| 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, 2016 |
| Date of reporting period: | September 30, 2016 |
Item 1. Schedule of Investments: |
| Putnam VT High Yield Fund | ||||||
| The fund's portfolio | ||||||
| 9/30/16 (Unaudited) | ||||||
| CORPORATE BONDS AND NOTES (83.7%)(a) | ||||||
| Principal amount | Value | |||||
| Advertising and marketing services (0.3%) | ||||||
| Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.375%, 1/15/24 | $105,000 | $110,250 | ||||
| Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 | 355,000 | 372,750 | ||||
| Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 | 315,000 | 327,600 | ||||
| 810,600 | ||||||
| Automotive (1.0%) | ||||||
| Fiat Chryslet Automobiles NV sr. unsec. unsub. notes 5.25%, 4/15/23 (Italy) | 660,000 | 678,975 | ||||
| General Motors Co. sr. unsec. notes 5.20%, 4/1/45 | 120,000 | 124,822 | ||||
| General Motors Financial Co., Inc. company guaranty sr. unsec. notes 3.20%, 7/6/21 | 300,000 | 303,684 | ||||
| General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 3.45%, 4/10/22 | 300,000 | 304,292 | ||||
| IHO Verwaltungs GmbH 144A sr. notes 4.75%, 9/15/26 (Germany)(PIK) | 330,000 | 331,650 | ||||
| IHO Verwaltungs GmbH 144A sr. notes 4.50%, 9/15/23 (Germany)(PIK) | 235,000 | 237,202 | ||||
| Lear Corp. company guaranty sr. unsec. unsub. notes 5.375%, 3/15/24 | 170,000 | 182,538 | ||||
| Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 | 326,000 | 324,370 | ||||
| 2,487,533 | ||||||
| Broadcasting (2.8%) | ||||||
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 | 635,000 | 627,856 | ||||
| Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 | 820,000 | 853,825 | ||||
| Entercom Radio, LLC company guaranty sr. unsec. notes 10.50%, 12/1/19 | 275,000 | 286,344 | ||||
| Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 | 515,000 | 518,863 | ||||
| iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 | 740,000 | 585,525 | ||||
| LIN Television Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/22 | 75,000 | 78,563 | ||||
| Nexstar Escrow Corp. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 | 495,000 | 496,238 | ||||
| Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 | 1,150,000 | 1,175,875 | ||||
| Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 | 320,000 | 340,000 | ||||
| Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 | 305,000 | 309,575 | ||||
| Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 | 420,000 | 424,988 | ||||
| Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 | 810,000 | 815,063 | ||||
| Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/21 | 267,000 | 276,345 | ||||
| 6,789,060 | ||||||
| Building materials (0.5%) | ||||||
| Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 | 245,000 | 258,475 | ||||
| Standard Industries, Inc. 144A sr. unsec. notes 6.00%, 10/15/25 | 245,000 | 262,150 | ||||
| Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 | 660,000 | 679,800 | ||||
| Standard Industries, Inc./NJ 144A sr. unsec. notes 5.125%, 2/15/21 | 65,000 | 68,250 | ||||
| 1,268,675 | ||||||
| Cable television (5.1%) | ||||||
| Altice SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) | 1,340,000 | 1,428,775 | ||||
| Altice SA 144A company guaranty sr. unsec. notes 7.625%, 2/15/25 (Luxembourg) | 200,000 | 205,000 | ||||
| Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 | 75,000 | 78,563 | ||||
| CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 | 480,000 | 501,600 | ||||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 | 450,000 | 469,125 | ||||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 | 1,210,000 | 1,288,650 | ||||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 | 215,000 | 227,900 | ||||
| CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 | 615,000 | 641,906 | ||||
| Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 | 995,000 | 992,522 | ||||
| Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 | 365,000 | 365,000 | ||||
| CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 | 1,240,000 | 1,178,000 | ||||
| CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 | 180,000 | 190,350 | ||||
| CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 | 990,000 | 1,140,975 | ||||
| DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 | 425,000 | 419,688 | ||||
| Neptune Finco Corp. 144A sr. unsec. unsub. notes 10.875%, 10/15/25 | 200,000 | 234,000 | ||||
| Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) | 110,000 | 115,258 | ||||
| SFR Group SA 144A company guaranty sr. notes 7.375%, 5/1/26 (France) | 510,000 | 521,317 | ||||
| SFR Group SA 144A company guaranty sr. notes 6.00%, 5/15/22 (France) | 365,000 | 371,388 | ||||
| Unitymedia GmbH 144A company guaranty sr. notes 6.125%, 1/15/25 (Germany) | 200,000 | 210,750 | ||||
| Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) | 685,000 | 714,113 | ||||
| Virgin Media Finance PLC 144A company guaranty sr. unsec. notes 6.375%, 4/15/23 (United Kingdom) | 285,000 | 299,250 | ||||
| Virgin Media Secured Finance PLC 144A sr. notes 5.375%, 4/15/21 (United Kingdom) | 256,500 | 267,401 | ||||
| WideOpenWest Finance, LLC/WideOpenWest Capital Corp. company guaranty sr. unsec. sub. notes 10.25%, 7/15/19 | 560,000 | 589,445 | ||||
| 12,450,976 | ||||||
| Capital goods (7.2%) | ||||||
| Advanced Disposal Services, Inc. company guaranty sr. unsec. notes 8.25%, 10/1/20 | 1,327,000 | 1,393,350 | ||||
| Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 5.00%, 10/1/24 | 440,000 | 451,000 | ||||
| Amstead Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.00%, 3/15/22 | 240,000 | 241,200 | ||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) | 885,000 | 940,313 | ||||
| ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) | 295,000 | 303,850 | ||||
| Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.50%, 9/1/22 | 65,000 | 67,763 | ||||
| Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 | 580,000 | 588,700 | ||||
| Berry Plastics Corp. company guaranty notes 6.00%, 10/15/22 | 205,000 | 216,275 | ||||
| Bombardier, Inc. 144A sr. unsec. unsub. notes 4.75%, 4/15/19 (Canada) | 480,000 | 466,800 | ||||
| Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 | 800,000 | 892,000 | ||||
| Cortes NP Acquisition Corp. 144A sr. unsec. notes 9.25%, 10/15/24 | 225,000 | 225,000 | ||||
| Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 | 215,000 | 240,531 | ||||
| DH Services Luxembourg Sarl 144A company guaranty sr. unsec. sub. notes 7.75%, 12/15/20 (Luxembourg) | 305,000 | 317,963 | ||||
| Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 | 1,505,000 | 1,425,988 | ||||
| KLX, Inc. 144A company guaranty sr. unsec. notes 5.875%, 12/1/22 | 855,000 | 884,925 | ||||
| Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) | 920,000 | 1,257,591 | ||||
| Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 | 945,000 | 1,082,025 | ||||
| MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 | 950,000 | 938,125 | ||||
| Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 | 510,000 | 527,213 | ||||
| Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 | 305,000 | 319,106 | ||||
| Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 | 425,000 | 447,313 | ||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. unsec. unsub. notes 8.25%, 2/15/21 (New Zealand) | 370,000 | 385,725 | ||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 | 450,000 | 482,625 | ||||
| Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 | 365,000 | 383,250 | ||||
| Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 | 200,000 | 202,500 | ||||
| Terex Corp. company guaranty sr. unsec. notes 6.00%, 5/15/21 | 185,000 | 189,163 | ||||
| TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 | 865,000 | 940,688 | ||||
| TransDigm, Inc. company guaranty sr. unsec. sub. notes 7.50%, 7/15/21 | 410,000 | 434,600 | ||||
| TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 | 145,000 | 152,613 | ||||
| TransDigm, Inc. 144A company guaranty sr. unsec. sub. bonds 6.375%, 6/15/26 | 325,000 | 335,563 | ||||
| ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.75%, 4/29/25 | 770,000 | 808,500 | ||||
| ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.50%, 4/29/22 | 150,000 | 159,057 | ||||
| 17,701,315 | ||||||
| Chemicals (2.9%) | ||||||
| A Schulman, Inc. 144A company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 | 505,000 | 510,050 | ||||
| Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 | 385,000 | 394,384 | ||||
| Blue Cube Spinco, Inc. 144A company guaranty sr. unsec. notes 9.75%, 10/15/23 | 550,000 | 646,250 | ||||
| Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 | 300,000 | 294,750 | ||||
| Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 | 395,000 | 385,125 | ||||
| Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 | 315,000 | 297,281 | ||||
| GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 | 810,000 | 925,385 | ||||
| Huntsman International, LLC company guaranty sr. unsec. notes 5.125%, 11/15/22 | 445,000 | 462,800 | ||||
| Kraton Polymers LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 | 485,000 | 550,475 | ||||
| Perstorp Holding AB 144A company guaranty sr. notes 8.75%, 5/15/17 (Sweden) | 660,000 | 658,350 | ||||
| PQ Corp. 144A company guaranty sr. notes 6.75%, 11/15/22 | 145,000 | 154,063 | ||||
| Tronox Finance, LLC company guaranty sr. unsec. notes 6.375%, 8/15/20 | 95,000 | 87,638 | ||||
| Tronox Finance, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/22 | 275,000 | 250,938 | ||||
| Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 | 455,000 | 468,650 | ||||
| WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 | 850,000 | 924,375 | ||||
| 7,010,514 | ||||||
| Commercial and consumer services (0.3%) | ||||||
| Mustang Merger Corp. 144A sr. unsec. notes 8.50%, 8/15/21 | 120,000 | 127,650 | ||||
| Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 | 510,000 | 524,025 | ||||
| 651,675 | ||||||
| Construction (2.5%) | ||||||
| Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 | 870,000 | 939,600 | ||||
| BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 | 490,000 | 490,000 | ||||
| Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 | 685,000 | 786,038 | ||||
| Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 | 245,000 | 251,125 | ||||
| Cemex Finance, LLC 144A company guaranty sr. notes 9.375%, 10/12/22 (Mexico) | 425,000 | 466,969 | ||||
| Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) | 375,000 | 384,375 | ||||
| Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%, 1/11/25 (Mexico) | 395,000 | 395,988 | ||||
| CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 | 255,000 | 260,100 | ||||
| HD Supply, Inc. 144A company guaranty sr. unsec. notes 5.75%, 4/15/24 | 260,000 | 273,000 | ||||
| U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 | 390,000 | 404,625 | ||||
| USG Corp. 144A company guaranty sr. unsec. notes 5.875%, 11/1/21 | 125,000 | 130,781 | ||||
| USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 | 440,000 | 471,900 | ||||
| Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 | 870,000 | 774,300 | ||||
| 6,028,801 | ||||||
| Consumer (0.2%) | ||||||
| Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 | 220,000 | 237,600 | ||||
| Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 | 300,000 | 324,849 | ||||
| 562,449 | ||||||
| Consumer staples (4.0%) | ||||||
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6.00%, 4/1/22 (Canada) | 845,000 | 885,138 | ||||
| 1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) | 240,000 | 249,600 | ||||
| AMN Healthcare, Inc. 144A company guaranty sr. unsec. notes 5.125%, 10/1/24 | 145,000 | 146,450 | ||||
| Ashtead Capital, Inc. 144A company guaranty notes 6.50%, 7/15/22 | 675,000 | 709,594 | ||||
| BlueLine Rental Finance Corp. 144A notes 7.00%, 2/1/19 | 370,000 | 322,825 | ||||
| CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 | 655,000 | 652,544 | ||||
| Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 | 1,235,000 | 1,306,013 | ||||
| Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6.00%, 5/1/22 | 335,000 | 384,831 | ||||
| Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 | 680,000 | 722,500 | ||||
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 | 405,000 | 428,288 | ||||
| KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 | 405,000 | 423,225 | ||||
| Landry's Holdings II, Inc. 144A sr. unsec. notes 10.25%, 1/1/18 | 130,000 | 132,756 | ||||
| Landry's, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 | 295,000 | 300,163 | ||||
| Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 | 290,000 | 298,700 | ||||
| Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 5.375%, 12/15/21 | 535,000 | 553,725 | ||||
| Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 | 965,000 | 984,300 | ||||
| Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/1/24 | 230,000 | 237,475 | ||||
| Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 | 685,000 | 739,231 | ||||
| Vander Intermediate Holding II Corp. 144A sr. unsec. notes 9.75%, 2/1/19(PIK) | 138,662 | 72,104 | ||||
| WhiteWave Foods Co. (The) company guaranty sr. unsec. notes 5.375%, 10/1/22 | 280,000 | 318,150 | ||||
| 9,867,612 | ||||||
| Energy (oil field) (0.2%) | ||||||
| Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6.00%, 10/1/22 | 280,000 | 259,700 | ||||
| Archrock Partners LP/Archrock Partners Finance Corp. company guaranty sr. unsec. notes 6.00%, 4/1/21 | 70,000 | 65,625 | ||||
| Key Energy Services, Inc. company guaranty sr. unsec. unsub. notes 6.75%, 3/1/21 (In default)(NON) | 130,000 | 35,100 | ||||
| Seventy Seven Operating, LLC company guaranty sr. unsec. unsub. notes 6.625%, 11/15/19(F) | 770,000 | 77 | ||||
| Tervita Corp. 144A sr. unsec. notes 10.875%, 2/15/18 (Canada) (In default)(NON) | 175,000 | 22,750 | ||||
| 383,252 | ||||||
| Energy (other) (0.1%) | ||||||
| CHC Helicopter SA company guaranty sr. notes 9.25%, 10/15/20 (Canada) (In default)(NON) | 288,000 | 139,680 | ||||
| 139,680 | ||||||
| Entertainment (1.8%) | ||||||
| AMC Entertainment, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 | 425,000 | 439,875 | ||||
| AMC Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 | 420,000 | 424,200 | ||||
| Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 5.25%, 3/15/21 | 190,000 | 196,650 | ||||
| Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 | 405,000 | 415,125 | ||||
| Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 | 295,000 | 296,475 | ||||
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 | 560,000 | 603,400 | ||||
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 | 225,000 | 241,875 | ||||
| Regal Entertainment Group sr. unsec. sub. notes 5.75%, 2/1/25 | 165,000 | 166,031 | ||||
| Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 | 635,000 | 645,319 | ||||
| Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 1/15/21 | 835,000 | 862,138 | ||||
| 4,291,088 | ||||||
| Financials (7.6%) | ||||||
| Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 | 490,000 | 477,750 | ||||
| Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 905,000 | 1,115,413 | ||||
| Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 | 540,000 | 564,975 | ||||
| American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 | 360,000 | 481,770 | ||||
| Banco Bilbao Vizcaya Argentaria SA jr. unsec. sub. FRB 9.00%, perpetual maturity (Spain) | 400,000 | 411,000 | ||||
| Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity | 215,000 | 223,869 | ||||
| Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity | 270,000 | 292,444 | ||||
| CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 | 365,000 | 386,900 | ||||
| CIT Group, Inc. sr. unsec. unsub. notes 5.375%, 5/15/20 | 390,000 | 416,813 | ||||
| CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 | 220,000 | 233,750 | ||||
| Citigroup, Inc. jr. unsec. sub. FRN Ser. Q, 5.95%, perpetual maturity | 175,000 | 178,180 | ||||
| CNG Holdings, Inc./OH 144A sr. notes 9.375%, 5/15/20 | 720,000 | 439,200 | ||||
| CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 440,000 | 436,700 | ||||
| Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 | 265,000 | 274,275 | ||||
| Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 | 595,000 | 597,975 | ||||
| Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland) | 200,000 | 190,000 | ||||
| DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 | 380,000 | 239,400 | ||||
| Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 510,000 | 606,900 | ||||
| E*Trade Financial Corp. sr. unsec. unsub. notes 4.625%, 9/15/23 | 545,000 | 564,075 | ||||
| ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) | 300,000 | 299,625 | ||||
| Genworth Holdings, Inc. company guaranty jr. unsec. sub. FRN 6.15%, 11/15/66 | 290,000 | 129,775 | ||||
| Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) | 130,000 | 126,750 | ||||
| HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 | 850,000 | 867,000 | ||||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 | 595,000 | 571,200 | ||||
| iStar, Inc. sr. unsec. notes 5.00%, 7/1/19(R) | 230,000 | 229,397 | ||||
| Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 | 255,000 | 298,350 | ||||
| Lloyds Bank PLC jr. unsec. sub. FRN Ser. EMTN, 13.00%, perpetual maturity (United Kingdom) | GBP | 115,000 | 262,092 | |||
| Lloyds Banking Group PLC jr. unsec. sub. FRB 7.50%, perpetual maturity (United Kingdom) | $328,000 | 338,726 | ||||
| MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 144A company guaranty sr. unsec. notes 5.625%, 5/1/24 | 205,000 | 222,364 | ||||
| MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. notes 6.375%, 3/1/24(R) | 225,000 | 244,125 | ||||
| Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 7.875%, 10/1/20 | 465,000 | 472,533 | ||||
| Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 | 610,000 | 597,800 | ||||
| OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 | 275,000 | 289,094 | ||||
| OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 | 590,000 | 620,975 | ||||
| Provident Funding Associates LP/PFG Finance Corp. 144A company guaranty sr. unsec. notes 6.75%, 6/15/21 | 760,000 | 766,650 | ||||
| Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 8.00%, perpetual maturity (United Kingdom) | 245,000 | 228,159 | ||||
| Royal Bank of Scotland Group PLC jr. unsec. sub. FRB 7.648%, perpetual maturity (United Kingdom) | 1,155,000 | 1,368,675 | ||||
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 | 170,000 | 186,575 | ||||
| Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 7.75%, 10/1/21 | 155,000 | 162,556 | ||||
| Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 | 155,000 | 158,294 | ||||
| Stearns Holdings, Inc. 144A company guaranty sr. notes 9.375%, 8/15/20 | 557,000 | 542,379 | ||||
| TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 | 415,000 | 309,175 | ||||
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 | 480,000 | 499,200 | ||||
| USI, Inc./NY 144A sr. unsec. notes 7.75%, 1/15/21 | 545,000 | 553,175 | ||||
| Wayne Merger Sub, LLC 144A sr. unsec. notes 8.25%, 8/1/23 | 265,000 | 269,306 | ||||
| 18,745,339 | ||||||
| Forest products and packaging (1.9%) | ||||||
| Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 | 575,000 | 583,625 | ||||
| Coveris Holdings SA 144A company guaranty sr. unsec. notes 7.875%, 11/1/19 (Luxembourg) | 975,000 | 996,938 | ||||
| Louisiana-Pacific Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 | 405,000 | 405,000 | ||||
| Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) | 625,000 | 661,719 | ||||
| Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) | 690,000 | 731,607 | ||||
| Pactiv, LLC sr. unsec. unsub. bonds 8.375%, 4/15/27 | 65,000 | 72,150 | ||||
| Sealed Air Corp. 144A company guaranty sr. unsec. notes 6.875%, 7/15/33 | 375,000 | 402,188 | ||||
| Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) | 630,000 | 743,400 | ||||
| 4,596,627 | ||||||
| Gaming and lottery (2.5%) | ||||||
| Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 | 340,000 | 368,050 | ||||
| Boyd Gaming Corp. 144A company guaranty sr. unsec. unsub. bonds 6.375%, 4/1/26 | 170,000 | 182,325 | ||||
| Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 | 580,000 | 615,525 | ||||
| Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) | CAD | 740,000 | 590,838 | |||
| Isle of Capri Casinos, Inc. company guaranty sr. unsec. notes 5.875%, 3/15/21 | $250,000 | 260,938 | ||||
| Penn National Gaming, Inc. sr. unsec. sub. notes 5.875%, 11/1/21 | 635,000 | 655,638 | ||||
| Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 | 695,000 | 714,113 | ||||
| ROC Finance, LLC/ROC Finance 1 Corp. 144A notes 12.125%, 9/1/18 | 1,000,000 | 1,023,750 | ||||
| Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 | 1,670,000 | 1,540,575 | ||||
| Scientific Games International, Inc. company guaranty sr. unsec. sub. notes 6.25%, 9/1/20 | 180,000 | 138,600 | ||||
| Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 | 145,000 | 153,338 | ||||
| 6,243,690 | ||||||
| Health care (6.9%) | ||||||
| Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 6.125%, 3/15/21 | 740,000 | 764,050 | ||||
| Acadia Healthcare Co., Inc. company guaranty sr. unsec. sub. notes 5.125%, 7/1/22 | 450,000 | 445,500 | ||||
| AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 | 575,000 | 549,125 | ||||
| Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 | 500,000 | 542,500 | ||||
| Centene Corp. sr. unsec. unsub. notes 5.625%, 2/15/21 | 155,000 | 164,300 | ||||
| Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 | 490,000 | 505,925 | ||||
| CHS/Community Health Systems, Inc. company guaranty sr. notes 5.125%, 8/1/21 | 120,000 | 119,100 | ||||
| CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 | 520,000 | 447,200 | ||||
| Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) | 540,000 | 345,600 | ||||
| ConvaTec Healthcare E SA 144A company guaranty sr. unsec. unsub. notes 10.50%, 12/15/18 (Luxembourg) | 575,000 | 583,625 | ||||
| Crimson Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 5/15/22 | 975,000 | 860,438 | ||||
| DPx Holdings BV 144A sr. unsec. sub. notes 7.50%, 2/1/22 (Netherlands) | 585,000 | 618,638 | ||||
| Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 | 250,000 | 221,875 | ||||
| Endo Limited/Endo Finance LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) | 810,000 | 739,125 | ||||
| Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 | 340,000 | 347,650 | ||||
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 470,000 | 499,375 | ||||
| HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 | 1,070,000 | 1,187,700 | ||||
| HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 | 210,000 | 240,975 | ||||
| HCA, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 2/1/25 | 165,000 | 170,363 | ||||
| Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 | 490,000 | 509,600 | ||||
| Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sr. notes 7.875%, 2/15/21 | 215,000 | 232,738 | ||||
| Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) | 345,000 | 326,888 | ||||
| MEDNAX, Inc. 144A company guaranty sr. unsec. unsub. notes 5.25%, 12/1/23 | 205,000 | 215,506 | ||||
| Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 | 350,000 | 361,375 | ||||
| Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) | 515,000 | 541,369 | ||||
| Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 | 1,000,000 | 1,040,000 | ||||
| Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 | 370,000 | 392,200 | ||||
| Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 | 310,000 | 322,400 | ||||
| Tenet Healthcare Corp. company guaranty sr. bonds 4.50%, 4/1/21 | 205,000 | 206,281 | ||||
| Tenet Healthcare Corp. company guaranty sr. FRN 4.35%, 6/15/20 | 690,000 | 693,519 | ||||
| Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 | 925,000 | 978,188 | ||||
| Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.375%, 10/15/20 | 90,000 | 84,375 | ||||
| Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 | 520,000 | 447,850 | ||||
| Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 | 390,000 | 336,375 | ||||
| Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 | 265,000 | 226,575 | ||||
| Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 | 845,000 | 781,625 | ||||
| 17,049,928 | ||||||
| Homebuilding (2.3%) | ||||||
| American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 | 470,000 | 491,738 | ||||
| Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) | 645,000 | 667,575 | ||||
| CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 6.25%, 12/15/21 | 630,000 | 692,213 | ||||
| CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 | 285,000 | 304,950 | ||||
| Howard Hughes Corp. (The) 144A sr. unsec. notes 6.875%, 10/1/21 | 1,120,000 | 1,177,400 | ||||
| Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 | 90,000 | 92,925 | ||||
| Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 4/1/21 | 180,000 | 191,700 | ||||
| Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 11/15/20 (Canada) | 620,000 | 618,063 | ||||
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 | 780,000 | 900,900 | ||||
| PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 | 15,000 | 15,750 | ||||
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 | 80,000 | 82,600 | ||||
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 | 280,000 | 287,700 | ||||
| 5,523,514 | ||||||
| Household furniture and appliances (0.1%) | ||||||
| Tempur Sealy International, Inc. 144A company guaranty sr. unsec. unsub. bonds 5.50%, 6/15/26 | 260,000 | 267,800 | ||||
| 267,800 | ||||||
| Lodging/Tourism (1.0%) | ||||||
| Dakota Merger Sub, Inc. 144A sr. notes 7.75%, 9/1/23 | 740,000 | 740,925 | ||||
| Dakota Merger Sub, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 | 295,000 | 289,100 | ||||
| Hilton Domestic Operating Co., Inc. 144A sr. unsec. sub. notes 4.25%, 9/1/24 | 90,000 | 91,800 | ||||
| MGM Resorts International company guaranty sr. unsec. unsub. notes 8.625%, 2/1/19 | 95,000 | 107,113 | ||||
| MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 | 125,000 | 140,469 | ||||
| SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A sr. notes 6.375%, 6/1/21 | 1,135,000 | 1,135,000 | ||||
| 2,504,407 | ||||||
| Media (0.6%) | ||||||
| EMI Music Publishing Group North America Holdings, Inc. 144A sr. unsec. notes 7.625%, 6/15/24 | 445,000 | 481,156 | ||||
| Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) | 630,000 | 658,350 | ||||
| WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 | 390,000 | 395,850 | ||||
| 1,535,356 | ||||||
| Metals (3.5%) | ||||||
| Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 | 135,000 | 144,956 | ||||
| Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 | 40,000 | 38,500 | ||||
| Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 | 150,000 | 142,758 | ||||
| ArcelorMittal SA sr. unsec. unsub. bonds 10.85%, 6/1/19 (France) | 420,000 | 508,200 | ||||
| ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) | 375,000 | 407,813 | ||||
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 5/15/22 (Canada) | 490,000 | 433,650 | ||||
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.00%, 2/15/21 (Canada) | 435,000 | 390,413 | ||||
| First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 2/15/20 (Canada) | 305,000 | 282,125 | ||||
| Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. notes 6.75%, 2/1/22 | 265,000 | 272,288 | ||||
| Freeport-McMoran Oil & Gas, LLC/FCX Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 2/15/23 | 495,000 | 512,944 | ||||
| Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 3.55%, 3/1/22 (Indonesia) | 300,000 | 273,000 | ||||
| HudBay Minerals, Inc. company guaranty sr. unsec. notes 9.50%, 10/1/20 (Canada) | 700,000 | 701,750 | ||||
| Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 | 440,000 | 484,000 | ||||
| New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 7.00%, 4/15/20 (Canada) | 390,000 | 400,725 | ||||
| New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) | 255,000 | 261,375 | ||||
| Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 | 605,000 | 619,369 | ||||
| Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 | 365,000 | 387,813 | ||||
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 8/15/22 | 835,000 | 878,838 | ||||
| Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 | 265,000 | 277,588 | ||||
| Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) | 70,000 | 80,500 | ||||
| Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.00%, 6/1/21 (Canada) | 105,000 | 114,844 | ||||
| TMS International Corp. 144A company guaranty sr. unsec. sub. notes 7.625%, 10/15/21 | 735,000 | 619,238 | ||||
| Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 | 400,000 | 422,000 | ||||
| 8,654,687 | ||||||
| Oil and gas (10.7%) | ||||||
| Anadarko Petroleum Corp. sr. unsec. unsub. notes 5.55%, 3/15/26 | 280,000 | 319,611 | ||||
| Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 | 255,000 | 259,781 | ||||
| Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 | 595,000 | 599,463 | ||||
| Antero Resources Finance Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 | 190,000 | 192,138 | ||||
| Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) | 345,000 | 281,175 | ||||
| Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.125%, 6/1/21 (Canada) | 120,000 | 98,550 | ||||
| California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 | 956,000 | 635,740 | ||||
| Callon Petroleum Co. 144A sr. unsec. notes 6.125%, 10/1/24(FWC) | 205,000 | 212,175 | ||||
| Carrizo Oil & Gas, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 9/15/20 | 140,000 | 144,900 | ||||
| Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) | 705,000 | 761,925 | ||||
| Cenovus Energy, Inc. sr. unsec. bonds 4.45%, 9/15/42 (Canada) | 215,000 | 177,413 | ||||
| Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 | 746,000 | 756,258 | ||||
| Concho Resources, Inc. company guaranty sr. unsec. notes 5.50%, 4/1/23 | 810,000 | 836,325 | ||||
| Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 | 115,000 | 105,225 | ||||
| Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5.00%, 9/15/22 | 660,000 | 658,350 | ||||
| Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 | 395,000 | 379,200 | ||||
| Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 | 380,000 | 283,100 | ||||
| Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 | 574,000 | 601,265 | ||||
| Devon Financing Company, LLC company guaranty sr. unsec. unsub. bonds 7.875%, 9/30/31 | 595,000 | 737,076 | ||||
| EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 | 1,275,000 | 905,250 | ||||
| Halcon Resources Corp. 144A company guaranty notes 8.625%, 2/1/20 | 360,000 | 360,900 | ||||
| Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 | 295,000 | 349,842 | ||||
| Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 | 495,000 | 509,231 | ||||
| Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 | 1,000,000 | 1,033,750 | ||||
| Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 | 80,000 | 77,600 | ||||
| Linn Energy, LLC/Linn Energy Finance Corp. 144A company guaranty notes 12.00%, 12/15/20 (In default)(NON) | 1,354,000 | 656,690 | ||||
| Lone Pine Resources Canada, Ltd. escrow company guaranty sr. unsec. notes 10.375%, 2/15/17 (Canada)(F) | 195,000 | 10 | ||||
| Marathon Oil Corp. sr. unsec. unsub. notes 3.85%, 6/1/25 | 220,000 | 208,922 | ||||
| MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) | 245,000 | 193,550 | ||||
| MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.50%, 3/15/21 (Canada) | 165,000 | 134,681 | ||||
| Murphy Oil Corp. sr. unsec. unsub. notes 6.875%, 8/15/24 | 520,000 | 537,525 | ||||
| Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 | 1,070,000 | 1,102,055 | ||||
| Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 | 500,000 | 501,250 | ||||
| Oasis Petroleum, Inc. company guaranty sr. unsec. notes 6.50%, 11/1/21 | 240,000 | 229,200 | ||||
| Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 | 620,000 | 592,100 | ||||
| Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 | 385,000 | 368,638 | ||||
| Range Resources Corp. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 | 605,000 | 612,563 | ||||
| Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 | 270,000 | 245,700 | ||||
| Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 | 180,000 | 165,600 | ||||
| Sabine Pass Liquefaction, LLC sr. notes 6.25%, 3/15/22 | 150,000 | 164,063 | ||||
| Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 | 515,000 | 554,269 | ||||
| Sabine Pass Liquefaction, LLC sr. notes 5.625%, 4/15/23 | 345,000 | 368,288 | ||||
| Sabine Pass Liquefaction, LLC 144A sr. bonds 5.00%, 3/15/27 | 370,000 | 379,250 | ||||
| Sabine Pass Liquefaction, LLC 144A sr. notes 5.875%, 6/30/26 | 400,000 | 434,750 | ||||
| Samson Investment Co. company guaranty sr. unsec. notes 9.75%, 2/15/20 (In default)(NON) | 1,340,000 | 53,600 | ||||
| SandRidge Energy, Inc. 144A company guaranty notes 8.75%, 6/1/20 (In default)(NON) | 540,000 | 194,400 | ||||
| Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, 5/1/23 (Canada) | 325,000 | 337,594 | ||||
| Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, 5/15/20 (Canada) | 550,000 | 586,438 | ||||
| Seventy Seven Energy, Inc. sr. unsec. notes 6.50%, 7/15/22(F) | 345,000 | 35 | ||||
| SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 | 470,000 | 480,575 | ||||
| SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 | 620,000 | 582,800 | ||||
| SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 200,000 | 202,000 | ||||
| SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 | 90,000 | 90,900 | ||||
| SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 | 210,000 | 210,000 | ||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. bonds 5.375%, 2/1/27 | 290,000 | 291,813 | ||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 5.125%, 2/1/25 | 145,000 | 145,181 | ||||
| Triangle USA Petroleum Corp. 144A company guaranty sr. unsec. notes 6.75%, 7/15/22 (In default)(NON) | 310,000 | 68,200 | ||||
| Unit Corp. company guaranty sr. unsec. sub. notes 6.625%, 5/15/21 | 155,000 | 131,750 | ||||
| Western Gas Partners LP sr. unsec. unsub. notes 4.65%, 7/1/26 | 155,000 | 161,194 | ||||
| Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 | 144,000 | 133,200 | ||||
| Whiting Petroleum Corp. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/19 | 450,000 | 435,375 | ||||
| Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 | 195,000 | 241,800 | ||||
| Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.875%, 9/1/21 | 208,000 | 240,760 | ||||
| Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.75%, 6/15/31 | 435,000 | 496,988 | ||||
| Williams Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 7/15/22 | 253,000 | 262,674 | ||||
| Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes 4.875%, 3/15/24 | 480,000 | 485,142 | ||||
| Williams Partners LP/ACMP Finance Corp. sr. unsec. unsub. notes 4.875%, 5/15/23 | 480,000 | 485,400 | ||||
| WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 | 100,000 | 107,500 | ||||
| WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 | 535,000 | 565,763 | ||||
| WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 | 685,000 | 683,716 | ||||
| 26,400,145 | ||||||
| Regional Bells (0.7%) | ||||||
| Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 | 600,000 | 626,250 | ||||
| Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 | 670,000 | 710,200 | ||||
| Frontier Communications Corp. sr. unsec. notes 8.875%, 9/15/20 | 195,000 | 210,356 | ||||
| Frontier Communications Corp. sr. unsec. unsub. notes 7.625%, 4/15/24 | 180,000 | 168,075 | ||||
| 1,714,881 | ||||||
| Retail (2.1%) | ||||||
| Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 | 505,000 | 280,275 | ||||
| Dollar Tree, Inc. company guaranty sr. unsec. unsub. notes 5.75%, 3/1/23 | 215,000 | 231,394 | ||||
| JC Penney Corp, Inc. company guaranty sr. unsec. bonds 8.125%, 10/1/19 | 475,000 | 517,750 | ||||
| JC Penney Corp, Inc. company guaranty sr. unsec. unsub. notes 5.65%, 6/1/20 | 100,000 | 100,238 | ||||
| JC Penney Corp, Inc. 144A company guaranty sr. notes 5.875%, 7/1/23 | 120,000 | 124,950 | ||||
| Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) | 500,000 | 487,500 | ||||
| L Brands, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/21 | 45,000 | 51,919 | ||||
| L Brands, Inc. company guaranty sr. unsec. sub. notes 5.625%, 2/15/22 | 315,000 | 352,013 | ||||
| Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 | 475,000 | 441,750 | ||||
| Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) | 755,000 | 592,675 | ||||
| Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 | 820,000 | 684,700 | ||||
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 | 395,000 | 409,813 | ||||
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 | 175,000 | 174,563 | ||||
| Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 | 450,000 | 452,250 | ||||
| Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 | 325,000 | 328,250 | ||||
| 5,230,040 | ||||||
| Technology (4.3%) | ||||||
| Avaya, Inc. 144A company guaranty notes 10.50%, 3/1/21 | 355,000 | 78,100 | ||||
| Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 | 1,150,000 | 848,125 | ||||
| CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 | 505,000 | 538,456 | ||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company gauranty sr. unsec. notes 7.125%, 6/15/24 | 1,035,000 | 1,138,343 | ||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 | 110,000 | 131,709 | ||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 | 615,000 | 658,946 | ||||
| Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec. notes 5.875%, 6/15/21 | 150,000 | 159,371 | ||||
| First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 | 595,000 | 629,213 | ||||
| First Data Corp. 144A notes 5.75%, 1/15/24 | 570,000 | 585,675 | ||||
| First Data Corp. 144A sr. notes 5.375%, 8/15/23 | 490,000 | 504,700 | ||||
| Infor Software Parent LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) | 615,000 | 596,550 | ||||
| Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 | 600,000 | 607,500 | ||||
| Iron Mountain, Inc. company guaranty sr. unsec. notes 6.00%, 8/15/23(R) | 615,000 | 656,513 | ||||
| Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 6.00%, 10/1/20(R) | 215,000 | 226,825 | ||||
| Micron Technology, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 2/15/22 | 590,000 | 601,800 | ||||
| Micron Technology, Inc. 144A sr. notes 7.50%, 9/15/23 | 260,000 | 288,792 | ||||
| NXP BV/NXP Funding, LLC 144A Company guaranty sr. unsec. notes 4.625%, 6/1/23 (Netherlands) | 680,000 | 743,750 | ||||
| Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 | 760,000 | 782,800 | ||||
| Zebra Technologies Corp. sr. unsec. unsub. bonds 7.25%, 10/15/22 | 780,000 | 845,325 | ||||
| 10,622,493 | ||||||
| Telecommunications (3.5%) | ||||||
| Altice Financing SA 144A company guaranty sr. notes 6.625%, 2/15/23 (Luxembourg) | 200,000 | 204,750 | ||||
| Altice Finco SA 144A company guaranty sr. unsec. unsub. notes 7.625%, 2/15/25 (Luxembourg) | 600,000 | 598,500 | ||||
| Digicel Group, Ltd. 144A sr. unsec. notes 8.25%, 9/30/20 (Jamaica) | 650,000 | 564,688 | ||||
| Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) | 805,000 | 708,400 | ||||
| Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) | 305,000 | 230,275 | ||||
| Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) | 66,000 | 22,110 | ||||
| Intelsat Luxembourg SA company guaranty sr. unsec. sub. bonds 8.125%, 6/1/23 (Luxembourg) | 185,000 | 62,438 | ||||
| Level 3 Communications, Inc. sr. unsec. unsub. notes 5.75%, 12/1/22 | 205,000 | 214,225 | ||||
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 1/15/24 | 220,000 | 229,213 | ||||
| Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 8/15/22 | 260,000 | 271,700 | ||||
| Qwest Corp. sr. unsec. unsub. notes 7.25%, 9/15/25 | 380,000 | 415,845 | ||||
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 1,760,000 | 1,652,200 | ||||
| Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 | 345,000 | 380,794 | ||||
| Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 | 1,175,000 | 1,182,344 | ||||
| Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 | 1,185,000 | 1,189,444 | ||||
| West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22 | 755,000 | 736,125 | ||||
| 8,663,051 | ||||||
| Telephone (1.3%) | ||||||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 | 545,000 | 583,831 | ||||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 | 860,000 | 935,250 | ||||
| T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.25%, 4/1/21 | 500,000 | 522,500 | ||||
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.633%, 4/28/21 | 150,000 | 158,063 | ||||
| T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 | 505,000 | 534,038 | ||||
| Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 | 645,000 | 585,338 | ||||
| 3,319,020 | ||||||
| Textiles (0.1%) | ||||||
| Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 | 325,000 | 333,531 | ||||
| 333,531 | ||||||
| Tire and rubber (0.2%) | ||||||
| American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 | 675,000 | 614,250 | ||||
| 614,250 | ||||||
| Transportation (0.8%) | ||||||
| Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 | 680,000 | 657,900 | ||||
| Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 | 1,255,000 | 1,267,550 | ||||
| 1,925,450 | ||||||
| Utilities and power (4.7%) | ||||||
| AES Corp./Virginia (The) sr. unsec. notes 8.00%, 6/1/20 | 200,000 | 235,500 | ||||
| AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 | 520,000 | 535,600 | ||||
| AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 | 255,000 | 257,550 | ||||
| AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 | 860,000 | 986,850 | ||||
| Boardwalk Pipelines LP company guaranty sr. unsec. unsub. bonds 5.95%, 6/1/26 | 250,000 | 275,305 | ||||
| Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 | 1,045,000 | 1,031,938 | ||||
| Calpine Corp. 144A company guaranty sr. notes 6.00%, 1/15/22 | 180,000 | 188,550 | ||||
| Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 | 145,000 | 153,156 | ||||
| Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 | 1,055,000 | 1,149,629 | ||||
| DPL, Inc. sr. unsec. sub. notes 6.50%, 10/15/16 | 76,000 | 76,096 | ||||
| Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 | 60,000 | 59,250 | ||||
| Dynegy, Inc. company guaranty sr. unsec. notes 6.75%, 11/1/19 | 960,000 | 984,000 | ||||
| Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 | 40,000 | 39,280 | ||||
| El Paso Natural Gas Co., LLC company guaranty sr. unsec. notes 8.625%, 1/15/22 | 360,000 | 444,781 | ||||
| Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11.75%, 3/1/22 (In default)(NON) | 277,699 | 341,570 | ||||
| Energy Transfer Equity LP company guaranty sr. notes 7.50%, 10/15/20 | 430,000 | 471,925 | ||||
| Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 | 290,000 | 300,875 | ||||
| GenOn Americas Generation, LLC sr. unsec. notes 9.125%, 5/1/31 | 215,000 | 174,150 | ||||
| GenOn Americas Generation, LLC sr. unsec. notes 8.50%, 10/1/21 | 265,000 | 225,250 | ||||
| GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 | 160,000 | 119,200 | ||||
| NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7.875%, 5/15/21 | 565,000 | 590,425 | ||||
| NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 6.625%, 1/15/27 | 555,000 | 543,900 | ||||
| NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/26 | 375,000 | 381,563 | ||||
| Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.875%, 3/1/22 | 655,000 | 722,253 | ||||
| Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 5.50%, 4/15/23 | 455,000 | 469,737 | ||||
| Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 | 800,000 | 806,000 | ||||
| Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. 144A company guaranty sr. notes 11.50%, 10/1/20 (In default)(NON) | 415,000 | 126,575 | ||||
| 11,690,908 | ||||||
| Total corporate bonds and notes (cost $205,141,410) | $206,078,347 | |||||
| SENIOR LOANS (6.6%)(a)(c) | ||||||
| Principal amount | Value | |||||
| Basic materials (0.4%) | ||||||
| Kraton Polymers, LLC/Kraton Polymers Capital Corp. bank term loan FRN Ser. B , 6.00%, 1/6/22 | $480,000 | $483,075 | ||||
| Solenis International LP bank term loan FRN 7.75%, 7/31/22 | 105,000 | 102,550 | ||||
| Solenis International LP bank term loan FRN 4.25%, 7/31/21 | 244,377 | 243,257 | ||||
| Zekelman Industries, Inc. bank term loan FRN Ser. B, 6.00%, 6/14/21 | 244,388 | 247,748 | ||||
| 1,076,630 | ||||||
| Capital goods (0.2%) | ||||||
| Cortes NP Acquistion Corp. bank term loan FRN Ser. B, 6.00%, 9/29/23 | 160,000 | 155,200 | ||||
| Manitowac Foodservice, Inc. bank term loan FRN 5.75%, 3/3/23 | 264,538 | 267,349 | ||||
| 422,549 | ||||||
| Communication services (0.2%) | ||||||
| Asurion, LLC bank term loan FRN 8.50%, 3/3/21 | 440,000 | 436,590 | ||||
| 436,590 | ||||||
| Consumer cyclicals (3.8%) | ||||||
| Academy, Ltd. bank term loan FRN Ser. B, 5.00%, 7/2/22 | 608,783 | 594,578 | ||||
| Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 11.25%, 3/1/17 | 745,820 | 813,876 | ||||
| Caesars Growth Properties Holdings, LLC bank term loan FRN 6.25%, 5/8/21 | 1,234,784 | 1,217,421 | ||||
| CPG International, Inc. bank term loan FRN Ser. B, 4.75%, 9/30/20 | 199,284 | 199,533 | ||||
| Getty Images, Inc. bank term loan FRN Ser. B, 4.75%, 10/18/19 | 622,181 | 521,077 | ||||
| iHeartCommunications, Inc. bank term loan FRN Ser. D, 7.274%, 1/30/19 | 639,000 | 489,101 | ||||
| J Crew Group, Inc. bank term loan FRN Ser. B, 4.00%, 3/5/21 | 282,114 | 222,064 | ||||
| Jeld-Wen, Inc. bank term loan FRN 5.25%, 10/15/21 | 430,880 | 433,169 | ||||
| Jeld-Wen, Inc. bank term loan FRN Ser. B, 4.75%, 7/1/22 | 430,650 | 432,803 | ||||
| Navistar, Inc. bank term loan FRN Ser. B, 6.50%, 8/7/20 | 898,884 | 899,165 | ||||
| Petco Animal Supplies, Inc. bank term loan FRN Ser. B1, 5.00%, 1/26/23 | 711,425 | 717,057 | ||||
| ROC Finance, LLC bank term loan FRN 5.00%, 6/20/19 | 854,718 | 835,487 | ||||
| Scientific Games International, Inc. bank term loan FRN Ser. B2, 6.00%, 10/1/21 | 362,235 | 362,518 | ||||
| Talbots, Inc. (The) bank term loan FRN 9.50%, 3/19/21 | 194,874 | 180,583 | ||||
| Talbots, Inc. (The) bank term loan FRN 5.50%, 3/19/20 | 378,585 | 369,120 | ||||
| Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B, 5.00%, 9/2/21 | 248,903 | 249,784 | ||||
| VGD Merger Sub, LLC bank term loan FRN 8.50%, 8/18/24 | 250,000 | 251,438 | ||||
| VGD Merger Sub, LLC bank term loan FRN 5.00%, 8/18/23 | 220,000 | 221,218 | ||||
| Yonkers Racing Corp. bank term loan FRN 4.25%, 8/20/19 | 436,835 | 432,831 | ||||
| 9,442,823 | ||||||
| Consumer staples (0.4%) | ||||||
| Del Monte Foods, Inc. bank term loan FRN 8.25%, 8/18/21 | 380,000 | 288,800 | ||||
| Revlon Consumer Products Corp. bank term loan FRN Ser. B, 4.25%, 9/7/23 | 595,000 | 596,275 | ||||
| 885,075 | ||||||
| Energy (0.6%) | ||||||
| Chesapeake Energy Corp. bank term loan FRN 8.50%, 8/23/21 | 615,000 | 643,598 | ||||
| EP Energy, LLC bank term loan FRN 9.75%, 6/30/21 | 125,000 | 122,500 | ||||
| MEG Energy Corp. bank term loan FRN Ser. B, 3.75%, 3/31/20 | 631,998 | 584,914 | ||||
| Western Refining, Inc. bank term loan FRN Ser. B2, 5.50%, 6/23/23 | 219,450 | 218,764 | ||||
| 1,569,776 | ||||||
| Health care (0.4%) | ||||||
| AMAG Pharmaceuticals, Inc. bank term loan FRN Ser. B, 4.75%, 8/17/21 | 216,563 | 216,563 | ||||
| Concordia International Corp. bank term loan FRN Ser. B, 5.25%, 10/21/21 | 387,075 | 345,586 | ||||
| DPx Holdings BV bank term loan FRN Ser. B, 4.25%, 3/11/21 | 154,674 | 154,416 | ||||
| Quorum Health Corp. bank term loan FRN 6.75%, 4/29/22 | 288,550 | 279,443 | ||||
| 996,008 | ||||||
| Technology (0.2%) | ||||||
| Avaya, Inc. bank term loan FRN Ser. B7, 6.25%, 5/29/20 | 597,930 | 438,545 | ||||
| 438,545 | ||||||
| Utilities and power (0.4%) | ||||||
| Dynegy, Inc. bank term loan FRN Ser. C, 5.00%, 6/27/23 | 240,000 | 241,167 | ||||
| Energy Transfer Equity LP bank term loan FRN Ser. C, 4.042%, 12/2/19 | 235,000 | 234,648 | ||||
| Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.998%, 10/10/17 | 1,769,778 | 513,512 | ||||
| Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.998%, 10/10/17 | 18,164 | 5,270 | ||||
| 994,597 | ||||||
| Total senior loans (cost $17,744,965) | $16,262,593 | |||||
| COMMON STOCKS (2.2%)(a) | ||||||
| Shares | Value | |||||
| ACC Claims Holding, LLC Class A (Units)(F) | 990,365 | $5,942 | ||||
| Ally Financial, Inc. | 30,690 | 597,534 | ||||
| Berry Plastics Group, Inc.(NON) | 12,025 | 527,296 | ||||
| Boise Cascade Co.(NON) | 15,163 | 385,140 | ||||
| CIT Group, Inc. | 9,745 | 353,744 | ||||
| Eldorado Resorts, Inc.(NON) | 20,825 | 292,800 | ||||
| Gaming and Leisure Properties, Inc.(R) | 12,258 | 410,030 | ||||
| General Motors Co. | 7,902 | 251,047 | ||||
| Halcon Resources Corp.(NON) | 31,415 | 294,673 | ||||
| Live Nation Entertainment, Inc.(NON) | 16,990 | 466,885 | ||||
| Lone Pine Resources, Inc. Class A (Canada)(F)(NON) | 24,322 | 243 | ||||
| Milagro Oil & Gas, Inc. (Units)(F) | 281 | 177,269 | ||||
| Penn National Gaming, Inc.(NON) | 34,840 | 472,779 | ||||
| Prairie Provident Resources, Inc. (Canada)(NON) | 11,352 | 7,615 | ||||
| Rite Aid Corp.(NON) | 21,650 | 166,489 | ||||
| Service Corp. International/US | 15,010 | 398,365 | ||||
| Seventy Seven Energy, Inc.(NON) | 25,762 | 485,614 | ||||
| Tribune Media Co. Class 1C(F) | 93,841 | 23,460 | ||||
| Vantage Drilling International (Units) (Cayman Islands)(NON) | 395 | 31,205 | ||||
| Total common stocks (cost $5,242,236) | $5,348,130 | |||||
| CONVERTIBLE PREFERRED STOCKS (1.3%)(a) | ||||||
| Shares | Value | |||||
| Allergan PLC Ser. A, 5.50% cv. pfd. | 636 | $522,557 | ||||
| American Tower Corp. $5.50 cv. pfd.(R) | 5,675 | 622,122 | ||||
| Belden, Inc. $6.75 cv. pfd.(NON) | 2,500 | 250,025 | ||||
| Crown Castle International Corp. Ser. A, $4.50 cv. pfd.(R) | 2,165 | 244,688 | ||||
| EPR Properties Ser. C, $1.438 cv. pfd.(R) | 18,102 | 557,485 | ||||
| T-Mobile US, Inc. Ser. A, $2.75 cv. pfd. | 9,800 | 763,518 | ||||
| Tyson Foods, Inc. $2.375 cv. pfd. | 3,735 | 305,859 | ||||
| Total convertible preferred stocks (cost $2,825,872) | $3,266,254 | |||||
| CONVERTIBLE BONDS AND NOTES (0.7%)(a) | ||||||
| Principal amount | Value | |||||
| DISH Network Corp. 144A cv. sr. unsec. bonds 3.375%, 8/15/26 | $468,000 | $512,460 | ||||
| iStar, Inc. cv. sr. unsec. unsub. notes 3.00%, 11/15/16(R) | 313,000 | 315,348 | ||||
| Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 | 323,000 | 515,387 | ||||
| Navistar International Corp. cv. sr. unsec. sub. bonds 4.50%, 10/15/18 | 108,000 | 102,195 | ||||
| ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 | 247,000 | 250,396 | ||||
| Total convertible bonds and notes (cost $1,432,968) | $1,695,786 | |||||
| WARRANTS (0.0%)(a)(NON) | ||||||
| Expiration date | Strike Price | Warrants | Value | |||
| Halcon Resources Corp. | 9/9/20 | $14.04 | 8,533 | $19,541 | ||
| Seventy Seven Energy, Inc. | 8/1/21 | 23.82 | 2,976 | 6,994 | ||
| Total warrants (cost $11,904) | $26,535 | |||||
| SHORT-TERM INVESTMENTS (3.7%)(a) | ||||||
| Principal amount/shares | Value | |||||
| Putnam Short Term Investment Fund 0.51%(AFF) | Shares | 8,958,417 | $8,958,417 | |||
| U.S. Treasury Bills 0.197%, 11/17/16(SEGCCS) | 8,000 | 7,998 | ||||
| U.S. Treasury Bills 0.257%, 11/10/16(SEGCCS) | 2,000 | 2,000 | ||||
| U.S. Treasury Bills 0.271%, 11/3/16(SEGCCS) | 237,000 | 236,959 | ||||
| U.S. Treasury Bills 0.207%, 10/20/16(SEGCCS) | 5,000 | 5,000 | ||||
| Total short-term investments (cost $9,210,355) | $9,210,374 | |||||
| TOTAL INVESTMENTS | ||||||
| Total investments (cost $241,609,710)(b) | $241,888,019 | |||||
| FORWARD CURRENCY CONTRACTS at 9/30/16 (aggregate face value $1,268,414) (Unaudited) | |||||||
| Unrealized | |||||||
| Contract | Delivery | Aggregate | appreciation/ | ||||
| Counterparty | Currency | type | date | Value | face value | (depreciation) | |
| Bank of America N.A. | |||||||
| Canadian Dollar | Buy | 10/19/16 | $152 | $151 | $1 | ||
| Euro | Buy | 12/21/16 | 128,750 | 128,863 | (113) | ||
| Credit Suisse International | |||||||
| Euro | Sell | 12/21/16 | 459,870 | 456,446 | (3,424) | ||
| State Street Bank and Trust Co. | |||||||
| Canadian Dollar | Sell | 10/19/16 | 553,978 | 561,525 | 7,547 | ||
| UBS AG | |||||||
| British Pound | Sell | 12/21/16 | 118,530 | 121,429 | 2,899 | ||
|
| |||||||
| Total | $6,910 | ||||||
| CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING at 9/30/16 (Unaudited) | |||||||||
| Upfront | Payments | ||||||||
| premium | Termi- | received | Unrealized | ||||||
| received | Notional | nation | (paid) by fund | appreciation/ | |||||
| Referenced debt* | Rating*** | (paid)** | amount | date | per annum | (depreciation) | |||
|
| |||||||||
| NA HY Series 27 Index | B+/P | $237,570 | $6,735,000 | 12/20/21 | 500 bp | $(61,044) | |||
|
| |||||||||
| Total | $237,570 | $(61,044) | |||||||
| * | 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 September 30, 2016. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor's classifications. | ||||||||
| (a) | Terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing the reference entity are liquidated. | ||||||||
| Key to holding's currency abbreviations | |||
| CAD | Canadian Dollar | ||
| 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, 2016 through September 30, 2016 (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 $246,236,041. | |||||
| (b) | The aggregate identified cost on a tax basis is $241,778,898, resulting in gross unrealized appreciation and depreciation of $10,790,801 and $10,681,680, respectively, or net unrealized appreciation of $109,121. | |||||
| (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 * | $14,783,531 | $76,299,081 | $82,124,195 | $45,561 | $8,958,417 | |
| * Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. | ||||||
| (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. | |||||
| (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 by Putnam Management at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities' valuation inputs. | |||||
| (R) | Real Estate Investment Trust. | |||||
| At the close of the reporting period, the fund maintained liquid assets totaling $7,115,532 to cover certain derivative contracts and the settlement of certain securities. | ||||||
| Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | ||||||
| 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. | ||||||
| Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | ||||||
| Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | ||||||
| Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | ||||||
| Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value 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. | ||||||
| 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. | ||||||
| Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk, for hedging currency exposures and to gain exposure to currencies. | ||||||
| The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | ||||||
| For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | ||||||
| Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk, for gaining exposure to specific sectors and to gain exposure on individual names and/or baskets of securities. | ||||||
| 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. | ||||||
| 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 $3,536 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*: | ||||
| Basic materials | $385,140 | $— | $— | |
| Capital goods | 527,296 | — | — | |
| Communication services | — | — | 5,942 | |
| Consumer cyclicals | 1,483,511 | — | 23,460 | |
| Consumer staples | 166,489 | — | — | |
| Energy | 819,107 | — | 177,512 | |
| Financials | 1,361,308 | — | — | |
| Health care | 398,365 | — | — | |
| Total common stocks | 5,141,216 | — | 206,914 | |
| Convertible bonds and notes | — | 1,695,786 | — | |
| Convertible preferred stocks | — | 3,266,254 | — | |
| Corporate bonds and notes | — | 206,078,225 | 122 | |
| Senior loans | — | 16,262,593 | — | |
| Warrants | 19,541 | — | 6,994 | |
| Short-term investments | 8,958,417 | 251,957 | — | |
|
|
|
|
||
| Totals by level | $14,119,174 | $227,554,815 | $214,030 | |
| Valuation inputs | ||||
|
| ||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | |
| Forward currency contracts | $— | $6,910 | $— | |
| Credit default contracts | — | (298,614) | — | |
|
|
|
|
||
| Totals by level | $— | $(291,704) | $— | |
| * 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 | ||
| Credit contracts | $— | $298,614 | ||
| Foreign exchange contracts | 10,447 | 3,537 | ||
| Equity contracts | 26,535 | — | ||
| Interest rate contracts | — | — | ||
|
|
|
|||
| Total | $36,982 | $302,151 | ||
| 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) | $2,100,000 | |||
| Centrally cleared credit default contracts (notional) | $—* | |||
| Warrants (number of warrants) | 3,000 | |||
| * For the reporting period there were no holdings at the end of each fiscal quarter and the transactions were considered minimal. | ||||
| 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 Capital Inc. (clearing broker) | Credit Suisse International | State Street Bank and Trust Co. | UBS AG | Total | ||||
| Assets: | |||||||||
| Centrally cleared credit default contracts§ | — | — | — | — | — | — | |||
| Forward currency contracts# | 1 | — | — | 7,547 | 2,899 | 10,447 | |||
| Total Assets | $1 | $— | $— | $7,547 | $2,899 | $10,447 | |||
| Liabilities: | |||||||||
| Centrally cleared credit default contracts§ | — | 40,372 | — | — | — | 40,372 | |||
| Forward currency contracts# | 113 | — | 3,424 | — | — | 3,537 | |||
| Total Liabilities | $113 | $40,372 | $3,424 | $— | $— | $43,909 | |||
| Total Financial and Derivative Net Assets | $(112) | $(40,372) | $(3,424) | $7,547 | $2,899 | $(33,462) | |||
| Total collateral received (pledged)##† | $— | $— | $— | $— | $— | ||||
| Net amount | $(112) | $(40,372) | $(3,424) | $7,547 | $2,899 | ||||
| † | 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: November 28, 2016 |
| 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 28, 2016 |
| By (Signature and Title): |
| /s/ Janet C. Smith Janet C. Smith Principal Financial Officer Date: November 28, 2016 |
| 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 28, 2016 | |
| Jonathan S. Horwitz | |
| Principal Executive Officer | |
Certifications | |
| I, Janet C. Smith, 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/ Janet C. Smith | |
| _______________________________ | |
Date: November 28, 2016 | |
| Janet C. Smith | |
| Principal Financial Officer | |
Attachment A | |
NQ | |
Period (s) ended September 30, 2016 | |
| 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 Government Money Market Fund | |
| Putnam VT Multi-Cap Growth Fund | |
| Putnam VT Research Fund | |
| Putnam VT Small Cap Value Fund | |
| Putnam VT Voyager Fund |