| George Putnam Balanced Fund | ||||||
| The fund's portfolio | ||||||
| 4/30/19 (Unaudited) | ||||||
| COMMON STOCKS (62.1%)(a) | ||||||
| Shares | Value | |||||
| Basic materials (2.7%) | ||||||
| Apollo Global Management, LLC Class A | 13,821 | $451,808 | ||||
| Dow, Inc.(NON) | 55,440 | 3,145,111 | ||||
| DowDuPont, Inc. | 141,237 | 5,430,563 | ||||
| FMC Corp. | 34,718 | 2,744,805 | ||||
| Fortune Brands Home & Security, Inc. | 92,646 | 4,889,856 | ||||
| Freeport-McMoRan, Inc. (Indonesia) | 348,225 | 4,286,650 | ||||
| Linde PLC | 31,966 | 5,762,191 | ||||
| Sherwin-Williams Co. (The) | 12,375 | 5,628,521 | ||||
| Summit Materials, Inc. Class A(NON) | 100,843 | 1,766,769 | ||||
| W.R. Grace & Co. | 10,171 | 768,724 | ||||
| 34,874,998 | ||||||
| Capital goods (4.1%) | ||||||
| Avery Dennison Corp. | 8,273 | 915,407 | ||||
| Ball Corp. | 25,836 | 1,548,610 | ||||
| Boeing Co. (The) | 16,250 | 6,137,463 | ||||
| Deere & Co. | 13,165 | 2,180,519 | ||||
| Eaton Corp. PLC | 42,208 | 3,495,667 | ||||
| Fortive Corp. | 54,897 | 4,739,807 | ||||
| Honeywell International, Inc. | 70,055 | 12,163,650 | ||||
| Johnson Controls International PLC | 161,038 | 6,038,925 | ||||
| Roper Technologies, Inc. | 17,539 | 6,308,778 | ||||
| TransDigm Group, Inc.(NON) | 8,076 | 3,896,832 | ||||
| Waste Connections, Inc. | 56,870 | 5,275,830 | ||||
| 52,701,488 | ||||||
| Communication services (1.8%) | ||||||
| AT&T, Inc. | 141,425 | 4,378,518 | ||||
| Charter Communications, Inc. Class A(NON) | 13,936 | 5,172,904 | ||||
| Comcast Corp. Class A | 123,497 | 5,375,824 | ||||
| SBA Communications Corp.(NON)(R) | 18,342 | 3,736,816 | ||||
| Verizon Communications, Inc. | 87,662 | 5,013,390 | ||||
| 23,677,452 | ||||||
| Communications equipment (0.3%) | ||||||
| Cisco Systems, Inc. | 64,766 | 3,623,658 | ||||
| 3,623,658 | ||||||
| Computers (1.8%) | ||||||
| Apple, Inc. | 113,140 | 22,703,804 | ||||
| 22,703,804 | ||||||
| Conglomerates (1.1%) | ||||||
| AMETEK, Inc. | 39,299 | 3,464,993 | ||||
| Danaher Corp. | 76,697 | 10,157,751 | ||||
| 13,622,744 | ||||||
| Consumer cyclicals (8.4%) | ||||||
| Advance Auto Parts, Inc. | 9,130 | 1,518,502 | ||||
| Amazon.com, Inc.(NON) | 13,359 | 25,736,381 | ||||
| BJ's Wholesale Club Holdings, Inc.(NON) | 65,971 | 1,870,278 | ||||
| Booking Holdings, Inc.(NON) | 3,261 | 6,049,122 | ||||
| Burlington Stores, Inc.(NON) | 11,323 | 1,912,568 | ||||
| CarMax, Inc.(NON)(S) | 21,952 | 1,709,183 | ||||
| Clorox Co. (The) | 19,973 | 3,190,287 | ||||
| Ecolab, Inc. | 4,918 | 905,305 | ||||
| General Motors Co. | 262,072 | 10,207,704 | ||||
| Hilton Worldwide Holdings, Inc. | 58,490 | 5,088,045 | ||||
| Home Depot, Inc. (The) | 69,568 | 14,171,002 | ||||
| Levi Strauss & Co. Class A(NON) | 60,490 | 1,355,581 | ||||
| Live Nation Entertainment, Inc.(NON) | 50,465 | 3,297,383 | ||||
| MGM Resorts International | 68,822 | 1,832,730 | ||||
| NIKE, Inc. Class B | 56,712 | 4,981,015 | ||||
| TJX Cos., Inc. (The) | 50,262 | 2,758,379 | ||||
| Walmart, Inc. | 86,079 | 8,852,364 | ||||
| Walt Disney Co. (The) | 50,610 | 6,932,020 | ||||
| Wynn Resorts, Ltd. | 29,833 | 4,309,377 | ||||
| 106,677,226 | ||||||
| Consumer staples (4.0%) | ||||||
| Chipotle Mexican Grill, Inc.(NON) | 5,500 | 3,784,220 | ||||
| Coca-Cola Co. (The) | 263,186 | 12,911,905 | ||||
| Costco Wholesale Corp. | 13,262 | 3,256,219 | ||||
| Hershey Co. (The) | 42,477 | 5,303,253 | ||||
| McCormick & Co., Inc. (non-voting shares) | 30,663 | 4,721,182 | ||||
| PepsiCo, Inc. | 28,883 | 3,698,468 | ||||
| Procter & Gamble Co. (The) | 108,589 | 11,562,557 | ||||
| Walgreens Boots Alliance, Inc. | 34,892 | 1,869,164 | ||||
| Yum China Holdings, Inc. (China) | 89,170 | 4,239,142 | ||||
| 51,346,110 | ||||||
| Electronics (2.7%) | ||||||
| Intel Corp. | 132,863 | 6,781,328 | ||||
| NXP Semiconductors NV | 98,134 | 10,364,913 | ||||
| ON Semiconductor Corp.(NON) | 279,189 | 6,438,098 | ||||
| Qualcomm, Inc. | 122,105 | 10,516,904 | ||||
| 34,101,243 | ||||||
| Energy (3.0%) | ||||||
| BP PLC (United Kingdom) | 1,599,425 | 11,629,592 | ||||
| Brigham Minerals, Inc. Class A(NON) | 132,631 | 2,720,262 | ||||
| Cairn Energy PLC (United Kingdom)(NON) | 901,606 | 2,008,742 | ||||
| Cenovus Energy, Inc. (Canada) | 1,084,538 | 10,750,664 | ||||
| Encana Corp. (Canada) | 470,995 | 3,262,547 | ||||
| Enterprise Products Partners LP | 178,464 | 5,109,424 | ||||
| Kosmos energy, Ltd. | 72,511 | 485,099 | ||||
| Kosmos energy, Ltd. | 362,853 | 2,427,487 | ||||
| Williams Cos., Inc. (The) | 14,243 | 403,504 | ||||
| 38,797,321 | ||||||
| Financials (10.3%) | ||||||
| American International Group, Inc. | 93,095 | 4,428,529 | ||||
| Assured Guaranty, Ltd. | 212,623 | 10,142,117 | ||||
| Bank of America Corp. | 555,612 | 16,990,615 | ||||
| BlackRock, Inc. | 9,487 | 4,603,472 | ||||
| Chubb, Ltd. | 20,034 | 2,908,937 | ||||
| Citigroup, Inc. | 176,103 | 12,450,482 | ||||
| E*Trade Financial Corp. | 114,922 | 5,821,949 | ||||
| Gaming and Leisure Properties, Inc.(R) | 185,108 | 7,474,661 | ||||
| Goldman Sachs Group, Inc. (The) | 43,207 | 8,897,185 | ||||
| Intercontinental Exchange, Inc. | 40,678 | 3,309,155 | ||||
| JPMorgan Chase & Co. | 62,450 | 7,247,323 | ||||
| KKR & Co., Inc. Class A | 337,698 | 8,256,716 | ||||
| Oportun Financial Corp. (acquired 6/23/15, cost $386,984) (Private)(F)(RES)(NON) | 135,784 | 291,141 | ||||
| Prudential PLC (United Kingdom) | 356,407 | 8,076,535 | ||||
| Raymond James Financial, Inc. | 49,080 | 4,494,256 | ||||
| SunTrust Banks, Inc. | 41,474 | 2,715,718 | ||||
| Visa, Inc. Class A | 92,049 | 15,135,617 | ||||
| Wells Fargo & Co. | 120,887 | 5,852,140 | ||||
| Yellow Cake PLC 144A (United Kingdom)(NON) | 646,948 | 1,816,461 | ||||
| 130,913,009 | ||||||
| Health care (7.1%) | ||||||
| Abbott Laboratories | 40,825 | 3,248,037 | ||||
| AbbVie, Inc. | 33,672 | 2,673,220 | ||||
| Allergan PLC | 17,626 | 2,591,022 | ||||
| Amgen, Inc. | 23,369 | 4,190,529 | ||||
| Baxter International, Inc. | 13,972 | 1,066,064 | ||||
| Becton Dickinson and Co. (BD) | 14,378 | 3,461,360 | ||||
| Boston Scientific Corp.(NON) | 60,487 | 2,245,277 | ||||
| Bristol-Myers Squibb Co. | 71,006 | 3,296,809 | ||||
| Celgene Corp.(NON) | 11,194 | 1,059,624 | ||||
| Cigna Corp. | 60,719 | 9,644,606 | ||||
| CVS Health Corp. | 39,668 | 2,157,146 | ||||
| Edwards Lifesciences Corp.(NON) | 11,871 | 2,090,127 | ||||
| Eli Lilly & Co. | 36,624 | 4,286,473 | ||||
| Gilead Sciences, Inc. | 31,582 | 2,054,093 | ||||
| ICU Medical, Inc.(NON) | 6,150 | 1,399,125 | ||||
| Intuitive Surgical, Inc.(NON) | 6,035 | 3,081,652 | ||||
| Johnson & Johnson | 74,538 | 10,524,751 | ||||
| Medtronic PLC | 26,792 | 2,379,398 | ||||
| Merck & Co., Inc. | 96,294 | 7,579,301 | ||||
| Mettler-Toledo International, Inc.(NON) | 3,781 | 2,817,828 | ||||
| Pfizer, Inc. | 162,636 | 6,604,648 | ||||
| Regeneron Pharmaceuticals, Inc.(NON) | 3,512 | 1,205,108 | ||||
| Thermo Fisher Scientific, Inc. | 5,652 | 1,568,147 | ||||
| UnitedHealth Group, Inc. | 31,423 | 7,323,759 | ||||
| Vertex Pharmaceuticals, Inc.(NON) | 10,777 | 1,821,097 | ||||
| 90,369,201 | ||||||
| Software (5.1%) | ||||||
| Activision Blizzard, Inc. | 122,931 | 5,926,504 | ||||
| Adobe, Inc.(NON) | 30,281 | 8,758,779 | ||||
| Electronic Arts, Inc.(NON) | 41,726 | 3,949,366 | ||||
| Everbridge, Inc.(NON) | 43,817 | 3,237,638 | ||||
| Microsoft Corp. | 274,918 | 35,904,291 | ||||
| NetEase, Inc. ADR (China) | 14,612 | 4,157,552 | ||||
| Tencent Holdings, Ltd. (China) | 64,681 | 3,204,475 | ||||
| 65,138,605 | ||||||
| Technology services (5.9%) | ||||||
| Alibaba Group Holding, Ltd. ADR (China)(NON)(S) | 6,417 | 1,190,803 | ||||
| Alphabet, Inc. Class A(NON) | 20,762 | 24,892,808 | ||||
| DXC Technology Co. | 131,237 | 8,627,520 | ||||
| Facebook, Inc. Class A(NON) | 89,866 | 17,380,084 | ||||
| Fidelity National Information Services, Inc. | 66,263 | 7,681,870 | ||||
| First Data Corp. Class A(NON) | 133,599 | 3,454,870 | ||||
| GoDaddy, Inc. Class A(NON) | 29,915 | 2,438,073 | ||||
| Pinterest, Inc. Class A(NON) | 25,023 | 775,213 | ||||
| Salesforce.com, Inc.(NON) | 52,881 | 8,743,873 | ||||
| 75,185,114 | ||||||
| Transportation (1.0%) | ||||||
| Norfolk Southern Corp. | 26,557 | 5,418,159 | ||||
| Union Pacific Corp. | 42,426 | 7,511,099 | ||||
| 12,929,258 | ||||||
| Utilities and power (2.8%) | ||||||
| Ameren Corp. | 16,113 | 1,172,543 | ||||
| American Electric Power Co., Inc. | 87,670 | 7,500,169 | ||||
| CMS Energy Corp. | 22,772 | 1,264,985 | ||||
| Dominion Energy, Inc. | 17,697 | 1,378,065 | ||||
| Duke Energy Corp. | 14,495 | 1,320,784 | ||||
| Edison International | 17,134 | 1,092,635 | ||||
| Exelon Corp. | 133,427 | 6,798,106 | ||||
| FirstEnergy Corp. | 27,040 | 1,136,491 | ||||
| Kinder Morgan, Inc. | 232,688 | 4,623,511 | ||||
| NextEra Energy, Inc. | 19,860 | 3,861,578 | ||||
| NRG Energy, Inc. | 66,180 | 2,724,631 | ||||
| Sempra Energy | 11,390 | 1,457,351 | ||||
| Southern Co. (The) | 26,961 | 1,434,864 | ||||
| 35,765,713 | ||||||
| Total common stocks (cost $669,720,531) | $792,426,944 | |||||
| U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (9.8%)(a) | ||||||
| Principal amount | Value | |||||
| U.S. Government Guaranteed Mortgage Obligations (2.8%) | ||||||
| Government National Mortgage Association Pass-Through Certificates | ||||||
| 5.00%, TBA, 5/1/49 | $1,000,000 | $1,043,516 | ||||
| 5.00%, 2/20/49 | 3,990,775 | 4,167,438 | ||||
| 4.50%, TBA, 4/1/49 | 1,000,000 | 1,038,320 | ||||
| 4.50%, 3/20/49 | 633,556 | 667,813 | ||||
| 4.00%, 4/15/43 | 4,896,371 | 5,103,089 | ||||
| 3.50%, TBA, 5/1/49 | 7,000,000 | 7,114,843 | ||||
| 3.50%, with due dates from 2/20/43 to 1/20/48 | 8,335,562 | 8,505,073 | ||||
| 3.00%, with due dates from 7/20/46 to 10/20/46 | 8,313,940 | 8,301,065 | ||||
| 35,941,157 | ||||||
| U.S. Government Agency Mortgage Obligations (7.0%) | ||||||
| Pass-Through Certificates Pass-Through Certificates Pass-Through Certificates 4.00%, TBA, 6/1/49 | 4,000,000 | 4,102,031 | ||||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||||||
| 6.00%, 3/1/35 | 1,261 | 1,405 | ||||
| 4.00%, with due dates from 7/1/42 to 2/1/48 | 5,289,197 | 5,481,245 | ||||
| 3.50%, with due dates from 12/1/42 to 1/1/47 | 9,280,105 | 9,460,300 | ||||
| 3.00%, with due dates from 3/1/43 to 2/1/47 | 3,044,462 | 3,018,614 | ||||
| Federal National Mortgage Association Pass-Through Certificates | ||||||
| 5.50%, with due dates from 7/1/33 to 11/1/38 | 1,608,500 | 1,756,041 | ||||
| 5.25%, 11/1/20(i) | 129,900 | 132,852 | ||||
| 5.00%, with due dates from 8/1/33 to 1/1/39 | 454,728 | 489,507 | ||||
| 4.50%, TBA, 5/1/49 | 3,000,000 | 3,121,172 | ||||
| 4.50%, with due dates from 5/1/48 to 2/1/49 | 9,989,308 | 10,517,100 | ||||
| 4.00%, TBA, 5/1/49 | 4,000,000 | 4,104,688 | ||||
| 4.00%, with due dates from 12/1/44 to 6/1/48 | 16,125,501 | 16,670,147 | ||||
| 3.50%, with due dates from 5/1/43 to 1/1/57 | 10,661,191 | 10,845,025 | ||||
| 3.00%, TBA, 5/1/49 | 1,000,000 | 988,203 | ||||
| 3.00%, with due dates from 12/1/30 to 3/1/47 | 11,150,460 | 11,107,933 | ||||
| 2.00%, with due dates from 10/1/27 to 8/1/28 | 7,050,569 | 6,929,913 | ||||
| 88,726,176 | ||||||
| Total U.S. government and agency mortgage obligations (cost $124,978,327) | $124,667,333 | |||||
| U.S. TREASURY OBLIGATIONS (10.1%)(a) | ||||||
| Principal amount | Value | |||||
| U.S. Treasury Bonds | ||||||
| 3.00%, 2/15/47 | $8,310,000 | $8,429,456 | ||||
| 2.75%, 8/15/42(SEG)(SEGSF) | 18,360,000 | 17,919,074 | ||||
| U.S. Treasury Notes | ||||||
| 2.625%, 6/15/21 | 13,990,000 | 14,096,237 | ||||
| 2.25%, 2/15/21 | 23,000,000 | 22,980,864 | ||||
| 2.125%, 12/31/22 | 9,100,000 | 9,060,117 | ||||
| 2.00%, 2/15/22 | 1,000,000 | 993,555 | ||||
| 2.00%, 11/30/20 | 14,840,000 | 14,765,684 | ||||
| 1.875%, 11/30/21 | 13,000,000 | 12,878,328 | ||||
| 1.625%, 10/31/23 | 13,820,000 | 13,435,631 | ||||
| 1.50%, 5/31/20 | 14,040,000 | 13,907,278 | ||||
| Total U.S. treasury obligations (cost $128,307,508) | $128,466,224 | |||||
| CORPORATE BONDS AND NOTES (14.0%)(a) | ||||||
| Principal amount | Value | |||||
| Basic materials (0.8%) | ||||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) | $169,000 | $169,626 | ||||
| Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) | 668,000 | 699,416 | ||||
| CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 | 1,595,000 | 1,623,192 | ||||
| Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 | 1,036,000 | 1,072,254 | ||||
| Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 | 703,000 | 704,841 | ||||
| International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 | 625,000 | 655,994 | ||||
| International Paper Co. sr. unsec. notes 8.70%, 6/15/38 | 10,000 | 13,814 | ||||
| Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) | 953,000 | 988,627 | ||||
| Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | 801,000 | 790,634 | ||||
| Westlake Chemical Corp. company guaranty sr. unsec. unsub. bonds 4.375%, 11/15/47 | 147,000 | 133,241 | ||||
| Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26 | 1,140,000 | 1,118,575 | ||||
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 | 1,040,000 | 1,374,224 | ||||
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 | 187,000 | 243,352 | ||||
| Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) | 553,000 | 741,602 | ||||
| 10,329,392 | ||||||
| Capital goods (0.5%) | ||||||
| Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 | 1,145,000 | 1,102,313 | ||||
| L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26 | 940,000 | 955,303 | ||||
| L3 Technologies, Inc. company guaranty sr. unsec. notes 4.40%, 6/15/28 | 510,000 | 537,730 | ||||
| Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 | 889,000 | 874,257 | ||||
| Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 | 1,025,000 | 1,034,721 | ||||
| Republic Services, Inc. sr. unsec. notes 3.95%, 5/15/28 | 906,000 | 946,118 | ||||
| Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 | 1,010,000 | 1,004,468 | ||||
| 6,454,910 | ||||||
| Communication services (1.4%) | ||||||
| American Tower Corp. sr. unsec. unsub. bonds 3.55%, 7/15/27(R) | 686,000 | 675,978 | ||||
| American Tower Corp. sr. unsec. unsub. bonds 3.375%, 10/15/26(R) | 385,000 | 379,749 | ||||
| AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 | 1,539,000 | 1,574,756 | ||||
| AT&T, Inc. sr. unsec. unsub. bonds 4.35%, 3/1/29 | 1,335,000 | 1,379,721 | ||||
| AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 | 132,000 | 131,061 | ||||
| CC Holdings GS V, LLC/Crown Castle GS III Corp. company guaranty sr. notes 3.849%, 4/15/23 | 240,000 | 246,301 | ||||
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 | 1,055,000 | 1,195,031 | ||||
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 | 274,000 | 290,359 | ||||
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 5.375%, 5/1/47 | 506,000 | 507,478 | ||||
| Comcast Cable Communications Holdings, Inc. company guaranty sr. unsec. notes 9.455%, 11/15/22 | 645,000 | 789,805 | ||||
| Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 | 605,000 | 588,776 | ||||
| Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 | 268,000 | 340,330 | ||||
| Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 | 490,000 | 491,577 | ||||
| Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 | 637,000 | 626,634 | ||||
| Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28(R) | 458,000 | 456,995 | ||||
| Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) | 549,000 | 543,957 | ||||
| Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) | 313,000 | 329,784 | ||||
| Crown Castle International Corp. sr. unsec. notes 4.75%, 5/15/47(R) | 185,000 | 184,399 | ||||
| Crown Castle International Corp. sr. unsec. notes 3.15%, 7/15/23(R) | 85,000 | 85,061 | ||||
| Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27(R) | 741,000 | 784,423 | ||||
| Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada) | 95,000 | 132,479 | ||||
| Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) | 215,000 | 222,457 | ||||
| Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 | 596,875 | 595,383 | ||||
| Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) | 1,050,000 | 1,037,781 | ||||
| Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 | 2,680,000 | 2,866,367 | ||||
| Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) | 490,000 | 501,025 | ||||
| Vodafone Group PLC sr. unsec. unsub. notes 4.375%, 5/30/28 (United Kingdom) | 700,000 | 720,835 | ||||
| 17,678,502 | ||||||
| Consumer cyclicals (1.5%) | ||||||
| Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) | 995,000 | 976,329 | ||||
| Amazon.com, Inc. sr. unsec. notes 4.05%, 8/22/47 | 1,105,000 | 1,151,136 | ||||
| Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 | 654,000 | 658,414 | ||||
| Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25 | 255,000 | 254,901 | ||||
| Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 | 847,000 | 861,966 | ||||
| BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 | 671,000 | 693,997 | ||||
| BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.40%, 8/13/21 | 390,000 | 395,898 | ||||
| BMW US Capital, LLC 144A company guaranty sr. unsec. notes 2.80%, 4/11/26 | 490,000 | 471,117 | ||||
| CBS Corp. company guaranty sr. unsec. bonds 4.20%, 6/1/29 | 360,000 | 364,935 | ||||
| CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 | 457,000 | 428,087 | ||||
| CBS Corp. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 | 615,000 | 593,642 | ||||
| CBS Corp. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/26 | 198,000 | 201,733 | ||||
| Fox Corp. 144A company guaranty sr. unsec. notes 4.03%, 1/25/24 | 445,000 | 462,608 | ||||
| General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 | 287,000 | 282,197 | ||||
| General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 | 252,000 | 255,417 | ||||
| General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 | 175,000 | 175,466 | ||||
| Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. sub. notes 4.25%, 9/1/24 | 205,000 | 205,277 | ||||
| Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 | 840,000 | 851,550 | ||||
| IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) | 1,415,000 | 1,478,675 | ||||
| IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) | 350,000 | 349,563 | ||||
| Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 | 1,668,000 | 1,753,331 | ||||
| Lear Corp. sr. unsec. unsub. bonds 3.80%, 9/15/27 | 824,000 | 802,233 | ||||
| NVR, Inc. sr. unsec. notes 3.95%, 9/15/22 | 435,000 | 445,829 | ||||
| Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 | 416,000 | 415,133 | ||||
| QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24 | 390,000 | 398,971 | ||||
| S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 | 539,000 | 579,891 | ||||
| Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 | 1,115,000 | 1,121,969 | ||||
| Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 1,315,000 | 1,291,988 | ||||
| TWDC Enterprises 18 Corp. 144A company guaranty sr. unsec. bonds 4.75%, 9/15/44 | 30,000 | 34,371 | ||||
| TWDC Enterprises 18 Corp. 144A company guaranty sr. unsec. notes 7.75%, 1/20/24 | 1,060,000 | 1,276,698 | ||||
| Warner Media, LLC company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26 | 62,000 | 59,458 | ||||
| 19,292,780 | ||||||
| Consumer staples (0.7%) | ||||||
| Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.95%, 1/15/42 | 200,000 | 203,918 | ||||
| Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 | 1,155,000 | 1,134,788 | ||||
| CVS Pass-Through Trust 144A sr. mtge. notes 7.507%, 1/10/32 | 579,874 | 682,283 | ||||
| CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 | 591,847 | 602,952 | ||||
| Diageo Investment Corp. company guaranty sr. unsec. notes 8.00%, 9/15/22 | 820,000 | 953,899 | ||||
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 | 1,434,000 | 1,871,441 | ||||
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 | 566,000 | 649,884 | ||||
| Keurig Dr Pepper, Inc. 144A company guaranty sr. unsec. notes 4.597%, 5/25/28 | 1,490,000 | 1,557,941 | ||||
| Keurig Dr Pepper, Inc. 144A company guaranty sr. unsec. unsub. notes 4.417%, 5/25/25 | 181,000 | 188,982 | ||||
| Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 | 816,000 | 828,240 | ||||
| Walgreens Boots Alliance, Inc. sr. unsec. bonds 3.45%, 6/1/26 | 588,000 | 568,789 | ||||
| 9,243,117 | ||||||
| Energy (1.2%) | ||||||
| BG Energy Capital PLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 10/15/21 (United Kingdom) | 250,000 | 256,217 | ||||
| BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 | 770,000 | 766,425 | ||||
| BP Capital Markets America, Inc. company guaranty sr. unsec. unsub. notes 3.937%, 9/21/28 | 690,000 | 721,857 | ||||
| Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 | 395,000 | 411,788 | ||||
| Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 | 999,000 | 1,001,510 | ||||
| Energy Transfer Operating LP company guaranty sr. unsec. bonds 6.25%, 4/15/49 | 137,000 | 153,809 | ||||
| Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity | 2,076,000 | 1,972,200 | ||||
| Energy Transfer Partners LP sr. unsec. unsub. notes 7.60%, 2/1/24 | 470,000 | 538,342 | ||||
| Energy Transfer Partners LP sr. unsec. unsub. notes 5.20%, 2/1/22 | 265,000 | 278,289 | ||||
| EOG Resources, Inc. sr. unsec. unsub. notes 4.15%, 1/15/26 | 1,480,000 | 1,565,408 | ||||
| EQT Corp. sr. unsec. unsub. notes 3.90%, 10/1/27 | 1,040,000 | 981,537 | ||||
| Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) | 550,000 | 642,659 | ||||
| Lukoil International Finance BV 144A company guaranty sr. unsec. notes 4.563%, 4/24/23 (Russia) | 315,000 | 323,269 | ||||
| Marathon Petroleum Corp. sr. unsec. unsub. notes 6.50%, 3/1/41 | 175,000 | 212,749 | ||||
| Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) | 348,000 | 325,589 | ||||
| Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 | 175,000 | 177,260 | ||||
| Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 | 878,000 | 935,054 | ||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 | 560,000 | 550,178 | ||||
| Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) | 1,285,000 | 1,230,388 | ||||
| Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 | 1,557,000 | 1,618,044 | ||||
| Williams Partners LP sr. unsec. sub. notes 3.60%, 3/15/22 | 275,000 | 279,146 | ||||
| 14,941,718 | ||||||
| Financials (4.6%) | ||||||
| Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | 455,000 | 469,295 | ||||
| Air Lease Corp. sr. unsec. unsub. notes 3.625%, 4/1/27 | 801,000 | 773,579 | ||||
| Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 493,000 | 534,289 | ||||
| American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 | 856,000 | 1,037,900 | ||||
| Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 | 1,265,000 | 1,211,113 | ||||
| Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) | 200,000 | 216,750 | ||||
| Aviation Capital Group, LLC 144A sr. unsec. unsub. notes 7.125%, 10/15/20 | 265,000 | 279,860 | ||||
| AXA SA 144A jr. unsec. sub. FRN 6.379%, perpetual maturity (France) | 135,000 | 147,825 | ||||
| Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) | 1,200,000 | 1,269,905 | ||||
| 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 (BBA LIBOR USD 3 Month + 0.76%), 3.371%, 9/15/26 | 275,000 | 258,228 | ||||
| Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 | 600,000 | 717,650 | ||||
| Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) | 390,000 | 379,431 | ||||
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 | 808,000 | 846,910 | ||||
| BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 | 155,000 | 158,480 | ||||
| BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France) | 810,000 | 853,312 | ||||
| BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) | 1,060,000 | 1,082,759 | ||||
| Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23(R) | 1,213,000 | 1,295,218 | ||||
| Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 | 824,000 | 880,797 | ||||
| Capital One Bank USA NA unsec. sub. notes 3.375%, 2/15/23 | 462,000 | 462,911 | ||||
| Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 | 227,000 | 233,689 | ||||
| CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 | 197,000 | 212,637 | ||||
| CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 | 545,000 | 578,607 | ||||
| CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 | 1,894,000 | 2,014,743 | ||||
| Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 | 10,000 | 10,028 | ||||
| Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 | 1,540,000 | 1,618,920 | ||||
| Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 | 1,354,000 | 1,405,203 | ||||
| CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 241,000 | 252,749 | ||||
| Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands company guaranty unsec. sub. notes 4.625%, 12/1/23 (Netherlands) | 250,000 | 260,905 | ||||
| Cooperative Rabobank UA company guaranty unsec. sub. notes 3.75%, 7/21/26 (Netherlands) | 285,000 | 282,716 | ||||
| Credit Agricole SA 144A unsec.sub. FRN 4.00%, 1/10/33 (France) | 340,000 | 331,277 | ||||
| Credit Suisse Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland) | 1,239,000 | 1,228,398 | ||||
| Credit Suisse Group AG 144A unsec. sub. notes 6.50%, 8/8/23 (Switzerland) | 729,000 | 790,755 | ||||
| Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28(R) | 1,395,000 | 1,457,139 | ||||
| Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) | 1,225,000 | 1,224,286 | ||||
| Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 | 330,000 | 340,547 | ||||
| Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity | 217,000 | 213,474 | ||||
| Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 | 425,000 | 448,503 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 | 1,459,000 | 1,490,500 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 | 1,477,000 | 1,488,012 | ||||
| Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 | 282,000 | 347,403 | ||||
| Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 6.625%, 3/30/40 | 1,495,000 | 1,863,491 | ||||
| Hospitality Properties Trust sr. unsec. notes 4.375%, 2/15/30(R) | 567,000 | 531,554 | ||||
| Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25(R) | 275,000 | 278,441 | ||||
| HSBC Bank USA NA/New York NY unsec. sub. notes Ser. BKNT, 5.625%, 8/15/35 (United Kingdom) | 250,000 | 291,899 | ||||
| HSBC USA, Inc. sr. unsec. unsub. notes 3.50%, 6/23/24 | 105,000 | 106,798 | ||||
| ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) | 2,225,000 | 2,405,116 | ||||
| JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity | 195,000 | 207,110 | ||||
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity | 918,000 | 935,571 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 | 3,710,000 | 3,618,336 | ||||
| KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20 | 555,000 | 581,459 | ||||
| Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 | 458,000 | 547,310 | ||||
| Lloyds Banking Group PLC unsec. sub. notes 4.65%, 3/24/26 (United Kingdom) | 315,000 | 322,186 | ||||
| Lloyds Banking Group PLC unsec. sub. notes 4.50%, 11/4/24 (United Kingdom) | 530,000 | 544,752 | ||||
| Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 | 672,000 | 717,619 | ||||
| Massachusetts Mutual Life Insurance Co. 144A unsec. sub. notes 8.875%, 6/1/39 | 1,290,000 | 2,017,301 | ||||
| MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 | 2,564,000 | 3,192,180 | ||||
| Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23(R) | 315,000 | 328,163 | ||||
| OneAmerica Financial Partners, Inc. 144A sr. unsec. notes 7.00%, 10/15/33 | 370,000 | 447,327 | ||||
| Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976%, 2/15/25 | 140,000 | 142,615 | ||||
| Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 | 158,000 | 165,505 | ||||
| Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 | 1,485,000 | 1,512,844 | ||||
| Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) | 322,000 | 342,963 | ||||
| Royal Bank of Scotland Group PLC sr. unsec. unsub. FRB 4.892%, 5/18/29 (United Kingdom) | 700,000 | 731,175 | ||||
| Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom) | 200,000 | 201,828 | ||||
| Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom) | 430,000 | 446,997 | ||||
| Sumitomo Mitsui Financial Group, Inc. 144A unsec. sub. bonds 4.436%, 4/2/24 (Japan) | 412,000 | 423,765 | ||||
| Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 | 263,000 | 359,705 | ||||
| Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) | 759,000 | 749,397 | ||||
| UBS AG unsec. sub. notes 5.125%, 5/15/24 (Switzerland) | 2,640,000 | 2,764,714 | ||||
| VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R) | 720,000 | 747,151 | ||||
| Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity | 580,000 | 627,125 | ||||
| Willis Towers Watson PLC company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 | 710,000 | 744,706 | ||||
| WP Carey, Inc. sr. unsec. unsub. notes 4.60%, 4/1/24(R) | 787,000 | 823,821 | ||||
| 59,164,000 | ||||||
| Health care (1.1%) | ||||||
| AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25 | 150,000 | 150,884 | ||||
| Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) | 186,000 | 186,942 | ||||
| Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 | 710,000 | 717,208 | ||||
| Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 | 273,000 | 258,961 | ||||
| Anthem, Inc. sr. unsec. unsub. notes 4.625%, 5/15/42 | 225,000 | 226,954 | ||||
| Becton Dickinson and Co. (BD) sr. unsec. unsub. bonds 3.70%, 6/6/27 | 753,000 | 749,830 | ||||
| Cigna Corp. 144A sr. unsub. notes 3.75%, 7/15/23 | 2,793,000 | 2,842,854 | ||||
| CVS Health Corp. sr. unsec. unsub. bonds 5.05%, 3/25/48 | 216,000 | 213,129 | ||||
| CVS Health Corp. sr. unsec. unsub. notes 3.70%, 3/9/23 | 715,000 | 725,035 | ||||
| Elanco Animal Health, Inc. 144A sr. unsec. notes 4.90%, 8/28/28 | 1,595,000 | 1,689,997 | ||||
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 143,000 | 152,731 | ||||
| HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 | 270,000 | 286,073 | ||||
| HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 | 475,000 | 502,864 | ||||
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. bonds 5.25%, 1/15/26(R) | 560,000 | 589,400 | ||||
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R) | 160,000 | 161,800 | ||||
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) | 724,000 | 752,444 | ||||
| Quest Diagnostics, Inc. company guaranty sr. unsec. notes 4.75%, 1/30/20 | 121,000 | 122,519 | ||||
| Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 185,000 | 186,388 | ||||
| Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) | 823,000 | 801,058 | ||||
| Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) | 503,000 | 496,293 | ||||
| UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 | 1,417,000 | 1,477,895 | ||||
| Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 | 728,000 | 743,895 | ||||
| 14,035,154 | ||||||
| Technology (1.2%) | ||||||
| Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 | 748,000 | 705,617 | ||||
| Apple, Inc. sr. unsec. notes 3.45%, 5/6/24 | 245,000 | 252,466 | ||||
| Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 | 342,000 | 366,164 | ||||
| Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 | 486,000 | 483,260 | ||||
| Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | 1,527,000 | 1,457,140 | ||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 | 1,356,000 | 1,469,182 | ||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 | 271,000 | 333,541 | ||||
| Fidelity National Information Services, Inc. sr. unsec. notes 3.00%, 8/15/26 | 62,000 | 60,065 | ||||
| Fidelity National Information Services, Inc. sr. unsec. sub. notes Ser. 10Y, 4.25%, 5/15/28 | 487,000 | 504,847 | ||||
| Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 | 1,295,000 | 1,338,363 | ||||
| Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) | 882,000 | 1,091,951 | ||||
| Microchip Technology, Inc. 144A company guaranty sr. notes 4.333%, 6/1/23 | 1,195,000 | 1,222,317 | ||||
| Microsoft Corp. sr. unsec. unsub. notes 3.70%, 8/8/46 | 1,150,000 | 1,152,961 | ||||
| Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 | 531,000 | 515,031 | ||||
| Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 | 1,900,000 | 1,989,876 | ||||
| VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 | 374,000 | 364,102 | ||||
| Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 | 1,185,000 | 1,143,525 | ||||
| 14,450,408 | ||||||
| Transportation (0.1%) | ||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 | 595,000 | 566,120 | ||||
| Southwest Airlines Co. Pass Through Trust pass-through certificates Ser. 07-1, Class A, 6.15%, 8/1/22 | 393,828 | 413,869 | ||||
| United Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 14-2, Class A, 3.75%, 9/3/26 | 180,325 | 182,771 | ||||
| 1,162,760 | ||||||
| Utilities and power (0.9%) | ||||||
| AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 | 392,000 | 407,680 | ||||
| American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 | 528,000 | 561,092 | ||||
| Appalachian Power Co. sr. unsec. unsub. notes Ser. L, 5.80%, 10/1/35 | 560,000 | 641,947 | ||||
| Arizona Public Services Co. sr. unsec. notes 4.50%, 4/1/42 | 158,000 | 166,443 | ||||
| Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33 | 610,000 | 740,426 | ||||
| Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 | 255,000 | 259,820 | ||||
| Duke Energy Carolinas, LLC sr. mtge. notes 4.25%, 12/15/41 | 520,000 | 544,236 | ||||
| Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 | 280,000 | 289,853 | ||||
| EDP Finance BV 144A sr. unsec. unsub. notes 5.25%, 1/14/21 (Netherlands) | 365,000 | 376,461 | ||||
| El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 | 490,000 | 640,035 | ||||
| Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) | 416,000 | 433,381 | ||||
| Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 | 560,000 | 549,017 | ||||
| FirstEnergy Corp. sr. unsec. unsub. bonds Ser. B, 3.90%, 7/15/27 | 67,000 | 67,920 | ||||
| FirstEnergy Corp. sr. unsec. unsub. bonds Ser. C, 4.85%, 7/15/47 | 159,000 | 169,349 | ||||
| FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 | 1,120,000 | 1,265,623 | ||||
| Iberdrola International BV company guaranty sr. unsec. unsub. bonds 6.75%, 7/15/36 (Spain) | 185,000 | 231,900 | ||||
| IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 | 340,000 | 343,799 | ||||
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 | 199,000 | 207,617 | ||||
| Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 | 720,000 | 721,275 | ||||
| NextEra Energy Capital Holdings, Inc. company guaranty jr. unsec. sub. FRB 4.80%, 12/1/77 | 770,000 | 693,000 | ||||
| Oncor Electric Delivery Co., LLC sr. notes 5.75%, 3/15/29 | 445,000 | 531,936 | ||||
| PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 4.20%, 6/15/22 | 145,000 | 149,411 | ||||
| WEC Energy Group, Inc. jr. unsec. sub. FRN Ser. A, (BBA LIBOR USD 3 Month + 2.11%), 4.796%, 5/15/67 | 1,945,000 | 1,682,425 | ||||
| 11,674,646 | ||||||
| Total corporate bonds and notes (cost $172,719,465) | $178,427,387 | |||||
| MORTGAGE-BACKED SECURITIES (1.0%)(a) | ||||||
| Principal amount | Value | |||||
| Bellemeade Re, Ltd. 144A FRB Ser. 17-1, Class M1, (1 Month US LIBOR + 1.70%), 4.177%, 10/25/27 (Bermuda) | $365,136 | $373,169 | ||||
| Citigroup Commercial Mortgage Trust | ||||||
| Ser. 14-GC21, Class C, 4.78%, 5/10/47(WAC) | 508,000 | 523,045 | ||||
| Ser. 14-GC21, Class AS, 4.026%, 5/10/47 | 520,000 | 538,627 | ||||
| COMM Mortgage Trust | ||||||
| FRB Ser. 12-LC4, Class C, 5.723%, 12/10/44(WAC) | 500,000 | 516,587 | ||||
| FRB Ser. 14-CR18, Class C, 4.906%, 7/15/47(WAC) | 2,392,000 | 2,457,189 | ||||
| Ser. 13-CR13, Class AM, 4.449%, 11/10/46(WAC) | 777,000 | 817,061 | ||||
| Ser. 12-CR1, Class AM, 3.912%, 5/15/45 | 1,046,000 | 1,073,891 | ||||
| Eagle RE, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.70%), 4.177%, 11/25/28 | 760,000 | 766,888 | ||||
| Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt FRN Ser. 14-HQ2, Class M2, (1 Month US LIBOR + 2.20%), 4.677%, 9/25/24 | 467,695 | 476,195 | ||||
| Federal National Mortgage Association | ||||||
| Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (1 Month US LIBOR + 6.75%), 9.227%, 8/25/28 | 970,623 | 1,126,226 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 8.477%, 9/25/28 | 156,796 | 178,058 | ||||
| Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M1, (1 Month US LIBOR + 1.35%), 3.827%, 1/25/29 | 1,010 | 1,010 | ||||
| Ser. 01-79, Class BI, IO, 0.282%, 3/25/45(WAC) | 679,156 | 5,773 | ||||
| FIRSTPLUS Home Loan Owner Trust Ser. 97-3, Class B1, 7.79%, 11/10/23 (In default)(NON) | 194,241 | 19 | ||||
| Home Re, Ltd. 144A FRB Ser. 18-1, Class M1, (1 Month US LIBOR + 1.60%), 4.077%, 10/25/28 (Bermuda) | 592,000 | 596,995 | ||||
| JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 12-C6, Class D, 5.32%, 5/15/45(WAC) | 772,000 | 767,850 | ||||
| JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C8, Class D, 4.806%, 10/15/45(WAC) | 404,000 | 400,648 | ||||
| Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class D, 5.60%, 3/15/45(WAC) | 1,794,000 | 1,750,722 | ||||
| TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 | 2,032,334 | 138,199 | ||||
| Total mortgage-backed securities (cost $13,367,145) | $12,508,152 | |||||
| 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 | $795 | ||||
| Oportun Financial Corp. Ser. B-1, 8.00% cv. pfd. (acquired 6/23/15, cost $20,210) (Private)(F)(RES)(NON) | 6,416 | 15,205 | ||||
| Oportun Financial Corp. Ser. C-1, 8.00% cv. pfd. (acquired 6/23/15, cost $47,464) (Private)(F)(RES)(NON) | 9,325 | 35,709 | ||||
| Oportun Financial Corp. Ser. D-1, 8.00% cv. pfd. (acquired 6/23/15, cost $68,847) (Private)(F)(RES)(NON) | 13,526 | 51,796 | ||||
| Oportun Financial Corp. Ser. E-1, 8.00% cv. pfd. (acquired 6/23/15, cost $38,611) (Private)(F)(RES)(NON) | 7,033 | 29,048 | ||||
| Oportun Financial Corp. Ser. F, 8.00% cv. pfd. (acquired 6/23/15, cost $116,544) (Private)(F)(RES)(NON) | 15,175 | 87,680 | ||||
| Oportun Financial Corp. Ser. F-1, 8.00% cv. pfd. (acquired 6/23/15, cost $326,895) (Private)(F)(RES)(NON) | 114,700 | 245,934 | ||||
| Oportun Financial Corp. Ser. G, 8.00% cv. pfd. (acquired 6/23/15, cost $413,355) (Private)(F)(RES)(NON) | 145,037 | 310,981 | ||||
| Oportun Financial Corp. Ser. H, 8.00% cv. pfd. (acquired 2/6/15, cost $633,655) (Private)(F)(RES)(NON) | 222,546 | 476,694 | ||||
| Total convertible preferred stocks (cost $1,666,638) | $1,253,842 | |||||
| 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 | $309,325 | ||||
| North TX, Tollway Auth. Rev. Bonds, (Build America Bonds), 6.718%, 1/1/49 | 350,000 | 522,218 | ||||
| OH State U. Rev. Bonds, (Build America Bonds), 4.91%, 6/1/40 | 275,000 | 325,171 | ||||
| Total municipal bonds and notes (cost $841,237) | $1,156,714 | |||||
| SHORT-TERM INVESTMENTS (4.5%)(a) | ||||||
| Shares | Value | |||||
| State Street Institutional U.S. Government Money Market Fund, Premier Class 2.37%(P) | 480,000 | $480,000 | ||||
| Putnam Short Term Investment Fund 2.60%(AFF) | 54,273,616 | 54,273,616 | ||||
| Putnam Cash Collateral Pool, LLC 2.72%(AFF) | 2,567,275 | 2,567,275 | ||||
| Total short-term investments (cost $57,320,891) | $57,320,891 | |||||
| TOTAL INVESTMENTS | ||||||
| Total investments (cost $1,168,921,742) | $1,296,227,487 | |||||
| FORWARD CURRENCY CONTRACTS at 4/30/19 (aggregate face value $78,334,581) (Unaudited) | |||||||
| Counterparty | Currency | Contract type* | Delivery date |
Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
|
| Bank of America N.A. | |||||||
| British Pound | Sell | 6/19/19 | $7,208,217 | $7,335,487 | $127,270 | ||
| Barclays Bank PLC | |||||||
| British Pound | Sell | 6/19/19 | 5,326,972 | 5,429,080 | 102,108 | ||
| Canadian Dollar | Sell | 7/17/19 | 2,583,369 | 2,595,291 | 11,922 | ||
| Citibank, N.A. | |||||||
| British Pound | Sell | 6/19/19 | 3,526,648 | 3,589,030 | 62,382 | ||
| Canadian Dollar | Sell | 7/17/19 | 3,372,896 | 3,373,788 | 892 | ||
| Euro | Buy | 6/19/19 | 231,881 | 236,448 | (4,567) | ||
| Goldman Sachs International | |||||||
| British Pound | Sell | 6/19/19 | 7,352,546 | 7,479,491 | 126,945 | ||
| Canadian Dollar | Sell | 7/17/19 | 4,283,204 | 4,300,701 | 17,497 | ||
| HSBC Bank USA, National Association | |||||||
| Chinese Yuan (Offshore) | Buy | 5/15/19 | 10,897,241 | 10,871,659 | 25,582 | ||
| Chinese Yuan (Offshore) | Sell | 5/15/19 | 10,897,241 | 10,836,254 | (60,987) | ||
| Chinese Yuan (Offshore) | Sell | 8/21/19 | 10,894,554 | 10,868,198 | (26,356) | ||
| JPMorgan Chase Bank N.A. | |||||||
| Canadian Dollar | Sell | 7/17/19 | 3,727,611 | 3,743,386 | 15,775 | ||
| South Korean Won | Buy | 5/15/19 | 3,682,139 | 3,825,913 | (143,774) | ||
| South Korean Won | Sell | 5/15/19 | 3,682,139 | 3,849,855 | 167,716 | ||
| Unrealized appreciation | 658,089 | ||||||
| Unrealized (depreciation) | (235,684) | ||||||
| Total | $422,405 | ||||||
| * | The exchange currency for all contracts listed is the United States Dollar. | ||||||
| FUTURES CONTRACTS OUTSTANDING at 4/30/19 (Unaudited) | ||||||
| Number of contracts | Notional amount |
Value | Expiration date | Unrealized appreciation/ (depreciation) |
||
| S&P 500 Index E-Mini (Long) | 109 | $16,054,774 | $16,069,325 | Jun-19 | $237,229 | |
| Unrealized appreciation | 237,229 | |||||
| Unrealized (depreciation) | — | |||||
| Total | $237,229 | |||||
| TBA SALE COMMITMENTS OUTSTANDING at 4/30/19 (proceeds receivable $10,293,047) (Unaudited) | |||||
| Agency | Principal amount | Settlement date | Value | ||
| Federal National Mortgage Association, 4.00%, 5/1/49 | $4,000,000 | $4,104,688 | |||
| Government National Mortgage Association, 4.50%, 4/1/49 | 1,000,000 | 1,038,320 | |||
| Government National Mortgage Association, 4.00%, 5/1/49 | 5,000,000 | 5,148,437 | |||
| Total | $10,291,445 | ||||
| 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 | |||||
| FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
| FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
| GMTN | Global Medium Term Notes | |||||
| G.O. Bonds | General Obligation Bonds | |||||
| IO | Interest Only | |||||
| 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, 2018 through April 30, 2019 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter. | ||||||
| (a) | Percentages indicated are based on net assets of $1,275,659,185. | |||||
| (NON) | This security is non-income-producing. | |||||
| (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 $1,544,983, or 1.2% of net assets. | |||||
| (AFF) | Affiliated company. For investments in Putnam Cash Collateral Pool, 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 as of 7/31/18 |
Purchase cost |
Sale proceeds |
Investment income |
Shares outstanding and fair value as of 4/30/19 |
|
| Short-term investments | ||||||
| Putnam Cash Collateral Pool, LLC*# | $12,806,160 | $117,075,792 | $127,314,677 | $247,813 | $2,567,275 | |
| Putnam Short Term Investment Fund** | 66,260,491 | 229,325,362 | 241,312,237 | 1,004,230 | 54,273,616 | |
| Total Short-term investments | $79,066,651 | $346,401,154 | $368,626,914 | $1,252,043 | $56,840,891 | |
| * No management fees are charged to Putnam Cash Collateral Pool, LLC. There were no realized or unrealized gains or losses during the period. | ||||||
| # 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 $2,567,275, 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 $2,517,363. | ||||||
| ** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | ||||||
| (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. Collateral at period end totaled $743,132. | |||||
| (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. Collateral at period end totaled $122,710. | |||||
| (F) | This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio. | |||||
| (i) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | |||||
| (P) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative 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) | This security is on loan, in part or in entirety, at the close of the reporting period. | |||||
| (WAC) | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | |||||
| At the close of the reporting period, the fund maintained liquid assets totaling $21,589,650 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 parenthetically on prerefunded bonds represent the next prerefunding dates. | ||||||
| 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. 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, 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 tomanage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates, for hedging treasury term structure risk, for yield curve positioning 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, for hedging currency exposures and to gain exposure to currencies. | ||||||
| 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. | ||||||
| TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. 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. | ||||||
| The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | ||||||
| TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | ||||||
| Unsettled TBA 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 or to dispose of the TBA commitments prior to settlement. | ||||||
| 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, is 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 $61,761 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $122,710 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 | $34,874,998 | $— | $— | |
| Capital goods | 52,701,488 | — | — | |
| Communication services | 23,677,452 | — | — | |
| Conglomerates | 13,622,744 | — | — | |
| Consumer cyclicals | 106,677,226 | — | — | |
| Consumer staples | 51,346,110 | — | — | |
| Energy | 25,158,987 | 13,638,334 | — | |
| Financials | 120,728,872 | 9,892,996 | 291,141 | |
| Health care | 90,369,201 | — | — | |
| Technology | 197,547,949 | 3,204,475 | — | |
| Transportation | 12,929,258 | — | — | |
| Utilities and power | 35,765,713 | — | — | |
| Total common stocks | 765,399,998 | 26,735,805 | 291,141 | |
| Convertible preferred stocks | — | — | 1,253,842 | |
| Corporate bonds and notes | — | 178,427,387 | — | |
| Mortgage-backed securities | — | 12,508,152 | — | |
| Municipal bonds and notes | — | 1,156,714 | — | |
| U.S. government and agency mortgage obligations | — | 124,667,333 | — | |
| U.S. treasury obligations | — | 128,466,224 | — | |
| Short-term investments | 54,753,616 | 2,567,275 | — | |
| Totals by level | $820,153,614 | $474,528,890 | $1,544,983 | |
Valuation inputs |
||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | |
| Forward currency contracts | $— | $422,405 | $— | |
| Futures contracts | 237,229 | — | — | |
| TBA sale commitments | — | (10,291,445) | — | |
| Totals by level | $237,229 | $(9,869,040) | $— | |
| * Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | ||||
| 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 | $658,089 | $235,684 | ||
| Equity contracts | 237,229 | — | ||
| Total | $895,318 | $235,684 | ||
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) | 40 | |||
| Forward currency contracts (contract amount) | $64,800,000 | |||
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 |
||||