N-Q 1 a_vtincomefund.htm PUTNAM VARIABLE TRUST a_vtincomefund.htm


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05346)
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:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code: (617) 292-1000
Date of fiscal year end: December 31, 2015
Date of reporting period: March 31, 2015



Item 1. Schedule of Investments:













Putnam VT Income Fund

The fund's portfolio
3/31/15 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (60.3%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (6.1%)
Government National Mortgage Association Pass-Through Certificates
     5s, TBA, April 1, 2045 $3,000,000 $3,283,125
     4s, with due dates from March 20, 2044 to July 20, 2044 2,994,723 3,255,824
     4s, TBA, May 1, 2045 3,000,000 3,191,836
     3 1/2s, TBA, May 1, 2045 3,000,000 3,150,000
     3s, TBA, June 1, 2045 3,000,000 3,075,469
     3s, TBA, May 1, 2045 3,000,000 3,082,969
19,039,223
U.S. Government Agency Mortgage Obligations (54.1%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4 1/2s, May 1, 2044 1,620,051 1,811,262
     3 1/2s, with due dates from August 1, 2043 to February 1, 2044 2,675,480 2,828,248
     3s, March 1, 2043 856,209 876,578
Federal National Mortgage Association Pass-Through Certificates
     6s, TBA, April 1, 2045 2,000,000 2,280,625
     5 1/2s, TBA, April 1, 2045 2,000,000 2,252,500
     5s, March 1, 2038 46,570 51,801
     4 1/2s, with due dates from May 1, 2041 to February 1, 2044 2,158,244 2,373,647
     4 1/2s, TBA, May 1, 2045 13,000,000 14,145,625
     4 1/2s, TBA, April 1, 2045 17,000,000 18,545,938
     4s, with due dates from April 1, 2042 to June 1, 2044 15,073,342 16,322,255
     4s, TBA, April 1, 2045 11,000,000 11,762,266
     3 1/2s, July 1, 2043 899,641 946,837
     3 1/2s, TBA, May 1, 2045 17,000,000 17,816,133
     3 1/2s, TBA, April 1, 2045 19,000,000 19,960,391
     3s, TBA, April 1, 2045 55,000,000 56,237,500
168,211,606
Total U.S. government and agency mortgage obligations (cost $185,870,503) $187,250,829

U.S. TREASURY OBLIGATIONS (—%)(a)
Principal amount Value
U.S. Treasury Notes 2s, September 30, 2020(SEGSF) $132,000 $135,554
Total U.S. Treasury obligations (cost $131,934) $135,554

MORTGAGE-BACKED SECURITIES (41.8%)(a)
Principal amount Value
Agency collateralized mortgage obligations (16.1%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3182, Class SP, 27.902s, 2032 $43,225 $61,878
     IFB Ser. 3408, Class EK, 25.091s, 2037 400,354 635,108
     IFB Ser. 2976, Class LC, 23.78s, 2035 58,737 91,676
     IFB Ser. 2979, Class AS, 23.634s, 2034 23,248 28,045
     IFB Ser. 3072, Class SM, 23.157s, 2035 260,749 398,677
     IFB Ser. 3065, Class DC, 19.337s, 2035 426,108 627,572
     IFB Ser. 2990, Class LB, 16 1/2s, 2034 350,223 469,663
     IFB Ser. 3852, Class NT, 5.826s, 2041 775,294 810,314
     IFB Ser. 326, Class S2, IO, 5.776s, 2044 2,613,195 651,665
     IFB Ser. 310, Class S4, IO, 5.776s, 2043 867,440 222,828
     IFB Ser. 327, Class S8, IO, 5.746s, 2044 1,219,904 294,851
     IFB Ser. 314, Class AS, IO, 5.716s, 2043 2,259,995 577,128
     Ser. 4132, Class IP, IO, 4 1/2s, 2042 2,919,146 488,242
     Ser. 4122, Class TI, IO, 4 1/2s, 2042 1,160,229 198,747
     Ser. 4018, Class DI, IO, 4 1/2s, 2041 1,339,424 198,623
     Ser. 3707, Class PI, IO, 4 1/2s, 2025 899,725 80,912
     Ser. 4116, Class MI, IO, 4s, 2042 2,585,946 480,013
     Ser. 4338, Class TI, IO, 4s, 2029 2,586,727 326,212
     Ser. 311, IO, 3 1/2s, 2043 1,902,482 361,479
     Ser. 4165, Class AI, IO, 3 1/2s, 2043 2,708,511 418,736
     Ser. 303, Class C19, IO, 3 1/2s, 2043 1,409,021 266,169
     Ser. 304, Class C22, IO, 3 1/2s, 2042 3,270,546 713,120
     Ser. 4122, Class AI, IO, 3 1/2s, 2042 2,637,756 342,908
     Ser. 3995, Class KI, IO, 3 1/2s, 2027 2,162,584 229,796
     Ser. 4182, Class GI, IO, 3s, 2043 4,589,454 517,311
     Ser. 4141, Class PI, IO, 3s, 2042 2,286,489 278,700
     Ser. 4158, Class TI, IO, 3s, 2042 5,757,300 704,118
     Ser. 4165, Class TI, IO, 3s, 2042 6,827,499 797,452
     Ser. 4176, Class DI, IO, 3s, 2042 5,172,377 619,237
     Ser. 4183, Class MI, IO, 3s, 2042 2,199,965 258,496
     Ser. 4206, Class IP, IO, 3s, 2041 2,180,214 262,847
     Ser. 4215, Class EI, IO, 3s, 2032 2,653,187 333,304
     Ser. 4039, Class PI, IO, 2 1/2s, 2027 6,583,022 631,619
     FRB Ser. T-56, Class A, IO, 0.524s, 2043 4,230,848 71,561
     Ser. 3835, Class FO, PO, zero %, 2041 2,639,637 2,333,307
     Ser. 3369, Class BO, PO, zero %, 2037 10,334 9,301
     Ser. 3391, PO, zero %, 2037 67,732 61,870
     Ser. 3300, PO, zero %, 2037 108,410 95,137
     Ser. 3175, Class MO, PO, zero %, 2036 20,695 19,069
     Ser. 3210, PO, zero %, 2036 44,178 42,034
     Ser. 3326, Class WF, zero %, 2035 9,041 7,233
     FRB Ser. T-56, Class 2, IO, zero %, 2043 12,170,587 —
     FRB Ser. 3117, Class AF, zero %, 2036 7,742 6,430
     FRB Ser. 3036, Class AS, zero %, 2035 3,184 3,166
    Structured Agency Credit Risk Debt Notes FRB Ser. 15-DN1, Class M3, 4.324s, 2025 345,000 355,469
Structured Agency Credit Risk Debt Notes FRB Ser. 15-HQ1, Class M3, 3.973s, 2025 250,000 251,880
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS, 38.858s, 2036 265,675 491,299
     IFB Ser. 06-8, Class HP, 23.93s, 2036 334,151 524,186
     IFB Ser. 05-45, Class DA, 23.783s, 2035 634,365 983,156
     IFB Ser. 07-53, Class SP, 23.563s, 2037 218,083 339,101
     IFB Ser. 05-122, Class SE, 22.492s, 2035 513,682 762,841
     IFB Ser. 05-75, Class GS, 19.729s, 2035 258,515 358,469
     IFB Ser. 05-106, Class JC, 19.585s, 2035 246,715 375,924
     IFB Ser. 05-83, Class QP, 16.942s, 2034 76,356 101,874
     IFB Ser. 11-4, Class CS, 12.553s, 2040 415,751 506,938
     Ser. 06-10, Class GC, 6s, 2034 409,926 416,075
     IFB Ser. 13-59, Class SC, IO, 5.976s, 2043 2,881,545 663,622
     IFB Ser. 12-128, Class ST, IO, 5.976s, 2042 1,227,855 292,671
     IFB Ser. 13-101, Class AS, IO, 5.776s, 2043 5,211,026 1,377,378
     IFB Ser. 13-98, Class SA, IO, 5.776s, 2043 1,299,309 346,266
     IFB Ser. 13-103, Class SK, IO, 5.746s, 2043 957,880 258,926
     IFB Ser. 13-101, Class SE, IO, 5.726s, 2043 2,772,932 728,671
     IFB Ser. 13-102, Class SH, IO, 5.726s, 2043 2,826,843 717,905
     Ser. 15-4, Class IO, IO, 4 1/2s, 2045 1,570,711 298,529
     Ser. 418, Class C24, IO, 4s, 2043 1,915,534 348,133
     Ser. 12-124, Class UI, IO, 4s, 2042 5,665,950 1,068,598
     Ser. 12-118, Class PI, IO, 4s, 2042 2,463,442 420,795
     Ser. 12-40, Class MI, IO, 4s, 2041 2,765,603 392,973
     Ser. 12-62, Class EI, IO, 4s, 2041 3,207,480 507,477
     Ser. 12-22, Class CI, IO, 4s, 2041 2,239,946 347,296
     Ser. 418, Class C15, IO, 3 1/2s, 2043 4,115,531 765,553
     Ser. 13-18, Class IN, IO, 3 1/2s, 2043 1,976,453 293,930
     Ser. 13-55, Class IK, IO, 3s, 2043 1,852,402 231,884
     Ser. 12-144, Class KI, IO, 3s, 2042 6,893,876 831,608
     Ser. 13-55, Class PI, IO, 3s, 2042 3,204,509 345,318
     Ser. 13-67, Class IP, IO, 3s, 2042 3,491,210 355,231
     Ser. 13-30, Class IP, IO, 3s, 2041 2,086,364 194,866
     Ser. 13-23, Class LI, IO, 3s, 2041 2,281,804 213,189
     Ser. 13-7, Class EI, IO, 3s, 2040 2,857,201 450,952
     Ser. 14-28, Class AI, IO, 3s, 2040 4,448,965 541,696
     Ser. 13-69, IO, 3s, 2031 3,009,702 355,717
     FRB Ser. 03-W10, Class 1, IO, 0.965s, 2043 2,518,107 59,215
     Ser. 07-64, Class LO, PO, zero %, 2037 46,274 43,139
     Ser. 372, Class 1, PO, zero %, 2036 58,850 57,643
Government National Mortgage Association
     Ser. 09-79, Class IC, IO, 6s, 2039 1,291,128 255,062
     IFB Ser. 13-129, Class SN, IO, 5.974s, 2043 1,222,705 209,608
     IFB Ser. 14-90, Class HS, IO, 5.924s, 2044 1,244,431 305,881
     IFB Ser. 14-32, Class CS, IO, 5.924s, 2044 1,941,098 427,042
     IFB Ser. 11-70, Class SM, IO, 5.716s, 2041 1,686,871 283,546
     Ser. 14-36, Class WI, IO, 5 1/2s, 2044 1,664,404 360,160
     Ser. 14-25, Class QI, IO, 5s, 2044 4,020,697 777,884
     Ser. 13-3, Class IT, IO, 5s, 2043 1,627,327 306,611
     Ser. 11-116, Class IB, IO, 5s, 2040 1,549,069 80,157
     Ser. 13-16, Class IB, IO, 5s, 2040 2,463,716 173,874
     Ser. 10-35, Class UI, IO, 5s, 2040 1,818,768 351,245
     Ser. 10-9, Class UI, IO, 5s, 2040 8,568,303 1,603,188
     Ser. 09-121, Class UI, IO, 5s, 2039 3,836,221 705,673
     Ser. 14-108, Class IP, IO, 4 1/2s, 2042 731,616 123,504
     Ser. 12-129, IO, 4 1/2s, 2042 1,624,944 339,890
     Ser. 10-35, Class QI, IO, 4 1/2s, 2040 1,709,087 295,689
     Ser. 10-9, Class QI, IO, 4 1/2s, 2040 1,631,400 281,716
     Ser. 09-121, Class BI, IO, 4 1/2s, 2039 1,382,484 306,386
     Ser. 11-116, Class IA, IO, 4 1/2s, 2039 1,905,844 187,306
     Ser. 13-34, Class PI, IO, 4 1/2s, 2039 2,643,714 356,241
     Ser. 15-53, 4s, 2045(F)(FWC) 2,733,000 645,636
     Ser. 14-2, Class IL, IO, 4s, 2044 4,489,858 769,651
     Ser. 14-63, Class PI, IO, 4s, 2043 1,837,896 284,874
     Ser. 12-56, Class IB, IO, 4s, 2042 3,221,629 539,605
     Ser. 12-50, Class PI, IO, 4s, 2041 2,086,131 317,301
     Ser. 12-41, Class IP, IO, 4s, 2041 4,180,301 747,229
     Ser. 14-4, Class IK, IO, 4s, 2039 2,963,074 361,554
     Ser. 14-162, Class DI, IO, 4s, 2038 2,486,573 326,364
     Ser. 13-37, Class JI, IO, 3 1/2s, 2043 1,973,570 235,467
     Ser. 13-27, Class PI, IO, 3 1/2s, 2042 2,453,188 307,532
     Ser. 12-136, IO, 3 1/2s, 2042 2,681,958 580,161
     Ser. 12-113, Class ID, IO, 3 1/2s, 2042 1,989,922 415,277
     Ser. 12-71, Class AI, IO, 3 1/2s, 2042 4,134,835 309,534
     Ser. 14-46, Class JI, IO, 3 1/2s, 2041 1,805,479 259,321
     Ser. 13-18, Class GI, IO, 3 1/2s, 2041 1,901,997 245,928
     Ser. 12-48, Class KI, IO, 3 1/2s, 2039 1,804,392 195,740
     Ser. 15-26, Class AI, IO, 3 1/2s, 2039 4,107,286 552,800
     Ser. 13-53, Class PI, IO, 3s, 2041 3,104,868 320,236
     Ser. 13-23, Class IK, IO, 3s, 2037 1,505,342 203,357
     Ser. 14-46, Class KI, IO, 3s, 2036 1,585,313 178,443
     Ser. 14-44, Class IC, IO, 3s, 2028 3,604,153 341,320
     Ser. 10-151, Class KO, PO, zero %, 2037 266,859 242,580
     Ser. 06-36, Class OD, PO, zero %, 2036 6,809 6,075
50,119,595
Commercial mortgage-backed securities (17.9%)
Banc of America Commercial Mortgage Trust
     Ser. 06-4, Class AJ, 5.695s, 2046 672,000 695,067
     Ser. 07-2, Class A2, 5.597s, 2049 61,022 61,200
     Ser. 06-6, Class A2, 5.309s, 2045 51,567 51,612
     FRB Ser. 07-1, Class XW, IO, 0.298s, 2049 3,158,045 25,037
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.368s, 2051 9,420,354 74,515
Banc of America Merrill Lynch Commercial Mortgage, Inc.
     FRB Ser. 05-1, Class B, 5.431s, 2042 319,000 325,680
     FRB Ser. 05-5, Class B, 5.258s, 2045 1,500,000 1,513,650
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A
     FRB Ser. 04-5, Class XC, IO, 0.603s, 2041 926,170 11,556
     Ser. 02-PB2, Class XC, IO, 0.269s, 2035 50,062 25
     FRB Ser. 04-4, Class XC, IO, 0.182s, 2042 1,326,775 3,073
     Ser. 05-1, Class XW, IO, 0.005s, 2042 25,562,121 256
Bear Stearns Commercial Mortgage Securities Trust
     Ser. 05-PWR9, Class C, 5.055s, 2042 372,000 373,641
     FRB Ser. 04-PR3I, Class X1, IO, 0.33s, 2041 243,489 555
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.438s, 2039 1,937,000 1,943,973
     FRB Ser. 06-PW14, Class X1, IO, 0.642s, 2038 7,555,613 107,063
Capmark Mortgage Securities Inc. FRB Ser. 97-C1, Class X, IO, 1.227s, 2029 904,745 38,496
CD Commercial Mortgage Trust 144A Ser. 07-CD4, Class XW, IO, 0.357s, 2049 16,692,125 133,537
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class D, 5.569s, 2047 241,000 262,449
     FRB Ser. 11-C2, Class E, 5.569s, 2047 391,000 430,495
Citigroup Commercial Mortgage Trust FRB Ser. 14-GC19, Class X, IO, 1.328s, 2047 7,890,848 650,522
Citigroup Commercial Mortgage Trust 144A FRB Ser. 13-GC11, Class D, 4.458s, 2046 715,000 699,345
COMM Mortgage Pass-Through Certificates FRB Ser. 12-CR3, Class XA, IO, 2.166s, 2045 1,756,654 189,926
COMM Mortgage Trust
     FRB Ser. 12-CR1, Class XA, IO, 2.109s, 2045 6,589,998 664,232
     FRB Ser. 14-CR16, Class XA, IO, 1.268s, 2047 2,707,197 198,293
     FRB Ser. 14-UBS6, Class XA, IO, 1.086s, 2047 10,051,017 714,354
     FRB Ser. 06-C8, Class XS, IO, 0.518s, 2046 22,656,667 151,347
COMM Mortgage Trust 144A
     Ser. 13-LC13, Class E, 3.719s, 2046 542,000 415,869
     FRB Ser. 07-C9, Class AJFL, 0.865s, 2049 404,000 390,716
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.038s, 2049 40,674,800 138,294
Credit Suisse First Boston Mortgage Securities Corp. Ser. 05-C5, Class C, 5.1s, 2038 366,000 370,261
Credit Suisse First Boston Mortgage Securities Corp. 144A
     Ser. 98-C1, Class F, 6s, 2040 413,880 448,026
     FRB Ser. 02-CP3, Class AX, IO, 0.931s, 2035 54,848 1,387
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.945s, 2050 669,000 599,173
DBRR Trust 144A FRB Ser. 13-EZ3, Class A, 1.636s, 2049 387,654 389,471
First Union National Bank Commercial Mortgage 144A Ser. 01-C3, Class K, 6.155s, 2033 153,734 153,734
First Union National Bank-Bank of America, NA Commercial Mortgage Trust 144A FRB Ser. 01-C1, Class 3, IO, 1.394s, 2033 167,093 268
GE Business Loan Trust 144A FRB Ser. 04-2, Class D, 2.925s, 2032 49,117 41,209
GE Capital Commercial Mortgage Corp. 144A FRB Ser. 05-C3, Class XC, IO, 0.139s, 2045 91,834,959 11,282
GE Commercial Mortgage Corp. Trust 144A Ser. 07-C1, Class XC, IO, 0.158s, 2049 51,476,513 185,315
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 05-C1, Class X1, IO, 0.585s, 2043 8,586,295 10,836
GS Mortgage Securities Corp. II
     Ser. 05-GG4, Class B, 4.841s, 2039 1,034,000 1,032,749
     FRB Ser. 13-GC10, Class XA, IO, 1.724s, 2046 7,160,832 682,284
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.415s, 2046 820,000 817,138
     FRB Ser. 13-GC10, Class E, 4.415s, 2046 414,000 358,979
GS Mortgage Securities Trust
     FRB Ser. 13-GC12, Class XA, IO, 1.765s, 2046 6,912,964 628,648
     FRB Ser. 14-GC18, Class XA, IO, 1.284s, 2047 3,871,950 290,595
     FRB Ser. 14-GC22, Class XA, IO, 1.086s, 2047 18,201,274 1,284,579
GS Mortgage Securities Trust 144A
     FRB Ser. 12-GC6, Class D, 5.637s, 2045 339,000 361,340
     FRB Ser. 06-GG6, Class XC, IO, 0.004s, 2038 34,912,660 14,279
JPMBB Commercial Mortgage Securities Trust FRB Ser. 14-C25, Class XA, IO, 1.018s, 2047 4,011,597 278,009
JPMBB Commercial Mortgage Securities Trust 144A FRB Ser. 13-C14, Class E, 4.562s, 2046 350,000 322,987
JPMorgan Chase Commercial Mortgage Securities Corp. 144A FRB Ser. 12-LC9, Class D, 4.422s, 2047 706,000 729,034
JPMorgan Chase Commercial Mortgage Securities Trust
     Ser. 08-C2, Class ASB, 6 1/8s, 2051 358,903 375,797
     FRB Ser. 07-CB20, Class AJ, 6.075s, 2051 683,000 719,172
     FRB Ser. 07-LD12, Class A3, 5.938s, 2051 55,191 55,266
     Ser. 06-LDP8, Class B, 5.52s, 2045 348,000 350,982
     FRB Ser. 06-LDP6, Class B, 5.499s, 2043 753,000 753,742
     FRB Ser. 04-CBX, Class B, 5.021s, 2037 280,000 280,600
     FRB Ser. 13-C16, Class XA, IO, 1.358s, 2046 7,746,714 500,538
     FRB Ser. 06-LDP8, Class X, IO, 0.535s, 2045 22,148,785 131,763
     FRB Ser. 07-LDPX, Class X, IO, 0.279s, 2049 18,260,458 201,084
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 10-C1, Class D, 6.358s, 2043 731,000 829,572
     FRB Ser. 07-CB20, Class C, 6.175s, 2051 369,000 353,100
     FRB Ser. 11-C3, Class E, 5.568s, 2046 978,000 1,068,748
     FRB Ser. 11-C3, Class F, 5.568s, 2046 635,000 647,194
     FRB Ser. 12-C6, Class E, 5.208s, 2045 508,000 530,100
     FRB Ser. 12-C8, Class D, 4.666s, 2045 999,000 1,048,725
     Ser. 13-C10, Class E, 3 1/2s, 2047 743,000 599,081
     FRB Ser. 13-LC11, Class E, 3 1/4s, 2046 498,000 390,283
     FRB Ser. 05-CB12, Class X1, IO, 0.372s, 2037 11,305,201 9,259
     FRB Ser. 06-LDP6, Class X1, IO, 0.075s, 2043 35,912,636 41,443
JPMorgan Chase Commercial Mortgage Securities Trust Pass-Through Certificates 144A Ser. 01-C1, Class H, 5.626s, 2035 379,021 393,352
LB Commercial Mortgage Trust 144A
     Ser. 99-C1, Class G, 6.41s, 2031 238,142 253,025
     Ser. 98-C4, Class H, 5.6s, 2035 378,660 394,432
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C6, Class C, 5.482s, 2039 438,000 429,240
     Ser. 06-C7, Class A2, 5.3s, 2038 670,329 671,134
     Ser. 06-C1, Class AJ, 5.276s, 2041 383,000 389,549
     FRB Ser. 07-C2, Class XW, IO, 0.539s, 2040 2,662,325 28,628
LB-UBS Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class G, 5.077s, 2036 1,600,000 1,022,418
     FRB Ser. 06-C7, Class XCL, IO, 0.634s, 2038 32,428,793 293,545
     FRB Ser. 06-C7, Class XW, IO, 0.634s, 2038 17,317,857 156,761
     FRB Ser. 05-C2, Class XCL, IO, 0.548s, 2040 3,314,295 590
     FRB Ser. 07-C2, Class XCL, IO, 0.539s, 2040 57,683,153 620,267
     FRB Ser. 05-C7, Class XCL, IO, 0.216s, 2040 32,696,101 37,699
Merrill Lynch Mortgage Trust
     FRB Ser. 08-C1, Class AJ, 6.267s, 2051 443,000 483,570
     FRB Ser. 07-C1, Class A3, 5.837s, 2050 77,270 77,382
     FRB Ser. 05-LC1, Class D, 5.42s, 2044 600,000 615,564
     FRB Ser. 05-CKI1, Class B, 5.282s, 2037 1,242,000 1,245,229
     FRB Ser. 05-CKI1, Class C, 5.282s, 2037 864,000 862,739
Merrill Lynch Mortgage Trust 144A
     FRB Ser. 05-MCP1, Class XC, IO, 0.646s, 2043 10,873,388 4,871
     FRB Ser. 04-KEY2, Class XC, IO, 0.478s, 2039 711,155 1,373
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 8.441s, 2037 77,699 12,960
     FRB Ser. 06-C4, Class X, IO, 5.228s, 2045 1,930,169 261,924
     FRB Ser. 05-C3, Class X, IO, 5.199s, 2044 609,880 13,722
ML-CFC Commercial Mortgage Trust
     Ser. 06-3, Class AJ, 5.485s, 2046 266,000 269,846
     Ser. 06-4, Class AJ, 5.239s, 2049 295,000 298,275
ML-CFC Commercial Mortgage Trust 144A
     Ser. 06-4, Class AJFX, 5.147s, 2049 319,000 314,796
     FRB Ser. 06-4, Class XC, IO, 0.633s, 2049 59,451,926 493,451
Morgan Stanley Bank of America Merrill Lynch Trust FRB Ser. 14-C17, Class XA, IO, 1.285s, 2047 4,692,604 364,521
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     FRB Ser. 13-C11, Class D, 4.416s, 2046 309,000 303,685
     FRB Ser. 13-C10, Class E, 4.083s, 2046 633,000 561,933
Morgan Stanley Capital I Trust
     FRB Ser. 07-HQ12, Class A2, 5.671s, 2049 71,977 72,063
     FRB Ser. 07-HQ12, Class A2FX, 5.671s, 2049 48,593 48,504
     Ser. 07-IQ14, Class A2, 5.61s, 2049 299,901 301,465
Morgan Stanley Capital I Trust 144A
     FRB Ser. 08-T29, Class E, 6.27s, 2043 441,000 446,865
     FRB Ser. 11-C3, Class E, 5.183s, 2049 256,000 275,379
Morgan Stanley Re-REMIC Trust 144A FRB Ser. 10-C30A, Class A3B, 5.246s, 2043 583,074 585,715
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038 885,332 221,333
UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C3, Class D, 4.959s, 2049 609,000 629,996
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 5.994s, 2045 519,000 523,920
     Ser. 06-C24, Class AJ, 5.658s, 2045 469,000 477,020
     FRB Ser. 06-C29, IO, 0.37s, 2048 27,596,102 155,090
     FRB Ser. 07-C34, IO, 0.306s, 2046 7,423,226 55,674
Wachovia Bank Commercial Mortgage Trust 144A
     FRB Ser. 05-C17, Class E, 6.015s, 2042 103,755 103,513
     FRB Ser. 05-C17, Class F, 6.015s, 2042 563,000 561,694
     FRB Ser. 06-C26, Class XC, IO, 0.047s, 2045 11,702,137 10,415
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 12-LC5, Class E, 4.778s, 2045 442,000 423,790
WF-RBS Commercial Mortgage Trust
     FRB Ser. 13-C17, Class C, 5.126s, 2046 600,000 664,458
     FRB Ser. 13-C17, Class XA, IO, 1.586s, 2046 9,455,267 766,775
     FRB Ser. 13-C14, Class XA, IO, 0.912s, 2046 17,512,688 919,066
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class D, 5.467s, 2044 1,133,000 1,235,389
     FRB Ser. 11-C4, Class E, 5.245s, 2044 368,000 393,417
     FRB Ser. 14-C19, Class E, 4.972s, 2047 710,000 618,144
     FRB Ser. 12-C7, Class D, 4.845s, 2045 931,000 995,006
     FRB Ser. 12-C7, Class E, 4.845s, 2045 426,000 436,016
     Ser. 12-C7, Class F, 4 1/2s, 2045 645,000 586,886
     Ser. 14-C19, Class D, 4.234s, 2047 705,000 661,908
     Ser. 13-C12, Class E, 3 1/2s, 2048 662,000 529,511
     FRB Ser. 12-C9, Class XA, IO, 2.204s, 2045 3,690,539 401,199
     FRB Ser. 11-C5, Class XA, IO, 1.978s, 2044 3,210,247 276,755
     FRB Ser. 12-C10, Class XA, IO, 1.787s, 2045 25,270,526 2,448,967
     FRB Ser. 13-C12, Class XA, IO, 1.49s, 2048 4,130,634 325,634
     FRB Ser. 13-C11, Class XA, IO, 1.49s, 2045 7,526,653 528,672
55,719,530
Residential mortgage-backed securities (non-agency) (7.8%)
BCAP, LLC Trust 144A FRB Ser. 10-RR1, Class 3A3, 5.162s, 2035 450,000 438,750
Bear Stearns Asset Backed Securities I Trust FRB Ser. 06-EC2, Class M2, 0.591s, 2036 537,686 456,334
Citigroup Mortgage Loan Trust 144A Ser. 10-8, Class 1A2, 5 1/2s, 2036 325,000 333,938
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 06-WFH4, Class M1, 0.454s, 2036 1,500,000 1,240,050
First Franklin Mortgage Loan Trust
     FRB Ser. 05-FFH3, Class M3, 0.754s, 2035 980,000 818,300
     FRB Ser. 05-FF4, Class M3, 0.754s, 2035 1,500,000 1,290,000
FIRSTPLUS Home Loan Owner Trust 1997-3 Ser. 97-3, Class B1, 7.79s, 2023 (In default)(NON) 77,731 8
GSAA Home Equity Trust FRB Ser. 05-9, Class M1, 0.654s, 2035 500,000 408,450
GSAA Trust FRB Ser. 05-6, Class M1, 0.604s, 2035 750,000 622,500
GSAMP Trust
     FRB Ser. 05-HE4, Class M3, 0.694s, 2045(F) 2,325,000 1,892,550
     FRB Ser. 06-HE2, Class M1, 0.494s, 2046 3,500,000 2,846,200
JPMorgan Mortgage Acquisition Trust FRB Ser. 06-CH1, Class M2, 0.461s, 2036(F) 1,400,000 1,064,000
Morgan Stanley Mortgage Loan Trust FRB Ser. 05-5AR, Class 1M4, 0.804s, 2035 450,000 374,548
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates FRB Ser. 05-3, Class M3, 0.674s, 2035 350,000 283,500
SG Mortgage Securities Trust FRB Ser. 05-OPT1, Class M2, 0.624s, 2035 4,000,000 3,259,412
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR11, Class A1C3, 0.684s, 2045(F) 754,836 675,201
     FRB Ser. 05-AR19, Class A1C3, 0.674s, 2045 2,186,388 1,929,487
     FRB Ser. 05-AR13, Class A1C4, 0.604s, 2045 4,219,554 3,649,914
     FRB Ser. 05-AR17, Class A1B2, 0.584s, 2045 2,096,307 1,816,031
     FRB Ser. 05-AR6, Class 2A1C, 0.514s, 2045 772,371 691,272
24,090,445
Total mortgage-backed securities (cost $124,575,646) $129,929,570

CORPORATE BONDS AND NOTES (28.4%)(a)
Principal amount Value
Basic materials (1.1%)
Agrium, Inc. sr. unsec. notes 3 3/8s, 2025 (Canada) $45,000 $45,117
Agrium, Inc. sr. unsec. unsub. 5 1/4s, 2045 (Canada) 46,000 51,832
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) 275,000 297,000
CF Industries, Inc. company guaranty sr. unsec. notes 5 3/8s, 2044 184,000 205,726
CF Industries, Inc. company guaranty sr. unsec. notes 5.15s, 2034 75,000 81,972
CF Industries, Inc. company guaranty sr. unsec. unsub. notes 7 1/8s, 2020 51,000 61,452
Cytec Industries, Inc. sr. unsec. unsub. notes 3 1/2s, 2023 50,000 50,439
Eastman Chemical Co. sr. unsec. unsub. notes 6.3s, 2018 100,000 112,825
Georgia-Pacific, LLC sr. unsec. unsub. notes 7 3/4s, 2029 70,000 98,736
Georgia-Pacific, LLC 144A company guaranty sr. notes 5.4s, 2020 110,000 125,494
Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. notes 6s, 2041 (Canada) 15,000 16,482
Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. bonds 5.8s, 2016 (Canada) 271,000 288,406
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4 5/8s, 2024 94,000 97,532
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4 1/8s, 2023 15,000 15,276
LyondellBasell Industries NV sr. unsec. unsub. notes 4 5/8s, 2055 145,000 144,385
Methanex Corp. sr. unsec. unsub. notes 3 1/4s, 2019 (Canada) 76,000 78,116
Mosaic Co. (The) sr. unsec. unsub. notes 5 5/8s, 2043 245,000 290,415
Mosaic Co. (The) sr. unsec. unsub. notes 5.45s, 2033 100,000 116,448
NOVA Chemicals Corp. 144A sr. unsec. notes 5s, 2025 (Canada) 20,000 20,900
Rock-Tenn Co. company guaranty sr. unsec. unsub. notes 4.45s, 2019 33,000 35,436
Rockwood Specialties Group, Inc. company guaranty sr. unsec. notes 4 5/8s, 2020 140,000 145,775
Temple-Inland, Inc. sr. unsec. unsub. notes 6 5/8s, 2018 230,000 257,558
Union Carbide Corp. sr. unsec. unsub. bonds 7 3/4s, 2096 85,000 114,797
Westvaco Corp. company guaranty sr. unsec. unsub. notes 8.2s, 2030 115,000 162,419
Westvaco Corp. company guaranty sr. unsec. unsub. notes 7.95s, 2031 38,000 51,240
Weyerhaeuser Co. sr. unsec. unsub. notes 7 3/8s, 2032(R) 365,000 490,377
3,456,155
Capital goods (0.5%)
Crown Americas, LLC/Crown Americas Capital Corp. IV company guaranty sr. unsec. notes 4 1/2s, 2023 110,000 110,963
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 155,000 166,238
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 308,000 436,279
Parker Hannifin Corp. sr. unsec. unsub. notes Ser. MTN, 6 1/4s, 2038 205,000 280,291
Republic Services, Inc. company guaranty sr. unsec. notes 5.7s, 2041 90,000 112,775
Republic Services, Inc. company guaranty sr. unsec. notes 3.8s, 2018 110,000 116,662
Republic Services, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2019 210,000 238,082
1,461,290
Communication services (2.6%)
CC Holdings GS V, LLC/Crown Castle GS III Corp. company guaranty sr. notes 3.849s, 2023 85,000 86,053
CenturyLink, Inc. sr. unsec. unsub. notes Ser. G, 6 7/8s, 2028 105,000 109,200
Comcast Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2035 205,000 278,577
Crown Castle Towers, LLC 144A company guaranty sr. notes 4.883s, 2020 635,000 697,240
NBCUniversal Media, LLC sr. unsec. unsub. notes 6.4s, 2040 325,000 444,015
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 240,000 275,100
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4 1/2s, 2043 (Canada) 95,000 97,715
SBA Tower Trust 144A company guaranty sr. notes 5.101s, 2017 475,000 501,095
SBA Tower Trust 144A notes 2.933s, 2017 175,000 177,849
SES SA 144A company guaranty sr. unsec. notes 5.3s, 2043 (France) 245,000 276,517
TCI Communications, Inc. sr. unsec. unsub. notes 7 7/8s, 2026 555,000 785,156
Telecom Italia SpA 144A sr. unsec. notes 5.303s, 2024 (Italy) 250,000 261,875
Telefonica Emisiones SAU company guaranty sr. unsec. notes 5.462s, 2021 (Spain) 605,000 691,415
Telefonica Emisiones SAU company guaranty sr. unsec. notes 4.57s, 2023 (Spain) 150,000 165,061
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045s, 2036 (Spain) 75,000 102,512
Verizon Communications, Inc. sr. unsec. unsub. notes 6.4s, 2033 11,000 13,730
Verizon Communications, Inc. sr. unsec. unsub. notes 5.9s, 2054 53,400 1,446,606
Verizon Communications, Inc. sr. unsec. unsub. notes 5.05s, 2034 250,000 271,400
Verizon Communications, Inc. sr. unsec. unsub. notes 4.4s, 2034 85,000 86,586
Verizon Communications, Inc. 144A sr. unsec. unsub. notes 4.522s, 2048 541,000 538,547
Verizon New Jersey, Inc. company guaranty sr. unsec. unsub. bonds 8s, 2022 40,000 50,581
Verizon New York, Inc. company guaranty sr. unsec. notes Ser. B, 7 3/8s, 2032 92,000 114,889
Verizon Pennsylvania, Inc. company guaranty sr. unsec. bonds 8.35s, 2030 405,000 537,861
8,009,580
Consumer cyclicals (2.7%)
21st Century Fox America, Inc. company guaranty sr. unsec. debs. 7 3/4s, 2024 420,000 543,562
21st Century Fox America, Inc. company guaranty sr. unsec. notes 7.85s, 2039 210,000 317,364
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. debs. 7 3/4s, 2045 230,000 346,949
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020 118,000 129,800
Bed Bath & Beyond, Inc. sr. unsec. notes 5.165s, 2044 150,000 165,406
CBS Corp. company guaranty sr. unsec. debs. 7 7/8s, 2030 496,000 687,966
D.R. Horton, Inc. company guaranty sr. unsec. notes 5 3/4s, 2023 120,000 129,900
Dollar General Corp. sr. unsec. notes 3 1/4s, 2023 135,000 131,187
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.95s, 2020 270,000 304,797
Ford Motor Co. sr. unsec. unsub. bonds 7.7s, 2097 48,000 64,913
Ford Motor Co. sr. unsec. unsub. notes 7.4s, 2046 485,000 717,723
Gannett Co., Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 40,000 40,800
General Motors Co. sr. unsec. unsub. notes 6 1/4s, 2043 90,000 110,256
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 3 1/4s, 2018 175,000 178,281
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 2 3/4s, 2016 250,000 252,790
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 75,000 77,063
Grupo Televisa SAB sr. unsec. bonds 6 5/8s, 2040 (Mexico) 280,000 345,291
Grupo Televisa SAB sr. unsec. notes 6s, 2018 (Mexico) 172,000 195,063
Historic TW, Inc. company guaranty sr. unsec. unsub. bonds 9.15s, 2023 325,000 448,851
Host Hotels & Resorts LP sr. unsec. unsub. notes 6s, 2021(R) 78,000 90,286
Host Hotels & Resorts LP sr. unsec. unsub. notes 5 1/4s, 2022(R) 37,000 41,162
Hyatt Hotels Corp. sr. unsec. unsub. notes 3 3/8s, 2023 110,000 111,038
INVISTA Finance, LLC 144A company guaranty sr. notes 4 1/4s, 2019 109,000 108,319
L Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021 275,000 314,188
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 125,000 137,500
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 6.9s, 2029 201,000 260,975
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 6.65s, 2024 105,000 131,762
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5 1/8s, 2042 70,000 78,406
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 3 5/8s, 2024 23,000 23,837
Macy's Retail Holdings, Inc. company guaranty sr. unsec. unsub. notes 7s, 2028 24,000 31,071
Nordstrom, Inc. sr. unsec. unsub. notes 6.95s, 2028 105,000 139,721
NVR, Inc. sr. unsec. unsub. notes 3.95s, 2022 90,000 94,172
O'Reilly Automotive, Inc. company guaranty sr. unsec. unsub. notes 3.85s, 2023 110,000 114,922
Owens Corning company guaranty sr. unsec. notes 9s, 2019 44,000 53,200
Priceline Group, Inc. (The) sr. unsec. unsub. notes 3.65s, 2025 56,000 56,990
QVC, Inc. company guaranty sr. notes 4.85s, 2024 276,000 286,917
Tiffany & Co. 144A sr. unsec. notes 4.9s, 2044 100,000 103,014
Time Warner, Inc. company guaranty sr. unsec. bonds 7.7s, 2032 460,000 654,165
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4.45s, 2023 275,000 280,844
Vulcan Materials Co. sr. unsec. unsub. notes 4 1/2s, 2025 40,000 40,600
8,341,051
Consumer staples (1.8%)
Altria Group, Inc. company guaranty sr. unsec. bonds 4s, 2024 242,000 259,750
Altria Group, Inc. company guaranty sr. unsec. notes 9 1/4s, 2019 61,000 78,268
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 8.2s, 2039 275,000 429,845
Bacardi, Ltd. 144A unsec. notes 4 1/2s, 2021 (Bermuda) 470,000 513,225
Campbell Soup Co. sr. unsec. unsub. notes 8 7/8s, 2021 345,000 454,331
ConAgra Foods, Inc. sr. unsec. notes 7s, 2019 96,000 112,236
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 3 7/8s, 2019 20,000 20,600
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) 25,000 25,000
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) 75,000 75,469
CVS Pass-Through Trust sr. notes 6.036s, 2028 30,600 35,809
CVS Pass-Through Trust 144A sr. mtge. notes 7.507s, 2032 709,117 921,101
CVS Pass-Through Trust 144A sr. mtge. notes 4.704s, 2036 130,799 143,068
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4 1/2s, 2045 40,000 40,467
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7s, 2037 180,000 242,724
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5 5/8s, 2042 419,000 488,644
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85s, 2024 160,000 166,653
Grupo Bimbo SAB de CV 144A sr. unsec. notes 4 7/8s, 2044 (Mexico) 200,000 202,561
Kraft Foods Group, Inc. sr. unsec. unsub. notes 6 1/2s, 2040 211,000 272,958
McDonald's Corp. sr. unsec. bonds 6.3s, 2037 345,000 452,865
McDonald's Corp. sr. unsec. notes 5.7s, 2039 145,000 180,352
SABMiller Holdings, Inc. 144A company guaranty sr. unsec. notes 4.95s, 2042 200,000 224,717
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4 7/8s, 2034 17,000 19,165
Tyson Foods, Inc. company guaranty sr. unsec. unsub. bonds 5.15s, 2044 23,000 26,768
Walgreens Boots Alliance, Inc. company guaranty sr. unsec. unsub. notes 3.3s, 2021 205,000 211,336
5,597,912
Energy (1.6%)
Anadarko Petroleum Corp. sr. unsec. notes 7.2s, 2029 91,000 115,590
Anadarko Petroleum Corp. sr. unsec. notes 6.45s, 2036 275,000 341,139
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 4 1/2s, 2020 (United Kingdom) 185,000 205,209
California Resources Corp. 144A company guaranty sr. unsec. notes 5s, 2020 95,000 85,738
DCP Midstream, LLC 144A sr. unsec. notes 5.35s, 2020 310,000 301,415
EQT Midstream Partners LP company guaranty sr. unsec. notes 4s, 2024 100,000 99,271
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 86,000 91,160
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 21,000 22,286
Hess Corp. sr. unsec. unsub. notes 7.3s, 2031 100,000 121,834
Kerr-McGee Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2031 206,000 280,654
Lukoil International Finance BV 144A company guaranty sr. unsec. notes 4.563s, 2023 (Russia) 280,000 238,140
Motiva Enterprises, LLC 144A sr. unsec. notes 6.85s, 2040 150,000 184,278
Noble Holding International, Ltd. company guaranty sr. unsec. notes 6.05s, 2041 360,000 304,196
Petrobras Global Finance BV company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil) 825,000 748,399
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6 3/4s, 2041 (Brazil) 215,000 190,352
Pride International, Inc. sr. unsec. notes 7 7/8s, 2040 130,000 150,822
Statoil ASA company guaranty sr. unsec. notes 5.1s, 2040 (Norway) 345,000 414,521
Weatherford International, LLC company guaranty sr. unsec. unsub. notes 6.8s, 2037 95,000 89,921
Weatherford International, Ltd./Bermuda company guaranty sr. unsec. notes 9 7/8s, 2039 (Bermuda) 75,000 87,725
Weatherford International, Ltd./Bermuda company guaranty sr. unsec. notes 6 1/2s, 2036 (Bermuda) 90,000 82,369
Williams Cos., Inc. (The) sr. unsec. notes 4.55s, 2024 100,000 96,851
Williams Partners LP sr. unsec. notes 5.4s, 2044 233,000 232,984
Williams Partners LP sr. unsec. notes 4.3s, 2024 232,000 233,985
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2021 197,000 205,680
4,924,519
Financials (12.5%)
Aflac, Inc. sr. unsec. notes 6.9s, 2039 545,000 763,167
Aflac, Inc. sr. unsec. notes 6.45s, 2040 167,000 220,765
Air Lease Corp. sr. unsec. unsub. notes 3 3/4s, 2022 105,000 106,702
American Express Co. jr. unsec. sub. FRN notes Ser. C, 4.9s, perpetual maturity 265,000 263,701
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2058 706,000 1,001,143
Aon PLC company guaranty sr. unsec. unsub. notes 4 1/4s, 2042 975,000 968,926
ARC Properties Operating Partnership LP/Clark Acquisition, LLC company guaranty sr. unsec. unsub. notes 4.6s, 2024(R) 330,000 320,925
Associates Corp. of North America sr. unsec. notes 6.95s, 2018 52,000 60,559
Assurant, Inc. sr. unsec. notes 6 3/4s, 2034 405,000 517,405
AXA SA 144A jr. unsec. sub. FRN notes 6.463s, perpetual maturity (France) 140,000 149,100
AXA SA 144A jr. unsec. sub. FRN notes 6.379s, perpetual maturity (France) 400,000 447,252
Banco Bilbao Vizcaya Argentaria SA jr. unsec. sub. FRB bonds 9s, perpetual maturity (Spain) 200,000 217,000
Banco del Estado de Chile 144A sr. unsec. notes 2s, 2017 (Chile) 150,000 150,762
Banco do Brasil SA/Cayman 144A unsec. sub. notes 5 7/8s, 2022 (Brazil) 635,000 615,968
Bank of America Corp. jr. unsec. sub. FRN notes Ser. Z, 6 1/2s, perpetual maturity 140,000 148,050
Bank of America Corp. jr. unsec. sub. FRN notes Ser. AA, 6.1s, perpetual maturity 503,000 508,030
Barclays PLC jr. unsec. sub. FRB bonds 6 5/8s, perpetual maturity (United Kingdom) 590,000 581,150
BBVA International Preferred SAU company guaranty jr. unsec. sub. FRB bonds 5.919s, perpetual maturity (Spain) 5,000 5,163
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. unsub. notes 4.3s, 2043 545,000 599,532
BNP Paribas SA 144A jr. unsec. sub. FRN notes 7.195s, perpetual maturity (France) 100,000 120,750
BPCE SA 144A unsec. sub. notes 5.7s, 2023 (France) 200,000 221,189
CBL & Associates LP company guaranty sr. unsec. unsub. notes 5 1/4s, 2023(R) 511,000 547,003
CIT Group, Inc. sr. unsec. notes 5s, 2023 100,000 102,500
Citigroup, Inc. jr. unsec. sub. FRB bonds Ser. B, 5.9s, perpetual maturity 56,000 56,420
Citigroup, Inc. jr. unsec. sub.FRN notes 5 7/8s, perpetual maturity 49,000 49,613
Commerzbank AG 144A unsec. sub. notes 8 1/8s, 2023 (Germany) 400,000 476,000
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands company guaranty unsec. sub. notes 4 5/8s, 2023 (Netherlands) 250,000 270,179
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands 144A jr. unsec. sub. FRN notes 11s, perpetual maturity (Netherlands) 175,000 225,313
Credit Agricole SA 144A jr. unsec. sub. FRN notes 7 7/8s, perpetual maturity (France) 200,000 211,809
Credit Agricole SA 144A unsec. sub. notes 4 3/8s, 2025 (France) 200,000 202,273
Credit Suisse Group AG 144A jr. unsec. sub. FRN notes 7 1/2s, perpetual maturity (Switzerland) 315,000 338,231
Credit Suisse Group AG 144A unsec. sub. notes 6 1/2s, 2023 (Switzerland) 200,000 228,984
DDR Corp. sr. unsec. unsub. notes 7 7/8s, 2020(R) 448,000 558,345
Deutsche Bank AG unsec. sub. notes 4 1/2s, 2025 (Germany) 332,000 331,639
Duke Realty LP company guaranty sr. unsec. notes 6 3/4s, 2020(R) 51,000 60,614
Duke Realty LP sr. unsec. unsub. notes 3 7/8s, 2021(R) 190,000 200,521
EPR Properties unsec. notes 5 1/4s, 2023(R) 300,000 322,816
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 25,000 25,188
Fifth Third Bancorp jr. unsec. sub. FRB bonds 5.1s, perpetual maturity 171,000 162,450
Five Corners Funding Trust 144A unsec. bonds 4.419s, 2023 850,000 913,912
GE Capital Trust I unsec. sub. FRB bonds 6 3/8s, 2067 765,000 828,113
General Electric Capital Corp. sr. unsec. notes 6 3/4s, 2032 350,000 484,102
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB bonds 6.15s, 2066 289,000 170,510
Goldman Sachs Group, Inc. (The) sub. notes 6 3/4s, 2037 454,000 595,989
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. FRB bonds 8 1/8s, 2038 400,000 455,500
Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 6 5/8s, 2040 321,000 430,487
HBOS PLC 144A unsec. sub. bonds 6s, 2033 (United Kingdom) 454,000 536,524
Hospitality Properties Trust sr. unsec. unsub. notes 4 1/2s, 2025(R) 175,000 179,064
HSBC Capital Funding LP 144A company guaranty jr. unsec. sub. FRB bonds 10.176s, perpetual maturity (Jersey) 130,000 196,950
HSBC Holdings PLC jr. unsec. sub. FRB bonds 6 3/8s, perpetual maturity (United Kingdom) 315,000 321,694
HSBC USA Capital Trust I 144A company guaranty jr. unsec. sub. notes 7.808s, 2026 310,000 312,519
ING Bank NV 144A unsec. sub. notes 5.8s, 2023 (Netherlands) 1,135,000 1,290,702
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019 260,000 285,675
International Lease Finance Corp. sr. unsec. unsub. notes 4 7/8s, 2015 108,000 108,135
Intesa Sanpaolo SpA 144A company guaranty unsec. sub. bonds 5.017s, 2024 (Italy) 200,000 204,698
JPMorgan Chase & Co. jr. unsec. sub. FRN notes 7.9s, perpetual maturity 156,000 167,895
JPMorgan Chase Capital XXIII company guaranty jr. unsec. sub. FRN notes 1.257s, 2047 2,137,000 1,677,545
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. FRN notes 7s, 2037 220,000 225,610
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097 300,000 391,188
Lloyds Banking Group PLC jr. unsec. sub. FRB bonds 7 1/2s, perpetual maturity (United Kingdom) 212,000 225,250
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN notes 6.657s, perpetual maturity (United Kingdom) 925,000 1,054,500
Massachusetts Mutual Life Insurance Co. 144A notes 8 7/8s, 2039 705,000 1,156,618
Merrill Lynch & Co., Inc. unsec. sub. FRN notes 1.031s, 2026 100,000 90,007
Merrill Lynch & Co., Inc. unsec. sub. notes 6.11s, 2037 300,000 365,223
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7 7/8s, 2037 1,500,000 1,987,500
MetLife, Inc. jr. unsec. sub. notes 6.4s, 2036 85,000 100,725
Mid-America Apartments LP sr. unsec. notes 4.3s, 2023(R) 170,000 181,453
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021(R) 355,000 382,069
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031 205,000 296,203
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 73,000 77,928
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033 515,000 583,891
Primerica, Inc. sr. unsec. unsub. notes 4 3/4s, 2022 42,000 46,528
Progressive Corp. (The) jr. unsec. sub. FRN notes 6.7s, 2037 715,000 753,878
Prudential Financial, Inc. jr. unsec. sub. FRN notes 5 5/8s, 2043 149,000 158,685
Prudential Financial, Inc. jr. unsec. sub. FRN notes 5.2s, 2044 226,000 230,238
Prudential Financial, Inc. sr. unsec. notes 6 5/8s, 2040 270,000 361,806
Realty Income Corp. sr. unsec. notes 4.65s, 2023(R) 120,000 130,753
Royal Bank of Scotland Group PLC unsec. sub. notes 5 1/8s, 2024 (United Kingdom) 530,000 556,029
Royal Bank of Scotland PLC (The) unsec. sub. FRN notes Ser. REGS, 9 1/2s, 2022 (United Kingdom) 515,000 581,693
Santander Issuances SAU 144A company guaranty sr. unsec. unsub. notes 5.911s, 2016 (Spain) 800,000 835,929
Santander UK PLC 144A unsec. sub. notes 5s, 2023 (United Kingdom) 50,000 53,663
Select Income REIT sr. unsec. unsub. notes 3.6s, 2020(R) 40,000 41,013
Select Income REIT sr. unsec. unsub. notes 2.85s, 2018(R) 40,000 40,343
SL Green Realty Corp./SL Green Operating Partnership /Reckson Operating Partnership sr. unsec. unsub. notes 5s, 2018(R) 185,000 199,571
Societe Generale SA 144A jr. unsec. sub. FRB bonds 7 7/8s, perpetual maturity (France) 260,000 267,800
Standard Chartered Bank 144A unsec. sub. notes 8s, 2031 (United Kingdom) 100,000 136,263
Standard Chartered PLC 144A jr. sub. FRB bonds 7.014s, perpetual maturity (United Kingdom) 600,000 678,000
State Street Capital Trust IV company guaranty jr. unsec. sub. FRB bonds 1.271s, 2037 1,525,000 1,294,344
Sumitomo Mitsui Financial Group, Inc. 144A unsec. sub. bonds 4.436s, 2024 (Japan) 410,000 439,587
Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85s, 2039 239,000 333,052
TIERS Trust/United States 144A sr. bonds stepped-coupon zero % (8 1/8s, 3/15/18), 2046(STP) 200,000 209,000
Travelers Property Casualty Corp. sr. unsec. unsub. bonds 7 3/4s, 2026 255,000 348,913
Wells Fargo & Co. jr. unsec. sub. FRB bonds Ser. U, 5 7/8s, perpetual maturity 115,000 121,613
Wells Fargo Bank NA sr. unsec. sub. notes Ser. BKNT, 6.6s, 2038 1,110,000 1,569,397
Willis Group Holdings PLC company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 410,000 461,784
WP Carey, Inc. sr. unsec. unsub. notes 4.6s, 2024(R) 265,000 274,198
ZFS Finance USA Trust V 144A FRB bonds 6 1/2s, 2037 218,000 230,535
38,989,931
Health care (0.8%)
Actavis Funding SCS company guaranty sr. unsec. unsub. notes 4 3/4s, 2045 (Luxembourg) 75,000 79,714
Actavis Funding SCS company guaranty sr. unsec. unsub. notes 3.45s, 2022 (Luxembourg) 75,000 76,821
Aetna, Inc. sr. unsec. unsub. notes 6 3/4s, 2037 605,000 844,968
Anthem, Inc. sr. unsec. unsub. notes 4 5/8s, 2042 195,000 211,372
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019 90,000 97,695
Fresenius Medical Care US Finance, Inc. 144A company guaranty sr. notes 5 3/4s, 2021 277,000 303,315
Medtronic PLC 144A sr. unsec. notes 4 3/8s, 2035 65,000 70,684
Medtronic PLC 144A sr. unsec. notes 3 1/2s, 2025 65,000 67,950
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) 125,000 131,700
Omega Healthcare Investors, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2027(R) 95,000 92,863
Omnicare, Inc. sr. unsec. notes 4 3/4s, 2022 80,000 82,600
Quest Diagnostics, Inc. company guaranty sr. unsec. notes 4 3/4s, 2020 97,000 106,589
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4 5/8s, 2041 165,000 189,391
2,355,662
Miscellaneous (—%)
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976s, 2025 100,000 101,443
101,443
Technology (0.3%)
Apple, Inc. sr. unsec. unsub. notes 3.45s, 2045 199,000 186,960
Fidelity National Information Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2022 281,000 297,950
Jabil Circuit, Inc. sr. unsec. notes 8 1/4s, 2018 115,000 133,113
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) 220,000 224,675
842,698
Transportation (0.3%)
Continental Airlines, Inc. pass-through certificates Ser. 97-4A, 6.9s, 2018 78,504 83,313
Kansas City Southern Railway Co. (The) company guaranty sr. unsec. notes 4.3s, 2043 74,000 78,156
Norfolk Southern Corp. sr. unsec. notes 6s, 2111 210,000 266,385
Southwest Airlines Co. pass-through certificates Ser. 07-1, 6.15s, 2022 250,747 288,986
United AirLines, Inc. pass-through certificates Ser. 07-A, 6.636s, 2022 183,926 199,330
916,170
Utilities and power (4.3%)
Appalachian Power Co. sr. notes Ser. L, 5.8s, 2035 255,000 320,294
Arizona Public Services Co. sr. unsec. notes 4 1/2s, 2042 110,000 123,925
Beaver Valley Funding Corp. sr. bonds 9s, 2017 40,000 43,200
CMS Energy Corp. sr. unsec. notes 8 3/4s, 2019 85,000 107,475
Commonwealth Edison Co. sr. mtge. bonds 5 7/8s, 2033 195,000 255,140
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.2s, 2042 205,000 219,529
Duke Energy Carolinas, LLC sr. mtge. notes 4 1/4s, 2041 215,000 237,650
EDP Finance BV 144A sr. unsec. unsub. notes 6s, 2018 (Netherlands) 630,000 685,138
El Paso Natural Gas Co., LLC sr. unsec. unsub. bonds 8 3/8s, 2032 380,000 488,447
El Paso Pipeline Partners Operating Co., LP company guaranty sr. unsec. notes 6 1/2s, 2020 230,000 263,298
Electricite de France (EDF) 144A jr. unsec. sub. FRN notes 5 5/8s, perpetual maturity (France) 220,000 233,301
Electricite de France (EDF) 144A sr. unsec. notes 6.95s, 2039 (France) 250,000 350,047
Electricite de France (EDF) 144A unsec. sub. FRN notes 5 1/4s, perpetual maturity (France) 999,000 1,041,458
Enel Finance International SA 144A company guaranty sr. unsec. notes 5 1/8s, 2019 (Netherlands) 180,000 201,335
Energy Transfer Partners LP sr. unsec. unsub. notes 6 1/2s, 2042 285,000 329,116
Energy Transfer Partners LP sr. unsec. unsub. notes 5.2s, 2022 145,000 157,963
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. notes 4.85s, 2042 330,000 352,795
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 58,000 60,709
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45s, 2044 245,000 275,803
Iberdrola International BV company guaranty sr. unsec. unsub. notes 6 3/4s, 2036 (Spain) 170,000 223,449
ITC Holdings Corp. 144A sr. unsec. notes 6.05s, 2018 140,000 156,556
Kansas Gas and Electric Co. bonds 5.647s, 2021 129,132 130,423
Kinder Morgan Energy Partners LP sr. unsec. unsub. notes 5.4s, 2044 86,000 89,100
Korea Gas Corp. 144A sr. unsec. unsub. notes 6 1/4s, 2042 (South Korea) 345,000 489,635
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036 490,000 638,723
MidAmerican Energy Holdings Co. sr. unsec. bonds 6 1/2s, 2037 185,000 250,452
MidAmerican Funding, LLC sr. bonds 6.927s, 2029 175,000 237,007
Oncor Electric Delivery Co., LLC sr. notes 7s, 2022 161,000 206,243
Oncor Electric Delivery Co., LLC sr. notes 4.1s, 2022 165,000 180,951
Pacific Gas & Electric Co. sr. unsec. notes 6.35s, 2038 155,000 210,648
Pacific Gas & Electric Co. sr. unsub. notes 5.8s, 2037 265,000 337,770
PacifiCorp sr. mtge. bonds 6 1/4s, 2037 205,000 281,772
Potomac Edison Co. (The) 144A sr. bonds 5.8s, 2016 450,000 474,489
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 3.4s, 2023 10,000 10,368
PPL WEM Holdings, Ltd. 144A sr. unsec. notes 5 3/8s, 2021 (United Kingdom) 705,000 811,403
Puget Sound Energy, Inc. jr. sub. FRN notes Ser. A, 6.974s, 2067 610,000 619,913
Texas-New Mexico Power Co. 144A 1st mtge. bonds Ser. A, 9 1/2s, 2019 415,000 521,414
TransCanada PipeLines, Ltd. jr. unsec. sub. FRN notes 6.35s, 2067 (Canada) 915,000 887,550
Wisconsin Energy Corp. jr. unsec. sub. FRN notes 6 1/4s, 2067 815,000 816,598
13,321,087
Total corporate bonds and notes (cost $79,324,724) $88,317,498

ASSET-BACKED SECURITIES (2.7%)(a)
Principal amount Value
Station Place Securitization Trust 144A FRB Ser. 14-2, Class A, 1.055s, 2016 $8,515,000 $8,515,000
Total asset-backed securities (cost $8,515,000) $8,515,000

PURCHASED SWAP OPTIONS OUTSTANDING (1.2%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
     2.175/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.175 $20,317,600 $278,351
     (2.0875)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.0875 10,158,800 178,389
     (2.685)/3 month USD-LIBOR-BBA/Sep-25 Sep-15/2.685 20,436,100 118,325
     1.816/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.816 20,436,100 25,341
Barclays Bank PLC
     (2.1625)/3 month USD-LIBOR-BBA/May-25 May-15/2.1625 20,436,100 171,050
     (2.31)/3 month USD-LIBOR-BBA/Apr-45 Apr-15/2.31 4,087,220 135,410
     2.31/3 month USD-LIBOR-BBA/Apr-45 Apr-15/2.31 4,087,220 48,025
Citibank, N.A.
     2.20/3 month USD-LIBOR-BBA/May-25 May-15/2.20 20,584,100 369,279
     2.172/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.172 10,158,800 138,668
     2.043/3 month USD-LIBOR-BBA/May-25 May-15/2.043 10,218,050 106,574
     1.4015/3 month USD-LIBOR-BBA/May-20 May-15/1.4015 40,872,200 106,268
     (2.13)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.13 20,436,100 81,949
     1.294/3 month USD-LIBOR-BBA/May-20 May-15/1.294 40,872,200 60,082
     1.3735/3 month USD-LIBOR-BBA/May-20 May-15/1.3735 20,436,100 46,186
     1.266/3 month USD-LIBOR-BBA/May-20 May-15/1.266 20,436,100 25,749
     1.802/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.802 20,436,100 22,275
Credit Suisse International
     2.25/3 month USD-LIBOR-BBA/May-25 May-15/2.25 30,468,000 646,531
     2.09125/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.09125 20,232,000 167,926
     2.09/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.09 20,232,000 166,307
     1.795/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.795 20,488,100 20,898
Goldman Sachs International
     2.655/3 month USD-LIBOR-BBA/May-45 May-15/2.655 5,109,025 320,949
     (2.82)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/2.82 7,727,625 291,718
     1.84/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.84 15,327,100 32,953
     1.76/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.76 15,327,100 18,086
Total purchased swap options outstanding (cost $3,207,355) $3,577,289

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Expiration Contract
date/strike price amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) May-15/$102.57 $10,000,000 $90,140
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/103.07 10,000,000 77,240
Total purchased options outstanding (cost $318,750) $167,380

PREFERRED STOCKS (0.6%)(a)
Shares Value
Citigroup, Inc. Ser. K, $1.719 ARP 50,360 $1,372,814
HSBC USA, Inc. $0.88 pfd. (United Kingdom) 15,500 358,050
Total preferred stocks (cost $1,687,270) $1,730,864

MUNICIPAL BONDS AND NOTES (0.4%)(a)
Principal amount Value
CA State G.O. Bonds (Build America Bonds), 7 1/2s, 4/1/34 $350,000 $523,779
North TX, Tollway Auth. Rev. Bonds (Build America Bonds), 6.718s, 1/1/49 285,000 425,371
OH State U. Rev. Bonds (Build America Bonds), 4.91s, 6/1/40 255,000 303,129
Total municipal bonds and notes (cost $892,277) $1,252,279

SHORT-TERM INVESTMENTS (16.4%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.09%(AFF) Shares 742,526 $742,526
Putnam Short Term Investment Fund 0.09%(AFF) Shares 41,957,950 41,957,950
SSgA Prime Money Market Fund Class N 0.02%(P) Shares 1,508,000 1,508,000
U.S. Treasury Bills with effective yields ranging from 0.02% to 0.03%, April 23, 2015(SEG)(SEGCCS) $113,000 112,999
U.S. Treasury Bills with effective yields ranging from 0.01% to 0.03%, April 9, 2015(SEG)(SEGCCS) 2,800,000 2,799,986
U.S. Treasury Bills with an effective yield of 0.01%, May 21, 2015(SEG)(SEGCCS) 1,600,000 1,599,974
U.S. Treasury Bills with effective yields ranging from zero% to 0.01%, May 7, 2015(SEG)(SEGSF)(SEGCCS) 2,300,000 2,299,970
Total short-term investments (cost $51,021,405) $51,021,405

TOTAL INVESTMENTS
Total investments (cost $455,544,864)(b) $471,897,668













FUTURES CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
U.S. Treasury Bond 30 yr (Short) 52 $8,521,500             Jun-15 $(41,766)
U.S. Treasury Bond Ultra 30 yr (Long) 111 18,856,125             Jun-15 548,443
U.S. Treasury Note 2 yr (Long) 16 3,506,500             Jun-15 12,718
U.S. Treasury Note 2 yr (Short) 66 14,464,313             Jun-15 (30,038)
U.S. Treasury Note 5 yr (Long) 323 38,828,133             Jun-15 295,576
U.S. Treasury Note 10 yr (Long) 158 20,367,188             Jun-15 255,819
Total $1,040,752












WRITTEN SWAP OPTIONS OUTSTANDING at 3/31/15 (premiums $3,573,912) (Unaudited)


Counterparty       
Fixed Obligation % to receive or (pay)/ Expiration       Contract
Floating rate index/Maturity date date/strike       amount Value

Bank of America N.A.
    2.916/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.916        $20,436,100 $20
    (1.9125)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.9125        20,317,600 29,867
    2.955/3 month USD-LIBOR-BBA/Sep-25 Sep-15/2.955        40,872,200 107,085
    (2.04375)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.04375        20,317,600 112,153
    1.66/3 month USD-LIBOR-BBA/Jul-20 Jul-15/1.66        20,317,600 175,950

Barclays Bank PLC
    2.3775/3 month USD-LIBOR-BBA/May-25 May-15/2.3775        20,436,100 61,104
    2.265/3 month USD-LIBOR-BBA/May-25 May-15/2.265        20,436,100 107,290

Citibank, N.A.
    2.902/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.902        20,436,100 102
    (1.602)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.602        20,436,100 3,065
    (1.932)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.932        10,158,800 21,333
    2.28/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.28        20,436,100 21,662
    2.205/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.205        20,436,100 43,938
    (2.052)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.052        10,158,800 63,188
    (1.481)/3 month USD-LIBOR-BBA/May-20 May-15/1.481        20,436,100 77,453
    (2.223)/3 month USD-LIBOR-BBA/May-25 May-15/2.223        5,109,025 102,640
    (1.509)/3 month USD-LIBOR-BBA/May-20 May-15/1.509        40,872,200 175,750

Credit Suisse International
    2.895/3 month USD-LIBOR-BBA/Apr-25 Apr-15/2.895        20,488,100 20
    (1.80)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.80        20,232,000 9,104
    (1.80125)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.80125        20,232,000 9,307
    (1.94)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.94        20,232,000 45,927
    (1.94125)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.94125        20,232,000 46,534

Goldman Sachs International
    (1.92)/3 month USD-LIBOR-BBA/Apr-25 Apr-15/1.92        15,327,100 57,630
    (2.35)/3 month USD-LIBOR-BBA/May-45 May-15/2.35        5,109,025 113,114
    (1.885)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/1.885        7,727,625 175,587
    (2.5025)/3 month USD-LIBOR-BBA/May-45 May-15/2.5025        5,109,025 199,661

JPMorgan Chase Bank N.A.
    (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00        5,404,000 804,116
Total $2,563,600












WRITTEN OPTIONS OUTSTANDING at 3/31/15 (premiums $319,531) (Unaudited)


Expiration       Contract
date/strike price       amount Value
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) May-15/$101.57        $10,000,000 $44,180
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) May-15/100.57        10,000,000 17,330
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/102.07        10,000,000 20,940
Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Apr-15/101.07        10,000,000 1,790
Total $84,240













FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
Counterparty       Premium Unrealized
Fixed right or obligation % to receive or (pay)/ Expiration Contract       receivable/ appreciation/
Floating rate index/Maturity date date/strike amount       (payable) (depreciation)

Goldman Sachs International
     1.955/3 month USD-LIBOR-BBA/Apr-25 (Purchased) Apr-15/1.955 $14,305,270 $(80,110) $(3,576)
     (2.155)/3 month USD-LIBOR-BBA/Apr-25 (Purchased) Apr-15/2.155 14,305,270 (80,110) (5,007)

JPMorgan Chase Bank N.A.
     2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 5,109,025 (125,186) 35,508
     2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 5,109,025 (129,815) 13,978
     (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 5,109,025 (135,941) (16,298)
     (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 5,109,025 (143,053) (34,307)
     2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 22,377,500 148,251 42,047
     2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 22,377,500 143,053 26,271
     (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 22,377,500 128,834 (22,825)
     (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 22,377,500 127,552 (42,741)
Total $(146,525) $(6,950)












TBA SALE COMMITMENTS OUTSTANDING at 3/31/15 (proceeds receivable $48,880,918) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4 1/2s, April 1, 2045 $17,000,000       4/14/15 $18,545,938
Federal National Mortgage Association, 4s, April 1, 2045 7,000,000       4/14/15 7,485,078
Federal National Mortgage Association, 3 1/2s, April 1, 2045 19,000,000       4/14/15 19,960,391
Government National Mortgage Association, 3s, May 1, 2045 3,000,000       5/13/15 3,082,969
Total $49,074,376















CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
Upfront     Payments Payments Unrealized
premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
$20,317,600 $182,590      2/19/25 3 month USD-LIBOR-BBA 1.9575% $95,415
20,317,600 (59,189)     2/19/25 2.1575% 3 month USD-LIBOR-BBA (349,238)
20,317,600 (107,951)     2/19/25 2.0575% 3 month USD-LIBOR-BBA (209,399)
15,455,250 44,616      1/6/25 2.28% 3 month USD-LIBOR-BBA (395,299)
15,455,250 191,441      1/6/25 2.53% 3 month USD-LIBOR-BBA (607,953)
26,697,000 (108)     12/19/19 1.742% 3 month USD-LIBOR-BBA (445,879)
23,736,000 (313)     1/9/25 3 month USD-LIBOR-BBA 2.07875% 226,572
20,610,400 20,338      1/16/25 3 month USD-LIBOR-BBA 2.12% 287,250
42,801,000 (345)     1/12/20 3 month USD-LIBOR-BBA 1.6457% 428,015
15,438,075 (1,233)     1/23/25 3 month USD-LIBOR-BBA 2.14% 220,467
33,638,000 (271)     12/19/19 1.7285% 3 month USD-LIBOR-BBA (539,762)
26,697,000 (108)     12/19/19 1.734% 3 month USD-LIBOR-BBA (435,449)
14,062,300 (186)     1/22/25 3 month USD-LIBOR-BBA 2.09% 137,285
4,646,000 (61)     1/9/25 3 month USD-LIBOR-BBA 2.081% 45,320
62,790,000 (505)     1/9/20 1.62% 3 month USD-LIBOR-BBA (561,771)
40,559,015 (535)     1/14/25 3 month USD-LIBOR-BBA 2.10% 454,454
27,819,450 (200)     1/15/25 3 month USD-LIBOR-BBA 2.09% 284,350
20,610,400 (272)     1/22/25 3 month USD-LIBOR-BBA 2.095% 210,787
22,546,000 (298)     1/12/25 2.14412% 3 month USD-LIBOR-BBA (348,429)
42,801,000 (345)     1/12/20 3 month USD-LIBOR-BBA 1.65338% 444,060
22,544,000 (298)     1/12/25 2.1372% 3 month USD-LIBOR-BBA (333,875)
22,544,000 (298)     1/12/25 2.142% 3 month USD-LIBOR-BBA (343,942)
42,801,000 (345)     1/12/20 3 month USD-LIBOR-BBA 1.648% 432,811
22,544,000 (298)     1/12/25 2.14055% 3 month USD-LIBOR-BBA (340,895)
42,801,000 (345)     1/12/20 3 month USD-LIBOR-BBA 1.6464% 429,494
22,542,000 (298)     1/12/25 2.138% 3 month USD-LIBOR-BBA (335,531)
42,801,000 (345)     1/12/20 3 month USD-LIBOR-BBA 1.64084% 417,843
19,315,000 (72)     2/4/17 3 month USD-LIBOR-BBA 0.70502% (2,823)
7,893,000 (64)     2/4/20 1.3635% 3 month USD-LIBOR-BBA 39,692
129,000 (E) 3,569      6/17/45 2.50% 3 month USD-LIBOR-BBA 1,170
101,015,000 (E) 934,281      6/17/25 2.20% 3 month USD-LIBOR-BBA (142,337)
7,619,000 (101)     1/20/25 3 month USD-LIBOR-BBA 1.949% (24,620)
10,285,000 (136)     1/20/25 1.875% 3 month USD-LIBOR-BBA 103,765
14,854,000 (120)     1/22/20 1.45125% 3 month USD-LIBOR-BBA 362
6,350,000 (84)     1/22/25 1.921% 3 month USD-LIBOR-BBA 37,604
6,755,000 (230)     1/22/45 2.31125% 3 month USD-LIBOR-BBA 99,765
16,512,000 (218)     1/22/25 1.92125% 3 month USD-LIBOR-BBA 97,395
5,169,000 (42)     1/23/20 1.4975% 3 month USD-LIBOR-BBA (11,248)
11,965,000 (96)     1/26/20 1.517% 3 month USD-LIBOR-BBA (35,209)
2,620,000 (89)     1/26/45 3 month USD-LIBOR-BBA 2.384% 3,356
8,855,000 (117)     1/27/25 3 month USD-LIBOR-BBA 1.9625% (21,231)
8,855,000 (117)     1/27/25 3 month USD-LIBOR-BBA 1.963% (20,816)
9,241,000 (122)     1/27/25 3 month USD-LIBOR-BBA 1.95475% (28,808)
4,111,000 (E) (140)     2/2/46 3 month USD-LIBOR-BBA 2.335% (125,751)
983,000 (13)     2/3/25 3 month USD-LIBOR-BBA 1.791% (18,451)
38,631,000 (145)     2/4/17 3 month USD-LIBOR-BBA 0.707% (4,097)
15,786,000 (127)     2/4/20 1.366% 3 month USD-LIBOR-BBA 77,459
11,461,000 (43)     2/4/17 3 month USD-LIBOR-BBA 0.71% (531)
5,731,000 (21)     2/4/17 3 month USD-LIBOR-BBA 0.7065% (670)
8,756,000 (70)     2/5/20 1.38665% 3 month USD-LIBOR-BBA 34,613
5,696,000 (46)     2/5/20 1.45% 3 month USD-LIBOR-BBA 4,919
5,696,000 (46)     2/5/20 1.45873% 3 month USD-LIBOR-BBA 2,495
2,019,000 (27)     2/6/25 1.9805% 3 month USD-LIBOR-BBA 2,690
2,019,000 (27)     2/6/25 1.98407% 3 month USD-LIBOR-BBA 2,020
1,612,000 (75)     2/6/17 0.776% 3 month USD-LIBOR-BBA (2,063)
34,244,000 (18,034)     2/6/20 1.48% 3 month USD-LIBOR-BBA (36,251)
14,399,000 15,657      2/6/25 3 month USD-LIBOR-BBA 1.9575% (34,474)
2,772,000 (8,329)     2/6/45 3 month USD-LIBOR-BBA 2.36% (21,481)
2,887,000 (98)     2/17/45 3 month USD-LIBOR-BBA 2.462% 50,404
2,887,000 (98)     2/17/45 3 month USD-LIBOR-BBA 2.46318% 50,408
1,422,200 (19)     2/19/25 2.12% 3 month USD-LIBOR-BBA (15,371)
9,400,000 (124)     2/25/25 3 month USD-LIBOR-BBA 2.20246% 169,491
20,179,000 (266)     2/27/25 2.1135% 3 month USD-LIBOR-BBA (195,194)
7,346,000 (97)     3/3/25 3 month USD-LIBOR-BBA 2.124% 76,133
2,862,000 (97)     3/3/45 2.4925% 3 month USD-LIBOR-BBA (67,104)
14,067,000 (113)     3/3/20 1.6525% 3 month USD-LIBOR-BBA (105,002)
14,514,000 (54)     3/3/17 3 month USD-LIBOR-BBA 0.8775% 35,368
2,862,000 (97)     3/3/45 2.4995% 3 month USD-LIBOR-BBA (71,593)
7,108,000 (94)     3/10/25 3 month USD-LIBOR-BBA 2.3175% 198,050
7,108,000 (94)     3/10/25 3 month USD-LIBOR-BBA 2.31774% 198,207
7,108,000 (94)     3/10/25 3 month USD-LIBOR-BBA 2.3355% 209,917
95,746,000 (E) 119,199      6/17/17 1.10% 3 month USD-LIBOR-BBA (183,840)
224,000 (E) (977)     6/17/20 3 month USD-LIBOR-BBA 1.80% 939
3,599,000 (48)     3/20/25 2.1195% 3 month USD-LIBOR-BBA (31,980)
3,599,000 (48)     3/20/25 3 month USD-LIBOR-BBA 2.133% 36,391
11,874,000 (45)     3/23/17 0.843% 3 month USD-LIBOR-BBA (13,132)
13,440,000 (108)     3/25/20 1.5485% 3 month USD-LIBOR-BBA (15,325)
2,100,000 (28)     3/25/25 2.009% 3 month USD-LIBOR-BBA 3,526
1,289,000 (17)     3/26/25 3 month USD-LIBOR-BBA 1.964% (7,656)
2,578,000 (34)     3/26/25 3 month USD-LIBOR-BBA 1.96065% (16,112)
1,611,000 (21)     3/26/25 3 month USD-LIBOR-BBA 1.9665% (9,196)
3,222,000 (43)     3/26/25 3 month USD-LIBOR-BBA 1.96943% (17,513)
14,062,300 (186)     1/9/25 3 month USD-LIBOR-BBA 2.07% 122,786
4,063,500 8,073      2/19/25 3 month USD-LIBOR-BBA 2.15% 63,256
2,031,750 4,646      2/19/25 3 month USD-LIBOR-BBA 2.15% 32,237
Total$1,318,612     $(658,760)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
Upfront     Payments Total return Unrealized
Swap counterparty/ premium     Termination received (paid) by received by appreciation/
Notional amount received (paid)     date fund per annum or paid by fund (depreciation)
Bank of America N.A.
$345,675 $—      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools $(4,354)
559,487 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (6,551)

Barclays Bank PLC
772,494 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 6,217
553,336 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,057)
1,651,940 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,543)
1,527,648 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,204
1,406,087 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,070
3,803,229 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (47,908)
4,316,819 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (19,710)
2,906,066 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 14,612
171,131 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 905
383,234 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,927
419,462 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 2,957
3,696,002 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (16,876)
4,628,322 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 23,272
1,423,750 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic MBX Index 4.00% 30 year Fannie Mae pools 7,527
70,737 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 639
246,803 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,241
185,688 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools 963
2,682,641 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 13,489
1,559,989 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (7,123)
232,328 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,096
1,403,157 —      1/12/40 4.50% (1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Fannie Mae pools 11,293
6,350,194 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 31,930
938,924 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 4,721
159,178 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 751
515,913 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,433
373,992 —      1/12/40 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 1,764
3,696,371 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (16,877)
1,337,930 —      1/12/39 (6.00%) 1 month USD-LIBOR Synthetic MBX Index 6.00% 30 year Fannie Mae pools (8,058)
557,580 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,951)
278,753 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,475)
278,753 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (1,475)
559,505 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,961)
1,453,070 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (7,689)
559,505 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (2,961)
542,660 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,729
1,173,706 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,359)
719,790 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 6,500
1,117,085 —      1/12/39 (5.50%) 1 month USD-LIBOR Synthetic MBX Index 5.50% 30 year Fannie Mae pools (5,911)
228,791 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 2,368
334,838 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (1,529)
935,698 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (4,272)
431,905 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 2,172

Citibank, N.A.
1,476,985 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 7,427
2,585,299 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Fannie Mae pools 13,000

Credit Suisse International
909,386 —      1/12/39 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools (251)
1,172,314 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 12,136
6,160,392 —      1/12/41 5.00% (1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (12,740)
1,016,857 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (12,809)
1,157,596 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (15,973)
578,798 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (7,986)
2,404,778 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (33,182)
1,021,071 12,125      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (578)
1,399,572 23,399      1/12/43 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools 5,315

Goldman Sachs International
898,814 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 8,117
693,402 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 6,262
2,442,274 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 17,218
870,947 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 7,865
1,372,739 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (17,507)
1,372,739 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (17,507)
273,361 —      1/12/41 4.50% (1 month USD-LIBOR) Synthetic TRS Index 4.50% 30 year Fannie Mae pools (3,201)
1,286,575 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (5,874)
483,334 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (2,207)
27,831 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (351)
536,396 —      1/12/40 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (7,343)
113,256 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 798
1,029,542 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 7,258
693,698 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,167)
1,762,517 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (8,048)
832,437 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (3,801)
65,341 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (298)
174,293 —      1/12/38 (6.50%) 1 month USD-LIBOR Synthetic MBX Index 6.50% 30 year Fannie Mae pools (796)
463,968 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 4,190
985,073 —      1/12/38 6.50% (1 month USD-LIBOR) Synthetic TRS Index 6.50% 30 year Fannie Mae pools 8,896
1,151,101 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (14,680)
1,701,254 —      1/12/39 6.00% (1 month USD-LIBOR) Synthetic TRS Index 6.00% 30 year Fannie Mae pools 11,994
1,679,194 —      1/12/42 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (21,415)
1,683,198 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (21,203)
1,654,423 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 17,126
1,169,014 —      1/12/44 3.50% (1 month USD-LIBOR) Synthetic TRS Index 3.50% 30 year Fannie Mae pools (16,130)

JPMorgan Chase Bank N.A.
1,682,795 —      1/12/41 4.00% (1 month USD-LIBOR) Synthetic TRS Index 4.00% 30 year Fannie Mae pools (21,198)
1,654,423 —      1/12/41 (5.00%) 1 month USD-LIBOR Synthetic TRS Index 5.00% 30 year Fannie Mae pools 17,129
Total$35,524     $(126,374)











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 3/31/15 (Unaudited)
Upfront Payments
premium Termi- received Unrealized
Swap counterparty/ received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Bank of America N.A.
  CMBX NA BBB- Index BBB-/P $12,483 $219,000 5/11/63 300 bp $14,866
  CMBX NA BBB- Index BBB-/P 13,088 212,000 5/11/63 300 bp 15,395
  CMBX NA BBB- Index BBB-/P 6,388 106,000 5/11/63 300 bp 7,542
  CMBX NA BBB- Index BBB-/P 3,281 48,000 5/11/63 300 bp 3,803
Barclays Bank PLC
  CMBX NA BBB- Index BBB-/P 21,618 195,000 5/11/63 300 bp 23,740
Credit Suisse International
  CMBX NA BBB- Index BBB-/P 14,240 347,000 5/11/63 300 bp 18,016
  CMBX NA BBB- Index BBB-/P 24,292 215,000 5/11/63 300 bp 26,632
  CMBX NA BBB- Index BBB-/P 15,589 214,000 5/11/63 300 bp 17,918
  CMBX NA BBB- Index BBB-/P 16,017 209,000 5/11/63 300 bp 18,292
  CMBX NA BBB- Index BBB-/P 2,403 207,000 5/11/63 300 bp 4,656
  CMBX NA BBB- Index BBB-/P 2,888 188,000 5/11/63 300 bp 4,935
  CMBX NA BBB- Index BBB-/P 5,416 178,000 5/11/63 300 bp 7,353
  CMBX NA BBB- Index BBB-/P 13,627 176,000 5/11/63 300 bp 15,543
  CMBX NA BBB- Index BBB-/P 11,512 175,000 5/11/63 300 bp 13,417
  CMBX NA BBB- Index BBB-/P 13,884 174,000 5/11/63 300 bp 15,778
  CMBX NA BBB- Index BBB-/P 13,770 173,000 5/11/63 300 bp 15,653
  CMBX NA BBB- Index BBB-/P 10,475 108,000 5/11/63 300 bp 11,651
  CMBX NA BBB- Index BBB-/P 1,956 16,000 5/11/63 300 bp 2,130
  CMBX NA BBB- Index — 1,457 133,000 5/11/63 (300 bp) 10
  CMBX NA BBB- Index BBB-/P 1,276 163,000 1/17/47 300 bp (34)
  CMBX NA BBB- Index BBB-/P 1,160 163,000 1/17/47 300 bp (149)
  CMBX NA BB Index — (576) 75,000 5/11/63 (500 bp) (1,759)
  CMBX NA BB Index — (718) 75,000 5/11/63 (500 bp) (1,901)
  CMBX NA BB Index — (684) 75,000 5/11/63 (500 bp) (1,867)
  CMBX NA BB Index — 1,660 83,000 5/11/63 (500 bp) 351
  CMBX NA BB Index — 580 107,000 5/11/63 (500 bp) (1,107)
  CMBX NA BB Index — (393) 108,000 5/11/63 (500 bp) (2,097)
  CMBX NA BB Index — 1,623 157,000 5/11/63 (500 bp) (853)
  CMBX NA BB Index — 4,357 165,000 5/11/63 (500 bp) 1,755
  CMBX NA BB Index — 2,567 166,000 5/11/63 (500 bp) (51)
  CMBX NA BB Index — (2,917) 167,000 5/11/63 (500 bp) (5,551)
  CMBX NA BB Index — (1,181) 226,000 5/11/63 (500 bp) (4,745)
  CMBX NA BB Index — (3,220) 166,000 5/11/63 (500 bp) (5,838)
  CMBX NA BBB- Index BBB-/P (4,683) 380,000 5/11/63 300 bp (547)
  CMBX NA BBB- Index BBB-/P (5,714) 379,000 5/11/63 300 bp (1,590)
  CMBX NA BBB- Index BBB-/P (7,086) 366,000 5/11/63 300 bp (3,103)
  CMBX NA BBB- Index BBB-/P (2,421) 241,000 5/11/63 300 bp 202
  CMBX NA BBB- Index BBB-/P 1,098 237,000 5/11/63 300 bp 3,677
  CMBX NA BBB- Index BBB-/P 880 190,000 5/11/63 300 bp 2,948
  CMBX NA BBB- Index BBB-/P (3,324) 184,000 5/11/63 300 bp (1,322)
  CMBX NA BBB- Index BBB-/P 126 182,000 5/11/63 300 bp 2,107
  CMBX NA BBB- Index BBB-/P 630 182,000 5/11/63 300 bp 2,611
  CMBX NA BBB- Index BBB-/P 1,056 174,000 5/11/63 300 bp 2,950
  CMBX NA BBB- Index BBB-/P 111 167,000 5/11/63 300 bp 1,929
  CMBX NA BBB- Index BBB-/P 451 167,000 5/11/63 300 bp 2,268
  CMBX NA BBB- Index BBB-/P (542) 162,000 5/11/63 300 bp 1,222
  CMBX NA BBB- Index BBB-/P (537) 161,000 5/11/63 300 bp 1,215
  CMBX NA BBB- Index BBB-/P (1,489) 159,000 5/11/63 300 bp 242
  CMBX NA BBB- Index BBB-/P 1,883 158,000 5/11/63 300 bp 3,602
  CMBX NA BBB- Index BBB-/P 1,571 158,000 5/11/63 300 bp 3,290
  CMBX NA BBB- Index BBB-/P (1,573) 157,000 5/11/63 300 bp 136
  CMBX NA BBB- Index BBB-/P (1,305) 156,000 5/11/63 300 bp 392
  CMBX NA BBB- Index BBB-/P 6,748 141,000 5/11/63 300 bp 8,283
  CMBX NA BBB- Index BBB-/P (352) 104,000 5/11/63 300 bp 780
  CMBX NA BBB- Index BBB-/P 2,403 101,000 5/11/63 300 bp 3,502
  CMBX NA BBB- Index BBB-/P (801) 84,000 5/11/63 300 bp 113
  CMBX NA BBB- Index BBB-/P (488) 81,000 5/11/63 300 bp 393
  CMBX NA BBB- Index — (6,101) 130,000 1/17/47 (300 bp) (5,111)
Goldman Sachs International
  CMBX NA BBB- Index BBB-/P (1,369) 198,000 5/11/63 300 bp 786
  CMBX NA BB Index — 61 50,000 5/11/63 (500 bp) (728)
  CMBX NA BB Index — 584 57,000 5/11/63 (500 bp) (315)
  CMBX NA BB Index — (720) 75,000 5/11/63 (500 bp) (1,903)
  CMBX NA BB Index — 1,877 83,000 5/11/63 (500 bp) 568
  CMBX NA BB Index — (1,750) 165,000 5/11/63 (500 bp) (4,352)
  CMBX NA BBB- Index BBB-/P (3,064) 184,000 5/11/63 300 bp (1,064)
  CMBX NA BBB- Index BBB-/P 1,965 172,000 5/11/63 300 bp 3,837
  CMBX NA BBB- Index BBB-/P (650) 162,000 5/11/63 300 bp 1,113
  CMBX NA BBB- Index BBB-/P 943 158,000 5/11/63 300 bp 2,662
  CMBX NA BBB- Index BBB-/P (1,469) 157,000 5/11/63 300 bp 240
  CMBX NA BBB- Index BBB-/P (1,575) 157,000 5/11/63 300 bp 134
  CMBX NA BBB- Index BBB-/P (1,575) 157,000 5/11/63 300 bp 134
  CMBX NA BBB- Index BBB-/P (1,253) 156,000 5/11/63 300 bp 445
  CMBX NA BBB- Index BBB-/P (916) 84,000 5/11/63 300 bp (2)
  CMBX NA BBB- Index BBB-/P (11) 4,000 5/11/63 300 bp 33
Total$179,537$245,261
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at March 31, 2015. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's abbreviations
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
BKNT Bank Note
bp Basis points
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period
G.O. Bonds General Obligation Bonds
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
IO Interest Only
MTN Medium Term Notes
PO Principal Only
REGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
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 January 1, 2015 through March 31, 2015 (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 $310,691,640.
(b) The aggregate identified cost on a tax basis is $462,884,177, resulting in gross unrealized appreciation and depreciation of $15,718,157 and $6,704,666, respectively, or net unrealized appreciation of $9,013,491.
(NON) This security is non-income-producing.
(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.
(AFF) Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, which are under common ownership and control, were as follows:
Name of affiliate Fair value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Fair value at the end of the reporting period
Putnam Money Market Liquidity Fund* $— $742,526 $— $67 $742,526
Putnam Short Term Investment Fund* 29,116,959 30,006,167 17,165,176 8,404 41,957,950
Totals $29,116,959 $30,748,693 $17,165,176 $8,471 $42,700,476
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period.
(FWC) Forward commitment, in part or in entirety.
(F) This 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.
(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.
At the close of the reporting period, the fund maintained liquid assets totaling $216,342,543 to cover certain derivative contracts, delayed delivery securities and the settlement of certain securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation:Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. 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.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to hedge treasury term structure risk and for yield curve positioning.
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.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge term structure risk and for yield curve positioning.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure and to gain exposure to specific sectors.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to gain liquid exposure to individual names, to hedge market risk and to gain exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
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 that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage backed and other asset backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. Collateral posted to the fund which cannot be sold or repledged totaled $74,887 at the close of the reporting period.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $723,412 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $713,988 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
Asset-backed securities $— $8,515,000 $—
Corporate bonds and notes — 88,108,498 209,000
Mortgage-backed securities — 129,062,593 866,977
Municipal bonds and notes — 1,252,279 —
Preferred stocks 1,730,864 — —
Purchased options outstanding — 167,380 —
Purchased swap options outstanding — 3,577,289 —
U.S. government and agency mortgage obligations — 187,250,829 —
U.S. Treasury obligations — 135,554 —
Short-term investments 44,208,476 6,812,929 —
Totals by level $45,939,340 $424,882,351 $1,075,977



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $1,040,752 $— $—
Written options outstanding — (84,240) —
Written swap options outstanding — (2,563,600) —
Forward premium swap option contracts — (6,950) —
TBA sale commitments — (49,074,376) —
Interest rate swap contracts — (1,977,372) —
Total return swap contracts — (161,898) —
Credit default contracts — 65,724 —
Totals by level $1,040,752 $(53,802,712) $—


The following is a reconciliation of Level 3 assets as of the close of the reporting period:

Investments in securities:Balance as of 12/31/14Accrued discounts/premiumsRealized gain/(loss)Change in net unrealized appreciation/(depreciation) #PurchasesSalesNet transfers in and/or out of Level 3 †Balance as of March 31, 2015
Asset-backed securities$8,515,000$—$—$—$—$—$(8,515,000)$—
Corporate bonds and notes——————209,000$209,000
Mortgage-backed securities 8—————866,969$866,977
Totals:$8,515,008$—$—$—$—$—$(7,439,031)$1,075,977

† Transfers during the reporting period are accounted for using the end of period market value. Transfers in include valuations provided by a single broker quote. Such valuations involve certain inputs and estimates that were unobservable at the end of the reporting period. Transfers out include valuations where a secondary pricing source was obtained for certain securities.
# Includes $— related to Level 3 securities still held at period end.
During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period.
Level 3 securities, which are fair valued, are not material to the fund.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Credit contracts $101,333 $35,609
Interest rate contracts 11,016,925 11,025,564
Total $11,118,258 $11,061,173


The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Purchased TBA commitment option contracts (contract amount)$30,000,000
Purchased swap option contracts (contract amount)$514,300,000
Written TBA commitment option contracts (contract amount)$60,000,000
Written swap option contracts (contract amount)$491,700,000
Futures contracts (number of contracts)700
Centrally cleared interest rate swap contracts (notional)$1,114,900,000
OTC total return swap contracts (notional)$106,400,000
OTC credit default contracts (notional)$11,800,000
   
  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 Barclays Capital Inc. (clearing broker) Citibank, N.A. Credit Suisse International Goldman Sachs International JPMorgan Chase Bank N.A. Merrill Lynch, Pierce, Fenner & Smith, Inc.   Total
                         
  Assets:                      
  Centrally cleared interest rate swap contracts§    $—  $—  $1,059,165  $—  $—  $—  $—  $—    $ 1,059,165
  OTC Total return swap contracts*#    —  155,780  —  20,427  12,136  89,724  17,129  —    295,196
  OTC Credit default contracts*#    6,366  2,122  —  —  75,553  17,292  —  —    101,333
  Futures contracts§    —  —  —  —  —  —  —  118,029    118,029
  Forward premium swap option contracts#    —  —  —  —  —  —  117,804  —    117,804
  Purchased swap options#    600,406  354,485  —  957,030  1,001,662  663,706  —  —    3,577,289
  Purchased options#    —  —  —  —  —  —  167,380  —    167,380
                         
  Total Assets  $606,772  $512,387  $1,059,165  $977,457  $1,089,351  $770,722  $302,313  $118,029  $5,436,196
                         
  Liabilities:                      
  Centrally cleared interest rate swap contracts§    —  —  1,293,991  —  —  —  —  —    1,293,991
  OTC Total return swap contracts*#    10,905  167,735  —  —  113,728  143,528  21,198  —    457,094
  OTC Credit default contracts*#    —  —  —  —  28,827  6,782  —  —    35,609
  Futures contracts§    —  —  —  —  —  —  —  —    —
  Forward premium swap option contracts#    —  —  —  —  —  8,583  116,171  —    124,754
  Written swap options#    425,075  168,394  —  509,131  110,892  545,992  804,116  —    2,563,600
  Written options#    —  —  —  —  —  —  84,240  —    84,240
                         
  Total Liabilities  $435,980  $336,129  $1,293,991  $509,131  $253,447  $704,885  $1,025,725  $—  $4,559,288
                         
  Total Financial and Derivative Net Assets    $170,792  $176,258  $(234,826)  $468,326  $835,904  $65,837  $(723,412)  $118,029    $876,908
  Total collateral received (pledged)##†    $110,000  $176,258  $—  $360,000  $828,000  $65,837  $(713,988)  $—    
  Net amount    $60,792  $—  $(234,826)  $108,326  $7,904  $—  $(9,424)  $118,029    
                         
* Excludes premiums, if any.
                         
†  Additional collateral may be required from certain brokers based on individual agreements.
                         
# Covered by master netting agreement.
                         
## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
                         
§ Includes current day's variation margin only, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund's portfolio. 

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



Item 2. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable
Item 3. Exhibits:
Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

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

Putnam Variable Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: May 29, 2015

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, 2015

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: May 29, 2015