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: (811-00058)

Exact name of registrant as specified in charter: George Putnam Balanced Fund

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:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036

Registrant's telephone number, including area code: (617) 292-1000

Date of fiscal year end: July 31, 2017

Date of reporting period: April 30, 2017

Item 1. Schedule of Investments:

George Putnam Balanced Fund
The fund's portfolio
4/30/17 (Unaudited)
COMMON STOCKS (59.7%)(a)
	Shares	Value
Basic materials (2.2%)
Akzo Nobel NV (Netherlands)	8,447	$738,682
Albemarle Corp.	23,434	2,552,197
ArcelorMittal SA (France)(NON)	42,723	337,076
Axalta Coating Systems, Ltd.(NON)	30,682	962,494
CF Industries Holdings, Inc.(S)	25,267	675,640
Dow Chemical Co. (The)	28,052	1,761,666
E. I. du Pont de Nemours & Co.	19,801	1,579,130
Fortune Brands Home & Security, Inc.	40,870	2,605,054
Freeport-McMoRan, Inc. (Indonesia)(NON)	36,281	462,583
Iluka Resources, Ltd. (Australia)	48,906	307,615
KapStone Paper and Packaging Corp.	43,984	927,623
LANXESS AG (Germany)	11,359	820,353
Martin Marietta Materials, Inc.	3,778	831,878
Nucor Corp.	9,135	560,250
PPG Industries, Inc.	9,530	1,046,775
RPC Group PLC (United Kingdom)	36,716	385,667
Sealed Air Corp.	37,336	1,643,531
Sherwin-Williams Co. (The)	10,846	3,629,939
Sociedad Quimica y Minera de Chile SA ADR (Chile)	28,875	1,026,506
Steel Dynamics, Inc.	4,138	149,547
United States Steel Corp.	12,528	279,625
W.R. Grace & Co.	31,875	2,222,325
		25,506,156
Capital goods (4.1%)
Airbus SE (France)	36,158	2,923,689
Ball Corp.	12,346	949,284
Dover Corp.	53,294	4,203,831
Fortive Corp.	86,698	5,484,515
Johnson Controls International PLC	117,234	4,873,417
KION Group AG (Germany)	47,395	3,210,705
Komatsu, Ltd. (Japan)	206,400	5,502,766
Northrop Grumman Corp.	20,094	4,942,320
Raytheon Co.	38,771	6,017,647
Republic Services, Inc.	74,277	4,678,708
Stericycle, Inc.(NON)	22,052	1,881,918
United Technologies Corp.	31,189	3,711,179
		48,379,979
Communication services (3.1%)
American Tower Corp.(R)	25,638	3,228,850
AT&T, Inc.	208,943	8,280,411
Charter Communications, Inc. Class A(NON)	16,221	5,598,840
Comcast Corp. Class A	209,288	8,201,997
DISH Network Corp. Class A(NON)	32,985	2,125,553
Equinix, Inc.(R)	5,065	2,115,651
T-Mobile US, Inc.(NON)	48,529	3,264,546
Verizon Communications, Inc.	35,465	1,628,198
Zayo Group Holdings, Inc.(NON)	56,463	1,980,157
		36,424,203
Communications equipment (0.2%)
Cisco Systems, Inc.	83,757	2,853,601
		2,853,601
Computers (2.6%)
Apple, Inc.	179,856	25,836,314
HP, Inc.	54,972	1,034,573
RealPage, Inc.(NON)	83,320	3,087,006
Western Digital Corp.	9,150	814,991
		30,772,884
Conglomerates (0.9%)
Danaher Corp.	56,014	4,667,647
Siemens AG (Germany)	37,820	5,421,567
		10,089,214
Consumer cyclicals (6.1%)
Amazon.com, Inc.(NON)	18,005	16,654,445
Ctrip.com International, Ltd. ADR (China)(NON)	12,843	648,700
Expedia, Inc.	18,340	2,452,425
Hanesbrands, Inc.(S)	127,208	2,774,406
Hilton Worldwide Holdings, Inc.	39,015	2,300,715
Home Depot, Inc. (The)	67,107	10,475,403
Live Nation Entertainment, Inc.(NON)	86,722	2,788,980
MasterCard, Inc. Class A	35,435	4,121,799
NIKE, Inc. Class B	46,959	2,601,998
O'Reilly Automotive, Inc.(NON)	11,486	2,850,251
Penn National Gaming, Inc.(NON)	98,612	1,822,350
Priceline Group, Inc. (The)(NON)	2,776	5,126,772
TJX Cos., Inc. (The)	54,084	4,253,166
Vulcan Materials Co.	7,211	871,666
Wal-Mart Stores, Inc.	32,156	2,417,488
Walt Disney Co. (The)	71,897	8,311,293
Wynn Resorts, Ltd.(S)	16,783	2,064,477
		72,536,334
Consumer staples (6.5%)
Altria Group, Inc.	75,529	5,421,472
Campbell Soup Co.	95,045	5,468,889
Colgate-Palmolive Co.	49,827	3,589,537
Constellation Brands, Inc. Class A	19,707	3,400,246
Costco Wholesale Corp.	31,549	5,600,578
CVS Health Corp.	36,401	3,000,898
Delivery Hero Holding GmbH (acquired 6/12/15 cost $446,716) (Private) (Germany)(F)(RES)(NON)	58	389,148
Dr. Pepper Snapple Group, Inc.	53,064	4,863,316
Edgewell Personal Care Co.(NON)	9,410	672,721
Hostess Brands, Inc.(NON)	27,355	468,865
Kraft Heinz Co. (The)	66,703	6,029,284
Kroger Co. (The)	92,066	2,729,757
Molson Coors Brewing Co. Class B	26,565	2,547,318
Mondelez International, Inc. Class A	45,583	2,052,602
PepsiCo, Inc.	128,030	14,503,238
Philip Morris International, Inc.	53,487	5,928,499
Pinnacle Foods, Inc.	15,785	917,898
Restaurant Brands International, Inc. (Canada)(S)	27,815	1,562,369
Walgreens Boots Alliance, Inc.	76,934	6,657,868
Yum China Holdings, Inc. (China)(NON)	51,845	1,768,951
		77,573,454
Electronics (3.3%)
Agilent Technologies, Inc.	48,634	2,677,302
Broadcom, Ltd.	33,073	7,302,849
Cavium, Inc.(NON)	44,309	3,050,675
FANUC Corp. (Japan)	13,700	2,784,243
NXP Semiconductor NV(NON)	18,324	1,937,763
Qorvo, Inc.(NON)(S)	97,834	6,655,647
Qualcomm, Inc.	79,573	4,276,253
Rockwell Automation, Inc.	26,751	4,209,270
Texas Instruments, Inc.	74,822	5,924,406
		38,818,408
Energy (4.0%)
Anadarko Petroleum Corp.	80,381	4,583,325
Arch Coal, Inc. Class A(NON)(S)	1,458	102,410
Cenovus Energy, Inc. (Canada)	178,111	1,775,826
Cheniere Energy, Inc.(NON)	87,975	3,989,666
Chevron Corp.	6,841	729,935
ConocoPhillips	143,182	6,859,850
EnCana Corp. (Canada)	125,023	1,338,109
EOG Resources, Inc.	34,821	3,220,943
Exxon Mobil Corp.	22,582	1,843,820
Halliburton Co.	87,087	3,995,552
Marathon Oil Corp.	61,426	913,405
Noble Energy, Inc.	73,629	2,380,426
Pioneer Natural Resources Co.	10,950	1,894,241
Plains All American Pipeline LP	39,787	1,163,770
QEP Resources, Inc.(NON)	124,902	1,475,093
Royal Dutch Shell PLC Class A (United Kingdom)	153,536	3,982,166
Schlumberger, Ltd.	23,529	1,707,970
Select Energy Services Class A(NON)(S)	120,875	1,857,849
Seven Generations Energy, Ltd. (Canada)(NON)	66,835	1,183,401
Suncor Energy, Inc. (Canada)	94,191	2,951,900
		47,949,657
Financials (9.2%)
American International Group, Inc.	85,096	5,183,197
Assured Guaranty, Ltd.	133,383	5,085,894
AvalonBay Communities, Inc.(R)	10,450	1,983,828
Bank of America Corp.	422,032	9,850,227
Boston Properties, Inc.(R)	13,993	1,771,514
CBRE Group, Inc. Class A(NON)	18,900	676,809
Charles Schwab Corp. (The)	66,779	2,594,364
Chubb, Ltd.	55,235	7,581,004
Douglas Emmett, Inc.(R)	16,256	612,364
E*Trade Financial Corp.(NON)	56,293	1,944,923
Equity Lifestyle Properties, Inc.(R)	13,205	1,068,417
Essex Property Trust, Inc.(R)	3,207	784,015
Federal Realty Investment Trust(R)(S)	6,122	801,309
Gaming and Leisure Properties, Inc.(R)	38,451	1,338,095
GGP, Inc.(R)	45,812	989,997
Goldman Sachs Group, Inc. (The)	25,443	5,694,143
Gores Holdings II, Inc. (Units)(NON)	51,253	528,931
Hamilton Lane, Inc. Class A(NON)	93,883	1,757,490
Hartford Financial Services Group, Inc. (The)	22,074	1,067,499
Intercontinental Exchange, Inc.	115,027	6,924,625
Invesco, Ltd.	320,903	10,570,545
Investment Technology Group, Inc.	143,354	2,854,178
JPMorgan Chase & Co.	166,928	14,522,736
Kimco Realty Corp.(R)	14,396	292,095
KKR & Co. LP	148,886	2,825,856
MetLife, Inc.	41,212	2,135,194
Oportun Financial Corp. (acquired 6/23/15, cost $386,984) (Private)(F)(RES)(NON)	135,784	383,115
Pebblebrook Hotel Trust(R)(S)	15,122	450,031
Prudential PLC (United Kingdom)	163,950	3,643,890
Public Storage(R)	7,613	1,594,010
Simon Property Group, Inc.(R)	10,471	1,730,437
Synchrony Financial	51,379	1,428,336
Visa, Inc. Class A	89,189	8,135,821
		108,804,889
Health care (7.4%)
Aetna, Inc.	5,143	694,665
Alexion Pharmaceuticals, Inc.(NON)	27,385	3,499,255
Amgen, Inc.	43,049	7,030,763
Becton Dickinson and Co.	25,529	4,773,157
Biogen, Inc.(NON)	15,703	4,258,811
Boston Scientific Corp.(NON)	151,384	3,993,510
Bristol-Myers Squibb Co.	83,519	4,681,240
C.R. Bard, Inc.	7,237	2,225,233
Cardinal Health, Inc.	15,331	1,112,877
Celgene Corp.(NON)	45,510	5,645,516
Cigna Corp.	22,042	3,446,708
DENTSPLY Sirona, Inc.	49,083	3,104,009
Eli Lilly & Co.	18,310	1,502,519
Express Scripts Holding Co.(NON)	17,399	1,067,255
Gilead Sciences, Inc.	19,530	1,338,782
Humana, Inc.	10,572	2,346,773
Intuitive Surgical, Inc.(NON)	4,008	3,350,167
Jazz Pharmaceuticals PLC(NON)	30,416	4,844,660
Johnson & Johnson	91,771	11,330,965
McKesson Corp.	9,678	1,338,371
Merck & Co., Inc.	132,494	8,258,351
Pfizer, Inc.	69,440	2,355,405
UnitedHealth Group, Inc.	19,076	3,336,011
Ventas, Inc.(R)	24,176	1,547,506
		87,082,509
Miscellaneous (0.1%)
Conyers Park Acquisition Corp. (Units)(NON)	63,307	807,797
		807,797
Semiconductor (0.4%)
Applied Materials, Inc.	125,219	5,085,144
		5,085,144
Software (2.7%)
Adobe Systems, Inc.(NON)	39,134	5,233,781
Everbridge, Inc.(NON)	22,049	511,757
Microsoft Corp.	309,749	21,205,417
Tencent Holdings, Ltd. (China)	58,481	1,829,986
Ubisoft Entertainment SA (France)(NON)	78,419	3,715,848
		32,496,789
Technology services (4.2%)
Alibaba Group Holding, Ltd. ADR (China)(NON)(S)	30,782	3,555,321
Alphabet, Inc. Class A(NON)	23,188	21,437,770
Cognizant Technology Solutions Corp. Class A(NON)	11,827	712,340
DXC Technology Co.(NON)	65,389	4,926,407
Facebook, Inc. Class A(NON)	94,013	14,125,453
Fidelity National Information Services, Inc.	41,467	3,491,107
salesforce.com, Inc.(NON)	22,244	1,915,653
		50,164,051
Transportation (0.7%)
American Airlines Group, Inc.(S)	69,279	2,952,671
Norfolk Southern Corp.	44,869	5,271,659
		8,224,330
Utilities and power (2.0%)
Ameren Corp.	25,507	1,394,978
American Electric Power Co., Inc.	22,585	1,531,941
American Water Works Co., Inc.	31,670	2,525,999
Calpine Corp.(NON)(S)	158,733	1,619,077
Edison International	29,564	2,364,233
Exelon Corp.	109,663	3,797,630
Kinder Morgan, Inc.	36,613	755,326
NextEra Energy, Inc.	17,246	2,303,376
NRG Energy, Inc.	175,277	2,962,181
PG&E Corp.	53,014	3,554,589
Sempra Energy	9,156	1,034,811
		23,844,141
Total common stocks (cost $619,553,937)		$707,413,540
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (9.5%)(a)
	Principal amount	Value
U.S. Government Guaranteed Mortgage Obligations (1.6%)
Government National Mortgage Association Pass-Through Certificates
3.50%, with due dates from 2/20/43 to 11/20/45	$3,670,667	$3,828,526
3.50%, TBA, 5/1/47	6,000,000	6,234,375
3.00%, with due dates from 5/1/43 to 10/20/46	1,983,723	2,009,782
3.00%, TBA, 5/1/47	7,000,000	7,094,063
		19,166,746
U.S. Government Agency Mortgage Obligations (7.9%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
6.00%, 3/1/35	1,843	2,102
4.00%, with due dates from 7/1/42 to 9/1/45	4,806,957	5,091,607
3.50%, with due dates from 12/1/42 to 1/1/47	16,554,367	17,101,533
3.00%, 3/1/43	651,623	655,543
Federal National Mortgage Association Pass-Through Certificates
5.50%, with due dates from 7/1/33 to 11/1/38	2,439,480	2,721,613
5.00%, with due dates from 8/1/33 to 1/1/39	665,194	731,914
4.50%, 11/1/44	6,093,116	6,640,782
4.50%, TBA, 5/1/47	13,000,000	13,989,219
4.00%, 9/1/45	2,684,145	2,857,566
4.00%, TBA, 5/1/47	14,000,000	14,745,937
3.50%, with due dates from 5/1/43 to 1/1/47	13,862,601	14,313,005
3.50%, TBA, 6/1/47	1,000,000	1,026,250
3.50%, TBA, 5/1/47	2,000,000	2,056,719
3.00%, with due dates from 2/1/43 to 8/1/46	4,591,358	4,604,553
3.00%, TBA, 5/1/47	7,000,000	6,993,984
		93,532,327
Total U.S. government and agency mortgage obligations (cost $112,575,321)		$112,699,073
U.S. TREASURY OBLIGATIONS (11.7%)(a)
	Principal amount	Value
U.S. Treasury Bonds 2.75%, 8/15/42(SEG)(SEGSF)	$19,090,000	$18,439,747
U.S. Treasury Notes
2.00%, 2/15/22	5,880,000	5,937,560
2.00%, 11/30/20	44,660,000	45,265,005
1.875%, 11/30/21	6,480,000	6,508,046
1.375%, 9/30/18	23,230,000	23,283,629
1.125%, 3/31/20	7,770,000	7,700,252
1.125%, 12/31/19	31,470,000	31,253,889
Total U.S. treasury obligations (cost $138,808,784)		$138,388,128
CORPORATE BONDS AND NOTES (15.8%)(a)
	Principal amount	Value
Basic materials (0.8%)
Agrium, Inc. sr. unsec. unsub. notes 7.125%, 5/23/36 (Canada)	$182,000	$234,116
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany)	668,000	718,100
Cytec Industries, Inc. sr. unsec. unsub. notes 3.50%, 4/1/23	215,000	217,002
Eastman Chemical Co. sr. unsec. notes 3.80%, 3/15/25	235,000	242,055
Georgia-Pacific, LLC sr. unsec. unsub. notes 7.75%, 11/15/29	850,000	1,184,030
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24	941,000	983,800
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25	638,000	639,263
International Paper Co. sr. unsec. notes 8.70%, 6/15/38	10,000	14,428
INVISTA Finance, LLC 144A company guaranty sr. notes 4.25%, 10/15/19	356,000	365,790
Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26	1,610,000	1,593,739
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30	1,265,000	1,744,416
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31	187,000	255,435
WestRock RKT Co. company guaranty sr. unsec. unsub. notes 4.45%, 3/1/19	168,000	174,829
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R)	553,000	742,688
		9,109,691
Capital goods (0.5%)
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47	1,040,000	1,063,752
L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26	235,000	241,271
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France)	767,000	1,002,899
Medtronic, Inc. company guaranty sr. unsec. sub. notes 4.375%, 3/15/35	307,000	324,885
Medtronic, Inc. company guaranty sr. unsec. sub. notes 3.50%, 3/15/25	327,000	337,637
Northrop Grumman Systems Corp. company guaranty sr. unsec. unsub. notes 7.875%, 3/1/26	265,000	351,804
Parker Hannifin Corp. sr. unsec. unsub. notes Ser. MTN, 6.25%, 5/15/38	370,000	476,329
Rockwell Collins, Inc. sr. unsec. bonds 4.35%, 4/15/47	1,758,000	1,780,680
United Technologies Corp. sr. unsec. unsub. notes 5.70%, 4/15/40	100,000	122,948
United Technologies Corp. sr. unsec. unsub. notes 4.50%, 6/1/42	225,000	243,342
		5,945,547
Communication services (1.0%)
America Movil SAB de CV company guaranty sr. unsec. unsub. notes 6.125%, 3/30/40 (Mexico)	200,000	237,749
American Tower Corp. sr. unsec. notes 4.00%, 6/1/25(R)	335,000	344,272
American Tower Corp. sr. unsec. notes 3.40%, 2/15/19(R)	735,000	750,803
American Tower Corp. sr. unsec. unsub. bonds 3.375%, 10/15/26(R)	500,000	486,993
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46	122,000	114,279
CC Holdings GS V, LLC/Crown Castle GS III Corp. company guaranty sr. notes 3.849%, 4/15/23	240,000	249,410
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45	1,159,000	1,361,098
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25	356,000	381,542
Charter Communications Operating, LLC/Charter Communications Operating Capital 144A company guaranty sr. bonds 5.375%, 5/1/47	696,000	712,117
Comcast Cable Communications Holdings, Inc. company guaranty sr. unsec. notes 9.455%, 11/15/22	645,000	869,044
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35	268,000	343,145
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26	610,000	606,227
Crown Castle International Corp. sr. unsec. notes 5.25%, 1/15/23(R)	75,000	82,990
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R)	313,000	340,033
Crown Castle International Corp. sr. unsec. notes 4.75%, 5/15/47(R)	170,000	169,416
Crown Castle Towers, LLC 144A company guaranty sr. notes 4.883%, 8/15/20	710,000	757,107
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 6.40%, 4/30/40	380,000	489,066
Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada)	95,000	133,749
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada)	215,000	218,213
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LL 144A company guaranty sr. notes 3.36%, 9/20/21	955,000	963,356
Telecom Italia SpA 144A sr. unsec. notes 5.303%, 5/30/24 (Italy)	1,000,000	1,035,000
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045%, 6/20/36 (Spain)	355,000	443,581
Verizon Communications, Inc. sr. unsec. unsub. notes 5.90%, 2/15/54 (units)	1,638	43,604
Verizon Communications, Inc. sr. unsec. unsub. notes 4.522%, 9/15/48	252,000	231,809
Videotron Ltd./Videotron Ltee. 144A sr. unsec. bonds 5.125%, 4/15/27 (Canada)	700,000	713,790
		12,078,393
Conglomerates (0.1%)
General Electric Co. jr. unsec. sub. FRB Ser. D, 5.00%, perpetual maturity	1,111,000	1,180,215
		1,180,215
Consumer cyclicals (1.8%)
21st Century Fox America, Inc. company guaranty sr. unsec. notes 7.85%, 3/1/39	190,000	264,166
21st Century Fox America, Inc. company guaranty sr. unsec. notes 7.75%, 1/20/24	1,045,000	1,281,993
Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25	330,000	342,548
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20	847,000	909,855
CBS Corp. company guaranty sr. unsec. debs. 7.875%, 7/30/30	579,000	794,288
CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27	851,000	802,468
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23	625,000	632,551
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/15/26	375,000	403,038
Ford Motor Co. sr. unsec. unsub. notes 9.98%, 2/15/47	135,000	207,734
Ford Motor Co. sr. unsec. unsub. notes 7.75%, 6/15/43	1,290,000	1,617,977
Ford Motor Co. sr. unsec. unsub. notes 7.45%, 7/16/31	24,000	30,274
Ford Motor Co. sr. unsec. unsub. notes 7.40%, 11/1/46	200,000	254,017
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.134%, 8/4/25	477,000	483,521
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 3.096%, 5/4/23	318,000	312,895
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26	680,000	675,943
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25	395,000	402,114
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25	250,000	251,721
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 3.45%, 4/10/22	900,000	909,245
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 3.45%, 1/14/22	200,000	202,762
Grupo Televisa SAB sr. unsec. unsub. bonds 6.625%, 1/15/40 (Mexico)	300,000	336,613
Grupo Televisa SAB sr. unsec. unsub. notes 5.00%, 5/13/45 (Mexico)	355,000	334,446
Hilton Domestic Operating Co., Inc. 144A sr. unsec. sub. notes 4.25%, 9/1/24	205,000	206,538
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. 144A sr. unsec. bonds 4.875%, 4/1/27	1,200,000	1,230,000
Historic TW, Inc. company guaranty sr. unsec. unsub. bonds 9.15%, 2/1/23	460,000	590,475
Host Hotels & Resorts LP sr. unsec. unsub. notes 6.00%, 10/1/21(R)	320,000	358,123
Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22(R)	150,000	163,166
Hyatt Hotels Corp. sr. unsec. unsub. notes 3.375%, 7/15/23	200,000	203,360
IHS Markit Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom)	215,000	224,675
Lear Corp. company guaranty sr. unsec. unsub. notes 5.375%, 3/15/24	375,000	396,413
NVR, Inc. sr. unsec. notes 3.95%, 9/15/22	435,000	455,886
O'Reilly Automotive, Inc. company guaranty sr. unsec. notes 3.85%, 6/15/23	195,000	203,808
O'Reilly Automotive, Inc. company guaranty sr. unsec. sub. notes 3.55%, 3/15/26	480,000	482,264
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26	540,000	544,145
Owens Corning company guaranty sr. unsec. sub. notes 9.00%, 6/15/19	880,000	990,608
Priceline Group, Inc. (The) sr. unsec. notes 3.65%, 3/15/25	164,000	167,254
QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24	390,000	397,476
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26	670,000	717,429
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27	1,195,000	1,206,950
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26	79,000	74,119
Vulcan Materials Co. sr. unsec. unsub. notes 4.50%, 4/1/25	175,000	185,358
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27	530,000	540,718
		20,788,934
Consumer staples (1.3%)
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 4.90%, 2/1/46	1,947,000	2,127,006
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 3.65%, 2/1/26	428,000	436,145
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.95%, 1/15/42	200,000	216,621
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 8.20%, 1/15/39	165,000	252,514
Bacardi, Ltd. 144A unsec. notes 4.50%, 1/15/21 (Bermuda)	495,000	522,567
Constellation Brands, Inc. company guaranty sr. unsec. unsub. bonds 3.70%, 12/6/26	525,000	531,408
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22	715,000	782,508
CVS Pass-Through Trust 144A sr. mtge. notes 7.507%, 1/10/32	631,728	787,931
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36	636,218	659,158
Diageo Investment Corp. company guaranty sr. unsec. notes 8.00%, 9/15/22	820,000	1,025,459
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37	1,434,000	1,802,405
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42	553,000	608,350
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24	211,000	216,353
Grupo Bimbo SAB de CV 144A company guaranty sr. unsec. unsub. notes 4.875%, 6/27/44 (Mexico)	350,000	336,145
Kraft Heinz Co. (The) company guaranty sr. unsec. bonds 4.375%, 6/1/46	670,000	637,463
Kraft Heinz Co. (The) company guaranty sr. unsec. notes Ser. 144A, 6.875%, 1/26/39	625,000	783,063
Kraft Heinz Co. (The) company guaranty sr. unsec. unsub. notes 6.50%, 2/9/40	309,000	375,818
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26	1,166,000	1,202,438
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26	1,030,000	1,082,596
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4.875%, 8/15/34	134,000	139,436
Walgreens Boots Alliance, Inc. sr. unsec. bonds 3.45%, 6/1/26	765,000	752,469
		15,277,853
Energy (1.6%)
BG Energy Capital PLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 10/15/21 (United Kingdom)	250,000	266,233
BP Capital Markets PLC company guaranty sr. unsec. bonds 3.119%, 5/4/26 (United Kingdom)	670,000	663,608
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada)	1,448,000	1,629,000
Cenovus Energy, Inc. 144A sr. unsec. notes 4.25%, 4/15/27 (Canada)	700,000	694,331
Concho Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/25	925,000	936,563
DCP Midstream Operating LP company guaranty sr. unsec. notes 3.875%, 3/15/23	276,000	269,100
DCP Midstream Operating LP company guaranty sr. unsec. notes 2.70%, 4/1/19	225,000	224,438
Devon Energy Corp. sr. unsec. unsub. notes 3.25%, 5/15/22	276,000	276,994
EQT Midstream Partners LP company guaranty sr. unsec. sub. notes 4.00%, 8/1/24	575,000	583,975
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31	388,000	462,270
Kerr-McGee Corp. company guaranty sr. unsec. unsub. notes 7.875%, 9/15/31	1,070,000	1,393,796
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 4.563%, 4/24/23 (Russia)	315,000	323,663
Marathon Petroleum Corp. sr. unsec. unsub. notes 6.50%, 3/1/41	175,000	197,757
MPLX LP sr. unsec. unsub. notes 4.125%, 3/1/27	615,000	622,948
Nabors Industries, Inc. company guaranty sr. unsec. unsub. notes 4.625%, 9/15/21	600,000	606,000
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 6.05%, 3/1/41	390,000	275,925
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico)	348,000	337,560
Pride International, LLC company guaranty sr. unsec. unsub. notes 7.875%, 8/15/40	760,000	695,400
Sabine Pass Liquefaction, LLC sr. notes 5.625%, 4/15/23	532,000	585,887
Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27	1,280,000	1,350,939
Sabine Pass Liquefaction, LLC 144A sr. bonds 4.20%, 3/15/28	225,000	225,299
Spectra Energy Capital, LLC company guaranty sr. unsec. sub. notes 6.20%, 4/15/18	580,000	603,401
Spectra Energy Capital, LLC company guaranty sr. unsec. unsub. notes 8.00%, 10/1/19	820,000	920,184
Statoil ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway)	480,000	544,989
Tosco Corp. company guaranty sr. unsec. notes 8.125%, 2/15/30	600,000	838,114
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada)	1,285,000	1,296,244
Valero Energy Partners LP sr. unsec. unsub. notes 4.375%, 12/15/26	427,000	438,980
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24	1,022,000	1,061,072
Williams Partners LP sr. unsec. sub. notes 3.60%, 3/15/22	250,000	255,835
Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes 4.875%, 3/15/24	342,000	354,825
		18,935,330
Financials (5.7%)
Aflac, Inc. sr. unsec. notes 6.45%, 8/15/40	82,000	108,481
Air Lease Corp. sr. unsec. notes 3.75%, 2/1/22	410,000	424,469
Air Lease Corp. sr. unsec. unsub. notes 3.375%, 6/1/21	630,000	646,084
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25	705,000	721,744
American Express Co. jr. unsec. sub. FRN Ser. C, 4.90%, perpetual maturity	310,000	313,875
American Express Co. sr. unsec. notes 7.00%, 3/19/18	650,000	680,199
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58	856,000	1,104,240
Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42	1,150,000	1,069,843
Assurant, Inc. sr. unsec. notes 6.75%, 2/15/34	198,000	239,790
Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom)	200,000	221,825
Aviation Capital Group Corp. 144A sr. unsec. unsub. notes 7.125%, 10/15/20	265,000	303,060
AXA SA 144A jr. unsec. sub. FRN 6.463%, perpetual maturity (France)	550,000	553,438
AXA SA 144A jr. unsec. sub. FRN 6.379%, perpetual maturity (France)	135,000	148,331
Banco del Estado de Chile 144A sr. unsec. notes 2.00%, 11/9/17 (Chile)	400,000	400,192
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity	314,000	336,373
Bank of America Corp. unsec. sub. FRN 1.891%, 9/15/26	275,000	249,935
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37	600,000	705,340
Barclays Bank PLC 144A unsec. sub. notes 10.179%, 6/12/21 (United Kingdom)	869,000	1,090,920
Bear Stearns Cos., LLC (The) sr. unsec. unsub. notes 7.25%, 2/1/18	331,000	344,693
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43	703,000	732,139
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21	155,000	161,598
BPCE SA 144A unsec. sub. notes 5.70%, 10/22/23 (France)	370,000	400,494
BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France)	810,000	845,529
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23(R)	1,213,000	1,316,252
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22	1,020,000	1,126,110
Capital One Bank USA NA unsec. sub. notes 3.375%, 2/15/23	462,000	465,171
Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25	295,000	297,066
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25	257,000	276,805
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26	708,000	745,265
Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95%, perpetual maturity	956,000	1,004,398
Citigroup, Inc. jr. unsec. sub. FRN 5.875%, perpetual maturity	402,000	417,578
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25	345,000	356,213
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands company guaranty unsec. sub. notes 4.625%, 12/1/23 (Netherlands)	250,000	266,151
Cooperatieve Rabobank UA 144A jr. unsec. sub. FRN 11.00%, perpetual maturity (Netherlands)	718,000	838,265
Cooperative Rabobank UA company guaranty unsec. sub. notes 3.75%, 7/21/26 (Netherlands)	285,000	282,794
Credit Agricole SA 144A unsec. sub. notes 4.375%, 3/17/25 (France)	255,000	260,148
Credit Suisse Group AG 144A sr. unsec. bonds 4.282%, 1/9/28 (Switzerland)	1,770,000	1,797,890
Credit Suisse Group AG 144A unsec. sub. notes 6.50%, 8/8/23 (Switzerland)	729,000	811,290
EPR Properties company guaranty sr. unsec. sub. notes 5.25%, 7/15/23(R)	345,000	366,219
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24	300,000	307,125
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity	217,000	215,915
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23	425,000	456,753
GE Capital International Funding Co. Unlimited Co. company guaranty sr. unsec. bonds 4.418%, 11/15/35 (Ireland)	1,962,000	2,097,572
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27	1,835,000	1,864,714
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37	282,000	351,718
Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 6.625%, 3/30/40	1,495,000	1,913,847
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes 3.875%, 5/1/25(R)	555,000	553,549
Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25(R)	250,000	252,749
HSBC Bank USA NA/New York NY unsec. sub. notes Ser. BKNT, 5.625%, 8/15/35 (United Kingdom)	250,000	293,996
HSBC Bank USA, NA unsec. sub. notes 7.00%, 1/15/39	342,000	462,987
HSBC Holdings PLC unsec. sub. notes 6.50%, 5/2/36 (United Kingdom)	800,000	987,409
HSBC Holdings PLC unsec. sub. notes 4.25%, 8/18/25 (United Kingdom)	455,000	464,806
HSBC USA, Inc. sr. unsec. unsub. notes 3.50%, 6/23/24	105,000	107,810
ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands)	2,225,000	2,493,400
International Lease Finance Corp. sr. unsec. unsub. notes 6.25%, 5/15/19	275,000	295,969
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity	330,000	344,042
JPMorgan Chase & Co. jr. unsec. sub. FRN 7.90%, perpetual maturity	780,000	815,100
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20	555,000	625,715
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37	785,000	908,638
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697%, 10/15/97	340,000	446,674
Liberty Property LP sr. unsec. unsub. notes 3.375%, 6/15/23(R)	100,000	100,553
Lloyds Bank PLC company guaranty sr. unsec. unsub. notes 2.70%, 8/17/20 (United Kingdom)	220,000	222,728
Lloyds Banking Group PLC unsec. sub. bonds 5.30%, 12/1/45 (United Kingdom)	1,404,000	1,511,951
Lloyds Banking Group PLC unsec. sub. notes 4.50%, 11/4/24 (United Kingdom)	530,000	548,495
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. notes 8.875%, 6/1/39	1,290,000	2,094,269
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37	2,564,000	3,270,356
Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23(R)	285,000	302,883
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan)	640,000	664,479
Nationwide Mutual Insurance Co. 144A unsec. sub. notes 8.25%, 12/1/31	415,000	589,057
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45	840,000	785,400
OneAmerica Financial Partners, Inc. 144A sr. unsec. notes 7.00%, 10/15/33	370,000	466,185
Pacific LifeCorp 144A sr. unsec. notes 6.00%, 2/10/20	365,000	396,552
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976%, 2/15/25	140,000	141,970
Primerica, Inc. sr. unsec. notes 4.75%, 7/15/22	213,000	229,274
Progressive Corp. (The) jr. unsec. sub. FRN 6.70%, 6/15/37	1,939,000	1,946,271
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43	359,000	390,413
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44	1,153,000	1,199,120
Realty Income Corp. sr. unsec. notes 4.65%, 8/1/23(R)	1,045,000	1,132,269
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada)	420,000	448,518
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom)	200,000	200,320
Santander Issuances SAU company guaranty unsec. sub. notes 5.179%, 11/19/25 (Spain)	1,200,000	1,255,208
Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom)	430,000	452,272
Select Income REIT sr. unsec. unsub. notes 3.60%, 2/1/20(R)	290,000	293,301
Select Income REIT sr. unsec. unsub. notes 2.85%, 2/1/18(R)	290,000	291,622
State Street Corp. jr. unsec. sub. FRB 2.131%, 6/15/37	1,693,000	1,487,724
Sumitomo Mitsui Financial Group, Inc. 144A unsec. sub. bonds 4.436%, 4/2/24 (Japan)	412,000	432,444
Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39	263,000	358,792
TIERS Trust/United States 144A sr. bonds stepped-coupon zero % (8.125%, 9/15/17), 3/15/46(STP)	570,000	629,850
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada)	659,000	653,174
Travelers Property Casualty Corp. company guaranty sr. unsec. unsub. bonds 7.75%, 4/15/26	295,000	395,870
UBS AG unsec. sub. notes 5.125%, 5/15/24 (Switzerland)	2,640,000	2,772,370
VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R)	720,000	751,500
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity	580,000	630,750
Willis Towers Watson PLC company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21	710,000	781,125
WP Carey, Inc. sr. unsec. unsub. notes 4.60%, 4/1/24(R)	787,000	822,395
ZFS Finance USA Trust V 144A jr. unsec. sub. FRB 6.50%, 5/9/37	214,000	214,171
		67,554,326
Government (0.4%)
International Bank for Reconstruction & Development sr. unsec. unsub. bonds 7.625%, 1/19/23 (Supra-Nation)	4,000,000	5,153,920
		5,153,920
Health care (0.5%)
AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25	194,000	195,651
Actavis Funding SCS company guaranty sr. unsec. notes 4.75%, 3/15/45 (Luxembourg)	373,000	379,897
Actavis Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg)	186,000	191,206
Anthem, Inc. sr. unsec. unsub. notes 4.625%, 5/15/42	205,000	208,983
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26	185,000	197,256
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24	430,000	456,338
Omega Healthcare Investors, Inc. company guaranty sr. unsec. bonds 5.25%, 1/15/26(R)	510,000	538,050
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R)	145,000	143,188
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R)	659,000	688,415
Quest Diagnostics, Inc. company guaranty sr. unsec. notes 4.75%, 1/30/20	121,000	129,410
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland)	748,000	714,624
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland)	458,000	449,057
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. bonds 3.15%, 10/1/26 (Netherlands)	1,062,000	988,826
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.625%, 11/15/41	300,000	322,711
		5,603,612
Technology (0.6%)
Apple, Inc. sr. unsec. notes 3.45%, 5/6/24	215,000	224,785
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45	297,000	309,915
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43	421,000	408,788
Broadcom Corp./Broadcom Cayman Finance, Ltd. 144A company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27	1,077,000	1,092,883
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24	813,000	898,639
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46	271,000	350,749
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23	1,231,000	1,328,456
Jabil Circuit, Inc. sr. unsec. sub. notes 8.25%, 3/15/18	162,000	170,957
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26	925,000	886,196
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26	1,475,000	1,423,794
		7,095,162
Transportation (0.2%)
Burlington Northern Santa Fe, LLC sr. unsec. notes 5.40%, 6/1/41	454,000	535,934
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes 5.75%, 5/1/40	109,000	133,555
Continental Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 97-4, Class A, 6.90%, 1/2/18	7,120	7,230
Continental Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 98-1, Class A, 6.648%, 9/15/17	15,618	15,853
Norfolk Southern Corp. sr. unsec. unsub. bonds 6.00%, 5/23/11	390,000	452,223
Penske Truck Leasing Co. Lp/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26	540,000	523,581
Southwest Airlines Co. Pass Through Trust pass-through certificates Ser. 07-1, Class A, 6.15%, 8/1/22	547,619	605,119
United Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 14-2, Class A, 3.75%, 9/3/26	205,602	209,971
		2,483,466
Utilities and power (1.3%)
Appalachian Power Co. sr. unsec. unsub. notes Ser. L, 5.80%, 10/1/35	510,000	595,724
Arizona Public Services Co. sr. unsec. notes 4.50%, 4/1/42	138,000	147,208
Beaver Valley II Funding Corp. sr. bonds 9.00%, 6/1/17	6,000	6,036
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. FRB 4.45%, 7/15/27	240,000	245,533
Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33	595,000	715,367
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42	220,000	225,122
Duke Energy Carolinas, LLC sr. mtge. notes 4.25%, 12/15/41	450,000	470,309
EDP Finance BV 144A sr. unsec. unsub. notes 5.25%, 1/14/21 (Netherlands)	365,000	390,677
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32	490,000	630,810
Emera US Finance LP company guaranty sr. unsec. notes 3.55%, 6/15/26	437,000	433,639
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada)	540,000	563,107
Enel Finance International SA 144A company guaranty sr. unsec. unsub. notes 5.125%, 10/7/19 (Netherlands)	360,000	383,649
Energy Transfer Partners LP sr. unsec. unsub. bonds 4.20%, 4/15/27	115,000	115,786
Energy Transfer Partners LP sr. unsec. unsub. notes 7.60%, 2/1/24	470,000	542,018
Energy Transfer Partners LP sr. unsec. unsub. notes 6.50%, 2/1/42	766,000	848,724
Energy Transfer Partners LP sr. unsec. unsub. notes 5.20%, 2/1/22	240,000	259,810
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44	1,120,000	1,241,092
Great Plains Energy, Inc. sr. unsec. unsub. bonds 4.85%, 4/1/47	790,000	802,590
Iberdrola International BV company guaranty sr. unsec. unsub. bonds 6.75%, 7/15/36 (Spain)	185,000	233,630
ITC Holdings Corp. 144A sr. unsec. notes 6.05%, 1/31/18	365,000	375,659
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44	179,000	181,944
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 3.50%, 3/1/21	420,000	429,442
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.05%, 12/1/19	235,000	239,707
Oncor Electric Delivery Co., LLC sr. notes 7.00%, 9/1/22	445,000	538,942
Pacific Gas & Electric Co. sr. unsec. notes 6.35%, 2/15/38	418,000	548,599
Pacific Gas & Electric Co. sr. unsec. unsub. notes 5.80%, 3/1/37	140,000	173,772
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 4.20%, 6/15/22	145,000	153,159
Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974%, 6/1/67	656,000	600,240
Texas Gas Transmission, LLC 144A sr. unsec. notes 4.50%, 2/1/21	623,000	653,121
Texas-New Mexico Power Co. 144A 1st sr. bonds Ser. A, 9.50%, 4/1/19	889,000	1,007,366
WEC Energy Group jr. unsec. sub. FRN 6.25%, 5/15/67	1,945,000	1,818,575
		15,571,357
Total corporate bonds and notes (cost $177,052,895)		$186,777,806
INVESTMENT COMPANIES (1.2%)(a)
	Shares	Value
SPDR S&P Regional Banking ETF(S)	257,449	$13,915,118
Total investment companies (cost $14,167,210)		$13,915,118
MORTGAGE-BACKED SECURITIES (0.9%)(a)
	Principal amount	Value
Citigroup Commercial Mortgage Trust Ser. 14-GC21, Class AS, 4.026%, 5/10/47	$520,000	$540,826
COMM Mortgage Trust
FRB Ser. 12-LC4, Class C, 5.763%, 12/10/44	500,000	544,500
FRB Ser. 14-CR18, Class C, 4.894%, 7/15/47	2,778,000	2,882,731
Ser. 13-CR13, Class AM, 4.449%, 12/10/23	777,000	835,819
Ser. 12-CR1, Class AM, 3.912%, 5/15/45	1,046,000	1,097,359
Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M1, 2.191%, 11/25/28	162,369	162,866
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M1, 2.341%, 1/25/29	18,034	18,167
Ser. 01-79, Class BI, IO, 0.299%, 3/25/45	906,756	8,430
FIRSTPLUS Home Loan Owner Trust Ser. 97-3, Class B1, 7.79%, 11/10/23 (In default)(NON)	194,241	19
JPMBB Commercial Mortgage Securities Trust FRB Ser. 13-C14, Class C, 4.709%, 8/15/46	683,000	699,084
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 12-C6, Class D, 5.313%, 5/15/45	772,000	796,395
Ser. 04-LN2, Class A2, 5.115%, 7/15/41	8,010	8,016
FRB Ser. 13-C13, Class C, 4.188%, 1/15/46	450,000	447,857
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C8, Class D, 4.807%, 10/15/45	404,000	392,648
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41%, 6/15/31	128,981	132,088
Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class D, 5.602%, 3/15/45	1,794,000	1,809,428
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38	2,064,529	154,840
WF-RBS Commercial Mortgage Trust Ser. 14-C19, Class C, 4.646%, 3/15/47	394,000	402,195
Total mortgage-backed securities (cost $11,534,078)		$10,933,268
CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
	Shares	Value
Oportun Financial Corp. Ser. A-1, 8.00% cv. pfd. (acquired 6/23/15, cost $1,057) (Private)(F)(RES)(NON)	371	$1,047
Oportun Financial Corp. Ser. B-1, 8.00% cv. pfd. (acquired 6/23/15, cost $20,210) (Private)(F)(RES)(NON)	6,416	20,008
Oportun Financial Corp. Ser. C-1, 8.00% cv. pfd. (acquired 6/23/15, cost $47,464) (Private)(F)(RES)(NON)	9,325	46,990
Oportun Financial Corp. Ser. D-1, 8.00% cv. pfd. (acquired 6/23/15, cost $68,847) (Private)(F)(RES)(NON)	13,526	68,159
Oportun Financial Corp. Ser. E-1, 8.00% cv. pfd. (acquired 6/23/15, cost $38,611) (Private)(F)(RES)(NON)	7,033	38,225
Oportun Financial Corp. Ser. F, 8.00% cv. pfd. (acquired 6/23/15, cost $116,544) (Private)(F)(RES)(NON)	15,175	115,379
Oportun Financial Corp. Ser. F-1, 8.00% cv. pfd. (acquired 6/23/15, cost $326,895) (Private)(F)(RES)(NON)	114,700	323,626
Oportun Financial Corp. Ser. G, 8.00% cv. pfd. (acquired 6/23/15, cost $413,355) (Private)(F)(RES)(NON)	145,037	409,222
Oportun Financial Corp. Ser. H, 8.00% cv. pfd. (acquired 2/6/15, cost $633,655) (Private)(F)(RES)(NON)	222,546	627,313
Total convertible preferred stocks (cost $1,666,638)		$1,649,969
MUNICIPAL BONDS AND NOTES (0.1%)(a)
	Principal amount	Value
CA State G.O. Bonds (Build America Bonds), 7.50%, 4/1/34	$215,000	$304,696
North TX, Tollway Auth. Rev. Bonds (Build America Bonds), 6.718%, 1/1/49	350,000	501,568
OH State U. Rev. Bonds (Build America Bonds), 4.91%, 6/1/40	275,000	322,267
Total municipal bonds and notes (cost $841,322)		$1,128,531
SHORT-TERM INVESTMENTS (8.3%)(a)
	Shares	Value
Putnam Cash Collateral Pool, LLC 1.05%(AFF)	36,081,589	$36,081,589
Putnam Short Term Investment Fund 0.87%(AFF)	61,911,545	61,911,545
Total short-term investments (cost $97,993,134)		$97,993,134
TOTAL INVESTMENTS
Total investments (cost $1,174,193,319)(b)		$1,270,898,567

FORWARD CURRENCY CONTRACTS at 4/30/17 (aggregate face value $40,134,411) (Unaudited)
						Unrealized
		Contract	Delivery		Aggregate	appreciation/
Counterparty	Currency	type	date	Value	face value	(depreciation)
Bank of America N.A.
	British Pound	Sell	6/21/17	$1,572,620	$1,398,090	$(174,530)
	Canadian Dollar	Sell	7/19/17	509,517	519,423	9,906
Barclays Bank PLC
	Canadian Dollar	Sell	7/19/17	2,728,082	2,780,905	52,823
Citibank, N.A.
	Euro	Sell	6/21/17	14,111,936	13,725,638	(386,298)
	Japanese Yen	Sell	5/17/17	2,297,832	2,310,717	12,885
Credit Suisse International
	British Pound	Sell	6/21/17	5,724,725	5,450,928	(273,797)
	Canadian Dollar	Sell	7/19/17	1,626,830	1,659,112	32,282
Goldman Sachs International
	Japanese Yen	Sell	5/17/17	5,763,881	5,674,112	(89,769)
JPMorgan Chase Bank N.A.
	Canadian Dollar	Sell	7/19/17	4,049,290	4,127,682	78,392
	Swiss Franc	Buy	6/21/17	185,788	196,337	(10,549)
UBS AG
	Euro	Sell	6/21/17	2,356,831	2,291,467	(65,364)
Total						$(814,019)

FUTURES CONTRACTS OUTSTANDING at 4/30/17 (Unaudited)
				Unrealized
	Number of		Expiration	appreciation/
	contracts	Value	date	(depreciation)
S&P 500 Index E-Mini (Long)	18	$2,142,450	Jun-17	$17,589
Total				$17,589

TBA SALE COMMITMENTS OUTSTANDING at 4/30/17 (proceeds receivable $24,810,039) (Unaudited)
	Principal	Settlement
Agency	amount	date	Value
Federal National Mortgage Association, 3.50%, 5/1/47	$2,000,000	5/11/17	$2,056,719
Federal National Mortgage Association, 3.00%, 6/1/47	5,000,000	6/13/17	4,986,328
Federal National Mortgage Association, 3.00%, 5/1/47	18,000,000	5/11/17	17,984,531
Total			$25,027,578

Key to holding's abbreviations
ADR	American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
BKNT	Bank Note
DAC	Designated Activity Company
ETF	Exchange Traded Fund
FRB	Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN	Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
GMTN	Global Medium Term Notes
G.O. Bonds	General Obligation Bonds
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 August 1, 2016 through April 30, 2017 (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 $1,184,655,143.
(b)	The aggregate identified cost on a tax basis is $1,176,574,999, resulting in gross unrealized appreciation and depreciation of $119,815,185 and $25,491,617, respectively, or net unrealized appreciation of $94,323,568.
(NON)	This security is non-income-producing.
(STP)	The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(RES)	This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $2,422,232, or 0.2% of net assets.
(AFF)	Affiliated company. For investments in Putnam Cash Collateral Pool and LLC and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
	Name of affiliate	Fair value at the beginning of the reporting period	Purchase cost	Sale proceeds	Investment income	Fair value at the end of the reporting period
	Putnam Cash Collateral Pool, LLC*#	$—	$210,349,240	$174,267,651	$110,887	$36,081,589
	Putnam Short Term Investment Fund**	85,041,084	187,390,470	210,520,009	350,143	61,911,545
	Totals	$85,041,084	$397,739,710	$384,787,660	$461,030	$97,993,134
	* No management fees are charged to Putnam Cash Collateral Pool, LLC.
	# The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund's agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund received cash collateral of $36,081,589, 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 $34,575,020.
	** Management fees charged to 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.
(F)	This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs..
(R)	Real Estate Investment Trust.
(S)	This security is 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 $59,688,977 to cover certain derivative 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 of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
	The dates shown on debt obligations are the original maturity dates.
	Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund's assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
	Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
	Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
	Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
	Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
	To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
	To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
	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.
	Futures contracts: The fund used futures contracts 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.
	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.
	Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
	Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
	With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
	At the close of the reporting period, the fund had a net liability position of $934,685 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $796,901 and may include amounts related to unsettled agreements.

ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
		Valuation inputs
Investments in securities:	Level 1	Level 2	Level 3
Common stocks*:
Basic materials	$25,506,156	$—	$—
Capital goods	48,379,979	—	—
Communication services	36,424,203	—	—
Conglomerates	10,089,214	—	—
Consumer cyclicals	72,536,334	—	—
Consumer staples	77,184,306	—	389,148
Energy	47,949,657	—	—
Financials	108,421,774	—	383,115
Health care	87,082,509	—	—
Miscellaneous	807,797	—	—
Technology	160,190,877	—	—
Transportation	8,224,330	—	—
Utilities and power	23,844,141	—	—
Total common stocks	706,641,277	—	772,263
Convertible preferred stocks	—	—	1,649,969
Corporate bonds and notes	—	186,147,956	629,850
Investment companies	13,915,118	—	—
Mortgage-backed securities	—	10,933,268	—
Municipal bonds and notes	—	1,128,531	—
U.S. government and agency mortgage obligations	—	112,699,073	—
U.S. treasury obligations	—	138,388,128	—
Short-term investments	61,911,545	36,081,589	—
Totals by level	$782,467,940	$485,378,545	$3,052,082
		Valuation inputs
Other financial instruments:	Level 1	Level 2	Level 3
Forward currency contracts	$—	$(814,019)	$—
Futures contracts	17,589	—	—
TBA sale commitments	—	(25,027,578)	—
Totals by level	$17,589	$(25,841,597)	$—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
Fair Value of Derivative Instruments as of the close of the reporting period
	Asset derivatives	Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815	Fair value	Fair value
Foreign exchange contracts	$186,288	$1,000,307
Equity contracts	17,589	—
Total	$203,877	$1,000,307
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Futures contracts (number of contracts)		5
Forward currency contracts (contract amount)		$46,600,000

	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 "(AFF)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
		Bank of America N.A.	Barclays Bank PLC	Citibank, N.A.	Credit Suisse International	Goldman Sachs International	JPMorgan Chase Bank N.A.	Merrill Lynch, Pierce, Fenner & Smith, Inc.	UBS AG	Total
	Assets:
	Futures contracts§	—	—	—	—	—	—	—	—	—
	Forward currency contracts#	9,906	52,823	12,885	32,282	—	78,392	—	—	186,288
	Total Assets	$9,906	$52,823	$12,885	$32,282	$—	$78,392	$—	$—	$186,288
	Liabilities:
	Futures contracts§	—	—	—	—	—	—	5,040	—	5,040
	Forward currency contracts#	174,530	—	386,298	273,797	89,769	10,549	—	65,364	1,000,307
	Total Liabilities	$174,530	$—	$386,298	$273,797	$89,769	$10,549	$5,040	$65,364	$1,005,347
	Total Financial and Derivative Net Assets	$(164,624)	$52,823	$(373,413)	$(241,515)	$(89,769)	$67,843	$(5,040)	$(65,364)	$(819,059)
	Total collateral received (pledged)##†	$(164,210)	$—	$(373,413)	$(127,504)	$(89,769)	$—	$—	$—
	Net amount	$(414)	$52,823	$—	$(114,011)	$—	$67,843	$(5,040)	$(65,364)
†	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. Collateral may include amounts related to unsettled agreements.
§	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.

George Putnam Balanced Fund

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: June 27, 2017

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: June 27, 2017

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: June 27, 2017