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: | September 30, 2015 |
Item 1. Schedule of Investments: |
Putnam VT High Yield Fund | ||||||
The fund's portfolio | ||||||
9/30/15 (Unaudited) | ||||||
CORPORATE BONDS AND NOTES (85.3%)(a) | ||||||
Principal amount | Value | |||||
Advertising and marketing services (0.5%) | ||||||
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 | $485,000 | $503,794 | ||||
Lamar Media Corp. company guaranty sr. unsec. notes 5 3/8s, 2024 | 105,000 | 106,050 | ||||
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 7/8s, 2025 | 355,000 | 361,213 | ||||
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. notes 5 5/8s, 2024 | 255,000 | 258,188 | ||||
Outfront Media Capital, LLC/Outfront Media Capital Corp. 144A sr. unsec. notes 5 5/8s, 2024 | 50,000 | 50,688 | ||||
1,279,933 | ||||||
Automotive (1.0%) | ||||||
Dana Holding Corp. sr. unsec. notes 5 1/2s, 2024 | 335,000 | 322,438 | ||||
Dana Holding Corp. sr. unsec. unsub. notes 6s, 2023 | 905,000 | 911,788 | ||||
FCA US, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021 | 855,000 | 907,326 | ||||
General Motors Co. sr. unsec. unsub. notes 5.2s, 2045 | 120,000 | 112,613 | ||||
Navistar International Corp. sr. notes 8 1/4s, 2021 | 496,000 | 398,040 | ||||
2,652,205 | ||||||
Basic materials (9.0%) | ||||||
A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 | 765,000 | 721,013 | ||||
ArcelorMittal SA sr. unsec. bonds 10.6s, 2019 (France) | 685,000 | 741,513 | ||||
ArcelorMittal SA sr. unsec. unsub. bonds 6 1/8s, 2025 (France) | 295,000 | 238,950 | ||||
ArcelorMittal SA sr. unsec. unsub. notes 7 3/4s, 2039 (France) | 200,000 | 163,000 | ||||
Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9 3/4s, 2023 | 200,000 | 208,000 | ||||
Boise Cascade Co. company guaranty sr. unsec. notes 6 3/8s, 2020 | 420,000 | 434,700 | ||||
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2023 | 325,000 | 324,594 | ||||
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany) | 405,000 | 408,544 | ||||
Cemex Finance, LLC 144A company guaranty sr. notes 9 3/8s, 2022 (Mexico) | 425,000 | 452,625 | ||||
Cemex Finance, LLC 144A company guaranty sr. notes 6s, 2024 (Mexico) | 775,000 | 705,250 | ||||
Cemex SAB de CV 144A company guaranty sr. notes 5.7s, 2025 (Mexico) | 395,000 | 353,525 | ||||
Chemours Co. (The) 144A sr. unsec. notes 7s, 2025 | 215,000 | 141,363 | ||||
Chemours Co. (The) 144A sr. unsec. notes 6 5/8s, 2023 | 330,000 | 221,925 | ||||
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2024 | 600,000 | 560,250 | ||||
Coveris Holdings SA 144A company guaranty sr. unsec. notes 7 7/8s, 2019 (Luxembourg) | 535,000 | 506,913 | ||||
CPG Merger Sub, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2021 | 505,000 | 502,475 | ||||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7 1/4s, 2022 (Canada) | 490,000 | 303,800 | ||||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7s, 2021 (Canada) | 525,000 | 341,250 | ||||
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) | 200,000 | 134,000 | ||||
HD Supply, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 | 650,000 | 676,000 | ||||
HD Supply, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2020 | 430,000 | 485,900 | ||||
HD Supply, Inc. 144A company guaranty sr. notes 5 1/4s, 2021 | 280,000 | 281,400 | ||||
HudBay Minerals, Inc. company guaranty sr. unsec. notes 9 1/2s, 2020 (Canada) | 930,000 | 741,675 | ||||
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 | 160,000 | 139,024 | ||||
Huntsman International, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 | 445,000 | 381,588 | ||||
INEOS Group Holdings SA 144A company guaranty sr. unsec. notes 6 1/8s, 2018 (Luxembourg) | 255,000 | 238,425 | ||||
JMC Steel Group, Inc. 144A sr. unsec. notes 8 1/4s, 2018 | 290,000 | 197,200 | ||||
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 | 360,000 | 373,500 | ||||
Mercer International, Inc. company guaranty sr. unsec. notes 7 3/4s, 2022 (Canada) | 700,000 | 707,000 | ||||
Momentive Performance Materials, Inc. company guaranty sr. notes 3.88s, 2021 | 830,000 | 639,100 | ||||
Momentive Performance Materials, Inc. escrow company guaranty sr. notes 8 7/8s, 2020(F) | 830,000 | 8 | ||||
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7s, 2020 (Canada) | 390,000 | 364,650 | ||||
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) | 255,000 | 209,100 | ||||
Norbord, Inc. 144A company guaranty sr. notes 6 1/4s, 2023 (Canada) | 690,000 | 683,100 | ||||
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020 | 755,000 | 726,839 | ||||
Pactiv, LLC sr. unsec. unsub. notes 7.95s, 2025 | 325,000 | 307,938 | ||||
Perstorp Holding AB 144A company guaranty sr. notes 8 3/4s, 2017 (Sweden) | 860,000 | 881,500 | ||||
Platform Specialty Products Corp. 144A sr. unsec. notes 6 1/2s, 2022 | 510,000 | 438,600 | ||||
PQ Corp. 144A sr. notes 8 3/4s, 2018 | 385,000 | 387,406 | ||||
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A company guaranty sr. unsec. notes 10s, 2020 | 115,000 | 123,625 | ||||
Ryerson, Inc./Joseph T Ryerson & Son, Inc. company guaranty sr. notes 9s, 2017 | 830,000 | 740,775 | ||||
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2033 | 160,000 | 160,400 | ||||
Sealed Air Corp. 144A sr. unsec. bonds 5 1/2s, 2025 | 145,000 | 147,175 | ||||
Sealed Air Corp. 144A sr. unsec. notes 5 1/4s, 2023 | 265,000 | 264,006 | ||||
Sealed Air Corp. 144A sr. unsec. notes 5 1/8s, 2024 | 260,000 | 254,800 | ||||
Sealed Air Corp. 144A sr. unsec. notes 4 7/8s, 2022 | 210,000 | 207,638 | ||||
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsub. notes 7 1/2s, 2025 (Ireland) | 385,000 | 468,738 | ||||
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 | 445,000 | 437,213 | ||||
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2019 | 155,000 | 158,488 | ||||
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2024 | 180,000 | 165,038 | ||||
TMS International Corp. 144A company guaranty sr. unsec. notes 7 5/8s, 2021 | 535,000 | 497,550 | ||||
TPC Group, Inc. 144A company guaranty sr. notes 8 3/4s, 2020 | 170,000 | 145,350 | ||||
Univar, Inc. 144A sr. unsec. notes 6 3/4s, 2023 | 165,000 | 153,038 | ||||
USG Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021 | 125,000 | 130,000 | ||||
USG Corp. 144A company guaranty sr. unsec. notes 5 1/2s, 2025 | 695,000 | 693,263 | ||||
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. bonds 6s, 2023 | 870,000 | 806,925 | ||||
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 | 550,000 | 539,000 | ||||
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 | 380,000 | 375,250 | ||||
22,791,915 | ||||||
Broadcasting (2.7%) | ||||||
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 | 635,000 | 644,525 | ||||
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6 1/2s, 2022 | 665,000 | 667,494 | ||||
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019 | 360,000 | 258,300 | ||||
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 | 130,000 | 133,250 | ||||
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2021 | 305,000 | 256,276 | ||||
iHeartCommunications, Inc. company guaranty sr. notes 9s, 2019 | 950,000 | 817,000 | ||||
LIN Television Corp. company guaranty sr. unsec. notes 6 3/8s, 2021 | 255,000 | 265,200 | ||||
Media General Financing Sub, Inc. 144A sr. unsec. notes 5 7/8s, 2022 | 125,000 | 124,063 | ||||
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021 | 595,000 | 597,975 | ||||
Sinclair Television Group, Inc. company guaranty sr. unsec. notes 5 3/8s, 2021 | 70,000 | 68,425 | ||||
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 | 535,000 | 486,181 | ||||
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 6s, 2024 | 575,000 | 576,438 | ||||
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5 7/8s, 2020 | 225,000 | 229,500 | ||||
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2020 | 345,000 | 353,625 | ||||
TEGNA, Inc. company guaranty sr. unsec. bonds 5 1/8s, 2019 | 415,000 | 421,225 | ||||
TEGNA, Inc. 144A company guaranty sr. unsec. notes 4 7/8s, 2021 | 25,000 | 24,500 | ||||
Tribune Media Co. 144A company guaranty sr. unsec. notes 5 7/8s, 2022 | 425,000 | 412,250 | ||||
Univision Communications, Inc. 144A company guaranty sr. notes 5 1/8s, 2025 | 450,000 | 421,875 | ||||
6,758,102 | ||||||
Building materials (0.6%) | ||||||
Building Materials Corp. of America 144A sr. unsec. notes 5 3/8s, 2024 | 750,000 | 740,625 | ||||
Masonite International Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 | 245,000 | 249,900 | ||||
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021 | 495,000 | 519,750 | ||||
1,510,275 | ||||||
Cable television (3.0%) | ||||||
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020 | 75,000 | 66,750 | ||||
Cablevision Systems Corp. sr. unsec. unsub. notes 7 3/4s, 2018 | 235,000 | 235,000 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 | 355,000 | 356,775 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 | 220,000 | 206,250 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. bonds 5 1/8s, 2023 | 620,000 | 568,850 | ||||
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 6 5/8s, 2022 | 235,000 | 236,763 | ||||
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5 1/8s, 2021 | 645,000 | 568,003 | ||||
CSC Holdings, LLC sr. unsec. unsub. bonds 5 1/4s, 2024 | 450,000 | 354,938 | ||||
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 | 180,000 | 159,750 | ||||
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2024 | 425,000 | 360,984 | ||||
Numericable-SFR 144A sr. bonds 5 5/8s, 2024 (France) | EUR | 110,000 | 121,992 | |||
Numericable-SFR SAS 144A sr. bonds 6 1/4s, 2024 (France) | $530,000 | 506,150 | ||||
Numericable-SFR SAS 144A sr. notes 6s, 2022 (France) | 885,000 | 849,600 | ||||
Quebecor Media, Inc. sr. unsec. unsub. notes 5 3/4s, 2023 (Canada) | 400,000 | 395,000 | ||||
Unitymedia GmbH 144A company guaranty sr. unsec. notes 6 1/8s, 2025 (Germany) | 200,000 | 199,000 | ||||
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5s, 2022 (Canada) | 685,000 | 670,444 | ||||
Virgin Media Finance PLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 (United Kingdom) | 285,000 | 282,863 | ||||
Virgin Media Secured Finance PLC 144A sr. notes 5 3/8s, 2021 (United Kingdom) | 256,500 | 258,103 | ||||
WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. notes 10 1/4s, 2019 | 1,155,000 | 1,163,663 | ||||
7,560,878 | ||||||
Capital goods (7.1%) | ||||||
ADS Waste Holdings, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020 | 1,372,000 | 1,368,570 | ||||
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 | 540,000 | 594,000 | ||||
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021 | 85,000 | 84,788 | ||||
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5 3/8s, 2024 | 450,000 | 437,625 | ||||
Amstead Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2022 | 405,000 | 398,925 | ||||
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6 1/2s, 2023 (Canada) | 295,000 | 297,950 | ||||
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5 1/4s, 2024 | 335,000 | 309,875 | ||||
Berry Plastics Corp. company guaranty unsub. notes 5 1/8s, 2023 | 200,000 | 188,500 | ||||
Berry Plastics Escrow, LLC/Berry Plastics Escrow Corp. 144A notes 6s, 2022(FWC) | 205,000 | 205,513 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7 3/4s, 2020 (Canada) | 400,000 | 342,000 | ||||
Bombardier, Inc. 144A sr. unsec. notes 7 1/2s, 2025 (Canada) | 115,000 | 86,250 | ||||
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 | 875,000 | 945,000 | ||||
Crown Cork & Seal Co., Inc. sr. unsec. bonds 7 3/8s, 2026 | 525,000 | 572,250 | ||||
DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) | 305,000 | 308,050 | ||||
Gates Global, LLC/Gates Global Co. 144A sr. unsec. notes 6s, 2022 | 1,390,000 | 1,125,900 | ||||
Huntington Ingalls Industries, Inc. 144A company guaranty sr. unsec. notes 5s, 2021 | 290,000 | 295,800 | ||||
KLX, Inc. 144A company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 | 865,000 | 841,481 | ||||
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) | 920,000 | 1,254,414 | ||||
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 | 790,000 | 839,375 | ||||
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 | 595,000 | 490,875 | ||||
Moog, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2022 | 740,000 | 740,000 | ||||
Omega US Sub, LLC 144A sr. unsec. notes 8 3/4s, 2023 | 490,000 | 432,425 | ||||
Oshkosh Corp. company guaranty sr. sub. unsec. notes 5 3/8s, 2025 | 305,000 | 303,475 | ||||
Oshkosh Corp. company guaranty sr. unsec. notes 5 3/8s, 2022 | 675,000 | 685,125 | ||||
Pittsburgh Glass Works, LLC 144A company guaranty sr. notes 8s, 2018 | 336,000 | 347,760 | ||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 9 7/8s, 2019 | 144,000 | 149,040 | ||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8 1/4s, 2021 (New Zealand) | 270,000 | 269,325 | ||||
Schaeffler Holding Finance BV 144A company guaranty sr. notes 6 7/8s, 2018 (Netherlands)(PIK) | 645,000 | 667,575 | ||||
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2024 | 365,000 | 374,581 | ||||
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 | 550,000 | 532,125 | ||||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2021 | 530,000 | 552,525 | ||||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6 1/2s, 2024 | 400,000 | 375,940 | ||||
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2020 | 330,000 | 314,531 | ||||
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2025 | 770,000 | 705,513 | ||||
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4 1/2s, 2022 | 475,000 | 448,875 | ||||
17,885,956 | ||||||
Commercial and consumer services (0.7%) | ||||||
Garda World Security Corp. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 (Canada) | 430,000 | 394,525 | ||||
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) | 665,000 | 666,663 | ||||
Lender Processing Services, Inc./Black Knight Lending Solutions, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 | 90,000 | 95,850 | ||||
Sabre GLBL, Inc. 144A company guaranty sr. notes 5 3/8s, 2023 | 510,000 | 502,350 | ||||
1,659,388 | ||||||
Consumer (0.4%) | ||||||
Gibson Brands, Inc. 144A sr. notes 8 7/8s, 2018 | 420,000 | 369,600 | ||||
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2022 | 35,000 | 37,144 | ||||
Spectrum Brands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020 | 45,000 | 47,475 | ||||
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 | 340,000 | 346,800 | ||||
Spectrum Brands, Inc. 144A company guaranty sr. unsec. unsub. notes 6 1/8s, 2024 | 300,000 | 309,000 | ||||
1,110,019 | ||||||
Consumer staples (5.7%) | ||||||
Ashtead Capital, Inc. 144A company guaranty notes 5 5/8s, 2024 | 290,000 | 288,550 | ||||
Ashtead Capital, Inc. 144A company guaranty sr. notes 6 1/2s, 2022 | 675,000 | 705,375 | ||||
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. 144A company guaranty sr. unsec. unsub. notes 5 1/8s, 2022 | 275,000 | 265,375 | ||||
BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4 5/8s, 2022 (Canada) | 240,000 | 234,600 | ||||
BC ULC/New Red Finance, Inc. 144A notes 6s, 2022 (Canada) | 955,000 | 969,325 | ||||
Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 | 200,000 | 200,500 | ||||
BlueLine Rental Finance Corp. 144A sr. notes 7s, 2019 | 850,000 | 816,000 | ||||
CEC Entertainment, Inc. company guaranty sr. unsec. notes 8s, 2022 | 390,000 | 384,150 | ||||
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11s, 2021 | 1,075,000 | 983,625 | ||||
Constellation Brands, Inc. company guaranty sr. unsec. notes 4 1/4s, 2023 | 580,000 | 578,550 | ||||
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022 | 335,000 | 365,988 | ||||
Corrections Corp. of America company guaranty sr. unsec. notes 4 5/8s, 2023(R) | 1,030,000 | 988,800 | ||||
Corrections Corp. of America company guaranty sr. unsec. notes 4 1/8s, 2020(R) | 145,000 | 144,275 | ||||
Dean Foods Co. 144A sr. unsec. notes 6 1/2s, 2023 | 635,000 | 645,319 | ||||
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021 | 830,000 | 498,000 | ||||
ESAL GmbH 144A company guaranty sr. unsec. notes 6 1/4s, 2023 (Brazil) | 490,000 | 450,800 | ||||
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) | 190,000 | 197,125 | ||||
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021 (Brazil) | 165,000 | 171,188 | ||||
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 | 205,000 | 210,125 | ||||
Landry's, Inc. 144A sr. unsec. notes 9 3/8s, 2020 | 560,000 | 597,800 | ||||
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2025 | 290,000 | 284,925 | ||||
Prestige Brands, Inc. 144A sr. unsec. notes 5 3/8s, 2021 | 535,000 | 521,625 | ||||
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 5 3/4s, 2021 | 720,000 | 698,400 | ||||
Rite Aid Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2023 | 920,000 | 913,100 | ||||
United Rentals North America, Inc. company guaranty sr. unsec. notes 7 5/8s, 2022 | 85,000 | 90,100 | ||||
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 3/4s, 2024 | 750,000 | 718,125 | ||||
United Rentals North America, Inc. company guaranty sr. unsec. notes 5 1/2s, 2025 | 440,000 | 411,950 | ||||
Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9 3/4s, 2019(PIK) | 605,000 | 487,025 | ||||
WhiteWave Foods Co. (The) company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 | 490,000 | 508,375 | ||||
14,329,095 | ||||||
Energy (8.5%) | ||||||
Antero Resources Corp. company guaranty sr. unsec. notes 5 1/8s, 2022 | 515,000 | 442,900 | ||||
Antero Resources Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 | 345,000 | 302,738 | ||||
Antero Resources Finance Corp. company guaranty sr. unsec. notes 5 3/8s, 2021 | 700,000 | 616,000 | ||||
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 (Canada) | 685,000 | 541,150 | ||||
Baytex Energy Corp. 144A company guaranty sr. unsec. notes 5 1/8s, 2021 (Canada) | 120,000 | 97,200 | ||||
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 | 200,000 | 125,000 | ||||
California Resources Corp. company guaranty sr. unsec. notes 6s, 2024 | 1,150,000 | 684,969 | ||||
California Resources Corp. company guaranty sr. unsec. notes 5s, 2020 | 380,000 | 244,386 | ||||
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021 | 695,000 | 211,558 | ||||
CHC Helicopter SA company guaranty sr. notes 9 1/4s, 2020 (Canada) | 675,000 | 378,000 | ||||
Chesapeake Energy Corp. company guaranty sr. unsec. notes 5 3/4s, 2023 | 675,000 | 440,226 | ||||
Chesapeake Energy Corp. company guaranty sr. unsec. notes 4 7/8s, 2022 | 360,000 | 234,900 | ||||
Chesapeake Oilfield Operating, LLC/Chesapeake Oilfield Finance, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2019 | 770,000 | 479,325 | ||||
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022 | 855,000 | 840,038 | ||||
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 | 810,000 | 769,500 | ||||
CONSOL Energy, Inc. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 | 460,000 | 309,350 | ||||
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021 | 400,000 | 253,000 | ||||
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 5 1/2s, 2022 | 160,000 | 95,200 | ||||
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 | 440,000 | 129,800 | ||||
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2022 | 780,000 | 653,250 | ||||
Exterran Partners LP/EXLP Finance Corp. company guaranty sr. unsec. notes 6s, 2021 | 70,000 | 59,150 | ||||
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022 | 300,000 | 263,325 | ||||
Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2023 | 130,000 | 115,018 | ||||
FTS International, Inc. 144A company guaranty sr. FRN 7.837s, 2020 | 185,000 | 136,955 | ||||
Gulfport Energy Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2020 | 115,000 | 112,988 | ||||
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2023 | 355,000 | 326,600 | ||||
Halcon Resources Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2021 | 1,465,000 | 439,500 | ||||
Halcon Resources Corp. 144A company guaranty notes 8 5/8s, 2020 | 295,000 | 246,325 | ||||
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 | 280,000 | 294,350 | ||||
Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr. unsec. notes 5s, 2024 | 365,000 | 310,250 | ||||
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021 | 820,000 | 282,900 | ||||
Lightstream Resources, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada) | 580,000 | 127,600 | ||||
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2021 | 455,000 | 94,413 | ||||
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/2s, 2019 | 130,000 | 35,750 | ||||
Linn Energy, LLC/Linn Energy Finance Corp. company guaranty sr. unsec. notes 6 1/4s, 2019 | 1,000,000 | 255,000 | ||||
Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. unsub. notes 10 3/8s, 2017 (Canada)(F) | 195,000 | 10 | ||||
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016 (In default)(NON) | 865,000 | 259,500 | ||||
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 | 1,070,000 | 1,037,900 | ||||
Newfield Exploration Co. sr. unsec. unsub. notes 5 3/8s, 2026 | 500,000 | 457,500 | ||||
Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6 7/8s, 2023 | 620,000 | 474,300 | ||||
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6 7/8s, 2022 | 780,000 | 617,994 | ||||
Offshore Group Investment, Ltd. company guaranty sr. notes 7 1/8s, 2023 (Cayman Islands) | 470,000 | 150,400 | ||||
Paragon Offshore PLC 144A company guaranty sr. unsec. notes 6 3/4s, 2022 | 350,000 | 45,500 | ||||
Paragon Offshore PLC 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2024 | 895,000 | 116,350 | ||||
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. notes 5 5/8s, 2022 | 365,000 | 321,200 | ||||
Rose Rock Midstream LP/Rose Rock Finance Corp. 144A company guaranty sr. unsec. notes 5 5/8s, 2023 | 340,000 | 295,800 | ||||
Sabine Pass Liquefaction, LLC company guaranty sr. notes 5 5/8s, 2023 | 100,000 | 88,750 | ||||
Sabine Pass Liquefaction, LLC sr. notes 6 1/4s, 2022 | 370,000 | 343,175 | ||||
Sabine Pass Liquefaction, LLC sr. notes 5 3/4s, 2024 | 360,000 | 320,400 | ||||
Sabine Pass LNG LP company guaranty sr. notes 7 1/2s, 2016 | 240,000 | 245,400 | ||||
Sabine Pass LNG LP company guaranty sr. notes 6 1/2s, 2020 | 285,000 | 275,738 | ||||
Samson Investment Co. company guaranty sr. unsec. unsub. notes 9 3/4s, 2020 (In default)(NON) | 1,340,000 | 20,100 | ||||
SandRidge Energy, Inc. 144A company guaranty notes 8 3/4s, 2020 | 670,000 | 406,188 | ||||
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6 3/4s, 2023 (Canada) | 325,000 | 290,875 | ||||
Seven Generations Energy, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Canada) | 550,000 | 529,375 | ||||
Seventy Seven Energy, Inc. sr. unsec. notes 6 1/2s, 2022 | 345,000 | 138,000 | ||||
SM Energy Co. sr. unsec. notes 6 1/2s, 2021 | 320,000 | 304,000 | ||||
SM Energy Co. sr. unsec. unsub. notes 6 1/2s, 2023 | 120,000 | 110,400 | ||||
Tervita Corp. 144A sr. unsec. notes 10 7/8s, 2018 (Canada) | 175,000 | 98,000 | ||||
Triangle USA Petroleum Corp. 144A sr. unsec. notes 6 3/4s, 2022 | 310,000 | 130,200 | ||||
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021 | 630,000 | 526,050 | ||||
Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5 3/4s, 2021 | 1,340,000 | 1,159,100 | ||||
Williams Cos., Inc. (The) notes 7 3/4s, 2031 | 435,000 | 385,286 | ||||
Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021 | 208,000 | 211,349 | ||||
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 | 253,000 | 257,419 | ||||
Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 | 740,000 | 680,800 | ||||
WPX Energy, Inc. sr. unsec. unsub. notes 6s, 2022 | 260,000 | 223,600 | ||||
21,469,273 | ||||||
Entertainment (1.9%) | ||||||
AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5 7/8s, 2022 | 425,000 | 427,125 | ||||
AMC Entertainment, Inc. 144A sr. unsec. notes 5 3/4s, 2025 | 340,000 | 330,650 | ||||
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5 1/4s, 2021 | 190,000 | 192,375 | ||||
Cinemark USA, Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 | 405,000 | 396,900 | ||||
Cinemark USA, Inc. company guaranty sr. unsec. notes 4 7/8s, 2023 | 295,000 | 281,725 | ||||
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021 | 85,000 | 88,825 | ||||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 7/8s, 2020 | 560,000 | 567,000 | ||||
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 4 3/8s, 2018 | 245,000 | 246,838 | ||||
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2025 | 280,000 | 264,950 | ||||
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2023 | 735,000 | 702,844 | ||||
Regal Entertainment Group sr. unsec. notes 5 3/4s, 2022 | 180,000 | 176,850 | ||||
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 | 1,130,000 | 1,130,000 | ||||
4,806,082 | ||||||
Financials (9.1%) | ||||||
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 | 900,000 | 877,500 | ||||
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8s, 2031 | 1,005,000 | 1,164,232 | ||||
American International Group, Inc. jr. sub. FRB 8.175s, 2058 | 360,000 | 476,100 | ||||
Banco Bilbao Vizcaya Argentaria SA jr. unsec. sub. FRB 9s, perpetual maturity (Spain) | 400,000 | 423,000 | ||||
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.1s, perpetual maturity | 215,000 | 208,550 | ||||
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6 1/2s, perpetual maturity | 270,000 | 275,400 | ||||
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5s, 2023 | 375,000 | 376,932 | ||||
CIT Group, Inc. sr. unsec. notes 5s, 2023 | 365,000 | 363,175 | ||||
CIT Group, Inc. sr. unsec. notes 5s, 2022 | 230,000 | 229,713 | ||||
CIT Group, Inc. sr. unsec. unsub. notes 5 3/8s, 2020 | 515,000 | 539,463 | ||||
Citigroup, Inc. jr. unsec. sub. FRN Ser. Q, 5.95s, perpetual maturity | 175,000 | 172,594 | ||||
CNG Holdings, Inc./OH 144A sr. notes 9 3/8s, 2020 | 720,000 | 381,600 | ||||
CNO Financial Group, Inc. sr. unsec. unsub. notes 5 1/4s, 2025 | 305,000 | 309,575 | ||||
CNO Financial Group, Inc. sr. unsec. unsub. notes 4 1/2s, 2020 | 325,000 | 331,500 | ||||
Community Choice Financial, Inc. company guaranty sr. notes 10 3/4s, 2019 | 435,000 | 143,550 | ||||
Credit Acceptance Corp. company guaranty sr. unsec. bonds 6 1/8s, 2021 | 595,000 | 586,075 | ||||
Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2023 | 265,000 | 270,963 | ||||
Credit Suisse Group AG 144A jr. unsec. sub. FRN 7 1/2s, perpetual maturity (Switzerland) | 200,000 | 208,500 | ||||
DFC Finance Corp. 144A company guaranty sr. notes 10 1/2s, 2020 | 700,000 | 411,250 | ||||
Dresdner Funding Trust I 144A bonds 8.151s, 2031 | 670,000 | 836,663 | ||||
E*Trade Financial Corp. sr. unsec. unsub. notes 5 3/8s, 2022 | 250,000 | 265,000 | ||||
E*Trade Financial Corp. sr. unsec. unsub. notes 4 5/8s, 2023 | 545,000 | 550,450 | ||||
Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRB 6.15s, 2066 | 290,000 | 133,400 | ||||
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. notes 8 1/8s, 2019(PIK) | 130,000 | 125,450 | ||||
HUB International, Ltd. 144A sr. unsec. notes 7 7/8s, 2021 | 985,000 | 940,675 | ||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5 7/8s, 2022 | 595,000 | 598,719 | ||||
iStar, Inc. sr. unsec. notes 5s, 2019(R) | 230,000 | 218,500 | ||||
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.8s, 2037 | 255,000 | 296,438 | ||||
Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13s, perpetual maturity (United Kingdom) | GBP | 485,000 | 1,269,272 | |||
Lloyds Banking Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) | $328,000 | 334,855 | ||||
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022(R) | 350,000 | 367,063 | ||||
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2020 | 465,000 | 423,150 | ||||
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 | 305,000 | 253,150 | ||||
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 5 7/8s, 2022 | 420,000 | 444,675 | ||||
Ocwen Financial Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2019 | 395,000 | 353,525 | ||||
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2019 | 275,000 | 284,625 | ||||
OneMain Financial Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2021 | 590,000 | 601,800 | ||||
PHH Corp. sr. unsec. unsub. notes 7 3/8s, 2019 | 165,000 | 165,000 | ||||
PHH Corp. sr. unsec. unsub. notes 6 3/8s, 2021 | 450,000 | 405,000 | ||||
Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2021 | 790,000 | 750,500 | ||||
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8s, perpetual maturity (United Kingdom) | 245,000 | 246,838 | ||||
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648s, perpetual maturity (United Kingdom) | 1,915,000 | 2,388,963 | ||||
Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7 1/2s, perpetual maturity (United Kingdom) | 445,000 | 444,025 | ||||
Springleaf Finance Corp. sr. unsec. notes 5 1/4s, 2019 | 240,000 | 234,600 | ||||
Springleaf Finance Corp. sr. unsec. unsub. notes 7 3/4s, 2021 | 155,000 | 165,463 | ||||
Springleaf Finance Corp. sr. unsec. unsub. notes 6s, 2020 | 160,000 | 160,600 | ||||
Stearns Holdings, Inc. 144A company guaranty sr. notes 9 3/8s, 2020 | 557,000 | 552,823 | ||||
TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 8 1/2s, 2018 | 415,000 | 326,813 | ||||
USI, Inc./NY 144A sr. unsec. notes 7 3/4s, 2021 | 545,000 | 533,419 | ||||
Walter Investment Management Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2021 | 525,000 | 448,875 | ||||
Wayne Merger Sub, LLC 144A sr. unsec. notes 8 1/4s, 2023 | 200,000 | 191,500 | ||||
23,061,501 | ||||||
Gaming and lottery (2.7%) | ||||||
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6 7/8s, 2023 | 340,000 | 345,100 | ||||
CCM Merger, Inc. 144A company guaranty sr. unsec. notes 9 1/8s, 2019 | 530,000 | 561,800 | ||||
Eldorado Resorts, Inc. 144A sr. unsec. notes 7s, 2023 | 580,000 | 569,850 | ||||
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6 5/8s, 2022 (Canada) | CAD | 740,000 | 568,378 | |||
Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5 7/8s, 2021 | $250,000 | 257,500 | ||||
Penn National Gaming, Inc. sr. unsec. notes 5 7/8s, 2021 | 855,000 | 862,481 | ||||
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 9 1/2s, 2019 | 354,000 | 368,160 | ||||
ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12 1/8s, 2018 | 1,000,000 | 1,053,750 | ||||
Scientific Games Corp. company guaranty sr. unsec. sub. notes 8 1/8s, 2018 | 195,000 | 181,350 | ||||
Scientific Games International, Inc. company guaranty sr. unsec. notes 10s, 2022 | 1,545,000 | 1,348,013 | ||||
Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6 1/4s, 2020 | 180,000 | 129,150 | ||||
Scientific Games International, Inc. 144A company guaranty sr. notes 7s, 2022 | 505,000 | 497,425 | ||||
6,742,957 | ||||||
Health care (8.1%) | ||||||
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 6 1/8s, 2021 | 740,000 | 769,600 | ||||
Acadia Healthcare Co., Inc. company guaranty sr. unsec. notes 5 1/8s, 2022 | 450,000 | 443,250 | ||||
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2023 | 575,000 | 550,563 | ||||
Capsugel SA 144A sr. unsec. notes 7s, 2019 (Luxembourg)(PIK) | 380,000 | 380,000 | ||||
Centene Corp. sr. unsec. unsub. notes 4 3/4s, 2022 | 490,000 | 487,550 | ||||
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2021 | 120,000 | 122,100 | ||||
CHS/Community Health Systems, Inc. company guaranty sr. notes 5 1/8s, 2018 | 120,000 | 122,700 | ||||
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6 7/8s, 2022 | 140,000 | 142,969 | ||||
Concordia Healthcare Corp. 144A company guaranty sr. unsec. notes 7s, 2023 (Canada) | 540,000 | 472,500 | ||||
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg) | 575,000 | 593,688 | ||||
Crimson Merger Sub, Inc. 144A sr. unsec. notes 6 5/8s, 2022 | 975,000 | 838,500 | ||||
DPx Holdings BV 144A sr. unsec. notes 7 1/2s, 2022 (Netherlands) | 820,000 | 828,200 | ||||
Endo Finance, LLC 144A company guaranty sr. unsec. notes 5 3/4s, 2022 | 855,000 | 846,450 | ||||
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5 3/8s, 2023 | 525,000 | 504,656 | ||||
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2025 (Ireland) | 380,000 | 369,075 | ||||
Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. notes 6s, 2023 (Ireland) | 430,000 | 424,625 | ||||
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2022 | 340,000 | 346,800 | ||||
HCA, Inc. company guaranty sr. unsec. bonds 5 3/8s, 2025 | 165,000 | 163,350 | ||||
HCA, Inc. sr. notes 6 1/2s, 2020 | 940,000 | 1,024,600 | ||||
HCA, Inc. sr. unsec. notes 7 1/2s, 2022 | 210,000 | 236,250 | ||||
Hologic, Inc. 144A sr. unsec. notes 5 1/4s, 2022 | 135,000 | 136,350 | ||||
Horizon Pharma Financing, Inc. 144A sr. unsec. notes 6 5/8s, 2023 | 200,000 | 176,500 | ||||
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2023 | 490,000 | 476,525 | ||||
JLL/Delta Dutch Pledgeco BV 144A sr. unsec. notes 8 3/4s, 2020 (Netherlands)(PIK) | 425,000 | 429,250 | ||||
Kinetic Concepts, Inc./KCI USA, Inc. company guaranty notes 10 1/2s, 2018 | 805,000 | 845,250 | ||||
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5 1/2s, 2025 (Luxembourg) | 345,000 | 308,775 | ||||
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.95s, 2024(R) | 515,000 | 520,601 | ||||
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2024 | 730,000 | 760,113 | ||||
Service Corporation International sr. unsec. unsub. notes 5 3/8s, 2022 | 1,115,000 | 1,148,450 | ||||
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6 1/2s, 2023 | 380,000 | 377,150 | ||||
Teleflex, Inc. company guaranty sr. unsec. notes 5 1/4s, 2024 | 200,000 | 201,000 | ||||
Tenet Healthcare Corp. company guaranty sr. bonds 4 1/2s, 2021 | 460,000 | 453,100 | ||||
Tenet Healthcare Corp. company guaranty sr. notes 6s, 2020 | 925,000 | 975,875 | ||||
Tenet Healthcare Corp. 144A company guaranty sr. FRN 3.837s, 2020 | 560,000 | 556,150 | ||||
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 7s, 2020 | 130,000 | 132,600 | ||||
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 3/8s, 2020 | 115,000 | 114,856 | ||||
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 | 265,000 | 251,750 | ||||
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 6 1/8s, 2025 | 520,000 | 495,300 | ||||
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 7/8s, 2023 | 915,000 | 873,825 | ||||
Valeant Pharmaceuticals International, Inc. 144A sr. unsec. notes 5 3/8s, 2020 | 555,000 | 538,350 | ||||
WellCare Health Plans, Inc. sr. unsec. notes 5 3/4s, 2020 | 1,110,000 | 1,154,400 | ||||
20,593,596 | ||||||
Homebuilding (2.6%) | ||||||
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) | 840,000 | 829,500 | ||||
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6 1/8s, 2022 (Canada) | 135,000 | 130,275 | ||||
Howard Hughes Corp. (The) 144A sr. unsec. notes 6 7/8s, 2021 | 1,220,000 | 1,239,398 | ||||
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 | 455,000 | 441,714 | ||||
Lennar Corp. company guaranty sr. unsec. unsub. notes 4 1/2s, 2019 | 510,000 | 515,610 | ||||
M/I Homes, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 | 851,000 | 872,275 | ||||
Mattamy Group Corp. 144A sr. unsec. notes 6 1/2s, 2020 (Canada) | 335,000 | 324,950 | ||||
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2032 | 355,000 | 408,250 | ||||
Standard Pacific Corp. company guaranty sr. unsec. notes 6 1/4s, 2021 | 245,000 | 261,538 | ||||
Standard Pacific Corp. company guaranty sr. unsec. notes 5 7/8s, 2024 | 285,000 | 292,125 | ||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2024 | 280,000 | 267,750 | ||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 | 170,000 | 169,150 | ||||
Tri Pointe Holdings, Inc. sr. unsec. notes 5 7/8s, 2024 | 940,000 | 921,200 | ||||
6,673,735 | ||||||
Lodging/Tourism (0.7%) | ||||||
MGM Resorts International company guaranty sr. unsec. notes 5 1/4s, 2020 | 745,000 | 733,825 | ||||
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 | 100,000 | 109,750 | ||||
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6 3/8s, 2021 | 1,015,000 | 954,100 | ||||
1,797,675 | ||||||
Media (0.3%) | ||||||
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5 1/2s, 2021 (Luxembourg) | 840,000 | 840,000 | ||||
840,000 | ||||||
Regional Bells (0.6%) | ||||||
Frontier Communications Corp. sr. unsec. notes 6 1/4s, 2021 | 70,000 | 58,275 | ||||
Frontier Communications Corp. sr. unsec. unsub. notes 7 5/8s, 2024 | 180,000 | 150,300 | ||||
Frontier Communications Corp. 144A sr. unsec. notes 11s, 2025 | 475,000 | 459,563 | ||||
Frontier Communications Corp. 144A sr. unsec. notes 10 1/2s, 2022 | 670,000 | 653,250 | ||||
Frontier Communications Corp. 144A sr. unsec. notes 8 7/8s, 2020 | 195,000 | 191,100 | ||||
1,512,488 | ||||||
Retail (2.5%) | ||||||
Bon-Ton Department Stores, Inc. (The) company guaranty notes 10 5/8s, 2017 | 592,000 | 574,240 | ||||
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8s, 2021 | 505,000 | 297,950 | ||||
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 3/4s, 2023 | 215,000 | 223,063 | ||||
Family Tree Escrow, LLC 144A sr. unsec. unsub. notes 5 1/4s, 2020 | 150,000 | 153,810 | ||||
JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8 1/8s, 2019 | 240,000 | 240,000 | ||||
JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65s, 2020 | 100,000 | 90,000 | ||||
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) | 500,000 | 400,000 | ||||
Jo-Ann Stores, Inc. 144A sr. unsec. notes 8 1/8s, 2019 | 930,000 | 860,250 | ||||
L Brands, Inc. sr. unsec. notes 5 5/8s, 2022 | 315,000 | 331,144 | ||||
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7 1/8s, 2028 | 475,000 | 470,250 | ||||
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8 3/4s, 2021(PIK) | 755,000 | 777,650 | ||||
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. notes 8s, 2021 | 360,000 | 370,800 | ||||
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/4s, 2022 | 735,000 | 736,838 | ||||
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5 3/8s, 2024 | 480,000 | 470,400 | ||||
Petco Animal Supplies, Inc. 144A company guaranty sr. unsec. notes 9 1/4s, 2018 | 445,000 | 452,231 | ||||
6,448,626 | ||||||
Technology (4.0%) | ||||||
ACI Worldwide, Inc. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2020 | 450,000 | 469,688 | ||||
Alcatel-Lucent USA, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 | 487,000 | 512,568 | ||||
Avaya, Inc. 144A company guaranty notes 10 1/2s, 2021 | 705,000 | 326,063 | ||||
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 | 1,310,000 | 1,038,175 | ||||
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6s, 2025 | 260,000 | 249,439 | ||||
First Data Corp. company guaranty sr. unsec. sub. notes 11 3/4s, 2021 | 964,000 | 1,070,040 | ||||
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 | 165,000 | 171,188 | ||||
First Data Corp. 144A sr. notes 5 3/8s, 2023 | 490,000 | 485,100 | ||||
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 5s, 2021 | 375,000 | 380,625 | ||||
Freescale Semiconductor, Inc. 144A sr. notes 6s, 2022 | 360,000 | 376,200 | ||||
Infor US, Inc. 144A sr. notes 5 3/4s, 2020 | 93,000 | 92,535 | ||||
Infor US, Inc. 144A sr. unsec. notes 6 1/2s, 2022 | 1,020,000 | 935,850 | ||||
Iron Mountain, Inc. company guaranty sr. unsec. unsub. notes 6s, 2023(R) | 615,000 | 615,000 | ||||
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6s, 2020(R) | 215,000 | 217,086 | ||||
Micron Technology, Inc. sr. unsec. bonds 5 7/8s, 2022 | 590,000 | 581,888 | ||||
Micron Technology, Inc. 144A sr. unsec. notes 5 1/4s, 2023 | 315,000 | 289,737 | ||||
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5 1/2s, 2023 | 760,000 | 761,900 | ||||
SoftBank Corp. 144A sr. unsec. notes 4 1/2s, 2020 (Japan) | 705,000 | 683,850 | ||||
Zebra Technologies Corp. 144A sr. unsec. unsub. notes 7 1/4s, 2022 | 890,000 | 947,850 | ||||
10,204,782 | ||||||
Telecommunications (5.7%) | ||||||
Altice Financing SA 144A company guaranty sr. notes 6 5/8s, 2023 (Luxembourg) | 200,000 | 192,500 | ||||
Altice Finco SA 144A company guaranty sr. unsec. unsub. notes 7 5/8s, 2025 (Luxembourg) | 600,000 | 559,500 | ||||
Altice SA 144A company guaranty sr. notes 7 3/4s, 2022 (Luxembourg) | 1,620,000 | 1,478,250 | ||||
Altice SA 144A company guaranty sr. unsec. notes 7 5/8s, 2025 (Luxembourg) | 400,000 | 353,000 | ||||
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023(R) | 700,000 | 740,390 | ||||
Crown Castle International Corp. sr. unsec. unsub. notes 4 7/8s, 2022(R) | 140,000 | 144,900 | ||||
Digicel Group, Ltd. 144A sr. unsec. notes 8 1/4s, 2020 (Jamaica) | 375,000 | 346,875 | ||||
Digicel, Ltd. 144A company guaranty sr. unsec. notes 6 3/4s, 2023 (Jamaica) | 1,125,000 | 1,012,500 | ||||
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) | 365,000 | 336,713 | ||||
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 8 1/8s, 2023 (Luxembourg) | 580,000 | 377,000 | ||||
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7 3/4s, 2021 (Luxembourg) | 696,000 | 459,360 | ||||
Level 3 Communications, Inc. sr. unsec. unsub. notes 5 3/4s, 2022 | 205,000 | 201,156 | ||||
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2021 | 250,000 | 257,003 | ||||
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5 3/8s, 2022 | 520,000 | 505,700 | ||||
Neptune Finco Corp. 144A sr. unsec. unsub. notes 10 7/8s, 2025 | 200,000 | 202,000 | ||||
Neptune Finco Corp. 144A sr. unsec. unsub. notes 10 1/8s, 2023 | 200,000 | 202,250 | ||||
Qwest Corp. sr. unsec. notes 6 3/4s, 2021 | 135,000 | 142,847 | ||||
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025 | 555,000 | 619,174 | ||||
SBA Communications Corp. sr. sub. unsec. notes 4 7/8s, 2022 | 775,000 | 760,469 | ||||
Sprint Capital Corp. company guaranty 6 7/8s, 2028 | 1,760,000 | 1,262,800 | ||||
Sprint Communications, Inc. sr. unsec. unsub. notes 7s, 2020 | 180,000 | 150,750 | ||||
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9s, 2018 | 345,000 | 362,009 | ||||
Sprint Corp. company guaranty sr. unsec. notes 7 7/8s, 2023 | 1,450,000 | 1,173,594 | ||||
Sprint Corp. company guaranty sr. unsec. notes 7 1/4s, 2021 | 1,480,000 | 1,211,750 | ||||
West Corp. 144A company guaranty sr. unsec. notes 5 3/8s, 2022 | 1,100,000 | 1,016,125 | ||||
Wind Acquisition Finance SA 144A company guaranty sr. unsec. bonds 7 3/8s, 2021 (Luxembourg) | 385,000 | 380,188 | ||||
14,448,803 | ||||||
Telephone (1.5%) | ||||||
CenturyLink, Inc. sr. unsec. unsub. notes 6 3/4s, 2023 | 130,000 | 113,750 | ||||
CenturyLink, Inc. sr. unsec. unsub. notes 5 5/8s, 2020 | 145,000 | 134,940 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836s, 2023 | 40,000 | 39,600 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633s, 2021 | 275,000 | 274,313 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 5/8s, 2023 | 615,000 | 607,313 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 3/8s, 2025 | 860,000 | 825,600 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/4s, 2021 | 500,000 | 495,000 | ||||
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022 | 845,000 | 821,763 | ||||
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2021 | 260,000 | 201,500 | ||||
Windstream Services, LLC company guaranty sr. unsec. unsub. notes 6 3/8s, 2023 | 555,000 | 399,933 | ||||
3,913,712 | ||||||
Tire and rubber (0.2%) | ||||||
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10 1/4s, 2022 | 600,000 | 612,000 | ||||
612,000 | ||||||
Transportation (0.6%) | ||||||
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6 3/8s, 2023 | 680,000 | 617,100 | ||||
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 | 1,025,000 | 1,014,750 | ||||
1,631,850 | ||||||
Utilities and power (5.6%) | ||||||
AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 | 380,000 | 429,400 | ||||
AES Corp./Virginia (The) sr. unsec. notes 5 1/2s, 2025 | 1,070,000 | 946,950 | ||||
AES Corp./Virginia (The) sr. unsec. unsub. notes 7 3/8s, 2021 | 725,000 | 752,188 | ||||
AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 | 255,000 | 223,125 | ||||
Calpine Corp. sr. unsec. notes 5 3/4s, 2025 | 1,090,000 | 1,019,150 | ||||
Calpine Corp. 144A company guaranty sr. notes 6s, 2022 | 180,000 | 187,650 | ||||
Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 | 145,000 | 150,256 | ||||
Colorado Interstate Gas Co., LLC sr. unsec. debs. 6.85s, 2037 | 1,055,000 | 1,048,674 | ||||
DPL, Inc. sr. unsec. notes 6 1/2s, 2016 | 173,000 | 173,865 | ||||
Dynegy, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 | 60,000 | 60,525 | ||||
Dynegy, Inc. company guaranty sr. unsec. notes 6 3/4s, 2019 | 1,215,000 | 1,218,038 | ||||
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7 5/8s, 2024 | 40,000 | 40,400 | ||||
El Paso Natural Gas Co., LLC sr. unsec. debs. 8 5/8s, 2022 | 360,000 | 427,699 | ||||
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 (In default)(NON) | 277,699 | 295,750 | ||||
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020 | 430,000 | 427,850 | ||||
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. notes 6 3/8s, 2023 | 255,000 | 188,221 | ||||
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2022 | 190,000 | 152,000 | ||||
EP Energy, LLC/Everest Acquisition Finance, Inc. sr. unsec. notes 9 3/8s, 2020 | 1,090,000 | 937,400 | ||||
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 | 215,000 | 173,075 | ||||
GenOn Americas Generation, LLC sr. unsec. notes 8 1/2s, 2021 | 815,000 | 696,907 | ||||
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020 | 215,000 | 199,950 | ||||
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018 | 195,000 | 180,375 | ||||
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 | 1,535,000 | 1,556,106 | ||||
NRG Yield Operating, LLC company guaranty sr. unsec. notes 5 3/8s, 2024 | 320,000 | 280,800 | ||||
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 | 655,000 | 671,224 | ||||
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 | 455,000 | 440,213 | ||||
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5s, 2022 | 335,000 | 327,077 | ||||
Southern Star Central Corp. 144A sr. unsec. notes 5 1/8s, 2022 | 800,000 | 768,000 | ||||
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11 1/2s, 2020 (In default)(NON) | 415,000 | 160,813 | ||||
14,133,681 | ||||||
Total corporate bonds and notes (cost $237,342,044) | $216,428,527 | |||||
SENIOR LOANS (5.2%)(a)(c) | ||||||
Principal amount | Value | |||||
Communication services (0.2%) | ||||||
Asurion, LLC bank term loan FRN 8 1/2s, 2021 | $605,000 | $544,349 | ||||
544,349 | ||||||
Consumer cyclicals (3.6%) | ||||||
Academy, Ltd. bank term loan FRN Ser. B, 5s, 2022 | 735,310 | 730,817 | ||||
American Tire Distributors , Inc. bank term loan FRN 5 1/4s, 2021 | 194,025 | 193,621 | ||||
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11s, 2017 | 1,265,087 | 1,177,209 | ||||
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B7, 11 1/2s, 2017 | 278,600 | 251,611 | ||||
Caesars Growth Properties Holdings, LLC bank term loan FRN 6 1/4s, 2021 | 1,007,250 | 878,826 | ||||
CPG International, Inc. bank term loan FRN Ser. B, 4 3/4s, 2020 | 782,259 | 773,132 | ||||
Getty Images, Inc. bank term loan FRN Ser. B, 4 3/4s, 2019 | 628,645 | 406,786 | ||||
iHeartCommunications, Inc. bank term loan FRN Ser. D, 6.948s, 2019 | 639,000 | 528,373 | ||||
J Crew Group, Inc. bank term loan FRN Ser. B, 4s, 2021 | 285,000 | 219,984 | ||||
JC Penney Corp., Inc. bank term loan FRN 5s, 2019 | 947,563 | 943,840 | ||||
Jeld-Wen, Inc. bank term loan FRN Ser. B, 5s, 2022 | 320,000 | 318,933 | ||||
Navistar, Inc. bank term loan FRN Ser. B, 6 1/2s, 2020 | 490,000 | 477,138 | ||||
Neiman Marcus Group, Ltd., Inc. bank term loan FRN 4 1/4s, 2020 | 281,014 | 274,755 | ||||
ROC Finance, LLC bank term loan FRN 5s, 2019 | 863,529 | 818,194 | ||||
Talbots, Inc. (The) bank term loan FRN 9 1/2s, 2021 | 195,000 | 191,100 | ||||
Talbots, Inc. (The) bank term loan FRN 5 1/2s, 2020 | 383,056 | 375,075 | ||||
Yonkers Racing Corp. bank term loan FRN 4 1/4s, 2019 | 461,013 | 450,256 | ||||
9,009,650 | ||||||
Consumer staples (0.5%) | ||||||
CEC Entertainment, Inc. bank term loan FRN Ser. B, 4s, 2021 | 551,600 | 534,593 | ||||
Del Monte Foods, Inc. bank term loan FRN 8 1/4s, 2021 | 380,000 | 337,567 | ||||
Rite Aid Corp. bank term loan FRN 4 7/8s, 2021 | 310,000 | 310,000 | ||||
1,182,160 | ||||||
Energy (0.1%) | ||||||
Fieldwood Energy, LLC bank term loan FRN 8 3/8s, 2020 | 705,000 | 197,400 | ||||
Offshore Group Investment, Ltd. bank term loan FRN Ser. B, 5 3/4s, 2019 (Cayman Islands) | 229,125 | 71,220 | ||||
268,620 | ||||||
Financials (—%) | ||||||
iStar, Inc. bank term loan FRN Ser. A2, 7s, 2017(R) | 122,928 | 125,387 | ||||
125,387 | ||||||
Health care (0.1%) | ||||||
AMAG Pharmaceuticals, Inc. bank term loan FRN Ser. B, 4 3/4s, 2021 | 225,000 | 222,750 | ||||
Patheon, Inc. bank term loan FRN Ser. B, 4 1/4s, 2021 (Netherlands) | 155,865 | 153,177 | ||||
375,927 | ||||||
Technology (0.2%) | ||||||
Avaya, Inc. bank term loan FRN Ser. B7, 6 1/4s, 2020 | 603,323 | 466,067 | ||||
466,067 | ||||||
Transportation (0.2%) | ||||||
Air Medical Group Holdings, Inc. bank term loan FRN Ser. B, 4 1/2s, 2022 | 568,575 | 560,402 | ||||
560,402 | ||||||
Utilities and power (0.3%) | ||||||
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.683s, 2017 | 1,769,778 | 681,365 | ||||
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.683s, 2017 | 18,164 | 6,993 | ||||
688,358 | ||||||
Total senior loans (cost $15,589,525) | $13,220,920 | |||||
COMMON STOCKS (1.4%)(a) | ||||||
Shares | Value | |||||
Ally Financial, Inc.(NON) | 30,690 | $625,462 | ||||
Berry Plastics Group, Inc.(NON) | 8,690 | 261,308 | ||||
CIT Group, Inc. | 9,745 | 390,092 | ||||
Connacher Oil and Gas, Ltd. (Canada)(NON) | 13,031 | 5,473 | ||||
DISH Network Corp. Class A(NON) | 8,260 | 481,888 | ||||
Eldorado Resorts, Inc.(NON) | 13,697 | 123,547 | ||||
EP Energy Corp. Class A(NON) | 31,460 | 162,019 | ||||
General Motors Co. | 7,902 | 237,218 | ||||
Hilton Worldwide Holdings, Inc. | 10,275 | 235,709 | ||||
Live Nation Entertainment, Inc.(NON) | 10,615 | 255,185 | ||||
Lone Pine Resources Canada, Ltd. (Canada)(F)(NON) | 24,322 | 973 | ||||
Lone Pine Resources, Inc. Class A (Canada)(F)(NON) | 24,322 | 973 | ||||
Penn National Gaming, Inc.(NON) | 30,400 | 510,112 | ||||
Seventy Seven Energy, Inc.(NON) | 16,265 | 22,446 | ||||
Spectrum Brands Holdings, Inc. | 3,325 | 304,271 | ||||
Tribune Media Co. Class 1C(F) | 93,841 | 23,460 | ||||
Vantage Drilling Co.(NON) | 211,443 | 5,413 | ||||
Total common stocks (cost $5,040,462) | $3,645,549 | |||||
CONVERTIBLE PREFERRED STOCKS (1.2%)(a) | ||||||
Shares | Value | |||||
Allergan PLC Ser. A, 5.50% cv. pfd. | 636 | $600,041 | ||||
American Tower Corp. $5.50 cv. pfd.(R) | 5,675 | 555,441 | ||||
Crown Castle International Corp. Ser. A, $4.50 cv. pfd.(R) | 3,850 | 392,161 | ||||
EPR Properties Ser. C, $1.438 cv. pfd.(R) | 18,552 | 411,042 | ||||
T-Mobile US, Inc. Ser. A, $2.75 cv. pfd. | 9,800 | 676,788 | ||||
Tyson Foods, Inc. $2.375 cv. pfd. | 7,630 | 391,114 | ||||
Total convertible preferred stocks (cost $2,946,964) | $3,026,587 | |||||
CONVERTIBLE BONDS AND NOTES (0.5%)(a) | ||||||
Principal amount | Value | |||||
iStar, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) | $418,000 | $477,304 | ||||
Jazz Technologies, Inc. cv. company guaranty sr. unsec. bonds 8s, 2018 | 323,000 | 468,552 | ||||
Navistar International Corp. cv. sr. unsec. sub. bonds 4 1/2s, 2018 | 173,000 | 126,614 | ||||
ON Semiconductor Corp. 144A cv. company guaranty sr. unsec. unsub. notes 1s, 2020 | 307,000 | 285,702 | ||||
Total convertible bonds and notes (cost $1,191,043) | $1,358,172 | |||||
PREFERRED STOCKS (0.4%)(a) | ||||||
Shares | Value | |||||
Ally Financial, Inc. 144A 7.00% cum. pfd. | 541 | $543,705 | ||||
M/I Homes, Inc. Ser. A, $2.438 pfd. | 14,167 | 360,550 | ||||
Total preferred stocks (cost $646,010) | $904,255 | |||||
SHORT-TERM INVESTMENTS (4.3%)(a) | ||||||
Shares | Value | |||||
Putnam Short Term Investment Fund 0.13%(AFF) | 10,981,876 | $10,981,876 | ||||
Total short-term investments (cost $10,981,876) | $10,981,876 | |||||
TOTAL INVESTMENTS | ||||||
Total investments (cost $273,737,924)(b) | $249,565,886 | |||||
FORWARD CURRENCY CONTRACTS at 9/30/15 (aggregate face value $3,973,089) (Unaudited) | |||||||
Unrealized | |||||||
Contract | Delivery | Aggregate | appreciation/ | ||||
Counterparty | Currency | type | date | Value | face value | (depreciation) | |
Bank of America N.A. | |||||||
Euro | Sell | 12/16/15 | $33,341 | $33,765 | $424 | ||
Barclays Bank PLC | |||||||
Canadian Dollar | Sell | 10/21/15 | 124,079 | 131,756 | 7,677 | ||
Credit Suisse International | |||||||
Euro | Sell | 12/16/15 | 1,179,796 | 1,194,538 | 14,742 | ||
Goldman Sachs International | |||||||
Euro | Buy | 12/16/15 | 268,965 | 272,335 | (3,370) | ||
JPMorgan Chase Bank N.A. | |||||||
Canadian Dollar | Buy | 10/21/15 | 137,041 | 145,516 | (8,475) | ||
Euro | Buy | 12/16/15 | 162,005 | 164,019 | (2,014) | ||
State Street Bank and Trust Co. | |||||||
Canadian Dollar | Sell | 10/21/15 | 557,455 | 591,904 | 34,449 | ||
UBS AG | |||||||
British Pound | Sell | 12/16/15 | 1,096,100 | 1,109,361 | 13,261 | ||
Euro | Buy | 12/16/15 | 325,801 | 329,895 | (4,094) | ||
| |||||||
Total | $52,600 |
Key to holding's currency abbreviations | |||
CAD | Canadian Dollar | ||
EUR | Euro | ||
GBP | British Pound | ||
Key to holding's abbreviations | |||
EMTN | Euro Medium Term Notes | ||
FRB | Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period | ||
FRN | Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period |
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 September 30, 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 $253,597,338. | |||||
(b) | The aggregate identified cost on a tax basis is $274,386,238, resulting in gross unrealized appreciation and depreciation of $3,813,229 and $28,633,581, respectively, or net unrealized depreciation of $24,820,352. | |||||
(NON) | This security is non-income-producing. | |||||
(PIK) | Income may be received in cash or additional securities at the discretion of the issuer. | |||||
(AFF) | Affiliated company. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with Putnam Short Term Investment Fund, which is under common ownership and control, were as follows: | |||||
Name of affiliate | Fair value at the beginning of the reporting period | Purchase cost | Sale proceeds | Investment income | Fair value at the end of the reporting period | |
Putnam Short Term Investment Fund* | $8,023,236 | $88,479,222 | $85,520,582 | $7,719 | $10,981,876 | |
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. | ||||||
(FWC) | Forward commitment, in part or in entirety. | |||||
(c) | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. | |||||
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations. | ||||||
(F) | 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. | |||||
(R) | Real Estate Investment Trust. | |||||
At the close of the reporting period, the fund maintained liquid assets totaling $12,793 to cover certain derivative contracts. | ||||||
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. | ||||||
DIVERSIFICATION BY COUNTRY | ||||||
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): | ||||||
United States | 84.8% | |||||
Canada | 4.5 | |||||
Luxembourg | 2.8 | |||||
United Kingdom | 2.1 | |||||
France | 1.6 | |||||
Netherlands | 0.8 | |||||
Mexico | 0.6 | |||||
Jamaica | 0.5 | |||||
Ireland | 0.5 | |||||
Other | 1.8 | |||||
Total | 100.0% | |||||
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | ||||||
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | ||||||
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | ||||||
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value, and are classified as Level 2 securities. | ||||||
Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, 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. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | ||||||
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge currency exposures. | ||||||
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | ||||||
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | ||||||
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund’s portfolio. | ||||||
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. | ||||||
Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. | ||||||
At the close of the reporting period, the fund had a net liability position of $13,859 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the fund at period end for these agreements. |
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows: | ||||
Level 1: Valuations based on quoted prices for identical securities in active markets. | ||||
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | ||||
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. | ||||
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period: | ||||
Valuation inputs | ||||
| ||||
Investments in securities: | Level 1 | Level 2 | Level 3 | |
Common stocks*: | ||||
Capital goods | 261,308 | — | — | |
Communication services | 481,888 | — | — | |
Consumer cyclicals | 1,361,771 | — | 23,460 | |
Consumer staples | 304,271 | — | — | |
Energy | 195,351 | — | 1,946 | |
Financials | 1,015,554 | — | — | |
Total common stocks | 3,620,143 | — | 25,406 | |
Convertible bonds and notes | $— | $1,358,172 | $— | |
Convertible preferred stocks | 676,788 | 2,349,799 | — | |
Corporate bonds and notes | — | 216,428,509 | 18 | |
Preferred stocks | — | 904,255 | — | |
Senior loans | — | 13,220,920 | — | |
Short-term investments | 10,981,876 | — | — | |
|
|
|
||
Totals by level | $15,278,807 | $234,261,655 | $25,424 | |
Valuation inputs | ||||
| ||||
Other financial instruments: | Level 1 | Level 2 | Level 3 | |
Forward currency contracts | $— | $52,600 | $— | |
|
|
|
||
Totals by level | $— | $52,600 | $— | |
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | ||||
During the reporting period, transfers within the fair value hierarchy, if any, did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method. | ||||
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio. | ||||
Fair Value of Derivative Instruments as of the close of the reporting period | ||||
Asset derivatives | Liability derivatives | |||
| ||||
Derivatives not accounted for as hedging instruments under ASC 815 | Fair value | Fair value | ||
Foreign exchange contracts | $70,553 | $17,953 | ||
|
|
|||
Total | $70,553 | $17,953 | ||
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | ||||
Forward currency contracts (contract amount) | $3,700,000 |
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions, if applicable, see note "(d)" above, and for borrowing transactions associated with securities sold short, if applicable, see the "Short sales of securities" note above. | ||||||||||||
Bank of America N.A. | Barclays Bank PLC | Credit Suisse International | Goldman Sachs International | JPMorgan Chase Bank N.A. | State Street Bank and Trust Co. | UBS AG | Total | |||||
Assets: | ||||||||||||
Forward currency contracts# | $424 | $7,677 | $14,742 | $— | $— | $34,449 | $13,261 | 70,553 | ||||
Total Assets | $424 | $7,677 | $14,742 | $— | $— | $34,449 | $13,261 | $70,553 | ||||
Liabilities: | ||||||||||||
Forward currency contracts# | — | — | — | 3,370 | 10,489 | — | 4,094 | 17,953 | ||||
Total Liabilities | $— | $— | $— | $3,370 | $10,489 | $— | $4,094 | $17,953 | ||||
Total Financial and Derivative Net Assets | $424 | $7,677 | $14,742 | $(3,370) | $(10,489) | $34,449 | $9,167 | $52,600 | ||||
Total collateral received (pledged)##† | $— | $— | $— | $— | $— | $— | $— | |||||
Net amount | $424 | $7,677 | $14,742 | $(3,370) | $(10,489) | $34,449 | $9,167 | |||||
† | 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. | |||||||||||
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: November 25, 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: November 25, 2015 |
By (Signature and Title): |
/s/ Steven D. Krichmar Steven D. Krichmar Principal Financial Officer Date: November 25, 2015 |
Certifications | |
I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that: | |
1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: | |
2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report; | |
3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; | |
4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: | |
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; | |
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |
c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and | |
d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and | |
5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions): | |
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and | |
b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting. | |
/s/ Jonathan S. Horwitz | |
_____________________________ | |
Date: November 24, 2015 | |
Jonathan S. Horwitz | |
Principal Executive Officer | |
Certifications | |
I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that: | |
1. I have reviewed each report on Form N-Q of the funds listed on Attachment A: | |
2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report; | |
3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; | |
4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have: | |
a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared; | |
b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |
c) evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and | |
d) disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and | |
5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each registrant’s board of directors (or persons performing the equivalent functions): | |
a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant’s ability to record, process, summarize, and report financial information; and | |
b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant’s internal control over financial reporting. | |
/s/ Steven D. Krichmar | |
_______________________________ | |
Date: November 24, 2015 | |
Steven D. Krichmar | |
Principal Financial Officer | |
Attachment A | |
NQ | |
Period (s) ended September 30, 2015 | |
Putnam Europe Equity Fund | |
Putnam International Equity Fund | |
Putnam Multi-Cap Growth Fund | |
Putnam Small Cap Growth Fund | |
Putnam International Value Fund | |
Putnam VT Absolute 500 Fund | |
Putnam VT American Government Income Fund | |
Putnam VT Capital Opportunities Fund | |
Putnam VT Diversified Income Fund | |
Putnam VT Equity Income Fund | |
Putnam VT George Putnam Balanced Fund | |
Putnam VT Global Asset Allocation Fund | |
Putnam VT Global Equity Fund | |
Putnam VT Global Health Care Fund | |
Putnam VT Global Utilities Fund | |
Putnam VT Growth and Income Fund | |
Putnam VT Growth Opportunities Fund | |
Putnam VT High Yield Fund | |
Putnam VT Income Fund | |
Putnam VT International Equity Fund | |
Putnam VT International Value Fund | |
Putnam VT International Growth Fund | |
Putnam VT Investors Fund | |
Putnam VT Multi-Cap Value Fund | |
Putnam VT Money Market Fund | |
Putnam VT Multi-Cap Growth Fund | |
Putnam VT Research Fund | |
Putnam VT Small Cap Value Fund | |
Putnam VT Voyager Fund |