N-Q 1 a_vtincome.htm PUTNAM VARIABLE TRUST a_vtincome.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:













Putnam VT Income Fund

The fund's portfolio
9/30/17 (Unaudited)
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (73.5%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (10.7%)
Government National Mortgage Association Pass-Through Certificates
     5.00%, TBA, 10/1/47 $3,000,000 $3,213,281
     4.50%, TBA, 10/1/47 3,000,000 3,198,281
     4.00%, TBA, 10/1/47 10,000,000 10,529,688
3.50%, 04/20/46(i) 108,219 112,925
     3.50%, with due dates from 6/20/45 to 7/20/47 4,435,090 4,630,167
     3.50%, TBA, 10/1/47 1,000,000 1,039,609
     3.00%, TBA, 10/1/47 4,000,000 4,055,938
26,779,889
U.S. Government Agency Mortgage Obligations (62.8%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates
     4.50%, with due dates from 7/1/44 to 3/1/45 1,030,677 1,118,413
     4.00%, 9/1/45 1,584,336 1,680,795
     3.50%, with due dates from 8/1/43 to 1/1/47 5,274,597 5,469,603
     3.00%, with due dates from 3/1/43 to 6/1/46 1,540,747 1,552,874
Federal National Mortgage Association Pass-Through Certificates
     6.00%, TBA, 10/1/47 2,000,000 2,251,585
     5.50%, TBA, 10/1/47 2,000,000 2,213,125
     5.00%, 3/1/38 14,917 16,393
     4.50%, with due dates from 7/1/44 to 5/1/45 1,840,410 2,007,682
     4.50%, TBA, 11/1/47 4,000,000 4,288,281
     4.50%, TBA, 10/1/47 7,000,000 7,512,968
     4.00%, with due dates from 9/1/45 to 6/1/46 2,460,294 2,603,314
     4.00%, TBA, 10/1/47 7,000,000 7,369,141
     3.50%, with due dates from 7/1/43 to 6/1/56 8,820,490 9,122,384
     3.50%, TBA, 11/1/47 29,000,000 29,841,679
     3.50%, TBA, 10/1/47 31,000,000 31,956,641
     3.00%, with due dates from 9/1/42 to 3/1/47 5,740,302 5,783,831
     3.00%, TBA, 11/1/47 17,000,000 17,026,563
     3.00%, TBA, 10/1/47 17,000,000 17,053,125
     2.50%, TBA, 10/1/47 8,000,000 7,743,125
156,611,522
Total U.S. government and agency mortgage obligations (cost $183,870,321) $183,391,411

U.S. TREASURY OBLIGATIONS (0.1%)(a)
Principal amount Value
U.S. Treasury Notes 2.00%, 9/30/20(SEGSF)(SEGCCS) $132,000 $133,403
Total U.S. treasury obligations (cost $131,963) $133,403

MORTGAGE-BACKED SECURITIES (45.5%)(a)
Principal amount Value
Agency collateralized mortgage obligations (17.9%)
Federal Home Loan Mortgage Corporation
     IFB Ser. 3408, Class EK (-4.024 x 1 Month US LIBOR) + 25.793%, 20.826%, 4/15/37 $235,369 $360,701
     IFB Ser. 2976, Class LC (-3.667 x 1 Month US LIBOR) + 24.42%, 19.894%, 5/15/35 35,684 52,014
     IFB Ser. 3072, Class SM (-3.667 x 1 Month US LIBOR) + 23.796%, 19.27%, 11/15/35 164,861 238,780
     IFB Ser. 3065, Class DC (-3 x 1 Month US LIBOR) + 19.86%, 16.157%, 3/15/35 331,056 477,598
     IFB Ser. 2990, Class LB (-2.556 x 1 Month US LIBOR) + 16.945%, 13.791%, 6/15/34 190,070 226,900
     IFB Ser. 4074, Class KS, IO (-1 x 1 Month US LIBOR) + 6.70%, 5.466%, 2/15/41 1,596,326 251,421
     Structured Agency Credit Risk Debt FRN Ser. 15-DN1, Class M3, 1 Month US LIBOR + 4.15%, 5.387%, 1/25/25 2,190,000 2,353,123
     IFB Ser. 3852, Class NT (-1 x 1 Month US LIBOR) + 6.00%, 4.766%, 5/15/41 425,957 422,945
     Ser. 4601, Class PI, IO, 4.50%, 12/15/45 1,834,138 292,642
     Ser. 4132, Class IP, IO, 4.50%, 11/15/42 1,372,717 210,992
     Ser. 4122, Class TI, IO, 4.50%, 10/15/42 590,480 111,779
     Ser. 4018, Class DI, IO, 4.50%, 7/15/41 652,804 91,226
     Ser. 3707, Class PI, IO, 4.50%, 7/15/25 365,951 25,586
     Ser. 4546, Class TI, IO, 4.00%, 12/15/45 2,059,962 324,444
     Ser. 4500, Class GI, IO, 4.00%, 8/15/45 1,359,566 247,115
     Ser. 4116, Class MI, IO, 4.00%, 10/1/42 1,501,235 283,313
     Structured Agency Credit Risk Debt FRN Ser. 14-HQ3, Class M2, IO, 1 Month US LIBOR + 2.65%, 3.887%, 10/25/24 35,136 35,276
     Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class M2, 1 Month US LIBOR + 2.60%, 3.837%, 12/25/27 377,660 387,570
     Ser. 4165, Class AI, IO, 3.50%, 2/15/43 1,793,630 293,994
     Ser. 4663, Class KI, IO, 3.50%, 11/15/42 3,643,228 403,743
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M2, 1 Month US LIBOR + 2.20%, 3.437%, 10/25/28 374,000 379,195
     Ser. 4182, Class GI, IO, 3.00%, 1/15/43 2,889,268 226,877
     Ser. 4141, Class PI, IO, 3.00%, 12/15/42 1,541,825 176,477
     Ser. 4158, Class TI, IO, 3.00%, 12/15/42 3,597,517 367,774
     Ser. 4176, Class DI, IO, 3.00%, 12/15/42 3,482,970 362,612
     Ser. 4183, Class MI, IO, 3.00%, 2/15/42 1,392,707 128,825
     Ser. 4206, Class IP, IO, 3.00%, 12/15/41 1,410,410 143,838
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M1, 1 Month US LIBOR + 1.25%, 2.487%, 10/25/28 162,030 162,168
     Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M1, 1 Month US LIBOR + 1.20%, 2.437%, 11/25/28 340,001 340,373
     Ser. 315, PO, zero %, 9/15/43 2,381,500 1,963,725
     Ser. 3835, Class FO, PO, zero %, 4/15/41 1,313,627 1,138,883
     Ser. 3369, Class BO, PO, zero %, 9/15/37 6,276 5,255
     Ser. 3391, PO, zero %, 4/15/37 38,885 33,230
     Ser. 3300, PO, zero %, 2/15/37 51,793 44,947
     Ser. 3175, Class MO, PO, zero %, 6/15/36 11,171 9,402
     Ser. 3210, PO, zero %, 5/15/36 18,869 17,198
     Ser. 3326, Class WF, zero %, 10/15/35(WAC) 6,314 4,744
     FRB Ser. 3117, Class AF, zero %, 2/15/36 6,879 5,240
Federal National Mortgage Association
     IFB Ser. 06-62, Class PS (-6 x 1 Month US LIBOR) + 39.90%, 32.477%, 7/25/36 145,337 263,914
     IFB Ser. 06-8, Class HP (-3.667 x 1 Month US LIBOR) + 24.566%, 20.03%, 3/25/36 205,393 315,783
     IFB Ser. 07-53, Class SP (-3.667 x 1 Month US LIBOR) + 24.20%, 19.664%, 6/25/37 143,199 210,313
     IFB Ser. 05-122, Class SE (-3.5 x 1 Month US LIBOR) + 23.10%, 18.77%, 11/25/35 269,844 363,198
     IFB Ser. 05-75, Class GS (-3 x 1 Month US LIBOR) + 20.25%, 16.538%, 8/25/35 138,212 179,463
     IFB Ser. 05-106, Class JC (-3.101 x 1 Month US LIBOR) + 20.124%, 16.288%, 12/25/35 173,017 252,857
     IFB Ser. 05-83, Class QP (-2.6 x 1 Month US LIBOR) + 17.394%, 14.177%, 11/25/34 42,696 51,868
     IFB Ser. 11-4, Class CS (-2 x 1 Month US LIBOR) + 12.90%, 10.426%, 5/25/40 207,956 239,351
     Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, 1 Month US LIBOR + 4.90%, 6.137%, 11/25/24 458,601 519,061
     IFB Ser. 10-35, Class SG, IO (-1 x 1 Month US LIBOR) + 6.40%, 5.163%, 4/25/40 918,245 179,058
     Ser. 17-2, Class KI, IO, 4.00%, 2/25/47 2,580,958 423,742
     Ser. 15-3, Class BI, IO, 4.00%, 3/25/44 1,431,115 164,120
     Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 3,744,552 667,796
     Ser. 12-118, Class PI, IO, 4.00%, 6/25/42 1,342,332 227,166
     Ser. 12-62, Class EI, IO, 4.00%, 4/25/41 1,941,997 252,994
     Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 1,430,152 193,450
     Ser. 13-18, Class IN, IO, 3.50%, 3/25/43 1,140,191 155,342
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M1, 1 Month US LIBOR + 2.00%, 3.237%, 10/25/28 1,553,276 1,579,173
     Ser. 13-55, Class IK, IO, 3.00%, 4/25/43 1,231,823 130,421
     Ser. 12-144, Class KI, IO, 3.00%, 11/25/42 3,897,709 377,240
     Ser. 13-55, Class PI, IO, 3.00%, 5/25/42 1,871,459 154,096
     Ser. 13-67, Class IP, IO, 3.00%, 2/25/42 2,172,407 165,711
     Ser. 13-30, Class IP, IO, 3.00%, 10/25/41 1,180,518 76,616
     Ser. 13-23, Class LI, IO, 3.00%, 6/25/41 1,360,016 85,839
     Ser. 14-28, Class AI, IO, 3.00%, 3/25/40 2,984,313 315,114
     Connecticut Avenue Securities FRB Ser. 14-C03, Class 1M1, 1 Month US LIBOR + 1.20%, 2.437%, 7/25/24 5,203 5,203
     Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M1, 1 Month US LIBOR + 1.20%, 2.437%, 7/25/24 4,265 4,266
     Ser. 07-64, Class LO, PO, zero %, 7/25/37 18,453 17,052
     Ser. 372, Class 1, PO, zero %, 8/25/36 28,056 25,302
Government National Mortgage Association
     Ser. 09-79, Class IC, IO, 6.00%, 8/20/39 1,331,894 251,608
     Ser. 17-38, Class DI, IO, 5.00%, 3/16/47 1,101,244 228,035
     Ser. 15-35, Class AI, IO, 5.00%, 3/16/45 1,633,108 334,787
     Ser. 14-76, IO, 5.00%, 5/20/44 975,586 189,059
     Ser. 14-25, Class QI, IO, 5.00%, 1/20/44 1,426,938 277,917
     Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 810,034 170,502
     Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 58,522 4,256
     Ser. 13-16, Class IB, IO, 5.00%, 10/20/40 142,043 10,602
     Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 523,803 109,436
     Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 4,133,358 910,670
     Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 2,178,411 458,054
     IFB Ser. 13-129, Class SN, IO (-1 x 1 Month US LIBOR) + 6.15%, 4.914%, 9/20/43 633,438 98,576
     IFB Ser. 11-17, Class S, IO (-1 x 1 Month US LIBOR) + 6.05%, 4.814%, 2/20/41 2,505,119 396,613
     Ser. 17-132, Class IA, IO, 4.50%, 9/20/47 1,398,000 265,620
     Ser. 14-108, Class IP, IO, 4.50%, 12/20/42 470,143 74,931
     Ser. 12-129, IO, 4.50%, 11/16/42 976,850 222,732
     Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 827,491 156,139
     Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 816,106 155,284
     Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 889,223 204,521
     Ser. 11-116, Class IA, IO, 4.50%, 10/20/39 604,046 54,388
     Ser. 13-34, Class PI, IO, 4.50%, 8/20/39 1,497,808 159,966
     Ser. 15-149, Class KI, IO, 4.00%, 10/20/45 2,251,411 382,560
     Ser. 15-94, IO, 4.00%, 7/20/45 370,608 83,177
     Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 625,397 110,947
     Ser. 15-60, Class IP, IO, 4.00%, 4/20/45 2,124,593 387,908
     Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 2,023,507 430,606
     Ser. 17-45, Class IM, IO, 4.00%, 10/20/44 1,875,279 307,077
     Ser. 14-2, Class IL, IO, 4.00%, 1/16/44 2,448,337 436,783
     Ser. 14-63, Class PI, IO, 4.00%, 7/20/43 1,071,073 150,293
     Ser. 15-52, Class IE, IO, 4.00%, 1/16/43 1,097,844 177,044
     Ser. 13-4, Class IC, IO, 4.00%, 9/20/42 1,322,240 295,001
     Ser. 12-56, Class IB, IO, 4.00%, 4/20/42 1,681,875 298,326
     Ser. 12-50, Class PI, IO, 4.00%, 12/20/41 1,066,746 163,458
     Ser. 14-4, Class IK, IO, 4.00%, 7/20/39 1,302,038 121,931
     Ser. 14-162, Class DI, IO, 4.00%, 11/20/38 1,138,455 83,361
     Ser. 16-111, Class IP, IO, 3.50%, 8/20/46 3,721,590 421,184
     Ser. 15-69, Class XI, IO, 3.50%, 5/20/45 1,690,270 224,617
     Ser. 15-77, Class DI, IO, 3.50%, 5/20/45 1,325,226 190,554
     Ser. 16-136, Class YI, IO, 3.50%, 3/20/45 2,523,909 334,418
     Ser. 17-6, Class DI, IO, 3.50%, 1/20/44 2,189,798 215,862
     Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 938,752 144,296
     Ser. 13-27, Class PI, IO, 3.50%, 12/20/42 1,184,417 180,813
     Ser. 12-136, IO, 3.50%, 11/20/42 1,823,221 369,746
     Ser. 12-113, Class ID, IO, 3.50%, 9/20/42 1,374,522 291,995
     Ser. 14-46, Class JI, IO, 3.50%, 10/20/41 1,231,416 164,251
     Ser. 13-18, Class GI, IO, 3.50%, 5/20/41 1,237,009 136,219
     Ser. 15-52, Class KI, IO, 3.50%, 11/20/40 2,093,806 277,115
     Ser. 12-48, Class KI, IO, 3.50%, 12/16/39 834,062 75,004
     Ser. 15-26, Class AI, IO, 3.50%, 5/20/39 2,878,742 280,856
     Ser. 14-100, Class JI, IO, 3.50%, 7/16/29 2,647,177 287,113
     Ser. 13-53, Class PI, IO, 3.00%, 4/20/41 1,966,157 214,980
     Ser. 13-23, Class IK, IO, 3.00%, 9/20/37 984,142 99,771
     Ser. 14-46, Class KI, IO, 3.00%, 6/20/36 930,269 71,659
     Ser. 16-H27, Class BI, IO, 2.344%, 12/20/66(WAC) 1,821,858 236,841
     Ser. 16-H23, Class NI, IO, 2.337%, 10/20/66(WAC) 7,281,050 940,712
     FRB Ser. 15-H16, Class XI, IO, 2.233%, 7/20/65(WAC) 1,842,838 207,872
     Ser. 17-H08, Class NI, IO, 2.218%, 3/20/67(WAC) 4,158,421 523,545
     Ser. 16-H24, Class JI, IO, 2.203%, 11/20/66(WAC) 1,444,843 181,508
     Ser. 17-H18, Class CI, IO, 2.202%, 9/20/67(WAC) 2,695,000 390,775
     Ser. 15-H13, Class AI, IO, 2.155%, 6/20/65(WAC) 4,719,598 483,759
     Ser. 16-H11, Class HI, IO, 2.083%, 1/20/66(WAC) 3,515,269 366,906
     Ser. 17-H12, Class QI, IO, 2.056%, 5/20/67(WAC) 3,520,041 468,165
     Ser. 15-H15, Class JI, IO, 1.944%, 6/20/65(WAC) 1,972,953 203,214
     Ser. 17-H09, Class DI, IO, 1.897%, 3/20/67(WAC) 3,994,527 406,962
     Ser. 15-H25, Class CI, IO, 1.897%, 10/20/65(WAC) 2,714,251 287,168
     Ser. 15-H12, Class AI, IO, 1.849%, 5/20/65(WAC) 3,196,851 319,324
     Ser. 16-H06, Class AI, IO, 1.845%, 2/20/66 4,320,266 429,434
     Ser. 15-H20, Class AI, IO, 1.824%, 8/20/65(WAC) 1,612,029 152,820
     Ser. 15-H10, Class CI, IO, 1.806%, 4/20/65(WAC) 1,920,490 197,611
     Ser. 15-H12, Class GI, IO, 1.789%, 5/20/65(WAC) 3,724,714 340,066
     Ser. 17-H10, Class MI, IO, 1.749%, 4/20/67(WAC) 3,996,830 418,468
     Ser. 16-H02, Class HI, IO, 1.718%, 1/20/66(WAC) 8,439,715 805,993
     Ser. 16-H04, Class KI, IO, 1.709%, 2/20/66(WAC) 3,668,890 302,683
     Ser. 15-H12, Class EI, IO, 1.691%, 4/20/65(WAC) 4,247,390 361,028
     Ser. 15-H04, Class AI, IO, 1.691%, 12/20/64(WAC) 3,936,002 369,000
     Ser. 15-H09, Class BI, IO, 1.687%, 3/20/65(WAC) 2,503,114 218,272
     Ser. 16-H14, IO, 1.67%, 6/20/66(WAC) 4,916,685 408,085
     Ser. 15-H01, Class CI, IO, 1.636%, 12/20/64(WAC) 3,025,188 186,654
     Ser. 15-H22, Class EI, IO, 1.617%, 8/20/65(WAC) 1,590,560 101,160
     Ser. 15-H17, Class CI, IO, 1.614%, 6/20/65(WAC) 3,187,136 196,328
     Ser. 15-H25, Class AI, IO, 1.612%, 9/20/65(WAC) 3,469,046 286,196
     Ser. 17-H14, Class EI, IO, 1.571%, 6/20/67(WAC) 5,417,368 470,634
     Ser. 15-H28, Class DI, IO, 1.547%, 8/20/65(WAC) 3,296,243 241,615
     Ser. 14-H08, Class CI, IO, 1.487%, 3/20/64(WAC) 3,863,769 241,486
     Ser. 14-H11, Class GI, IO, 1.484%, 6/20/64(WAC) 7,184,652 574,772
     Ser. 14-H07, Class BI, IO, 1.456%, 5/20/64(WAC) 6,541,833 535,613
     Ser. 10-H19, Class GI, IO, 1.407%, 8/20/60(WAC) 4,719,072 304,380
     Ser. 10-151, Class KO, PO, zero %, 6/16/37 137,558 117,209
     Ser. 06-36, Class OD, PO, zero %, 7/16/36 3,829 3,231
44,619,544
Commercial mortgage-backed securities (18.7%)
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.412%, 1/15/49(WAC) 919,157 3,708
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.252%, 2/10/51(WAC) 3,432,945 203
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-1, Class B, 5.688%, 11/10/42(WAC) 446,838 359,048
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A
     FRB Ser. 04-5, Class XC, IO, 0.568%, 11/10/41(WAC) 666,742 5,513
     FRB Ser. 04-4, Class XC, IO, 0.054%, 7/10/42(WAC) 214,093 80
     FRB Ser. 05-1, Class XW, IO, zero %, 11/10/42(WAC) 8,167,035 8
Bear Stearns Commercial Mortgage Securities Trust
     FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45(WAC) 679,000 664,884
     FRB Ser. 04-PR3I, Class X1, IO, 0.208%, 2/11/41(WAC) 38,453 62
Bear Stearns Commercial Mortgage Securities Trust 144A
     FRB Ser. 06-PW11, Class B, 5.286%, 3/11/39(WAC) 1,395,978 1,091,166
     FRB Ser. 06-PW14, Class X1, IO, 0.525%, 12/11/38(WAC) 745,821 17,422
Capmark Mortgage Securities, Inc. FRB Ser. 97-C1, Class X, IO, 1.607%, 7/15/29(WAC) 373,523 7,608
CD Commercial Mortgage Trust 144A FRB Ser. 07-CD4, Class XW, IO, 0.742%, 12/11/49(WAC) 533,783 53
CFCRE Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class D, 5.945%, 12/15/47(WAC) 241,000 253,513
     FRB Ser. 11-C2, Class E, 5.945%, 12/15/47(WAC) 597,000 602,571
Citigroup Commercial Mortgage Trust
     FRB Ser. 13-GC17, Class XA, IO, 1.581%, 11/10/46(WAC) 5,644,953 238,877
     FRB Ser. 14-GC19, Class XA, IO, 1.371%, 3/10/47(WAC) 14,567,037 921,219
Citigroup Commercial Mortgage Trust 144A
     FRB Ser. 14-GC21, Class D, 4.996%, 5/10/47(WAC) 965,000 859,191
     FRB Ser. 12-GC8, Class XA, IO, 1.979%, 9/10/45(WAC) 3,609,371 274,854
COBALT CMBS Commercial Mortgage Trust FRB Ser. 07-C3, Class AJ, 6.049%, 5/15/46(WAC) 472,355 479,450
COMM Mortgage Trust
     FRB Ser. 14-CR17, Class C, 4.895%, 5/10/47(WAC) 795,000 782,395
     FRB Ser. 14-UBS6, Class C, 4.614%, 12/10/47(WAC) 234,000 229,188
     FRB Ser. 12-CR1, Class XA, IO, 2.057%, 5/15/45(WAC) 3,319,738 235,726
     FRB Ser. 14-LC15, Class XA, IO, 1.498%, 4/10/47(WAC) 6,034,803 317,225
     FRB Ser. 14-CR19, Class XA, IO, 1.391%, 8/10/47(WAC) 8,972,482 471,800
     FRB Ser. 14-CR16, Class XA, IO, 1.345%, 4/10/47(WAC) 1,827,363 86,792
     FRB Ser. 14-UBS6, Class XA, IO, 1.175%, 12/10/47(WAC) 9,761,143 476,978
     FRB Ser. 13-CR11, Class XA, IO, 1.152%, 8/10/50(WAC) 9,336,768 451,809
COMM Mortgage Trust 144A
     Ser. 13-LC13, Class E, 3.719%, 8/10/46(WAC) 542,000 364,499
     Ser. 14-CR18, Class E, 3.60%, 7/15/47 775,000 492,420
     FRB Ser. 12-LC4, Class XA, IO, 2.384%, 12/10/44(WAC) 9,087,259 635,990
     FRB Ser. 06-C8, Class XS, IO, 0.851%, 12/10/46(WAC) 3,192,359 114
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.103%, 1/15/49(WAC) 4,459,404 178
Credit Suisse First Boston Mortgage Securities Corp. 144A Ser. 98-C1, Class F, 6.00%, 5/17/40 60,596 60,985
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.945%, 4/15/50(WAC) 798,000 699,248
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.345%, 8/10/44(WAC) 1,059,000 1,096,536
GE Capital Commercial Mortgage Corp. 144A FRB Ser. 05-C3, Class XC, IO, 0.113%, 7/10/45(WAC) 1,340,979 6
GE Commercial Mortgage Corp. Trust 144A FRB Ser. 07-C1, Class XC, IO, 0.438%, 12/10/49(WAC) 17,362,531 38,014
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 05-C1, Class X1, IO, 0.794%, 5/10/43(WAC) 1,678,671 5,188
GS Mortgage Securities Corp. II FRB Ser. 13-GC10, Class XA, IO, 1.593%, 2/10/46(WAC) 7,103,276 490,694
GS Mortgage Securities Corp. II 144A
     FRB Ser. 13-GC10, Class D, 4.41%, 2/10/46(WAC) 365,000 345,029
     FRB Ser. 13-GC10, Class E, 4.41%, 2/10/46(WAC) 538,000 421,017
GS Mortgage Securities Trust
     FRB Ser. 14-GC18, Class C, 5.109%, 1/10/47(WAC) 719,000 749,039
     FRB Ser. 13-GC12, Class XA, IO, 1.681%, 6/10/46(WAC) 4,455,660 266,876
     FRB Ser. 14-GC18, Class XA, IO, 1.287%, 1/10/47(WAC) 6,676,305 326,224
     FRB Ser. 14-GC22, Class XA, IO, 1.183%, 6/10/47(WAC) 19,260,442 942,259
     FRB Ser. 14-GC24, Class XA, IO, 0.975%, 9/10/47(WAC) 5,060,504 212,121
GS Mortgage Securities Trust 144A
     FRB Ser. 10-C1, Class D, 6.197%, 8/10/43(WAC) 288,000 305,726
     FRB Ser. 12-GC6, Class D, 5.841%, 1/10/45(WAC) 139,000 133,440
     FRB Ser. 11-GC3, Class D, 5.82%, 3/10/44(WAC) 321,000 327,490
     FRB Ser. 14-GC18, Class D, 5.109%, 1/10/47(WAC) 281,000 237,811
     FRB Ser. 13-GC12, Class D, 4.584%, 6/10/46(WAC) 256,000 228,321
     FRB Ser. 11-GC5, Class XA, IO, 1.521%, 8/10/44(WAC) 6,028,069 257,748
     FRB Ser. 06-GG6, Class XC, IO, zero %, 4/10/38(WAC) 237,629 2
JPMBB Commercial Mortgage Securities Trust
     FRB Ser. 13-C14, Class C, 4.721%, 8/15/46(WAC) 301,000 305,728
     FRB Ser. 14-C25, Class XA, IO, 1.121%, 11/15/47(WAC) 3,924,850 188,157
     FRB Ser. 14-C22, Class XA, IO, 1.08%, 9/15/47(WAC) 11,725,930 564,786
     FRB Ser. 13-C17, Class XA, IO, 1.043%, 1/15/47(WAC) 7,233,985 333,197
JPMBB Commercial Mortgage Securities Trust 144A
     FRB Ser. 13-C14, Class E, 4.721%, 8/15/46(WAC) 399,000 327,419
     FRB Ser. C14, Class D, 4.721%, 8/15/46(WAC) 828,000 730,966
     FRB Ser. 14-C26, Class D, 4.068%, 1/15/48(WAC) 508,000 410,043
     Ser. 14-C25, Class E, 3.332%, 11/15/47(WAC) 517,000 315,205
JPMorgan Chase Commercial Mortgage Securities Corp. FRB Ser. 12-LC9, Class XA, IO, 1.83%, 12/15/47(WAC) 5,925,971 394,610
JPMorgan Chase Commercial Mortgage Securities Corp. 144A FRB Ser. 12-LC9, Class D, 4.53%, 12/15/47(WAC) 127,000 130,302
JPMorgan Chase Commercial Mortgage Securities Trust
     FRB Ser. 07-CB20, Class AJ, 6.456%, 2/12/51(WAC) 1,100 1,100
     FRB Ser. 13-LC11, Class XA, IO, 1.481%, 4/15/46(WAC) 5,200,573 323,372
     FRB Ser. 13-C16, Class XA, IO, 1.278%, 12/15/46(WAC) 6,642,580 270,045
     FRB Ser. 06-LDP8, Class X, IO, 0.525%, 5/15/45(WAC) 667,857 11
     FRB Ser. 07-LDPX, Class X, IO, 0.323%, 1/15/49(WAC) 3,545,645 32,562
JPMorgan Chase Commercial Mortgage Securities Trust 144A
     FRB Ser. 07-CB20, Class B, 6.556%, 2/12/51(WAC) 157,000 158,601
     FRB Ser. 07-CB20, Class C, 6.556%, 2/12/51(WAC) 269,000 263,620
     FRB Ser. 10-C1, Class D, 6.401%, 6/15/43(WAC) 731,000 429,463
     FRB Ser. 11-C3, Class E, 5.802%, 2/15/46(WAC) 488,000 488,653
     FRB Ser. 11-C3, Class F, 5.802%, 2/15/46(WAC) 635,000 618,089
     FRB Ser. 11-C5, Class D, 5.588%, 8/15/46(WAC) 375,000 377,430
     FRB Ser. 12-C6, Class E, 5.307%, 5/15/45(WAC) 588,000 533,532
     FRB Ser. 12-C8, Class D, 4.807%, 10/15/45(WAC) 413,000 409,935
     FRB Ser. 13-LC11, Class E, 3.25%, 4/15/46(WAC) 498,000 352,172
     FRB Ser. 05-CB12, Class X1, IO, 0.429%, 9/12/37(WAC) 1,286,007 2,828
     FRB Ser. 06-LDP6, Class X1, IO, 0.006%, 4/15/43(WAC) 714,752 —
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41%, 6/15/31 63,087 64,033
LB-UBS Commercial Mortgage Trust
     FRB Ser. 06-C6, Class C, 5.482%, 9/15/39 (In default)(NON)(WAC) 571,000 51,259
     FRB Ser. 06-C6, Class B, 5.472%, 9/15/39 (In default)(NON)(WAC) 687,000 65,265
     FRB Ser. 07-C2, Class XW, IO, 0.455%, 2/15/40(WAC) 274,115 24
LB-UBS Commercial Mortgage Trust 144A
     FRB Ser. 05-C7, Class XCL, IO, 0.488%, 11/15/40(WAC) 1,802,521 9,720
     FRB Ser. 07-C2, Class XCL, IO, 0.455%, 2/15/40(WAC) 5,939,105 513
     FRB Ser. 05-C2, Class XCL, IO, 0.195%, 4/15/40(WAC) 927,525 60
LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class C, 3.328%, 4/20/48(WAC) 435,000 384,827
Merrill Lynch Mortgage Trust FRB Ser. 08-C1, Class AJ, 6.665%, 2/12/51(WAC) 207,000 209,484
Merrill Lynch Mortgage Trust 144A
     FRB Ser. 04-KEY2, Class XC, IO, 0.674%, 8/12/39(WAC) 289,014 1,636
     FRB Ser. 05-MCP1, Class XC, IO, 0.005%, 6/12/43(WAC) 727,830 —
Mezz Cap Commercial Mortgage Trust 144A
     FRB Ser. 04-C1, Class X, IO, 9.321%, 1/15/37(WAC) 24,962 874
     FRB Ser. 05-C3, Class X, IO, 7.156%, 5/15/44(WAC) 35,100 3,229
     FRB Ser. 06-C4, Class X, IO, 6.786%, 7/15/45(WAC) 105,965 4,768
ML-CFC Commercial Mortgage Trust 144A FRB Ser. 06-4, Class XC, IO, 0.707%, 12/12/49(WAC) 1,954,350 15,048
Morgan Stanley Bank of America Merrill Lynch Trust
     FRB Ser. 13-C7, Class XA, IO, 1.619%, 2/15/46(WAC) 9,876,483 597,458
     FRB Ser. 14-C17, Class XA, IO, 1.395%, 8/15/47(WAC) 4,972,525 257,129
     FRB Ser. 15-C25, Class XA, IO, 1.289%, 10/15/48(WAC) 3,667,051 247,390
     FRB Ser. 13-C12, Class XA, IO, 1.047%, 10/15/46(WAC) 9,649,850 277,156
Morgan Stanley Bank of America Merrill Lynch Trust 144A
     Ser. 14-C17, Class D, 4.854%, 8/15/47(WAC) 778,000 659,723
     FRB Ser. 12-C6, Class F, 4.76%, 11/15/45(WAC) 508,000 406,839
     FRB Ser. 13-C11, Class D, 4.515%, 8/15/46(WAC) 562,000 490,280
     FRB Ser. 13-C10, Class E, 4.219%, 7/15/46(WAC) 893,000 720,088
     Ser. 14-C17, Class E, 3.50%, 8/15/47 474,000 305,600
     Ser. 15-C24, Class D, 3.257%, 5/15/48 575,000 417,643
     FRB Ser. 13-C13, Class XB, IO, 0.152%, 11/15/46(WAC) 55,988,000 437,770
Morgan Stanley Capital I Trust Ser. 07-HQ11, Class AJ, 5.508%, 2/12/44(WAC) 290,631 288,597
Morgan Stanley Capital I Trust 144A
     FRB Ser. 08-T29, Class F, 6.498%, 1/11/43(WAC) 320,000 306,720
     FRB Ser. 11-C3, Class E, 5.327%, 7/15/49(WAC) 82,000 81,986
     FRB Ser. 12-C4, Class XA, IO, 2.278%, 3/15/45(WAC) 4,380,850 325,327
TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 880,559 61,639
UBS Commercial Mortgage Trust 144A FRB Ser. 12-C1, Class XA, IO, 2.269%, 5/10/45(WAC) 4,015,100 308,499
UBS-Barclays Commercial Mortgage Trust 144A
     FRB Ser. 12-C2, Class E, 5.055%, 5/10/63(WAC) 816,000 678,496
     Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 629,000 413,600
     FRB Ser. 12-C2, Class XA, IO, 1.534%, 5/10/63(WAC) 11,262,452 575,068
     FRB Ser. 13-C6, Class XA, IO, 1.382%, 4/10/46(WAC) 5,997,353 295,382
Wachovia Bank Commercial Mortgage Trust
     FRB Ser. 06-C26, Class AJ, 6.23%, 6/15/45(WAC) 263,810 197,857
     FRB Ser. 06-C29, IO, 0.442%, 11/15/48(WAC) 2,686,948 107
     FRB Ser. 07-C34, IO, 0.328%, 5/15/46(WAC) 1,956,437 3,913
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 06-C26, Class XC, IO, 0.053%, 6/15/45(WAC) 1,017,291 203
Wells Fargo Commercial Mortgage Trust FRB Ser. 14-LC16, Class XA, IO, 1.538%, 8/15/50(WAC) 10,120,160 643,035
Wells Fargo Commercial Mortgage Trust 144A
     Ser. 12-LC5, Class D, 4.78%, 10/15/45(WAC) 1,057,000 1,000,408
     Ser. 12-LC5, Class E, 4.78%, 10/15/45(WAC) 242,000 198,045
     Ser. 14-LC16, Class D, 3.938%, 8/15/50 345,000 276,907
WF-RBS Commercial Mortgage Trust
     FRB Ser. 13-C17, Class C, 5.294%, 12/15/46(WAC) 600,000 638,868
     FRB Ser. 14-C24, Class XA, IO, 1.103%, 11/15/47(WAC) 7,395,104 361,667
     FRB Ser. 14-C22, Class XA, IO, 1.066%, 9/15/57(WAC) 18,205,171 897,515
     FRB Ser. 13-C14, Class XA, IO, 0.939%, 6/15/46(WAC) 23,735,898 816,278
WF-RBS Commercial Mortgage Trust 144A
     FRB Ser. 11-C2, Class D, 5.788%, 2/15/44(WAC) 793,000 812,870
     Ser. 11-C4, Class E, 5.414%, 6/15/44(WAC) 394,000 381,843
     FRB Ser. 14-C19, Class E, 5.137%, 3/15/47(WAC) 858,000 629,845
     Ser. 11-C4, Class F, 5.00%, 6/15/44(WAC) 402,000 333,359
     FRB Ser. 12-C7, Class D, 4.981%, 6/15/45(WAC) 231,000 216,290
     FRB Ser. 13-C15, Class D, 4.628%, 8/15/46(WAC) 919,000 793,139
     FRB Ser. 12-C10, Class D, 4.593%, 12/15/45(WAC) 1,274,000 1,131,869
     Ser. 12-C7, Class F, 4.50%, 6/15/45(WAC) 645,000 477,029
     Ser. 14-C19, Class D, 4.234%, 3/15/47 211,000 182,935
     Ser. 13-C12, Class E, 3.50%, 3/15/48 662,000 486,047
     FRB Ser. 12-C9, Class XA, IO, 2.17%, 11/15/45(WAC) 4,821,993 397,622
     FRB Ser. 11-C5, Class XA, IO, 1.925%, 11/15/44(WAC) 4,435,902 291,572
     FRB Ser. 12-C10, Class XA, IO, 1.753%, 12/15/45(WAC) 7,068,571 480,451
     FRB Ser. 13-C12, Class XA, IO, 1.505%, 3/15/48(WAC) 3,800,666 180,516
     FRB Ser. 13-C11, Class XA, IO, 1.431%, 3/15/45(WAC) 7,369,230 338,302
     FRB Ser. 12-C9, Class XB, IO, 0.859%, 11/15/45(WAC) 8,807,000 282,405
46,844,171
Residential mortgage-backed securities (non-agency) (8.9%)
BCAP, LLC Trust 144A FRB Ser. 15-RR5, Class 2A2, 1.90%, 1/26/46(WAC) 1,300,000 1,213,016
Federal Home Loan Mortgage Corporation
     Structured Agency Credit Risk Debt FRN Ser. 16-HQA1, Class M3, 1 Month US LIBOR + 6.35%, 7.587%, 9/25/28 1,155,080 1,392,978
     Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, 1 Month US LIBOR + 5.15%, 6.387%, 11/25/28 586,000 671,255
     FRB Ser. 16-DNA3, Class M3, 1 Month US LIBOR + 5.00%, 6.237%, 12/25/28 710,000 808,932
     Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, 1 Month US LIBOR + 4.65%, 5.887%, 10/25/28 801,000 894,713
     Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2, 1 Month US LIBOR + 4.25%, 5.487%, 11/25/23 320,000 350,815
     Structured Agency Credit Risk Debt FRN Ser. 14-DN2, Class M3, 1 Month US LIBOR + 3.60%, 4.837%, 4/25/24 310,000 338,854
     FRB Ser. 17-HQA1, Class M2, 1 Month US LIBOR + 3.55%, 4.787%, 8/25/29 401,000 422,598
Federal National Mortgage Association
     Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, 1 Month US LIBOR + 6.95%, 8.187%, 8/25/28 1,200,000 1,419,496
     Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, 1 Month US LIBOR + 6.00%, 7.237%, 9/25/28 1,439,000 1,662,131
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 1 Month US LIBOR + 5.90%, 7.137%, 10/25/28 1,729,690 1,979,931
     Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 1 Month US LIBOR + 5.55%, 6.787%, 4/25/28 228,000 251,657
     Connecticut Avenue Securities FRB Ser. 16-C03, Class 1M2, 1 Month US LIBOR + 5.30%, 6.537%, 10/25/28 2,192,000 2,491,426
     Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, 1 Month US LIBOR + 4.25%, 5.487%, 4/25/29 100,000 110,093
     Connecticut Avenue Securities FRB Ser. 15-C02, Class 2M2, 1 Month US LIBOR + 4.00%, 5.237%, 5/25/25 308,830 326,086
     Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, 1 Month US LIBOR + 3.55%, 4.787%, 7/25/29 1,115,000 1,177,001
     Connecticut Avenue Securities FRB Ser. 17-C06, Class 2M2, 1 Month US LIBOR + 2.80%, 4.037%, 2/25/30 110,000 110,803
     Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, 1 Month US LIBOR + 2.60%, 3.837%, 5/25/24 480,000 499,960
FIRSTPLUS Home Loan Owner Trust Ser. 97-3, Class B1, 7.79%, 11/10/23 (In default)(NON) 77,731 8
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 0.598%, 8/26/47 180,000 148,500
NovaStar Mortgage Funding Trust FRB Ser. 04-2, Class M4, 1 Month US LIBOR + 1.80%, 3.037%, 9/25/34 588,694 583,819
Structured Asset Securities Corp. Mortgage Loan Trust FRB Ser. 06-AM1, Class A4, 1 Month US LIBOR + 0.16%, 1.397%, 4/25/36 451,015 445,684
WaMu Mortgage Pass-Through Certificates Trust
     FRB Ser. 05-AR1, Class A2B, 1 Month US LIBOR + 0.80%, 2.037%, 1/25/45 197,014 179,769
     FRB Ser. 05-AR11, Class A1C3, 1 Month US LIBOR + 0.51%, 1.747%, 8/25/45 519,020 513,626
     FRB Ser. 05-AR13, Class A1C4, 1 Month US LIBOR + 0.43%, 1.667%, 10/25/45 2,888,443 2,632,150
     FRB Ser. 05-AR17, Class A1B2, 1 Month US LIBOR + 0.41%, 1.647%, 12/25/45 1,510,612 1,436,592
Wells Fargo Mortgage Backed Securities Trust FRB Ser. 05-AR16, Class 6A4, 3.45%, 10/25/35(WAC) 162,110 164,363
22,226,256
Total mortgage-backed securities (cost $114,040,738) $113,689,971

CORPORATE BONDS AND NOTES (31.2%)(a)
Principal amount Value
Basic materials (1.6%)
Agrium, Inc. sr. unsec. unsub. notes 5.25%, 1/15/45 (Canada) $46,000 $52,713
Celanese US Holdings, LLC company guaranty sr. unsec. notes 5.875%, 6/15/21 (Germany) 184,000 203,613
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 50,000 53,957
Eastman Chemical Co. sr. unsec. notes 3.80%, 3/15/25 464,000 477,152
Georgia-Pacific, LLC sr. unsec. unsub. notes 7.75%, 11/15/29 70,000 97,249
Georgia-Pacific, LLC 144A company guaranty sr. unsec. notes 5.40%, 11/1/20 110,000 120,537
Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. notes 6.00%, 11/15/41 (Canada) 13,000 15,220
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 40,000 42,370
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 148,000 150,272
INVISTA Finance, LLC 144A company guaranty sr. notes 4.25%, 10/15/19 109,000 112,270
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 705,000 709,902
Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22 50,000 50,337
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 4.125%, 9/15/25 580,000 580,726
Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26 530,000 529,320
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 230,000 322,255
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 39,000 54,196
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) 244,000 338,488
3,910,577
Capital goods (0.9%)
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 135,000 143,268
L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26 35,000 36,314
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 308,000 397,561
Medtronic, Inc. company guaranty sr. unsec. sub. notes 4.375%, 3/15/35 61,000 67,148
Medtronic, Inc. company guaranty sr. unsec. sub. notes 3.50%, 3/15/25 65,000 67,789
Northrop Grumman Systems Corp. company guaranty sr. unsec. unsub. notes 7.875%, 3/1/26 55,000 72,405
Republic Services, Inc. company guaranty sr. unsec. unsub. notes 3.80%, 5/15/18 110,000 111,485
Rockwell Collins, Inc. sr. unsec. bonds 4.35%, 4/15/47 1,199,000 1,241,934
ZF North America Capital, Inc. 144A company guaranty sr. unsec. unsub. notes 4.50%, 4/29/22 150,000 157,688
2,295,592
Communication services (3.4%)
American Tower Corp. sr. unsec. notes 4.00%, 6/1/25(R) 235,000 242,990
American Tower Corp. sr. unsec. unsub. bonds 3.55%, 7/15/27(R) 275,000 273,235
American Tower Corp. sr. unsec. unsub. bonds 3.375%, 10/15/26(R) 25,000 24,712
AT&T, Inc. sr. unsec. unsub. bonds 5.15%, 2/14/50 835,000 839,067
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 235,000 225,997
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 825,000 849,156
AT&T, Inc. sr. unsec. unsub. notes 3.40%, 5/15/25 235,000 231,804
CC Holdings GS V, LLC/Crown Castle GS III Corp. company guaranty sr. notes 3.849%, 4/15/23 79,000 82,675
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 304,000 356,798
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 83,000 88,728
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. 144A company guaranty sr. bonds 5.375%, 5/1/47 714,000 741,750
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 180,000 238,576
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 380,000 379,789
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 560,000 551,132
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 213,000 212,883
Crown Castle International Corp. sr. unsec. notes 5.25%, 1/15/23(R) 50,000 55,350
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 43,000 46,759
Crown Castle International Corp. sr. unsec. notes 4.75%, 5/15/47(R) 110,000 112,383
Crown Castle Towers, LLC 144A company guaranty sr. notes 4.883%, 8/15/20 583,000 617,556
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 6.40%, 4/30/40 218,000 293,940
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) 95,000 100,075
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LL 144A company guaranty sr. notes 3.36%, 9/20/21 480,000 487,200
Telecom Italia SpA 144A sr. unsec. notes 5.303%, 5/30/24 (Italy) 250,000 271,875
Telefonica Emisiones SAU company guaranty sr. unsec. unsub. notes 7.045%, 6/20/36 (Spain) 75,000 99,677
Verizon Communications, Inc. sr. unsec. unsub. notes 4.522%, 9/15/48 169,000 163,621
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 85,000 85,054
Verizon Communications, Inc. sr. unsec. unsub. notes 4.125%, 3/16/27 120,000 125,210
Verizon Communications, Inc. sr. unsec. unsub. notes 2.625%, 8/15/26 300,000 281,723
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 465,000 483,461
8,563,176
Conglomerates (0.1%)
General Electric Co. jr. unsec. sub. FRB Ser. D, 5.00%, perpetual maturity 207,000 217,004
217,004
Consumer cyclicals (4.1%)
21st Century Fox America, Inc. company guaranty sr. unsec. notes 7.85%, 3/1/39 194,000 281,786
21st Century Fox America, Inc. company guaranty sr. unsec. notes 7.75%, 1/20/24 221,000 271,314
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. notes 7.75%, 12/1/45 227,000 343,805
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 285,000 287,904
Amazon.com, Inc. 144A sr. unsec. bonds 4.05%, 8/22/47 150,000 152,868
Amazon.com, Inc. 144A sr. unsec. notes 3.15%, 8/22/27 575,000 579,106
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%, 2/1/20 199,000 212,485
CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 112,000 105,888
CBS Corp. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 820,000 834,284
CBS Corp. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/25 142,000 144,475
D.R. Horton, Inc. company guaranty sr. unsec. sub. notes 5.75%, 8/15/23 120,000 136,260
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 135,000 137,970
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.95%, 8/15/20 155,000 169,362
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/15/26 25,000 27,195
Ford Motor Co. sr. unsec. unsub. notes 4.346%, 12/8/26 505,000 524,986
General Motors Co. sr. unsec. notes 4.875%, 10/2/23 130,000 140,601
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 330,000 330,597
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 37,000 38,202
Grupo Televisa SAB sr. unsec. unsub. bonds 6.625%, 1/15/40 (Mexico) 280,000 340,505
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. sub. notes 4.25%, 9/1/24 50,000 51,000
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 455,000 477,750
Historic TW, Inc. company guaranty sr. unsec. unsub. bonds 9.15%, 2/1/23 325,000 419,015
Host Hotels & Resorts LP sr. unsec. unsub. notes 6.00%, 10/1/21(R) 78,000 86,819
Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22(R) 37,000 40,264
Hyatt Hotels Corp. sr. unsec. unsub. notes 3.375%, 7/15/23 102,000 103,430
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 825,000 884,813
L Brands, Inc. company guaranty sr. unsec. sub. notes 5.625%, 2/15/22 125,000 133,438
Lear Corp. sr. unsec. unsub. bonds 3.80%, 9/15/27 291,000 289,896
Moody's Corp. 144A sr. unsec. bonds 3.25%, 1/15/28 385,000 382,402
NVR, Inc. sr. unsec. notes 3.95%, 9/15/22 90,000 93,872
O'Reilly Automotive, Inc. company guaranty sr. unsec. notes 3.85%, 6/15/23 103,000 107,510
O'Reilly Automotive, Inc. company guaranty sr. unsec. sub. notes 3.55%, 3/15/26 95,000 95,221
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 130,000 131,053
Priceline Group, Inc. (The) sr. unsec. notes 3.65%, 3/15/25 56,000 57,673
QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24 199,000 206,089
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 145,000 156,235
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 755,000 771,044
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 115,000 119,888
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 3.80%, 2/15/27 100,000 100,023
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26 85,000 80,280
Vulcan Materials Co. sr. unsec. unsub. notes 4.50%, 4/1/25 40,000 42,518
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 390,000 391,376
10,312,901
Consumer staples (2.0%)
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/31/24 120,000 127,589
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 4.90%, 2/1/46 718,000 811,030
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 3.65%, 2/1/26 65,000 67,243
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.95%, 1/15/42 200,000 226,499
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 535,000 551,050
Bacardi, Ltd. 144A unsec. notes 4.50%, 1/15/21 (Bermuda) 345,000 368,075
Constellation Brands, Inc. company guaranty sr. unsec. notes 3.875%, 11/15/19 20,000 20,755
Constellation Brands, Inc. company guaranty sr. unsec. unsub. bonds 3.70%, 12/6/26 30,000 30,684
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22 80,000 87,496
CVS Health Corp. sr. unsec. unsub. notes 5.125%, 7/20/45 75,000 86,254
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 26,691 30,116
CVS Pass-Through Trust 144A sr. mtge. notes 7.507%, 1/10/32 649,993 805,072
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 120,982 128,629
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 40,000 39,784
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 96,000 126,272
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 261,000 301,823
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 111,000 115,251
Grupo Bimbo SAB de CV 144A company guaranty sr. unsec. unsub. notes 4.875%, 6/27/44 (Mexico) 200,000 199,905
Kraft Heinz Co. (The) company guaranty sr. unsec. bonds 4.375%, 6/1/46 45,000 44,435
Kraft Heinz Co. (The) company guaranty sr. unsec. notes Ser. 144A, 6.875%, 1/26/39 30,000 38,542
Kraft Heinz Co. (The) company guaranty sr. unsec. unsub. notes 6.50%, 2/9/40 211,000 262,012
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 129,000 135,450
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 190,000 200,077
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 20,000 19,933
Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.30%, 11/18/21 205,000 211,812
5,080,770
Energy (2.8%)
Anadarko Petroleum Corp. sr. unsec. notes 7.20%, 3/15/29 91,000 108,092
BP Capital Markets PLC company guaranty sr. unsec. bonds 3.119%, 5/4/26 (United Kingdom) 304,000 303,844
Canadian Natural Resources, Ltd. sr. unsec. unsub. bonds 3.85%, 6/1/27 (Canada) 325,000 329,011
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 307,000 353,434
Cenovus Energy, Inc. 144A sr. unsec. notes 4.25%, 4/15/27 (Canada) 355,000 351,976
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. bonds 5.125%, 6/30/27 375,000 386,250
Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 719,000 722,198
DCP Midstream Operating LP company guaranty sr. unsec. notes 3.875%, 3/15/23 46,000 45,080
DCP Midstream Operating LP company guaranty sr. unsec. notes 2.70%, 4/1/19 100,000 99,500
Devon Energy Corp. sr. unsec. unsub. notes 3.25%, 5/15/22 233,000 235,757
EQT Corp. sr. unsec. unsub. notes 3.90%, 10/1/27 610,000 610,108
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 100,000 117,003
MPLX LP sr. unsec. unsub. notes 4.125%, 3/1/27 430,000 437,816
Nabors Industries, Inc. company guaranty sr. unsec. unsub. notes 4.625%, 9/15/21 420,000 412,020
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 225,000 226,814
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 244,000 260,245
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 145,000 143,867
Statoil ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) 151,000 175,573
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 345,000 353,194
Valero Energy Partners LP sr. unsec. unsub. notes 4.375%, 12/15/26 259,000 267,280
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 419,000 440,416
Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes 4.875%, 3/15/24 471,000 492,934
6,872,412
Financials (10.3%)
Aflac, Inc. sr. unsec. notes 6.45%, 8/15/40 44,000 58,109
AIG Life Holdings, Inc. company guaranty jr. unsec. sub. bonds 8.125%, 3/15/46 200,000 267,000
Air Lease Corp. sr. unsec. unsub. notes 3.625%, 4/1/27 245,000 245,166
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 150,000 162,630
American Express Co. jr. unsec. sub. FRN Ser. C, 4.90%, perpetual maturity 265,000 269,306
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 706,000 961,926
Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 580,000 572,549
Australia & New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) 200,000 226,000
AXA SA 144A jr. unsec. sub. FRN 6.463%, perpetual maturity (France) 140,000 143,325
AXA SA 144A jr. unsec. sub. FRN 6.379%, perpetual maturity (France) 279,000 319,455
Banco del Estado de Chile 144A sr. unsec. notes 2.00%, 11/9/17 (Chile) 150,000 149,626
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 245,000 267,969
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 140,000 158,288
Bank of America Corp. unsec. sub. FRN BBA LIBOR USD 3 Month + 0.76%, 2.08%, 9/15/26 100,000 93,994
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 300,000 371,481
Barclays PLC unsec. sub. bonds 4.836%, 5/9/28 (United Kingdom) 780,000 808,026
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 386,000 421,102
BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 45,000 47,201
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) 1,100,000 1,136,735
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 210,000 236,446
Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 225,000 231,211
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 22,000 24,116
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 163,000 175,697
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 100,000 107,875
Citigroup, Inc. jr. unsec. sub. FRB Ser. B, 5.90%, perpetual maturity 56,000 60,341
Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95%, perpetual maturity 244,000 263,825
Citigroup, Inc. jr. unsec. sub. FRN 5.875%, perpetual maturity 33,000 34,361
Citigroup, Inc. jr. unsec. sub. FRN Ser. T, 6.25%, perpetual maturity 915,000 1,029,375
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 310,000 337,461
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 70,000 74,725
Commerzbank AG 144A unsec. sub. notes 8.125%, 9/19/23 (Germany) 400,000 484,940
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands company guaranty unsec. sub. notes 4.625%, 12/1/23 (Netherlands) 250,000 268,498
Cooperatieve Rabobank UA 144A jr. unsec. sub. FRN 11.00%, perpetual maturity (Netherlands) 175,000 197,750
Credit Agricole SA 144A unsec. sub. notes 4.375%, 3/17/25 (France) 200,000 207,713
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland) 225,000 239,906
Credit Suisse Group AG 144A sr. unsec. bonds 4.282%, 1/9/28 (Switzerland) 250,000 260,404
Duke Realty LP company guaranty sr. unsec. unsub. notes 3.875%, 2/15/21(R) 45,000 46,897
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 25,000 25,805
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 158,000 161,950
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 235,000 253,124
GE Capital International Funding Co. Unlimited Co. company guaranty sr. unsec. bonds 4.418%, 11/15/35 (Ireland) 445,000 483,892
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 745,000 761,140
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 437,000 575,849
Hartford Financial Services Group, Inc. (The) jr. unsec. sub. FRB 8.125%, 6/15/38 210,000 218,211
Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 6.625%, 3/30/40 168,000 228,504
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes 3.875%, 5/1/25(R) 105,000 105,853
Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25(R) 161,000 165,459
HSBC Capital Funding LP 144A company guaranty jr. unsec. sub. FRB 10.176%, perpetual maturity (Jersey) 121,000 192,315
ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) 520,000 592,185
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity 414,000 431,595
JPMorgan Chase & Co. sr. unsec. notes Ser. MTN, 2.295%, 8/15/21 335,000 334,746
KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20 45,000 50,159
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. FRN BBA LIBOR USD 3 Month + 2.905%, 4.225%, 3/15/37 220,000 215,050
Liberty Mutual Insurance Co. 144A unsec. sub. notes 7.697%, 10/15/97 100,000 141,318
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, perpetual maturity (United Kingdom) 925,000 1,059,125
Massachusetts Mutual Life Insurance Co. 144A unsec. sub. notes 8.875%, 6/1/39 705,000 1,143,419
MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 920,000 1,232,800
MetLife, Inc. jr. unsec. sub. notes 6.40%, 12/15/36 85,000 97,963
Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23(R) 170,000 180,207
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) 200,000 208,068
Nationwide Mutual Insurance Co. 144A unsec. sub. notes 8.25%, 12/1/31 205,000 293,001
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 75,000 72,260
OneAmerica Financial Partners, Inc. 144A sr. unsec. notes 7.00%, 10/15/33 515,000 653,775
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976%, 2/15/25 100,000 101,847
Primerica, Inc. sr. unsec. notes 4.75%, 7/15/22 42,000 45,528
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 149,000 162,902
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 212,000 225,166
Prudential Financial, Inc. sr. unsec. notes 6.625%, 6/21/40 142,000 191,204
Realty Income Corp. sr. unsec. notes 4.65%, 8/1/23(R) 40,000 43,486
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 140,000 149,897
Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 3.875%, 9/12/23 (United Kingdom) 200,000 204,656
Santander Issuances SAU company guaranty unsec. sub. notes 5.179%, 11/19/25 (Spain) 200,000 214,687
Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom) 50,000 53,890
Select Income REIT sr. unsec. unsub. notes 3.60%, 2/1/20(R) 40,000 40,581
Select Income REIT sr. unsec. unsub. notes 2.85%, 2/1/18(R) 40,000 40,091
SL Green Realty Corp company guaranty sr. unsec. unsub. notes 5.00%, 8/15/18(R) 163,000 166,178
Sumitomo Mitsui Financial Group, Inc. 144A unsec. sub. bonds 4.436%, 4/2/24 (Japan) 410,000 432,460
Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 231,000 318,635
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 180,000 179,233
UBS Group AG jr. unsec. sub. FRN 6.875%, perpetual maturity (Switzerland) 247,000 271,083
VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R) 330,000 346,482
VEREIT Operating Partnership LP company guaranty sr. unsec. unsub. bonds 4.875%, 6/1/26(R) 20,000 21,475
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 115,000 128,081
Wells Fargo Bank, NA unsec. sub. notes Ser. BKNT, 6.60%, 1/15/38 860,000 1,174,225
Willis Towers Watson PLC company guaranty sr. unsec. unsub. notes 5.75%, 3/15/21 145,000 159,339
WP Carey, Inc. sr. unsec. unsub. notes 4.60%, 4/1/24(R) 249,000 260,858
25,771,186
Health care (1.4%)
AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25 60,000 62,207
Allergan Funding SCS company guaranty sr. unsec. notes 4.75%, 3/15/45 (Luxembourg) 26,000 28,129
Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 37,000 38,366
Anthem, Inc. sr. unsec. unsub. notes 4.625%, 5/15/42 172,000 186,348
Becton Dickinson and Co. sr. unsec. unsub. bonds 4.669%, 6/6/47 826,000 866,559
Becton Dickinson and Co. sr. unsec. unsub. bonds 3.70%, 6/6/27 708,000 715,852
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 169,000 182,098
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 235,000 243,519
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 95,000 101,175
Omega Healthcare Investors, Inc. company guaranty sr. unsec. bonds 5.25%, 1/15/26(R) 15,000 15,863
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R) 95,000 94,881
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 125,000 131,036
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 175,000 172,557
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) 90,000 89,440
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. bonds 3.15%, 10/1/26 (Netherlands) 264,000 243,328
UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.625%, 11/15/41 165,000 184,006
3,355,364
Technology (1.0%)
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 199,000 216,241
Broadcom Corp./Broadcom Cayman Finance, Ltd. 144A company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 253,000 260,583
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 369,000 407,680
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 82,000 105,315
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 248,000 271,411
Jabil Circuit, Inc. sr. unsec. sub. notes 8.25%, 3/15/18 105,000 107,567
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 345,000 333,463
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 585,000 574,628
VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 240,000 242,613
2,519,501
Transportation (0.4%)
Continental Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 97-4, Class A, 6.90%, 1/2/18 7,698 7,718
Norfolk Southern Corp. 144A sr. unsec. unsub. bonds 4.05%, 8/15/52 245,000 239,964
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 447,000 441,553
Southwest Airlines Co. Pass Through Trust pass-through certificates Ser. 07-1, Class A, 6.15%, 8/1/22 192,748 211,403
United AirLines, Inc. Pass-Through Trust pass-through certificates Ser. 07-1, Class A, 6.636%, 7/2/22 137,714 149,373
1,050,011
Utilities and power (3.2%)
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 190,000 194,750
Appalachian Power Co. sr. unsec. unsub. notes Ser. L, 5.80%, 10/1/35 134,000 161,117
Berkshire Hathaway Energy Co. sr. unsec. bonds 6.50%, 9/15/37 163,000 217,812
Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 129,000 165,586
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. FRB 4.45%, 7/15/27 15,000 15,273
Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33 172,000 209,288
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 191,000 202,672
El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 358,000 460,102
Emera US Finance LP company guaranty sr. unsec. notes 3.55%, 6/15/26 100,000 100,673
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 405,000 425,945
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 702,000 753,773
Energy Transfer Partners LP sr. unsec. unsub. bonds 6.125%, 12/15/45 175,000 192,193
Energy Transfer Partners LP sr. unsec. unsub. bonds 4.20%, 4/15/27 70,000 70,874
Energy Transfer Partners LP sr. unsec. unsub. notes 6.50%, 2/1/42 150,000 170,309
Energy Transfer Partners LP sr. unsec. unsub. notes 5.20%, 2/1/22 128,000 138,437
FirstEnergy Corp. sr. unsec. unsub. bonds Ser. B, 3.90%, 7/15/27 114,000 115,771
FirstEnergy Corp. sr. unsec. unsub. bonds Ser. C, 4.85%, 7/15/47 191,000 200,444
FirstEnergy Corp. sr. unsec. unsub. notes 4.25%, 3/15/23 58,000 61,362
FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 245,000 284,581
Iberdrola International BV company guaranty sr. unsec. unsub. bonds 6.75%, 7/15/36 (Spain) 157,000 205,514
IPALCO Enterprises, Inc. 144A sr. notes 3.70%, 9/1/24 270,000 270,661
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 86,000 89,407
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 85,000 85,459
Oncor Electric Delivery Co., LLC sr. notes 7.00%, 9/1/22 161,000 192,904
Oncor Electric Delivery Co., LLC sr. notes 4.10%, 6/1/22 145,000 154,581
Pacific Gas & Electric Co. sr. unsec. notes 6.35%, 2/15/38 136,000 183,829
Pacific Gas & Electric Co. sr. unsec. unsub. notes 5.80%, 3/1/37 139,000 176,750
PacifiCorp sr. mtge. bonds 6.25%, 10/15/37 180,000 241,298
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 3.40%, 6/1/23 10,000 10,296
Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974%, 6/1/67 610,000 594,750
Texas Gas Transmission, LLC 144A sr. unsec. notes 4.50%, 2/1/21 337,000 351,042
Texas-New Mexico Power Co. 144A 1st sr. bonds Ser. A, 9.50%, 4/1/19 396,000 437,534
WEC Energy Group jr. unsec. sub. FRN BBA LIBOR USD 3 Month + 2.112%, 3.428%, 5/15/67 754,000 723,824
7,858,811
Total corporate bonds and notes (cost $72,973,332) $77,807,305

PURCHASED SWAP OPTIONS OUTSTANDING (1.6%)(a)
Counterparty
Fixed right % to receive or (pay)/ Expiration Notional/Contract
Floating rate index/Maturity date date/strike amount Value
Bank of America N.A.
    (1.9325)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 $65,441,000 $181,272
    (2.2625)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 29,448,500 164,617
    2.2625/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.2625 29,448,500 153,132
    1.9325/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.9325 65,441,000 104,051
Citibank, N.A.
    (2.518)/3 month USD-LIBOR-BBA/May-49 May-19/2.518 2,879,400 229,373
    (1.896)/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 8,403,000 75,795
    (1.975)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 13,088,200 75,388
    (2.57)/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 13,088,200 69,760
    2.1565/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.1565 36,188,000 66,586
    2.57/3 month USD-LIBOR-BBA/Nov-22 Nov-17/2.57 13,088,200 52,876
    1.9175/3 month USD-LIBOR-BBA/Mar-19 Mar-18/1.9175 39,264,000 43,976
    2.135/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.135 36,188,000 39,445
    1.975/3 month USD-LIBOR-BBA/Nov-22 Nov-17/1.975 13,088,200 37,301
    1.6525/3 month USD-LIBOR-BBA/Dec-18 Dec-17/1.6525 39,264,600 20,418
    1.896/3 month USD-LIBOR-BBA/Dec-22 Dec-17/1.896 8,403,000 16,470
    1.541/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.541 52,352,800 6,806
    1.905/3 month USD-LIBOR-BBA/Oct-27 Oct-17/1.905 24,126,000 2,413
    2.023/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.023 19,632,300 1,571
Credit Suisse International
    (2.09)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.09 19,844,000 379,219
    (2.18)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.18 26,176,400 323,017
    (2.34875)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.34875 39,688,000 146,846
    (2.187)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.187 13,088,200 120,673
    (2.41625)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.41625 52,352,800 102,088
Goldman Sachs International
    (2.25)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.25 19,632,300 157,255
    (1.6775)/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.6775 31,411,680 82,299
    2.27/3 month USD-LIBOR-BBA/Mar-28 Mar-18/2.27 6,282,300 78,843
    2.485/3 month USD-LIBOR-BBA/Mar-48 Mar-18/2.485 2,617,600 76,565
    (2.55)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.55 39,264,600 16,884
    2.09275/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.09275 37,358,800 8,219
    2.015/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.015 18,679,000 7,098
    1.995/3 month USD-LIBOR-BBA/Oct-27 Oct-17/1.995 18,679,000 6,911
    1.95/3 month USD-LIBOR-BBA/Nov-27 Nov-17/1.95 18,679,000 5,790
    1.796/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.796 39,264,600 4,319
    1.6775/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.6775 31,411,680 3,455
    1.296/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.296 78,529,200 79
    1.925/3 month USD-LIBOR-BBA/Oct-27 Oct-17/1.925 24,126,000 24
JPMorgan Chase Bank N.A.
    (2.176)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.176 19,632,300 220,274
    (1.919)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 65,441,000 185,852
    (2.23)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.23 19,632,300 168,249
    (2.25)/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 29,448,500 166,384
    2.25/3 month USD-LIBOR-BBA/Aug-22 Aug-21/2.25 29,448,500 151,365
    1.919/3 month USD-LIBOR-BBA/Aug-19 Aug-18/1.919 65,441,000 100,779
    (2.456)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.456 39,264,600 16,884
    (2.53)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.53 39,264,600 13,350
    1.585/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.585 39,265,000 9,816
    (1.585)/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.585 39,265,000 3,534
    (2.81025)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.81025 26,176,400 26
Total purchased swap options outstanding (cost $4,353,438) $3,897,347

PURCHASED OPTIONS OUTSTANDING (0.1%)(a)
Counterparty Expiration date/
strike price		 Notional amount Contract amount Value
JPMorgan Chase Bank N.A.
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Nov-17/$100.91 $18,000,000 $18,000,000 $36,666
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/100.52 9,000,000 9,000,000 84,798
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/100.42 9,000,000 9,000,000 79,713
    Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/100.33 9,000,000 9,000,000 74,826
Total purchased options outstanding (cost $323,439) $276,003

ASSET-BACKED SECURITIES (0.7%)(a)
Principal amount Value
Mortgage Repurchase Agreement Financing Trust 144A FRB Ser. 16-5, Class A, 1 Month US LIBOR + 1.17%, 2.405%, 6/10/19 $1,540,000 $1,540,000
Station Place Securitization Trust 144A FRB Ser. 17-1, Class A, 1 Month US LIBOR + 0.90%, 2.137%, 2/25/49 307,667 307,667
Total asset-backed securities (cost $1,847,667) $1,847,667

MUNICIPAL BONDS AND NOTES (0.5%)(a)
Principal amount Value
CA State G.O. Bonds (Build America Bonds), 7.50%, 4/1/34 $350,000 $508,876
North TX, Tollway Auth. Rev. Bonds (Build America Bonds), 6.718%, 1/1/49 285,000 423,145
OH State U. Rev. Bonds (Build America Bonds), 4.91%, 6/1/40 255,000 305,493
Total municipal bonds and notes (cost $892,125) $1,237,514

SHORT-TERM INVESTMENTS (9.0%)(a)
Principal amount/shares Value
Putnam Short Term Investment Fund 1.17%(AFF) Shares 14,725,101 $14,725,101
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.92%(P) Shares 90,000 90,000
U.S. Treasury Bills 1.033%, 12/14/17(SEG)(SEGSF)(SEGCCS) $3,493,000 3,486,218
U.S. Treasury Bills 1.037%, 12/7/17(SEGSF)(SEGCCS) 3,420,000 3,413,824
U.S. Treasury Bills 1.067%, 2/8/18(SEGCCS) 679,000 676,372
Total short-term investments (cost $22,390,758) $22,391,515

TOTAL INVESTMENTS
Total investments (cost $400,823,781) $404,672,136













  FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/17 (Unaudited)

       
  Counterparty
Fixed right or obligation % to receive or (pay)/		 Expiration   Notional/ Contract Premium receivable/ Unrealized appreciation/
  Floating rate index/Maturity date date/strike   amount (payable) (depreciation)
             
  Bank of America N.A.
  2.785/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785   $3,926,500  $(421,313) $4,790 
  2.214/3 month USD-LIBOR-BBA/Oct-27 (Purchased) Oct-17/2.214   36,188,000  (112,183) 4,704 
  (2.647)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647   6,544,100  (255,874) (5,039)
  (2.203)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203   6,544,100  (130,882) (11,256)
  2.5925/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925   3,926,500  (138,409) (11,308)
  2.647/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.647   6,544,100  (255,874) (17,604)
  (2.398)/3 month USD-LIBOR-BBA/Oct-27 (Purchased) Oct-17/2.398   36,188,000  (112,183) (21,351)
  2.203/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.203   6,544,100  (130,882) (30,234)
  (2.785)/3 month USD-LIBOR-BBA/Jan-47 (Purchased) Jan-27/2.785   3,926,500  (421,313) (33,532)
  (2.5925)/3 month USD-LIBOR-BBA/Jan-27 (Purchased) Jan-19/2.5925   3,926,500  (138,409) (75,781)
  2.7175/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175   3,926,500  354,759  159,180 
  (2.7175)/3 month USD-LIBOR-BBA/Jan-47 (Written) Jan-19/2.7175   3,926,500  354,759  55,874 
  (2.413)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413   6,544,100  251,621  53,204 
  2.413/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.413   6,544,100  251,621  21,726 
  2.306/3 month USD-LIBOR-BBA/Oct-27 (Written) Oct-17/2.306   18,094,000  112,183  11,761 
  (2.306)/3 month USD-LIBOR-BBA/Oct-27 (Written) Oct-17/2.306   18,094,000  112,183  (9,590)
             
  Barclays Bank PLC
  2.43/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43   3,926,500  (54,775) 236 
  (2.205)/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205   6,544,100  (130,882) (11,583)
  2.205/3 month USD-LIBOR-BBA/Jun-24 (Purchased) Jun-19/2.205   6,544,100  (130,882) (29,972)
  (2.43)/3 month USD-LIBOR-BBA/Feb-22 (Purchased) Feb-19/2.43   3,926,500  (54,775) (35,535)
             
  Citibank, N.A.
  (2.654)/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654   6,544,100  (255,874) (5,955)
  2.654/3 month USD-LIBOR-BBA/Jun-29 (Purchased) Jun-24/2.654   6,544,100  (255,874) (16,622)
  (2.42)/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42   6,544,100  251,948  51,568 
  2.42/3 month USD-LIBOR-BBA/Jun-29 (Written) Jun-19/2.42   6,544,100  250,639  22,839 
             
  Goldman Sachs International
  2.22/3 month USD-LIBOR-BBA/Oct-27 (Purchased) Oct-17/2.22   39,264,600  (121,720) 12,172 
  2.21/3 month USD-LIBOR-BBA/Oct-27 (Purchased) Oct-17/2.21   36,188,000  (51,869) 5,428 
  2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175   785,300  (99,144) 3,290 
  (2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased) Mar-27/2.8175   785,300  (99,144) (7,767)
  (2.39)/3 month USD-LIBOR-BBA/Oct-27 (Purchased) Oct-17/2.39   36,188,000  (51,869) (13,751)
  2.30/3 month USD-LIBOR-BBA/Oct-27 (Written) Oct-17/2.30   18,094,000  72,376  7,419 
  2.554/3 month USD-LIBOR-BBA/Oct-27 (Written) Oct-17/2.554   19,632,300  3,926  (5,301)
  (2.304)/3 month USD-LIBOR-BBA/Oct-27 (Written) Oct-17/2.304   19,632,300  117,794  (12,368)
  (2.30)/3 month USD-LIBOR-BBA/Oct-27 (Written) Oct-17/2.30   18,094,000  72,376  (13,751)
             
  JPMorgan Chase Bank N.A.
  2.8325/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325   3,926,500  (548,238) 10,444 
  (2.8325)/3 month USD-LIBOR-BBA/Feb-52 (Purchased) Feb-22/2.8325   3,926,500  (548,238) (134,208)
  2.79/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79   3,926,500  372,821  187,058 
  (2.79)/3 month USD-LIBOR-BBA/Feb-49 (Written) Feb-19/2.79   3,926,500  372,821  17,159 
  Unrealized appreciation         628,852 
  Unrealized depreciation         (502,508)
  Total         $126,344 












  FUTURES CONTRACTS OUTSTANDING at 9/30/17 (Unaudited)

            Unrealized
    Number of Notional   Expiration appreciation/
    contracts amount Value date (depreciation)
             
  U.S. Treasury Bond 30 yr (Long) 121  $18,490,313  $18,490,313  Dec-17 $(300,053)
  U.S. Treasury Bond 30 yr (Short) 6  916,875  916,875  Dec-17 14,847 
  U.S. Treasury Bond Ultra 30 yr (Long) 43  7,100,375  7,100,375  Dec-17 (127,211)
  U.S. Treasury Note 2 yr (Long) 30  6,471,094  6,471,094  Dec-17 (15,528)
  U.S. Treasury Note 5 yr (Long) 101  11,867,500  11,867,500  Dec-17 (76,740)
  U.S. Treasury Note 10 yr (Long) 13  1,629,063  1,629,063  Dec-17 (17,088)
  U.S. Treasury Note 10 yr (Short) 34  4,260,625  4,260,625  Dec-17 42,167 
  U.S. Treasury Note Ultra 10 yr (Long) 9  1,208,953  1,208,953  Dec-17 (14,268)
  Unrealized appreciation         57,014 
  Unrealized depreciation         (550,888)
  Total         $(493,874)












  WRITTEN SWAP OPTIONS OUTSTANDING at 9/30/17 (premiums $5,176,650) (Unaudited)

         
  Counterparty
Fixed Obligation % to receive or (pay)/		 Expiration   Notional/
Contract		  
  Floating rate index/Maturity date date/strike   amount Value
           
  Bank of America N.A.
  (2.2625)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.2625   $29,448,500 $70,676
  2.2625/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.2625   29,448,500 82,161
  (1.9325)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325   65,441,000 158,367
  1.9325/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.9325   65,441,000 235,588
           
  Citibank, N.A.
  (1.755)/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.755   52,352,800 3,141
  (2.033)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.033   12,063,000 5,790
  (1.642)/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642   26,176,400 8,900
  (2.00)/3 month USD-LIBOR-BBA/Dec-18 Dec-17/2.00   39,264,600 18,847
  (2.05)/3 month USD-LIBOR-BBA/Mar-19 Mar-18/2.05   39,264,000 42,405
  (2.227)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.227   18,094,000 54,463
  2.313/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.313   19,632,300 65,179
  (2.253)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.253   18,094,000 80,518
  (2.257)/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257   13,088,200 86,382
  1.642/3 month USD-LIBOR-BBA/Dec-19 Dec-17/1.642   26,176,400 86,906
  2.257/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.257   13,088,200 141,876
  2.208/3 month USD-LIBOR-BBA/May-24 May-19/2.208   13,088,200 226,557
           
  Credit Suisse International
  (1.892)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/1.892   13,088,200 13
  2.295/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.295   78,529,200 453,113
  2.21/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.21   59,532,000 616,752
           
  Goldman Sachs International
  (1.619)/3 month USD-LIBOR-BBA/Oct-18 Oct-17/1.619   117,793,800 118
  (2.03)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.03   12,063,000 121
  2.62/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.62   18,679,000 3,362
  (1.495)/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.495   52,352,800 3,665
  2.60/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.60   18,679,000 5,790
  2.5525/3 month USD-LIBOR-BBA/Nov-27 Nov-17/2.5525   18,679,000 13,449
  (2.18375)/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.18375   18,679,400 19,987
  1.495/3 month USD-LIBOR-BBA/Nov-18 Nov-17/1.495   52,352,800 79,576
  (2.46)/3 month USD-LIBOR-BBA/Mar-38 Mar-18/2.46   7,067,600 155,982
  2.365/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.365   58,896,900 187,881
           
  JPMorgan Chase Bank N.A.
  1.993/3 month USD-LIBOR-BBA/Oct-20 Oct-17/1.993   13,088,000 131
  (1.783)/3 month USD-LIBOR-BBA/Oct-20 Oct-17/1.783   13,088,000 2,094
  2.534/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.534   13,088,200 2,356
  (2.25)/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25   29,448,500 68,909
  2.25/3 month USD-LIBOR-BBA/Aug-19 Aug-18/2.25   29,448,500 83,928
  (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00   5,404,000 124,995
  (1.919)/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919   65,441,000 154,441
  2.33925/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.33925   58,896,900 202,016
  1.919/3 month USD-LIBOR-BBA/Aug-20 Aug-19/1.919   65,441,000 240,168
  2.284/3 month USD-LIBOR-BBA/Oct-27 Oct-17/2.284   58,896,900 267,394
  Total       $4,053,997












  WRITTEN OPTIONS OUTSTANDING at 9/30/17 (premiums $323,438) (Unaudited)
       
  Counterparty   Expiration date/strike price Notional Amount   Contract amount Value
             
  JPMorgan Chase Bank N.A.          
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Nov-17/101.34 $18,000,000   $18,000,000 $19,764
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Call) Nov-17/101.78 18,000,000   18,000,000 9,936
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.96 9,000,000   9,000,000 57,438
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.86 9,000,000   9,000,000 53,532
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.77 9,000,000   9,000,000 49,833
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.40 9,000,000   9,000,000 37,053
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.30 9,000,000   9,000,000 34,272
  Federal National Mortgage Association 30 yr 3.00% TBA commitments (Put) Dec-17/99.21 9,000,000   9,000,000 31,671
  Total         $293,499












TBA SALE COMMITMENTS OUTSTANDING at 9/30/17 (proceeds receivable $70,252,305) (Unaudited)


Principal       Settlement
Agency amount       date Value
Federal Home Loan Mortgage Corporation, 3.00%, 10/1/47 $1,000,000       10/12/17 $1,003,203
Federal National Mortgage Association, 4.50%, 10/1/47 7,000,000       10/12/17 7,512,968
Federal National Mortgage Association, 4.00%, 11/1/47 2,000,000       11/13/17 2,102,344
Federal National Mortgage Association, 4.00%, 10/1/47 7,000,000       10/12/17 7,369,141
Federal National Mortgage Association, 3.50%, 10/1/47 31,000,000       10/12/17 31,956,641
Federal National Mortgage Association, 3.00%, 10/1/47 17,000,000       10/12/17 17,053,125
Government National Mortgage Association, 4.00%, 10/1/47 3,000,000       10/23/17 3,158,907
Total $70,156,329












  CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/17 (Unaudited)
                   
             
  Notional amount Value   Upfront premium received (paid)   Termination date Payments made by fund   Payments received by fund Unrealized appreciation/ (depreciation)
                       
     $13,088,200  $96,198    $(26,271)   10/3/27 2.201% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   $74,074
     13,088,200  38,348    (22,345)   10/3/27 2.2495% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   16,003
     13,088,200  49,081    (22,345)   10/3/27 2.2405% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   26,736
     93,791,300  18,102 (E)  (3,839)   12/20/19 1.80% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   14,262
     46,132,200  4,705 (E)  (24,187)   12/20/22 3 month USD-LIBOR-BBA - Quarterly   2.05%  - Semiannually   (19,482)
     49,914,800  283,266 (E)  (242,474)   12/20/27 2.25% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   40,792
     5,774,300  52,125 (E)  59,819   12/20/47 3 month USD-LIBOR-BBA - Quarterly   2.50%  - Semiannually   7,694
     1,429,000  1,532    (10)   10/2/27 2.2935% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   (1,542)
     10,374,000  11,837 (E)  (85)   10/17/27 2.30% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   (11,921)
     3,141,200  3,063 (E)  (27)   11/1/27 2.304% - Semiannually   3 month USD-LIBOR-BBA  - Quarterly   (3,088)
                       
  Total        $(281,764)            $143,528
                       
(E) Extended effective date.












  OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/17 (Unaudited)
               
  Swap counterparty/          
  Notional amount Value   Upfront premium received (paid)   Termination date Payments received
(paid) by fund		   Total return received by
or paid by fund		 Unrealized appreciation/ (depreciation)
                       
  Bank of America N.A.
     $41,112  $42,049   $—   1/12/41 4.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  $1,331
     66,512  67,551   —   1/12/41 4.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.50% 30 year Fannie Mae pools - Monthly  1,713
                       
  Barclays Bank PLC
     422,982  422,127   —   1/12/40 4.50% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 4.50% 30 year Fannie Mae pools - Monthly  (203)
     97,380  97,079   —   1/12/40 4.00% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools - Monthly  (171)
     50,075  49,687   —   1/12/39 6.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools - Monthly  234
     643,186  641,197   —   1/12/40 4.00% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 4.00% 30 year Fannie Mae pools - Monthly  (1,129)
     9,808  9,739   —   1/12/38 6.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools - Monthly  50
     100,919  100,991   —   1/12/41 5.00% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools - Monthly  250
     262,008  261,478   —   1/12/40 4.50% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 4.50% 30 year Fannie Mae pools - Monthly  (126)
     747,862  752,596   —   1/12/39 (6.00%) 1 month USD-LIBOR - Monthly   Synthetic MBX Index 6.00% 30 year Fannie Mae pools - Monthly  (6,332)
     99,797  99,100   —   1/12/38 6.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools - Monthly  513
     26,716  26,958   —   1/12/41 (5.00%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools - Monthly  (540)
     65,013  66,066   —   1/12/43 3.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly  1,604
     31,623  32,135   —   1/12/43 3.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly  780
     1,132,393  1,130,626   —   1/12/40 5.00% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools - Monthly  207
     10,733,637  10,718,431   —   1/12/41 5.00% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools - Monthly  3,472
     12,031,561  12,067,143   —   1/12/38 (6.50%) 1 month USD-LIBOR - Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly  (63,243)
                       
  Citibank, N.A.
     850,167  848,963   —   1/12/41 5.00% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools - Monthly  275
     1,488,124  1,486,015   —   1/12/41 5.00% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 5.00% 30 year Fannie Mae pools - Monthly  481
                       
  Credit Suisse International
     93,023  92,820   —   1/12/39 (5.00%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools - Monthly  (881)
     136,890  138,133   —   1/12/41 (5.00%) 1  month USD-LIBOR - Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools - Monthly  (2,768)
     690,746  697,916   —   1/12/41 5.00% (1 month USD-LIBOR) - Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools - Monthly  14,793
     76,804  78,554   —   1/12/41 4.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  2,487
     276,382  285,264   —   1/12/45 4.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  11,493
     5,892  5,988   —   1/12/43 (3.50%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly  (145)
     60,698  62,648   —   1/12/45 4.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  2,524
     57,388  59,144   —   1/12/45 3.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly  2,265
     171,838  175,752   —   1/12/41 (4.00%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  (5,565)
                       
  Goldman Sachs International
     124,618  123,748   —   1/12/38 6.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools - Monthly  640
     96,138  95,467   —   1/12/38 6.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools - Monthly  494
     291,554  289,300   —   1/12/39 6.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools - Monthly  1,363
     120,755  119,912   —   1/12/38 6.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools - Monthly  621
     32,497  33,005   —   1/12/41 4.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.50% 30 year Fannie Mae pools - Monthly  837
     771,944  774,227   —   1/12/38 (6.50%) 1 month USD-LIBOR - Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly  (4,058)
     290,000  290,858   —   1/12/38 Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly  (1,524)
     3,310  3,386   —   1/12/41 4.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  107
     13,520  13,416   —   1/12/39 6.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools - Monthly  63
     122,905  121,954   —   1/12/39 6.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools - Monthly  574
     416,218  417,449   —   1/12/38 (6.50%) 1 month USD-LIBOR - Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly  (2,188)
     1,057,509  1,060,636   —   1/12/38 (6.50%) 1 month USD-LIBOR - Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly  (5,559)
     499,462  500,939   —   1/12/38 (6.50%) 1 month USD-LIBOR - Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly  (2,625)
     39,205  39,321   —   1/12/38 (6.50%) 1 month USD-LIBOR - Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly  (206)
     104,576  104,885   —   1/12/38 Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly   Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly  (550)
     64,328  63,879   —   1/12/38 6.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools - Monthly  331
     136,578  135,624   —   1/12/38 6.50% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.50% 30 year Fannie Mae pools - Monthly  702
     203,092  201,522   —   1/12/39 6.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 6.00% 30 year Fannie Mae pools - Monthly  949
     193,186  194,939   —   1/12/41 (5.00%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools - Monthly  (3,906)
     60,273  62,210   —   1/12/45 4.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  2,506
     68,057  69,160   —   1/12/43 (3.50%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly  (1,679)
     152,546  153,955   —   1/12/44 (3.00%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 3.00% 30 year Fannie Mae pools - Monthly  (2,607)
                       
  JPMorgan Chase Bank N.A.
     50,611  51,764   —   1/12/41 4.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  1,639
     193,186  194,939   —   1/12/41 (5.00%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 5.00% 30 year Fannie Mae pools - Monthly  (3,906)
                       
  JPMorgan Securities LLC
     123,030  126,263   —   1/12/44 4.00% (1 month USD-LIBOR) - Monthly   Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  4,366
     22,686  23,053   —   1/12/43 (3.50%) 1 month USD-LIBOR - Monthly   Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly  (560)
     450,000  454,671   —   1/12/41 (5.00%) 1 month USD-LIBOR - Monthly   Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools - Monthly  (9,635)
     Upfront premium received  —          Unrealized appreciation   59,664
     Upfront premium (paid)  —          Unrealized depreciation   (120,106)
        Total $—         Total  $(60,442)












  CENTRALLY CLEARED TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/17 (Unaudited)
               
             
  Notional amount Value   Upfront premium received (paid)   Termination date Payments received (paid) by fund   Total return received
by or paid by fund		 Unrealized appreciation/ (depreciation)
                       
     $1,261,000  $5,899   $—   7/3/22 (1.9225%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity  $5,899
     1,261,000  6,084   —   7/3/27 2.085% - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity  (6,084)
     1,446,000  9,145   —   7/5/22 (1.89%) - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity  9,145
     1,446,000  12,065   —   7/5/27 2.05% - At maturity   USA Non Revised Consumer Price Index- Urban (CPI-U) - At maturity  (12,066)
  Total       $—            $(3,106)












  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/17 (Unaudited)
                     
                 
  Swap counterparty/
Referenced debt*		 Rating*** Upfront premium received (paid)**   Notional amount Value   Termination date   Payments received by fund Unrealized appreciation/ (depreciation)
                       
  Bank of America N.A.
   CMBX NA BBB-.6 Index BBB-/P $3,281    $48,000  $7,277   5/11/63   300 bp - Monthly  $(3,972)
   CMBX NA BBB-.6 Index BBB-/P 6,388    106,000  16,070   5/11/63   300 bp - Monthly  (9,629)
   CMBX NA BBB-.6 Index BBB-/P 13,088    212,000  32,139   5/11/63   300 bp - Monthly  (18,946)
   CMBX NA BBB-.6 Index BBB-/P 12,483    219,000  33,200   5/11/63   300 bp - Monthly  (20,608)
                       
  Credit Suisse International
  CMBX NA A.6 Index A/P 4,580    146,000  8,599   5/11/63   200 bp - Monthly  (3,970)
  CMBX NA A.6 Index A/P 8,890    237,000  13,959   5/11/63   200 bp - Monthly  (4,990)
  CMBX NA A.6 Index A/P 15,838    301,000  17,729   5/11/63   200 bp - Monthly  (1,790)
  CMBX NA A.6 Index A/P 23,840    733,000  43,174   5/11/63   200 bp - Monthly  (19,090)
  CMBX NA A.6 Index A/P 50,223    1,009,000  59,430   5/11/63   200 bp - Monthly  (8,871)
  CMBX NA A.6 Index A/P 51,383    1,043,000  61,433   5/11/63   200 bp - Monthly  (9,702)
  CMBX NA A.6 Index A/P 67,293    1,383,000  81,459   5/11/63   200 bp - Monthly  (13,704)
  CMBX NA A.6 Index A/P 73,384    1,523,000  89,705   5/11/63   200 bp - Monthly  (15,813)
  CMBX NA A.6 Index A/P 150,673    2,500,000  147,250   5/11/63   200 bp - Monthly  3,978
  CMBX NA A.7 Index A/P 4,007    102,000  3,437   1/17/47   200 bp - Monthly  604
  CMBX NA BBB-.6 Index BBB-/P 29,254    231,000  35,020   5/11/63   300 bp - Monthly  (5,651)
  CMBX NA BBB-.6 Index BBB-/P 39,219    371,000  56,244   5/11/63   300 bp - Monthly  (16,839)
  CMBX NA BBB-.6 Index BBB-/P 45,859    395,000  59,882   5/11/63   300 bp - Monthly  (13,825)
  CMBX NA BBB-.6 Index BBB-/P 388,978    3,638,000  551,521   5/11/63   300 bp - Monthly  (160,724)
  CMBX NA BBB-.7 Index BBB-/P 4,347    55,000  6,089   1/17/47   300 bp - Monthly  (1,714)
  CMBX NA BBB-.7 Index BBB-/P 160,765    2,175,000  240,773   1/17/47   300 bp - Monthly  (78,920)
                       
  Goldman Sachs International
  CMBX NA A.6 Index A/P 9,260    141,000  8,305   5/11/63   200 bp - Monthly  1,002
  CMBX NA A.6 Index A/P 4,580    146,000  8,599   5/11/63   200 bp - Monthly  (3,970)
  CMBX NA A.6 Index A/P 10,621    215,000  12,664   5/11/63   200 bp - Monthly  (1,970)
  CMBX NA A.6 Index A/P 13,401    240,000  14,136   5/11/63   200 bp - Monthly  (655)
  CMBX NA A.6 Index A/P 18,917    384,000  22,618   5/11/63   200 bp - Monthly  (3,572)
  CMBX NA A.6 Index A/P 12,675    416,000  24,502   5/11/63   200 bp - Monthly  (11,689)
  CMBX NA A.6 Index A/P 12,866    416,000  24,502   5/11/63   200 bp - Monthly  (11,497)
  CMBX NA A.6 Index A/P 37,833    727,000  42,820   5/11/63   200 bp - Monthly  (4,745)
  CMBX NA A.6 Index A/P 36,802    727,000  42,820   5/11/63   200 bp - Monthly  (5,776)
  CMBX NA A.6 Index A/P 36,802    727,000  42,820   5/11/63   200 bp - Monthly  (5,776)
  CMBX NA A.6 Index A/P 37,861    744,000  43,822   5/11/63   200 bp - Monthly  (5,712)
  CMBX NA BBB-.6 Index BBB-/P 7,595    90,000  13,644   5/11/63   300 bp - Monthly  (6,004)
  CMBX NA BBB-.6 Index BBB-/P 7,675    97,000  14,705   5/11/63   300 bp - Monthly  (6,981)
  CMBX NA BBB-.6 Index BBB-/P 5,425    104,000  15,766   5/11/63   300 bp - Monthly  (10,290)
  CMBX NA BBB-.6 Index BBB-/P 5,208    105,000  15,918   5/11/63   300 bp - Monthly  (10,657)
  CMBX NA BBB-.6 Index BBB-/P 5,119    105,000  15,918   5/11/63   300 bp - Monthly  (10,747)
  CMBX NA BBB-.6 Index BBB-/P 11,693    108,000  16,373   5/11/63   300 bp - Monthly  (4,626)
  CMBX NA BBB-.6 Index BBB-/P 11,308    134,000  20,314   5/11/63   300 bp - Monthly  (8,939)
  CMBX NA BBB-.6 Index BBB-/P 22,647    193,000  29,259   5/11/63   300 bp - Monthly  (6,516)
  CMBX NA BBB-.6 Index BBB-/P 13,217    194,000  29,410   5/11/63   300 bp - Monthly  (16,097)
  CMBX NA BBB-.6 Index BBB-/P 10,113    206,000  31,230   5/11/63   300 bp - Monthly  (21,014)
  CMBX NA BBB-.6 Index BBB-/P 18,393    213,000  32,291   5/11/63   300 bp - Monthly  (13,792)
  CMBX NA BBB-.6 Index BBB-/P 23,812    216,000  32,746   5/11/63   300 bp - Monthly  (8,826)
  CMBX NA BBB-.6 Index BBB-/P 33,182    239,000  36,232   5/11/63   300 bp - Monthly  (2,931)
  CMBX NA BBB-.6 Index BBB-/P 20,522    273,000  41,387   5/11/63   300 bp - Monthly  (20,729)
  CMBX NA BBB-.6 Index BBB-/P 25,932    536,000  81,258   5/11/63   300 bp - Monthly  (55,058)
  CMBX NA BBB-.7 Index BBB-/P 7,955    101,000  11,181   1/17/47   300 bp - Monthly  (3,175)
  CMBX NA BBB-.7 Index BBB-/P 8,573    123,000  13,616   1/17/47   300 bp - Monthly  (4,981)
  CMBX NA BBB-.7 Index BBB-/P 15,690    193,000  21,365   1/17/47   300 bp - Monthly  (5,578)
  CMBX NA BBB-.7 Index BBB-/P 30,009    406,000  44,944   1/17/47   300 bp - Monthly  (14,732)
                       
  JPMorgan Securities LLC
  CMBX NA A.6 Index A/P 4,782    146,000  8,599   5/11/63   200 bp - Monthly  (3,769)
  CMBX NA A.6 Index A/P 13,061    245,000  14,431   5/11/63   200 bp - Monthly  (1,287)
  CMBX NA A.6 Index A/P 13,708    253,000  14,902   5/11/63   200 bp - Monthly  (1,109)
  CMBX NA A.6 Index A/P 18,630    301,000  17,729   5/11/63   200 bp - Monthly  1,001
  CMBX NA A.6 Index A/P 28,230    520,000  30,628   5/11/63   200 bp - Monthly  (2,225)
  CMBX NA A.6 Index A/P 19,350    588,000  34,633   5/11/63   200 bp - Monthly  (15,087)
  CMBX NA A.6 Index A/P 19,964    696,000  40,994   5/11/63   200 bp - Monthly  (20,798)
  CMBX NA A.6 Index A/P 39,658    820,000  48,298   5/11/63   200 bp - Monthly  (8,367)
  CMBX NA A.6 Index A/P 32,542    986,000  58,075   5/11/63   200 bp - Monthly  (25,204)
  CMBX NA A.6 Index A/P 58,908    1,000,000  58,900   5/11/63   200 bp - Monthly  8
  CMBX NA A.6 Index A/P 75,942    1,497,000  88,173   5/11/63   200 bp - Monthly  (11,732)
  CMBX NA A.6 Index A/P 147,480    2,500,000  147,250   5/11/63   200 bp - Monthly  786
  CMBX NA A.7 Index A/P 4,999    114,000  3,842   1/17/47   200 bp - Monthly  1,195
  CMBX NA BBB-.6 Index BBB-/P 315    3,000  455   5/11/63   300 bp - Monthly  (139)
  CMBX NA BBB-.6 Index BBB-/P 8,030    55,000  8,338   5/11/63   300 bp - Monthly  (280)
  CMBX NA BBB-.6 Index BBB-/P 12,001    107,000  16,221   5/11/63   300 bp - Monthly  (4,166)
  CMBX NA BBB-.6 Index BBB-/P 11,862    108,000  16,373   5/11/63   300 bp - Monthly  (4,457)
  CMBX NA BBB-.6 Index BBB-/P 12,507    110,000  16,676   5/11/63   300 bp - Monthly  (4,114)
  CMBX NA BBB-.6 Index BBB-/P 15,648    111,000  16,828   5/11/63   300 bp - Monthly  (1,124)
  CMBX NA BBB-.6 Index BBB-/P 14,000    112,000  16,979   5/11/63   300 bp - Monthly  (2,923)
  CMBX NA BBB-.6 Index BBB-/P 12,938    114,000  17,282   5/11/63   300 bp - Monthly  (4,288)
  CMBX NA BBB-.6 Index BBB-/P 14,544    119,000  18,040   5/11/63   300 bp - Monthly  (3,437)
  CMBX NA BBB-.6 Index BBB-/P 14,544    119,000  18,040   5/11/63   300 bp - Monthly  (3,437)
  CMBX NA BBB-.6 Index BBB-/P 17,870    124,000  18,798   5/11/63   300 bp - Monthly  (867)
  CMBX NA BBB-.6 Index BBB-/P 20,383    140,000  21,224   5/11/63   300 bp - Monthly  (771)
  CMBX NA BBB-.6 Index BBB-/P 17,829    162,000  24,559   5/11/63   300 bp - Monthly  (6,649)
  CMBX NA BBB-.6 Index BBB-/P 24,269    196,000  29,714   5/11/63   300 bp - Monthly  (5,346)
  CMBX NA BBB-.6 Index BBB-/P 29,801    270,000  40,932   5/11/63   300 bp - Monthly  (10,996)
  CMBX NA BBB-.6 Index BBB-/P 46,628    315,000  47,754   5/11/63   300 bp - Monthly  (968)
  CMBX NA BBB-.6 Index BBB-/P 46,628    315,000  47,754   5/11/63   300 bp - Monthly  (968)
  CMBX NA BBB-.6 Index BBB-/P 72,684    587,000  88,989   5/11/63   300 bp - Monthly  (16,011)
  CMBX NA BBB-.6 Index BBB-/P 203,106    1,682,000  254,991   5/11/63   300 bp - Monthly  (51,045)
  CMBX NA BBB-.6 Index BBB-/P 203,106    1,682,000  254,991   5/11/63   300 bp - Monthly  (51,045)
  CMBX NA BBB-.6 Index BBB-/P 217,718    1,818,000  275,609   5/11/63   300 bp - Monthly  (56,981)
  CMBX NA BBB-.7 Index BBB-/P 604    5,000  554   1/17/47   300 bp - Monthly  53
  CMBX NA BBB-.7 Index BBB-/P 3,209    58,000  6,421   1/17/47   300 bp - Monthly  (3,183)
  CMBX NA BBB-.7 Index BBB-/P 6,329    120,000  13,284   1/17/47   300 bp - Monthly  (6,895)
  CMBX NA BBB-.7 Index BBB-/P 17,188    130,000  14,391   1/17/47   300 bp - Monthly  2,862
  CMBX NA BBB-.7 Index BBB-/P 6,065    232,000  25,682   1/17/47   300 bp - Monthly  (19,501)
  CMBX NA BBB-.7 Index BBB-/P 23,913    243,000  26,900   1/17/47   300 bp - Monthly  (2,865)
   Upfront premium received  3,220,432          Unrealized appreciation   11,489
   Upfront premium (paid)  —          Unrealized depreciation   (1,047,827)
    Total $3,220,432             Total  $(1,036,338)
                       
* 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 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, 2017.  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.












  OTC CREDIT DEFAULT CONTRACTS OUTSTANDING - PROTECTION PURCHASED at 9/30/17 (Unaudited)
      Upfront                
      premium         Termi-   Payments Unrealized
  Swap counterparty/   received   Notional     nation   (paid) appreciation/
  Referenced debt*   (paid)**   amount Value   date   by fund (depreciation)
                       
  Citigroup Global Markets, Inc.
  CMBX NA BB.7 Index   $(12,573)    $77,000  $15,030   1/17/47   (500 bp) - Monthly  $2,393
  CMBX NA BB.7 Index   (12,093)    77,000  15,030   1/17/47   (500 bp) - Monthly  2,873
                       
  Credit Suisse International
  CMBX NA BB.7 Index   (21,375)    1,211,000  294,152   5/11/63   (500 bp) - Monthly  271,765
  CMBX NA BB.7 Index   (208,076)    1,265,000  246,928   1/17/47   (500 bp) - Monthly  37,798
                       
  Goldman Sachs International
   CMBX NA BB.6 Index   (62,198)    608,000  147,683   5/11/63   (500 bp) - Monthly  84,979
   CMBX NA BB.7 Index   (23,304)    154,000  30,061   1/17/47   (500 bp) - Monthly  6,628
  CMBX NA BB.6 Index   (11,542)    79,000  19,189   5/11/63   (500 bp) - Monthly  7,581
  CMBX NA BB.7 Index   (108,429)    534,000  104,237   1/17/47   (500 bp) - Monthly  (4,637)
  CMBX NA BB.7 Index   (34,659)    205,000  40,016   1/17/47   (500 bp) - Monthly  5,186
  CMBX NA BB.7 Index   (26,051)    159,000  31,037   1/17/47   (500 bp) - Monthly  4,853
                       
  JPMorgan Securities LLC
  CMBX NA BB.6 Index   (24,729)    186,000  45,179   5/11/63   (500 bp) - Monthly  20,295
  CMBX NA BB.6 Index   (23,053)    159,000  38,621   5/11/63   (500 bp) - Monthly  15,435
  CMBX NA BB.6 Index   (18,697)    130,000  31,577   5/11/63   (500 bp) - Monthly  12,771
  CMBX NA BB.6 Index   (11,389)    81,000  19,675   5/11/63   (500 bp) - Monthly  8,219
  CMBX NA BB.7 Index   (98,093)    573,000  111,850   1/17/47   (500 bp) - Monthly  13,279
  CMBX NA BB.7 Index   (36,704)    226,000  44,115   1/17/47   (500 bp) - Monthly  7,223
  CMBX NA BB.7 Index   (24,576)    157,000  30,646   1/17/47   (500 bp) - Monthly  5,940
  CMBX NA BB.7 Index   (12,093)    77,000  15,030   1/17/47   (500 bp) - Monthly  2,873
  CMBX NA BBB-.7 Index   (12,387)    111,000  12,288   1/17/47   (300 bp) - Monthly  (154)
   Upfront premium received  —           Unrealized appreciation   510,091
   Upfront premium (paid)  (782,021)        Unrealized depreciation   (4,791)
    Total $(782,021)             Total  $505,300
                       
* 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.










  CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/17 (Unaudited)

      Upfront                
      premium         Termi-   Payments Unrealized
      received   Notional     nation   (paid) appreciation/
  Referenced debt*   (paid)**   amount Value   date   by fund (depreciation)
                       
  NA HY Series 29 Index    $695,399    $9,334,000  $731,020   12/20/22   (500 bp) - Quarterly  $(38,214)
                       
  Total    $695,399                $(38,214)
                       
* 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.










Key to holding's abbreviations
BKNT Bank Note
bp Basis Points
DAC Designated Activity Company
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
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
MTN Medium Term Notes
PO Principal Only
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 $249,611,370.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in 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 Short Term Investment Fund* $15,479,308 $67,592,245 $68,346,452 $133,250 $14,725,101
Total Short-term investments $15,479,308 $67,592,245 $68,346,452 $133,250 $14,725,101
* 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 $811,211.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $2,881,015.
(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. Collateral at period end totaled $2,788,860.
(i) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
(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 $86,594,864 to cover certain derivative contracts and delayed delivery 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 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.
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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to hedge treasury term structure risk and for yield curve positioning.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge term structure risk and for yield curve positioning.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure and to gain exposure to specific sectors.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund's maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to gain liquid exposure to individual names, to hedge market risk and to gain exposure to specific sectors.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral 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 $3,174,098 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $2,881,015 and may include amounts related to unsettled agreements.












ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:

 Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Asset-backed securities $— $1,847,667 $—
Corporate bonds and notes — 77,807,305 —
Mortgage-backed securities — 113,689,971 —
Municipal bonds and notes — 1,237,514 —
Purchased options outstanding — 276,003 —
Purchased swap options outstanding — 3,897,347 —
U.S. government and agency mortgage obligations — 183,391,411 —
U.S. treasury obligations — 133,403 —
Short-term investments 14,815,101 7,576,414 —
Totals by level $14,815,101 $389,857,035 $—



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $(493,874) $— $—
Written options outstanding — (293,499) —
Written swap options outstanding — (4,053,997) —
Forward premium swap option contracts — 126,344 —
TBA sale commitments — (70,156,329) —
Interest rate swap contracts — 425,292 —
Total return swap contracts — (63,548) —
Credit default contracts — (3,703,062) —
Totals by level $(493,874) $(77,718,799) $—

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 $1,287,321 $4,990,383
Interest rate contracts 5,427,770 5,607,702
Total $6,715,091 $10,598,085

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 TBA commitment option contracts (contract amount)$32,100,000
Purchased swap option contracts (contract amount)$976,000,000
Written TBA commitment option contracts (contract amount)$64,200,000
Written swap option contracts (contract amount)$947,700,000
Futures contracts (number of contracts)400
Centrally cleared interest rate swap contracts (notional)$143,400,000
OTC total return swap contracts (notional)$49,000,000
Centrally cleared total return swap contracts (notional)$1,600,000
OTC credit default contracts (notional)$40,800,000
Centrally cleared credit default contracts (notional)$8,400,000

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