308,511
Merrill Lynch Alternative Note Asset Trust FRB Ser. 07-OAR2, Class A1, 0.336s, 2037 449,659 402,445
Residential Accredit Loans, Inc. FRB Ser. 06-QO7, Class 1A1, 0.931s, 2046 202,560 129,132
WAMU Mortgage Pass-Through Certificates
     FRB Ser. 05-AR15, Class A1B2, 0.566s, 2045 113,897 99,233
     FRB Ser. 05-AR11, Class A1B3, 0.556s, 2045 361,239 316,084
     FRB Ser. 05-AR9, Class A1B, 0.536s, 2045 470,495 428,298
     FRB Ser. 12-RR2, Class 1A2, 0.316s, 2047 60,000 42,450
1,726,153
Total mortgage-backed securities (cost $6,920,818) $6,836,606

PURCHASED OPTIONS OUTSTANDING (0.4%)(a)
Expiration Contract
date/strike price amount Value
SPDR S&P 500 ETF Trust (Put) Nov-14/$155.00 $ 39,171 $99,034
SPDR S&P 500 ETF Trust (Put) Feb-15/163.00 38,870 195,983
SPDR S&P 500 ETF Trust (Put) Jan-15/162.00 42,403 185,980
SPDR S&P 500 ETF Trust (Put) Dec-14/158.00 41,766 141,670
SPDR S&P 500 ETF Trust (Put) Oct-14/152.00 40,033 72,560
SPDR S&P 500 ETF Trust (Put) Sep-14/150.00 38,821 52,408
Total purchased options outstanding (cost $1,240,519) $747,635

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 75 $73,938
M/I Homes, Inc. $2.438 pfd. 1,230 31,058
Total preferred stocks (cost $98,200) $104,996

CONVERTIBLE BONDS AND NOTES (—%)(a)
Principal amount Value
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) $35,000 $50,991
Total convertible bonds and notes (cost $37,710) $50,991

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
EPR Properties Ser. C, $1.44 cv. pfd. 1,550 $33,398
Total convertible preferred stocks (cost $34,286) $33,398

SHORT-TERM INVESTMENTS (42.9%)(a)
Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 0.18%(d) 5,550 $5,550
Putnam Money Market Liquidity Fund 0.04%(AFF) 38,545,644 38,545,644
Putnam Short Term Investment Fund 0.06%(AFF) 36,263,103 36,263,103
SSgA Prime Money Market Fund zero %(P) 610,000 610,000
U.S. Treasury Bills with an effective yield of 0.14%, August 21, 2014(SEG)(SEGSF)(SEGCCS) $8,000,000 7,997,152
U.S. Treasury Bills with an effective yield of 0.12%, February 5, 2015(SEG)(SEGSF)(SEGCCS) 1,760,000 1,758,259
Total short-term investments (cost $85,177,059) $85,179,708

TOTAL INVESTMENTS
Total investments (cost $198,455,868)(b) $213,115,401













FORWARD CURRENCY CONTRACTS at 2/28/14 (aggregate face value $42,626,711) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Chilean Peso Sell 4/16/14 $6,325 $6,095 $(230)
Euro Buy 3/19/14 318,294 315,619 2,675
Euro Sell 3/19/14 318,294 315,158 (3,136)
Singapore Dollar Sell 5/21/14 171,111 170,087 (1,024)
Swiss Franc Sell 3/19/14 358,541 348,228 (10,313)
Barclays Bank PLC
Australian Dollar Sell 4/16/14 208,385 199,611 (8,774)
British Pound Buy 3/19/14 314,947 304,550 10,397
British Pound Sell 6/18/14 604,704 605,164 460
Canadian Dollar Sell 4/16/14 309,441 320,194 10,753
Euro Buy 3/19/14 447,627 437,899 9,728
Hong Kong Dollar Sell 5/21/14 431,411 431,177 (234)
Japanese Yen Sell 5/21/14 192,916 194,626 1,710
Mexican Peso Buy 4/16/14 195,205 196,649 (1,444)
Norwegian Krone Buy 3/19/14 324,644 317,755 6,889
Norwegian Krone Sell 3/19/14 324,644 317,290 (7,354)
Polish Zloty Buy 3/19/14 176,173 170,438 5,735
Polish Zloty Sell 3/19/14 176,173 172,141 (4,032)
Singapore Dollar Sell 5/21/14 44,730 44,464 (266)
South African Rand Sell 4/16/14 178,377 177,020 (1,357)
Swedish Krona Sell 3/19/14 42,708 41,894 (814)
Swedish Krona Buy 6/18/14 306,112 306,430 (318)
Swiss Franc Sell 3/19/14 699,455 683,166 (16,289)
Turkish Lira Buy 3/19/14 380,100 392,682 (12,582)
Turkish Lira Sell 3/19/14 380,100 375,284 (4,816)
Citibank, N.A.
Brazilian Real Buy 4/2/14 190,523 183,936 6,587
Brazilian Real Sell 4/2/14 190,523 185,568 (4,955)
Chilean Peso Sell 4/16/14 186,950 185,947 (1,003)
Danish Krone Sell 3/19/14 245,846 241,575 (4,271)
Euro Buy 3/19/14 804,845 793,134 11,711
Norwegian Krone Sell 6/18/14 272,225 272,682 457
Swiss Franc Sell 3/19/14 704,118 684,974 (19,144)
Credit Suisse International
Australian Dollar Sell 4/16/14 714,220 706,533 (7,687)
British Pound Buy 3/19/14 300,883 306,565 (5,682)
British Pound Sell 6/18/14 302,352 302,579 227
Canadian Dollar Sell 4/16/14 599,395 608,358 8,963
Euro Buy 3/19/14 22,774 17,065 5,709
Indian Rupee Buy 5/21/14 195,715 188,239 7,476
Japanese Yen Buy 5/21/14 1,423,536 1,423,153 383
Mexican Peso Buy 4/16/14 158,225 159,387 (1,162)
Mexican Peso Sell 4/16/14 158,225 156,277 (1,948)
New Zealand Dollar Buy 4/16/14 1,504 594 910
Norwegian Krone Buy 3/19/14 329,573 323,404 6,169
Norwegian Krone Sell 3/19/14 329,573 320,193 (9,380)
Singapore Dollar Sell 5/21/14 163,774 162,803 (971)
South African Rand Buy 4/16/14 191,007 188,772 2,235
South African Rand Sell 4/16/14 191,007 181,802 (9,205)
South Korean Won Buy 5/21/14 6,555 6,196 359
Swedish Krona Buy 3/19/14 325,342 321,546 3,796
Swedish Krona Sell 3/19/14 325,342 315,983 (9,359)
Swiss Franc Sell 3/19/14 189,675 185,255 (4,420)
Deutsche Bank AG
Australian Dollar Buy 4/16/14 312,933 316,245 (3,312)
Australian Dollar Sell 4/16/14 312,933 312,809 (124)
Canadian Dollar Sell 4/16/14 299,517 313,230 13,713
Euro Buy 3/19/14 184,131 173,802 10,329
Norwegian Krone Sell 6/18/14 272,225 272,715 490
Polish Zloty Buy 3/19/14 170,671 165,106 5,565
Polish Zloty Sell 3/19/14 170,671 166,706 (3,965)
Swedish Krona Buy 6/18/14 306,097 306,387 (290)
Swiss Franc Sell 3/19/14 706,506 688,002 (18,504)
Turkish Lira Buy 3/19/14 182,216 184,531 (2,315)
Turkish Lira Sell 3/19/14 182,216 180,577 (1,639)
Goldman Sachs International
Australian Dollar Buy 4/16/14 299,319 301,741 (2,422)
British Pound Buy 3/19/14 327,338 319,608 7,730
British Pound Sell 3/19/14 327,338 318,829 (8,509)
Canadian Dollar Sell 4/16/14 309,802 321,172 11,370
Euro Buy 3/19/14 330,578 322,438 8,140
Japanese Yen Sell 5/21/14 300,844 298,192 (2,652)
HSBC Bank USA, National Association
Australian Dollar Buy 4/16/14 185,073 185,827 (754)
Australian Dollar Sell 4/16/14 185,073 184,943 (130)
British Pound Buy 3/19/14 303,729 303,416 313
British Pound Sell 3/19/14 303,729 298,940 (4,789)
Canadian Dollar Sell 4/16/14 215,887 230,237 14,350
Euro Buy 3/19/14 320,778 319,590 1,188
Euro Sell 3/19/14 320,778 318,180 (2,598)
Japanese Yen Sell 5/21/14 327,754 327,564 (190)
JPMorgan Chase Bank N.A.
Australian Dollar Buy 4/16/14 247,623 256,722 (9,099)
British Pound Sell 3/19/14 2,131,296 2,073,034 (58,262)
British Pound Sell 6/18/14 302,352 302,580 228
Canadian Dollar Sell 4/16/14 12,450 17,142 4,692
Euro Buy 3/19/14 558,464 545,423 13,041
Hungarian Forint Sell 3/19/14 180,161 177,021 (3,140)
Indian Rupee Buy 5/21/14 176,819 177,110 (291)
Mexican Peso Buy 4/16/14 158,173 159,611 (1,438)
New Taiwan Dollar Sell 5/21/14 180,079 179,470 (609)
New Zealand Dollar Buy 4/16/14 317,074 307,826 9,248
New Zealand Dollar Sell 4/16/14 317,074 311,415 (5,659)
Norwegian Krone Sell 3/19/14 12,855 12,460 (395)
Norwegian Krone Sell 6/18/14 272,192 272,662 470
Singapore Dollar Sell 5/21/14 97,823 97,248 (575)
Swiss Franc Sell 3/19/14 1,619,062 1,577,375 (41,687)
Royal Bank of Scotland PLC (The)
Canadian Dollar Sell 4/16/14 310,163 318,645 8,482
Euro Buy 3/19/14 153,488 151,744 1,744
Japanese Yen Buy 5/21/14 64,728 64,407 321
Japanese Yen Sell 5/21/14 64,728 64,681 (47)
Mexican Peso Buy 4/16/14 233,087 234,994 (1,907)
State Street Bank and Trust Co.
Australian Dollar Sell 4/16/14 51,785 49,567 (2,218)
Brazilian Real Buy 4/2/14 190,523 183,225 7,298
Brazilian Real Sell 4/2/14 190,523 185,622 (4,901)
British Pound Buy 3/19/14 301,217 298,361 2,856
British Pound Sell 6/18/14 302,352 302,586 234
Canadian Dollar Sell 4/16/14 194,506 209,999 15,493
Euro Buy 3/19/14 100,899 93,730 7,169
Israeli Shekel Buy 4/16/14 7,507 7,475 32
Japanese Yen Sell 5/21/14 1,000,136 998,575 (1,561)
Mexican Peso Buy 4/16/14 240,183 241,909 (1,726)
New Taiwan Dollar Sell 5/21/14 180,083 179,397 (686)
Norwegian Krone Buy 3/19/14 280,783 275,374 5,409
Norwegian Krone Sell 3/19/14 280,783 270,697 (10,086)
Norwegian Krone Sell 6/18/14 272,225 272,690 465
Polish Zloty Buy 3/19/14 320,194 310,199 9,995
Polish Zloty Sell 3/19/14 320,194 312,630 (7,564)
Singapore Dollar Sell 5/21/14 183,260 181,716 (1,544)
Swedish Krona Sell 3/19/14 42,724 41,898 (826)
Swedish Krona Buy 6/18/14 306,097 306,417 (320)
Swiss Franc Sell 3/19/14 201,729 195,903 (5,826)
UBS AG
Australian Dollar Sell 4/16/14 53,742 43,997 (9,745)
British Pound Buy 3/19/14 568,781 573,547 (4,766)
British Pound Sell 6/18/14 604,704 605,153 449
Canadian Dollar Sell 4/16/14 317,650 327,542 9,892
Euro Buy 3/19/14 1,571,593 1,554,301 17,292
Euro Sell 3/19/14 1,571,593 1,559,825 (11,768)
Japanese Yen Sell 5/21/14 195,895 195,464 (431)
Mexican Peso Buy 4/16/14 158,218 159,069 (851)
Mexican Peso Sell 4/16/14 158,218 156,309 (1,909)
Norwegian Krone Buy 3/19/14 174,927 170,671 4,256
Norwegian Krone Sell 3/19/14 174,927 168,341 (6,586)
Norwegian Krone Sell 6/18/14 272,225 272,692 467
Singapore Dollar Sell 5/21/14 22,562 22,431 (131)
South African Rand Buy 4/16/14 191,007 188,763 2,244
South African Rand Sell 4/16/14 191,007 182,972 (8,035)
Swedish Krona Sell 3/19/14 42,708 39,358 (3,350)
Swiss Franc Sell 3/19/14 549,353 533,388 (15,965)
WestPac Banking Corp.
Australian Dollar Buy 4/16/14 299,408 300,252 (844)
British Pound Buy 3/19/14 331,691 323,893 7,798
Canadian Dollar Sell 4/16/14 219,224 235,080 15,856
Euro Buy 3/19/14 402,630 397,195 5,435
Total $(101,728)












FUTURES CONTRACTS OUTSTANDING at 2/28/14 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
DAX Index (Short) 1 $333,653             Mar-14 $2,878
Euro-Bobl 5 yr (Long) 40 6,995,362             Mar-14 53,212
Euro-Bund 10 yr (Long) 36 7,174,360             Mar-14 147,763
Euro-Buxl 30 yr (Long) 17 3,020,898             Mar-14 105,534
Euro-CAC 40 Index (Short) 7 425,616             Mar-14 (7,319)
Euro-Schatz 2 yr (Long) 13 1,983,519             Mar-14 342
FTSE 100 Index (Short) 35 3,971,072             Mar-14 (194,028)
IBEX 35 Index (Long) 15 2,086,662             Mar-14 19,007
Japanese Government Bond 10 yr (Long) 17 24,249,681             Mar-14 170,309
MSCI EAFE Index Mini (Short) 62 5,980,830             Mar-14 (358,579)
S&P 500 Index E-Mini (Long) 108 10,031,040             Mar-14 377,354
S&P 500 Index E-Mini (Short) 31 2,879,280             Mar-14 (50,205)
S&P/TSX 60 Index (Short) 3 440,206             Mar-14 (6,281)
SPI 200 Index (Short) 4 481,512             Mar-14 (11,198)
U.K. Gilt 10 yr (Long) 23 4,214,661             Jun-14 23,432
U.S. Treasury Bond 30 yr (Long) 7 931,438             Jun-14 12,018
U.S. Treasury Note 10 yr (Long) 19 2,366,094             Jun-14 11,245
U.S. Treasury Note 10 yr (Short) 160 19,925,000             Jun-14 (95,304)
U.S. Treasury Note 5 yr (Long) 52 6,232,688             Jun-14 16,964
U.S. Treasury Note 5 yr (Short) 5 599,297             Jun-14 (1,666)
U.S. Treasury Note 2 yr (Long) 14 3,078,250             Jun-14 848
Total $216,326












WRITTEN OPTIONS OUTSTANDING at 2/28/14 (premiums $62,751) (Unaudited)


Expiration       Contract
date/strike price       amount Value
S&P 500 Index (Call) Mar-14/$1915.00        $ 10,378 $28,021
S&P 500 Index (Call) Mar-14/1900.00        9,726 42,699
SPDR S&P 500 ETF Trust (Call) Mar-14/189.00        18,847 9,197
SPDR S&P 500 ETF Trust (Call) Mar-14/184.50        19,267 44,749
Total $124,666















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/28/14 (Unaudited)
Upfront     Payments Payments
premium     Termination made by received by Unrealized
Notional amount received (paid)     date fund per annum fund per annum appreciation
$7,797,700 (E) $(39,601)     3/19/19 3 month USD-LIBOR-BBA 2.00% $32,016
2,397,200 (E) (2,572)     3/19/16 3 month USD-LIBOR-BBA 0.75% 739
980,100 (E) 17,160      3/19/44 3 month USD-LIBOR-BBA 3.75% 44,961
60,904,300 (E) (1,035,056)     3/19/24 3 month USD-LIBOR-BBA 3.25% 1,382,637
Total $(1,060,069)    $1,460,353
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/14 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$3,800,000 $—      9/21/21 (2.305%) USA Non Revised Consumer Price Index- Urban (CPI-U) $(52,197)
5,000,000 —      7/19/23 (2.585%) USA Non Revised Consumer Price Index- Urban (CPI-U) (89,595)
baskets 176,840 —      3/14/14 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF3) of common stocks 765,911
units 4,450 —      3/14/14 3 month USD-LIBOR-BBA minus 0.07% Russell 1000 Total Return Index (1,134,743)
Barclays Bank PLC
$4,597,429 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools 2,441
3,700,000 —      5/8/23 (2.59%) USA Non Revised Consumer Price Index- Urban (CPI-U) (100,089)
8,900,000 —      7/19/23 (2.569%) USA Non Revised Consumer Price Index- Urban (CPI-U) (145,284)
Citibank, N.A.
800,000 —      11/7/22 (2.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) (36,794)
1,500,000 —      8/7/22 2.515% USA Non Revised Consumer Price Index- Urban (CPI-U) 39,045
1,700,000 —      3/7/23 (2.80%) USA Non Revised Consumer Price Index- Urban (CPI-U) (77,741)
baskets 77 —      12/19/14 (3 month USD-LIBOR-BBA plus 0.15%) A basket (CGPUTQL2) of common stocks 242,382
shares 31,031 —      1/30/15 1 month USD-LIBOR plus 0.50% Carlyle Group LP 51,253
shares 156 —      1/30/15 1 month USD-LIBOR less 0.55% Apollo Global Management, LLC (125)
shares 34,806 —      1/30/15 1 month USD-LIBOR less 0.55% Apollo Global Management, LLC (41,244)
shares 138 —      1/30/15 1 month USD-LIBOR plus 0.50% Carlyle Group LP (195)
units 1,692 —      12/19/14 3 month USD-LIBOR-BBA minus 0.10% Russell 1000 Total Return Index (330,864)
units 762 (24,957)     1/23/15 3 month USD-LIBOR-BBA minus 3.00% MSCI Daily TR Net Emerging Markets Indonesia USD (124,787)
Credit Suisse International
$2,600,000 —      1/9/23 (2.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) (124,176)
3,400,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (88,502)
1,600,000 —      8/8/22 (2.5325%) USA Non Revised Consumer Price Index- Urban (CPI-U) (44,454)
700,000 —      9/10/22 (2.5925%) USA Non Revised Consumer Price Index- Urban (CPI-U) (20,917)
3,300,000 —      2/8/23 (2.81%) USA Non Revised Consumer Price Index- Urban (CPI-U) (156,483)
6,900,000 —      7/19/23 (2.57%) USA Non Revised Consumer Price Index- Urban (CPI-U) (113,326)
shares 94,529 —      7/2/14 (3 month USD-LIBOR-BBA plus 0.10%) Vanguard Index Funds - MSCI Emerging Markets ETF (73,679)
shares 42,883 —      9/19/14 (3 month USD-LIBOR-BBA plus 0.20%) Vanguard Index Funds - MSCI Emerging Markets ETF (50,592)
Deutsche Bank AG
$500,000 —      11/7/21 (2.43%) USA Non Revised Consumer Price Index- Urban (CPI-U) (13,619)
units 3,677 —      1/21/15 (3 month EUR-EURIBOR-REUTERS minus 0.16%) STOXX 600 Banks Supersector Return Index EUR 20,337
shares 35,802 —      5/19/14 (3 month USD-LIBOR-BBA plus 0.25%) Vanguard FTSE Emerging Markets ETF 4,147
units 2,164 —      1/26/15 3 month USD-LIBOR-BBA minus 0.20% MSCI Daily TR Net Emerging Markets Brazil USD (15,700)
units 4,499 —      1/26/15 3 month USD-LIBOR-BBA minus 0.30% MSCI Daily TR Net Emerging Markets Turkey USD (33,827)
units 1,972 —      1/26/15 3 month USD-LIBOR-BBA minus 0.35% MSCI Daily TR Net Emerging Markets South Africa USD (51,174)
Goldman Sachs International
$1,500,000 —      10/5/22 (2.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) (63,614)
1,700,000 —      4/5/23 (2.7475%) USA Non Revised Consumer Price Index- Urban (CPI-U) (67,541)
8,900,000 —      7/19/23 (2.58%) USA Non Revised Consumer Price Index- Urban (CPI-U) (155,047)
JPMorgan Chase Bank N.A.
13,500,000 —      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) (351,405)
Total $(24,957)    $(2,432,198)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/28/14 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Barclays Bank PLC
  EM Series 20 Index BB+/P $(424,600) $4,400,000 12/20/18 500 bp $(3,823)
  EM Series 20 Index BB+/P (9,820) 100,000 12/20/18 500 bp (257)
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 243 8,000 5/11/63 300 bp 144
  CMBX NA BBB- Index BBB-/P 1,940 20,000 5/11/63 300 bp 1,693
  CMBX NA BBB- Index BBB-/P 1,596 20,000 5/11/63 300 bp 1,348
  CMBX NA BBB- Index BBB-/P 1,549 20,000 5/11/63 300 bp 1,301
  CMBX NA BBB- Index BBB-/P 1,316 20,000 5/11/63 300 bp 1,068
  CMBX NA BBB- Index BBB-/P 353 23,000 5/11/63 300 bp 69
  CMBX NA BBB- Index BBB-/P 1,641 40,000 5/11/63 300 bp 1,147
  CMBX NA BBB- Index BBB-/P 28,586 373,000 5/11/63 300 bp 23,973
  CMBX NA BB Index — (157) 30,000 5/11/63 (500 bp) 98
  CMBX NA BB Index — (384) 22,000 5/11/63 (500 bp) (209)
  CMBX NA BB Index — (91) 10,000 5/11/63 (500 bp) (6)
  CMBX NA BB Index — (427) 22,000 5/11/63 (500 bp) (252)
  CMBX NA BBB- Index — (1,220) 26,000 1/17/47 (300 bp) (233)
  CMBX NA BBB- Index — (1,523) 26,000 1/17/47 (300 bp) (536)
  CMBX NA BBB- Index — (1,469) 26,000 1/17/47 (300 bp) (482)
  CMBX NA BBB- Index — (1,582) 26,000 1/17/47 (300 bp) (595)
Deutsche Bank AG
  EM Series 19 Index BB+/P (352,500) 3,000,000 6/20/18 500 bp (106,165)
JPMorgan Chase Bank N.A.
  EM Series 20 Index BB+/P (9,650) 100,000 12/20/18 500 bp (87)
Total $(766,199)$(81,804)
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 28, 2014. Securities rated by Putnam are indicated by “/P.”   











CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/28/14 (Unaudited)
Upfront Payments
premium Termi- received
received Notional nation (paid) by fund Unrealized
Referenced debt* Rating*** (paid)** amount date per annum appreciation
  NA IG Series 21 Index BBB+/P $(54,493) $5,750,000 12/20/18 100 bp $54,425
  NA HY Series 21 Index B+/P (354,343) 7,086,000 12/20/18 500 bp 288,082
  NA IG Series 21 Index BBB+/P (21,556) 2,035,000 12/20/18 100 bp 16,991
  NA HY Series 21 Index B+/P (88,177) 2,000,000 12/20/18 500 bp 93,145
  NA IG Series 21 Index BBB+/P (24,162) 2,250,000 12/20/18 100 bp 18,458
  NA HY Series 21 Index B+/P (167,977) 3,950,000 12/20/18 500 bp 190,133
  NA IG Series 21 Index BBB+/P (3,396) 320,000 12/20/18 100 bp 2,665
  NA IG Series 21 Index BBB+/P (29,288) 2,665,000 12/20/18 100 bp 21,193
  NA HY Series 21 Index B+/P (1,792,281) 25,825,000 12/20/18 500 bp 549,044
Total $(2,535,673)$1,234,136
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 28, 2014. Securities rated by Putnam are indicated by “/P.”   










Key to holding's currency abbreviations
CAD Canadian Dollar
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
IO Interest Only
MTN Medium Term Notes
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from June 1, 2013 through February 28, 2014 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures , 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.
(a) Percentages indicated are based on net assets of $198,427,980.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(b) The aggregate identified cost on a tax basis is $198,655,210, resulting in gross unrealized appreciation and depreciation of $16,070,516 and $1,610,325, respectively, or net unrealized appreciation of $14,460,191.
(NON) Non-income-producing security.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Money Market Liquidity Fund * $11,166,000 $32,379,644 $5,000,000 $11,267 $38,545,644
Putnam Short Term Investment Fund * 54,887,051 66,635,306 85,259,254 19,725 36,263,103
Totals $66,053,051 $99,014,950 $90,259,254 $30,992 $74,808,747
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(d) Affiliated company. The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral.
The fund received cash collateral of $5,550, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $5,214.
(i) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(S) Security on loan, in part or in entirety, at the close of the reporting period.
At the close of the reporting period, the fund maintained liquid assets totaling $144,806,320 to cover certain derivatives contracts and delayed delivery securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under 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.
Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations 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. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
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.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, and to enhance the return on securities owned.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. Forward premium swap options contracts include premiums that do not settle until the expiration date of the contract. The delayed settlement of the premiums are factored into the daily valuation of the option contracts.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates, and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure on currency.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates, and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to gain exposure to specific markets or countries, and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $2,103,209 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $2,073,880.
TBA purchase commitments: The fund may enter into TBA commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at their fair value, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss.
Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities to dispose of the TBA commitments prior to settlement.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
    Basic materials $3,636,125 $610,878 $—
    Capital goods 3,271,316 655,091 —
    Communication services 2,033,862 271,798 —
    Conglomerates 1,320,704 49,163 —
    Consumer cyclicals 10,821,342 1,338,921 —
    Consumer staples 7,423,602 580,515 —
    Energy 5,955,660 107,978 —
    Financials 17,583,899 2,580,648 —
    Health care 9,920,217 129,146 —
    Technology 7,847,010 1,072,827 —
    Transportation 2,328,981 505,596 —
    Utilities and power 2,401,395 23,503 —
Total common stocks 74,544,113 7,926,064 —
Commodity linked notes — 7,230,447 —
Convertible bonds and notes — 50,991 —
Convertible preferred stocks — 33,398 —
Corporate bonds and notes — 22,849,230 —
Mortgage-backed securities — 6,836,606 —
Preferred stocks — 104,996 —
Purchased options outstanding — 747,635 —
U.S. government and agency mortgage obligations — 7,418,985 —
U.S. treasury obligations — 193,228 —
Short-term investments 75,418,747 9,760,961 —
Totals by level $149,962,860 $63,152,541 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(101,728) $—
Futures contracts 216,326 — —
Written options outstanding — (124,666) —
Interest rate swap contracts — 2,520,422 —
Total return swap contracts — (2,407,241) —
Credit default contracts — 4,454,204 —
Totals by level $216,326 $4,340,991 $—


* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $4,460,685 $6,481
Foreign exchange contracts 327,383 429,111
Equity contracts 2,230,904 2,584,249
Interest rate contracts 3,103,575 1,797,754
Total $10,122,547 $4,817,595


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased equity option contracts (contract amount)$270,000
Written equity option contracts (contract amount)$73,000
Futures contracts (number of contracts)700
Forward currency contracts (contract amount)$148,200,000
OTC interest rate swap contracts (notional)$42,400,000
Centrally cleared interest rate swap contracts (notional)$50,200,000
OTC total return swap contracts (notional)$130,800,000
OTC credit default swap contracts (notional)$40,400,000
Centrally cleared credit defult rate swap contracts (notional)$35,000,000

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, if applicable, see note “(d)” above, and for borrowing transactions associated with securities sold short, if applicable, see the “Short sales of securities” note above.


Offsetting of financial and derivative assets and liabilities
                                   
      Bank of America N.A. Barclays Bank PLC Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Deutsche Bank AG Goldman Sachs International HSBC Bank USA, National Association JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc. Royal Bank of Scotland PLC (The) State Street Bank and Trust Co. UBS AG WestPac Banking Corp.   Total
                                     
  Assets:                                  
  OTC Total return swap contracts*#    765,911  2,441  —  332,680 —  24,484  —  —  —  —  —  —  —  —    1,125,516
  OTC Credit default swap contracts*#    —  430,340  —  —  4,638  246,335  —  —  9,563  —  —  —  —  —    690,876
  Centrally cleared credit default swap contracts§    —  —  8,353  —  —  —  —  —  —  —  —  —  —  —    8,353
  Futures contracts§    —  —  —  —  —  —  —  —  —  69,154  —  —  —  —    69,154
  Forward currency contracts#    2,675  45,672  —  18,755  36,227  30,097  27,240  15,851  27,679  —  10,547  48,951  34,600  29,089    327,383
  Purchased options#    224,002  —  —  —  —  523,633  —  —  —  —  —  —  —  —    747,635
                                     
  Total Assets    $992,588  $478,453  $8,353  $351,435  $40,865  $824,549  $27,240  $15,851  $37,242  $69,154  $10,547  $48,951  $34,600  $29,089    $2,968,917
                                     
  Liabilities:                                  
  Centrally cleared interest rate swap contracts§    —  —  230,128  —  —  —    —  —  —  —  —  —  —    230,128
  OTC Total return swap contracts*#    1,276,535  245,373  —  586,793  672,129  114,320  286,202  —  351,405  —  —  —  —  —    3,532,757
  OTC Credit default swap contracts*#    —  —  —  —  6,481  —  —  —  —  —  —  —  —  —    6,481
  Futures contracts§    —  —  —  —  —  —  —  —  —  143,015  —  —  —  —    143,015
  Forward currency contracts#    14,703  58,280  —  29,373  49,814  30,149  13,583  8,461  121,155  —  1,954  37,258  63,537  844    429,111
  Written options#    115,469  —  —  —  —  9,197  —  —  —  —  —  —  —  —    124,666
                                     
  Total Liabilities    $1,406,707  $303,653  $230,128  $616,166  $728,424  $153,666  $299,785  $8,461  $472,560  $143,015  $1,954  $37,258  $63,537  $844    $4,466,158
                                     
  Total Financial and Derivative Net Assets    $(414,119)  $174,800  $(221,775)  $(264,731)  $(687,559)  $670,883  $(272,545)  $7,390  $(435,318)  $(73,861)  $8,593  $11,693  $(28,937)  $28,245    $(1,497,241)
  Total collateral received (pledged)##†    $(414,119)  $174,800  $—  $(239,844)  $(687,559)  $610,000  $(250,925)  $—  $(435,318)  $—  $—  $—  $—  $—    $(1,242,965)
  Net amount    $—  $—  $(221,775)  $(24,887)  $—  $60,883  $(21,620)  $7,390  $—  $(73,861)  $8,593  $11,693  $(28,937)  $28,245    $(254,276)
                                     
* Excludes premiums, if any.            
                                     
†  Additional collateral may be required from certain brokers based on individual agreements.        
                                     
# Covered by master netting agreement.            
                                     
## Any over-collateralization of total financial and derivative net assets is not shown.          
                                     
§ Includes current day's variation margin only, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio.         

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com



Item 2. 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 90 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 3. Exhibits:
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.

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

Putnam Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: April 25, 2014

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

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: April 25, 2014

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: April 25, 2014