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


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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY



Investment Company Act file number: (811-05346)
Exact name of registrant as specified in charter: Putnam Variable Trust
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109
Name and address of agent for service: Robert T. Burns, Vice President
One Post Office Square
Boston, Massachusetts 02109
Copy to:         Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant's telephone number, including area code: (617) 292-1000
Date of fiscal year end: December 31, 2017
Date of reporting period: September 30, 2017



Item 1. Schedule of Investments:













VT George Putnam Balanced Fund

The fund's portfolio
9/30/17 (Unaudited)
COMMON STOCKS (59.1%)(a)
Shares Value
Basic materials (2.7%)
Albemarle Corp. 2,519 $343,365
Alcoa Corp.(NON) 7,367 343,450
Calyxt, Inc.(NON)(S) 1,943 47,584
CF Industries Holdings, Inc.(S) 8,708 306,173
DowDuPont, Inc. 12,554 869,113
Evonik Industries AG (Germany) 2,830 101,079
Fortune Brands Home & Security, Inc. 5,531 371,849
Iluka Resources, Ltd. (Australia) 21,549 161,153
Sealed Air Corp. 2,620 111,926
Sherwin-Williams Co. (The) 1,887 675,621
W.R. Grace & Co. 6,063 437,445
3,768,758
Capital goods (4.3%)
Caterpillar, Inc. 5,306 661,711
Cummins, Inc. 2,917 490,144
Dover Corp. 5,157 471,298
Fortive Corp. 8,365 592,158
Johnson Controls International PLC 14,466 582,835
KION Group AG (Germany) 4,430 423,944
Komatsu, Ltd. (Japan) 11,700 333,250
L3 Technologies, Inc. 2,432 458,262
Northrop Grumman Corp. 2,165 622,914
Raytheon Co. 4,610 860,134
Roper Technologies, Inc. 918 223,441
Waste Connections, Inc. (Canada) 4,743 331,820
6,051,911
Communication services (2.5%)
American Tower Corp.(R) 3,115 425,758
AT&T, Inc. 20,063 785,868
Charter Communications, Inc. Class A(NON) 2,054 746,465
Comcast Corp. Class A 26,155 1,006,444
DISH Network Corp. Class A(NON) 3,594 194,903
T-Mobile US, Inc.(NON) 1,807 111,420
Verizon Communications, Inc. 4,826 238,839
3,509,697
Computers (2.3%)
Apple, Inc. 17,509 2,698,487
RealPage, Inc.(NON) 11,775 469,823
3,168,310
Conglomerates (0.8%)
Danaher Corp. 9,284 796,382
Siemens AG (Germany) 2,313 325,861
1,122,243
Consumer cyclicals (6.1%)
Amazon.com, Inc.(NON) 1,888 1,815,029
Expedia, Inc.(S) 2,695 387,918
Hanesbrands, Inc.(S) 10,804 266,211
Hilton Worldwide Holdings, Inc. 7,770 539,627
Home Depot, Inc. (The) 9,375 1,533,375
IHS Markit, Ltd. (United Kingdom)(NON) 3,841 169,311
L Brands, Inc. 3,455 143,763
Live Nation Entertainment, Inc.(NON)(S) 8,074 351,623
MasterCard, Inc. Class A 3,662 517,074
NIKE, Inc. Class B 5,123 265,628
O'Reilly Automotive, Inc.(NON) 1,386 298,503
Priceline Group, Inc. (The)(NON) 332 607,832
TJX Cos., Inc. (The) 5,905 435,376
Total System Services, Inc. 2,141 140,236
Wal-Mart Stores, Inc. 4,460 348,504
Walt Disney Co. (The) 2,380 234,597
Wynn Resorts, Ltd. 2,745 408,785
8,463,392
Consumer staples (5.7%)
Blue Buffalo Pet Products, Inc.(NON)(S) 13,287 376,686
Chipotle Mexican Grill, Inc.(NON) 447 137,600
Constellation Brands, Inc. Class A 3,173 632,855
Costco Wholesale Corp. 3,147 517,021
CVS Health Corp. 4,035 328,126
Delivery Hero Holding GmbH (acquired 6/12/15, cost $46,212) (Private) (Germany)(F)(RES)(NON) 1,800 64,142
Edgewell Personal Care Co.(NON) 2,680 195,024
Kraft Heinz Co. (The) 13,013 1,009,158
Kroger Co. (The) 18,187 364,831
McCormick & Co., Inc. (non-voting shares) 6,674 685,019
Molson Coors Brewing Co. Class B 3,582 292,434
Mondelez International, Inc. Class A 13,073 531,548
PepsiCo, Inc. 8,783 978,690
Philip Morris International, Inc. 6,977 774,517
Pinnacle Foods, Inc. 6,231 356,226
Restaurant Brands International, Inc. (Canada) 4,418 282,222
Yum China Holdings, Inc. (China)(NON) 8,713 348,259
7,874,358
Electronics (2.7%)
Agilent Technologies, Inc. 5,047 324,017
Broadcom, Ltd. 3,576 867,323
Cavium, Inc.(NON)(S) 8,835 582,580
NXP Semiconductor NV(NON) 1,986 224,597
Qorvo, Inc.(NON) 8,644 610,958
Rockwell Automation, Inc. 2,641 470,653
Texas Instruments, Inc. 8,024 719,271
3,799,399
Energy (3.5%)
Anadarko Petroleum Corp. 5,347 261,201
Cenovus Energy, Inc. (Canada) 32,232 323,160
Cheniere Energy, Inc.(NON) 5,658 254,836
ConocoPhillips 11,057 553,403
EnCana Corp. (Canada) 9,746 114,742
EOG Resources, Inc. 4,886 472,672
EQT Corp. 2,807 183,129
Exxon Mobil Corp. 3,159 258,975
Halliburton Co. 8,208 377,814
Marathon Oil Corp. 5,779 78,363
Noble Energy, Inc. 7,260 205,894
Pioneer Natural Resources Co. 3,245 478,767
Plains All American Pipeline LP 3,650 77,344
Select Energy Services, Inc. Class A(NON) 12,360 196,771
Seven Generations Energy, Ltd. Class A (Canada)(NON) 6,846 108,307
Suncor Energy, Inc. (Canada) 11,258 394,560
Total SA (France) 8,790 472,124
4,812,062
Financials (9.1%)
American International Group, Inc. 9,152 561,841
Assured Guaranty, Ltd. 13,926 525,707
Bank of America Corp. 68,572 1,737,614
BlackRock, Inc. 1,389 621,008
Charles Schwab Corp. (The) 6,424 280,986
Chubb, Ltd. 5,985 853,162
Citigroup, Inc. 19,132 1,391,662
E*Trade Financial Corp.(NON) 6,639 289,527
Gaming and Leisure Properties, Inc.(R) 8,554 315,557
Goldman Sachs Group, Inc. (The) 3,161 749,758
Hamilton Lane, Inc. Class A(S) 12,178 326,979
Intercontinental Exchange, Inc. 6,832 469,358
Invesco, Ltd. 14,807 518,837
Investment Technology Group, Inc. 15,488 342,904
JPMorgan Chase & Co. 9,785 934,565
KKR & Co. LP 21,037 427,682
MBIA, Inc.(NON)(S) 27,602 240,137
MetLife, Inc. 5,416 281,361
Oportun Financial Corp. (acquired 6/23/15, cost $42,371) (Private)(F)(RES)(NON) 14,867 35,894
Prudential PLC (United Kingdom) 23,808 569,942
Synchrony Financial 6,594 204,744
Visa, Inc. Class A 9,179 965,998
12,645,223
Health care (7.7%)
Aetna, Inc. 2,203 350,299
Amgen, Inc. 4,100 764,445
Becton Dickinson and Co. 4,365 855,322
Biogen, Inc.(NON) 1,849 578,959
Bioverativ, Inc.(NON) 3,986 227,481
Boston Scientific Corp.(NON) 20,169 588,330
Bristol-Myers Squibb Co. 1,994 127,098
Celgene Corp.(NON) 3,939 574,385
Clovis Oncology, Inc.(NON) 2,352 193,805
DENTSPLY Sirona, Inc. 9,066 542,237
Gilead Sciences, Inc. 9,090 736,472
Intuitive Surgical, Inc.(NON) 384 401,618
Jazz Pharmaceuticals PLC(NON) 4,585 670,556
Johnson & Johnson 11,415 1,484,064
McKesson Corp. 1,767 271,429
Merck & Co., Inc. 7,112 455,381
Pfizer, Inc. 7,586 270,820
Regeneron Pharmaceuticals, Inc.(NON) 533 238,315
UnitedHealth Group, Inc. 4,596 900,127
Vertex Pharmaceuticals, Inc.(NON) 3,160 480,446
10,711,589
Semiconductor (0.4%)
Applied Materials, Inc. 11,692 609,036
609,036
Software (3.8%)
Activision Blizzard, Inc. 10,909 703,740
Adobe Systems, Inc.(NON) 3,252 485,133
Everbridge, Inc.(NON) 7,454 196,935
Instructure, Inc.(NON) 5,170 171,386
Micro Focus International PLC ADR (United Kingdom)(NON) 11,229 358,205
Microsoft Corp. 33,522 2,497,047
Oracle Corp. 10,464 505,934
Tencent Holdings, Ltd. (China) 9,136 394,969
5,313,349
Technology services (4.8%)
Alibaba Group Holding, Ltd. ADR (China)(NON)(S) 3,054 527,456
Alphabet, Inc. Class A(NON) 2,594 2,525,830
DXC Technology Co. 6,668 572,648
Facebook, Inc. Class A(NON) 10,011 1,710,580
Fidelity National Information Services, Inc. 3,467 323,783
GoDaddy, Inc. Class A(NON) 4,292 186,745
NCSOFT Corp. (South Korea) 1,618 658,173
salesforce.com, Inc.(NON) 1,972 184,224
6,689,439
Transportation (0.7%)
American Airlines Group, Inc.(S) 9,073 430,877
Norfolk Southern Corp. 4,309 569,822
1,000,699
Utilities and power (2.0%)
Ameren Corp. 3,989 230,724
American Electric Power Co., Inc. 5,153 361,947
American Water Works Co., Inc. 2,059 166,594
Edison International 2,499 192,848
ENI SpA (Italy) 10,274 170,000
Exelon Corp. 9,185 345,999
NextEra Energy, Inc. 3,144 460,753
NRG Energy, Inc. 9,152 234,200
PG&E Corp. 4,874 331,871
Southern Co. (The) 6,831 335,675
2,830,611
Total common stocks (cost $70,847,890) $82,370,076

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (17.5%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (1.5%)
Government National Mortgage Association Pass-Through Certificates
     3.50%, TBA, 10/1/47 $1,000,000 $1,039,609
     3.50%, 2/20/45 76,928 80,297
     3.00%, TBA, 10/1/47 1,000,000 1,013,984
2,133,890
U.S. Government Agency Mortgage Obligations (16.0%)
Federal National Mortgage Association Pass-Through Certificates
     5.50%, with due dates from 7/1/33 to 11/1/38 210,778 234,198
     5.00%, 8/1/33 87,056 95,443
     4.50%, TBA, 11/1/47 4,000,000 4,288,281
     4.50%, TBA, 10/1/47 4,000,000 4,293,125
     4.00%, TBA, 11/1/47 1,000,000 1,051,172
     4.00%, TBA, 10/1/47 2,000,000 2,105,469
     4.00%, 8/1/47(FWC) 998,541 1,053,656
     3.50%, TBA, 11/1/47 4,000,000 4,116,094
     3.50%, TBA, 10/1/47 4,000,000 4,123,438
     3.00%, 6/1/46 919,129 925,161
22,286,037
Total U.S. government and agency mortgage obligations (cost $24,462,050) $24,419,927

U.S. TREASURY OBLIGATIONS (12.2%)(a)
Principal amount Value
U.S. Treasury Bonds 2.75%, 8/15/42 $1,950,000 $1,927,453
U.S. Treasury Notes
     2.125%, 12/31/22(SEG) 750,000 755,449
     2.00%, 2/15/22 1,790,000 1,801,467
     2.00%, 11/30/20 3,450,000 3,484,635
     1.875%, 11/30/21 1,780,000 1,783,755
     1.625%, 4/30/19 330,000 330,980
     1.125%, 3/31/20 2,710,000 2,681,206
     1.125%, 12/31/19 950,000 941,762
     1.00%, 8/31/19 1,500,000 1,486,816
     0.875%, 6/15/19 1,870,000 1,852,104
Total U.S. treasury obligations (cost $17,138,777) $17,045,627

CORPORATE BONDS AND NOTES (15.5%)(a)
Principal amount Value
Basic materials (0.9%)
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) $71,000 $76,619
Eastman Chemical Co. sr. unsec. notes 3.80%, 3/15/25 90,000 92,551
Georgia-Pacific, LLC sr. unsec. unsub. notes 7.75%, 11/15/29 135,000 187,553
Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. notes 6.00%, 11/15/41 (Canada) 5,000 5,854
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 81,000 85,799
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 54,000 54,829
International Paper Co. sr. unsec. notes 8.70%, 6/15/38 10,000 14,932
INVISTA Finance, LLC 144A company guaranty sr. notes 4.25%, 10/15/19 12,000 12,360
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 115,000 115,800
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 4.125%, 9/15/25 110,000 110,138
Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26 165,000 164,788
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 140,000 196,155
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 10,000 13,896
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) 82,000 113,754
1,245,028
Capital goods (0.4%)
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 115,000 122,043
L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26 10,000 10,375
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 104,000 134,241
Medtronic, Inc. company guaranty sr. unsec. sub. notes 4.375%, 3/15/35 15,000 16,512
Northrop Grumman Systems Corp. company guaranty sr. unsec. unsub. notes 7.875%, 3/1/26 30,000 39,494
Parker Hannifin Corp. sr. unsec. unsub. notes Ser. MTN, 6.25%, 5/15/38 48,000 63,597
Rockwell Collins, Inc. sr. unsec. bonds 4.35%, 4/15/47 193,000 199,911
United Technologies Corp. sr. unsec. unsub. notes 5.70%, 4/15/40 15,000 18,725
604,898
Communication services (1.3%)
American Tower Corp. sr. unsec. notes 4.00%, 6/1/25(R) 20,000 20,680
American Tower Corp. sr. unsec. unsub. bonds 3.55%, 7/15/27(R) 65,000 64,583
American Tower Corp. sr. unsec. unsub. bonds 3.375%, 10/15/26(R) 75,000 74,135
AT&T, Inc. sr. unsec. unsub. bonds 5.15%, 2/14/50 170,000 170,828
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 12,000 11,540
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 180,000 185,270
CC Holdings GS V, LLC/Crown Castle GS III Corp. company guaranty sr. notes 3.849%, 4/15/23 30,000 31,396
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 101,000 118,541
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 38,000 40,623
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. 144A company guaranty sr. bonds 5.375%, 5/1/47 74,000 76,876
Comcast Cable Communications Holdings, Inc. company guaranty sr. unsec. notes 9.455%, 11/15/22 25,000 33,234
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 27,000 35,786
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 135,000 134,925
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 95,000 93,496
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 85,000 84,953
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 10,000 10,874
Crown Castle International Corp. sr. unsec. notes 4.75%, 5/15/47(R) 25,000 25,542
Crown Castle Towers, LLC 144A company guaranty sr. notes 4.883%, 8/15/20 105,000 111,224
Koninklijke KPN NV sr. unsec. unsub. bonds 8.375%, 10/1/30 (Netherlands) 10,000 13,906
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 6.40%, 4/30/40 55,000 74,159
Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada) 10,000 14,471
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) 35,000 36,870
Telecom Italia SpA 144A sr. unsec. notes 5.303%, 5/30/24 (Italy) 200,000 217,500
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045%, 6/20/36 (Spain) 10,000 13,290
Verizon Communications, Inc. sr. unsec. unsub. notes 4.522%, 9/15/48 40,000 38,727
Verizon Communications, Inc. sr. unsec. unsub. notes 4.125%, 3/16/27 60,000 62,605
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 80,000 83,176
1,879,210
Conglomerates (0.3%)
General Electric Co. jr. unsec. sub. FRB Ser. D, 5.00%, perpetual maturity 371,000 388,930
388,930
Consumer cyclicals (1.8%)
21st Century Fox America, Inc. company guaranty sr. unsec. notes 7.85%, 3/1/39 25,000 36,313
21st Century Fox America, Inc. company guaranty sr. unsec. notes 7.75%, 1/20/24 135,000 165,735
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 80,000 80,815
Amazon.com, Inc. 144A sr. unsec. bonds 4.05%, 8/22/47 115,000 117,199
Amazon.com, Inc. 144A sr. unsec. notes 3.15%, 8/22/27 95,000 95,678
Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25 30,000 31,699
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 92,000 98,234
CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 39,000 36,872
CBS Corp. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 125,000 127,177
CBS Corp. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/25 49,000 49,854
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 60,000 61,320
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/15/26 5,000 5,439
Ford Motor Co. sr. unsec. unsub. notes 4.346%, 12/8/26 100,000 103,958
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 35,000 35,063
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 47,000 48,527
Grupo Televisa SAB sr. unsec. unsub. bonds 6.625%, 1/15/40 (Mexico) 90,000 109,448
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. sub. notes 4.25%, 9/1/24 20,000 20,400
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 135,000 141,750
Historic TW, Inc. company guaranty sr. unsec. unsub. bonds 9.15%, 2/1/23 95,000 122,481
Host Hotels & Resorts LP sr. unsec. unsub. notes 6.00%, 10/1/21(R) 48,000 53,427
Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22(R) 22,000 23,941
Hyatt Hotels Corp. sr. unsec. unsub. notes 3.375%, 7/15/23 30,000 30,420
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 145,000 155,513
Lear Corp. sr. unsec. unsub. bonds 3.80%, 9/15/27 90,000 89,658
Moody's Corp. 144A sr. unsec. bonds 3.25%, 1/15/28 60,000 59,595
NVR, Inc. sr. unsec. notes 3.95%, 9/15/22 65,000 67,797
O'Reilly Automotive, Inc. company guaranty sr. unsec. notes 3.85%, 6/15/23 25,000 26,095
O'Reilly Automotive, Inc. company guaranty sr. unsec. sub. notes 3.55%, 3/15/26 45,000 45,105
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 55,000 55,445
Priceline Group, Inc. (The) sr. unsec. notes 3.65%, 3/15/25 16,000 16,478
QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24 50,000 51,781
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 52,000 56,029
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 125,000 127,656
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 130,000 135,525
Vulcan Materials Co. sr. unsec. unsub. notes 4.50%, 4/1/25 20,000 21,259
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 60,000 60,212
2,563,898
Consumer staples (1.4%)
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 4.90%, 2/1/46 250,000 282,392
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 3.65%, 2/1/26 25,000 25,863
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 200,000 206,000
Constellation Brands, Inc. company guaranty sr. unsec. unsub. bonds 3.70%, 12/6/26 25,000 25,570
CVS Pass-Through Trust 144A sr. mtge. notes 7.507%, 1/10/32 142,186 176,110
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 13,442 14,292
Diageo Investment Corp. company guaranty sr. unsec. notes 8.00%, 9/15/22 74,000 92,766
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 150,000 197,302
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 85,000 98,295
Kraft Heinz Co. (The) company guaranty sr. unsec. bonds 4.375%, 6/1/46 120,000 118,492
Kraft Heinz Co. (The) company guaranty sr. unsec. notes Ser. 144A, 6.875%, 1/26/39 55,000 70,660
Kraft Heinz Co. (The) company guaranty sr. unsec. unsub. notes 6.50%, 2/9/40 5,000 6,209
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 120,000 126,000
McDonald's Corp. sr. unsec. unsub. notes 5.70%, 2/1/39 90,000 109,697
McDonald's Corp. sr. unsec. unsub. notes Ser. MTN, 6.30%, 3/1/38 75,000 97,853
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 105,000 110,569
Tyson Foods, Inc. company guaranty sr. unsec. bonds 4.875%, 8/15/34 17,000 18,779
Tyson Foods, Inc. company guaranty sr. unsec. unsub. bonds 5.15%, 8/15/44 23,000 26,203
Walgreens Boots Alliance, Inc. sr. unsec. bonds 3.45%, 6/1/26 80,000 79,732
1,882,784
Energy (1.2%)
BP Capital Markets PLC company guaranty sr. unsec. bonds 3.119%, 5/4/26 (United Kingdom) 70,000 69,964
Canadian Natural Resources, Ltd. sr. unsec. unsub. bonds 3.85%, 6/1/27 (Canada) 50,000 50,617
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 51,000 58,714
Cenovus Energy, Inc. 144A sr. unsec. notes 4.25%, 4/15/27 (Canada) 80,000 79,319
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. bonds 5.125%, 6/30/27 65,000 66,950
Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 135,000 135,601
DCP Midstream Operating LP company guaranty sr. unsec. notes 3.875%, 3/15/23 18,000 17,640
DCP Midstream Operating LP company guaranty sr. unsec. notes 2.70%, 4/1/19 20,000 19,900
Devon Energy Corp. sr. unsec. unsub. notes 3.25%, 5/15/22 28,000 28,331
EOG Resources, Inc. sr. unsec. unsub. notes 5.625%, 6/1/19 30,000 31,728
EQT Corp. sr. unsec. unsub. notes 3.90%, 10/1/27 110,000 110,019
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 55,000 64,352
Marathon Petroleum Corp. sr. unsec. unsub. notes 6.50%, 3/1/41 25,000 30,083
MPLX LP sr. unsec. unsub. notes 4.125%, 3/1/27 70,000 71,272
Nabors Industries, Inc. company guaranty sr. unsec. unsub. notes 4.625%, 9/15/21 65,000 63,765
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 39,000 38,934
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 30,000 30,242
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 135,000 143,988
Statoil ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) 70,000 81,391
Tosco Corp. company guaranty sr. unsec. notes 8.125%, 2/15/30 72,000 99,149
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 135,000 138,206
Valero Energy Partners LP sr. unsec. unsub. notes 4.375%, 12/15/26 21,000 21,671
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 107,000 112,469
Williams Partners LP sr. unsec. sub. notes 3.60%, 3/15/22 25,000 25,830
Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes 4.875%, 3/15/24 35,000 36,630
1,626,765
Financials (5.0%)
Aflac, Inc. sr. unsec. notes 6.45%, 8/15/40 14,000 18,489
Air Lease Corp. sr. unsec. unsub. notes 3.625%, 4/1/27 25,000 25,017
Air Lease Corp. sr. unsec. unsub. notes 3.00%, 9/15/23 115,000 114,721
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 75,000 81,315
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 114,000 155,325
Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 200,000 197,431
Aviation Capital Group Corp. 144A sr. unsec. unsub. notes 7.125%, 10/15/20 35,000 39,553
AXA SA 144A jr. unsec. sub. FRN 6.463%, perpetual maturity (France) 75,000 76,781
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 32,000 35,000
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 150,000 185,740
Barclays Bank PLC 144A unsec. sub. notes 10.179%, 6/12/21 (United Kingdom) 80,000 99,074
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 73,000 79,638
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 10,000 10,489
BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France) 200,000 215,582
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 110,000 123,853
Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 80,000 82,208
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 27,000 29,597
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 73,000 78,686
Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95%, perpetual maturity 64,000 69,200
Citigroup, Inc. jr. unsec. sub. FRN 5.875%, perpetual maturity 23,000 23,949
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 245,000 266,703
Citigroup, Inc. unsec. sub. bonds 4.125%, 7/25/28 40,000 41,158
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 40,000 42,700
Cooperatieve Rabobank UA 144A jr. unsec. sub. FRN 11.00%, perpetual maturity (Netherlands) 150,000 169,500
Credit Suisse Group AG 144A sr. unsec. bonds 4.282%, 1/9/28 (Switzerland) 280,000 291,653
Duke Realty LP company guaranty sr. unsec. unsub. notes 4.375%, 6/15/22(R) 122,000 130,358
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 35,000 36,127
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 29,000 29,725
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 240,000 245,199
Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 6.625%, 3/30/40 238,000 323,713
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes 3.875%, 5/1/25(R) 60,000 60,488
Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25(R) 30,000 30,831
HSBC Holdings PLC unsec. sub. notes 6.50%, 5/2/36 (United Kingdom) 200,000 260,519
ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) 200,000 227,763
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity 145,000 151,163
JPMorgan Chase & Co. sr. unsec. notes Ser. MTN, 2.295%, 8/15/21 35,000 34,973
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20 60,000 66,878
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 26,000 32,825
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697%, 10/15/97 100,000 141,318
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. notes 8.875%, 6/1/39 155,000 251,390
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 400,000 536,000
Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23(R) 30,000 31,801
Nationwide Mutual Insurance Co. 144A unsec. sub. notes 8.25%, 12/1/31 60,000 85,756
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 35,000 33,721
OneAmerica Financial Partners, Inc. 144A sr. unsec. notes 7.00%, 10/15/33 56,000 71,090
Pacific LifeCorp 144A sr. unsec. notes 6.00%, 2/10/20 30,000 32,381
Primerica, Inc. sr. unsec. notes 4.75%, 7/15/22 33,000 35,772
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 35,000 38,266
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 137,000 145,508
Prudential Financial, Inc. sr. unsec. notes 6.625%, 6/21/40 35,000 47,128
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 45,000 48,181
Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom) 265,000 285,616
Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 40,000 55,175
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 68,000 67,710
UBS AG unsec. sub. notes 5.125%, 5/15/24 (Switzerland) 360,000 383,807
VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R) 90,000 94,495
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 65,000 72,394
Willis Towers Watson PLC company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 110,000 120,878
WP Carey, Inc. sr. unsec. unsub. notes 4.60%, 4/1/24(R) 135,000 141,430
6,903,741
Government (0.5%)
International Bank for Reconstruction & Development sr. unsec. unsub. bonds 7.625%, 1/19/23 (Supra-Nation) 500,000 634,179
634,179
Health care (0.5%)
AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25 10,000 10,368
Allergan Funding SCS company guaranty sr. unsec. notes 4.75%, 3/15/45 (Luxembourg) 4,000 4,328
Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 5,000 5,185
Anthem, Inc. sr. unsec. unsub. notes 4.625%, 5/15/42 30,000 32,503
Becton Dickinson and Co. sr. unsec. unsub. bonds 4.669%, 6/6/47 129,000 135,334
Becton Dickinson and Co. sr. unsec. unsub. bonds 3.70%, 6/6/27 111,000 112,231
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 55,000 59,263
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 30,000 31,088
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 10,000 10,650
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R) 20,000 19,975
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 70,000 73,380
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 100,000 98,604
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) 70,000 69,564
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. bonds 3.15%, 10/1/26 (Netherlands) 54,000 49,772
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.625%, 11/15/41 34,000 37,916
750,161
Technology (0.6%)
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 65,000 70,631
Broadcom Corp./Broadcom Cayman Finance, Ltd. 144A company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 118,000 121,536
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 86,000 95,015
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 28,000 35,961
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 129,000 141,178
Jabil Circuit, Inc. sr. unsec. sub. notes 8.25%, 3/15/18 20,000 20,489
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 95,000 91,823
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 205,000 201,365
VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 60,000 60,653
838,651
Transportation (0.3%)
Burlington Northern Santa Fe, LLC sr. unsec. notes 5.40%, 6/1/41 85,000 102,874
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes 5.75%, 5/1/40 40,000 50,797
Continental Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 97-4, Class A, 6.90%, 1/2/18 667 669
Norfolk Southern Corp. 144A sr. unsec. unsub. bonds 4.05%, 8/15/52 79,000 77,376
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 56,000 55,318
Southwest Airlines Co. Pass Through Trust pass-through certificates Ser. 07-1, Class A, 6.15%, 8/1/22 72,055 79,029
United Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 14-2, Class A, 3.75%, 9/3/26 17,706 18,350
384,413
Utilities and power (1.3%)
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 60,000 61,500
Appalachian Power Co. sr. unsec. unsub. notes Ser. L, 5.80%, 10/1/35 55,000 66,130
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. notes 4.45%, 7/15/27 30,000 30,546
Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33 15,000 18,252
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 35,000 37,139
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 75,000 96,390
Emera US Finance LP company guaranty sr. unsec. notes 3.55%, 6/15/26 45,000 45,303
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 55,000 57,844
Energy Transfer Partners LP sr. unsec. unsub. notes 7.60%, 2/1/24 30,000 35,162
Energy Transfer Partners LP sr. unsec. unsub. notes 6.50%, 2/1/42 117,000 132,841
Energy Transfer Partners LP sr. unsec. unsub. notes 5.20%, 2/1/22 35,000 37,854
FirstEnergy Corp. sr. unsec. unsub. bonds Ser. B, 3.90%, 7/15/27 4,000 4,062
FirstEnergy Corp. sr. unsec. unsub. bonds Ser. C, 4.85%, 7/15/47 6,000 6,297
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 140,000 162,618
Iberdrola International BV company guaranty sr. unsec. unsub. bonds 6.75%, 7/15/36 (Spain) 30,000 39,270
IPALCO Enterprises, Inc. 144A sr. notes 3.70%, 9/1/24 35,000 35,086
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 16,000 16,634
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 3.50%, 3/1/21 40,000 40,944
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 70,000 70,378
MidAmerican Funding, LLC sr. bonds 6.927%, 3/1/29 10,000 13,154
Oncor Electric Delivery Co., LLC sr. notes 7.00%, 9/1/22 55,000 65,899
Oncor Electric Delivery Co., LLC sr. notes 4.10%, 6/1/22 60,000 63,964
Pacific Gas & Electric Co. sr. unsec. notes 6.35%, 2/15/38 55,000 74,343
Pacific Gas & Electric Co. sr. unsec. unsub. notes 5.80%, 3/1/37 30,000 38,148
Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974%, 6/1/67 99,000 96,525
Texas Gas Transmission, LLC 144A sr. unsec. notes 4.50%, 2/1/21 65,000 67,708
Texas-New Mexico Power Co. 144A 1st sr. bonds Ser. A, 9.50%, 4/1/19 135,000 149,159
WEC Energy Group jr. unsec. sub. FRN BBA LIBOR USD 3 Month + 2.112%, 3.428%, 5/15/67 300,000 287,997
1,851,147
Total corporate bonds and notes (cost $20,059,328) $21,553,805

  
MORTGAGE-BACKED SECURITIES (0.8%)(a)
Principal amount Value
Citigroup Commercial Mortgage Trust
     Ser. 14-GC21, Class C, 4.78%, 5/10/47(WAC) $124,000 $125,977
     Ser. 14-GC21, Class AS, 4.026%, 5/10/47 93,000 96,552
COMM Mortgage Trust
     FRB Ser. 14-UBS6, Class C, 4.614%, 12/10/47(WAC) 68,000 66,602
     Ser. 13-CR13, Class AM, 4.449%, 11/12/46(WAC) 100,000 107,414
Federal National Mortgage Association Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M1, 1 Month US LIBOR + 1.35%, 2.587%, 1/25/29 21,024 21,133
FIRSTPLUS Home Loan Owner Trust Ser. 97-3, Class B1, 7.79%, 11/10/23 (In default)(NON) 14,822 1
GS Mortgage Securities Trust FRB Ser. 14-GC22, Class C, 4.801%, 6/10/47(WAC) 93,000 97,099
GS Mortgage Securities Trust 144A FRB Ser. 11-GC5, Class C, 5.565%, 8/10/44(WAC) 100,000 107,435
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41%, 6/15/31 11,042 11,207
Morgan Stanley Bank of America Merrill Lynch Trust FRB Ser. 13-C11, Class C, 4.515%, 8/15/46(WAC) 77,000 73,824
Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class D, 5.601%, 3/15/45(WAC) 217,000 222,415
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 225,659 15,796
WF-RBS Commercial Mortgage Trust
     Ser. 14-C19, Class C, 4.646%, 3/15/47(WAC) 24,000 25,104
     Ser. 13-UBS1, Class AS, 4.306%, 3/15/46(WAC) 101,000 107,417
WF-RBS Commercial Mortgage Trust 144A FRB Ser. 11-C3, Class D, 5.813%, 3/15/44(WAC) 82,000 78,944
Total mortgage-backed securities (cost $1,250,309) $1,156,920

  
INVESTMENT COMPANIES (0.6%)(a)
Shares Value
SPDR S&P Regional Banking ETF(S) 13,664 $775,569
Total investment companies (cost $768,609) $775,569

  
MUNICIPAL BONDS AND NOTES (0.1%)(a)
Principal amount Value
CA State G.O. Bonds (Build America Bonds), 7.50%, 4/1/34 $30,000 $43,618
North TX, Tollway Auth. Rev. Bonds (Build America Bonds), 6.718%, 1/1/49 55,000 81,660
OH State U. Rev. Bonds (Build America Bonds), 4.91%, 6/1/40 40,000 47,920
Total municipal bonds and notes (cost $125,182) $173,198

  
CONVERTIBLE PREFERRED STOCKS (0.1%)(a)
Shares Value
Oportun Financial Corp. Ser. A-1, zero % cv. pfd. (acquired 6/23/15, cost $117) (Private)(F)(RES)(NON) 41 $99
Oportun Financial Corp. Ser. B-1, zero % cv. pfd. (acquired 6/23/15, cost $2,211) (Private)(F)(RES)(NON) 702 1,873
Oportun Financial Corp. Ser. C-1, zero % cv. pfd. (acquired 6/23/15, cost $5,197) (Private)(F)(RES)(NON) 1,021 4,402
Oportun Financial Corp. Ser. D-1, zero % cv. pfd. (acquired 6/23/15, cost $7,538) (Private)(F)(RES)(NON) 1,481 6,386
Oportun Financial Corp. Ser. E-1, zero % cv. pfd. (acquired 6/23/15, cost $4,227) (Private)(F)(RES)(NON) 770 3,581
Oportun Financial Corp. Ser. F, zero % cv. pfd. (acquired 6/23/15, cost $12,764) (Private)(F)(RES)(NON) 1,662 10,813
Oportun Financial Corp. Ser. F-1, zero % cv. pfd. (acquired 6/23/15, cost $35,793) (Private)(F)(RES)(NON) 12,559 30,321
Oportun Financial Corp. Ser. G, zero % cv. pfd. (acquired 6/23/15, cost $45,261) (Private)(F)(RES)(NON) 15,881 38,342
Oportun Financial Corp. Ser. H, 8.00% cv. pfd. (acquired 2/6/15, cost $72,763) (Private)(F)(RES)(NON) 25,555 61,639
Total convertible preferred stocks (cost $185,871) $157,456

  
PURCHASED OPTIONS OUTSTANDING (0.0%)(a)
Counterparty Expiration date/strike price Notional amount Contract amount Value
Bank of America N.A.
    General Electric Co. (Call) Dec-17/27.00 $526,785 21,786 $1,931
Barclays Bank PLC
    General Electric Co. (Call) Dec-17/26.00 588,179 $24,325 5,129
Total purchased options outstanding (cost $14,180) $7,060

  
SHORT-TERM INVESTMENTS (13.4%)(a)
Shares Value
Putnam Short Term Investment Fund 1.17%(AFF) 14,771,945 $14,771,945
Putnam Cash Collateral Pool, LLC 1.25%(AFF) 3,910,400 3,910,400
Total short-term investments (cost $18,682,345) $18,682,345

TOTAL INVESTMENTS
Total investments (cost $153,534,541)(b) $166,341,983













FORWARD CURRENCY CONTRACTS at 9/30/17 (aggregate face value $4,305,844) (Unaudited)


CounterpartyCurrencyContract type*Delivery date Value Aggregate
face value		 Unrealized appreciation/
(depreciation)
Bank of America N.A.
British Pound Sell 12/20/17 $99,667 $90,626 $(9,041)
Canadian Dollar Sell 10/18/17 327,107 314,984 (12,123)
Barclays Bank PLC
Canadian Dollar Sell 10/18/17 442,689 426,407 (16,282)
Citibank, N.A.
Euro Sell 12/20/17 1,372,341 1,383,370 11,029
Credit Suisse International
British Pound Sell 12/20/17 754,080 731,493 (22,587)
Goldman Sachs International
Euro Buy 12/20/17 13,176 16,643 (3,467)
Japanese Yen Sell 11/15/17 409,205 418,092 8,887
JPMorgan Chase Bank N.A.
Canadian Dollar Sell 10/18/17 306,427 288,247 (18,180)
State Street Bank and Trust Co.
British Pound Sell 12/20/17 153,663 148,937 (4,726)
Canadian Dollar Sell 10/18/17 241,182 232,305 (8,877)
UBS AG
Euro Sell 12/20/17 237,053 239,066 2,013
WestPac Banking Corp.
Canadian Dollar Sell 10/18/17 16,271 15,674 (597)
Unrealized appreciation 21,929
Unrealized depreciation (95,880)
Total $(73,951)

* The exchange currency for all contracts listed is the United States Dollar.












  FUTURES CONTRACTS OUTSTANDING at 9/30/17 (Unaudited)
           
     
    Number of contracts Notional amount Value     Expiration date Unrealized appreciation/
(depreciation)
             
  S&P 500 Index E-Mini (Long) 3  $377,904  $377,415     Dec-17 $2,296
  Unrealized appreciation         2,296
  Unrealized depreciation         —
  Total         $2,296












TBA SALE COMMITMENTS OUTSTANDING at 9/30/17 (proceeds receivable $12,546,523) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal National Mortgage Association, 4.50%, 10/1/47 $4,000,000       10/12/17 $4,293,125
Federal National Mortgage Association, 4.00%, 10/1/47 2,000,000       10/12/17 2,105,469
Federal National Mortgage Association, 3.50%, 10/1/47 4,000,000       10/12/17 4,123,437
Federal National Mortgage Association, 3.00%, 10/1/47 2,000,000       10/12/17 2,006,250
Total $12,528,281












Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
DAC Designated Activity Company
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
FRN Floating Rate Notes: the rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
GMTN Global Medium Term Notes
G.O. Bonds General Obligation Bonds
MTN Medium Term Notes
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from January 1, 2017 through September 30, 2017 (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 $139,327,345.
(NON) This security is non-income-producing.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $257,492, or 0.2% of net assets.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value as of 12/31/16 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 9/30/17
Short-term investments
Putnam Cash Collateral Pool, LLC*# $1,689,250 $25,894,267 $23,673,117 $16,830 $3,910,400
Putnam Short Term Investment Fund** 11,832,962 25,450,537 22,511,554 91,269 14,771,945
Total Short-term investments $13,522,212 $51,344,804 $46,184,671 $108,099 $18,682,345
* No management fees are charged to Putnam Cash Collateral Pool, LLC. There were no realized or unrealized gains or losses during the period.
# The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund's agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund received cash collateral of $3,910,400, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $3,847,690.

** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.

 

(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $40,507.
(FWC) Forward commitment, in part or in entirety.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(R) Real Estate Investment Trust.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $13,646,421 to cover certain derivative contracts and delayed delivery securities.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown 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 (*** (ask price for when-issued securities sold, if any) ***)and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates, for hedging treasury term structure risk, for yield curve positioning and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used tohedge foreign exchange risk.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund's custodian and identified in the fund's portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund's net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund's net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty's long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund's counterparties to elect early termination could impact the fund's future derivative activity.
At the close of the reporting period, the fund had a net liability position of $85,353 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 $3,607,605 $161,153 $—
    Capital goods 5,718,661 333,250 —
    Communication services 3,509,697 — —
    Conglomerates 1,122,243 — —
    Consumer cyclicals 8,463,392 — —
    Consumer staples 7,810,216 — 64,142
    Energy 4,812,062 — —
    Financials 12,609,329 — 35,894
    Health care 10,711,589 — —
    Technology 18,526,391 1,053,142 —
    Transportation 1,000,699 — —
    Utilities and power 2,830,611 — —
Total common stocks 80,722,495 1,547,545 100,036
Convertible preferred stocks — — 157,456
Corporate bonds and notes — 21,553,805 —
Investment companies 775,569 — —
Mortgage-backed securities — 1,156,920 —
Municipal bonds and notes — 173,198 —
Purchased options outstanding — 7,060 —
U.S. government and agency mortgage obligations — 24,419,927 —
U.S. treasury obligations — 17,045,627 —
Short-term investments 14,771,945 3,910,400 —
Totals by level $96,270,009 $69,814,482 $257,492



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(73,951) $—
Futures contracts 2,296 — —
TBA sale commitments — (12,528,281) —
Totals by level $2,296 $(12,602,232) $—
* 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 (other than certain transfers involving non-U.S. equity securities as described in Note 1), did not represent, in the aggregate, more than 1% of the fund's net assets measured as of the end of the period. Transfers are accounted for using the end of period pricing valuation method.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.

Fair Value of Derivative Instruments as of the close of the reporting period
Asset derivatives Liability derivatives
Derivatives not accounted for as hedging instruments under ASC 815 Fair value Fair value
Foreign exchange contracts $21,929 $95,880
Equity contracts 9,356 —
Interest rate contracts — —
Total $31,285 $95,880

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:
Purchased equity option contracts (contract amount)$14,000
Futures contracts (number of contracts)3
Forward currency contracts (contract amount)$5,800,000

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



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, 2017

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, 2017

By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer
Date: November 28, 2017