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: (811-05346)

Exact name of registrant as specified in charter: Putnam Variable Trust

Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109

Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109

Copy to:         John W. Gerstmayr, Esq.
Ropes & Gray LLP
800 Boylston Street
Boston, Massachusetts 02199-3600

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

Date of fiscal year end: December 31, 2014

Date of reporting period: March 31, 2014

Item 1. Schedule of Investments:

Putnam VT High Yield Fund
The fund's portfolio
3/31/14 (Unaudited)
CORPORATE BONDS AND NOTES (85.0%)(a)
			Principal amount	Value
Advertising and marketing services (0.6%)
CBS Outdoor Americas Capital, LLC/CBS Outdoor Americas Capital Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024			$730,000	$748,250
Griffey Intermediate, Inc./Griffey Finance Sub, LLC 144A sr. unsec. notes 7s, 2020			855,000	745,988
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022			485,000	514,100
Lamar Media Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2024			255,000	261,375
				2,269,713
Automotive (1.2%)
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021			700,000	791,875
Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty notes 8 1/4s, 2021			210,000	237,300
Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty notes 8s, 2019			265,000	290,506
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023			615,000	640,369
Motors Liquidation Co. escrow notes 8 1/4s, 2023			820,000	12,300
Motors Liquidation Co. escrow sr. unsec. unsub. notes 8 3/8s, 2033			765,000	11,475
Navistar International Corp. sr. notes 8 1/4s, 2021			1,031,000	1,052,909
Schaeffler Finance BV company gauranty sr. notes Ser. REGS, 8 3/4s, 2019 (Netherlands)		EUR	130,000	201,481
Schaeffler Finance BV 144A company guaranty sr. notes 8 1/2s, 2019 (Netherlands)			$218,000	243,615
Schaeffler Finance BV 144A company guaranty sr. notes 7 3/4s, 2017 (Netherlands)			260,000	294,450
Schaeffler Finance BV 144A sr. notes 4 3/4s, 2021 (Netherlands)			400,000	409,000
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017			70,000	79,888
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021			180,000	184,500
				4,449,668
Basic materials (7.3%)
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada)			225,000	241,432
ArcelorMittal SA sr. unsec. bonds 10.35s, 2019 (France)			1,250,000	1,582,813
ArcelorMittal SA sr. unsec. unsub. notes 7 1/2s, 2039 (France)			270,000	279,113
Ashland, Inc. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022			845,000	830,213
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018			424,000	455,800
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020			620,000	663,400
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany)			395,000	389,075
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)			1,145,000	1,230,812
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, 2022 (Mexico)			425,000	498,844
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico)			325,000	325,813
Cemex SAB de CV 144A company guaranty sr. notes 7 1/4s, 2021 (Mexico)			275,000	300,438
Cemex SAB de CV 144A company guaranty sr. notes 6 1/2s, 2019 (Mexico)			595,000	632,931
Cemex SAB de CV 144A company guaranty sr. notes 5 7/8s, 2019 (Mexico)			525,000	544,031
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021			610,000	654,225
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada)			220,000	219,523
Exopack Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg)			335,000	353,844
Ferro Corp. sr. unsec. notes 7 7/8s, 2018			295,000	311,225
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada)			300,000	305,250
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada)			200,000	202,500
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia)			370,000	407,000
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia)			830,000	873,575
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia)			345,000	371,738
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 4 3/4s, 2021			155,000	155,194
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020			790,000	862,088
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020			430,000	511,700
Hexion U.S. Finance Corp. company guaranty sr. notes 6 5/8s, 2020			215,000	222,525
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020			205,000	202,950
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018			575,000	598,000
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021			775,000	868,000
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020			250,000	274,375
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020			790,000	794,938
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada)			435,000	387,150
Ineos Finance PLC 144A company guaranty sr. notes 8 3/8s, 2019 (United Kingdom)			255,000	281,775
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg)			720,000	744,300
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 5 7/8s, 2019 (Luxembourg)			215,000	219,569
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019			960,000	1,108,800
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020			360,000	398,700
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020			565,000	611,613
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada)			420,000	442,050
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada)			380,000	386,984
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020			425,000	474,938
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden)			630,000	674,100
PQ Corp. 144A sr. notes 8 3/4s, 2018			665,000	726,513
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020			200,000	223,500
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017			300,000	323,625
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020			455,000	501,638
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023			405,000	408,038
Smurfit Kappa Acquisitions 144A company guaranty sr. notes 4 7/8s, 2018 (Ireland)			265,000	278,629
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland)			345,000	389,850
Steel Dynamics, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020			185,000	200,263
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022			115,000	125,063
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019			155,000	168,563
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/4s, 2023			75,000	76,313
Taminco Global Chemical Corp. 144A sr. notes 9 3/4s, 2020 (Belgium)			890,000	1,003,475
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021			165,000	176,550
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020			295,000	323,394
Tronox Finance, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2020			525,000	539,438
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021			125,000	132,813
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023			870,000	865,650
				28,356,659
Broadcasting (2.4%)
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2019			1,385,000	1,454,250
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020			635,000	685,800
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022			1,105,000	1,180,969
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019			570,000	607,050
Entercom Radio, LLC company guaranty sr. unsec. sub. notes 10 1/2s, 2019			585,000	672,750
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020			835,000	905,975
LIN Television Corp. company guaranty sr. unsec. notes 6 3/8s, 2021			255,000	270,300
Nexstar Broadcasting, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2020			530,000	569,750
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021			595,000	618,800
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021			90,000	89,325
Sinclair Television Group, Inc. sr. unsec. notes 6 1/8s, 2022			135,000	136,688
Sirius XM Holdings, Inc. 144A sr. unsec. bonds 5 7/8s, 2020			640,000	675,200
Townsquare Radio, LLC/Townsquare Radio, Inc. 144A company guaranty sr. unsec. notes 9s, 2019			385,000	423,500
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021			810,000	897,075
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020			245,000	270,725
				9,458,157
Building materials (1.1%)
Building Materials Corp. of America 144A company guaranty sr. notes 7 1/2s, 2020			150,000	161,625
Building Materials Corp. of America 144A company guaranty sr. notes 7s, 2020			700,000	750,750
Building Materials Corp. of America 144A sr. unsec. notes 6 3/4s, 2021			275,000	298,375
Jeld-Wen, Inc. 144A sr. notes 12 1/4s, 2017			290,000	321,900
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada)			895,000	987,856
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018			930,000	1,020,675
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021			560,000	625,800
Owens Corning company guaranty sr. unsec. notes 9s, 2019			181,000	224,228
				4,391,209
Capital goods (5.5%)
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020			1,460,000	1,587,750
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019			1,485,000	1,717,031
B/E Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022			235,000	241,756
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021			300,000	348,375
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019			550,000	581,625
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK)			735,000	773,588
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada)			180,000	181,800
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada)			360,000	401,400
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020			875,000	971,250
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023			445,000	424,975
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023			40,000	42,400
Exide Technologies sr. notes 8 5/8s, 2018 (In default)(NON)			665,000	505,400
Gestamp Funding Luxembourg SA 144A sr. notes 5 5/8s, 2020 (Luxembourg)			605,000	624,663
GrafTech International, Ltd. company guaranty sr. unsec. notes 6 3/8s, 2020			635,000	654,050
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017			245,000	259,088
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France)			1,100,000	1,460,836
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022			670,000	713,550
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023			1,060,000	1,038,800
Oshkosh Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022			360,000	366,300
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018			645,000	701,438
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017			95,000	100,700
Rexel SA 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 (France)			220,000	232,100
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 7/8s, 2019			250,000	274,688
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020			425,000	445,188
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019			845,000	944,288
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand)			670,000	731,138
Schaeffler Holding Finance BV 144A company guaranty sr. notes 6 7/8s, 2018 (Netherlands)(PIK)			645,000	686,925
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020			365,000	400,588
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020			160,000	174,000
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021			960,000	1,027,200
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017			176,000	188,760
Titan International, Inc. 144A company guaranty sr. bonds 6 7/8s, 2020			320,000	339,200
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021			150,000	166,125
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020			385,000	391,738
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018			840,000	900,900
Triumph Group, Inc. company guaranty sr. unsec. notes 4 7/8s, 2021			540,000	531,900
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK)			305,000	321,775
				21,453,288
Coal (0.8%)
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021			550,000	415,250
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020			1,270,000	1,379,538
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017			760,000	793,250
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016			95,000	106,400
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6s, 2018			380,000	398,525
				3,092,963
Commercial and consumer services (2.3%)
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015(PIK)			99,300	100,045
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015			765,000	770,738
Ceridian Corp. 144A sr. notes 8 7/8s, 2019			385,000	437,938
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021			1,100,000	1,267,750
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg)			630,000	672,525
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada)			880,000	939,602
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK)			885,000	906,019
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023			880,000	937,200
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016			1,045,000	1,163,869
Sabre, Inc. 144A sr. notes 8 1/2s, 2019			700,000	774,375
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016			495,000	504,900
Travelport, LLC/Travelport Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 13 7/8s, 2016(PIK)			401,399	423,476
				8,898,437
Communication services (10.1%)
Adelphia Communications Corp. escrow bonds zero %, 2015			755,000	5,285
Adelphia Communications Corp. escrow bonds zero %, 2014			80,000	560
Adelphia Communications Corp. escrow bonds zero %, 2014			130,000	910
Adelphia Communications Corp. escrow bonds zero %, 2014			290,000	2,030
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017			500,000	593,750
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020			75,000	87,469
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018			235,000	268,488
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021			935,000	991,100
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022			540,000	534,600
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020			430,000	470,313
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022			235,000	251,156
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023			910,000	880,425
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019			450,000	475,875
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023			645,000	684,506
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020			145,000	152,431
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019			240,000	255,300
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023			1,005,000	1,021,331
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021			350,000	391,125
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica)			1,300,000	1,387,750
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)			420,000	436,800
DISH DBS Corp. company guaranty sr. unsec. notes 7 7/8s, 2019			550,000	650,375
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021			360,000	403,200
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018			765,000	893,138
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024			180,000	188,100
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019			455,000	499,363
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021			810,000	913,275
Intelsat Jackson Holdings SA company guaranty sr. unsec. bonds 6 5/8s, 2022 (Bermuda)			305,000	317,200
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda)			365,000	400,588
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 8 1/8s, 2023 (Luxembourg)			1,275,000	1,351,500
Intelsat Luxembourg SA 144A sr. unsec. notes 7 3/4s, 2021 (Luxembourg)			2,521,000	2,653,353
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 5/8s, 2020			565,000	633,506
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019			140,000	153,650
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 7s, 2020			360,000	390,150
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021			250,000	263,750
Lynx II Corp. 144A sr. unsec. notes 6 3/8s, 2023 (United Kingdom)			285,000	300,675
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. unsub. notes 7 1/4s, 2022			620,000	675,800
Nil International Telecom SCA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg)			415,000	281,163
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018			595,000	653,013
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada)			480,000	481,200
Qwest Corp. sr. unsec. notes 6 3/4s, 2021			510,000	569,468
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025			555,000	613,081
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019			380,000	403,275
SBA Telecommunications, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2020			200,000	209,500
Sprint Capital Corp. company guaranty 6 7/8s, 2028			1,760,000	1,707,200
Sprint Communications, Inc. sr. unsec. unsub. notes 8 3/8s, 2017			455,000	535,194
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020			380,000	413,250
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018			1,040,000	1,271,400
Sprint Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2023			1,270,000	1,397,000
Sprint Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2021			1,330,000	1,449,700
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023			110,000	117,975
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021			275,000	295,281
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023			845,000	897,813
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.464s, 2019			245,000	262,150
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021			1,045,000	1,109,006
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022			645,000	674,831
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 7 1/2s, 2019 (Germany)			395,000	428,575
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada)			1,160,000	1,162,900
Virgin Media Secured Finance PLC 144A sr. notes 5 3/8s, 2021 (United Kingdom)			285,000	294,263
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019			1,175,000	1,333,625
Wind Acquisition Finance SA company guaranty sr. notes Ser. REGS, 7 3/8s, 2018 (Luxembourg)		EUR	195,000	283,995
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 1/4s, 2018 (Luxembourg)			$725,000	764,875
Wind Acquisition Finance SA 144A sr. notes 11 3/4s, 2017 (Luxembourg)			315,000	331,931
Wind Acquisition Holdings Finance SA 144A company guaranty sr. notes 12 1/4s, 2017 (Luxembourg)			172,125	180,301
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017			535,000	613,913
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021			260,000	279,500
Windstream Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2023			330,000	321,750
				38,915,955
Consumer (0.3%)
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018			400,000	425,500
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022			35,000	38,150
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020			45,000	48,713
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6 3/4s, 2020			615,000	666,506
				1,178,869
Consumer staples (6.2%)
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018			760,000	710,600
Affinion Investments, LLC 144A company guaranty sr. unsec. sub. notes 13 1/2s, 2018			295,800	300,237
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022			1,380,000	1,500,750
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020			225,000	258,750
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023			645,000	649,838
B&G Foods, Inc. company guaranty sr. unsec. notes 4 5/8s, 2021			365,000	361,350
Barry Callebaut Services NV 144A company guaranty sr. unsec. notes 5 1/2s, 2023 (Belgium)			220,000	225,173
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018			545,000	594,731
CEC Entertainment, Inc. 144A sr. unsec. notes 8s, 2022			330,000	341,550
Claire's Stores, Inc. 144A company guaranty sr. notes 6 1/8s, 2020			180,000	168,750
Claire's Stores, Inc. 144A sr. notes 9s, 2019			825,000	856,969
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023			580,000	566,950
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016			665,000	749,788
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022			335,000	370,175
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R)			705,000	680,325
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R)			145,000	143,188
Dave & Buster's, Inc. company guaranty sr. unsec. unsub. notes 11s, 2018			900,000	963,000
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016			660,000	726,000
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018			1,295,000	1,411,550
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021			1,290,000	1,386,750
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil)			490,000	463,124
Hawk Acquisition Sub, Inc. 144A sr. notes 4 1/4s, 2020			820,000	806,675
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018			295,000	314,175
Hertz Corp. (The) company guaranty sr. unsec. notes 6 1/4s, 2022			680,000	727,600
Hertz Corp. (The) company guaranty sr. unsec. notes 5 7/8s, 2020			310,000	330,538
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil)			890,000	947,850
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil)			190,000	201,875
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018			205,000	219,350
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020			790,000	869,988
Libbey Glass, Inc. company guaranty sr. notes 6 7/8s, 2020			383,000	417,949
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022			100,000	107,500
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021			535,000	548,375
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021			720,000	723,600
Rite Aid Corp. company guaranty sr. notes 10 1/4s, 2019			295,000	324,500
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/4s, 2020			835,000	952,944
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020			235,000	260,850
Smithfield Foods, Inc. 144A sr. unsec. notes 5 1/4s, 2018			595,000	618,800
Smithfield Foods, Inc. 144A sr. unsec. notes 5 7/8s, 2021			140,000	145,250
Smithfield Foods, Inc. sr. unsec. unsub. notes 6 5/8s, 2022			540,000	583,200
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022			540,000	606,150
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024			160,000	161,200
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023			475,000	503,500
				23,801,417
Energy (oil field) (1.3%)
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020			465,000	488,250
Exterran Partners LP/EXLP Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2022			515,000	506,611
Forum Energy Technologies, Inc. 144A sr. unsec. notes 6 1/4s, 2021			665,000	704,900
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020			560,000	609,000
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021			820,000	862,025
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands)			740,000	788,306
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands)			540,000	549,450
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada)			175,000	176,589
Trinidad Drilling, Ltd. 144A sr. unsec. notes 7 7/8s, 2019 (Canada)			155,000	165,850
				4,850,981
Entertainment (1.5%)
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020			765,000	881,663
AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5 7/8s, 2022			425,000	432,438
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018			135,000	144,153
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021			365,000	369,563
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022			315,000	315,000
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023			295,000	283,569
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021			85,000	94,244
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2020			660,000	677,325
GLP Capital LP/GLP Financing II, Inc. 144A company guaranty sr. unsec. notes 4 3/8s, 2018			245,000	251,431
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025			280,000	275,100
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023			735,000	742,350
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022			135,000	139,050
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021			1,150,000	1,158,625
				5,764,511
Financials (9.2%)
A-S Co-Issuer Subsidiary, Inc./A-S Merger Sub., LLC 144A sr. unsec. notes 7 7/8s, 2020			700,000	742,000
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031			420,000	517,650
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2020			425,000	512,125
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020			430,000	511,163
Ally Financial, Inc. unsec. sub. notes 8s, 2018			475,000	566,438
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2058			195,000	256,181
BBVA International Preferred SAU bank guaranty jr. unsec. sub. FRN notes 5.919s, perpetual maturity (Spain)			610,000	606,950
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020			810,000	864,675
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023			110,000	110,138
CIT Group, Inc. sr. unsec. notes 5s, 2023			365,000	373,213
CIT Group, Inc. sr. unsec. notes 5s, 2022			230,000	238,625
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020			515,000	552,338
CIT Group, Inc. sr. unsec. unsub. notes 3 7/8s, 2019			260,000	262,845
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018			270,000	302,063
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019			635,000	684,213
Citigroup, Inc. unsec. sub. notes 1.686s, 2019		EUR	245,000	334,473
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020			$720,000	658,800
CNO Financial Group, Inc. 144A company guaranty sr. notes 6 3/8s, 2020			400,000	427,500
Commerzbank AG 144A unsec. sub. notes 8 1/8s, 2023 (Germany)			220,000	251,625
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019			530,000	447,850
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2021			595,000	618,800
Dresdner Funding Trust I 144A bonds 8.151s, 2031			1,145,000	1,299,575
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019			1,065,000	1,158,188
HBOS PLC 144A sr. unsec. sub. notes 6 3/4s, 2018 (United Kingdom)			765,000	866,701
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom)			300,000	311,193
Hockey Merger Sub 2, Inc. 144A sr. unsec. notes 7 7/8s, 2021			740,000	789,950
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 6s, 2020			1,085,000	1,150,100
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2022			730,000	740,950
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019			205,000	226,525
International Lease Finance Corp. sr. unsec. unsub. notes 5 7/8s, 2022			615,000	650,363
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R)			420,000	474,075
LBG Capital No. 1 PLC 144A bank guaranty unsec. sub. bonds 7 7/8s, 2020 (United Kingdom)			310,000	336,505
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037			510,000	566,100
Lloyds Bank PLC jr. sub. FRN notes Ser. EMTN, 13s, perpetual maturity (United Kingdom)		GBP	485,000	1,342,109
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R)			$660,000	706,200
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada)			255,000	256,275
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020			615,000	621,150
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2018			245,000	246,225
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021			305,000	287,463
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022			480,000	511,200
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 5/8s, 2020			310,000	328,988
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020			490,000	521,850
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017			375,000	396,563
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021			530,000	551,200
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019			800,000	886,000
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021			655,000	673,013
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021			585,000	582,806
Provident Funding Associates LP/PFG Finance Corp. 144A sr. notes 10 1/8s, 2019			430,000	469,775
Regions Bank unsec. sub. notes 7 1/2s, 2018			160,000	188,830
Royal Bank of Scotland Group PLC jr. sub. unsec. FRN notes Ser. U, 7.64s, perpetual maturity (United Kingdom)			100,000	101,500
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB bonds 7.648s, perpetual maturity (United Kingdom)			1,915,000	2,063,413
Royal Bank of Scotland Group PLC unsec. sub. notes 6s, 2023 (United Kingdom)			390,000	399,342
SLM Corp. sr. unsec. unsub. notes Ser. MTN, 8.45s, 2018			1,650,000	1,942,875
Springleaf Finance Corp. sr. unsec. notes Ser. MTN, 6.9s, 2017			1,580,000	1,734,050
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021			155,000	171,663
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020			365,000	371,388
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020			757,000	792,958
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018			325,000	355,875
Walter Investment Management Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2021			525,000	523,688
				35,436,289
Gaming and lottery (1.8%)
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 9s, 2020			428,000	384,130
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017			190,000	182,875
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019			530,000	564,450
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada)		CAD	760,000	726,053
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021			$250,000	253,750
Isle of Capri Casinos, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2020			275,000	298,719
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019			635,000	681,831
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019			1,393,299	1,574,428
Penn National Gaming, Inc. 144A sr. unsec. notes 5 7/8s, 2021			695,000	682,838
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019			508,000	556,260
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018			880,000	928,400
				6,833,734
Health care (7.6%)
Acadia Healthcare Co., Inc. 144A company guaranty sr. unsec. notes 6 1/8s, 2021			565,000	589,719
AmSurg Corp. company guaranty sr. unsec. unsub. notes 5 5/8s, 2020			490,000	509,600
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 7 3/4s, 2019			655,000	707,400
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. company guaranty sr. unsec. notes 6s, 2021			645,000	669,188
Biomet, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2020			495,000	525,938
Biomet, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020			825,000	888,525
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019		EUR	645,000	975,496
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK)			$585,000	602,550
Catamaran Corp. company guaranty sr. unsec. bonds 4 3/4s, 2021			345,000	349,744
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018			120,000	126,450
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8s, 2019			255,000	280,181
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5 1/8s, 2021			120,000	123,000
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 6 7/8s, 2022			140,000	146,300
ConvaTec Finance International SA 144A sr. unsec. notes 8 1/4s, 2019 (Luxembourg)(PIK)			655,000	674,650
ConvaTec Healthcare D Sarl 144A sr. notes 7 3/8s, 2017 (Luxembourg)		EUR	165,000	240,430
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg)			$575,000	638,250
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022			290,000	297,613
Envision Healthcare Corp. company guaranty sr. unsec. notes 8 1/8s, 2019			60,000	64,125
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019			615,000	662,663
Grifols Worldwide Operations, Ltd. 144A sr. unsec. notes 5 1/4s, 2022 (Ireland)			200,000	205,000
HCA, Inc. company guaranty sr. notes 3 3/4s, 2019			390,000	391,463
HCA, Inc. sr. notes 6 1/2s, 2020			2,385,000	2,671,200
HCA, Inc. sr. unsec. notes 7 1/2s, 2022			210,000	239,925
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017			830,000	902,625
Healthcare Technology Intermediate, Inc. 144A sr. unsec. notes 7 3/8s, 2018(PIK)			290,000	295,800
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019			605,000	645,838
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK)			310,000	325,888
Jaguar Holding Co.II/Jaguar Merger Sub, Inc. 144A sr. unsec. notes 9 1/2s, 2019			530,000	589,625
JLL/Delta Dutch Newco BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands)			945,000	973,350
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018			1,255,000	1,443,250
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty sr. unsec. notes 12 1/2s, 2019			395,000	459,188
MPH Acquisition Holdings, LLC 144A sr. unsec. notes 6 5/8s, 2022			85,000	87,125
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018			635,000	688,975
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022(R)			455,000	495,950
Omega Healthcare Investors, Inc. 144A sr. unsec. notes 4.95s, 2024(R)			515,000	504,069
Par Pharmaceutical Cos., Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2020			850,000	920,125
Salix Pharmaceuticals, Ltd. 144A company guaranty sr. unsec. notes 6s, 2021			220,000	234,850
Service Corp. International/US sr. notes 7s, 2019			345,000	365,269
Service Corp. International/US 144A sr. unsec. notes 5 3/8s, 2022			695,000	703,688
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019			620,000	651,620
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019			100,000	106,625
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021			865,000	845,538
Tenet Healthcare Corp. company guaranty sr. bonds 4 3/8s, 2021			560,000	540,400
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018			655,000	722,956
Tenet Healthcare Corp. 144A sr. notes 6s, 2020			735,000	786,450
United Surgical Partners International, Inc. company guaranty sr. unsec. unsub. notes 9s, 2020			205,000	227,550
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020			130,000	140,725
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018			320,000	340,000
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020			115,000	124,488
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017			905,000	957,038
Valeant Pharmaceuticals International 144A sr. unsec. notes 6 3/4s, 2018			695,000	764,500
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020			915,000	960,750
				29,383,665
Homebuilding (2.3%)
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 8 1/8s, 2016			495,000	549,450
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 7 1/4s, 2023			85,000	88,825
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada)			590,000	628,350
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada)			350,000	361,491
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021			655,000	707,400
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020			180,000	195,750
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022			590,000	573,775
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019			510,000	518,925
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018			941,000	1,015,104
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada)			765,000	774,563
Pulte Group, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017			885,000	1,028,813
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032			355,000	396,713
Realogy Corp. 144A company guaranty sr. notes 7 5/8s, 2020			170,000	189,125
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021			245,000	260,925
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2020			137,000	151,043
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024			280,000	276,500
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021			255,000	257,550
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A sr. notes 7 3/4s, 2020			719,000	792,698
				8,767,000
Lodging/Tourism (1.3%)
FelCor Lodging LP company guaranty sr. notes 10s, 2014(R)			260,000	270,400
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019(R)			1,155,000	1,240,181
FelCor Lodging LP company guaranty sr. notes 5 5/8s, 2023(R)			185,000	187,313
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017			650,000	741,813
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016			295,000	322,288
MGM Resorts International company guaranty sr. unsec. notes 6 3/4s, 2020			460,000	510,025
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019			440,000	526,900
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022			425,000	491,938
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021			145,000	159,138
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021			775,000	763,375
				5,213,371
Media (0.3%)
Nielsen Co. Luxembourg S.a.r.l. (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg)			990,000	1,034,550
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 4 1/2s, 2020			285,000	287,138
				1,321,688
Oil and gas (10.0%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021			320,000	340,800
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022			990,000	1,065,488
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023			820,000	825,125
Antero Resources Finance Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2021			540,000	548,100
Athlon Holdings LP/Athlon Finance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2021			760,000	809,400
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020			370,000	397,750
Aurora USA Oil & Gas Inc. 144A company guaranty sr. unsec. notes 9 7/8s, 2017			590,000	650,475
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018			885,000	949,163
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020			605,000	688,188
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021			695,000	764,500
Chesapeake Energy Corp. company guaranty sr. unsec. bonds 6 1/4s, 2017		EUR	220,000	331,918
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023			$180,000	190,575
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2019			770,000	798,875
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022			855,000	931,950
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023			645,000	670,800
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022			335,000	349,238
Connacher Oil and Gas, Ltd. 144A notes 8 1/2s, 2019 (Canada)			420,000	336,000
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020			682,000	743,380
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021			400,000	428,000
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018			440,000	442,200
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019			1,315,000	1,361,025
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020			555,000	603,563
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020			160,000	172,400
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021			1,585,000	1,644,438
Hercules Offshore, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021			230,000	234,025
Hercules Offshore, Inc. 144A sr. unsec. notes 8 3/4s, 2021			240,000	261,000
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2019			1,135,000	1,258,431
Kodiak Oil & Gas Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022			140,000	143,325
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada)			1,435,000	1,435,000
Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty sr. unsec. notes 7 1/4s, 2019			1,670,000	1,740,975
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F)			195,000	10
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada)			540,000	568,350
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (Canada)			330,000	341,550
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON)			865,000	674,700
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022			615,000	654,975
Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s, 2018			265,000	274,606
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023			400,000	434,000
Oasis Petroleum, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2022			530,000	573,725
Plains Exploration & Production Co. company guaranty sr. unsec. notes 6 3/4s, 2022			1,170,000	1,292,850
Plains Exploration & Production Co. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019			200,000	220,750
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020			340,000	367,200
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022			300,000	306,000
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018			980,000	1,030,225
Rosetta Resources, Inc. company guaranty sr. unsec. unsub. notes 5 5/8s, 2021			370,000	378,325
Sabine Pass Liquefaction, LLC 144A sr. notes 6 1/4s, 2022			370,000	382,950
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016			1,360,000	1,502,800
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020			285,000	299,250
Samson Investment Co. 144A sr. unsec. notes 10 3/4s, 2020			1,340,000	1,460,600
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021			445,000	475,038
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada)			595,000	651,721
Shelf Drilling Holdings, Ltd. 144A sr. notes 8 5/8s, 2018			620,000	671,150
SM Energy Co. sr. unsec. notes 6 5/8s, 2019			390,000	417,300
SM Energy Co. sr. unsec. notes 6 1/2s, 2021			320,000	345,600
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023			120,000	128,250
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021			630,000	667,800
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021			1,340,000	1,438,825
Williams Cos., Inc. (The) notes 7 3/4s, 2031			435,000	488,035
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021			208,000	247,132
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022			260,000	266,500
WPX Energy, Inc. sr. unsec. unsub. notes 5 1/4s, 2017			965,000	1,032,550
				38,708,874
Publishing (0.2%)
American Media, Inc. 144A notes 13 1/2s, 2018			116,844	126,192
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2020			345,000	354,919
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 5 1/8s, 2019			460,000	483,000
				964,111
Retail (2.3%)
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019			100,000	109,000
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018			265,000	305,413
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020			610,000	663,375
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017			592,000	592,000
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021			205,000	198,081
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec. notes 10s, 2019			660,000	736,725
CST Brands, Inc. company guaranty sr. unsec. notes 5s, 2023			485,000	476,513
First Cash Financial Services, Inc. 144A sr. unsec. notes 6 3/4s, 2021			290,000	297,250
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK)			290,000	302,325
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019			895,000	928,563
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021			805,000	905,625
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022			315,000	333,113
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK)			695,000	767,975
Neiman Marcus Group, Inc. 144A company guaranty sr. unsec. notes 8s, 2021			360,000	395,550
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028			475,000	476,781
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022			735,000	768,075
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018			445,000	479,488
Petco Holdings, Inc. 144A sr. unsec. notes 8 1/2s, 2017(PIK)			265,000	271,625
				9,007,477
Technology (4.4%)
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020			450,000	474,188
Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2020			1,085,000	1,141,963
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021			530,000	491,575
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019			1,705,000	1,692,213
Epicor Software Corp. company guaranty sr. unsec. notes 8 5/8s, 2019			215,000	235,156
First Data Corp. company guaranty sr. unsec. notes 12 5/8s, 2021			1,430,000	1,701,700
First Data Corp. company guaranty sr. unsec. notes 11 1/4s, 2021			495,000	564,919
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021			1,090,000	1,144,500
First Data Corp. 144A company guaranty notes 8 1/4s, 2021			1,490,000	1,616,650
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019			475,000	510,625
First Data Holdings, Inc. 144A sr. unsec. notes 14 1/2s, 2019(PIK)			400,000	379,000
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020			372,000	431,520
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021			580,000	591,600
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022			720,000	759,600
Infor US, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2018			545,000	630,838
Iron Mountain, Inc. company guaranty sr. sub. notes 7 3/4s, 2019			295,000	325,238
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023			615,000	653,438
Micron Technology, Inc. 144A sr. unsec. notes 5 7/8s, 2022			520,000	544,700
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan)			1,660,000	1,651,700
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 6 5/8s, 2019			755,000	798,413
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020			250,000	274,063
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019			390,000	424,125
				17,037,724
Textiles (0.2%)
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020			575,000	628,188
Quiksilver, Inc./QS Wholesale, Inc. 144A sr. notes 7 7/8s, 2018			70,000	76,300
				704,488
Transportation (1.1%)
Aguila 3 SA 144A company guaranty sr. notes 7 7/8s, 2018 (Luxembourg)			1,680,000	1,785,000
Air Medical Group Holdings, Inc. company guaranty sr. notes 9 1/4s, 2018			876,000	946,080
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada)			675,000	733,219
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018			390,000	428,513
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023			530,000	537,950
				4,430,762
Utilities and power (3.7%)
AES Corp. (VA) sr. unsec. notes 8s, 2020			380,000	448,400
AES Corp. (VA) sr. unsec. unsub. notes 8s, 2017			698,000	826,258
AES Corp. (VA) sr. unsec. unsub. notes 7 3/8s, 2021			970,000	1,105,800
AES Corp. (VA) sr. unsec. unsub. notes 4 7/8s, 2023			255,000	244,481
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020			990,000	1,081,575
Calpine Corp. 144A company guaranty sr. notes 6s, 2022			180,000	189,000
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024			145,000	146,450
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037			1,055,000	1,194,290
DPL, Inc. sr. unsec. notes 6 1/2s, 2016			985,000	1,063,800
Dynegy Holdings, LLC escrow bonds 7 3/4s, 2019			1,145,000	1,431
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022			360,000	466,062
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020			440,000	463,100
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10 1/4s, 2020			300,000	316,125
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020			430,000	491,813
EP Energy, LLC/EP Energy Finance, Inc. sr. unsec. notes 9 3/8s, 2020			870,000	1,004,850
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. notes 6 7/8s, 2019			450,000	486,000
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022			190,000	213,275
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031			215,000	202,638
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020			215,000	219,300
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018			195,000	199,388
Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021			375,000	375,000
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021			1,290,000	1,419,000
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022			655,000	679,563
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023			455,000	458,413
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2023			365,000	339,450
Tennessee Gas Pipeline Co., LLC sr. unsec. unsub. debs. 7s, 2028			140,000	171,553
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020			415,000	318,513
				14,125,528
Total corporate bonds and notes (cost $309,000,283)				$328,816,538
SENIOR LOANS (5.5%)(a)(c)
			Principal amount	Value
Basic materials (0.2%)
Atkore International, Inc. bank term loan FRN 4 1/2s, 2021			$235,000	$234,559
Oxea Sarl bank term loan FRN 8 1/4s, 2020 (Germany)			365,000	373,441
				608,000
Communication services (0.1%)
Asurion, LLC bank term loan FRN 8 1/2s, 2021			330,000	340,038
				340,038
Consumer cyclicals (2.2%)
Academy, Ltd. bank term loan FRN Ser. B, 4 1/2s, 2018			160	160
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B2, 4 1/4s, 2017			107,317	107,686
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.488s, 2018			1,580,744	1,490,593
CCM Merger, Inc. bank term loan FRN Ser. B, 5s, 2017			988,590	991,061
Clear Channel Communications, Inc. bank term loan FRN Ser. D, 6.918s, 2019			1,464,000	1,431,792
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020			248,750	248,905
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019			408,339	391,113
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 5s, 2020			972,563	980,204
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020			250,000	250,820
ROC Finance, LLC bank term loan FRN 5s, 2019			483,784	472,295
Travelport, LLC bank term loan FRN 9 1/2s, 2016			930,334	961,442
Travelport, LLC bank term loan FRN 8 3/8s, 2016(PIK)			560,731	573,582
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019			359,100	358,651
				8,258,304
Consumer staples (0.5%)
BJ's Wholesale Club, Inc. bank term loan FRN 8 1/2s, 2020			255,000	260,631
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021			560,000	555,800
Del Monte Foods, Inc. bank term loan FRN 8 1/4s, 2021			380,000	377,625
H.J. Heinz Co. bank term loan FRN Ser. B2, 3 1/2s, 2020			530,988	533,709
Rite Aid Corp. bank term loan FRN 4 7/8s, 2021			310,000	314,263
				2,042,028
Energy (0.8%)
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020			785,000	815,139
FTS International, Inc. bank term loan FRN Ser. B, 8 1/2s, 2016			695,871	705,683
Offshore Group Investment, Ltd. bank term loan FRN Ser. B, 5 3/4s, 2019 (Cayman Islands)			232,650	234,104
Shelf Drilling Holdings, Ltd. bank term loan FRN 10s, 2018(PIK)			765,000	780,300
Tervita Corp. bank term loan FRN Ser. B, 6 1/4s, 2018 (Canada)			603,900	599,119
				3,134,345
Financials (0.3%)
iStar Financial, Inc. bank term loan FRN 4 1/2s, 2017(R)			444	445
iStar Financial, Inc. bank term loan FRN Ser. A2, 7s, 2017(R)			151,244	157,294
Nuveen Investments, Inc. bank term loan FRN 6 1/2s, 2019			1,000,000	1,001,250
				1,158,989
Health care (0.8%)
Ardent Medical Services, Inc. bank term loan FRN 6 3/4s, 2018			503,625	503,625
CHS/Community Health Systems, Inc. bank term loan FRN Ser. D, 4 1/4s, 2021			538,650	542,855
Emergency Medical Services Corp. bank term loan FRN Ser. B, 4s, 2018			559,761	559,761
Grifols Worldwide Operations USA, Inc. bank term loan FRN 3.236s, 2021			535,000	534,331
Par Pharmaceutical Cos., Inc. bank term loan FRN Ser. B, 4 1/4s, 2019			524,020	524,298
Pharmaceutical Product Development, Inc. bank term loan FRN Ser. B, 4 1/4s, 2018			330,566	331,117
Sheridan Holdings, Inc. bank term loan FRN 8 1/4s, 2021			165,000	168,713
				3,164,700
Transportation (0.2%)
Air Medical Group Holdings, Inc. bank term loan FRN 8 3/8s, 2018(PIK)			750,000	740,625
				740,625
Utilities and power (0.4%)
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.73s, 2017			2,284,778	1,645,040
				1,645,040
Total senior loans (cost $21,124,202)				$21,092,069
COMMON STOCKS (2.5%)(a)
			Shares	Value
Ally Financial, Inc.			99	$814,275
American Axle & Manufacturing Holdings, Inc.(NON)			29,022	537,487
Calpine Corp.(NON)			26,675	557,774
CIT Group, Inc.			9,745	477,700
DISH Network Corp. Class A(NON)			9,125	567,666
Elizabeth Arden, Inc.(NON)			11,205	330,660
EP Energy Corp. Class A(NON)			31,460	615,672
General Motors Co.			20,292	698,451
Gulfport Energy Corp.(NON)			6,700	476,906
Harry & David Holdings, Inc.(NON)			780	98,280
Hilton Worldwide Holdings, Inc.(NON)			28,478	633,351
Huntsman Corp.			26,890	656,654
Kodiak Oil & Gas Corp.(NON)			65,515	795,352
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON)			24,322	2,432
Lone Pine Resources, Inc. Class A (Canada)(F)(NON)			24,322	2,432
LyondellBasell Industries NV Class A			2,662	236,758
MeadWestvaco Corp.			11,050	415,922
MetLife, Inc.			5,899	311,467
Penn National Gaming, Inc.(NON)			47,495	585,138
Service Corp. International			23,063	458,492
Tribune Co. Class 1C(F)			93,841	23,460
Vantage Drilling Co.(NON)			211,443	361,568
Total common stocks (cost $9,279,801)				$9,657,897
CONVERTIBLE PREFERRED STOCKS (0.7%)(a)
			Shares	Value
Crown Castle International Corp. Ser. A, $2.25 cv. pfd.			3,850	$390,534
EPR Properties Ser. C, $1.44 cv. pfd.			34,707	746,201
MetLife, Inc. $3.75 cv. pfd.			10,405	320,474
United Technologies Corp. $3.75 cv. pfd.			7,600	505,932
Weyerhaeuser Co. Ser. A, $3.188 cv. pfd.(R)			15,000	818,438
Total convertible preferred stocks (cost $2,493,386)				$2,781,579
CONVERTIBLE BONDS AND NOTES (0.6%)(a)
			Principal amount	Value
DFC Global Corp. cv. sr. unsec. unsub. notes 3 1/4s, 2017			$456,000	$389,880
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R)			598,000	842,433
Jazz Technologies, Inc. 144A cv. unsec. notes 8s, 2018			559,000	603,720
XM Satellite Radio, Inc. 144A cv. company guaranty sr. unsec. sub. notes 7s, 2014			367,000	651,196
Total convertible bonds and notes (cost $2,004,025)				$2,487,229
PREFERRED STOCKS (0.5%)(a)
			Shares	Value
Ally Financial, Inc. 144A 7.00% cum. pfd.			889	$878,054
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd.			26,210	715,533
M/I Homes, Inc. $2.438 pfd.			14,167	354,883
Total preferred stocks (cost $1,309,589)				$1,948,470
WARRANTS (0.1%)(a)(NON)
	Expiration date	Strike Price	Warrants	Value
Charter Communications, Inc. Class A	11/30/14	$46.86	37	$2,877
General Motors Co.	7/10/19	18.33	5,869	102,179
General Motors Co.	7/10/16	10.00	5,869	145,786
Tower Semiconductor, Ltd. 144A (Israel)(F)	6/30/15	1.70	192,571	—
Total warrants (cost $242,005)				$250,842
SHORT-TERM INVESTMENTS (3.5%)(a)
			Shares	Value
Putnam Short Term Investment Fund 0.07%(AFF)			13,408,107	$13,408,107
Total short-term investments (cost $13,408,107)				$13,408,107
TOTAL INVESTMENTS
Total investments (cost $358,861,398)(b)				$380,442,731

FORWARD CURRENCY CONTRACTS at 3/31/14 (aggregate face value $4,810,466) (Unaudited)
						Unrealized
		Contract	Delivery		Aggregate	appreciation/
Counterparty	Currency	type	date	Value	face value	(depreciation)
Bank of America N.A.
	Euro	Sell	6/18/14	$1,051,024	$1,050,160	$(864)
Barclays Bank PLC
	British Pound	Sell	6/18/14	1,207,653	1,209,445	1,792
Credit Suisse International
	Euro	Sell	6/18/14	1,452,562	1,451,398	(1,164)
Deutsche Bank AG
	Euro	Sell	6/18/14	404,018	403,622	(396)
State Street Bank and Trust Co.
	Canadian Dollar	Sell	4/16/14	672,764	695,841	23,077
Total						$22,445

Key to holding's abbreviations
EMTN	Euro Medium Term Notes
FRB	Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN	Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
MTN	Medium Term Notes

	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 January 1, 2014 through March 31, 2014 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a)	Percentages indicated are based on net assets of $386,868,512.
(b)	The aggregate identified cost on a tax basis is $359,529,739, resulting in gross unrealized appreciation and depreciation of $24,214,719 and $3,301,727, respectively, or net unrealized appreciation of $20,912,992.
(NON)	Non-income-producing security.
(PIK)	Income may be received in cash or additional securities at the discretion of the issuer.
(AFF)	Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows:
	Name of affiliate	Fair value at the beginning of the reporting period	Purchase cost	Sale proceeds	Investment income	Fair value at the end of the reporting period
	Putnam Short Term Investment Fund *	$14,163,494	$22,786,697	$23,542,084	$2,397	$13,408,107
	* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management.
(c)	Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
	Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F)	Security is valued 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.
	Debt obligations are considered secured unless otherwise indicated.
	144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
	The dates shown on debt obligations are the original maturity dates.
	Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
	Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
	Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value and are classified as Level 2 securities.
	Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
	To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
	Such valuations and procedures are reviewed periodically by the Trustees. 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.
	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 (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
	Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
	Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.
	At the close of the reporting period, the fund had a net liability position of $2,424 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund for these 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	$1,309,334	$—	$—
Capital goods	537,487	—	—
Communication services	567,666	—	—
Consumer cyclicals	1,916,940	—	23,460
Consumer staples	330,660	98,280	—
Energy	2,249,498	—	4,864
Financials	789,167	814,275	—
Health care	458,492	—	—
Utilities and power	557,774	—	—
Total common stocks	8,717,018	912,555	28,324
Convertible bonds and notes	—	2,487,229	—
Convertible preferred stocks	505,932	2,275,647	—
Corporate bonds and notes	—	328,816,528	10
Preferred stocks	715,533	1,232,937	—
Senior loans	—	21,092,069	—
Warrants	247,965	2,877	—
Short-term investments	13,408,107	—	—
Totals by level	$23,594,555	$356,819,842	$28,334
		Valuation inputs
Other financial instruments:	Level 1	Level 2	Level 3
Forward currency contracts	$—	$22,445	$—
Totals by level	$—	$22,445	$—
* 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 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	$24,869	$2,424
Equity contracts	250,842	—
Total	$275,711	$2,424
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Forward currency contracts (contract amount)		$5,400,000
Warrants (number of warrants)		200,000

	The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above.
		Bank of America N.A.	Barclays Bank PLC	Credit Suisse International	Deutsche Bank AG	State Street Bank and Trust Co.	Total
	Assets:
	Forward currency contracts#	$—	$1,792	$—	$—	$23,077	24,869
	Total Assets	$—	$1,792	$—	$—	$23,077	$24,869
	Liabilities:
	Forward currency contracts#	$864	$—	$1,164	$396	$—	2,424
	Total Liabilities	$864	$—	$1,164	$396	$—	$2,424
	Total Financial and Derivative Net Assets	$(864)	$1,792	$(1,164)	$(396)	$23,077	$22,445
	Total collateral received (pledged)##†	$—	$—	$—	$—	$—	$—
	Net amount	$(864)	$1,792	$(1,164)	$(396)	$23,077	$22,445
†	Additional collateral may be required from certain brokers based on individual agreements.
#	Covered by master netting agreement. (Note 1)
##	Any over-collateralization of total financial and derivative net assets is not shown.

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

Item 2. Controls and Procedures:

(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable

Item 3. Exhibits:

Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES

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

Putnam Variable Trust

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: May 29, 2014

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

By (Signature and Title):

/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: May 29, 2014

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: May 29, 2014