0000928816-17-002415.txt : 20171128 0000928816-17-002415.hdr.sgml : 20171128 20171128122103 ACCESSION NUMBER: 0000928816-17-002415 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20170930 FILED AS OF DATE: 20171128 DATE AS OF CHANGE: 20171128 EFFECTIVENESS DATE: 20171128 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM VARIABLE TRUST CENTRAL INDEX KEY: 0000822671 IRS NUMBER: 046649095 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-05346 FILM NUMBER: 171224803 BUSINESS ADDRESS: STREET 1: ONE POST OFFICE SQ STREET 2: MAILSTOP A 14 CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 8002551581 FORMER COMPANY: FORMER CONFORMED NAME: PUTNAM CAPITAL MANAGER TRUST /MA/ DATE OF NAME CHANGE: 19920703 0000822671 S000003896 Putnam VT Global Asset Allocation Fund C000010887 Class IA Shares C000010888 Class IB Shares N-Q 1 a_vtglobalassetallocation.htm PUTNAM VARIABLE TRUST a_vtglobalassetallocation.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 Global Asset Allocation Fund

The fund's portfolio
9/30/17 (Unaudited)
COMMON STOCKS (55.6%)(a)
Shares Value
Basic materials (2.0%)
Anglo American PLC (United Kingdom) 2,922 $52,448
Asahi Kasei Corp. (Japan) 7,000 86,248
BASF SE (Germany) 2,491 265,088
Cabot Corp. 781 43,580
Celanese Corp. Ser. A 391 40,770
CIMIC Group, Ltd. (Australia) 4,159 144,714
Covestro AG (Germany) 665 57,179
Evonik Industries AG (Germany) 4,649 166,048
Fortescue Metals Group, Ltd. (Australia) 11,438 46,311
Hitachi Chemical Co., Ltd. (Japan) 1,700 46,634
HOCHTIEF AG (Germany) 896 151,170
Kajima Corp. (Japan) 4,000 39,768
Kuraray Co., Ltd. (Japan) 3,000 56,146
Mitsubishi Chemical Holdings Corp. (Japan) 9,100 86,801
Mitsubishi Gas Chemical Co., Inc. (Japan) 1,700 39,879
Mitsubishi Materials Corp. (Japan) 400 13,833
Newmont Mining Corp. 4,388 164,594
Packaging Corp. of America 2,048 234,865
Reliance Steel & Aluminum Co. 1,073 81,730
Rio Tinto PLC (United Kingdom) 1,344 62,547
Sherwin-Williams Co. (The) 1,171 419,265
Shin-Etsu Chemical Co., Ltd. (Japan) 400 35,798
Steel Dynamics, Inc. 7,313 252,079
Taisei Corp. (Japan) 1,400 73,461
Timken Co. (The) 1,853 89,963
UPM-Kymmene OYJ (Finland) 2,978 80,707
voestalpine AG (Austria) 729 37,174
2,868,800
Capital goods (3.7%)
ACS Actividades de Construccion y Servicios SA (Spain) 3,728 138,154
Allison Transmission Holdings, Inc. 8,581 322,045
Avery Dennison Corp. 1,658 163,048
BWX Technologies, Inc. 1,756 98,371
Carlisle Cos., Inc. 1,073 107,611
Crane Co. 488 39,035
Crown Holdings, Inc.(NON) 6,631 396,003
Cummins, Inc. 2,828 475,189
HD Supply Holdings, Inc.(NON) 3,316 119,608
Hitachi, Ltd. (Japan) 17,000 119,917
Huntington Ingalls Industries, Inc. 781 176,850
Jacobs Engineering Group, Inc. 2,341 136,410
JTEKT Corp (Japan) 2,300 31,893
L3 Technologies, Inc. 3,316 624,834
Northrop Grumman Corp. 2,048 589,251
Oshkosh Corp. 1,756 144,940
Parker Hannifin Corp. 1,951 341,464
Quanta Services, Inc.(NON) 5,168 193,128
Raytheon Co. 3,121 582,316
Sandvik AB (Sweden) 5,519 95,203
Spirit AeroSystems Holdings, Inc. Class A 2,341 181,943
Waste Management, Inc. 3,121 244,281
WESCO International, Inc.(NON) 683 39,785
5,361,279
Communication services (1.6%)
ACC Claims Holdings, LLC Class A (Units)(F) 45,210 271
Cable One, Inc. 100 72,212
Eutelsat Communications SA (France) 512 15,165
I-CABLE Communications, Ltd. (Hong Kong)(NON) 10,599 346
Juniper Networks, Inc. 11,604 322,939
KDDI Corp. (Japan) 2,200 58,041
Nippon Telegraph & Telephone Corp. (Japan) 3,800 174,273
PCCW, Ltd. (Hong Kong) 9,000 4,877
Sky PLC (United Kingdom) 13,103 160,656
Telstra Corp., Ltd. (Australia) 49,756 136,462
Verizon Communications, Inc. 29,760 1,472,822
2,418,064
Conglomerates (0.4%)
Bouygues SA (France) 3,637 172,588
Danaher Corp. 3,316 284,446
Marubeni Corp. (Japan) 24,800 169,503
626,537
Consumer cyclicals (7.5%)
Adecco Group AG (Switzerland) 2,166 168,654
Aramark 3,901 158,420
Aristocrat Leisure, Ltd. (Australia) 4,699 77,723
Berkeley Group Holdings PLC (The) (United Kingdom) 143 7,123
Booz Allen Hamilton Holding Corp. 2,633 98,448
Carnival PLC (United Kingdom) 2,546 161,814
Carter's, Inc. 683 67,446
Clorox Co. (The) 2,341 308,801
Dai Nippon Printing Co., Ltd. (Japan) 2,500 59,904
Discovery Communications, Inc. Class A(NON)(S) 19,404 413,111
Dolby Laboratories, Inc. Class A 781 44,923
Electrolux AB Ser. B (Sweden) 4,440 150,782
Euronet Worldwide, Inc.(NON) 391 37,063
Fiat Chrysler Automobiles NV (Italy)(NON) 8,378 150,114
Ford Motor Co. 2,536 30,356
GEDI Gruppo Editoriale SpA (Italy)(NON) 261 231
Harvey Norman Holdings, Ltd. (Australia)(S) 20,392 62,271
Hasbro, Inc. 2,536 247,691
Home Depot, Inc. (The) 2,438 398,759
Hyatt Hotels Corp. Class A(NON) 781 48,258
Industrivarden AB Class A (Sweden) 6,332 169,011
International Game Technology PLC 1,171 28,748
Interpublic Group of Cos., Inc. (The) 1,366 28,399
ISS A/S (Denmark) 1,158 46,568
John Wiley & Sons, Inc. Class A 586 31,351
KAR Auction Services, Inc. 1,853 88,462
Kimberly-Clark Corp. 4,388 516,380
Kingfisher PLC (United Kingdom) 32,324 129,293
Lagardere SCA (France) 676 22,631
Lear Corp. 1,171 202,677
Liberty SiriusXM Group Class A(NON) 2,438 102,152
Lowe's Cos., Inc. 12,286 982,143
LSC Communications, Inc. 1,171 19,333
Marks & Spencer Group PLC (United Kingdom) 33,086 156,681
Masco Corp. 5,071 197,820
Mazda Motor Corp. (Japan) 1,400 21,473
Michaels Cos., Inc. (The)(NON) 3,511 75,381
MSC Industrial Direct Co., Inc. Class A 878 66,350
Namco Bandai Holdings, Inc. (Japan) 1,000 34,314
News Corp. Class A 4,486 59,484
NVR, Inc.(NON) 50 142,750
Owens Corning 2,341 181,076
Peugeot SA (France) 6,789 161,682
PVH Corp. 2,536 319,688
Ralph Lauren Corp. 5,948 525,149
Randstad Holding NV (Netherlands) 758 46,890
Renault SA (France) 722 70,920
Ross Stores, Inc. 5,266 340,026
RR Donnelley & Sons Co. 1,788 18,416
RTL Group SA (Belgium) 582 44,051
Scotts Miracle-Gro Co. (The) Class A 1,268 123,427
ServiceMaster Global Holdings, Inc.(NON) 1,463 68,366
Square, Inc. Class A(NON) 16,284 469,142
Suzuki Motor Corp. (Japan) 300 15,750
TABCORP Holdings, Ltd. (Australia) 26,760 89,855
Taylor Wimpey PLC (United Kingdom) 66,073 173,091
TJX Cos., Inc. (The) 9,946 733,319
Toppan Printing Co., Ltd. (Japan) 7,000 69,482
Toro Co. (The) 1,073 66,590
TransUnion(NON) 2,731 129,067
TUI AG (Germany) 1,139 19,322
Valeo SA (France) 1,272 94,382
Vantiv, Inc. Class A(NON) 1,073 75,614
Visteon Corp.(NON) 976 120,800
Wal-Mart Stores, Inc. 6,826 533,384
Walt Disney Co. (The) 7,898 778,506
Yue Yuen Industrial Holdings, Ltd. (Hong Kong) 7,500 28,594
11,109,882
Consumer staples (5.4%)
Altria Group, Inc. 2,828 179,352
Associated British Foods PLC (United Kingdom) 1,480 63,324
Beiersdorf AG (Germany) 182 19,581
Bunge, Ltd. 2,633 182,888
Campbell Soup Co. 4,096 191,775
Coca-Cola Amatil, Ltd. (Australia) 19,609 119,124
ConAgra Foods, Inc. 6,241 210,571
Darden Restaurants, Inc. 2,731 215,148
Delivery Hero Holding GmbH (acquired 06/12/15, cost $15,404) (Private) (Germany)(F)(RES)(NON) 600 21,381
Distribuidora Internacional de Alimentacion SA (Spain) 4,092 23,867
Dr. Pepper Snapple Group, Inc. 1,171 103,598
Energizer Holdings, Inc. 1,366 62,904
Heineken Holding NV (Netherlands) 1,717 161,331
Hershey Co. (The) 2,633 287,445
Ingredion, Inc. 1,268 152,972
ITOCHU Corp. (Japan) 11,300 185,154
J Sainsbury PLC (United Kingdom) 48,515 154,659
Kao Corp. (Japan) 3,100 182,785
Lamb Weston Holdings, Inc. 2,243 105,174
Liberty Interactive Corp.(NON) 683 39,307
ManpowerGroup, Inc. 1,268 149,396
McDonald's Corp. 6,923 1,084,696
Nestle SA (Switzerland) 1,495 125,207
PepsiCo, Inc. 8,483 945,261
Pinnacle Foods, Inc. 2,146 122,687
Pool Corp. 293 31,694
Procter & Gamble Co. (The) 1,951 177,502
Spectrum Brands Holdings, Inc. 586 62,069
Swedish Match AB (Sweden) 1,439 50,476
Sysco Corp. 7,313 394,536
Tate & Lyle PLC (United Kingdom) 17,201 149,475
Toyota Tsusho Corp. (Japan) 3,200 105,220
Tyson Foods, Inc. Class A 7,508 528,939
Ulta Beauty, Inc.(NON) 976 220,635
Unilever NV ADR (Netherlands) 835 49,384
Walgreens Boots Alliance, Inc. 7,118 549,652
Watsco, Inc. 976 157,204
WH Group, Ltd. (Hong Kong) 104,500 111,269
WM Morrison Supermarkets PLC (United Kingdom) 49,811 156,254
Yum! Brands, Inc. 2,828 208,169
8,042,065
Energy (2.8%)
Baker Hughes a GE Co. 6,241 228,545
Caltex Australia, Ltd. (Australia) 1,366 34,498
Cimarex Energy Co. 2,926 332,598
Exxon Mobil Corp. 10,047 823,653
Halcon Resources Corp.(NON) 899 6,113
Milagro Oil & Gas, Inc. (Units)(F) 15 1,215
Nabors Industries, Ltd. 3,121 25,186
Nine Point Energy 89 1,225
ONEOK, Inc. 7,606 421,448
Parsley Energy, Inc. Class A(NON) 16,674 439,193
QEP Resources, Inc.(NON) 2,341 20,062
Repsol SA (Spain) 10,412 191,850
Rowan Cos. PLC Class A(NON) 2,536 32,588
Royal Dutch Shell PLC Class B (United Kingdom) 3,318 102,016
SandRidge Energy, Inc.(NON) 431 8,659
Superior Energy Services, Inc.(NON) 1,951 20,837
Tervita Corp. Class A (Canada) 16 122
Total SA (France) 5,387 289,344
Valero Energy Corp. 8,776 675,138
Vestas Wind Systems A/S (Denmark) 773 69,366
Williams Cos., Inc. (The) 15,991 479,890
4,203,546
Financials (10.7%)
3i Group PLC (United Kingdom) 19,685 240,830
Aflac, Inc. 4,583 373,010
AGNC Investment Corp.(R) 5,948 128,953
Allianz SE (Germany) 1,244 279,280
Allstate Corp. (The) 4,291 394,386
Ally Financial, Inc. 7,703 186,875
American Financial Group, Inc. 488 50,484
Ameriprise Financial, Inc. 2,536 376,621
Annaly Capital Management, Inc.(R) 12,969 158,092
Apartment Investment & Management Co. Class A(R) 1,853 81,273
Apple Hospitality REIT, Inc.(R) 2,926 55,331
Aspen Insurance Holdings, Ltd. 586 23,674
Assured Guaranty, Ltd. 2,048 77,312
AXA SA (France) 6,526 197,378
Banco Santander SA (Spain) 14,574 101,748
Barratt Developments PLC (United Kingdom) 12,185 100,335
BNP Paribas SA (France) 2,124 171,332
Brandywine Realty Trust(R) 2,731 47,765
Brixmor Property Group, Inc.(R) 4,876 91,669
Camden Property Trust(R) 1,366 124,921
Cheung Kong Property Holdings, Ltd. (Hong Kong) 19,500 162,186
Chimera Investment Corp.(R) 3,023 57,195
Citigroup, Inc. 23,304 1,695,133
Colony NorthStar, Inc. Class A(R) 7,021 88,184
CoreLogic, Inc.(NON) 781 36,098
Credit Agricole SA (France) 5,317 96,650
Daiwa Securities Group, Inc. (Japan) 4,000 22,680
DGB Financial Group, Inc. (South Korea) 4,059 37,270
Discover Financial Services 4,291 276,684
DNB ASA (Norway) 4,759 95,903
Duke Realty Corp.(R) 4,193 120,842
E*Trade Financial Corp.(NON) 9,361 408,233
East West Bancorp, Inc. 1,366 81,659
Equity Commonwealth(NON)(R) 1,073 32,619
Equity Lifestyle Properties, Inc.(R) 683 58,110
Equity Residential Trust(R) 3,901 257,193
First Hawaiian, Inc. 3,413 103,380
Forest City Realty Trust, Inc. Class A(R) 3,608 92,040
Gaming and Leisure Properties, Inc.(R) 1,171 43,198
Goldman Sachs Group, Inc. (The) 4,876 1,156,538
Hartford Financial Services Group, Inc. (The) 5,558 308,080
HCP, Inc.(R) 6,436 179,114
Highwoods Properties, Inc.(R) 1,561 81,312
HSBC Holdings PLC (United Kingdom) 4,013 39,637
Industrial Bank of Korea (South Korea) 7,084 89,112
Japan Post Bank Co., Ltd. (Japan) 800 9,891
JPMorgan Chase & Co. 20,421 1,950,410
Kerry Properties, Ltd. (Hong Kong) 15,500 64,352
Liberty Property Trust(R) 1,658 68,077
Lincoln National Corp. 2,731 200,674
Mapfre SA (Spain) 11,790 38,376
MFA Financial, Inc.(R) 3,998 35,022
Mid-America Apartment Communities, Inc.(R) 293 31,316
Mitsubishi UFJ Financial Group, Inc. (Japan) 35,700 231,971
Mizuho Financial Group, Inc. (Japan) 107,800 189,035
Morgan Stanley 3,901 187,911
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 818 174,893
New World Development Co., Ltd. (Hong Kong) 64,000 92,142
NN Group NV (Netherlands) 3,877 162,257
Nomura Holdings, Inc. (Japan) 18,500 103,657
Nomura Real Estate Holdings, Inc. (Japan) 1,400 29,927
ORIX Corp. (Japan) 10,600 171,113
Outfront Media, Inc.(R) 1,658 41,748
Park Hotels & Resorts, Inc.(R) 3,803 104,811
Persimmon PLC (United Kingdom) 4,955 171,437
Popular, Inc. (Puerto Rico) 2,438 87,622
Prudential Financial, Inc. 4,374 465,044
Quality Care Properties, Inc.(NON)(R) 2,048 31,744
Raymond James Financial, Inc. 586 49,417
Reinsurance Group of America, Inc. 683 95,299
Resona Holdings, Inc. (Japan) 31,300 160,846
Senior Housing Properties Trust(R) 1,561 30,518
Societe Generale SA (France) 2,927 171,362
Spirit Realty Capital, Inc.(R) 11,896 101,949
Starwood Property Trust, Inc.(R) 3,706 80,494
Sumitomo Mitsui Financial Group, Inc. (Japan) 5,200 200,032
Sumitomo Mitsui Trust Holdings, Inc. (Japan) 1,300 46,976
Sun Hung Kai Properties, Ltd. (Hong Kong) 4,000 65,285
SunTrust Banks, Inc. 4,486 268,128
Swiss Re AG (Switzerland) 1,971 178,506
TCF Financial Corp. 3,316 56,505
Travelers Cos., Inc. (The) 1,171 143,471
Two Harbors Investment Corp. ((R)) 4,876 49,150
Unum Group 2,926 149,606
Validus Holdings, Ltd. 1,073 52,802
VEREIT, Inc.(R) 14,529 120,445
Voya Financial, Inc. 2,633 105,030
Wharf Holdings, Ltd. (The) (Hong Kong) 4,000 35,651
Wheelock and Co., Ltd. (Hong Kong) 14,000 98,466
WP Carey, Inc.(R) 488 32,886
15,816,573
Health care (7.2%)
Alfresa Holdings Corp. (Japan) 500 9,168
AmerisourceBergen Corp. 4,388 363,107
AstraZeneca PLC (United Kingdom) 387 25,696
Baxter International, Inc. 5,461 342,678
Bayer AG (Germany) 1,784 243,111
Bruker Corp. 1,366 40,639
C.R. Bard, Inc. 976 312,808
Celgene Corp.(NON) 7,801 1,137,542
Charles River Laboratories International, Inc.(NON) 976 105,428
Eli Lilly & Co. 6,923 592,193
Gilead Sciences, Inc. 17,064 1,382,525
GlaxoSmithKline PLC (United Kingdom) 12,048 240,308
Hologic, Inc.(NON) 1,073 39,368
Johnson & Johnson 13,749 1,787,507
McKesson Corp. 3,803 584,179
Medipal Holdings Corp. (Japan) 2,800 48,661
Merck & Co., Inc. 10,726 686,786
Mitsubishi Tanabe Pharma Corp. (Japan) 3,800 87,349
Novartis AG (Switzerland) 3,088 264,362
Premier, Inc. Class A(NON) 1,268 41,299
Roche Holding AG (Switzerland) 1,286 328,290
Sanofi (France) 2,844 282,385
Shionogi & Co., Ltd. (Japan) 2,500 136,764
Taro Pharmaceutical Industries, Ltd. (Israel)(NON) 139 15,664
UnitedHealth Group, Inc. 7,411 1,451,444
WellCare Health Plans, Inc.(NON) 1,073 184,277
10,733,538
Technology (10.6%)
Adobe Systems, Inc.(NON) 1,171 174,690
Agilent Technologies, Inc. 4,486 288,001
Alphabet, Inc. Class A(NON) 2,722 2,650,466
Amadeus IT Holding SA Class A (Spain) 3,287 213,631
Amdocs, Ltd. 3,413 219,524
Apple, Inc. 17,848 2,750,734
Applied Materials, Inc. 20,769 1,081,857
AtoS SE (France) 1,279 198,404
Citrix Systems, Inc.(NON) 3,511 269,715
Dell Technologies, Inc. Class V(NON) 2,341 180,749
DST Systems, Inc. 586 32,160
Dun & Bradstreet Corp. (The) 1,171 136,316
DXC Technology Co. 3,998 343,348
eBay, Inc.(NON) 8,201 315,410
F5 Networks, Inc.(NON) 1,463 176,379
Facebook, Inc. Class A(NON) 3,511 599,925
FLIR Systems, Inc. 1,951 75,913
Fortinet, Inc.(NON) 5,266 188,733
Fujitsu, Ltd. (Japan) 1,000 7,451
Hoya Corp. (Japan) 1,100 59,662
HP, Inc. 28,277 564,409
Intuit, Inc. 3,121 443,619
Maxim Integrated Products, Inc. 4,778 227,958
Microsoft Corp. 35,893 2,673,670
Mixi, Inc. (Japan) 300 14,508
NCR Corp.(NON) 2,341 87,834
Otsuka Corp. (Japan) 700 44,981
Samsung Electronics Co., Ltd. (South Korea) 66 148,349
Synopsys, Inc.(NON) 1,951 157,114
Teradyne, Inc. 4,291 160,011
Texas Instruments, Inc. 9,848 882,775
VMware, Inc. Class A(NON)(S) 2,243 244,913
Xerox Corp. 1,317 43,843
15,657,052
Transportation (1.8%)
ANA Holdings, Inc. (Japan) 2,600 98,592
Central Japan Railway Co. (Japan) 1,000 175,429
Delta Air Lines, Inc. 10,433 503,079
Deutsche Lufthansa AG (Germany) 545 15,144
Deutsche Post AG (Germany) 5,075 225,920
easyJet PLC (United Kingdom) 1,089 17,759
International Consolidated Airlines Group SA (Spain) 3,455 27,523
Japan Airlines Co., Ltd. (Japan) 500 16,925
Landstar System, Inc. 683 68,061
Norfolk Southern Corp. 3,023 399,762
Qantas Airways, Ltd. (Australia) 23,388 107,304
Royal Mail PLC (United Kingdom) 16,979 87,413
Union Pacific Corp. 7,411 859,454
Yangzijiang Shipbuilding Holdings, Ltd. (China) 26,000 27,445
2,629,810
Utilities and power (1.9%)
American Electric Power Co., Inc. 4,778 335,607
CenterPoint Energy, Inc. 5,558 162,349
Centrica PLC (United Kingdom) 59,007 147,860
Edison International 391 30,173
Endesa SA (Spain) 3,323 74,916
Enel SpA (Italy) 38,567 232,242
ENGIE SA (France) 954 16,203
ENI SpA (Italy) 988 16,348
Entergy Corp. 7,216 551,014
Exelon Corp. 7,411 279,172
FirstEnergy Corp. 9,166 282,588
Gas Natural SDG SA (Spain) 412 9,120
Iberdrola SA (Spain) 3,204 24,887
Innogy SE (Germany) 732 32,577
NiSource, Inc. 6,923 177,160
PPL Corp. 2,146 81,441
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 1,923 2,019
Tohoku Electric Power Co., Inc. (Japan) 3,100 39,449
UGI Corp. 7,216 338,142
Vectren Corp. 781 51,366
2,884,633
Total common stocks (cost $68,506,140) $82,351,779

CORPORATE BONDS AND NOTES (16.1%)(a)
Principal amount Value
Basic materials (1.2%)
A Schulman, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 6/1/23 $10,000 $10,375
Agrium, Inc. sr. unsec. unsub. notes 5.25%, 1/15/45 (Canada) 20,000 22,919
AK Steel Corp. company guaranty sr. unsec. notes 6.375%, 10/15/25 10,000 9,875
Allegheny Technologies, Inc. sr. unsec. unsub. notes 9.375%, 6/1/19 15,000 16,388
Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 10,000 10,200
ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 10,000 11,500
ArcelorMittal SA sr. unsec. unsub. notes 7.50%, 10/15/39 (France) 10,000 12,000
Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 20,000 21,300
Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 20,000 21,220
Blue Cube Spinco, Inc. company guaranty sr. unsec. unsub. notes 9.75%, 10/15/23 20,000 24,300
BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 25,000 26,063
Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 25,000 26,281
Builders FirstSource, Inc. 144A company guaranty sr. unsec. notes 10.75%, 8/15/23 20,000 22,850
Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 25,000 26,438
BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 15,000 15,675
BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 40,000 41,200
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 22,000 23,741
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 15,000 13,913
Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 10,000 10,375
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 15,000 16,613
Chemours Co. (The) company guaranty sr. unsec. unsub. notes 6.625%, 5/15/23 10,000 10,638
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 25,000 24,563
CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 7,000 7,228
CSTN Merger Sub, Inc. 144A company guaranty sr. notes 6.75%, 8/15/24 15,000 14,963
E. I. du Pont de Nemours & Co. sr. unsec. notes 3.625%, 1/15/21 95,000 99,529
E. I. du Pont de Nemours & Co. sr. unsec. unsub. FRN BBA LIBOR USD 3 Month + 0.53%, 1.841%, 5/1/20 5,000 5,042
Eastman Chemical Co. sr. unsec. notes 3.80%, 3/15/25 40,000 41,134
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.00%, 2/15/21 (Canada) 40,000 41,100
Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 20,000 20,763
Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 20,000 21,800
Freeport-McMoRan, Inc. company guaranty sr. unsec. sub. notes 6.75%, 2/1/22 (Indonesia) 5,000 5,213
GCP Applied Technologies, Inc. 144A company guaranty sr. unsec. notes 9.50%, 2/1/23 30,000 33,900
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 87,000 92,155
Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.00%, 4/16/25 59,000 59,906
Grinding Media, Inc./Moly-Cop Altasteel, Ltd. 144A sr. sub. notes 7.375%, 12/15/23 5,000 5,425
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4.875%, 11/15/20 20,000 21,175
Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 10,000 11,200
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 10.50%, 4/15/23 20,000 22,850
Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 10,000 10,725
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 25,000 25,759
Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 15,000 15,919
Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 20,000 20,800
Methanex Corp. sr. unsec. unsub. notes 5.65%, 12/1/44 (Canada) 45,000 44,354
Methanex Corp. sr. unsec. unsub. notes 3.25%, 12/15/19 (Canada) 6,000 6,043
New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 10,000 10,375
New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 5,000 5,238
Norbord, Inc. 144A company guaranty sr. notes 6.25%, 4/15/23 (Canada) 25,000 26,895
NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 16,000 16,160
NOVA Chemicals Corp. 144A sr. unsec. notes 4.875%, 6/1/24 (Canada) 9,000 9,113
Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 25,000 25,375
Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 10,000 10,375
Packaging Corp. of America sr. unsec. unsub. notes 4.50%, 11/1/23 45,000 48,445
Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 20,000 21,550
Platform Specialty Products Corp. 144A sr. unsec. notes 10.375%, 5/1/21 5,000 5,450
Platform Specialty Products Corp. 144A sr. unsec. notes 6.50%, 2/1/22 5,000 5,181
Sealed Air Corp. 144A company guaranty sr. unsec. notes 6.875%, 7/15/33 10,000 11,725
Sealed Air Corp. 144A company guaranty sr. unsec. notes 5.125%, 12/1/24 5,000 5,381
Sealed Air Corp. 144A sr. unsec. bonds 5.50%, 9/15/25 5,000 5,500
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 35,000 35,243
Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22 15,000 15,101
Smurfit Kappa Treasury Funding, Ltd. company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 15,000 18,356
Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 5,000 5,338
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 20,000 21,400
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 4/15/23 3,000 3,120
Steel Dynamics, Inc. 144A company guaranty sr. unsec. notes 4.125%, 9/15/25 40,000 40,050
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 4.75%, 1/15/22 (Canada) 5,000 5,286
Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 5,000 5,064
Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) 5,000 5,738
TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 15,000 15,338
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 10,000 10,288
Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 5,000 5,125
U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 20,000 21,550
United States Steel Corp. sr. unsec. notes 6.875%, 8/15/25 5,000 5,113
Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 15,000 15,713
USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 20,000 20,875
USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 10,000 10,700
Venator Finance SARL/Venator Materials Corp. 144A sr. unsec. notes 5.75%, 7/15/25 (Luxembourg) 10,000 10,400
Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 10,000 9,800
Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26 36,000 35,954
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 35,000 49,039
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 10,000 13,896
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) 48,000 66,588
WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 25,000 27,469
Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 15,000 16,913
1,741,630
Capital goods (0.9%)
Advanced Disposal Services, Inc. 144A sr. unsec. notes 5.625%, 11/15/24 30,000 31,350
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 5.00%, 10/1/24 20,000 20,725
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 5,000 5,038
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 17,000 18,636
ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 10,000 10,465
Belden, Inc. 144A company guaranty sr. unsec. sub. notes 5.25%, 7/15/24 35,000 36,488
Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 10,000 10,438
Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 10,000 10,450
Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 20,000 21,450
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 45,000 49,613
Covidien International Finance SA company guaranty sr. unsec. unsub. notes 6.00%, 10/15/17 (Luxembourg) 130,000 130,187
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 10,000 11,750
Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 30,000 30,750
General Dynamics Corp. company guaranty sr. unsec. unsub. notes 2.25%, 11/15/22 30,000 29,945
Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 20,000 20,750
Honeywell International, Inc. sr. unsec. unsub. notes 5.375%, 3/1/41 55,000 67,623
Honeywell International, Inc. sr. unsec. unsub. notes 4.25%, 3/1/21 40,000 42,751
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 65,000 69,432
Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 20,000 21,225
L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26 8,000 8,300
Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 99,000 127,787
Manitowoc Foodservice, Inc. sr. unsec. notes 9.50%, 2/15/24 30,000 34,463
MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 30,000 30,675
Medtronic, Inc. company guaranty sr. unsec. sub. notes 4.375%, 3/15/35 27,000 29,721
Medtronic, Inc. company guaranty sr. unsec. sub. notes 3.50%, 3/15/25 27,000 28,159
Moog, Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/22 15,000 15,638
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 25,000 26,500
Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/22 10,000 10,400
Raytheon Co. sr. unsec. notes 4.875%, 10/15/40 20,000 23,400
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. FRN BBA LIBOR USD 3 Month + 3.50%, 4.804%, 7/15/21 30,000 30,600
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. unsec. unsub. notes 7.00%, 7/15/24 15,000 15,975
Rockwell Collins, Inc. sr. unsec. bonds 4.35%, 4/15/47 55,000 56,969
Tennant Co. 144A company guaranty sr. unsec. notes 5.625%, 5/1/25 5,000 5,175
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 20,000 21,000
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/26 5,000 5,125
TI Group Automotive Systems, LLC 144A sr. unsec. notes 8.75%, 7/15/23 (United Kingdom) 40,000 42,400
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 5,000 5,150
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 20,000 20,488
TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 8,000 8,260
United Technologies Corp. sr. unsec. unsub. notes 1.90%, 5/4/20 105,000 104,661
Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 5,000 5,094
Wrangler Buyer Corp. 144A sr. unsec. notes 6.00%, 10/1/25 20,000 20,350
1,315,356
Communication services (1.5%)
American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27(R) 16,000 15,349
American Tower Corp. sr. unsec. notes 4.00%, 6/1/25(R) 100,000 103,400
AT&T, Inc. sr. unsec. unsub. bonds 5.15%, 2/14/50 85,000 85,414
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 77,000 74,050
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 160,000 164,685
Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 7,000 7,761
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5.25%, 9/30/22 7,000 7,210
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 15,000 15,544
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 25,000 26,469
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 5,000 5,243
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 5,000 5,206
CenturyLink, Inc. sr. unsec. unsub. notes 6.75%, 12/1/23 14,000 14,162
CenturyLink, Inc. sr. unsec. unsub. notes 5.625%, 4/1/20 4,000 4,174
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 35,000 35,613
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 15,000 15,263
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 5,000 5,868
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 6,000 6,414
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. 144A company guaranty sr. bonds 5.375%, 5/1/47 31,000 32,205
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.95%, 8/15/37 64,000 89,233
Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 17,000 22,532
Comcast Corp. company guaranty sr. unsec. unsub. notes 3.375%, 2/15/25 35,000 36,000
CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 25,000 26,719
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 25,000 24,604
Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27(R) 34,000 33,981
Crown Castle International Corp. sr. unsec. notes 5.25%, 1/15/23(R) 36,000 39,852
Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22(R) 7,000 7,612
Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26(R) 35,000 35,215
Crown Castle Towers, LLC 144A company guaranty sr. notes 4.883%, 8/15/20 15,000 15,889
CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 63,000 63,709
CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 26,000 28,698
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 73,000 107,212
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 25,000 26,203
Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 5,000 4,238
Frontier Communications Corp. sr. unsec. notes 10.50%, 9/15/22 20,000 17,350
Frontier Communications Corp. sr. unsec. unsub. notes 7.625%, 4/15/24 4,000 3,050
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7.50%, 4/1/21 (Bermuda) 2,000 1,895
Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 30,000 30,450
Intelsat Luxembourg SA company guaranty sr. unsec. bonds 7.75%, 6/1/21 (Luxembourg) 10,000 6,450
Koninklijke KPN NV sr. unsec. unsub. bonds 8.375%, 10/1/30 (Netherlands) 30,000 41,717
NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 5.15%, 4/30/20 100,000 108,092
Orange SA sr. unsec. unsub. notes 4.125%, 9/14/21 (France) 46,000 49,107
Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 3,000 3,248
Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) 85,000 89,540
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 55,000 61,600
Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 5,000 5,463
Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 6,000 6,445
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 48,000 55,680
Sprint Corp. company guaranty sr. unsec. sub. notes 7.25%, 9/15/21 17,000 18,891
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.625%, 4/1/23 13,000 13,683
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 10,000 10,767
T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.00%, 3/1/23 5,000 5,269
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 25,000 26,945
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.00%, 4/15/22 5,000 5,178
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.836%, 4/28/23 3,000 3,165
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 1/15/22 17,000 17,680
TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28 65,000 85,167
Verizon Communications, Inc. sr. unsec. unsub. notes 4.522%, 9/15/48 55,000 53,249
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 65,000 65,042
Verizon Communications, Inc. sr. unsec. unsub. notes 4.125%, 3/16/27 90,000 93,907
Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 20,000 21,600
Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 40,000 41,588
West Corp. 144A company guaranty sr. unsec. sub. notes 5.375%, 7/15/22 25,000 25,250
Windstream Services, LLC company guaranty sr. unsec. notes 6.375%, 8/1/23 20,000 14,150
2,167,345
Consumer cyclicals (2.3%)
21st Century Fox America, Inc. company guaranty sr. unsec. notes 7.75%, 1/20/24 40,000 49,107
21st Century Fox America, Inc. company guaranty sr. unsec. unsub. notes 7.75%, 12/1/45 150,000 227,184
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 20,000 20,204
Amazon.com, Inc. sr. unsec. notes 1.20%, 11/29/17 128,000 127,978
Amazon.com, Inc. 144A sr. unsec. notes 3.15%, 8/22/27 90,000 90,643
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 5,000 4,938
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 10,000 9,863
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 2/15/22 10,000 10,075
AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.75%, 6/15/25 10,000 9,825
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 15,000 15,975
American Tire Distributors, Inc. 144A sr. unsec. sub. notes 10.25%, 3/1/22 25,000 26,070
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 64,000 68,337
Bon-Ton Department Stores, Inc. (The) company guaranty notes 8.00%, 6/15/21 14,000 5,040
Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 10,000 10,694
Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 10,000 10,913
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6.50%, 12/15/20 (Canada) 33,000 33,784
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 10,000 10,458
CalAtlantic Group, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 5,000 5,463
CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 15,000 14,181
CBS Corp. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 40,000 40,697
CBS Corp. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/25 19,000 19,331
CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 5,000 5,338
CCM Merger, Inc. 144A sr. unsec. notes 6.00%, 3/15/22 5,000 5,169
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 19,000 19,190
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 10,000 9,900
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 29,000 29,870
Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 35,000 34,388
CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 20,000 20,000
Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 30,000 32,250
Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 10,000 10,650
Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 65,000 66,430
Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 15,000 16,238
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.95%, 8/15/20 79,000 86,320
Expedia, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/15/26 12,000 13,053
Ford Motor Co. sr. unsec. unsub. notes 4.346%, 12/8/26 105,000 109,156
Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 10,000 10,550
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 76,000 76,137
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 22,000 22,715
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 10,000 10,199
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 4.875%, 11/1/20 12,000 12,675
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 20,000 21,825
Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 15,000 15,450
Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 27,000 22,419
GW Honos Security Corp. 144A company guaranty sr. unsec. notes 8.75%, 5/15/25 (Canada) $20,000 21,350
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 10,000 10,413
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 75,000 78,750
Historic TW, Inc. company guaranty sr. unsec. unsub. bonds 9.15%, 2/1/23 32,000 41,257
Host Hotels & Resorts LP sr. unsec. unsub. notes 6.00%, 10/1/21(R) 31,000 34,505
Host Hotels & Resorts LP sr. unsec. unsub. notes 5.25%, 3/15/22(R) 44,000 47,881
Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 25,000 25,500
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 55,000 60,010
Hyatt Hotels Corp. sr. unsec. unsub. notes 3.375%, 7/15/23 15,000 15,210
iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 20,000 15,100
IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 65,000 69,713
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 25,000 27,313
Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 35,000 36,706
Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 5,000 5,388
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9.75%, 10/15/19(PIK) 15,000 14,588
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.875%, 2/1/22 14,000 14,420
Lamar Media Corp. company guaranty sr. unsec. sub. notes 5.375%, 1/15/24 15,000 15,788
Lear Corp. sr. unsec. unsub. bonds 3.80%, 9/15/27 53,000 52,799
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 7,000 7,403
Lions Gate Entertainment Corp. 144A sr. unsec. unsub. notes 5.875%, 11/1/24 15,000 15,713
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 5,000 5,175
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.625%, 3/15/23 45,000 47,095
Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 5,000 5,222
Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) 10,000 10,250
MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 35,000 38,588
MGM Resorts International company guaranty sr. unsec. unsub. notes 8.625%, 2/1/19 10,000 10,775
MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 15,000 16,875
Moody's Corp. 144A sr. unsec. bonds 3.25%, 1/15/28 25,000 24,831
Navistar International Corp. company guaranty sr. unsec. notes 8.25%, 11/1/21 29,000 29,109
Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 20,000 12,200
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21(PIK) 10,000 4,700
Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.00%, 10/15/21 10,000 5,200
Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 30,000 31,050
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 10,000 10,413
Nielsen Co. Luxembourg Sarl (The) 144A company guaranty sr. unsec. sub. notes 5.50%, 10/1/21 (Luxembourg) 5,000 5,138
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 10,000 10,363
O'Reilly Automotive, Inc. company guaranty sr. unsec. notes 3.85%, 6/15/23 20,000 20,876
O'Reilly Automotive, Inc. company guaranty sr. unsec. sub. notes 3.55%, 3/15/26 20,000 20,046
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 81,000 81,656
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 15,000 15,713
Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.625%, 2/15/24 7,000 7,298
Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 10,000 10,375
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 14,000 14,456
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.50%, 5/15/26 15,000 15,506
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.375%, 12/1/24 10,000 10,300
PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 5,000 3,899
Priceline Group, Inc. (The) sr. unsec. notes 3.65%, 3/15/25 46,000 47,375
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 20,000 24,506
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 25,000 27,260
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 4.875%, 6/1/23 10,000 10,275
Regal Entertainment Group sr. unsec. sub. notes 5.75%, 6/15/23 14,000 14,420
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 25,000 25,219
S&P Global, Inc. company guaranty sr. unsec. unsub. notes 2.95%, 1/22/27 32,000 30,779
Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 20,000 20,726
Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 50,000 55,375
Scientific Games International, Inc. 144A company guaranty sr. notes 7.00%, 1/1/22 25,000 26,531
Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 35,000 35,919
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 10,000 10,763
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 60,000 61,275
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 20,000 20,500
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 25,000 25,438
Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 10,000 10,650
Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 10,000 10,713
Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 25,000 26,570
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 35,000 36,488
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 10,000 9,825
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. notes 5.25%, 4/15/21 7,000 7,184
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/1/24 7,000 7,289
Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26 41,000 38,723
Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 5,000 5,075
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 10,000 10,700
Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 10,000 10,400
Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 15,000 15,131
Viacom, Inc. sr. unsec. unsub. notes 4.50%, 3/1/21 70,000 73,593
Vulcan Materials Co. sr. unsec. unsub. notes 4.50%, 4/1/25 8,000 8,504
Wal-Mart Stores, Inc. sr. unsec. unsub. notes 5.00%, 10/25/40 10,000 11,881
Walt Disney Co. (The) sr. unsec. notes 2.75%, 8/16/21 30,000 30,589
Walt Disney Co. (The) sr. unsec. unsub. notes 4.375%, 8/16/41 10,000 10,758
Werner FinCo LP/Werner FinCo, Inc. 144A company guarany sr. unsec. notes 8.75%, 7/15/25 20,000 20,200
WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 10,000 10,325
Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 10,000 10,003
Wyndham Worldwide Corp. sr. unsec. unsub. bonds 4.50%, 4/1/27 30,000 30,106
Wyndham Worldwide Corp. sr. unsec. unsub. notes 5.625%, 3/1/21 35,000 37,199
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 10,000 10,187
3,416,052
Consumer staples (1.3%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 6.00%, 4/1/22 (Canada) 4,000 4,126
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 10,000 10,150
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada)(FWC) 5,000 5,075
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 5,000 5,113
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 15,000 15,053
Altria Group, Inc. company guaranty sr. unsec. notes 9.25%, 8/6/19 2,000 2,265
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/31/24 24,000 25,518
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.85%, 8/9/22 95,000 96,823
Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.625%, 1/14/20 80,000 81,236
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 4.90%, 2/1/46 226,000 255,282
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 3.65%, 2/1/26 73,000 75,519
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 2.65%, 2/1/21 80,000 81,299
Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 1.25%, 1/17/18 47,000 46,972
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 2.50%, 7/15/22 60,000 60,498
Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 5,000 5,275
BlueLine Rental Finance Corp./BlueLine Rental, LLC 144A company guaranty sub. notes 9.25%, 3/15/24 25,000 26,906
Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 15,000 16,238
CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 20,000 20,750
Ceridian HCM Holding, Inc. 144A sr. unsec. notes 11.00%, 3/15/21 5,000 5,306
CVS Health Corp. sr. unsec. notes 4.75%, 12/1/22 40,000 43,748
CVS Health Corp. sr. unsec. unsub. notes 2.25%, 12/5/18 130,000 130,581
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 3,336 3,764
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 44,808 47,640
Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 20,000 20,300
Diageo Investment Corp. company guaranty sr. unsec. notes 8.00%, 9/15/22 40,000 50,144
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 50,000 65,767
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 60,000 69,385
Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 10,000 6,100
Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 25,000 25,438
Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 40,000 40,450
High Ridge Brands Co. 144A company guaranty sr. unsec. notes 8.875%, 3/15/25 15,000 14,288
Kellogg Co. sr. unsec. unsub. notes 3.25%, 4/1/26 70,000 69,957
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 15,000 15,881
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.00%, 6/1/24 15,000 15,806
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 10,000 10,300
Kraft Heinz Co. (The) company guaranty sr. unsec. FRN BBA LIBOR USD 3 Month + 0.82%, 2.129%, 8/10/22 10,000 10,000
Kraft Heinz Co. (The) company guaranty sr. unsec. notes Ser. 144A, 6.875%, 1/26/39 15,000 19,271
Kraft Heinz Co. (The) company guaranty sr. unsec. unsub. notes 6.50%, 2/9/40 70,000 86,923
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 62,000 65,100
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 11/1/24 5,000 5,213
McDonald's Corp. sr. unsec. unsub. notes 6.30%, 10/15/37 44,000 56,821
McDonald's Corp. sr. unsec. unsub. notes 5.70%, 2/1/39 59,000 71,913
Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 36,000 37,909
Pilgrim's Pride Corp. 144A company guaranty sr. unsec. notes 5.75%, 3/15/25 10,000 10,325
Revlon Consumer Products Corp. company guaranty sr. unsec. notes 6.25%, 8/1/24 25,000 19,313
Revlon Consumer Products Corp. company guaranty sr. unsec. sub. notes 5.75%, 2/15/21 13,000 11,343
Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 15,000 14,569
Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.30%, 11/18/21 60,000 61,994
1,939,647
Energy (1.5%)
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. 144A company guaranty sr. unsec. notes 7.875%, 12/15/24 30,000 32,400
Anadarko Petroleum Corp. sr. unsec. unsub. bonds 6.95%, 6/15/19 30,000 32,327
Andeavor Logistics LP/Tesoro Logistics Finance Corp. company guaranty sr. unsec. notes 5.25%, 1/15/25 10,000 10,713
Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 5,000 5,213
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 13,000 13,341
Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.125%, 12/1/22 8,000 8,180
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 5,000 5,236
Apache Corp. sr. unsec. unsub. notes 3.25%, 4/15/22 44,000 44,629
Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 10,000 10,725
BP Capital Markets PLC company guaranty sr. unsec. bonds 3.119%, 5/4/26 (United Kingdom) 70,000 69,964
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom) 35,000 34,966
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 1.768%, 9/19/19 (United Kingdom) 20,000 20,008
Calfrac Holdings LP 144A company guaranty sr. unsec. unsub. notes 7.50%, 12/1/20 10,000 9,613
California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 10,000 6,250
California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 11,000 7,150
Canadian Natural Resources, Ltd. sr. unsec. unsub. bonds 3.85%, 6/1/27 (Canada) 10,000 10,123
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 29,000 33,386
Cenovus Energy, Inc. 144A sr. unsec. notes 4.25%, 4/15/27 (Canada) 25,000 24,787
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 30,000 32,288
Cheniere Corpus Christi Holdings, LLC 144A company guaranty sr. bonds 5.125%, 6/30/27 35,000 36,050
Chesapeake Energy Corp. 144A company guaranty notes 8.00%, 12/15/22 16,000 17,240
Chesapeake Energy Corp. 144A company guaranty sr. unsec. bonds 8.00%, 6/15/27 5,000 4,950
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 45,000 45,450
Chesapeake Energy Corp. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 5,000 5,050
Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 58,000 58,258
ConocoPhillips Co. company guaranty sr. unsec. unsub. notes 1.05%, 12/15/17 130,000 129,901
Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 15,000 13,613
Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 10,000 9,650
Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 15,000 15,038
Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 5,000 5,181
DCP Midstream Operating LP company guaranty sr. unsec. notes 3.875%, 3/15/23 7,000 6,860
DCP Midstream Operating LP company guaranty sr. unsec. notes 2.70%, 4/1/19 8,000 7,960
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 10,000 6,000
Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 17,000 16,596
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 20,000 20,850
Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 11/1/24 5,000 5,100
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 8.125%, 9/15/23 20,000 21,500
EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 17,000 14,153
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 8.00%, 2/15/25 10,000 7,788
EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 10,000 10,100
EQT Corp. sr. unsec. unsub. notes 3.90%, 10/1/27 30,000 30,005
FTS International, Inc. 144A company guaranty sr. sub. FRN BBA LIBOR USD 3 Month + 7.50%, 8.82%, 6/15/20 20,000 20,325
Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 30,000 35,101
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 25,000 26,219
Jonah Energy, LLC/Jonah Energy Finance Corp. 144A company guaranty sr. unsec. notes 7.25%, 10/15/25 25,000 25,219
Laredo Petroleum, Inc. company guaranty sr. unsec. notes 7.375%, 5/1/22 15,000 15,525
Laredo Petroleum, Inc. company guaranty sr. unsec. sub. notes 5.625%, 1/15/22 5,000 5,038
Marathon Petroleum Corp. sr. unsec. unsub. notes 6.50%, 3/1/41 25,000 30,083
MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 5,000 4,288
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 1/30/23 (Canada) 5,000 4,363
MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 15,000 14,644
Motiva Enterprises, LLC 144A sr. unsec. notes 5.75%, 1/15/20 55,000 58,697
MPLX LP sr. unsec. unsub. notes 4.125%, 3/1/27 20,000 20,364
Murphy Oil Corp. sr. unsec. unsub. notes 5.75%, 8/15/25 10,000 10,299
Murray Energy Corp. 144A notes 11.25%, 4/15/21 10,000 5,963
Nabors Industries, Inc. company guaranty sr. unsec. unsub. notes 4.625%, 9/15/21 16,000 15,696
Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 25,000 26,688
Newfield Exploration Co. sr. unsec. unsub. notes 5.375%, 1/1/26 10,000 10,513
Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 15,000 13,313
Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 10,000 10,150
Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 20,000 20,350
Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 20,000 22,020
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 8.75%, 5/23/26 (Brazil) 31,000 37,239
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 201,000 214,819
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) 40,000 12,140
Petroleos Mexicanos company guaranty sr. unsec. unsub. bonds 5.625%, 1/23/46 (Mexico) 25,000 23,250
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.375%, 1/23/45 (Mexico) 80,000 81,400
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.875%, 1/18/24 (Mexico) 80,000 82,960
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 4.50%, 1/23/26 (Mexico) 23,000 22,961
Precision Drilling Corp. company guaranty sr. unsec. notes 7.75%, 12/15/23 (Canada) 15,000 15,319
Range Resources Corp. 144A company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 20,000 20,800
Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 9,000 9,431
Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 11/15/23 10,000 9,725
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 17,000 18,132
SemGroup Corp. 144A company guaranty sr. unsec. notes 6.375%, 3/15/25 10,000 9,800
SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 5,000 5,100
SESI, LLC 144A company guaranty sr. unsec. notes 7.75%, 9/15/24 5,000 5,175
Seven Generations Energy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 9/30/25 (Canada) 10,000 10,075
Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, 5/1/23 (Canada) 10,000 10,550
Seven Generations Energy, Ltd. 144A sr. unsec. sub. notes 8.25%, 5/15/20 (Canada) 19,000 19,855
Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22(F) 5,000 1
Seventy Seven Operating, LLC escrow company guaranty sr. unsec. unsub. notes 6.625%, 11/15/19(F) 20,000 2
Shelf Drilling Holdings, Ltd. 144A company guaranty notes 9.50%, 11/2/20 10,000 10,113
SM Energy Co. sr. unsec. notes 6.50%, 11/15/21 7,000 7,070
SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 10,000 9,425
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 10,000 10,000
SM Energy Co. sr. unsec. unsub. notes 6.50%, 1/1/23 3,000 3,023
SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 5,000 5,013
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 42,000 41,672
Statoil ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) 40,000 46,509
Statoil ASA company guaranty sr. unsec. unsub. notes 2.90%, 11/8/20 (Norway) 30,000 30,709
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 5,000 5,081
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 10,000 10,413
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.125%, 2/1/25 5,000 5,150
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 15,000 15,356
Valero Energy Partners LP sr. unsec. unsub. notes 4.375%, 12/15/26 7,000 7,224
Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 5,000 5,150
Weatherford International, Ltd. 144A company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 5,000 5,500
Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 5,000 6,463
Williams Cos., Inc. (The) sr. unsec. unsub. notes 7.75%, 6/15/31 1,000 1,217
Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 24,000 25,227
Williams Partners LP/ACMP Finance Corp. sr. unsec. sub. notes 4.875%, 3/15/24 12,000 12,559
WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 5,000 5,606
WPX Energy, Inc. sr. unsec. notes 7.50%, 8/1/20 14,000 15,225
WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 27,000 27,911
2,213,800
Financials (4.0%)
AIG Global Funding 144A sr. notes 2.15%, 7/2/20 30,000 29,958
Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 15,000 15,450
Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 10,000 10,573
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 29,000 37,407
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 3/15/20 13,000 14,633
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 12/1/17 17,000 17,098
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 40,000 43,368
Ally Financial, Inc. unsec. sub. notes 8.00%, 12/31/18 14,000 14,963
American Express Co. sr. unsec. notes 7.00%, 3/19/18 83,000 85,069
American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 48,000 65,400
AXA SA 144A jr. unsec. sub. FRN 6.463%, perpetual maturity (France) 85,000 87,019
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 46,000 50,313
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 5,000 5,653
Bank of America Corp. sr. unsec. unsub. notes 2.00%, 1/11/18 128,000 128,141
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 195,000 241,462
Bank of Nova Scotia (The) sr. unsec. unsub. notes 1.375%, 12/18/17 (Canada) 130,000 129,986
Barclays Bank PLC 144A unsec. sub. notes 10.179%, 6/12/21 (United Kingdom) 80,000 99,074
Bear Stearns Cos., LLC (The) sr. unsec. unsub. notes 7.25%, 2/1/18 22,000 22,410
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 29,000 31,637
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23(R) 65,000 70,746
Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19 30,000 32,887
Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 55,000 61,926
CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 5,000 5,481
CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 3/15/23 13,000 13,470
CIT Group, Inc. sr. unsec. notes 3.875%, 2/19/19 7,000 7,131
CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 10,000 10,788
CIT Group, Inc. sr. unsec. unsub. notes 5.00%, 8/15/22 17,000 18,397
CIT Group, Inc. 144A sr. unsec. notes 5.50%, 2/15/19 6,000 6,270
Citigroup, Inc. jr. unsec. sub. FRB Ser. P, 5.95%, perpetual maturity 20,000 21,625
Citigroup, Inc. jr. unsec. sub. FRN 5.875%, perpetual maturity 9,000 9,371
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 35,000 35,233
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 235,000 241,249
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 10,000 10,886
CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 20,000 17,500
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 40,000 42,700
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) 75,000 74,316
Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 5,000 5,288
Credit Acceptance Corp. company guaranty sr. unsec. notes 6.125%, 2/15/21 8,000 8,120
DFC Finance Corp. 144A company guaranty sr. notes 10.50%, 6/15/20 10,000 5,550
Duke Realty LP company guaranty sr. unsec. unsub. notes 4.375%, 6/15/22(R) 32,000 34,192
ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25(R) 15,000 15,506
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 30,000 30,966
Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 16,000 16,400
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 135,000 145,412
GE Capital International Funding Co. Unlimited Co. company guaranty sr. unsec. bonds 4.418%, 11/15/35 (Ireland) 261,000 283,811
Goldman Sachs Group, Inc. (The) sr. unsec. notes 7.50%, 2/15/19 170,000 182,527
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 12/27/20 55,000 55,445
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes Ser. GLOB, 2.375%, 1/22/18 130,000 130,306
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 24,000 31,626
Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 5.125%, 4/15/22 35,000 38,681
HCP, Inc. sr. unsec. notes 4.25%, 11/15/23(R) 70,000 74,290
Healthcare Realty Trust, Inc. sr. unsec. unsub. notes 3.875%, 5/1/25(R) 30,000 30,244
Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25(R) 4,000 4,111
HSBC Finance Corp. unsec. sub. notes 6.676%, 1/15/21 43,000 48,639
Hub Holdings, LLC/Hub Holdings Finance, Inc. 144A sr. unsec. sub. notes 8.125%, 7/15/19(PIK) 5,000 5,013
HUB International, Ltd. 144A sr. unsec. notes 7.875%, 10/1/21 20,000 20,825
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 10,000 10,550
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 2/1/22 10,000 10,425
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.00%, 8/1/20 10,000 10,320
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.875%, 2/1/22 17,000 17,510
ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) 200,000 227,763
International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 14,000 15,700
iStar, Inc. sr. unsec. notes 6.00%, 4/1/22(R) 5,000 5,175
iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22(R) 5,000 5,075
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity 120,000 125,100
JPMorgan Chase & Co. sr. unsec. notes Ser. MTN, 2.295%, 8/15/21 90,000 89,932
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 30,000 32,500
Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 26,000 32,825
Lloyds Banking Group PLC 144A jr. unsec. sub. FRN 6.657%, perpetual maturity (United Kingdom) 25,000 28,625
LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 20,000 20,734
Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, 7/29/20 (Australia) 40,000 40,536
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24(R) 5,000 5,418
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 144A sr. unsec. bonds 4.50%, 1/15/28(R) 5,000 5,044
Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23(R) 45,000 47,702
Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 185,000 187,513
Morgan Stanley sr. unsec. unsub. notes 2.65%, 1/27/20 45,000 45,516
Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 15,000 15,300
Nationwide Mutual Insurance Co. 144A unsec. sub. notes 8.25%, 12/1/31 45,000 64,317
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 30,000 28,904
OneAmerica Financial Partners, Inc. 144A sr. unsec. notes 7.00%, 10/15/33 78,000 99,018
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. sub. notes 6.75%, 12/15/19 10,000 10,375
OneMain Financial Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 7.25%, 12/15/21 10,000 10,438
Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976%, 2/15/25 105,000 106,939
Primerica, Inc. sr. unsec. notes 4.75%, 7/15/22 39,000 42,276
Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 15,000 15,750
Prudential Financial, Inc. jr. unsec. sub. FRN 8.875%, 6/15/38 30,000 31,440
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 57,000 62,318
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 20,000 21,242
Realty Income Corp. sr. unsec. notes 4.65%, 8/1/23(R) 25,000 27,179
Regions Financial Corp. sr. unsec. unsub. notes 2.75%, 8/14/22 45,000 44,980
Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.20%, 7/27/18 (Canada) 130,000 130,670
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 45,000 48,181
Royal Bank of Scotland Group PLC unsec. sub. notes 4.70%, 7/3/18 (United Kingdom) 108,000 109,904
Select Income REIT sr. unsec. unsub. notes 3.60%, 2/1/20(R) 10,000 10,145
Select Income REIT sr. unsec. unsub. notes 2.85%, 2/1/18(R) 10,000 10,023
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 8.25%, 12/15/20 20,000 22,600
Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.125%, 5/15/22 10,000 10,591
Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 5,000 5,205
Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 90,000 92,042
Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 20,000 20,200
TMX Finance, LLC/TitleMax Finance Corp. 144A company guaranty sr. notes 8.50%, 9/15/18 5,000 4,625
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 58,000 57,753
UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec. notes 3.00%, 4/15/21 (Switzerland) 200,000 202,225
USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 20,000 20,375
VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24(R) 50,000 52,497
Vnesheconombank Via VEB Finance PLC 144A sr. unsec. unsub. notes 6.80%, 11/22/25 (Russia) 300,000 338,023
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 8,000 8,910
Wells Fargo & Co. sr. unsec. notes Ser. GMTN, 2.60%, 7/22/20 80,000 81,123
Westpac Banking Corp. sr. unsec. unsub. notes 4.875%, 11/19/19 (Australia) 80,000 84,665
Westpac Banking Corp. sr. unsec. unsub. notes 2.15%, 3/6/20 (Australia) 135,000 135,462
WP Carey, Inc. sr. unsec. unsub. notes 4.60%, 4/1/24(R) 30,000 31,429
5,997,629
Health care (1.1%)
AbbVie, Inc. sr. unsec. notes 2.90%, 11/6/22 80,000 81,031
Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 40,000 38,650
Allergan Funding SCS company guaranty sr. unsec. notes 4.75%, 3/15/45 (Luxembourg) 18,000 19,474
Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 26,000 26,960
AMAG Pharmaceuticals, Inc. 144A company guaranty sr. unsec. notes 7.875%, 9/1/23 15,000 15,188
Amgen, Inc. sr. unsec. notes 3.45%, 10/1/20 125,000 129,636
ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 20,000 19,250
AstraZeneca PLC sr. unsec. unsub. notes 6.45%, 9/15/37 (United Kingdom) 36,000 47,878
Becton Dickinson and Co. sr. unsec. unsub. bonds 4.669%, 6/6/47 69,000 72,388
Becton Dickinson and Co. sr. unsec. unsub. bonds 3.70%, 6/6/27 60,000 60,665
BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 5,000 4,575
Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 15,000 16,219
Centene Corp. sr. unsec. unsub. notes 4.75%, 1/15/25 5,000 5,188
Centene Corp. sr. unsec. unsub. notes 4.75%, 5/15/22 20,000 20,875
CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 15,000 14,738
CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 33,000 25,905
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 11/15/19 5,000 4,869
CHS/Community Health Systems, Inc. company guaranty sr. unsec. unsub. notes 7.125%, 7/15/20 10,000 9,025
Cigna Corp. sr. unsec. unsub. notes 4.50%, 3/15/21 80,000 85,230
Concordia International Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/23 (Canada) 15,000 2,550
Concordia International Corp. 144A sr. notes 9.00%, 4/1/22 (Canada) 5,000 3,888
Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 55,000 44,825
Halyard Health, Inc. company guaranty sr. unsec. unsub. notes 6.25%, 10/15/22 5,000 5,219
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 15,000 16,163
HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 27,000 29,396
HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 40,000 41,450
HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 20,000 21,300
HCA, Inc. company guaranty sr. sub. notes 3.75%, 3/15/19 10,000 10,200
HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 4,000 4,590
Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 15,000 15,694
Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 5,000 5,563
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 10,000 9,025
Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 10,000 10,306
Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 5,000 4,925
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27(R) 75,000 74,906
Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24(R) 16,000 16,773
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 23,000 22,540
Pfizer, Inc. sr. unsec. unsub. notes 1.70%, 12/15/19 55,000 54,971
Service Corp. International/US sr. unsec. notes 5.375%, 1/15/22 14,000 14,385
Service Corp. International/US sr. unsec. unsub. notes 5.375%, 5/15/24 33,000 35,063
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 48,000 47,330
Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 2.875%, 9/23/23 (Ireland) 40,000 39,751
Sterigenics-Nordion Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 10,000 10,400
Tenet Healthcare Corp. company guaranty sr. notes 4.75%, 6/1/20 3,000 3,098
Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 20,000 21,314
Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 5,000 5,088
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. bonds 3.15%, 10/1/26 (Netherlands) 39,000 35,946
UnitedHealth Group, Inc. sr. unsec. notes 6.00%, 2/15/18 58,000 58,936
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.95%, 10/15/42 90,000 92,655
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.75%, 2/15/23 90,000 90,771
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 40,000 35,050
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/23 18,000 15,908
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.50%, 3/1/23 5,000 4,388
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsec. notes 5.375%, 3/15/20 10,000 9,988
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 15,000 16,014
Valeant Pharmaceuticals International, Inc. 144A company guaranty sr. unsub. notes 6.50%, 3/15/22 5,000 5,288
WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 5,000 5,263
1,638,664
Technology (0.9%)
Apple, Inc. sr. unsec. notes 3.45%, 5/6/24 40,000 41,932
Apple, Inc. sr. unsec. notes 2.10%, 5/6/19 130,000 130,958
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 80,000 86,931
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 27,000 27,243
Apple, Inc. sr. unsec. unsub. notes 2.00%, 5/6/20 30,000 30,154
Avaya, Inc. 144A company guaranty sr. notes 7.00%, 4/1/19 (In default)(NON) 34,000 28,730
Broadcom Corp./Broadcom Cayman Finance, Ltd. 144A company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 35,000 36,049
CDK Global, Inc. 144A sr. unsec. bonds 4.875%, 6/1/27 5,000 5,138
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 76,000 83,967
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 10,000 12,843
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 63,000 68,947
Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec. notes 5.875%, 6/15/21 5,000 5,227
Fidelity National Information Services, Inc. sr. unsec. unsub. notes 5.00%, 10/15/25 9,000 10,025
First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 15,000 16,017
First Data Corp. 144A notes 5.75%, 1/15/24 25,000 26,156
First Data Corp. 144A sr. notes 5.375%, 8/15/23 15,000 15,690
IBM Corp. sr. unsec. unsub. notes 1.875%, 8/1/22 140,000 137,246
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 35,000 37,349
Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21(PIK) 35,000 35,623
Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 25,000 25,922
Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 3,000 3,086
Intel Corp. sr. unsec. unsub. notes 1.35%, 12/15/17 130,000 130,018
Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27(R) 25,000 25,500
Jabil Circuit, Inc. sr. unsec. sub. notes 8.25%, 3/15/18 9,000 9,220
Micron Technology, Inc. 144A sr. unsec. unsub. notes 5.25%, 1/15/24 10,000 10,525
Microsoft Corp. sr. unsec. unsub. notes 5.30%, 2/8/41 25,000 31,286
Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40 35,000 43,449
Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 10,000 9,823
Oracle Corp. sr. unsec. unsub. notes 2.50%, 10/15/22 80,000 80,461
Oracle Corp. sr. unsec. unsub. notes 2.25%, 10/8/19 95,000 96,178
Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 20,000 20,750
Solera, LLC / Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 35,000 39,846
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 15,000 15,178
VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 15,000 15,163
1,392,630
Transportation (0.2%)
Burlington Northern Santa Fe, LLC sr. unsec. notes 5.40%, 6/1/41 35,000 42,360
Burlington Northern Santa Fe, LLC sr. unsec. unsub. notes 5.75%, 5/1/40 35,000 44,447
CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44 70,000 69,999
Delta Air Lines, Inc. sr. notes Ser. A, 7.75%, 12/17/19 25,653 28,154
FedEx Corp. company guaranty sr. unsec. unsub. notes 2.625%, 8/1/22 15,000 15,141
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 16,000 15,805
United AirLines, Inc. Pass-Through Trust pass-through certificates Ser. 07-1, Class A, 6.636%, 7/2/22 9,215 9,995
United Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 14-2, Class A, 3.75%, 9/3/26 39,838 41,288
Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 24,000 24,900
292,089
Utilities and power (1.2%)
AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 35,000 36,794
AES Corp./Virginia (The) sr. unsec. notes 4.875%, 5/15/23 7,000 7,193
AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 25,000 25,625
AES Corp./Virginia (The) sr. unsec. unsub. notes 7.375%, 7/1/21 27,000 30,780
American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds 5.00%, 9/1/44 50,000 56,451
Arizona Public Services Co. sr. unsec. notes 4.50%, 4/1/42 15,000 16,427
Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 39,000 50,061
Boardwalk Pipelines LP company guaranty sr. unsec. unsub. notes 4.45%, 7/15/27 8,000 8,146
Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 25,000 23,594
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 10,000 9,950
Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 3,000 3,101
Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 8,000 8,834
Commonwealth Edison Co. 1st mtge. bonds 5.90%, 3/15/36 28,000 35,519
Consolidated Edison Co. of New York, Inc. sr. unsec. notes 7.125%, 12/1/18 83,000 87,977
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 45,000 47,750
Dynegy, Inc. company guaranty sr. unsec. notes 7.375%, 11/1/22 20,000 20,825
Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 20,000 20,725
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 15,000 15,488
Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.00%, 1/15/25 5,000 5,175
Electricite de France (EDF) 144A sr. unsec. notes 6.50%, 1/26/19 (France) 60,000 63,565
Emera US Finance LP company guaranty sr. unsec. notes 3.55%, 6/15/26 16,000 16,108
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 42,000 44,172
Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 57,000 61,204
Energy Transfer Partners LP sr. unsec. unsub. bonds 6.125%, 12/15/45 8,000 8,786
Energy Transfer Partners LP sr. unsec. unsub. bonds 4.20%, 4/15/27 36,000 36,450
Energy Transfer Partners LP sr. unsec. unsub. notes 6.50%, 2/1/42 30,000 34,062
Energy Transfer Partners LP sr. unsec. unsub. notes 5.20%, 2/1/22 25,000 27,039
FirstEnergy Corp. sr. unsec. unsub. notes 4.25%, 3/15/23 39,000 41,261
GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default)(NON) 18,000 13,095
IPALCO Enterprises, Inc. 144A sr. notes 3.70%, 9/1/24 10,000 10,024
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 10,000 10,396
Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 3.50%, 3/1/21 80,000 81,888
Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 25,000 25,279
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 105,000 105,566
Kinder Morgan, Inc./DE company guaranty sr. unsec. notes Ser. GMTN, 7.75%, 1/15/32 17,000 21,845
MidAmerican Funding, LLC sr. bonds 6.927%, 3/1/29 50,000 65,770
Nevada Power Co. mtge. notes 7.125%, 3/15/19 40,000 42,930
NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 10,000 10,750
NRG Energy, Inc. company guaranty sr. unsec. notes 6.625%, 1/15/27 20,000 20,950
NRG Energy, Inc. company guaranty sr. unsec. sub. notes 7.875%, 5/15/21 14,000 14,403
NSTAR Electric Co. sr. unsec. unsub. notes 2.375%, 10/15/22 (Canada) 75,000 74,560
Oncor Electric Delivery Co., LLC sr. notes 4.10%, 6/1/22 25,000 26,652
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 75,000 74,589
Pacific Gas & Electric Co. sr. unsec. bonds 6.05%, 3/1/34 40,000 52,093
PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 4.20%, 6/15/22 60,000 63,865
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40 25,000 30,710
Puget Sound Energy, Inc. jr. unsec. sub. FRN Ser. A, 6.974%, 6/1/67 102,000 99,450
Southern Star Central Corp. 144A sr. unsec. notes 5.125%, 7/15/22 20,000 20,625
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 13,000 33
Texas Gas Transmission, LLC 144A sr. unsec. notes 4.50%, 2/1/21 20,000 20,833
1,729,368
Total corporate bonds and notes (cost $22,738,873) $23,844,210

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (12.8%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (3.8%)
Government National Mortgage Association Pass-Through Certificates
6.50%, with due dates from 5/20/37 to 11/20/39 $363,841 $418,782
3.50%, TBA, 10/1/47 1,000,000 1,039,609
3.50%, with due dates from 5/20/47 to 8/20/47 3,978,521 4,141,471
5,599,862
U.S. Government Agency Mortgage Obligations (9.0%)
Federal Home Loan Mortgage Corporation Pass-Through Certificates 4.00%, 11/1/45 1,673,903 1,764,202
Federal National Mortgage Association Pass-Through Certificates
6.00%, TBA, 10/1/47 1,000,000 1,125,793
4.50%, TBA, 11/1/47 1,000,000 1,072,070
4.50%, TBA, 10/1/47 1,000,000 1,073,281
4.00%, 8/1/47(FWC) 898,679 948,282
4.00%, 12/1/44 915,451 965,229
3.50%, with due dates from 9/1/45 to 1/1/47 3,827,087 3,948,981
3.00%, with due dates from 12/1/31 to 5/1/46 2,468,047 2,519,031
13,416,869
Total U.S. government and agency mortgage obligations (cost $18,942,439) $19,016,731

MORTGAGE-BACKED SECURITIES (1.9%)(a)
Principal amount Value
Agency collateralized mortgage obligations (0.3%)
Federal Home Loan Mortgage Corporation
IFB Ser. 3408, Class EK (-4.024 x 1 Month US LIBOR) + 25.793%, 20.826%, 4/15/37 $12,221 $18,728
IFB Ser. 3072, Class SM (-3.667 x 1 Month US LIBOR) + 23.796%, 19.27%, 11/15/35 16,473 23,859
IFB Ser. 3249, Class PS (-3.3 x 1 Month US LIBOR) + 22.275%, 18.201%, 12/15/36 12,924 18,012
IFB Ser. 3065, Class DC (-3 x 1 Month US LIBOR) + 19.86%, 16.157%, 3/15/35 37,153 53,599
IFB Ser. 2990, Class LB (-2.556 x 1 Month US LIBOR) + 16.945%, 13.791%, 6/15/34 21,609 25,796
IFB Ser. 3829, Class AS, IO (-1 x 1 Month US LIBOR) + 6.95%, 5.716%, 3/15/41 99,284 18,591
Federal National Mortgage Association
IFB Ser. 06-8, Class HP (-3.667 x 1 Month US LIBOR) + 24.566%, 20.03%, 3/25/36 22,916 35,233
IFB Ser. 07-53, Class SP (-3.667 x 1 Month US LIBOR) + 24.20%, 19.664%, 6/25/37 20,883 30,671
IFB Ser. 05-75, Class GS (-3 x 1 Month US LIBOR) + 20.25%, 16.538%, 8/25/35 8,773 11,392
IFB Ser. 12-58, Class SM, IO (-1 x 1 Month US LIBOR) + 6.50%, 5.263%, 6/25/42 120,728 20,339
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M1, 1 Month US LIBOR + 1.35%, 2.587%, 1/25/29 28,533 28,681
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M1, 1 Month US LIBOR + 1.20%, 2.437%, 7/25/24 299 299
Ser. 06-46, Class OC, PO, zero %, 6/25/36 5,807 4,843
Government National Mortgage Association
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 79,397 17,493
IFB Ser. 13-99, Class AS, IO (-1 x 1 Month US LIBOR) + 6.05%, 4.814%, 6/20/43 111,234 20,693
Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 148,738 20,627
Ser. 13-14, IO, 3.50%, 12/20/42 334,456 45,623
Ser. 12-141, Class WI, IO, 3.50%, 11/20/41 326,488 35,607
Ser. 16-H16, Class EI, IO, 2.237%, 6/20/66(WAC) 203,185 24,545
Ser. 15-H26, Class DI, IO, 1.865%, 10/20/65(WAC) 288,742 30,953
485,584
Commercial mortgage-backed securities (0.9%)
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.412%, 1/15/49(WAC) 239,935 968
Banc of America Commercial Mortgage Trust 144A FRB Ser. 07-5, Class XW, IO, 0.252%, 2/10/51(WAC) 719,694 43
Banc of America Merrill Lynch Commercial Mortgage, Inc. 144A
FRB Ser. 04-5, Class XC, IO, 0.568%, 11/10/41(WAC) 53,370 441
FRB Ser. 04-4, Class XC, IO, 0.054%, 7/10/42(WAC) 22,628 8
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 04-PR3I, Class X1, IO, 0.208%, 2/11/41(WAC) 8,563 14
Bear Stearns Commercial Mortgage Securities Trust 144A FRB Ser. 06-PW14, Class X1, IO, 0.525%, 12/11/38(WAC) 123,793 2,892
Capmark Mortgage Securities, Inc. FRB Ser. 97-C1, Class X, IO, 1.607%, 7/15/29(WAC) 11,921 243
CD Commercial Mortgage Trust 144A FRB Ser. 07-CD4, Class XW, IO, 0.742%, 12/11/49(WAC) 37,043 4
Citigroup Commercial Mortgage Trust 144A
FRB Ser. 12-GC8, Class XA, IO, 1.979%, 9/10/45(WAC) 355,043 27,037
FRB Ser. 06-C5, Class XC, IO, 0.62%, 10/15/49(WAC) 883,221 177
COMM Mortgage Trust
FRB Ser. 12-LC4, Class C, 5.762%, 12/10/44(WAC) 44,000 46,965
FRB Ser. 14-CR17, Class C, 4.895%, 5/10/47(WAC) 26,000 25,588
Ser. 13-CR11, Class AM, 4.715%, 8/10/50(WAC) 20,000 21,701
FRB Ser. 14-UBS6, Class C, 4.614%, 12/10/47(WAC) 54,000 52,890
Ser. 13-CR13, Class AM, 4.449%, 11/12/46(WAC) 85,000 91,302
Ser. 12-CR2, Class AM, 3.791%, 8/15/45 30,000 31,470
FRB Ser. 14-CR18, Class XA, IO, 1.387%, 7/15/47(WAC) 271,179 13,789
FRB Ser. 14-CR16, Class XA, IO, 1.345%, 4/10/47(WAC) 194,868 9,255
FRB Ser. 14-CR20, Class XA, IO, 1.317%, 11/10/47(WAC) 331,938 18,907
FRB Ser. 14-CR17, Class XA, IO, 1.297%, 5/10/47(WAC) 731,078 35,454
FRB Ser. 14-UBS6, Class XA, IO, 1.175%, 12/10/47(WAC) 983,771 48,072
FRB Ser. 13-CR11, Class XA, IO, 1.152%, 8/10/50(WAC) 548,707 26,552
FRB Ser. 14-LC17, Class XA, IO, 1.112%, 10/10/47(WAC) 728,332 27,750
COMM Mortgage Trust 144A FRB Ser. 06-C8, Class XS, IO, 0.851%, 12/10/46(WAC) 749,261 27
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, 0.103%, 1/15/49(WAC) 681,622 27
CSMC Trust FRB Ser. 16-NXSR, Class C, 4.509%, 12/15/49(WAC) 70,000 71,745
GE Capital Commercial Mortgage Corp. 144A FRB Ser. 05-C3, Class XC, IO, 0.113%, 7/10/45(WAC) 304,203 1
GE Commercial Mortgage Corp. Trust 144A FRB Ser. 07-C1, Class XC, IO, 0.438%, 12/10/49(WAC) 2,629,049 5,756
GMAC Commercial Mortgage Securities, Inc. Trust 144A FRB Ser. 05-C1, Class X1, IO, 0.794%, 5/10/43(WAC) 191,598 592
GS Mortgage Securities Corp II FRB Ser. 15-GC30, Class XA, IO, 1.024%, 5/10/50(WAC) 465,680 22,539
GS Mortgage Securities Trust 144A
FRB Ser. 06-GG8, Class X, IO, 1.084%, 11/10/39(WAC) 1,053,263 26,858
FRB Ser. 06-GG6, Class XC, IO, zero %, 4/10/38(WAC) 9,119 —
JPMBB Commercial Mortgage Securities Trust
FRB Ser. 13-C15, Class C, 5.25%, 11/15/45(WAC) 30,000 31,254
FRB Ser. 13-C14, Class C, 4.721%, 8/15/46(WAC) 30,000 30,471
JPMorgan Chase Commercial Mortgage Securities Trust
FRB Ser. 06-LDP7, Class B, 6.138%, 4/17/45(WAC) 107,000 16,050
FRB Ser. 05-LDP5, Class F, 5.888%, 12/15/44(WAC) 35,967 35,750
FRB Ser. 06-LDP8, Class X, IO, 0.525%, 5/15/45(WAC) 40,161 1
FRB Ser. 07-LDPX, Class X, IO, 0.323%, 1/15/49(WAC) 658,735 6,050
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 05-CB12, Class X1, IO, 0.429%, 9/12/37(WAC) 194,956 429
LB Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 6.41%, 6/15/31 4,227 4,291
LB-UBS Commercial Mortgage Trust 144A
FRB Ser. 05-C5, Class XCL, IO, 0.661%, 9/15/40(WAC) 251,551 2,449
FRB Ser. 06-C6, Class XCL, IO, 0.624%, 9/15/39(WAC) 1,179,713 8,187
FRB Ser. 05-C7, Class XCL, IO, 0.488%, 11/15/40(WAC) 105,894 571
FRB Ser. 05-C2, Class XCL, IO, 0.195%, 4/15/40(WAC) 31,039 2
Merrill Lynch Mortgage Trust 144A
FRB Ser. 04-KEY2, Class XC, IO, 0.674%, 8/12/39(WAC) 31,406 178
FRB Ser. 05-MCP1, Class XC, IO, 0.005%, 6/12/43(WAC) 83,089 —
Mezz Cap Commercial Mortgage Trust 144A
FRB Ser. 05-C3, Class X, IO, 7.156%, 5/15/44(WAC) 3,920 361
FRB Ser. 06-C4, Class X, IO, 6.786%, 7/15/45(WAC) 16,708 752
Morgan Stanley Bank of America Merrill Lynch Trust
FRB Ser. 14-C17, Class XA, IO, 1.395%, 8/15/47(WAC) 292,559 15,128
FRB Ser. 13-C12, Class XA, IO, 1.047%, 10/15/46(WAC) 639,759 18,375
Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 12-C6, Class XA, IO, 1.934%, 11/15/45(WAC) 592,839 39,552
Morgan Stanley Capital I Trust Ser. 07-HQ11, Class AJ, 5.508%, 2/12/44(WAC) 15,646 15,536
Morgan Stanley Capital I Trust 144A
FRB Ser. 11-C3, Class D, 5.327%, 7/15/49(WAC) 34,000 35,166
FRB Ser. 11-C3, Class E, 5.327%, 7/15/49(WAC) 41,000 40,993
UBS-Barclays Commercial Mortgage Trust 144A
FRB Ser. 12-C3, Class C, 5.21%, 8/10/49(WAC) 50,000 52,844
FRB Ser. 12-C4, Class XA, IO, 1.835%, 12/10/45(WAC) 215,143 14,363
Wachovia Bank Commercial Mortgage Trust
FRB Ser. 05-C21, Class D, 5.468%, 10/15/44(WAC) 21,000 20,905
FRB Ser. 07-C34, IO, 0.328%, 5/15/46(WAC) 339,727 679
Wachovia Bank Commercial Mortgage Trust 144A
FRB Ser. 06-C26, Class XC, IO, 0.053%, 6/15/45(WAC) 118,834 24
FRB Ser. 05-C18, Class XC, IO, zero %, 4/15/42(WAC) 35,604 89
Wells Fargo Commercial Mortgage Trust
FRB Ser. 13-LC12, Class AS, 4.43%, 7/15/46(WAC) 19,000 20,261
FRB Ser. 13-LC12, Class C, 4.43%, 7/15/46(WAC) 24,000 23,122
WF-RBS Commercial Mortgage Trust
Ser. 14-C19, Class C, 4.646%, 3/15/47(WAC) 35,000 36,610
FRB Ser. 13-C15, Class C, 4.628%, 8/15/46(WAC) 29,000 29,523
Ser. 13-C12, Class AS, 3.56%, 3/15/48 33,000 33,865
Ser. 13-C11, Class AS, 3.311%, 3/15/45 12,000 12,306
WF-RBS Commercial Mortgage Trust 144A
FRB Ser. 11-C3, Class D, 5.813%, 3/15/44(WAC) 32,000 30,808
FRB Ser. 11-C2, Class D, 5.788%, 2/15/44(WAC) 25,000 25,626
Ser. 11-C4, Class E, 5.414%, 6/15/44(WAC) 50,000 48,457
FRB Ser. 13-C15, Class D, 4.628%, 8/15/46(WAC) 43,000 37,111
FRB Ser. 12-C9, Class XA, IO, 2.17%, 11/15/45(WAC) 247,852 20,438
FRB Ser. 11-C5, Class XA, IO, 1.925%, 11/15/44(WAC) 300,002 19,719
FRB Ser. 12-C10, Class XA, IO, 1.753%, 12/15/45(WAC) 336,638 22,881
FRB Ser. 13-C12, Class XA, IO, 1.505%, 3/15/48(WAC) 382,636 18,174
1,378,418
Residential mortgage-backed securities (non-agency) (0.7%)
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 3.253%, 5/25/35(WAC) 46,647 47,814
Countrywide Alternative Loan Trust
FRB Ser. 06-OA7, Class 1A2, 1 Month US LIBOR + 0.94%, 1.829%, 6/25/46 147,510 126,858
FRB Ser. 05-27, Class 1A1, 1.661%, 8/25/35(WAC) 46,730 39,800
FRB Ser. 06-OA10, Class 4A1, 1 Month US LIBOR + 0.19%, 1.427%, 8/25/46 155,473 130,597
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, 1 Month US LIBOR + 5.90%, 7.137%, 10/25/28 20,000 22,893
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, 1 Month US LIBOR + 5.70%, 6.937%, 4/25/28 32,090 36,075
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, 1 Month US LIBOR + 5.55%, 6.787%, 4/25/28 110,000 121,413
Connecticut Avenue Securities FRB Ser. 15-C03, Class 2M2, 1 Month US LIBOR + 5.00%, 6.237%, 7/25/25 9,667 10,484
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, 1 Month US LIBOR + 4.30%, 5.537%, 2/25/25 24,366 26,080
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, 1 Month US LIBOR + 4.00%, 5.237%, 5/25/25 16,844 17,940
Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, 1 Month US LIBOR + 2.60%, 3.837%, 5/25/24 50,000 52,079
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2, 1 Month US LIBOR + 0.80%, 2.037%, 2/25/34 26,157 25,352
Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 2.973%, 2/25/35(WAC) 15,354 15,464
New Century Home Equity Loan Trust FRB Ser. 03-4, Class M1, 1 Month US LIBOR + 1.125%, 2.362%, 10/25/33 75,308 74,182
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, 1 Month US LIBOR + 1.05%, 2.287%, 10/25/34 30,000 29,474
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, 1 Month US LIBOR + 0.85%, 2.087%, 5/25/47 48,986 44,149
WaMu Mortgage Pass-Through Certificates Trust
FRB Ser. 05-AR12, Class 1A8, 3.162%, 10/25/35(WAC) 56,129 56,444
FRB Ser. 05-AR9, Class A1C3, 1 Month US LIBOR + 0.96%, 2.197%, 7/25/45 62,147 61,525
FRB Ser. 05-AR13, Class A1C3, 1 Month US LIBOR + 0.49%, 1.727%, 10/25/45 24,558 24,031
962,654
Total mortgage-backed securities (cost $2,692,477) $2,826,656

SENIOR LOANS (0.1%)(a)(c)
Principal amount Value
Avaya, Inc. bank term loan FRN Ser. B7, BBA LIBOR USD 3 Month + 5.25%, 6.564%, 5/29/20 (In default)(NON) $19,585 $16,648
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, BBA LIBOR USD 3 Month + 7.75%, 11.75%, 3/1/18 (In default)(NON) 80,735 97,892
CPG International, Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.75%, 5.083%, 5/3/24 4,715 4,723
Forterra Finance, LLC bank term loan FRN BBA LIBOR USD 3 Month + 3.00%, 4.235%, 10/25/23 5,000 4,225
Gates Global, LLC/Gates Global Co. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.25%, 4.583%, 3/31/24 13,978 14,027
Getty Images, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.833%, 10/18/19 9,870 8,520
Neiman Marcus Group, Ltd., Inc. bank term loan FRN BBA LIBOR USD 3 Month + 3.25%, 4.481%, 10/25/20 23,980 17,835
Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.75%, 5.083%, 6/30/21 14,923 14,952
Revlon Consumer Products Corp. bank term loan FRN Ser. B, BBA LIBOR USD 3 Month + 3.50%, 4.735%, 9/7/23 19,800 17,727
Total senior loans (cost $189,437) $196,549

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.3%)(a)
Principal amount Value
Brazil (Federal Republic of) unsec. notes 10.00%, 1/1/21 (Brazil) (units) BRL 805 $269,808
Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) $165,000 179,438
Turkey (Republic of) unsec. notes 11.00%, 3/2/22 (Turkey) TRY 41,000 11,565
Total foreign government and agency bonds and notes (cost $606,029) $460,811

ASSET-BACKED SECURITIES (—%)(a)
Principal amount Value
Station Place Securitization Trust 144A FRB Ser. 17-1, Class A, 1 Month US LIBOR + 0.90%, 2.137%, 2/25/49 $40,667 $40,667
Total asset-backed securities (cost $40,667) $40,667

CONVERTIBLE BONDS AND NOTES (—%)(a)
Principal amount Value
Jazz US Holdings, Inc. cv. company guaranty sr. unsec. notes 8.00%, 12/31/18 $6,000 $18,619
Total convertible bonds and notes (cost $5,757) $18,619

PREFERRED STOCKS (—%)(a)
Shares Value
GMAC Capital Trust I Ser. 2, $0.00 cum. ARP 680 $17,952
Total preferred stocks (cost $17,000) $17,952

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
EPR Properties Ser. C, $1.438 cv. pfd.(R) 575 $15,929
Nine Point Energy 6.75% cv. pfd. 1 1,035
Total convertible preferred stocks (cost $11,501) $16,964

PURCHASED OPTIONS OUTSTANDING (—%)(a)
Counterparty Expiration date/strike price Notional amount Contract amount Value
Bank of America N.A.
    USD/CNH (Put) Dec-17/CNH 6.50 $1,471,700 $1,471,700 $1,900
Total purchased options outstanding (cost $13,032) $1,900

WARRANTS (—%)(a)(NON)
Expiration date Strike Price Warrants Value
Halcon Resources Corp. 9/9/20 $14.04 244 $134
Total warrants (cost $—) $134

SHORT-TERM INVESTMENTS (17.2%)(a)
Principal amount/shares Value
Putnam Cash Collateral Pool, LLC 1.25%(AFF) Shares 655,560 $655,560
Putnam Short Term Investment Fund 1.17%(AFF) Shares 23,864,086 23,864,086
U.S. Treasury Bills 1.039%, 12/7/17(SEG)(SEGSF)(SEGCCS) $921,000 919,337
U.S. Treasury Bills 1.050%, 1/11/18(SEG) 49,000 48,861
U.S. Treasury Bills 1.081%, 2/15/18(SEGCCS) 19,000 18,922
Total short-term investments (cost $25,506,676) $25,506,766

TOTAL INVESTMENTS
Total investments (cost $139,270,028) $154,299,738













FORWARD CURRENCY CONTRACTS at 9/30/17 (aggregate face value $19,374,001) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type* date Value face value (depreciation)
Bank of America N.A.
Australian Dollar Buy 10/18/17 $209,322 $201,045 $8,277
British Pound Sell 12/20/17 76,295 73,913 (2,382)
Canadian Dollar Buy 10/18/17 153,414 154,799 (1,385)
Canadian Dollar Sell 10/18/17 153,414 147,502 (5,912)
Euro Buy 12/20/17 350,296 352,254 (1,958)
Hong Kong Dollar Buy 11/15/17 180,276 180,554 (278)
New Zealand Dollar Buy 10/18/17 251,285 252,005 (720)
New Zealand Dollar Sell 10/18/17 251,285 250,989 (296)
Norwegian Krone Buy 12/20/17 358,359 363,129 (4,770)
Russian Ruble Buy 12/20/17 302,106 294,383 7,723
Barclays Bank PLC
Australian Dollar Buy 10/18/17 24,469 23,869 600
Australian Dollar Sell 10/18/17 24,469 24,525 56
Euro Sell 12/20/17 206,664 209,023 2,359
New Zealand Dollar Buy 10/18/17 147,449 151,140 (3,691)
New Zealand Dollar Sell 10/18/17 147,449 147,277 (172)
Citibank, N.A.
Australian Dollar Buy 10/18/17 145,169 145,515 (346)
Australian Dollar Sell 10/18/17 145,169 146,825 1,656
Brazilian Real Buy 10/3/17 148,083 147,438 645
Brazilian Real Sell 10/3/17 148,083 148,385 302
Brazilian Real Buy 1/3/18 1,684 1,679 5
Canadian Dollar Buy 10/18/17 300,496 296,149 4,347
Canadian Dollar Sell 10/18/17 300,496 297,763 (2,733)
Danish Krone Buy 12/20/17 141,182 142,078 (896)
Euro Buy 12/20/17 120,604 121,573 (969)
Japanese Yen Sell 11/15/17 449,222 462,827 13,605
New Zealand Dollar Buy 10/18/17 187,381 190,596 (3,215)
New Zealand Dollar Sell 10/18/17 187,381 188,801 1,420
Norwegian Krone Buy 12/20/17 303,368 310,249 (6,881)
Russian Ruble Buy 12/20/17 297,974 294,056 3,918
Swedish Krona Sell 12/20/17 136,378 139,859 3,481
Credit Suisse International
Australian Dollar Buy 10/18/17 112,700 112,969 (269)
Australian Dollar Sell 10/18/17 112,700 109,890 (2,810)
Canadian Dollar Buy 10/18/17 2,324 2,239 85
Canadian Dollar Sell 10/18/17 2,324 2,345 21
Euro Buy 12/20/17 172,833 175,235 (2,402)
Japanese Yen Sell 11/15/17 295,065 299,608 4,543
New Zealand Dollar Buy 10/18/17 23,034 23,124 (90)
Swedish Krona Sell 12/20/17 146,516 146,486 (30)
Goldman Sachs International
Australian Dollar Buy 10/18/17 452,761 452,965 (204)
Australian Dollar Sell 10/18/17 452,761 439,008 (13,753)
Canadian Dollar Buy 10/18/17 150,288 151,486 (1,198)
Canadian Dollar Sell 10/18/17 150,288 147,938 (2,350)
Euro Buy 12/20/17 147,549 149,013 (1,464)
Hungarian Forint Sell 12/20/17 145,274 147,113 1,839
Indonesian Rupiah Buy 11/15/17 764 615 149
New Zealand Dollar Buy 10/18/17 14,008 16,378 (2,370)
South African Rand Sell 10/18/17 138,728 143,048 4,320
Swedish Krona Sell 12/20/17 98,795 102,498 3,703
Turkish Lira Buy 12/20/17 423,586 433,213 (9,627)
HSBC Bank USA, National Association
Australian Dollar Buy 10/18/17 150,267 151,258 (991)
Australian Dollar Sell 10/18/17 150,267 150,609 342
Canadian Dollar Buy 10/18/17 2,806 743 2,063
Euro Sell 12/20/17 136,985 138,943 1,958
Japanese Yen Sell 11/15/17 142,759 147,342 4,583
Mexican Peso Sell 10/18/17 142,219 143,625 1,406
New Zealand Dollar Buy 10/18/17 436,066 438,249 (2,183)
New Zealand Dollar Sell 10/18/17 436,066 441,432 5,366
JPMorgan Chase Bank N.A.
Australian Dollar Buy 10/18/17 271,594 275,940 (4,346)
British Pound Buy 12/20/17 21,088 20,459 629
Canadian Dollar Sell 10/18/17 119,589 117,632 (1,957)
Euro Buy 12/20/17 110,276 110,329 (53)
Indonesian Rupiah Buy 11/15/17 764 399 365
Japanese Yen Buy 11/15/17 297,930 304,937 (7,007)
New Zealand Dollar Buy 10/18/17 590,448 596,420 (5,972)
New Zealand Dollar Sell 10/18/17 590,448 595,154 4,706
Norwegian Krone Buy 12/20/17 162,055 165,298 (3,243)
Singapore Dollar Buy 11/15/17 68,004 67,997 7
South African Rand Buy 10/18/17 143,967 145,320 (1,353)
South African Rand Sell 10/18/17 143,967 147,881 3,914
Swedish Krona Sell 12/20/17 307,315 311,052 3,737
Swiss Franc Buy 12/20/17 376,953 379,730 (2,777)
Royal Bank of Scotland PLC (The)
Australian Dollar Buy 10/18/17 358,648 349,931 8,717
Canadian Dollar Buy 10/18/17 163,754 152,272 11,482
Euro Buy 12/20/17 11,871 12,657 (786)
Japanese Yen Sell 11/15/17 146,625 149,792 3,167
New Zealand Dollar Buy 10/18/17 144,922 143,982 940
Swedish Krona Sell 12/20/17 144,444 148,101 3,657
Turkish Lira Buy 12/20/17 282,564 289,860 (7,296)
State Street Bank and Trust Co.
Australian Dollar Buy 10/18/17 199,519 194,700 4,819
British Pound Sell 12/20/17 147,350 149,193 1,843
Canadian Dollar Buy 10/18/17 154,376 151,663 2,713
Canadian Dollar Sell 10/18/17 154,376 156,232 1,856
Euro Buy 12/20/17 218,416 220,537 (2,121)
New Zealand Dollar Buy 10/18/17 142,395 147,711 (5,316)
Norwegian Krone Buy 12/20/17 366,698 374,943 (8,245)
Swedish Krona Sell 12/20/17 198,553 203,256 4,703
UBS AG
Australian Dollar Buy 10/18/17 99,210 99,921 (711)
Canadian Dollar Buy 10/18/17 155,257 154,892 365
Euro Sell 12/20/17 147,193 149,254 2,061
Japanese Yen Sell 11/15/17 296,863 301,006 4,143
New Zealand Dollar Buy 10/18/17 146,366 147,147 (781)
New Zealand Dollar Sell 10/18/17 146,366 147,447 1,081
Norwegian Krone Buy 12/20/17 145,741 147,367 (1,626)
Swedish Krona Sell 12/20/17 145,517 148,042 2,525
WestPac Banking Corp.
Australian Dollar Buy 10/18/17 214,028 210,763 3,265
Australian Dollar Sell 10/18/17 214,028 213,951 (77)
Canadian Dollar Buy 10/18/17 153,655 150,781 2,874
Canadian Dollar Sell 10/18/17 153,655 153,501 (154)
Euro Buy 12/20/17 1,424 1,437 (13)
Japanese Yen Sell 11/15/17 143,158 146,394 3,236
New Zealand Dollar Buy 10/18/17 293,816 294,431 (615)
New Zealand Dollar Sell 10/18/17 293,819 296,717 2,898
Unrealized appreciation 158,475
Unrealized depreciation (130,794)
Total $27,681

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












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


    Number of contracts Notional amount Value   Expiration
  date		 Unrealized appreciation/
(depreciation)
             
  MSCI EAFE Index Mini (Short) 8  $789,522  $791,360   Dec-17  $(2,496)
  Russell 2000 Index E-Mini (Long) 114  2,534,464  8,509,530   Dec-17  533,862
  Russell 2000 Index E-Mini (Short) 34  2,534,464  2,537,930   Dec-17  (159,518)
  S&P 500 Index E-Mini (Long) 29  3,653,072  3,648,345   Dec-17  30,077
  S&P Mid Cap 400 Index E-Mini (Long) 6  1,077,564  1,077,420   Dec-17  34,369
  Tokyo Price Index (Long) 11  1,637,170  1,637,414   Dec-17  102,924
  U.S. Treasury Bond 30 yr (Long) 8  1,222,500  1,222,500   Dec-17  (19,836)
  U.S. Treasury Bond Ultra 30 yr (Long) 15  2,476,875  2,476,875   Dec-17  (44,819)
  U.S. Treasury Note 10 yr (Long) 17  2,130,313  2,130,313   Dec-17  (22,346)
  U.S. Treasury Note 10 yr (Short) 46  2,130,313  5,764,375   Dec-17  58,432
  U.S. Treasury Note 2 yr (Long) 34  5,608,281  7,333,906   Dec-17  (18,161)
  U.S. Treasury Note 2 yr (Short) 26  5,608,281  5,608,281   Dec-17  13,042
  U.S. Treasury Note 5 yr (Long) 62  7,285,000  7,285,000   Dec-17  (47,108)
  Unrealized appreciation         772,706
  Unrealized depreciation         (314,284)
  Total          $458,422











WRITTEN SWAP OPTIONS OUTSTANDING at 9/30/17 (premiums $38,821) (Unaudited)


Counterparty
Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date		 Expiration date/strike Notional/
Contract amount		 Value
JPMorgan Chase Bank N.A.
    (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00  $218,000 $5,042
Total $5,042












WRITTEN OPTIONS OUTSTANDING at 9/30/17 (premiums $5,030) (Unaudited)


      
Counterparty Expiration date/
strike price		 Notional Amount Contract amount Value
Bank of America N.A.
    USD/CNH (Put) Dec-17/CNH 6.40 $1,471,700 $1,471,700 $524
Total $524












TBA SALE COMMITMENTS OUTSTANDING at 9/30/17 (proceeds receivable $2,082,617) (Unaudited)


Principal    Settlement
Agency amount    date Value
Federal National Mortgage Association, 4.50%, 10/1/47 $1,000,000    10/12/17 $1,073,281
Federal National Mortgage Association, 3.00%, 10/1/47 1,000,000    10/12/17 1,003,125
Total $2,076,406















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)
                       
 $4,642,600  $896 (E)  $(190) 12/20/19 1.80% - Semiannually 3 month USD-LIBOR-BBA  - Quarterly   $706
 3,973,300  767 (E)  150 12/20/19 3 month USD-LIBOR-BBA - Quarterly 1.80%  - Semiannually   (617)
 1,695,900  173 (E)  (889) 12/20/22 3 month USD-LIBOR-BBA - Quarterly 2.05%  - Semiannually   (716)
 1,832,300  187 (E)  935 12/20/22 2.05% - Semiannually 3 month USD-LIBOR-BBA  - Quarterly   748
 1,527,000  8,666 (E)  (7,418) 12/20/27 2.25% - Semiannually 3 month USD-LIBOR-BBA  - Quarterly   1,248
 912,100  5,176 (E)  4,408 12/20/27 3 month USD-LIBOR-BBA - Quarterly 2.25%  - Semiannually   (769)
 213,400  1,926 (E)  (2,215) 12/20/47 2.50% - Semiannually 3 month USD-LIBOR-BBA  - Quarterly   (288)
 487,600  4,402 (E)  5,051 12/20/47 3 month USD-LIBOR-BBA - Quarterly 2.50%  - Semiannually   722
Total  $(168)  $1,034
(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)
                     
Barclays Bank PLC
 $2,056  $2,094 $— 1/12/42 4.00% (1 month USD-LIBOR) - Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  $57
 21,971  22,472 — 1/12/41 4.00% (1 month USD-LIBOR) - Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  712
 25,133  25,082 — 1/12/40 4.50% (1 month USD-LIBOR) - Monthly Synthetic MBX Index 4.50% 30 year Fannie Mae pools - Monthly  (12)
 17,798  18,203 — 1/12/41 4.00% (1 month USD-LIBOR) - Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  576
 7,607  7,677 — 1/12/41 (5.00%) 1 month USD-LIBOR - Monthly Synthetic TRS Index 5.00% 30 year Fannie Mae pools - Monthly  (154)
 3,241  3,293 — 1/12/43 3.50% (1 month USD-LIBOR) - Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly  80
 48,661  48,585 — 1/12/40 5.00% (1 month USD-LIBOR) - Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools - Monthly  9
 182,210  181,952 — 1/12/41 5.00% (1 month USD-LIBOR) - Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools - Monthly  59
 30,202  30,291 — 1/12/38 (6.50%) 1 month USD-LIBOR - Monthly Synthetic MBX Index 6.50% 30 year Fannie Mae pools - Monthly  (159)
                       
Citibank, N.A.
 6,618  6,608 — 1/12/41 5.00% (1 month USD-LIBOR) - Monthly Synthetic MBX Index 5.00% 30 year Fannie Mae pools - Monthly  2
 6,315,202  6,531,765 — 11/27/17 3 month USD-LIBOR-BBA plus 0.09% - Quarterly Russell 1000 Total Return Index - Quarterly  (208,170)
 7,670,372  7,718,552 — 12/1/17 (3 month USD-LIBOR-BBA plus 0.37%) - Quarterly A basket (CGPUTQL2) of common stocks* - Quarterly  52,084
   
Credit Suisse International
 171,785  172,109 — 1/12/41 4.50% (1 month USD-LIBOR) - Monthly Synthetic MBX Index 4.50% 30 year Ginnie Mae II pools - Monthly  590
 8,104  8,352 — 1/12/45 3.50% (1 month USD-LIBOR) - Monthly Synthetic TRS Index 3.50% 30 year Fannie Mae pools - Monthly  320
 31,422  32,138 — 1/12/41 (4.00%) 1 month USD-LIBOR - Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  (1,018)
   
Goldman Sachs International
 5,075  5,170 — 1/12/42 4.00% (1 month USD-LIBOR) - Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  140
 5,075  5,170 — 1/12/42 4.00% (1 month USD-LIBOR) - Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  140
 21,822  22,318 — 1/12/40 4.00% (1 month USD-LIBOR) - Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  706
   
JPMorgan Securities LLC
 8,347  8,537 — 1/12/41 (4.00%) 1 month USD-LIBOR - Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  (270)
 12,206  12,434 — 1/12/42 (4.00%) 1 month USD-LIBOR - Monthly Synthetic TRS Index 4.00% 30 year Fannie Mae pools - Monthly  (338)
 Upfront premium received  —  Unrealized appreciation   55,475
 Upfront premium (paid)  —  Unrealized depreciation   (210,121)
Total $— Total  $(154,646)
 
*The 50 largest components, and any individual component greater than 1% of basket value, are shown below.
 










*A BASKET - CGPUTQL2 OF COMMON STOCK
Percentage
Common stocks Sector Shares Value Value
           
Johnson & Johnson  Health care 1,793 233,091 3.02%
JPMorgan Chase & Co.  Financials 2,130 203,408 2.64%
Pfizer, Inc.  Health care 5,258 187,721 2.43%
McDonald's Corp.  Consumer discretionary 1,035 162,160 2.10%
Applied Materials, Inc.  Information technology 3,024 157,544 2.04%
Texas Instruments, Inc.  Information technology 1,721 154,237 2.00%
Apple, Inc.  Information technology 995 153,346 1.99%
Raytheon Co.  Industrials 792 147,719 1.91%
UnitedHealth Group, Inc.  Health care 746 146,033 1.89%
PNC Financial Services Group, Inc. (The)  Financials 1,058 142,538 1.85%
eBay, Inc.  Information technology 3,668 141,090 1.83%
Altria Group, Inc.  Consumer staples 2,205 139,859 1.81%
Intuit, Inc.  Information technology 961 136,542 1.77%
Exxon Mobil Corp.  Energy 1,632 133,758 1.73%
Norfolk Southern Corp.  Industrials 1,002 132,558 1.72%
Northrop Grumman Corp.  Industrials 457 131,436 1.70%
Danaher Corp.  Health care 1,524 130,757 1.69%
Humana, Inc.  Health care 532 129,590 1.68%
Honeywell International, Inc.  Industrials 913 129,411 1.68%
Kimberly-Clark Corp.  Consumer staples 979 115,218 1.49%
Walt Disney Co. (The)  Consumer discretionary 1,134 111,800 1.45%
Automatic Data Processing, Inc.  Information technology 1,016 111,119 1.44%
TJX Cos., Inc. (The)  Consumer discretionary 1,487 109,672 1.42%
CBS Corp. Class B (non-voting shares)  Consumer discretionary 1,866 108,225 1.40%
Zoetis, Inc.  Health care 1,684 107,366 1.39%
Lowe's Cos., Inc.  Consumer discretionary 1,341 107,165 1.39%
Sherwin-Williams Co. (The)  Materials 295 105,764 1.37%
Allstate Corp. (The)  Financials 994 91,346 1.18%
CVS Health Corp.  Consumer staples 1,103 89,721 1.16%
Juniper Networks, Inc.  Information technology 3,224 89,716 1.16%
Aflac, Inc.  Financials 1,074 87,396 1.13%
Alphabet, Inc. Class A  Information technology 89 87,074 1.13%
General Dynamics Corp.  Industrials 399 82,029 1.06%
Verizon Communications, Inc.  Telecommunication services 1,648 81,573 1.06%
CME Group, Inc.  Financials 593 80,491 1.04%
Berkshire Hathaway, Inc. Class B  Financials 439 80,456 1.04%
Fidelity National Information Services, Inc.  Informavtion technology 842 78,674 1.02%
Kinder Morgan, Inc.  Energy 4,071 78,084 1.01%
PG&E Corp.  Utilities 1,126 76,642 0.99%
F5 Networks, Inc.  Information technology 626 75,530 0.98%
Ross Stores, Inc.  Consumer discretionary 1,143 73,835 0.96%
Baker Hughes a GE Co.  Energy 2,016 73,808 0.96%
Marathon Petroleum Corp.  Energy 1,238 69,425 0.90%
Merck & Co., Inc.  Health care 1,039 66,534 0.86%
Sysco Corp.  Consumer staples 1,225 66,088 0.86%
Equity Residential Trust Real estate 977 64,446 0.83%
Microsoft Corp.  Information technology 836 62,285 0.81%
Adobe Systems, Inc.  Information technology 416 62,010 0.80%
Harris Corp.  Information technology 465 61,273 0.79%
Edison International  Utilities 789 60,900 0.79%










OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/17 (Unaudited)
 
Swap counterparty/
Referenced debt*		 Rating*** Upfront premium received (paid)** Notional amount Value Termi-
nation date		 Payments received by fund Unrealized appreciation/
(depreciation)
   
Bank of America N.A.
CMBX NA BBB-.6 Index BBB-/P  $273  $4,000  $606 5/11/63 300 bp - Monthly  $(331)
CMBX NA BBB-.6 Index BBB-/P  482  8,000  1,213 5/11/63 300 bp - Monthly  (727)
CMBX NA BBB-.6 Index BBB-/P  926  15,000  2,274 5/11/63 300 bp - Monthly  (1,340)
CMBX NA BBB-.6 Index BBB-/P  912  16,000  2,426 5/11/63 300 bp - Monthly  (1,506)
   
Credit Suisse International
CMBX NA A.6 Index A/P  260  8,000  471 5/11/63 200 bp - Monthly  (208)
CMBX NA A.6 Index A/P  753  24,000  1,414 5/11/63 200 bp - Monthly  (653)
CMBX NA A.6 Index A/P  2,176  58,000  3,416 5/11/63 200 bp - Monthly  (1,221)
CMBX NA A.7 Index A/P  184  5,000  169 1/17/47 200 bp - Monthly  17
CMBX NA A.7 Index A/P  291  7,000  236 1/17/47 200 bp - Monthly  58
CMBX NA BBB-.6 Index BBB-/P  33,039  309,000  46,844 5/11/63 300 bp - Monthly  (13,651)
CMBX NA BBB-.7 Index BBB-/P  813  11,000  1,218 1/17/47 300 bp - Monthly  (399)
CMBX NA BBB-.7 Index BBB-/P  1,379  21,000  2,325 1/17/47 300 bp - Monthly  (935)
CMBX NA BBB-.7 Index BBB-/P  3,794  48,000  5,314 1/17/47 300 bp - Monthly  (1,495)
   
Goldman Sachs International
CMBX NA A.6 Index A/P  263  4,000  236 5/11/63 200 bp - Monthly  28
CMBX NA A.6 Index A/P  468  9,000  530 5/11/63 200 bp - Monthly  (59)
CMBX NA A.6 Index A/P  456  9,000  530 5/11/63 200 bp - Monthly  (72)
CMBX NA A.6 Index A/P  456  9,000  530 5/11/63 200 bp - Monthly  (72)
CMBX NA A.6 Index A/P  427  14,000  825 5/11/63 200 bp - Monthly  (393)
CMBX NA A.6 Index A/P  433  14,000  825 5/11/63 200 bp - Monthly  (387)
CMBX NA A.6 Index A/P  1,018  20,000  1,178 5/11/63 200 bp - Monthly  (154)
CMBX NA A.6 Index A/P  753  24,000  1,414 5/11/63 200 bp - Monthly  (653)
CMBX NA A.6 Index A/P  1,868  31,000  1,826 5/11/63 200 bp - Monthly  53
CMBX NA A.6 Index A/P  3,382  55,000  3,240 5/11/63 200 bp - Monthly  161
CMBX NA BBB-.6 Index BBB-/P  79  1,000  152 5/11/63 300 bp - Monthly  (72)
CMBX NA BBB-.6 Index BBB-/P  204  3,000  455 5/11/63 300 bp - Monthly  (249)
CMBX NA BBB-.6 Index BBB-/P  325  3,000  455 5/11/63 300 bp - Monthly  (129)
CMBX NA BBB-.6 Index BBB-/P  261  5,000  758 5/11/63 300 bp - Monthly  (495)
CMBX NA BBB-.6 Index BBB-/P  248  5,000  758 5/11/63 300 bp - Monthly  (507)
CMBX NA BBB-.6 Index BBB-/P  244  5,000  758 5/11/63 300 bp - Monthly  (512)
CMBX NA BBB-.6 Index BBB-/P  772  7,000  1,061 5/11/63 300 bp - Monthly  (286)
CMBX NA BBB-.6 Index BBB-/P  604  7,000  1,061 5/11/63 300 bp - Monthly  (453)
CMBX NA BBB-.6 Index BBB-/P  919  19,000  2,880 5/11/63 300 bp - Monthly  (1,952)
CMBX NA BBB-.6 Index BBB-/P  2,679  22,000  3,335 5/11/63 300 bp - Monthly  (646)
CMBX NA BBB-.6 Index BBB-/P  4,033  43,000  6,519 5/11/63 300 bp - Monthly  (2,464)
CMBX NA BBB-.6 Index BBB-/P  3,608  48,000  7,277 5/11/63 300 bp - Monthly  (3,645)
CMBX NA BBB-.7 Index BBB-/P  1,404  19,000  2,103 1/17/47 300 bp - Monthly  (689)
   
JPMorgan Securities LLC
CMBX NA A.6 Index A/P  495  8,000  471 5/11/63 200 bp - Monthly  27
CMBX NA A.6 Index A/P  964  19,000  1,119 5/11/63 200 bp - Monthly  (149)
CMBX NA A.6 Index A/P  786  24,000  1,414 5/11/63 200 bp - Monthly  (620)
CMBX NA A.6 Index A/P  726  24,000  1,414 5/11/63 200 bp - Monthly  (680)
CMBX NA A.6 Index A/P  1,707  29,000  1,708 5/11/63 200 bp - Monthly  8
CMBX NA A.6 Index A/P  929  33,000  1,944 5/11/63 200 bp - Monthly  (1,004)
CMBX NA A.6 Index A/P  2,902  60,000  3,534 5/11/63 200 bp - Monthly  (612)
CMBX NA A.6 Index A/P  7,232  120,000  7,068 5/11/63 200 bp - Monthly  204
CMBX NA BBB-.6 Index BBB-/P  292  2,000  303 5/11/63 300 bp - Monthly  (10)
CMBX NA BBB-.6 Index BBB-/P  336  3,000  455 5/11/63 300 bp - Monthly  (117)
CMBX NA BBB-.6 Index BBB-/P  330  3,000  455 5/11/63 300 bp - Monthly  (124)
CMBX NA BBB-.6 Index BBB-/P  423  3,000  455 5/11/63 300 bp - Monthly  (30)
CMBX NA BBB-.6 Index BBB-/P  550  5,000  758 5/11/63 300 bp - Monthly  (205)
CMBX NA BBB-.6 Index BBB-/P  567  5,000  758 5/11/63 300 bp - Monthly  (188)
CMBX NA BBB-.6 Index BBB-/P  569  5,000  758 5/11/63 300 bp - Monthly  (187)
CMBX NA BBB-.6 Index BBB-/P  883  8,000  1,213 5/11/63 300 bp - Monthly  (326)
CMBX NA BBB-.6 Index BBB-/P  1,441  10,000  1,516 5/11/63 300 bp - Monthly  (70)
CMBX NA BBB-.6 Index BBB-/P  1,747  12,000  1,819 5/11/63 300 bp - Monthly  (66)
CMBX NA BBB-.6 Index BBB-/P  30,538  255,000  38,658 5/11/63 300 bp - Monthly  (7,992)
CMBX NA BBB-.7 Index BBB-/P  2,297  19,000  2,103 1/17/47 300 bp - Monthly  203
 Upfront premium received   125,900  Unrealized appreciation   759
 Upfront premium (paid)  —  Unrealized depreciation   (48,735)
Total  $125,900 Total  $(47,976)
* 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 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)
 
Swap counterparty/
Referenced debt*		 Upfront premium received (paid)** Notional amount Value Termi-
nation date		 Payments (paid)
by fund		 Unrealized appreciation/
(depreciation)
   
Citigroup Global Markets, Inc.
CMBX NA BB.7 Index  $(490)  $3,000  $586 1/17/47 (500 bp) - Monthly  $93
CMBX NA BB.7 Index  (471)  3,000  586 1/17/47 (500 bp) - Monthly  112
   
Credit Suisse International
CMBX NA BB.7 Index  (1,288)  73,000  17,732 5/11/63 (500 bp) - Monthly  16,382
CMBX NA BB.7 Index  (4,277)  26,000  5,075 1/17/47 (500 bp) - Monthly  777
   
Goldman Sachs International
 CMBX NA BB.6 Index  (2,762)  27,000  6,558 5/11/63 (500 bp) - Monthly  3,774
 CMBX NA BB.7 Index  (303)  2,000  390 1/17/47 (500 bp) - Monthly  86
CMBX NA BB.7 Index  (2,234)  11,000  2,147 1/17/47 (500 bp) - Monthly  (96)
CMBX NA BB.7 Index  (983)  6,000  1,171 1/17/47 (500 bp) - Monthly  183
   
JPMorgan Securities LLC
CMBX NA A.7 Index  (169)  8,000  270 1/17/47 (200 bp) - Monthly  98
CMBX NA BB.6 Index  (532)  4,000  972 5/11/63 (500 bp) - Monthly  436
CMBX NA BB.6 Index  (288)  2,000  486 5/11/63 (500 bp) - Monthly  196
CMBX NA BB.6 Index  (141)  1,000  243 5/11/63 (500 bp) - Monthly  101
CMBX NA BB.7 Index  (939)  6,000  1,171 1/17/47 (500 bp) - Monthly  229
CMBX NA BB.7 Index  (1,027)  6,000  1,171 1/17/47 (500 bp) - Monthly  139
CMBX NA BB.7 Index  (471)  3,000  586 1/17/47 (500 bp) - Monthly  112
CMBX NA BB.7 Index  (487)  3,000  586 1/17/47 (500 bp) - Monthly  96
CMBX NA BBB-.7 Index  (336)  3,000  332 1/17/47 (300 bp) - Monthly  (4)
 Upfront premium received  —  Unrealized appreciation   22,814
 Upfront premium (paid)   (17,198)  Unrealized depreciation   (100)
Total  $(17,198) Total  $22,714
* 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 SOLD at 9/30/17 (Unaudited)
 
Referenced debt* Rating*** Upfront premium received (paid)** Notional amount Value Termi-
nation date		 Payments received by fund Unrealized appreciation/
(depreciation)
NA HY Series 29 Index B+/P  $(43,294)  $586,000  $45,894 12/20/22 500 bp - Quarterly  $2,844
NA IG Series 28 Index BBB+/P  (63,286)  3,950,000  83,677 6/20/22 100 bp - Quarterly  21,597
Total  $(106,580)  $24,441
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at September 30, 2017.   Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.










CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/17 (Unaudited)
 
Referenced debt* Upfront premium received (paid)** Notional amount Value Termination date Payments (paid) by fund Unrealized (appreciation/
depreciation)
NA HY Series 29 Index  $223,207  $2,996,000  $234,641 12/20/22 (500 bp) - Quarterly  $(12,265)
Total  $223,207  $(12,265)
* 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 currency abbreviations
BRL Brazilian Real
CAD Canadian Dollar
CNH Chinese Yuan (Offshore)
TRY Turkish Lira
USD / $ United States Dollar
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
ARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period
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.
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
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 $148,103,434.
(NON) This security is non-income-producing.
(RES) This security is restricted with regard to public resale. The total fair value of this security and any other restricted securities (excluding 144A securities), if any, held at the close of the reporting period was $21,381, or less than 0.1% of net assets.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value as of 12/31/16 Purchase cost Sale proceeds Investment income Shares outstanding and fair value as of 9/30/17
Short-term investments
Putnam Cash Collateral Pool, LLC*# $1,653,743 $11,542,072 $12,540,255 $9,929 $655,560
Putnam Short Term Investment Fund** 27,962,187 26,112,019 30,210,120 174,219 23,864,086
Total Short-term investments $29,615,930 $37,654,091 $42,750,375 $184,148 $24,519,646
* No management fees are charged to Putnam Cash Collateral Pool, LLC. There were no realized or unrealized gains or losses during the period.
# The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund's agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund received cash collateral of $655,560, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $635,942.
** 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 $498,991
(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 $160,694.
(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 $110,746.
(FWC) Forward commitment, in part or in entirety.
(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.
Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder's portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(R) Real Estate Investment Trust.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $4,443,021 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.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities and total return swap contracts taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
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, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned, to enhance the return on securities owned, to gain exposure to securities 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 manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as "variation margin".
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
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 interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
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, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries.
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 hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund's maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
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 $317,229 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $160,694 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
Common stocks*:
    Basic materials $2,199,207 $669,593 $—
    Capital goods 5,209,469 151,810 —
    Communication services 2,043,794 373,999 271
    Conglomerates 457,034 169,503 —
    Consumer cyclicals 10,650,516 459,366 —
    Consumer staples 7,317,132 703,552 21,381
    Energy 4,166,486 35,845 1,215
    Financials 14,005,981 1,810,592 —
    Health care 10,451,596 281,942 —
    Technology 15,382,101 274,951 —
    Transportation 2,204,115 425,695 —
    Utilities and power 2,843,165 41,468 —
Total common stocks 76,930,596 5,398,316 22,867
Asset-backed securities — 40,667 —
Convertible bonds and notes — 18,619 —
Convertible preferred stocks — 16,964 —
Corporate bonds and notes — 23,844,207 3
Foreign government and agency bonds and notes — 460,811 —
Mortgage-backed securities — 2,826,656 —
Preferred stocks 17,952 — —
Purchased options outstanding — 1,900 —
Senior loans — 196,549 —
U.S. government and agency mortgage obligations — 19,016,731 —
Warrants 134 — —
Short-term investments 23,864,086 1,642,680 —
Totals by level $100,812,768 $53,464,100 $22,870



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $27,681 $—
Futures contracts 458,422 — —
Written options outstanding — (524) —
Written swap options outstanding — (5,042) —
TBA sale commitments — (2,076,406) —
Interest rate swap contracts — 1,202 —
Total return swap contracts — (154,646) —
Credit default contracts — (238,415) —
Totals by level $458,422 $(2,446,150) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.

During the reporting period, transfers within the fair value hierarchy, if any (other than certain transfers involving non-U.S. equity securities as described in the Security valuation note above), 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 $170,933 $409,348
Foreign exchange contracts 160,375 131,318
Equity contracts 753,450 370,184
Interest rate contracts 86,527 169,723
Total $1,171,285 $1,080,573


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 currency option contracts (contract amount) $1,600,000
Written currency option contracts (contract amount)$1,600,000
Written swap option contracts (contract amount)$170,000
Futures contracts (number of contracts)300
Forward currency contracts (contract amount)$24,100,000
Centrally cleared interest rate swap contracts (notional)$11,600,000
OTC total return swap contracts (notional)$11,500,000
OTC credit default contracts (notional)$1,300,000
Centrally cleared credit default contracts (notional) $5,200,000
Warrants (number of warrants)6,000

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

EX-99.CERT 2 b_pvtcertifications.htm CERTIFICATIONS b_pvtcertifications.htm

Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.

/s/ Jonathan S. Horwitz
_____________________________

Date: November 27, 2017
Jonathan S. Horwitz
Principal Executive Officer













Certifications

I, Janet C. Smith, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:


a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;


b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;


c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and


d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer and I have disclosed to each registrant's auditors and the audit committee of each registrant's board of directors (or persons performing the equivalent functions):


a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant's ability to record, process, summarize, and report financial information; and


b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant's internal control over financial reporting.

/s/ Janet C. Smith
_______________________________

Date: November 27, 2017
Janet C. Smith
Principal Financial Officer














Attachment A

NQ

Period (s) ended September 30, 2017
               Putnam Europe Equity Fund
               Putnam International Equity Fund
               Putnam Multi-Cap Growth Fund
               Putnam Small Cap Growth Fund
               Putnam International Value Fund

               Putnam VT Absolute 500 Fund
               Putnam VT American Government Income Fund
               Putnam VT Capital Opportunities Fund
               Putnam VT Diversified Income Fund
               Putnam VT Equity Income Fund
               Putnam VT George Putnam Balanced Fund
               Putnam VT Global Asset Allocation Fund
               Putnam VT Global Equity Fund
               Putnam VT Global Health Care Fund
               Putnam VT Global Utilities Fund
               Putnam VT Growth Opportunities Fund
               Putnam VT High Yield Fund
               Putnam VT Income Fund
               Putnam VT International Equity Fund
               Putnam VT International Value Fund
               Putnam VT International Growth Fund
               Putnam VT Investors Fund
               Putnam VT Multi-Cap Value Fund
               Putnam VT Government Money Market Fund
               Putnam VT Multi-Cap Growth Fund
               Putnam VT Research Fund
               Putnam VT Small Cap Value Fund