Putnam Retirement Advantage Funds · *Percentages indicated are based on net assets of $721,042,300...

Putnam Retirement Advantage Funds

Annual Report Year Ended September 30, 2018


Putnam Retirement Advantage GAA Equity Portfolio

Putnam Retirement Advantage GAA Growth Portfolio

Putnam Retirement Advantage GAA Balanced Portfolio

Putnam Retirement Advantage GAA Conservative Portfolio

Putnam Retirement Advantage GAA Income Strategies Portfolio

Putnam Money Market Portfolio

https://www.putnam.com/?ref=315119.pdf


Annual Report Year Ended September 30, 2018

Table of Contents

Putnam Retirement Advantage Funds A-1 – A-34

Putnam Retirement Advantage GAA Equity Portfolio B-1 – B-35

Putnam Retirement Advantage GAA Growth Portfolio C-1 – C-74

Putnam Retirement Advantage GAA Balanced Portfolio D-1 – D-70

Putnam Retirement Advantage GAA Conservative Portfolio E-1 – E-66

Putnam Retirement Advantage GAA Income Strategies Portfolio F-1 – F-63

Putnam Money Market Portfolio G-1 – G-16


Annual report 9 | 30 | 18

Putnam Retirement Advantage 2060 Fund









Putnam Retirement Advantage Maturity Fund

Putnam Retirement Advantage Funds A-2

Table of contentsReport of Independent Auditors ……………………………………… A-4

The funds’ portfolios …………………………………………………… A-5

Statements of assets and liabilities …………………………………… A-9

Statements of operations ……………………………………………… A-11

Statements of changes in net assets ………………………………… A-12

Financial highlights …………………………………………………… A-16

Notes to financial statements ………………………………………… A-21


A note on the funds’ trustee The funds’ trustee, Putnam Fiduciary Trust Company, a nondepository trust company regulated by the New Hampshire Banking Department, converted to a New Hampshire limited liability company and changed its name to Putnam Fiduciary Trust Company, LLC effective after the close of business on December 31, 2018. The conversion had no impact on the funds or on PFTC’s business or regulatory status. No action is required for Plans invested in the funds. PFTC will continue to manage the funds, and each Plan’s participation agreement will remain in place. If you have any questions about this change, or about your investment, please feel free to call Putnam at 1-800-648-7410.


PricewaterhouseCoopers LLP, 101 Seaport Boulevard Suite 500, Boston, MA 02210 T :617-530-5000, F :617-530-5001, www.pwc.com/us

Report of Independent Auditors

To the Trustee of the Funds

We have audited the accompanying financial statements of Putnam Retirement Advantage 2060 Fund, Putnam Retirement Advantage 2055 Fund, Putnam Retirement Advantage 2050 Fund, Putnam Retirement Advantage 2045 Fund, Putnam Retirement Advantage 2040 Fund, Putnam Retirement Advantage 2035 Fund, Putnam Retirement Advantage 2030 Fund, Putnam Retirement Advantage 2025 Fund, Putnam Retirement Advantage 2020 Fund, Putnam Retirement Advantage Maturity Fund (here in after collectively referred to as the “Funds”), which comprise the statements of assets and liabilities, including the fund’s portfolios, as of September 30, 2018 and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements".

Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error.

Auditors' Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Funds’ preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Funds as of September 30, 2018, and the results of each of their operations, changes in each of their net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

December 20, 2018


The funds’ portfolios 9/30/18

2060 Fund Shares Value

Equity Funds* 99.5%

Putnam Retirement Advantage GAA Equity Portfolio Ω 1,209,235 $23,132,675

Putnam Retirement Advantage GAA Growth Portfolio Ω 344,108 6,376,314

Total equity funds (cost $28,117,872) $29,508,989

Fixed Income Funds* 0.5%

Putnam Money Market Portfolio Ω 148,286 $148,286

Total fixed income funds (cost $148,286) $148,286

Total investments (cost $28,266,158) $29,657,275

*Percentages indicated are based on net assets of $29,644,451


Equity Funds* 99.6%


Putnam Retirement Advantage GAA Growth Portfolio Ω 2,199,170 40,750,628



Putnam Money Market Portfolio Ω 700,183 $700,183

Total fixed income funds (cost $700,183) $700,183




Equity Funds* 99.5%





Putnam Money Market Portfolio Ω 1,417,058 $1,417,058

Total fixed income funds (cost $1,417,058) $1,417,058





Equity Funds* 99.5%










Equity Funds* 98.2%

Putnam Retirement Advantage GAA Equity Portfolio Ω 682,498 $13,056,194









Asset Allocation Funds* 27.2%

Putnam Retirement Advantage GAA Balanced Portfolio Ω 8,086,611 $152,594,351

Total asset allocation funds (cost $145,165,631) $152,594,351

Equity Funds* 69.8%

Putnam Retirement Advantage GAA Growth Portfolio Ω 21,132,436 $391,584,033







The funds’ portfolios 9/30/18 cont.




Putnam Retirement Advantage GAA Balanced Portfolio Ω 29,358,697 $553,998,608


Equity Funds* 19.2%

Putnam Retirement Advantage GAA Growth Portfolio Ω 7,474,347 $138,499,655









Putnam Retirement Advantage GAA Income Strategies Portfolio Ω 5,005,536 $76,885,039

Putnam Retirement Advantage GAA Balanced Portfolio Ω 21,314,259 402,200,064

Putnam Retirement Advantage GAA Conservative Portfolio Ω 11,691,951 186,252,785










Putnam Retirement Advantage GAA Balanced Portfolio Ω 2,355,512 44,448,518

Putnam Retirement Advantage GAA Conservative Portfolio Ω 15,962,765 254,286,851







Maturity Fund Shares Value








Notes to the funds’ portfolios

Unless noted otherwise, the notes to the funds’ portfolios are for the close of each fund’s reporting period, which ran from October 1, 2017 through September 30, 2018 (the reporting period). Within the following notes to the portfolios, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures.

Ω Affiliated Issuers (Note 5).

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 each 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 funds’ net assets as of the close of the reporting period:

Valuation inputs

Investments in securities: Level 1 Level 2 Level 3 Total

Putnam Retirement Advantage 2060 Fund $— $29,657,275 $— $29,657,275

Putnam Retirement Advantage 2055 Fund — 140,036,540 — 140,036,540








Putnam Retirement Advantage Maturity Fund — 374,020,961 — 374,020,961


The accompanying notes are an integral part of these financial statements.


Statements of assets and liabilities 9/30/18

ASSETS






Investments in affiliated Portfolios, at value (Notes 1 and 5) $29,657,275 $140,036,540 $283,411,679 $358,055,405 $466,292,553

Interest receivable 180 789 1,706 2,095 13,197

Receivable for units of the fund sold 115,272 541,715 529,501 971,063 529,098

Receivable for securities sold 72,048 477,402 911,341 992,940 1,239,244

Total assets 29,844,775 141,056,446 284,854,227 360,021,503 468,074,092

LIABILITIESPayable for units of the fund repurchased 6,483 110,173 191,529 300,184 313,298

Payable for securities purchased 181,003 909,705 1,250,901 1,665,758 1,467,021

Payable for management fees (Note 3) 12,838 71,576 122,251 172,713 207,126

Total liabilities 200,324 1,091,454 1,564,681 2,138,655 1,987,445

Net assets $29,644,451 $139,964,992 $283,289,546 $357,882,848 $466,086,647

COMPUTATION OF NET ASSET VALUE






Computation of net asset value Class IA

Net assets $2,600,597 $7,216,900 $21,737,566 $30,770,490 $36,457,663

Number of units outstanding 165,519 317,252 1,222,506 1,769,721 2,125,591

Net asset value $15.71 $22.75 $17.78 $17.39 $17.15

Computation of net asset value Class I

Net assets $13,965,693 $44,643,733 $103,891,298 $104,579,269 $186,057,532

Number of units outstanding 893,781 1,975,004 5,880,123 6,052,694 10,918,088

Net asset value $15.63 $22.60 $17.67 $17.28 $17.04

Computation of net asset value Class II

Net assets $1,376 $1,639,920 $2,492,896 $2,960,031 $7,980,917

Number of units outstanding 89 72,912 141,884 172,197 470,579

Net asset value $15.52 $22.49 $17.57 $17.19 $16.96

Computation of net asset value Class III

Net assets $437,403 $5,647,556 $13,003,317 $7,783,711 $21,279,004

Number of units outstanding 28,180 255,845 761,872 466,598 1,292,675

Net asset value $15.52 $22.07 $17.07 $16.68 $16.46

Computation of net asset value Class IV

Net assets $162,756 $1,682,208 $3,795,879 $9,783,437 $10,226,519

Number of units outstanding 10,529 76,784 224,079 590,863 626,015

Net asset value $15.46 $21.91 $16.94 $16.56 $16.34

Computation of net asset value Class V

Net assets $5,274,466 $38,167,992 $40,950,365 $87,873,614 $71,900,379


Net asset value $15.42 $21.80 $16.86 $16.48 $16.26

Computation of net asset value Class X

Net assets $7,202,160 $40,966,683 $97,418,225 $114,132,296 $132,184,633


Net asset value $15.70 $22.74 $17.77 $17.38 $17.15

Cost of investments (Note 2) $28,266,158 $131,153,988 $263,333,414 $333,545,635 $429,547,015


Statements of assets and liabilities 9/30/18 cont.

ASSETS





Putnam Retirement Advantage

Maturity Fund

Investments in affiliated Portfolios, at value (Notes 1 and 5) $561,008,643 $721,352,357 $697,053,837 $516,843,205 $374,020,961

Interest receivable 27,235 47,796 52,751 32,152 --

Receivable for units of the fund sold 3,902,250 427,597 2,849,891 225,781 1,793,680

Receivable for securities sold 2,095,340 3,421,784 4,209,076 2,853,192 510,474

Total assets 567,033,468 725,249,534 704,165,555 519,954,330 376,325,115

LIABILITIESPayable for units of the fund repurchased 541,608 1,561,509 489,043 1,322,035 510,474

Payable for securities purchased 5,480,694 2,331,130 6,617,857 1,786,224 1,793,680

Payable for management fees (Note 3) 267,228 314,595 321,938 219,685 160,379

Total liabilities 6,289,530 4,207,234 7,428,838 3,327,944 2,464,533

Net assets $560,743,938 $721,042,300 $696,736,717 $516,626,386 $373,860,582







Maturity Fund

Computation of net asset value Class IA

Net assets $61,288,248 $106,472,202 $126,693,136 $110,874,045 $118,380,771

Number of units outstanding 3,623,542 6,540,122 8,145,336 7,644,205 8,080,185

Net asset value $16.91 $16.28 $15.55 $14.50 $14.65

Computation of net asset value Class I

Net assets $172,647,286 $275,731,544 $211,385,977 $204,328,556 $93,569,845


Net asset value $16.81 $16.18 $15.45 $14.41 $14.56

Computation of net asset value Class II

Net assets $3,475,963 $11,872,770 $17,256,201 $5,965,788 $3,804,879

Number of units outstanding 207,782 738,093 1,122,882 416,351 262,714

Net asset value $16.73 $16.09 $15.37 $14.33 $14.48

Computation of net asset value Class III

Net assets $13,110,278 $31,424,202 $11,582,143 $10,957,463 $8,130,803

Number of units outstanding 807,963 2,012,742 776,478 787,967 578,226

Net asset value $16.23 $15.61 $14.92 $13.91 $14.06

Computation of net asset value Class IV

Net assets $21,873,340 $15,335,271 $26,338,914 $10,591,363 $11,018,215

Number of units outstanding 1,358,568 989,838 1,779,237 767,559 790,023

Net asset value $16.10 $15.49 $14.80 $13.80 $13.95

Computation of net asset value Class V

Net assets $130,710,225 $109,316,245 $149,363,440 $73,990,698 $67,284,841


Net asset value $16.02 $15.42 $14.73 $13.73 $13.88

Computation of net asset value Class X

Net assets $157,638,598 $170,890,066 $154,116,906 $99,918,473 $71,671,228


Net asset value $16.91 $16.27 $15.55 $14.50 $14.64

Cost of investments (Note 2) $520,048,081 $673,127,614 $660,712,726 $496,761,338 $347,722,012



Statements of operations Year ended 9/30/18

INVESTMENT INCOME






Income distributions from Portfolios (Note 5) $1,525 $8,078 $17,122 $21,453 $115,097

EXPENSESManagement fees (Note 3)

Class IA 5,233 16,928 55,052 77,080 94,667

Class I 54,944 219,125 544,695 566,601 951,278

Class II 258 17,383 28,754 44,057 67,190

Class III 4,328 35,814 83,958 54,382 136,212

Class IV 1,221 48,092 102,192 174,959 163,575

Class V 39,860 388,265 383,119 887,951 683,342

Class X 9,387* 51,329** 134,282* 154,620* 180,231*

Total expenses 115,231 776,936 1,332,052 1,959,650 2,276,495

Net investment loss (113,706) (768,858) (1,314,930) (1,938,197) (2,161,398)

Net realized gain on sale of Portfolios (Notes 1 and 2) 1,470,476 12,448,344 25,466,999 33,301,589 38,929,603

Net unrealized appreciation (depreciation) of Portfolios during the year 549,114 (55,077) (639,326) (1,855,976) (117,942)

Net gain on investments 2,019,590 12,393,267 24,827,673 31,445,613 38,811,661

Net increase in net assets resulting from operations $1,905,884 $11,624,409 $23,512,743 $29,507,416 $36,650,263

INVESTMENT INCOME






Maturity Fund

Income distributions from Portfolios (Note 5) $242,943 $427,623 $483,312 $313,332 $—

EXPENSESManagement fees (Note 3)

Class IA 164,062 285,186 345,383 308,616 332,391

Class I 875,364 1,404,159 1,037,994 1,049,523 501,681

Class II 77,878 109,581 181,151 76,545 65,206

Class III 97,426 223,106 87,564 94,680 57,224

Class IV 256,744 194,381 291,471 134,619 120,921

Class V 1,346,817 1,079,727 1,558,158 799,527 714,674

Class X 204,126* 215,471* 189,263** 129,799* 99,371**

Total expenses 3,022,417 3,511,611 3,690,984 2,593,309 1,891,468

Net investment loss (2,779,474) (3,083,988) (3,207,672) (2,279,977) (1,891,468)

Net realized gain on sale of Portfolios (Notes 1 and 2) 45,348,566 51,339,869 46,342,801 25,718,339 19,529,805

Net unrealized appreciation (depreciation) of Portfolios during the year (247,583) 1,324,875 (6,320,865) (4,840,547) (4,057,505)

Net gain on investments 45,100,983 52,664,744 40,021,936 20,877,792 15,472,300

Net increase in net assets resulting from operations $42,321,509 $49,580,756 $36,814,264 $18,597,815 $13,580,832

* For the period January 5, 2018 (commencement of operations) to September 30, 2018.** For the period January 8, 2018 (commencement of operations) to September 30, 2018.


Statements of changes in net assets

TOTAL INCREASE IN NET ASSETSPutnam Retirement

Advantage 2060 Fund

Year ended 9/30/18

Operations:

Net investment loss $(113,706)

Net realized gain on sale of Portfolios 1,470,476

Net unrealized appreciation of Portfolios 549,114

Net increase in net assets resulting from operations 1,905,884

Increase in net assets from principal transactions (Note 4) 16,718,935

Total increase in net assets 18,624,819

NET ASSETSBeginning of year 11,019,632

End of year $29,644,451


Advantage 2055 Fund

Year ended 9/30/18

Operations:

Net investment loss $(768,858)


Net unrealized depreciation of Portfolios (55,077)





End of year $139,964,992


Advantage 2050 Fund

Year ended 9/30/18

Operations:

Net investment loss $(1,314,930)







End of year $283,289,546


Statements of changes in net assets cont.


Advantage 2045 Fund

Year ended 9/30/18

Operations:



Net unrealized depreciation of Portfolios (1,855,976)





End of year $357,882,848


Advantage 2040 Fund

Year ended 9/30/18

Operations:








End of year $466,086,647


Advantage 2035 Fund

Year ended 9/30/18

Operations:








End of year $560,743,938






Advantage 2030 Fund

Year ended 9/30/18

Operations:



Net unrealized appreciation of Portfolios 1,324,875





End of year $721,042,300


Advantage 2025 Fund

Year ended 9/30/18

Operations:








End of year $696,736,717


Advantage 2020 Fund

Year ended 9/30/18

Operations:








End of year $516,626,386



TOTAL INCREASE IN NET ASSETS


Maturity Fund

Year ended 9/30/18

Operations:








End of year $373,860,582



* For the period January 5, 2018 (commencement of operations) to September 30, 2018. ** For the period January 8, 2018 (commencement of operations) to September 30, 2018. a Per unit net investment income (loss) has been determined on the basis of the average number of units outstanding during the year. b Expense ratios do not include expenses of the Portfolios. c Not annualized. d Annualized.

Financial highlights (For a unit outstanding throughout the year)


INVESTMENT OPERATIONS: RATIOS AND SUPPLEMENTAL DATA:

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Putnam Retirement Advantage 2060 FundCLASS IASeptember 30, 2018 $14.05 (.04) 1.70 1.66 $15.71 11.81 $2,601 .28 (.27)CLASS ISeptember 30, 2018 $14.00 (.07) 1.70 1.63 $15.63 11.64 $13,966 .50 (.49)CLASS IISeptember 30, 2018 $13.97 (.09) 1.64 1.55 $15.52 11.10 $1 .60 (.59)CLASS IIISeptember 30, 2018 $13.94 (.11) 1.69 1.58 $15.52 11.33 $437 .75 (.74)CLASS IVSeptember 30, 2018 $13.91 (.13) 1.68 1.55 $15.46 11.14 $163 .90 (.89)CLASS VSeptember 30, 2018 $13.89 (.15) 1.68 1.53 $15.42 11.02 $5,274 1.05 (1.04)CLASS X*September 30, 2018 $15.14 (.04) .60 .56 $15.70 3.70 c $7,202 .35 d (.34) d

Putnam Retirement Advantage 2055 FundCLASS IASeptember 30, 2018 $20.36 (.06) 2.45 2.39 $22.75 11.74 $7,217 .28 (.27)CLASS ISeptember 30, 2018 $20.27 (.11) 2.44 2.33 $22.60 11.49 $44,644 .50 (.49)CLASS IISeptember 30, 2018 $20.19 (.13) 2.43 2.30 $22.49 11.39 $1,640 .60 (.59)CLASS IIISeptember 30, 2018 $19.85 (.16) 2.38 2.22 $22.07 11.18 $5,648 .75 (.74)CLASS IVSeptember 30, 2018 $19.73 (.19) 2.37 2.18 $21.91 11.05 $1,682 .90 (.89)CLASS VSeptember 30, 2018 $19.66 (.22) 2.36 2.14 $21.80 10.89 $38,168 1.05 (1.04)CLASS X**September 30, 2018 $22.06 (.05) .73 .68 $22.74 3.08 c $40,967 .35 d (.34) d


Financial highlights (For a unit outstanding throughout the year) cont.


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Putnam Retirement Advantage 2050 FundCLASS IASeptember 30, 2018 $15.96 (.05) 1.87 1.82 $17.78 11.40 $21,738 .28 (.27)CLASS ISeptember 30, 2018 $15.89 (.08) 1.86 1.78 $17.67 11.20 $103,891 .50 (.49)CLASS IISeptember 30, 2018 $15.82 (.10) 1.85 1.75 $17.57 11.06 $2,493 .60 (.59)CLASS IIISeptember 30, 2018 $15.39 (.12) 1.80 1.68 $17.07 10.92 $13,003 .75 (.74)CLASS IVSeptember 30, 2018 $15.30 (.15) 1.79 1.64 $16.94 10.72 $3,796 .90 (.89)CLASS VSeptember 30, 2018 $15.25 (.17) 1.78 1.61 $16.86 10.56 $40,950 1.05 (1.04)CLASS X*September 30, 2018 $17.15 (.04) .66 .62 $17.77 3.62 c $97,418 .35 d (.34) d

Putnam Retirement Advantage 2045 FundCLASS IASeptember 30, 2018 $15.66 (.05) 1.78 1.73 $17.39 11.05 $30,770 .28 (.27)CLASS ISeptember 30, 2018 $15.59 (.08) 1.77 1.69 $17.28 10.84 $104,579 .50 (.49)CLASS IISeptember 30, 2018 $15.53 (.10) 1.76 1.66 $17.19 10.69 $2,960 .60 (.59)CLASS IIISeptember 30, 2018 $15.09 (.12) 1.71 1.59 $16.68 10.54 $7,784 .75 (.74)CLASS IVSeptember 30, 2018 $15.00 (.14) 1.70 1.56 $16.56 10.40 $9,783 .90 (.89)CLASS VSeptember 30, 2018 $14.95 (.17) 1.70 1.53 $16.48 10.23 $87,874 1.05 (1.04)CLASS X*September 30, 2018 $16.79 (.04) .63 .59 $17.38 3.51 c $114,132 .35 d (.34) d


* For the period January 5, 2018 (commencement of operations) to September 30, 2018. a Per unit net investment income (loss) has been determined on the basis of the average number of units outstanding during the year. b Expense ratios do not include expenses of the Portfolios. c Not annualized. d Annualized.


* For the period January 5, 2018 (commencement of operations) to September 30, 2018. a Per unit net investment income (loss) has been determined on the basis of the average number of units outstanding during the year. b Expense ratios do not include expenses of the Portfolios. c Not annualized. d Annualized.



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Putnam Retirement Advantage 2040 FundCLASS IASeptember 30, 2018 $15.50 (.04) 1.69 1.65 $17.15 10.65 $36,458 .28 (.25)CLASS ISeptember 30, 2018 $15.44 (.08) 1.68 1.60 $17.04 10.36 $186,058 .50 (.47)CLASS IISeptember 30, 2018 $15.38 (.09) 1.67 1.58 $16.96 10.27 $7,981 .60 (.57)CLASS IIISeptember 30, 2018 $14.95 (.11) 1.62 1.51 $16.46 10.10 $21,279 .75 (.72)CLASS IVSeptember 30, 2018 $14.86 (.14) 1.62 1.48 $16.34 9.96 $10,227 .90 (.87)CLASS VSeptember 30, 2018 $14.81 (.16) 1.61 1.45 $16.26 9.79 $71,900 1.05 (1.02)CLASS X*September 30, 2018 $16.59 (.04) .60 .56 $17.15 3.38 c $132,185 .35 d (.32) d Putnam Retirement Advantage 2035 FundCLASS IASeptember 30, 2018 $15.38 (.04) 1.57 1.53 $16.91 9.95 $61,288 .28 (.23)CLASS ISeptember 30, 2018 $15.32 (.07) 1.56 1.49 $16.81 9.73 $172,647 .50 (.45)CLASS IISeptember 30, 2018 $15.26 (.09) 1.56 1.47 $16.73 9.63 $3,476 .60 (.56)CLASS IIISeptember 30, 2018 $14.82 (.11) 1.52 1.41 $16.23 9.51 $13,110 .75 (.70)CLASS IVSeptember 30, 2018 $14.73 (.13) 1.50 1.37 $16.10 9.30 $21,873 .90 (.85)CLASS VSeptember 30, 2018 $14.68 (.15) 1.49 1.34 $16.02 9.13 $130,710 1.05 (1.00)CLASS X*September 30, 2018 $16.38 (.03) .56 .53 $16.91 3.24 c $157,639 .35 d (.30) d





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Putnam Retirement Advantage 2030 FundCLASS IASeptember 30, 2018 $14.95 (.03) 1.36 1.33 $16.28 8.90 $106,472 .28 (.21)CLASS ISeptember 30, 2018 $14.89 (.07) 1.36 1.29 $16.18 8.66 $275,732 .50 (.43)CLASS IISeptember 30, 2018 $14.82 (.08) 1.35 1.27 $16.09 8.57 $11,873 .60 (.54)CLASS IIISeptember 30, 2018 $14.41 (.10) 1.30 1.20 $15.61 8.33 $31,424 .75 (.68)CLASS IVSeptember 30, 2018 $14.32 (.12) 1.29 1.17 $15.49 8.17 $15,335 .90 (.83)CLASS VSeptember 30, 2018 $14.27 (.15) 1.30 1.15 $15.42 8.06 $109,316 1.05 (.98)CLASS X*September 30, 2018 $15.80 (.03) .50 .47 $16.27 2.97 c $170,890 .35 d (.29) d Putnam Retirement Advantage 2025 FundCLASS IASeptember 30, 2018 $14.58 (.03) 1.00 .97 $15.55 6.65 $126,693 .28 (.19)CLASS ISeptember 30, 2018 $14.52 (.06) .99 .93 $15.45 6.40 $211,386 .50 (.42)CLASS IISeptember 30, 2018 $14.45 (.08) 1.00 .92 $15.37 6.37 $17,256 .60 (.53)CLASS IIISeptember 30, 2018 $14.05 (.10) .97 .87 $14.92 6.19 $11,582 .75 (.67)CLASS IVSeptember 30, 2018 $13.96 (.12) .96 .84 $14.80 6.02 $26,339 .90 (.82)CLASS VSeptember 30, 2018 $13.91 (.14) .96 .82 $14.73 5.90 $149,363 1.05 (.97)CLASS X**September 30, 2018 $15.27 (.03) .31 .28 $15.55 1.83 c $154,117 .35 d (.28) d






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Putnam Retirement Advantage 2020 FundCLASS IASeptember 30, 2018 $13.92 (.03) .61 .58 $14.50 4.17 $110,874 .28 (.21)CLASS ISeptember 30, 2018 $13.86 (.06) .61 .55 $14.41 3.97 $204,329 .50 (.43)CLASS IISeptember 30, 2018 $13.79 (.08) .62 .54 $14.33 3.92 $5,966 .60 (.54)CLASS IIISeptember 30, 2018 $13.40 (.09) .60 .51 $13.91 3.81 $10,957 .75 (.69)CLASS IVSeptember 30, 2018 $13.32 (.11) .59 .48 $13.80 3.60 $10,591 .90 (.84)CLASS VSeptember 30, 2018 $13.28 (.13) .58 .45 $13.73 3.39 $73,991 1.05 (.98)CLASS X*September 30, 2018 $14.32 (.03) .21 .18 $14.50 1.26 c $99,918 .35 d (.29) d Putnam Retirement Advantage Maturity FundCLASS IASeptember 30, 2018 $14.06 (.04) .63 .59 $14.65 4.20 $118,381 .28 (.28)CLASS ISeptember 30, 2018 $14.01 (.07) .62 .55 $14.56 3.93 $93,570 .50 (.50)CLASS IISeptember 30, 2018 $13.95 (.09) .62 .53 $14.48 3.80 $3,805 .60 (.60)CLASS IIISeptember 30, 2018 $13.56 (.10) .60 .50 $14.06 3.69 $8,131 .75 (.75)CLASS IVSeptember 30, 2018 $13.47 (.12) .60 .48 $13.95 3.56 $11,018 .90 (.90)CLASS VSeptember 30, 2018 $13.43 (.14) .59 .45 $13.88 3.35 $67,285 1.05 (1.05)CLASS X**September 30, 2018 $14.42 (.04) .26 .22 $14.64 1.53 c $71,671 .35 d (.35) d




1. Description of the fundsPutnam Retirement Advantage Funds (the “funds”) are a series of ten collective investment trusts designed for participants who want to structure their asset allocation under their employer’s retirement plan towards a specific target year in which they intend to retire. The funds are estab-lished and maintained by Putnam Fiduciary Trust Company, LLC (“PFTC”) as Trustee (the “Trustee and Manager”), pursuant to the Declaration of Trust (the “Trust”) for the Putnam Fiduciary Trust Company Investment Funds for Pension and Profit Sharing Trusts, as amended and restated March 31, 2008. PFTC has hired its affiliate, The Putnam Advisory Company, LLC (“PAC”), to provide certain non-discretionary investment advisory and administrative services to Putnam in connection with the funds and Portfolios (as defined below). The objective of each fund is to maximize returns while maintaining a level of risk appropriate for a person planning to retire on or about the calendar year designated in the fund’s name. The funds are available to participants in qualified defined contribution plans, such as 401(k) plans, profit sharing plans, money purchase pension plans, governmental Section 457 plans, as well as to certain commingled trust funds and insurance company separate accounts and, in the Trustee’s discretion, any other plans or trusts eligible to invest under Revenue Ruling 81-100.

These financial statements report on the funds which invest in the following underlying collective investment trusts established and main-tained by PFTC, Putnam Retirement Advantage GAA Equity Portfolio, Putnam Retirement Advantage GAA Growth Portfolio, Putnam Retirement Advantage GAA Balanced Portfolio, Putnam Retirement Advantage GAA Conservative Portfolio, Putnam Retirement Advantage GAA Income Strategies Portfolio, and Putnam Money Market Portfolio, (together, the “Portfolios”).

The Portfolios listed above are trusts organized under the Declaration of Trust and managed by the Trustee. The financial statements of the Portfolios contain additional information about the expenses and investments of the Portfolios and are available upon request.

The following summarizes the investment objectives and policies of the Portfolios in which the funds will invest. Participants by virtue of investing in a fund, are not considered unitholders in any of the Portfolios, and have no rights to consent or object to matters that require the consent of unitholders of any such underlying investments.

Putnam Retirement Advantage GAA Equity Portfolio (Putnam GAA Equity Portfolio):

The Putnam GAA Equity Portfolio invests in U.S. and international stocks and is designed for investors seeking long-term growth with moderate risk. The Portfolio’s strategic equity weighting is 100% with no amount allocated to fixed income investments.

Putnam Retirement Advantage GAA Growth Portfolio (Putnam GAA Growth Portfolio):

The Putnam GAA Growth Portfolio invests in U.S. and international stocks and bonds and is designed for investors seeking long-term growth with moderate risk. The Portfolio’s strategic equity weighting ranges from 65% to 95%, with the balance invested in a range of fixed income investments.

Putnam Retirement Advantage GAA Balanced Portfolio (Putnam GAA Balanced Portfolio):

The Putnam GAA Balanced Portfolio is diversified across stocks and bonds in global markets and is designed for investors seeking a combination of growth and current income. The Portfolio’s strategic equity allocation ranges from 45% to 75%, with the balance invested in bonds and money market instruments.

Putnam Retirement Advantage GAA Conservative Portfolio (Putnam GAA Conservative Portfolio):

The Putnam GAA Conservative Portfolio’s globally diversified portfolio emphasizes bonds over stocks and is designed for investors who want to protect the value of their investment while receiving regular income and protection against inflation. The strategic fixed-income allocation ranges from 55% to 85%, with the balance invested in stocks and money market instruments.

Putnam Retirement Advantage GAA Income Strategies Portfolio (Putnam GAA Income Strategies Portfolio):

The Putnam GAA Income Strategies Portfolio invests in a combination of bonds and common stocks of U.S. and non-U.S. companies. The Portfolio buys bonds with short- to long-term maturities that are either investment-grade or below investment-grade in quality. The Portfolio also buys other fixed income securities, such as mortgage-backed investments. The strategic fixed-income allocation ranges from 50% to 95%, with the balance invested in equity investments. The Portfolio may also select other investments that do not fall within these asset classes.

Putnam Money Market Portfolio:

The Putnam Money Market Portfolio invests mainly in instruments that are high quality and have short-term maturity.

In order to preserve the funds’ investment strategy as a series of age-based funds it is necessary to launch a new fund every five years, and at the same time to merge an existing fund into the Putnam Retirement Advantage Maturity Fund. These changes are contemplated by the funds’ offering document as part of the product’s natural lifecycle.

To this end, the following occurred during the reporting period:

The Trustee opened the existing Class X for Putnam Retirement Advantage 2060 Fund, Putnam Retirement Advantage 2050 Fund, Putnam Retirement Advantage 2045 Fund, Putnam Retirement Advantage 2040 Fund, Putnam Retirement Advantage 2045 Fund, Putnam Retirement Advantage 2035 Fund, Putnam Retirement Advantage 2030 Fund and Putnam Retirement Advantage 2020 Fund on January 5, 2018.

The Trustee opened the existing Class X for Putnam Retirement Advantage 2055 Fund, Putnam Retirement Advantage 2025 Fund and Putnam Retirement Advantage Maturity Fund on January 8, 2018.

Notes to financial statements 9/30/18


Per the Declaration of Trust as amended and restated March 31, 2008, the funds currently offer seven classes of units, Class IA, Classes I through V, and Class X.

Within the following Notes to financial statements, unless otherwise noted, the “reporting period” represents the period from October 1, 2017 through September 30, 2018.

In the normal course of business, the funds enter into contracts that may include agreements to indemnify another party under given circum-stances. The funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the funds. However, the funds’ management team expects the risk of material loss to be remote.

2. Summary of Significant Accounting PoliciesThe following is a summary of significant accounting policies consistently followed by the funds in the preparation of their financial state-ments. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those esti-mates. Subsequent events after the Statement of assets and liabilities date (September 30, 2018), through the date of the financial statements (December 20, 2018), have been evaluated in the preparation of the financial statements. The funds are an investment company and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services — Investment Companies.

Security ValuationThe price of each fund’s units is based on its net asset value (NAV), which is in turn based on the NAVs of each Portfolio in which it invests, which are classified as Level 2. The NAV of each Portfolio is determined based on the policies contained in each Portfolio’s financial statements. The NAV per unit of each class equals the total value of its assets, less its liabilities, divided by the number of its outstanding units. Units are only valued as of the close of regular trading on the New York Stock Exchange (NYSE) each day the exchange is open. Each Portfolio (other than the Putnam Money Market Portfolio, which values its investments at amortized cost, which approximates fair value) values its investments for which market quotations are readily available at fair market value and values its short-term investments that will mature within 60 days at amortized cost, which approximates fair value.

Security Transactions and Related Investment IncomeSecurity transactions, which consist of units of the Portfolios, are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses from the sale of the Portfolios are determined on the identified cost basis. Income and capital gain distributions from the Portfolios, if any, are recognized on the ex-dividend date. Distributions received from collective or other investment funds, if any, are recorded on the ex-dividend date and retain the character of income as earned by the Portfolios.

Sales and Redemptions of Units of ParticipationSubscriptions to the funds will be accepted on a daily basis. There is no minimum size restriction at the participant level. Upon acceptance of a subscription, the Trustee will credit the appropriate number of units of the appropriate class to the account of the plan. Units will be cred-ited based upon the net asset value per unit as of the close of business on the date the subscription is received by the Trustee. A contribution or exchange received after the close of trading on the NYSE, or on a day other than a business day, will be credited at the unit value of the fund determined as of the next business day.

Plans are eligible to purchase a class of units within the funds as determined by the Trustee in its reasonable discretion. In general, but not by way of limitation, plans are eligible to purchase a class of units within the funds depending upon the amount of assets of the plan and the characteristics of the plan at the time of initial purchase of the funds as follows:

Minimum total plan size (in Millions)* Eligible classes $500 IA$5 X

*During the period the Trustee agreed to waive the minimum investment amounts for all classes except Class IA and Class X.

Assets invested in a class of units shall remain invested in such class irrespective of whether or how much the plan’s assets in the funds increase or decrease following initial purchase of such units. Similarly, new purchases of units in the funds on behalf of a plan will be made in the same class as that of the initial purchase of units in the funds.


Withdrawals generally will be permitted daily for the funds and Portfolios, at a redemption price equal to the net asset value per unit redeemed as determined by the Trustee. Participant withdrawal requests must be received by the Trustee prior to the closing of the New York Stock Exchange on the date on which the withdrawal is desired in order to receive the net asset value per unit for such date. The unit value used to calculate the value of a withdrawal from the fund will be the one computed for the date of the requested withdrawal, provided the withdrawal request is received in good order. PFTC must receive notice of a plan-level withdrawal no later than five business days prior to the date of the withdrawal. Payment of a withdrawal will be made as soon as reasonably practicable, which generally will be the business day following the withdrawal date.

Under unusual circumstances, PFTC may suspend withdrawals or defer payment of a withdrawal if, in its discretion, such action is necessary to avoid a materially adverse impact on the other participating plans. No interest shall be paid with respect to any amounts pending distribution. At the close of the reporting period, the following funds had unitholders of record that owned the following percentages of the outstanding units of the fund.

Putnam Retirement Advantage 2060 Fund 24.03%Putnam Retirement Advantage 2055 Fund 20.25%Putnam Retirement Advantage 2050 Fund 19.59%Putnam Retirement Advantage 2045 Fund 22.22%Putnam Retirement Advantage 2040 Fund 14.84%Putnam Retirement Advantage 2035 Fund 18.80%Putnam Retirement Advantage 2030 Fund 10.44%Putnam Retirement Advantage 2025 Fund 13.06%Putnam Retirement Advantage 2020 Fund 10.37%Putnam Retirement Advantage Maturity Fund 11.96%

Federal Income TaxesIt is each fund’s policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the funds are exempt from federal income taxes and no federal income tax provision is required.

The funds are subject to the provisions of Accounting Standards Codification ASC 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The funds did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held. Each fund’s prior fiscal years remain subject to examination by the Internal Revenue Service.

3. ExpensesThe funds pay management fees to the Trustee, which vary by unit class. However, none of the Portfolios in which the funds invest pays such fees to the Trustee.

The following management fees apply to the following classes of units. A portion of each management fee may be applied to payments made by the Trustee to financial advisors, other marketing and servicing expenses and plan administrative costs as directed by the plan’s fiduciary and agreed upon by the Trustee. In general, but not by way of limitation, such payments may be made as a percentage of each class’s net assets as shown in the chart below.

Class Management FeeIA 0.28%I 0.50%II 0.60%III 0.75%IV 0.90%V 1.05%X 0.35%

Management fees are accrued daily and collected monthly. The funds may pay audit fees for the respective fund’s annual audit. However, for the reporting period, the audit fees were borne by the Trustee.


4. Capital UnitsFor the reporting period, transactions in capital units were as follows:


Year ended 9/30/18Class IA Units AmountUnits sold 125,666 $1,922,774Units repurchased (13,258) (203,133)Net increase 112,408 $1,719,641

Class I Units AmountUnits sold 775,308 $11,631,644Units repurchased (402,481) (5,988,578)Net increase 372,827 $5,643,066

Class II Units AmountUnits sold 3,728 $55,251Units repurchased (6,883) (101,395)Net decrease (3,155) $(46,144)

Class III Units AmountUnits sold 55,198 $819,032Units repurchased (52,226) (782,743)Net increase 2,972 $36,289

Class IV Units AmountUnits sold 9,799 $145,009Units repurchased (6,564) (98,212)Net increase 3,235 $46,797

Class V Units AmountUnits sold 274,429 $4,069,109Units repurchased (110,918) (1,643,620)Net increase 163,511 $2,425,489

Class X* Units AmountUnits sold 520,630 $7,846,765Units repurchased (62,025) (952,968)Net increase 458,605 $6,893,797


Year ended 9/30/18Class IA Units AmountUnits sold 105,808 $2,302,022Units repurchased (22,977) (499,322)Net increase 82,831 $1,802,700

Class I Units AmountUnits sold 1,593,765 $34,443,673Units repurchased (1,384,596) (29,754,657)Net increase 209,169 $4,689,016

Class II Units AmountUnits sold 73,951 $1,582,483Units repurchased (156,590) (3,334,526)Net decrease (82,639) $(1,752,043)

Class III Units AmountUnits sold 144,279 $3,068,711Units repurchased (81,662) (1,703,553)Net increase 62,617 $1,365,158

Class IV Units AmountUnits sold 114,348 $2,394,103Units repurchased (282,501) (6,069,729)Net decrease (168,153) $(3,675,626)

Class V Units AmountUnits sold 884,339 $18,511,341Units repurchased (715,274) (15,127,305)Net increase 169,065 $3,384,036

Class X** Units AmountUnits sold 1,962,397 $42,630,107Units repurchased (160,491) (3,570,738)Net increase 1,801,906 $39,059,369



Year ended 9/30/18Class IA Units AmountUnits sold 274,962 $4,663,417Units repurchased (114,206) (1,929,343)Net increase 160,756 $2,734,074

Class I Units AmountUnits sold 3,315,469 $56,188,553Units repurchased (3,808,897) (63,861,302)Net decrease (493,428) $(7,672,749)




Class V Units AmountUnits sold 1,267,803 $20,573,344Units repurchased (824,518) (13,457,785)Net increase 443,285 $7,115,559

Class X* Units AmountUnits sold 5,853,213 $98,950,518Units repurchased (370,778) (6,428,280)Net increase 5,482,435 $92,522,238





Class III Units AmountUnits sold 172,681 $2,748,278Units repurchased (188,970) (2,966,781)Net decrease (16,289) $(218,503)

Class IV Units AmountUnits sold 282,949 $4,464,337Units repurchased (1,074,749) (17,370,663)Net decrease (791,800) $(12,906,326)

Class V Units AmountUnits sold 2,079,875 $33,082,288Units repurchased (1,885,941) (29,997,867)Net increase 193,934 $3,084,421














Class II Units AmountUnits sold 134,223 $2,147,447Units repurchased (1,126,901) (17,960,490)Net decrease (992,678) $(15,813,043)

Class III Units AmountUnits sold 186,302 $2,931,165Units repurchased (383,045) (5,873,052)Net decrease (196,743) $(2,941,887)








Class II Units AmountUnits sold 302,505 $4,680,418Units repurchased (1,002,716) (15,381,543)Net decrease (700,211) $(10,701,125)

Class III Units AmountUnits sold 841,120 $12,649,658Units repurchased (653,492) (9,852,769)Net decrease 187,628 $2,796,889





Year ended 9/30/18Class IA Units AmountUnits sold 394,893 $5,958,843Units repurchased (378,213) (5,726,789)Net increase 16,680 $232,054

Class I Units AmountUnits sold 9,657,511 $144,728,703Units repurchased (7,722,557) (115,484,026)Net increase 1,934,954 $29,244,677

Class II Units AmountUnits sold 396,141 $5,904,338Units repurchased (1,792,404) (26,449,063)Net decrease (1,396,263) $(20,544,725)







Year ended 9/30/18Class IA Units AmountUnits sold 324,882 $4,614,232Units repurchased (485,390) (6,910,332)Net decrease (160,508) $(2,296,100)

Class I Units AmountUnits sold 8,027,462 $113,347,315Units repurchased (8,104,483) (114,153,801)Net decrease (77,021) $(806,486)




Class V Units AmountUnits sold 1,809,344 $24,497,662Units repurchased (2,070,351) (28,006,680)Net decrease (261,007) $(3,509,018)



Year ended 9/30/18Class IA Units AmountUnits sold 491,206 $7,038,971Units repurchased (810,659) (11,595,476)Net decrease (319,453) $(4,556,505)



Class III Units AmountUnits sold 269,890 $3,688,379Units repurchased (236,837) (3,255,485)Net increase 33,053 $432,894


Class V Units AmountUnits sold 1,429,218 $19,471,418Units repurchased (1,474,154) (20,053,738)Net decrease (44,936) $(582,320)


* For the period January 5, 2018 (commencement of operations) to September 30, 2018.** For the period January 8, 2018 (commencement of operations) to September 30, 2018.


5. Transactions with Affiliated IssuersTransactions during the reporting period with funds in which the funds owned at least 5% or more of the outstanding voting securities, or an entity which is under common ownership or control were as follows:


Name of affiliateFair value as of

9/30/17Purchase

costSale

proceedsInvestment

incomePutnam Retirement Advantage GAA Equity Portfolio $8,599,457 $20,664,630 $7,753,817 $—

Putnam Retirement Advantage GAA Growth Portfolio 2,370,363 5,728,076 2,119,310 —

Putnam Money Market Portfolio 55,125 252,162 159,001 1,525

Totals $11,024,945 $26,644,868 $10,032,128 $1,525



9/30/17Purchase

costSale

proceedsInvestment



Putnam Money Market Portfolio 417,584 1,351,030 1,068,431 8,078

Totals $83,516,820 $109,740,175 $65,613,722 $8,078



9/30/17Purchase

costSale

proceedsInvestment



Putnam Money Market Portfolio 878,915 2,388,866 1,850,723 17,122

Totals $175,782,964 $205,226,380 $122,425,338 $17,122



9/30/17Purchase

costSale

proceedsInvestment



Putnam Money Market Portfolio 1,207,140 3,251,598 2,668,461 21,453

Totals $241,428,040 $252,599,903 $167,418,151 $21,453



9/30/17Purchase

costSale

proceedsInvestment




Totals $308,163,050 $300,933,132 $181,615,290 $115,097


Putnam Retirement Advantage 2060 Fund cont.

Name of affiliateRealized

gain (loss)

Change in unrealized appreciation

(depreciation)Shares outstanding

as of 9/30/18Fair value as of

9/30/18Putnam Retirement Advantage GAA Equity Portfolio $1,192,039 $430,366 1,209,235 $23,132,675

Putnam Retirement Advantage GAA Growth Portfolio 278,437 118,748 344,108 6,376,314

Putnam Money Market Portfolio — — 148,286 148,286

Totals $1,470,476 $549,114 $29,657,275



gain (loss)




9/30/18Putnam Retirement Advantage GAA Equity Portfolio $9,578,472 $(317,081) 5,153,462 $98,585,729

Putnam Retirement Advantage GAA Growth Portfolio 2,869,872 262,004 2,199,170 40,750,628

Putnam Money Market Portfolio — — 700,183 700,183

Totals $12,448,344 $(55,077) $140,036,540



gain (loss)




9/30/18Putnam Retirement Advantage GAA Equity Portfolio $14,641,786 $(1,144,711) 7,259,368 $138,871,715


Putnam Money Market Portfolio — — 1,417,058 1,417,058

Totals $25,466,999 $(639,326) $283,411,679



gain (loss)




9/30/18Putnam Retirement Advantage GAA Equity Portfolio $10,364,981 $(1,421,237) 4,417,202 $84,501,077

Putnam Retirement Advantage GAA Growth Portfolio 22,936,608 (434,739) 14,666,166 271,764,051


Totals $33,301,589 $(1,855,976) $358,055,405



gain (loss)




9/30/18Putnam Retirement Advantage GAA Equity Portfolio $3,087,796 $(1,072,872) 682,498 $13,056,194



Totals $38,929,603 $(117,942) $466,292,553




9/30/17Purchase

costSale

proceedsInvestment

incomePutnam Retirement Advantage GAA Balanced Portfolio $70,134,816 $125,031,786 $51,934,676 $—



Totals $381,167,479 $378,858,654 $244,118,473 $242,943



9/30/17Purchase

costSale

proceedsInvestment

incomePutnam Retirement Advantage GAA Balanced Portfolio $328,188,354 $352,878,551 $164,293,700 $—



Totals $503,356,375 $454,546,709 $289,215,471 $427,623



9/30/17Purchase

costSale

proceedsInvestment

incomePutnam Retirement Advantage GAA Income Strategies Portfolio $41,455,113 $58,731,031 $25,964,612 $—

Putnam Retirement Advantage GAA Balanced Portfolio 365,684,190 233,871,179 230,185,936 —

Putnam Retirement Advantage GAA Conservative Portfolio 80,967,816 161,607,503 60,850,332 —


Totals $511,160,455 $477,450,802 $331,579,356 $483,312



9/30/17Purchase

costSale

proceedsInvestment


Putnam Retirement Advantage GAA Balanced Portfolio 53,982,988 24,011,454 37,798,083 —

Putnam Retirement Advantage GAA Conservative Portfolio 233,940,664 132,063,057 121,019,008 —


Totals $431,863,889 $309,195,674 $245,094,150 $313,332



9/30/17Purchase

costSale

proceedsInvestment


Totals $313,887,164 $169,969,852 $125,308,355 $—




gain (loss)




9/30/18Putnam Retirement Advantage GAA Balanced Portfolio $4,859,047 $4,503,378 8,086,611 $152,594,351

Putnam Retirement Advantage GAA Growth Portfolio 40,489,519 (4,750,961) 21,132,436 391,584,033


Totals $45,348,566 $(247,583) $561,008,643



gain (loss)




9/30/18Putnam Retirement Advantage GAA Balanced Portfolio $29,000,968 $8,224,435 29,358,697 $553,998,608

Putnam Retirement Advantage GAA Growth Portfolio 22,338,901 (6,899,560) 7,474,347 138,499,655


Totals $51,339,869 $1,324,875 $721,352,357



gain (loss)




9/30/18Putnam Retirement Advantage GAA Income Strategies Portfolio $1,127,708 $1,535,799 5,005,536 $76,885,039

Putnam Retirement Advantage GAA Balanced Portfolio 41,416,197 (8,585,566) 21,314,259 402,200,064

Putnam Retirement Advantage GAA Conservative Portfolio 3,798,896 728,902 11,691,951 186,252,785


Totals $46,342,801 $(6,320,865) $697,053,837



gain (loss)




9/30/18Putnam Retirement Advantage GAA Income Strategies Portfolio $6,876,564 $446,931 12,954,729 $198,984,637

Putnam Retirement Advantage GAA Balanced Portfolio 5,513,757 (1,261,598) 2,355,512 44,448,518

Putnam Retirement Advantage GAA Conservative Portfolio 13,328,018 (4,025,880) 15,962,765 254,286,851


Totals $25,718,339 $(4,840,547) $516,843,205

Putnam Retirement Advantage Maturity Fund cont.


gain (loss)




9/30/18Putnam Retirement Advantage GAA Income Strategies Portfolio $19,529,805 $(4,057,505) 24,350,323 $374,020,961

Totals $19,529,805 $(4,057,505) $374,020,961


6. Risk FactorsThese funds are exposed to various risks through their investments in the Portfolios, as described below. The financial statements of the Portfolios contain additional information about the risks the Portfolios are exposed to.

Market RiskMarket risk arises from the uncertainty about future prices of the financial instruments held by each of the funds. Market risk represents the poten-tial loss that each fund might suffer through holding market positions in the face of price movements caused by factors specific to the general financial market conditions and factors related to a specific company or industry.

Interest Rate RiskInterest rate risk is defined as the risk that the prices of the fixed-income investments bought in each fund will fall if interest rates rise. Short-term securities are less sensitive to interest rate changes than long-term securities, which have higher risk for investments with longer maturities.

Credit RiskThe funds will be exposed to credit risk on parties with whom they trade and will bear the risk of settlement default, as well as risk that the issuers of each fund’s fixed-income investments will not make timely payments of interest and principal. The funds may be exposed to additional credit risk that an institution or other entity with which the funds have unsettled or open transactions will default. Credit risk is generally higher for debt that is below investment-grade in quality.

Foreign Currency RiskCurrency risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate due to changes in foreign exchange rates. Other risks of investing outside the U.S. include economic or financial instability, lack of timely or reliable financial information, or unfavorable political or legal developments. These risks are increased for investments in emerging markets.

100 Federal Street Boston, MA 02110

1-800-225-1581

putnam.com

DC 12/2018

Putnam Retirement Advantage GAA Equity Portfolio


Putnam Retirement Advantage GAA Equity Portfolio B-2

Table of contentsReport of Independent Auditors ……………………………………… B-4

The fund’s portfolio …………………………………………………… B-5

Statement of assets and liabilities …………………………………… B-24

Statement of operations ……………………………………………… B-25

Statement of changes in net assets …………………………………… B-26

Financial highlights …………………………………………………… B-27

Notes to financial statements ………………………………………… B-28


A note on the Portfolio’s trustee The Portfolio’s trustee, Putnam Fiduciary Trust Company, a nondepository trust company regulated by the New Hampshire Banking Department, will be converting to a New Hampshire limited liability company and changing its name to Putnam Fiduciary Trust Company, LLC effective after the close of business on December 31, 2018. The conversion will have no impact on the Portfolio or on PFTC’s business or regulatory status. No action is required for Plans invested in the Portfolio. PFTC will continue to manage the Portfolio, and each Plan’s participation agreement will remain in place. If you have any questions about this change, or about your investment, please feel free to call Putnam at 1-800-648-7410.




To the Trustee of Putnam Retirement Advantage GAA Equity Portfolio

We have audited the accompanying financial statements of Putnam Retirement Advantage GAA Equity Portfolio (the “Portfolio”), which comprise the statement of assets and liabilities, including the portfolio, as of September 30, 2018 and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements".



An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Portfolio’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Putnam Retirement Advantage GAA Equity Portfolio as of September 30, 2018, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

December 14, 2018


The fund’s portfolio 9/30/18The fund’s portfolio 9/30/18

COMMON STOCKS (88.6%)* Shares Value

Basic materials (3.8%)

Air Products & Chemicals, Inc. 4,415 $737,526

Anglo American PLC (United Kingdom) 25,619 575,628

ArcelorMittal SA (France) 23,363 727,248

Arkema SA (France) 3,038 376,505

BASF SE (Germany) 7,506 667,379

BHP Billiton, Ltd. (Australia) 8,681 217,516

BlueScope Steel, Ltd. (Australia) 43,558 535,149

Boliden AB (Sweden) 3,413 95,138

Cabot Corp. 2,730 171,226

Celanese Corp. 4,484 511,176

China National Building Material Co., Ltd. (China) 108,000 95,925

China Oriental Group Co., Ltd. (China) 138,000 111,460

China State Construction International Holdings, Ltd. (China) 196,000 207,149

CIMIC Group, Ltd. (Australia) 3,987 148,163

Covestro AG (Germany) 8,085 656,036

CTCI Corp. (Taiwan) 124,000 199,404

Domtar Corp. 4,015 209,463

Evonik Industries AG (Germany) 9,329 334,279

Formosa Plastics Corp. (Taiwan) 49,000 187,764

HOCHTIEF AG (Germany) 655 108,640

Huntsman Corp. 21,945 597,562

Indorama Ventures PCL (Foreign depositary shares) (Thailand) 132,100 240,999

Mexichem SAB de CV (Mexico) 51,522 176,532

Mitsubishi Chemical Holdings Corp. (Japan) 34,200 327,442

Mitsubishi Gas Chemical Co., Inc. (Japan) 6,300 134,170

Newmont Mining Corp. 19,386 585,457

Packaging Corp. of America 5,888 645,855

PETRONAS Chemicals Group (PCG) Bhd (Malaysia) 85,400 193,148

Rio Tinto PLC (United Kingdom) 16,960 858,127

Royal Gold, Inc. 1,918 147,801

Sasol, Ltd. (South Africa) 8,755 338,742

Sealed Air Corp. 3,496 140,364

Sherwin-Williams Co. (The) 174 79,207

Skipper, Ltd. (India) 56,008 76,722

South32, Ltd. (Australia) 20,347 57,711

Suzano Papel e Celulose SA (Brazil) 10,983 132,229

Taisei Corp. (Japan) 8,700 396,760

Univar, Inc. 3,972 121,782

UPM-Kymmene OYJ (Finland) 7,875 309,162

Vale SA ADR (Brazil) 18,378 272,730

W.R. Grace & Co. 5,014 358,300

West China Cement, Ltd. (China) 486,000 91,301

Weyerhaeuser Co. R 18,375 592,961

13,747,838


COMMON STOCKS (88.6%)* cont. Shares Value

Capital goods (6.5%)

ACS Actividades de Construccion y Servicios SA (Spain) 11,830 $504,003

AECOM 5,040 164,606

Allison Transmission Holdings, Inc. 13,534 703,903

Avery Dennison Corp. 5,432 588,557

Berry Plastics Group, Inc. 9,334 451,672

Boeing Co. (The) 13,325 4,955,568

BWX Technologies, Inc. 5,093 318,516

Clean TeQ Holdings, Ltd. (Australia) 374,182 147,553

Crown Holdings, Inc. 2,078 99,744

Cummins, Inc. 8,223 1,201,134

Faurecia SA (France) 8,910 536,490

Gardner Denver Holdings, Inc. 5,498 155,813

General Dynamics Corp. 601 123,037

HD Supply Holdings, Inc. 5,612 240,137

Hitachi, Ltd. (Japan) 22,000 747,634

Honeywell International, Inc. 12,305 2,047,552

Huntington Ingalls Industries, Inc. 84 21,511

Ingersoll-Rand PLC 11,100 1,135,530

KEI Industries, Ltd. (India) 30,833 152,698

L3 Technologies, Inc. 972 206,666

Lockheed Martin Corp. 4,005 1,385,570

Northrop Grumman Corp. 6,563 2,082,900

Pentair PLC 8,266 358,331

Raytheon Co. 6,727 1,390,202

Republic Services, Inc. 5,772 419,394

Sandvik AB (Sweden) 39,132 694,134

SKF AB Class B (Sweden) 15,037 296,489

Sunny Friend Environmental Technology Co., Ltd. (Taiwan) 31,000 226,411

Teledyne Technologies, Inc. 614 151,462

Vinci SA (France) 6,147 585,601

WABCO Holdings, Inc. 1,936 228,332

Waste Management, Inc. 10,864 981,671

23,302,821

Communication services (2.3%)

Advanced Info Service PCL (Thailand) 29,500 183,349

ARRIS International PLC 6,154 159,943

AT&T, Inc. 3,218 108,060

BT Group PLC (United Kingdom) 21,657 63,629

China Mobile, Ltd. (China) 31,000 305,646

KDDI Corp. (Japan) 29,100 804,199

Megacable Holdings SAB de CV (Units) (Mexico) 39,662 204,702

Nippon Telegraph & Telephone Corp. (Japan) 15,100 682,249

NTT DoCoMo, Inc. (Japan) 14,500 389,994

Swisscom AG (Switzerland) 339 154,577

Verizon Communications, Inc. 94,175 5,028,004

Zayo Group Holdings, Inc. 1,185 41,143

8,125,495



Conglomerates (0.5%)

AMETEK, Inc. 6,644 $525,673

Danaher Corp. 2,210 240,139

Marubeni Corp. (Japan) 66,200 606,136

Mitsui & Co., Ltd. (Japan) 33,800 601,249

1,973,197

Consumer cyclicals (12.3%)

ABC-Mart, Inc. (Japan) 3,200 178,052

Amazon.com, Inc. 2,040 4,086,120

Aramark 371 15,960

Aristocrat Leisure, Ltd. (Australia) 4,990 102,683

Automatic Data Processing, Inc. 8,892 1,339,669

Berkeley Group Holdings PLC (The) (United Kingdom) 2,610 125,217

Booking Holdings, Inc. 28 55,552

Booz Allen Hamilton Holding Corp. 7,837 388,950

Brilliance China Automotive Holdings, Ltd. (China) 160,000 258,866

Carnival Corp. 17,236 1,099,140

Crown, Ltd. (Australia) 21,151 209,509

Dai Nippon Printing Co., Ltd. (Japan) 3,600 83,736

Dollar General Corp. 5,072 554,370

Dollar Tree, Inc. 3,971 323,835

Ecolab, Inc. 313 49,072

Erajaya Swasembada Tbk PT (Indonesia) 678,700 109,310

Extended Stay America, Inc. (Units) 13,245 267,946

Fiat Chrysler Automobiles NV (Italy) 23,998 422,119

FleetCor Technologies, Inc. 3,349 763,036

Ford Motor Co. 143,831 1,330,437

Fu Shou Yuan International Group, Ltd. (China) 117,000 91,358

Galaxy Entertainment Group, Ltd. (Hong Kong) 81,000 513,955

Hermes International (France) 1,086 719,748

Hilton Worldwide Holdings, Inc. 10,923 882,360

Home Depot, Inc. (The) 22,253 4,609,709

Hyatt Hotels Corp. Class A 4,012 319,315

JNBY Design, Ltd. (China) 88,000 156,097

John Wiley & Sons, Inc. Class A 172 10,423

KAR Auction Services, Inc. 6,725 401,415

Kering SA (France) 383 205,389

Kimberly-Clark Corp. 1,476 167,733

Las Vegas Sands Corp. 13,186 782,325

Liberty SiriusXM Group Class A 4,279 185,880

Localiza Rent a Car SA (Brazil) 29,512 168,121

Lowe’s Cos., Inc. 2,021 232,051

lululemon athletica, Inc. (Canada) 8,966 1,456,885

Madison Square Garden Co. (The) Class A 876 276,220

Marriott International, Inc./MD Class A 78 10,298

Mastercard, Inc. Class A 3,609 803,399

MGM China Holdings, Ltd. (Hong Kong) 115,200 182,556

Michael Kors Holdings, Ltd. 15,003 1,028,606



Consumer cyclicals cont.

Moncler SpA (Italy) 8,410 $362,401

News Corp. Class A 15,638 206,265

Next PLC (United Kingdom) 893 63,979

Owens Corning 8,680 471,064

Pearson PLC (United Kingdom) 28,427 329,925

Peugeot SA (France) 23,746 640,706

Poya International Co., Ltd. (Taiwan) 13,090 119,183

ProSiebenSat.1 Media SE (Germany) 14,095 366,227

PVH Corp. 7,919 1,143,504

Ralph Lauren Corp. 1,846 253,917

Randstad Holding NV (Netherlands) 2,852 152,313

Ross Stores, Inc. 17,107 1,695,304

Royal Caribbean Cruises, Ltd. 9,516 1,236,509

RTL Group SA (Belgium) 1,526 108,917

Scotts Miracle-Gro Co. (The) Class A 202 15,903

ServiceMaster Global Holdings, Inc. 4,447 275,847

Signet Jewelers, Ltd. 6,318 416,546

Sony Corp. (Japan) 10,900 668,481

Suzuki Motor Corp. (Japan) 1,500 85,944

Tapestry, Inc. 2,365 118,889

Taylor Wimpey PLC (United Kingdom) 248,934 557,701

Tiffany & Co. 8,939 1,152,863

TJX Cos., Inc. (The) 2,238 250,701

Toll Brothers, Inc. 12,961 428,102

Total System Services, Inc. 6,277 619,791

Toyota Motor Corp. (Japan) 19,200 1,199,313

TUI AG (Germany) 22,013 422,840

Twenty-First Century Fox, Inc. 11,619 532,383

VF Corp. 9,677 904,316

Visteon Corp. 2,863 265,973

Volvo AB (Sweden) 38,379 677,972

Wal-Mart de Mexico SAB de CV (Mexico) 61,382 186,353

Walt Disney Co. (The) 19,830 2,318,920

Wolters Kluwer NV (Netherlands) 1,796 111,979

Worldpay, Inc. Class A 1,003 101,574

Wyndham Destinations, Inc. 15,877 688,427

44,118,454

Consumer staples (6.9%)

Altria Group, Inc. 895 53,977

Ashtead Group PLC (United Kingdom) 8,645 274,735

Associated British Foods PLC (United Kingdom) 11,088 331,118

Bright Horizons Family Solutions, Inc. 64 7,542

Cafe24 Corp. (South Korea) 1,046 141,070

Coca-Cola Amatil, Ltd. (Australia) 33,186 234,355

Coca-Cola Co. (The) 54,274 2,506,916

Coca-Cola European Partners PLC (United Kingdom) 672 30,556

ConAgra Foods, Inc. 17,975 610,611



Consumer staples cont.

Constellation Brands, Inc. Class A 953 $205,486

Dino Polska SA (Poland) 6,900 186,441

Estee Lauder Cos., Inc. (The) Class A 8,293 1,205,139

Grape King Bio, Ltd. (Taiwan) 24,000 168,604

Gruma SAB de CV Class B (Mexico) 22,966 292,196

Hershey Co. (The) 8,388 855,576

Imperial Brands PLC (United Kingdom) 21,120 735,634

Ingredion, Inc. 3,202 336,082

ITOCHU Corp. (Japan) 33,600 615,293

J Sainsbury PLC (United Kingdom) 130,216 546,443

Kao Corp. (Japan) 3,400 274,610

Keurig Dr Pepper, Inc. 4,175 96,735

Kirin Holdings Co., Ltd. (Japan) 5,500 140,956

Koninklijke Ahold Delhaize NV (Netherlands) 29,223 670,364

L’Oreal SA (France) 1,890 455,950

LG Household & Health Care, Ltd. (South Korea) 141 162,196

Liberty Expedia Holdings, Inc. Class A 215 10,114

LKQ Corp. 10,743 340,231

ManpowerGroup, Inc. 4,266 366,705

Marine Harvest ASA (Norway) 12,025 278,427

McDonald’s Corp. 1,482 247,924

Molson Coors Brewing Co. Class B 9,984 614,016

Mondelez International, Inc. Class A 39,609 1,701,603

Monster Beverage Corp. 1,560 90,917

Natura Cosmeticos SA (Brazil) 19,067 135,499

Nestle SA (Switzerland) 5,909 494,957

New Oriental Education & Technology Group, Inc. ADR (China) 2,080 153,941

PepsiCo, Inc. 27,673 3,093,841

Pinnacle Foods, Inc. 6,726 435,912

Pola Orbis Holdings, Inc. (Japan) 6,000 219,219

Procter & Gamble Co. (The) 8,974 746,906

Swedish Match AB (Sweden) 7,527 385,102

Sysco Corp. 21,682 1,588,207

TCI Co., Ltd. (Taiwan) 7,000 112,567

US Foods Holding Corp. 1,989 61,301

Walgreens Boots Alliance, Inc. 22,781 1,660,735

WH Group, Ltd. (Hong Kong) 211,000 148,578

WM Morrison Supermarkets PLC (United Kingdom) 21,091 71,345

Woolworths Group, Ltd. (Australia) 24,487 497,510

24,594,142

Energy (5.0%)

Canvest Environmental Protection Group Co., Ltd. (China) 394,000 204,933

China Everbright Greentech, Ltd. (China) 141,000 120,370

CNOOC, Ltd. (China) 208,000 412,018

ConocoPhillips 31,834 2,463,952

Equinor ASA (Norway) 26,573 748,898



Energy cont.

Exxon Mobil Corp. 2,491 $211,785

Geopark, Ltd. (Colombia) 10,469 213,568

Halliburton Co. 39,582 1,604,258

Hilong Holding, Ltd. (China) 668,000 93,052

Lukoil PJSC ADR (Russia) 6,508 499,164

Marathon Petroleum Corp. 1,879 150,264

Motor Oil (Hellas) Corinth Refineries SA (Greece) 8,237 215,264

Occidental Petroleum Corp. 28,100 2,308,977

OMV AG (Austria) 5,414 304,294

ONEOK, Inc. 9,271 628,481

PBF Energy, Inc. Class A 11,611 579,505

Petroleo Brasileiro SA — Petrobras ADR (Brazil) 14,621 176,475

Phillips 66 570 64,250

Repsol SA (Spain) 36,306 723,838

Royal Dutch Shell PLC Class B (United Kingdom) 17,069 598,540

TOTAL SA (France) 19,398 1,258,118

Valero Energy Corp. 26,348 2,997,085

Williams Cos., Inc. (The) 45,243 1,230,157

17,807,246

Financials (16.4%)

3i Group PLC (United Kingdom) 30,411 373,256

ABN AMRO Group NV GDR (Netherlands) 21,441 583,992

Abu Dhabi Commercial Bank PJSC (United Arab Emirates) 102,368 221,009

Aegon NV (Netherlands) 9,664 62,724

AGNC Investment Corp. R 9,619 179,202

AIA Group, Ltd. (Hong Kong) 43,400 387,693

Allianz SE (Germany) 4,412 983,911

Allstate Corp. (The) 1,476 145,681

Ally Financial, Inc. 22,187 586,846

American Express Co. 2,257 240,348

American Financial Group, Inc. 1,959 217,390

American Homes 4 Rent R 12,690 277,784

Ameriprise Financial, Inc. 7,211 1,064,776

Annaly Capital Management, Inc. R 6,824 69,810

Apartment Investment & Management Co. Class A R 5,247 231,550

Apple Hospitality REIT, Inc. R 9,066 158,564

Assurant, Inc. 4,007 432,556

Athene Holding, Ltd. Class A 6,209 320,757

Aviva PLC (United Kingdom) 110,595 705,964

Axis Capital Holdings, Ltd. 2,265 130,713

BB&T Corp. 186 9,028

Berkshire Hathaway, Inc. Class B 28 5,995

BGC Partners, Inc. Class A 15,210 179,782

Brandywine Realty Trust R 10,509 165,202

Brixmor Property Group, Inc. R 19,539 342,128

Broadridge Financial Solutions, Inc. 4,244 559,995



Financials cont.

Camden Property Trust R 466 $43,604

Capital One Financial Corp. 11,509 1,092,549

Cathay Financial Holding Co., Ltd. (Taiwan) 128,000 220,090

CBRE Group, Inc. Class A 9,457 417,054

Chailease Holding Co., Ltd. (Taiwan) 57,640 201,994

Cheung Kong Property Holdings, Ltd. (Hong Kong) 92,000 690,744

Chimera Investment Corp. R 1,721 31,202

China Construction Bank Corp. (China) 396,000 346,157

CIT Group, Inc. 11,765 607,192

Citigroup, Inc. 68,399 4,906,944

CME Group, Inc. 580 98,722

CoreLogic, Inc. 2,962 146,353

Corporate Office Properties Trust R 649 19,360

Credicorp, Ltd. (Peru) 933 208,134

CTBC Financial Holding Co., Ltd. (Taiwan) 208,000 156,683

Daiwa Securities Group, Inc. (Japan) 13,400 81,543

DB Insurance Co., Ltd. (South Korea) 3,170 208,047

Deutsche Boerse AG (Germany) 888 119,025

Discover Financial Services 12,483 954,325

Discovery, Ltd. (South Africa) 14,263 171,342

DNB ASA (Norway) 26,391 554,991

Douglas Emmett, Inc. R 3,974 149,899

Duke Realty Corp. R 12,642 358,654

E*Trade Financial Corp. 22,751 1,191,925

Edelweiss Financial Services, Ltd. (India) 37,784 98,773

Empire State Realty Trust, Inc. Class A R 6,809 113,098

EPR Properties R 600 41,046

Equity Commonwealth R 430 13,799

Equity Lifestyle Properties, Inc. R 1,899 183,159

Equity Residential Trust R 12,659 838,785

Fifth Third Bancorp 32,333 902,737

First Abu Dhabi Bank PJSC (United Arab Emirates) 32,728 127,417

First Hawaiian, Inc. 5,661 153,753

Gaming and Leisure Properties, Inc. R 6,100 215,025

Gentera SAB de CV (Mexico) 239,380 242,334

Goldman Sachs Group, Inc. (The) 4,312 966,923

Grupo Financiero Banorte SAB de CV (Mexico) 30,878 223,552

Hana Financial Group, Inc. (South Korea) 5,624 225,873

Hang Seng Bank, Ltd. (Hong Kong) 20,900 567,846

Hartford Financial Services Group, Inc. (The) 16,024 800,559

HCP, Inc. R 18,880 496,922

HDFC Bank, Ltd. (India) 8,645 239,237

Henderson Land Development Co., Ltd. (Hong Kong) 36,000 181,037

Highwoods Properties, Inc. R 4,952 234,032

Hong Kong Exchanges and Clearing, Ltd. (Hong Kong) 4,100 117,369

Housing Development Finance Corp., Ltd. (HDFC) (India) 12,642 305,979



Financials cont.

HSBC Holdings PLC (United Kingdom) 14,454 $126,249

Hudson Pacific Properties, Inc. R 5,514 180,418

Hyundai Marine & Fire Insurance Co., Ltd. (HDMF) (South Korea) 3,879 146,697

Intercontinental Exchange, Inc. 217 16,251

Itau Unibanco Holding SA ADR (Preference) (Brazil) 32,324 354,918

Jones Lang LaSalle, Inc. 1,793 258,766

JPMorgan Chase & Co. 60,124 6,784,392

Kerry Properties, Ltd. (Hong Kong) 30,000 101,790

Larsen & Toubro Infotech, Ltd. (India) 7,068 186,913

Legal & General Group PLC (United Kingdom) 203,047 694,262

Liberty Property Trust R 5,405 228,361

Life Storage, Inc. R 1,627 154,825

Lincoln National Corp. 8,215 555,827

Lloyds Banking Group PLC (United Kingdom) 187,177 144,671

Loews Corp. 13,450 675,593

London Stock Exchange Group PLC (United Kingdom) 2,741 163,922

Macquarie Group, Ltd. (Australia) 7,886 719,174

MetLife, Inc. 22,617 1,056,666

MFA Financial, Inc. R 2,197 16,148

Mizuho Financial Group, Inc. (Japan) 421,500 735,496

Morgan Stanley 36,255 1,688,395

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 1,383 306,412

New Residential Investment Corp. R 13,956 248,696

Nomura Real Estate Holdings, Inc. (Japan) 5,100 103,001

Northern Trust Corp. 3,888 397,081

Old Republic International Corp. 2,157 48,274

ORIX Corp. (Japan) 42,600 690,841

Outfront Media, Inc. R 5,471 109,146

Paramount Group, Inc. R 8,621 130,091

Park Hotels & Resorts, Inc. R 10,739 352,454

Partners Group Holding AG (Switzerland) 724 577,021

Persimmon PLC (United Kingdom) 20,262 624,896

Piedmont Office Realty Trust, Inc. Class A R 924 17,491

Ping An Insurance Group Co. of China, Ltd. Class H (China) 48,500 492,754

PNC Financial Services Group, Inc. (The) 1,475 200,880

Popular, Inc. (Puerto Rico) 2,761 141,501

Principal Financial Group, Inc. 6,934 406,263

Prudential Financial, Inc. 12,404 1,256,773

Rayonier, Inc. R 3,897 131,758

Regions Financial Corp. 67,565 1,239,818

Reinsurance Group of America, Inc. 233 33,682

RenaissanceRe Holdings, Ltd. 1,370 183,005

Resona Holdings, Inc. (Japan) 112,000 629,393

Santander Consumer USA Holdings, Inc. 11,627 233,005

Sberbank of Russia PJSC ADR (Russia) 11,249 142,637

Scentre Group (Australia) R 43,505 124,968



Financials cont.

Schroders PLC (United Kingdom) 1,499 $60,500

Senior Housing Properties Trust R 7,464 131,068

SL Green Realty Corp. R 4,885 476,434

Spirit MTA REIT R 328 3,779

Spirit Realty Capital, Inc. R 42,425 341,946

Starwood Property Trust, Inc. R 11,679 251,332

Stockland (Units) (Australia) R 13,677 41,068

Sumitomo Mitsui Financial Group, Inc. (Japan) 20,100 811,539

Sumitomo Mitsui Trust Holdings, Inc. (Japan) 4,800 197,604

Sun Communities, Inc. R 2,031 206,228

Sun Hung Kai Properties, Ltd. (Hong Kong) 15,000 218,533

SunTrust Banks, Inc. 1,204 80,415

Swedbank AB Class A (Sweden) 26,102 646,592

Swire Properties, Ltd. (Hong Kong) 15,600 59,111

Synovus Financial Corp. 3,833 175,513

Travelers Cos., Inc. (The) 669 86,776

Two Harbors Investment Corp. R 1,644 24,545

U.S. Bancorp 24,651 1,301,819

UDR, Inc. R 1,142 46,171

United Overseas Bank, Ltd. (Singapore) 18,000 356,746

Vornado Realty Trust R 6,112 446,176

WP Carey, Inc. R 1,633 105,018

58,782,932

Health care (11.1%)

AbbVie, Inc. 11,653 1,102,141

ABIOMED, Inc. 2,936 1,320,466

Akorn, Inc. 1,277 16,575

Alfresa Holdings Corp. (Japan) 8,500 227,495

Allergan PLC 1,915 364,770

Amgen, Inc. 9,627 1,995,581

Anthem, Inc. 8,895 2,437,675

Astellas Pharma, Inc. (Japan) 42,000 732,878

Aurobindo Pharma, Ltd. (India) 11,842 121,614

Bangkok Chain Hospital PCL (Thailand) 214,800 138,152

Baxter International, Inc. 17,418 1,342,754

Biogen, Inc. 1,994 704,500

Boston Scientific Corp. 32,892 1,266,342

Bristol-Myers Squibb Co. 31,864 1,978,117

Celgene Corp. 6,013 538,103

Centene Corp. 6,574 951,784

Charles River Laboratories International, Inc. 2,848 383,170

China Traditional Chinese Medicine Holdings Co., Ltd. (China) 270,000 183,568

Cigna Corp. 7,876 1,640,177

Coloplast A/S Class B (Denmark) 389 39,795

Dentsply Sirona, Inc. 14,772 557,495

Eli Lilly & Co. 20,319 2,180,432



Health care cont.

Fleury SA (Brazil) 20,051 $106,944

Fresenius Medical Care AG & Co., KGaA (Germany) 6,690 688,305

Gilead Sciences, Inc. 14,533 1,122,093

GlaxoSmithKline PLC (United Kingdom) 50,360 1,009,246

Hill-Rom Holdings, Inc. 1,622 153,117

Humana, Inc. 5,233 1,771,476

Intuitive Surgical, Inc. 23 13,202

Ipsen SA (France) 1,193 200,645

Johnson & Johnson 21,172 2,925,335

Koninklijke Philips NV (Netherlands) 1,182 53,865

McKesson Corp. 8,883 1,178,330

Medipal Holdings Corp. (Japan) 7,100 148,207

Merck & Co., Inc. 32,365 2,295,973

Mettler-Toledo International, Inc. 11 6,699

Novartis AG (Switzerland) 15,980 1,380,745

PerkinElmer, Inc. 223 21,691

Pfizer, Inc. 32,053 1,412,576

Roche Holding AG (Switzerland) 5,338 1,299,252

Shionogi & Co., Ltd. (Japan) 9,500 620,927

Siemens Healthineers AG (Germany) 3,133 137,826

Taisho Pharmaceutical Holdings Co., Ltd. (Japan) 300 36,686

Thermo Fisher Scientific, Inc. 89 21,723

UCB SA (Belgium) 5,046 453,636

UnitedHealth Group, Inc. 393 104,554

Vertex Pharmaceuticals, Inc. 3,180 612,913

Waters Corp. 851 165,673

WellCare Health Plans, Inc. 2,432 779,432

Zoetis, Inc. 8,671 793,917

39,738,572

Technology (19.1%)

Agilent Technologies, Inc. 16,646 1,174,209

Alibaba Group Holding, Ltd. ADR (China) 6,339 1,044,414

Alphabet, Inc. Class A 8,055 9,723,030

Amadeus IT Holding SA Class A (Spain) 8,165 758,881

Amdocs, Ltd. 7,099 468,392

Apple, Inc. 24,811 5,600,835

Applied Materials, Inc. 15,833 611,946

Black Knight, Inc. 4,633 240,684

Brother Industries, Ltd. (Japan) 4,300 84,951

CA, Inc. 12,063 532,581

Cadence Design Systems, Inc. 10,924 495,076

Capgemini SE (France) 3,359 422,920

CDK Global, Inc. 821 51,362

Check Point Software Technologies, Ltd. (Israel) 1,834 215,807

Cisco Systems, Inc. 106,353 5,174,073

Cognizant Technology Solutions Corp. Class A 18,612 1,435,916



Technology cont.

Corning, Inc. 771 $27,216

Dell Technologies, Inc. Class V 8,797 854,365

Douzone Bizon Co., Ltd. (South Korea) 2,333 128,507

Dun & Bradstreet Corp. (The) 2,983 425,107

eBay, Inc. 5,393 178,077

Elite Material Co., Ltd. (Taiwan) 30,000 84,499

F5 Networks, Inc. 5,377 1,072,281

Facebook, Inc. Class A 16,002 2,631,689

Fidelity National Information Services, Inc. 8,089 882,267

Fiserv, Inc. 1,280 105,446

Fortinet, Inc. 14,349 1,323,982

Fujitsu, Ltd. (Japan) 300 21,383

Genpact, Ltd. 677 20,723

Harris Corp. 684 115,740

Hoya Corp. (Japan) 12,000 713,122

HP, Inc. 52,797 1,360,579

IBM Corp. 12,128 1,833,875

Infosys, Ltd. (India) 19,388 195,257

Intuit, Inc. 10,191 2,317,434

Jabil, Inc. 5,984 162,047

Keysight Technologies, Inc. 6,099 404,242

KLA-Tencor Corp. 8,622 876,944

Leidos Holdings, Inc. 3,569 246,832

Maxim Integrated Products, Inc. 1,283 72,348

MediaTek, Inc. (Taiwan) 40,000 322,929

Microsoft Corp. 32,285 3,692,435

MSCI, Inc. 2,499 443,348

Naspers, Ltd. Class N (South Africa) 1,578 340,287

NetApp, Inc. 19,145 1,644,364

Nexon Co., Ltd. (Japan) 5,900 77,136

NTT Data Corp. (Japan) 43,000 595,492

Nuance Communications, Inc. 18,988 328,872

nVent Electric PLC (United Kingdom) 7,167 194,656

NVIDIA Corp. 17,187 4,829,891

Oracle Corp. 62,682 3,231,884

Palo Alto Networks, Inc. 5,818 1,310,563

Red Hat, Inc. 8,586 1,170,100

Rockwell Automation, Inc. 4,794 898,971

Samsung Electronics Co., Ltd. (South Korea) 22,194 929,377

Samsung Electronics Co., Ltd. (Preference) (South Korea) 5,983 204,153

Sunny Optical Technology Group Co., Ltd. (China) 12,600 145,405

Synopsys, Inc. 6,300 621,243

Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) 76,000 653,391

Tencent Holdings, Ltd. (China) 21,700 896,298

Texas Instruments, Inc. 10,634 1,140,922

Yandex NV Class A (Russia) 4,648 152,873



Technology cont.

Zebra Technologies Corp. Class A 1,906 $337,038

68,250,667

Transportation (1.7%)

Aena SME SA (Spain) 3,050 529,615

Azul SA ADR (Brazil) 6,257 111,312

Central Japan Railway Co. (Japan) 3,400 708,227

Copa Holdings SA Class A (Panama) 1,730 138,123

Delta Air Lines, Inc. 30,343 1,754,736

easyJet PLC (United Kingdom) 23,455 401,906

Expeditors International of Washington, Inc. 6,291 462,577

International Consolidated Airlines Group SA (Spain) 71,243 612,506

Japan Airlines Co., Ltd. (Japan) 6,700 240,902

Kansas City Southern 6,095 690,441

Kyushu Railway Co. (Japan) 4,500 137,078

Norfolk Southern Corp. 960 173,280

5,960,703

Utilities and power (3.0%)

AES Corp. 30,847 431,858

Ameren Corp. 8,492 536,864

American Electric Power Co., Inc. 8,806 624,170

Atmos Energy Corp. 2,308 216,744

CenterPoint Energy, Inc. 19,855 548,991

China Water Affairs Group, Ltd. (China) 258,000 289,162

CLP Holdings, Ltd. (Hong Kong) 49,500 579,774

CMS Energy Corp. 12,620 618,380

Duke Energy Corp. 1,786 142,916

Endesa SA (Spain) 9,230 199,511

Enel SpA (Italy) 128,718 659,620

ENGIE SA (France) 13,051 191,985

Eni SpA (Italy) 42,545 804,591

Entergy Corp. 13,378 1,085,357

Evergy, Inc. 5,116 280,971

Exelon Corp. 2,223 97,056

KEC International, Ltd. (India) 24,321 99,310

Kinder Morgan, Inc. 74,971 1,329,236

NRG Energy, Inc. 24,425 913,495

OGE Energy Corp. 9,077 329,677

Pinnacle West Capital Corp. 4,117 325,984

UGI Corp. 9,414 522,275

10,827,927

Total common stocks (cost $290,894,612) $317,229,994

INVESTMENT COMPANIES (1.7%)* Shares Value

iShares MSCI EAFE ETF 8,700 $591,513

iShares MSCI Emerging Markets ETF 15,293 656,376

SPDR S&P 500 ETF Trust 14,526 4,222,999


INVESTMENT COMPANIES (1.7%)* cont. Shares Value

SPDR S&P MidCap 400 ETF Trust 1,465 $538,329

Total investment companies (cost $6,051,312) $6,009,217

WARRANTS (0.2%)* Expiration dateStrike price Warrants Value

Han’s Laser Technology Industry Group Co., Ltd. 144A (China) 9/27/19 $0.00 20,400 $125,621

Hangzhou Hikvision Digital Technology Co., Ltd. 144A (China) 2/11/19 0.00 39,300 164,155

Shengyi Technology Co., Ltd. 144A (China) 5/24/19 0.00 92,500 141,561

Wuliangye Yibin Co., Ltd. 144A (China) 4/12/19 0.00 25,400 250,840

Total warrants (cost $776,319) $682,177

PURCHASED OPTIONS OUTSTANDING (—%)* Counterparty

Expiration date/strike price

Notional amount

Contract amount Value

Goldman Sachs International

USD/CNH (Call) Apr-19/CNH 7.00 $2,891,500 $2,891,500 $30,552

Total purchased options outstanding (cost $32,498) $30,552

SHORT-TERM INVESTMENTS (9.7%)* Principal amount/shares Value

Putnam Money Market Portfolio 2.32% L Shares 33,480,478 $33,480,478

U.S. Treasury Bills 2.154%, 12/13/18 $112,000 111,520

U.S. Treasury Bills 2.131%, 11/23/18 # 5,000 4,985







Total short-term investments (cost $34,907,160) $34,907,160

TOTAL INVESTMENTS



Key to holding’s currency abbreviationsCNH Chinese Yuan (Offshore)USD/$ United States Dollar

Key to holding’s abbreviationsADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bankETF Exchange Traded FundGDR Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bankPJSC Public Joint Stock CompanySPDR S&P Depository Receipts

Notes to the fund’s portfolioUnless noted otherwise, the notes to the fund’s portfolio are for the close of the Portfolio’s reporting period, which ran from October 1, 2017 through September 30, 2018 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.

* Percentages indicated are based on net assets of $358,198,033.# 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 $1,071,444 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 7). L Affiliated company (Note 4). The rate quoted in the security description is the annualized 7-day yield of the Putnam Money Market Portfolio at the close of the

reporting period. R Real Estate Investment Trust.

Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.

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.

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):

United States 77.3%Japan 4.4United Kingdom 2.7China 1.8France 1.8Germany 1.3Switzerland 1.1Hong Kong 1.0Spain 0.9

Australia 0.8%Sweden 0.8Taiwan 0.7Italy 0.6South Korea 0.6Netherlands 0.5Other 3.7Total 100.0%

FORWARD CURRENCY CONTRACTS at 9/30/18 (aggregate face value $59,434,897 )

Counterparty CurrencyContract type*

Delivery date Value

Aggregate face value

Unrealized appreciation/ (depreciation)

Bank of America N.A.

Australian Dollar Buy 10/17/18 $458,913 $459,383 $(470 )

British Pound Buy 12/19/18 2,406,741 2,394,796 11,945

Canadian Dollar Sell 10/17/18 1,016,223 995,851 (20,372 )

Euro Buy 12/19/18 3,528,606 3,547,813 (19,207 )

Hong Kong Dollar Sell 11/19/18 1,374,439 1,371,317 (3,122 )

Japanese Yen Sell 11/19/18 264,399 269,872 5,473

New Zealand Dollar Buy 10/17/18 310,824 311,900 (1,076 )

New Zealand Dollar Sell 10/17/18 310,824 315,948 5,124

Swedish Krona Sell 12/19/18 478,200 469,624 (8,576 )

Barclays Bank PLC

Australian Dollar Buy 10/17/18 780,194 792,018 (11,824 )

Australian Dollar Sell 10/17/18 780,194 783,165 2,971

British Pound Sell 12/19/18 363,884 361,892 (1,992 )

Canadian Dollar Buy 10/17/18 936,123 926,963 9,160


FORWARD CURRENCY CONTRACTS at 9/30/18 (aggregate face value $59,434,897 ) cont.


Delivery date Value



Barclays Bank PLC cont.

Canadian Dollar Sell 10/17/18 $936,123 $920,518 $(15,605 )

Euro Sell 12/19/18 1,481,612 1,484,528 2,916

Hong Kong Dollar Sell 11/19/18 89,799 89,662 (137 )


New Zealand Dollar Buy 10/17/18 355,644 353,347 2,297

New Zealand Dollar Sell 10/17/18 355,644 350,780 (4,864 )

Norwegian Krone Buy 12/19/18 834,858 809,466 25,392

Swiss Franc Buy 12/19/18 820,980 826,541 (5,561 )

Citibank, N.A.


British Pound Buy 12/19/18 515,983 510,952 5,031


Canadian Dollar Sell 10/17/18 426,116 425,388 (728 )

Danish Krone Buy 12/19/18 739,230 741,053 (1,823 )

Euro Sell 12/19/18 358,566 362,630 4,064

Japanese Yen Buy 11/19/18 230,115 234,788 (4,673 )

New Zealand Dollar Buy 10/17/18 287,883 288,869 (986 )



Credit Suisse International

Australian Dollar Buy 10/17/18 1,573,992 1,589,783 (15,791 )



Canadian Dollar Sell 10/17/18 366,679 361,140 (5,539 )

Euro Buy 12/19/18 355,994 360,660 (4,666 )

Euro Sell 12/19/18 1,034,545 1,041,065 6,520





Swiss Franc Buy 12/19/18 359,127 358,869 258

Swiss Franc Sell 12/19/18 355,414 361,009 5,595



Australian Dollar Sell 10/17/18 2,119,303 2,118,596 (707 )

Canadian Dollar Buy 10/17/18 67,175 67,441 (266 )

Euro Sell 12/19/18 300,461 301,173 712

Indian Rupee Buy 11/19/18 354,103 356,314 (2,211 )

Indian Rupee Sell 11/19/18 354,103 351,344 (2,759 )

Japanese Yen Buy 11/19/18 176,245 179,734 (3,489 )


Norwegian Krone Buy 12/19/18 2,048,248 1,980,799 67,449




Delivery date Value



Goldman Sachs International cont.

Swedish Krona Buy 12/19/18 $1,087,142 $1,073,768 $13,374

HSBC Bank USA, National Association


British Pound Sell 12/19/18 357,994 359,990 1,996



Euro Sell 12/19/18 715,027 722,236 7,209

Indonesian Rupiah Sell 12/19/18 5,618 3,072 (2,546 )





JPMorgan Chase Bank N.A.


British Pound Buy 12/19/18 362,314 361,966 348


Euro Sell 12/19/18 786,927 788,803 1,876


New Zealand Dollar Sell 10/17/18 34,742 33,968 (774 )


Singapore Dollar Buy 11/19/18 705,315 708,413 (3,098 )


NatWest Markets PLC




Euro Sell 12/19/18 94,932 95,128 196



Norwegian Krone Buy 12/19/18 183,869 184,403 (534 )

State Street Bank and Trust Co.


Canadian Dollar Sell 10/17/18 55,799 55,626 (173 )

Euro Sell 12/19/18 1,409,127 1,412,592 3,465





UBS AG


British Pound Sell 12/19/18 1,051,600 1,051,470 (130 )





Delivery date Value



UBS AG cont.


Euro Sell 12/19/18 1,306,012 1,310,787 4,775

Japanese Yen Buy 11/19/18 141,839 144,799 (2,960 )




WestPac Banking Corp.



Unrealized appreciation 330,352

Unrealized (depreciation) (368,227 )

Total $(37,875 )

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

FUTURES CONTRACTS OUTSTANDING at 9/30/18

Number of contracts

Notional amount Value

Expiration date


Russell 2000 Index E-Mini (Long) 273 $23,158,193 $23,215,920 Dec-18 $(285,653 )

Russell 2000 Index E-Mini (Short) 6 508,971 510,240 Dec-18 6,283

S&P 500 Index E-Mini (Long) 23 3,351,077 3,356,850 Dec-18 29,394

S&P 500 Index E-Mini (Short) 17 2,476,883 2,481,150 Dec-18 (21,774 )

S&P Mid Cap 400 Index E-Mini (Long) 5 1,009,775 1,012,600 Dec-18 (8,910 )

Tokyo Price Index (Long) 14 2,239,864 2,240,173 Dec-18 166,626



Total $(114,034 )

WRITTEN OPTIONS OUTSTANDING at 9/30/18 (premiums $14,582 )

CounterpartyExpiration date/strike price

Notional amount




Total $13,711

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/18

Swap counterparty/ Notional amount Value

Upfront premium

received (paid)Termination date

Payments received (paid) by fund

Total return received by or paid by fund


Bank of America N.A.$108,778 $110,972 $— 6/20/19 (1 month USD-LIBOR-BBA

plus 1.00%)—MonthlyAl Rajhi Bank—Monthly $2,126

61,725 61,370 — 6/25/19 (1 month USD-LIBOR-BBA plus 1.00%)—Monthly

Al Rajhi Bank—Monthly (377 )


Saudi Kayan Petrochemical Co.—Monthly

(9,089 )


Al Rajhi Bank—Monthly 1,397


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/18 cont.


Upfront premium





Bank of America N.A. cont.$122,529 $130,817 $— 9/10/19 (1 month USD-LIBOR-BBA

plus 1.00%)—MonthlySAMBA Financial Group—Monthly

$8,085


SAMBA Financial Group—Monthly

2,626



1,254

Upfront premium received — Unrealized appreciation 15,488

Upfront premium (paid) — Unrealized (depreciation) (9,466 )

Total $— Total $6,022

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 Portfolio’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 Portfolio’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 $13,747,838 $— $—

Capital goods 23,302,821 — —

Communication services 8,125,495 — —

Conglomerates 1,973,197 — —

Consumer cyclicals 44,118,454 — —

Consumer staples 24,594,142 — —

Energy 17,807,246 — —

Financials 58,782,932 — —

Health care 39,738,572 — —

Technology 68,250,667 — —

Transportation 5,960,703 — —

Utilities and power 10,827,927 — —

Total common stocks 317,229,994 — —

Investment companies 6,009,217 — —

Purchased options outstanding — 30,552 —

Warrants — 682,177 —

Short-term investments — 34,907,160 —

Totals by level $323,239,211 $35,619,889 $—


Valuation inputs

Other financial instruments: Level 1 Level 2 Level 3

Forward currency contracts $— $(37,875 ) $—

Futures contracts (114,034 ) — —

Written options outstanding — (13,711 ) —

Total return swap contracts — 6,022 —

Totals by level $(114,034 ) $(45,564 ) $—

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.




Statement of assets and liabilities 9/30/18

ASSETS

Investment in securities, at value (Notes 2 and 7):

Unaffiliated issuers (identified cost $299,181,423) $325,378,622

Affiliated issuers (identified cost $33,480,478) (Note 4) 33,480,478

Foreign currency (cost $2,431,220) (Note 2) 2,432,274

Dividends, interest and other receivables 2,896,021

Foreign tax reclaim 196,461

Receivable for units of the Portfolio sold 1,402,526

Receivable for investments sold 2,124,647

Receivable for variation margin on futures contracts (Note 2) 78,348

Unrealized appreciation on forward currency contracts (Note 2) 330,352

Unrealized appreciation on OTC swap contracts (Note 2) 15,488

Total assets 368,335,217

LIABILITIES

Payable to custodian 4,600,876

Payable for investments purchased 243,191

Payable for units of the Portfolio repurchased 4,901,598

Payable for variation margin on futures contracts (Note 2) 115

Unrealized depreciation on OTC swap contracts (Note 2) 9,466

Unrealized depreciation on forward currency contracts (Note 2) 368,227

Written options outstanding, at value (premiums $14,582) (Note 2) 13,711

Total liabilities 10,137,184

Net assets $358,198,033


Net assets $358,198,033

Units outstanding 18,721,766

Net asset value per unit $19.13



Statement of operations Year ended 9/30/18

INVESTMENT INCOME

Dividends (net of foreign tax of $121,846) $6,419,720

Interest (including interest income of $529,552 from investments in affiliated issuers) (Note 4) 546,061

Net investment income 6,965,781

REALIZED AND UNREALIZED GAIN (LOSS)

Net realized gain (loss) on:

Securities from unaffiliated issuers (Notes 2 and 7) 23,755,680

Foreign currency transactions (Note 2) (41,899)

Forward currency contracts (Note 2) (774,939)

Futures contracts (Note 2) 3,989,565

Swap contracts (Note 2) 5,624

Written options (Note 2) 134,422

Total net realized gain 27,068,453

Change in net unrealized appreciation (depreciation) on:

Securities from unaffiliated issuers 2,805,934

Assets and liabilities in foreign currencies 474

Forward currency contracts (117,285)

Futures contracts (1,258,592)

Swap contracts 6,022

Written options (15,853)

Total change in net unrealized appreciation 1,420,700

Net gain on investments 28,489,153

Net increase in net assets resulting from operations $35,454,934



Statement of changes in net assets

INCREASE IN NET ASSETSYear ended

9/30/18

Operations

Net investment income $6,965,781

Net realized gain on investments and foreign currency transactions 27,068,453

Net unrealized appreciation of investments and assets and liabilities in foreign currencies 1,420,700


Principal transactions

Proceeds from sale of units 257,528,636

Value of units redeemed (190,698,886)

Total increase in principal transactions 66,829,750


NET ASSETS

Beginning of year 255,913,349

End of year $358,198,033

NUMBER OF UNITS OF THE PORTFOLIO

Units outstanding at beginning of year 15,057,535

Sold 14,148,712

Redeemed (10,484,481)

Units outstanding at end of year 18,721,766



PER-UNIT OPERATING PERFORMANCEYear ended

9/30/18

Net asset value, beginning of year $17.00

Investment operations:

Net investment income (a) 0.42

Net realized and unrealized gain (loss) on investments 1.71

Total from investment operations 2.13

Net asset value, end of year $19.13

Total return at net asset value (%) 12.53

RATIOS AND SUPPLEMENTAL DATANet assets, end of year (in thousands) $358,198

Ratio of net investment income to average net assets (%) 2.30

(a) Per unit net investment income has been determined on the basis of the average number of units outstanding during the year.



1. Description of the PortfolioWithin the following Notes to financial statements, references to “State Street”, if any, represent State Street Bank and Trust Company and refer-ences to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from October 1, 2017 through September 30, 2018.

Putnam Retirement Advantage GAA Equity Portfolio (the “Portfolio”) is a portfolio established and maintained by Putnam Fiduciary Trust Company, LLC (“PFTC”) as Trustee (the “Trustee” and “Manager”) pursuant to the Declaration of Trust for the Putnam Fiduciary Trust Company Investment Funds for Pension and Profit Sharing Trusts (the “Trust”), as amended and restated March 31, 2008. PFTC has hired its affiliate, The Putnam Advisory Company, LLC (“PAC”), to provide certain non-discretionary investment advisory and administrative services to Putnam in connection with the Portfolio. The Portfolio primarily invests in U.S. and international stocks and is designed for investors seeking long-term growth with moderate risk.

In the normal course of business, the Portfolio enters into contracts that may include agreements to indemnify another party under given circum-stances. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the Portfolio. However, the Portfolio’s management team expects the risk of material loss to be remote.

2. Summary of Significant Accounting PoliciesThe following is a summary of significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date (September 30, 2018), through the date that the financial statements were issued (December 14, 2018), have been evaluated in the preparation of the financial statements. The Portfolio is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies.

Security Valuation 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 Accounting Standards Codification 820 Fair Value Measurements and Disclosures (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 securi-ties, 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.

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 sched-uled close of the New York Stock Exchange. Accordingly, on certain days, the Portfolio will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the Portfolio to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Short-term securities with remaining maturities of 60 days or less are valued using an independent pricing service approved by the Trustee, and are classified as Level 2 securities.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that the Trustee does not believe accurately reflects the security’s fair value, the security will be valued at fair value by the Trustee in accordance with policies and procedures approved by the Trustee. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustee. 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 expo-sures, 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.

Such valuations and procedures are reviewed periodically by the Trustee. The fair value of securities is generally determined as the amount that the Portfolio 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.



Security Transactions and Related Investment Income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes, is recorded on the accrual basis. Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the Portfolio is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.

All premiums/discounts are amortized/accreted on a yield-to-maturity basis.

Distributions received from other investment funds, if any, are recorded on the ex-dividend date and retain the character of income as earned by the other investment funds.

All income earned by the Portfolio is retained by the Portfolio and included in the calculation of net asset value.

Foreign Currency Translation The accounting records of the Portfolio are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the Portfolio after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The Portfolio does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net real-ized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Options Contracts The Portfolio uses options contracts to hedge against changes in values of securities it owns, owned or expects to own, to enhance returns on securities owned, to enhance the return on a security owned, to gain exposure to securities and to manage downside risks.

The potential risk to the Portfolio 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 origi-nally 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.

Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Futures Contracts The Portfolio uses futures contracts to manage exposure to market risk and to equitize cash.

The potential risk to the Portfolio 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 Portfolio since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the Portfolio 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 Portfolio 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.”

Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Forward Currency Contracts The Portfolio 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 are 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 Portfolio 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 Portfolio 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 Portfolio is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.

Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Total Return Swap Contracts The Portfolio 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 indus-tries, 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 offset-ting interest rate obligation, the Portfolio 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 in variation margin on the Statement of assets and liabilities 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 Portfolio 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 Portfolio’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 Portfolio 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC and centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

Master Agreements The Portfolio is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the Portfolio is held in a segregated account by the Portfolio’s custodian and, with respect to those amounts which can be sold or repledged, is presented in the fund’s portfolio.

Collateral pledged by the Portfolio is delivered to the counterparty 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 Portfolio and the applicable counterparty. Collateral requirements are determined based on the Portfolio’s net position with each counterparty.

Termination events applicable to the Portfolio may occur upon a decline in the Portfolio’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

At the close of the reporting period, the Portfolio had a net liability position of $107,582 on open derivative contracts subject to the Master Agreements. There was no collateral posted by the Portfolio at period end for these agreements.

Sales and Redemptions of Units of Participation The net asset value of the Portfolio is currently determined as of the close of trading on the New York Stock Exchange each day the exchange is open for trading. Pursuant to the Declaration of Trust, the Trustee may also determine the net asset value on any other business day (“Valuation Date”). The net asset value must be determined upon date of sale or redemption. Sales and redemptions of participant units are made on such days at such units’ net asset values. Affiliates of the Trustee held 100.00% of the Portfolio’s total units outstanding at the end of the reporting period.


Federal Income Taxes It is the Portfolio’s policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Portfolio is exempt from federal income taxes and no federal income tax provision is required.

The Portfolio is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The Portfolio did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains, if any. The Portfolio’s prior fiscal years remain subject to examination by the Internal Revenue Service.

The Portfolio may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The Portfolio accrues and applies such taxes to net investment income, net realized gains and net unre-alized gains as income and/or capital gains are earned. In some cases, the Portfolio may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the Portfolio’s books. In many cases, however, the Portfolio may not receive such amounts for an extended period of time, depending on the country of investment.

3. Expenses Incurred by the PortfolioCompensation to be received by the Trustee for its services with respect to the Portfolio is paid by the individual participating trusts pursuant to an arrangement which the Trustee makes with each such participating trust. According to the Declaration of Trust, the Trustee may charge the Portfolio for certain services received during the year. In the current year no such expenses have been charged to the Portfolio by the Trustee, however, the Trustee could cease to bear these expenses, and begin to charge them to the Portfolio at any time.

4. Affiliated TransactionsThe Portfolio invested in the Putnam Money Market Portfolio, a portfolio established and maintained by PFTC. Investments in the Putnam Money Market Portfolio are valued at its closing net asset value each business day. Transactions during the reporting period with the Putnam Money Market Portfolio were as follows:


9/30/17 Purchase cost Sale proceedsInvestment

income

Shares outstanding and

fair value as of 9/30/18

Short-term investments

Putnam Money Market Portfolio* $24,087,888 $131,136,175 $121,743,585 $529,552 $33,480,478

Total Short-term investments $24,087,888 $131,136,175 $121,743,585 $529,552 $33,480,478

* There were no realized or unrealized gains or losses during the period.

5. Market, Credit and Other RisksIn the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The Portfolio may be exposed to additional credit risk that an institution or other entity with which the Portfolio has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations.


6. Summary of Derivative Activity The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was as follows based on an average of the holdings at the end of each fiscal quarter:

Purchased equity option contracts (contract amount) $5,000

Purchased currency options (contract amount) $3,800,000

Written equity option contracts (contract amount) $5,000

Written currency options (contract amount) $2,800,000

Futures contracts (number of contracts) 300

Forward currency contracts (contract amount) $78,000,000

OTC total return swap contracts (notional) $160,000

Warrants (number of warrants) 150,000

The following is a summary of the fair value of derivative instruments as of the close of the reporting period:

Fair value of derivative instruments as of the close of the reporting periodAsset derivatives Liability derivatives

Derivatives not accounted for as hedging instruments under ASC 815

Statement of assets and

liabilities location Fair value


liabilities location Fair valueForeign exchange contracts Investments, Receivables $360,904 Payables $381,938

Equity contracts Investments, Receivables, Net assets—

Unrealized appreciation

899,968 * Payables, Net assets—Unrealized depreciation

325,803 *

Total $1,260,872 $707,741

* Includes cumulative appreciation/depreciation of futures contracts as reported after the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.

The following is a summary of realized and change in unrealized gains or losses of derivative instruments on the Statement of operations for the reporting period (see Note 2):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investmentsDerivatives not accounted for as hedging instruments under ASC 815 Warrants Options Futures

Forward currency

contracts Swaps TotalForeign exchange contracts $— $(78,689) $— $(774,939) $— $(853,628)

Equity contracts 78,048 (25,923) 3,989,565 — 5,624 4,047,314

Total $78,048 $(104,612) $3,989,565 $(774,939) $5,624 $3,193,686

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investmentsDerivatives not accounted for as hedging instruments under ASC 815 Warrants Options Futures

Forward currency

contracts Swaps TotalForeign exchange contracts $— $9,904 $— $(117,285) $— $(107,381)

Equity contracts (136,106) 11,640 (1,258,592) — 6,022 (1,377,036)

Total $(136,106) $21,544 $(1,258,592) $(117,285) $6,022 $(1,484,417)


7. Offsetting of Financial and Derivative Assets and Liabilities

The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 2. For financial reporting purposes, the Portfolio does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

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Assets:

OTC Total return swap contracts*# $15,488 $— $— $— $— $— $—

Futures contracts§ — — — — — — —

Forward currency contracts# 22,542 46,802 22,490 40,397 81,535 31,946 7,482

Purchased options**# — — — — 30,552 — —

Total Assets $38,030 $46,802 $22,490 $40,397 $112,087 $31,946 $7,482

Liabilities:

OTC Total return swap contracts*# 9,466 — — — — — —

Futures contracts§ — — — — — — —

Forward currency contracts# 52,823 39,983 29,856 39,839 32,071 42,681 28,456

Written options# — — — — 13,711 — —

Total Liabilities $62,289 $39,983 $29,856 $39,839 $45,782 $42,681 $28,456

Total Financial and Derivative Net Assets $(24,259) $6,819 $(7,366) $558 $66,305 $(10,735) $(20,974)

Total collateral received (pledged)##† $— $— $— $— $— $— $—

Net amount $(24,259) $6,819 $(7,366) $558 $66,305 $(10,735) $(20,974)

Controlled collateral received (including TBA commitments)** $— $— $— $— $— $— $—

Uncontrolled collateral received $— $— $— $— $— $— $—

Collateral (pledged) (including TBA commitments)** $— $— $— $— $— $— $—

(Continued on the next page)


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$— $— $— $— $— $15,488

78,348 — — — — 78,348

— 16,045 38,982 20,098 2,033 330,352

— — — — — 30,552

$78,348 $16,045 $38,982 $20,098 $2,033 $454,740

— — — — — 9,466

115 — — — — 115

— 25,846 20,094 42,348 14,230 368,227

— — — — — 13,711

$115 $25,846 $20,094 $42,348 $14,230 $391,519

$78,233 $(9,801) $18,888 $(22,250) $(12,197) $63,221

$— $— $— $— $—

$78,233 $(9,801) $18,888 $(22,250) $(12,197)

$— $— $— $— $— $—

$— $— $— $— $— $—

$— $— $— $— $— $—

* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities. ** Included with Investments in securities on the Statement of assets and liabilities.† Additional collateral may be required from certain brokers based on individual agreements.# Covered by master netting agreement (Note 2).

## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/

(depreciation) for futures contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts, which is not included in the table above, amounted to $1,071,444.

8. New Accounting PronouncementsIn March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, to be amortized to the earliest call date. The ASU is effective for the fiscal years beginning after December 15, 2019 for non-public business entities. Management is currently evaluating the impact, if any, of applying this provision.

BC2 12/2018


1-800-225-1581

putnam.com

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Putnam Retirement Advantage GAA Growth Portfolio


Putnam Retirement Advantage GAA Growth Portfolio C-2

Table of contentsReport of Independent Auditors ……………………………………… C-4

The fund’s portfolio …………………………………………………… C-5

Statement of assets and liabilities …………………………………… C-59

Statement of operations ……………………………………………… C-60

Statement of changes in net assets …………………………………… C-61

Financial highlights …………………………………………………… C-62

Notes to financial statements ………………………………………… C-63






To the Trustee of Putnam Retirement Advantage GAA Growth Portfolio:

We have audited the accompanying financial statements of Putnam Retirement Advantage GAA Growth Portfolio (the “Portfolio”), which comprise the statement of assets and liabilities, including the portfolio, as of September 30, 2018 and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements".




Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Putnam Retirement Advantage GAA Growth Portfolio as of September 30, 2018, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

December 14, 2018


The fund’s portfolio 9/30/18The fund’s portfolio 9/30/



Air Products & Chemicals, Inc. 12,229 $2,042,854

Anglo American PLC (United Kingdom) 84,178 1,891,377

ArcelorMittal SA (France) 76,547 2,382,769

Arkema SA (France) 9,952 1,233,371

BASF SE (Germany) 24,663 2,192,856


BlueScope Steel, Ltd. (Australia) 142,713 1,753,355


Cabot Corp. 7,564 474,414

Celanese Corp. 12,421 1,415,994

China National Building Material Co., Ltd. (China) 348,000 309,090

China Oriental Group Co., Ltd. (China) 444,000 358,609

China State Construction International Holdings, Ltd. (China) 632,000 667,950


Covestro AG (Germany) 26,491 2,149,542

CTCI Corp. (Taiwan) 399,000 641,630

Domtar Corp. 11,124 580,339

Evonik Industries AG (Germany) 30,565 1,095,213

Formosa Plastics Corp. (Taiwan) 159,000 609,275

HOCHTIEF AG (Germany) 2,147 356,106

Huntsman Corp. 60,782 1,655,094

Indorama Ventures PCL (Foreign depositary shares) (Thailand) 426,200 777,545

Mexichem SAB de CV (Mexico) 165,649 567,570

Mitsubishi Chemical Holdings Corp. (Japan) 113,100 1,082,856


Newmont Mining Corp. 53,698 1,621,680

Packaging Corp. of America 16,309 1,788,934

PETRONAS Chemicals Group (PCG) Bhd (Malaysia) 283,400 640,963

Rio Tinto PLC (United Kingdom) 55,569 2,811,632


Sasol, Ltd. (South Africa) 28,265 1,093,609



Skipper, Ltd. (India) 182,690 250,257


Suzano Papel e Celulose SA (Brazil) 35,495 427,339

Taisei Corp. (Japan) 28,600 1,304,292

Univar, Inc. 11,004 337,383

UPM-Kymmene OYJ (Finland) 25,802 1,012,953

Vale SA ADR (Brazil) 59,312 880,190

W.R. Grace & Co. 13,891 992,651

West China Cement, Ltd. (China) 1,562,000 293,440

Weyerhaeuser Co. R 50,896 1,642,414

42,547,800




ACS Actividades de Construccion y Servicios SA (Spain) 38,759 $1,651,281

AECOM 13,962 455,999

Allison Transmission Holdings, Inc. 37,488 1,949,751

Avery Dennison Corp. 15,347 1,662,847

Berry Plastics Group, Inc. 26,135 1,264,673

Boeing Co. (The) 36,910 13,726,829


Clean TeQ Holdings, Ltd. (Australia) 1,207,275 476,071


Cummins, Inc. 22,780 3,327,475

Faurecia SA (France) 28,976 1,744,707


General Dynamics Corp. 1,981 405,550


Hitachi, Ltd. (Japan) 72,000 2,446,802




KEI Industries, Ltd. (India) 99,549 493,007

L3 Technologies, Inc. 2,924 621,701



Pentair PLC 22,898 992,628

Raytheon Co. 19,210 3,969,938

Republic Services, Inc. 15,988 1,161,688

Sandvik AB (Sweden) 128,578 2,280,752


Sunny Friend Environmental Technology Co., Ltd. (Taiwan) 100,000 730,357

Teledyne Technologies, Inc. 1,701 419,603

Tervita Corp. (Canada) 12 83

Vinci SA (France) 20,138 1,918,471


Waste Management, Inc. 30,700 2,774,052

67,082,593


Advanced Info Service PCL (Thailand) 94,800 589,202


AT&T, Inc. 10,847 364,242


China Mobile, Ltd. (China) 101,000 995,815

KDDI Corp. (Japan) 95,600 2,641,972

Megacable Holdings SAB de CV (Units) (Mexico) 132,127 681,930

Nippon Telegraph & Telephone Corp. (Japan) 49,500 2,236,510

NTT DoCoMo, Inc. (Japan) 46,600 1,253,361

Swisscom AG (Switzerland) 1,108 505,224




Communication services cont.

Zayo Group Holdings, Inc. 3,893 $135,165

24,053,663


AMETEK, Inc. 18,404 1,456,124


Marubeni Corp. (Japan) 217,700 1,993,291

Mitsui & Co., Ltd. (Japan) 111,000 1,974,517

6,211,826



Amazon.com, Inc. 5,681 11,379,043

Aramark 1,225 52,700





Booz Allen Hamilton Holding Corp. 21,711 1,077,517

Brilliance China Automotive Holdings, Ltd. (China) 518,000 838,078

Caesars Entertainment Corp. 615 6,304

Carnival Corp. 47,744 3,044,635



Dollar General Corp. 14,051 1,535,774


Ecolab, Inc. 1,030 161,483

Erajaya Swasembada Tbk PT (Indonesia) 2,196,400 353,747


Fiat Chrysler Automobiles NV (Italy) 78,625 1,382,994

FleetCor Technologies, Inc. 9,278 2,113,900

Ford Motor Co. 400,716 3,706,623

Fu Shou Yuan International Group, Ltd. (China) 377,000 294,377

Galaxy Entertainment Group, Ltd. (Hong Kong) 266,000 1,687,804

Hermes International (France) 3,533 2,341,502

Hilton Worldwide Holdings, Inc. 30,256 2,444,080



JNBY Design, Ltd. (China) 286,000 507,314


KAR Auction Services, Inc. 18,630 1,112,025

Kering SA (France) 1,247 668,722


Las Vegas Sands Corp. 36,524 2,166,969


Localiza Rent a Car SA (Brazil) 95,736 545,378

Lowe’s Cos., Inc. 6,635 761,831


Madison Square Garden Co. (The) Class A 2,429 765,912




Marriott International, Inc./MD Class A 266 $35,120

Mastercard, Inc. Class A 9,998 2,225,655

MGM China Holdings, Ltd. (Hong Kong) 372,800 590,770


Moncler SpA (Italy) 27,348 1,178,470


Next PLC (United Kingdom) 2,551 182,765

Owens Corning 24,041 1,304,705

Pearson PLC (United Kingdom) 93,139 1,080,975

Peugeot SA (France) 77,219 2,083,495

Poya International Co., Ltd. (Taiwan) 42,260 384,773

ProSiebenSat.1 Media SE (Germany) 44,646 1,160,026

PVH Corp. 22,200 3,205,680



Ross Stores, Inc. 48,055 4,762,251





Signet Jewelers, Ltd. 17,503 1,153,973

Sony Corp. (Japan) 35,600 2,183,295


Tapestry, Inc. 6,554 329,470

Taylor Wimpey PLC (United Kingdom) 817,920 1,832,433

Tiffany & Co. 24,761 3,193,426

TJX Cos., Inc. (The) 7,346 822,899

Toll Brothers, Inc. 35,901 1,185,810

Total System Services, Inc. 17,389 1,716,990


TUI AG (Germany) 72,330 1,389,362

Twenty-First Century Fox, Inc. 32,185 1,474,717

VF Corp. 26,804 2,504,834


Volvo AB (Sweden) 126,103 2,227,632

Wal-Mart de Mexico SAB de CV (Mexico) 198,022 601,185




Wyndham Destinations, Inc. 43,978 1,906,886

127,707,060


Altria Group, Inc. 2,942 177,432


Associated British Foods PLC (United Kingdom) 34,845 1,040,567


Cafe24 Corp. (South Korea) 3,402 458,814




Coca-Cola Amatil, Ltd. (Australia) 105,495 $744,990

Coca-Cola Co. (The) 150,332 6,943,835

Coca-Cola European Partners PLC (United Kingdom) 2,204 100,216

ConAgra Foods, Inc. 49,790 1,691,366

Constellation Brands, Inc. Class A 3,134 675,753

Dino Polska SA (Poland) 22,332 603,420


Grape King Bio, Ltd. (Taiwan) 78,000 547,965

Gruma SAB de CV Class B (Mexico) 75,076 955,190

Hershey Co. (The) 23,630 2,410,260

Imperial Brands PLC (United Kingdom) 69,199 2,410,282


ITOCHU Corp. (Japan) 110,500 2,023,507

J Sainsbury PLC (United Kingdom) 426,638 1,790,357

Kao Corp. (Japan) 10,900 880,368



Koninklijke Ahold Delhaize NV (Netherlands) 95,030 2,179,952

L’Oreal SA (France) 6,192 1,493,779

LG Household & Health Care, Ltd. (South Korea) 454 522,248


LKQ Corp. 29,758 942,436

ManpowerGroup, Inc. 11,820 1,016,047



Molson Coors Brewing Co. Class B 27,655 1,700,783



Natura Cosmeticos SA (Brazil) 61,977 440,437

Nestle SA (Switzerland) 19,362 1,621,825

New Oriental Education & Technology Group, Inc. ADR (China) 6,687 494,905

PepsiCo, Inc. 76,715 8,576,737

Pinnacle Foods, Inc. 19,127 1,239,621


Procter & Gamble Co. (The) 25,392 2,113,376

Swedish Match AB (Sweden) 24,661 1,261,723

Sysco Corp. 60,995 4,467,884

TCI Co., Ltd. (Taiwan) 24,000 385,943





Woolworths Group, Ltd. (Australia) 80,457 1,634,668

72,437,494

Energy (3.7%)

Canvest Environmental Protection Group Co., Ltd. (China) 1,308,000 680,336



Energy cont.

China Everbright Greentech, Ltd. (China) 454,000 $387,573

CNOOC, Ltd. (China) 675,000 1,337,078


Equinor ASA (Norway) 87,313 2,460,714

Exxon Mobil Corp. 8,174 694,953

Geopark, Ltd. (Colombia) 33,634 686,134

Halcon Resources Corp. 1,072 4,792

Halliburton Co. 109,637 4,443,588

Hilong Holding, Ltd. (China) 2,168,000 302,000

Lukoil PJSC ADR (Russia) 21,105 1,618,754


Motor Oil (Hellas) Corinth Refineries SA (Greece) 26,727 698,476

MWO Holdings, LLC (Units) F 8 648

Nine Point Energy F 106 1,531


OMV AG (Austria) 17,739 997,020

ONEOK, Inc. 25,680 1,740,847

PBF Energy, Inc. Class A 32,163 1,605,255

Petroleo Brasileiro SA — Petrobras ADR (Brazil) 47,423 572,396

Phillips 66 1,875 211,350

Repsol SA (Spain) 118,062 2,353,819

Royal Dutch Shell PLC Class B (United Kingdom) 55,924 1,961,025

SandRidge Energy, Inc. 431 4,685

TOTAL SA (France) 63,080 4,091,251



52,449,112

Financials (12.0%)

3i Group PLC (United Kingdom) 99,636 1,222,904

ABN AMRO Group NV GDR (Netherlands) 70,418 1,917,987

Abu Dhabi Commercial Bank PJSC (United Arab Emirates) 330,372 713,263



AIA Group, Ltd. (Hong Kong) 140,800 1,257,769

Allianz SE (Germany) 14,498 3,233,169


Ally Financial, Inc. 61,457 1,625,538








Assurant, Inc. 11,100 1,198,245




Financials cont.

Aviva PLC (United Kingdom) 362,355 $2,313,029


BB&T Corp. 618 29,998





Broadridge Financial Solutions, Inc. 11,871 1,566,379

Camden Property Trust R 1,535 143,630


Cathay Financial Holding Co., Ltd. (Taiwan) 411,000 706,694

CBRE Group, Inc. Class A 26,197 1,155,288

Chailease Holding Co., Ltd. (Taiwan) 185,420 649,787

Cheung Kong Property Holdings, Ltd. (Hong Kong) 298,500 2,241,163


China Construction Bank Corp. (China) 1,287,000 1,125,009

CIT Group, Inc. 32,588 1,681,867

Citigroup, Inc. 189,452 13,591,286

CME Group, Inc. 1,904 324,080


Corporate Office Properties Trust R 2,141 63,866

Credicorp, Ltd. (Peru) 3,012 671,917

CTBC Financial Holding Co., Ltd. (Taiwan) 670,000 504,700


DB Insurance Co., Ltd. (South Korea) 10,560 693,052

Deutsche Boerse AG (Germany) 2,912 390,316

Discover Financial Services 34,577 2,643,412

Discovery, Ltd. (South Africa) 45,842 550,703

DNB ASA (Norway) 86,465 1,818,321


Duke Realty Corp. R 35,255 1,000,184


Edelweiss Financial Services, Ltd. (India) 121,949 318,793


EPR Properties R 1,975 135,110

Equity Commonwealth R 1,417 45,472


Equity Residential Trust R 35,829 2,374,029

Fifth Third Bancorp 89,560 2,500,515

First Abu Dhabi Bank PJSC (United Arab Emirates) 105,283 409,890



Gentera SAB de CV (Mexico) 782,508 792,164

Goldman Sachs Group, Inc. (The) 11,946 2,678,771

Grupo Financiero Banorte SAB de CV (Mexico) 100,147 725,051

Hana Financial Group, Inc. (South Korea) 18,326 736,014

Hang Seng Bank, Ltd. (Hong Kong) 68,300 1,855,689



Financials cont.

Hartford Financial Services Group, Inc. (The) 44,385 $2,217,475

HCP, Inc. R 52,297 1,376,457

HDFC Bank, Ltd. (India) 27,792 769,101




Housing Development Finance Corp., Ltd. (HDFC) (India) 40,767 986,698

HSBC Holdings PLC (United Kingdom) 47,355 413,623


Hyundai Marine & Fire Insurance Co., Ltd. (HDMF) (South Korea) 12,797 483,961


Itau Unibanco Holding SA ADR (Preference) (Brazil) 104,571 1,148,190




Larsen & Toubro Infotech, Ltd. (India) 23,235 614,450

Legal & General Group PLC (United Kingdom) 660,283 2,257,652



Lincoln National Corp. 22,757 1,539,739


Loews Corp. 38,145 1,916,024


Macquarie Group, Ltd. (Australia) 25,839 2,356,421

MetLife, Inc. 62,648 2,926,915


Mizuho Financial Group, Inc. (Japan) 1,384,800 2,416,405


Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 4,531 1,003,870



Northern Trust Corp. 10,771 1,100,042


ORIX Corp. (Japan) 139,500 2,262,262




Partners Group Holding AG (Switzerland) 2,373 1,891,258

Persimmon PLC (United Kingdom) 65,890 2,032,099

Piedmont Office Realty Trust, Inc. Class A R 3,037 57,490

Ping An Insurance Group Co. of China, Ltd. Class H (China) 155,500 1,579,860



Principal Financial Group, Inc. 19,209 1,125,455


Rayonier, Inc. R 10,795 364,979




Financials cont.

Reinsurance Group of America, Inc. 776 $112,179


Resona Holdings, Inc. (Japan) 367,900 2,067,444


Sberbank of Russia PJSC ADR (Russia) 36,209 459,130


Schroders PLC (United Kingdom) 4,913 198,290


SL Green Realty Corp. R 13,531 1,319,678

Spirit MTA REIT R 1,080 12,442




Sumitomo Mitsui Financial Group, Inc. (Japan) 66,200 2,672,828





Swedbank AB Class A (Sweden) 85,521 2,118,504



Travelers Cos., Inc. (The) 2,203 285,751


U.S. Bancorp 69,066 3,647,375

UDR, Inc. R 3,749 151,572

United Overseas Bank, Ltd. (Singapore) 58,900 1,167,352

Vornado Realty Trust R 16,931 1,235,963

WP Carey, Inc. R 4,526 291,067

172,937,610

Health care (8.0%)

AbbVie, Inc. 32,563 3,079,809

ABIOMED, Inc. 8,135 3,658,716

Akorn, Inc. 4,196 54,464


Allergan PLC 5,375 1,023,830

Amgen, Inc. 26,859 5,567,602

Anthem, Inc. 24,730 6,777,257

Astellas Pharma, Inc. (Japan) 137,600 2,401,049

Aurobindo Pharma, Ltd. (India) 38,402 394,377

Bangkok Chain Hospital PCL (Thailand) 696,800 448,158


Biogen, Inc. 5,551 1,961,223



Celgene Corp. 16,903 1,512,650

Centene Corp. 18,213 2,636,878

Charles River Laboratories International, Inc. 7,984 1,074,167



Health care cont.

China Traditional Chinese Medicine Holdings Co., Ltd. (China) 868,000 $590,137

Cigna Corp. 21,817 4,543,390

Coloplast A/S Class B (Denmark) 1,275 130,432

Concordia International Corp. (Canada) 88 1,772

Dentsply Sirona, Inc. 40,918 1,544,245

Eli Lilly & Co. 56,539 6,067,200

Fleury SA (Brazil) 65,354 348,572

Fresenius Medical Care AG & Co., KGaA (Germany) 21,919 2,255,150




Humana, Inc. 14,880 5,037,178





McKesson Corp. 24,602 3,263,455


Merck & Co., Inc. 90,463 6,417,446




Pfizer, Inc. 91,444 4,029,937


Shionogi & Co., Ltd. (Japan) 32,000 2,091,544




UCB SA (Belgium) 16,407 1,474,990

UnitedHealth Group, Inc. 1,296 344,788

Vertex Pharmaceuticals, Inc. 8,879 1,711,339

Waters Corp. 2,361 459,639

WellCare Health Plans, Inc. 6,736 2,158,821

Zoetis, Inc. 24,589 2,251,369

114,696,821

Technology (13.5%)


Alibaba Group Holding, Ltd. ADR (China) 20,681 3,407,402


Amadeus IT Holding SA Class A (Spain) 26,750 2,486,230

Amdocs, Ltd. 19,893 1,312,540

Apple, Inc. 69,442 15,675,837

Applied Materials, Inc. 44,953 1,737,434

Avaya Holdings Corp. 1,913 42,354



CA, Inc. 33,415 1,475,272



Technology cont.

Cadence Design Systems, Inc. 30,258 $1,371,293

Capgemini SE (France) 10,924 1,375,403

CDK Global, Inc. 2,696 168,662




Corning, Inc. 2,532 89,380

Dell Technologies, Inc. Class V 24,688 2,397,698

Douzone Bizon Co., Ltd. (South Korea) 7,499 413,062

Dun & Bradstreet Corp. (The) 8,259 1,176,990

eBay, Inc. 17,692 584,190

Elite Material Co., Ltd. (Taiwan) 98,000 276,029

F5 Networks, Inc. 15,303 3,051,724


Fidelity National Information Services, Inc. 23,068 2,516,027

Fiserv, Inc. 4,203 346,243

Fortinet, Inc. 39,745 3,667,271


Genpact, Ltd. 2,228 68,199

Harris Corp. 2,248 380,384

Hoya Corp. (Japan) 39,400 2,341,418

HP, Inc. 149,162 3,843,905

IBM Corp. 33,597 5,080,202

Infosys, Ltd. (India) 62,566 630,105

Intuit, Inc. 28,880 6,567,312

Jabil, Inc. 16,578 448,932

Keysight Technologies, Inc. 16,895 1,119,801

KLA-Tencor Corp. 23,885 2,429,343



MediaTek, Inc. (Taiwan) 130,000 1,049,520

Microsoft Corp. 90,187 10,314,687

MSCI, Inc. 6,925 1,228,564

Naspers, Ltd. Class N (South Africa) 5,076 1,094,612

NetApp, Inc. 53,944 4,633,250


NTT Data Corp. (Japan) 140,800 1,949,891



NVIDIA Corp. 47,608 13,378,800

Oracle Corp. 173,619 8,951,796


Red Hat, Inc. 24,195 3,297,294

Rockwell Automation, Inc. 13,279 2,490,078

Samsung Electronics Co., Ltd. (South Korea) 71,692 3,002,113

Samsung Electronics Co., Ltd. (Preference) (South Korea) 19,564 667,566



Technology cont.

Sunny Optical Technology Group Co., Ltd. (China) 40,800 $470,835

Synopsys, Inc. 17,835 1,758,709

Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) 244,000 2,097,730

Tencent Holdings, Ltd. (China) 69,800 2,883,022


Yandex NV Class A (Russia) 15,080 495,981

Zebra Technologies Corp. Class A 5,281 933,831

194,552,718


Aena SME SA (Spain) 9,994 1,735,400

Azul SA ADR (Brazil) 20,294 361,030

Central Japan Railway Co. (Japan) 10,900 2,270,493



easyJet PLC (United Kingdom) 76,851 1,316,858

Expeditors International of Washington, Inc. 17,426 1,281,334

International Consolidated Airlines Group SA (Spain) 231,674 1,991,799


Kansas City Southern 17,240 1,952,947


Norfolk Southern Corp. 3,151 568,756

17,964,841


AES Corp. 85,441 1,196,174

Ameren Corp. 23,522 1,487,061

American Electric Power Co., Inc. 25,762 1,826,011


CenterPoint Energy, Inc. 54,996 1,520,639

China Water Affairs Group, Ltd. (China) 834,000 934,731

CLP Holdings, Ltd. (Hong Kong) 162,000 1,897,443

CMS Energy Corp. 34,956 1,712,844



Enel SpA (Italy) 422,929 2,167,315


Eni SpA (Italy) 138,351 2,616,430

Entergy Corp. 37,052 3,006,029

Evergy, Inc. 14,173 778,381

Exelon Corp. 7,299 318,674

KEC International, Ltd. (India) 78,136 319,054


NRG Energy, Inc. 67,655 2,530,297



Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 884 610



Utilities and power cont.

UGI Corp. 26,078 $1,446,807

31,648,552


CORPORATE BONDS AND NOTES (7.8%)* Principal amount Value


Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $105,000 $112,350

Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 35,000 35,569

American Woodmark Corp. 144A company guaranty sr. unsec. notes 4.875%, 3/15/26 95,000 90,488

ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 10,000 10,850

ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) 110,000 127,859

Beacon Escrow Corp. 144A sr. unsec. notes 4.875%, 11/1/25 100,000 92,125

Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 90,000 93,150

Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 120,000 126,750

BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 150,000 144,938

Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 145,000 147,857

Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 310,000 297,988

BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 115,000 113,131

BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 230,000 224,227

Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 30,000 30,547

Cemex SAB de CV 144A company guaranty sr. notes 6.125%, 5/5/25 (Mexico) 235,000 242,840

CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 95,000 84,075

CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 360,000 357,585

Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 55,000 53,037

Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 55,000 58,327


Cleveland-Cliffs, Inc. company guaranty sr. unsec. notes 5.75%, 3/1/25 35,000 34,038

Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 140,000 129,675

Cornerstone Chemical Co. 144A company guaranty sr. notes 6.75%, 8/15/24 80,000 80,118

CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 10,000 10,113

Crown Americas, LLC/Crown Americas Capital Corp. VI 144A company guaranty sr. unsec. notes 4.75%, 2/1/26 50,000 47,750

Dow Chemical Co. (The) sr. unsec. unsub. bonds 3.50%, 10/1/24 65,000 63,616

E. I. du Pont de Nemours & Co. sr. unsec. notes 3.625%, 1/15/21 20,000 20,202

First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) 265,000 251,419

Flex Acquisition Co., Inc. 144A sr. unsec. notes 6.875%, 1/15/25 90,000 85,950

Freeport-McMoRan, Inc. company guaranty sr. unsec. notes 6.875%, 2/15/23 (Indonesia) 105,000 111,825

Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 55,000 50,050

GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 285,000 280,369

Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 90,000 90,552



CORPORATE BONDS AND NOTES (7.8%)* cont. Principal amount Value

Basic materials cont.

Golden Nugget, Inc. 144A sr. unsec. notes 7.875%, 7/15/26 $85,000 $83,938

HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 85,000 87,763

Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4.875%, 11/15/20 34,000 34,595

Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 160,000 152,552

International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 135,000 136,200

International Paper Co. sr. unsec. unsub. notes 3.00%, 2/15/27 85,000 78,040

Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 35,000 38,063

Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 135,000 138,713

Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 175,000 174,563

Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 6,000 6,270

Mercer International, Inc. sr. unsec. notes 6.50%, 2/1/24 (Canada) 75,000 76,695


Methanex Corp. sr. unsec. unsub. notes 3.25%, 12/15/19 (Canada) 2,000 1,987

New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 25,000 21,813

New Gold, Inc. 144A sr. unsec. notes 6.375%, 5/15/25 (Canada) 25,000 20,875

NOVA Chemicals Corp. 144A sr. unsec. bonds 5.25%, 6/1/27 (Canada) 88,000 81,950

Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 210,000 205,170

Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 45,000 46,069

Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 10,000 10,344


Packaging Corp. of America sr. unsec. unsub. notes 4.50%, 11/1/23 15,000 15,425

Pisces Midco, Inc. 144A sr. notes 8.00%, 4/15/26 100,000 100,750

Platform Specialty Products Corp. 144A sr. unsec. notes 6.50%, 2/1/22 35,000 35,613

PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 135,000 133,988

Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 80,000 76,131

Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22 55,000 53,341

Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 50,000 58,875

Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 155,000 154,225


Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 25,000 25,525


Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 25,000 24,500

Teck Resources, Ltd. 144A company guaranty sr. unsec. notes 8.50%, 6/1/24 (Canada) 5,000 5,475

TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 115,000 115,863

TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 115,000 112,413

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A sr. unsec. notes 5.375%, 9/1/25 (Luxembourg) 120,000 115,350

Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 35,000 32,375

Tronox, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/15/26 85,000 81,813

U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 155,000 156,814

Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 45,000 46,631

USG Corp. 144A company guaranty sr. unsec. bonds 4.875%, 6/1/27 140,000 141,541




USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 $35,000 $35,656

Westlake Chemical Corp. company guaranty sr. unsec. unsub. bonds 4.375%, 11/15/47 190,000 168,786

Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26 305,000 286,837

WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 55,000 71,423


Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32 R 40,000 50,591

WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 80,000 84,200

Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 40,000 43,450

7,789,408


Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 165,000 155,719

American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7.75%, 11/15/19 23,000 23,920

ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 15,000 15,510

Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 11,000 11,180

Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 35,000 35,175

Berry Global, Inc. 144A notes 4.50%, 2/15/26 35,000 33,250

Boeing Capital Corp. sr. unsec. unsub. notes 4.70%, 10/27/19 10,000 10,174

Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 45,000 49,500


Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 35,000 37,013

Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 45,000 48,938

Deere & Co. sr. unsec. unsub. notes 2.60%, 6/8/22 25,000 24,389

Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 110,000 110,688

General Dynamics Corp. company guaranty sr. unsec. unsub. notes 3.60%, 11/15/42 20,000 18,833


GFL Environmental, Inc. 144A sr. unsec. notes 5.375%, 3/1/23 (Canada) 50,000 46,938

Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 145,000 148,988

Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 15,000 14,261

Honeywell International, Inc. sr. unsec. unsub. notes 4.25%, 3/1/21 10,000 10,274

Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 175,000 169,094

Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 33,000 31,410

Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 220,000 211,018

L3 Technologies, Inc. company guaranty sr. unsec. bonds 3.85%, 12/15/26 55,000 52,910

MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 75,000 74,438

Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 250,000 235,081

Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 195,000 200,850

Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 245,000 242,339

Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 45,000 46,125

Raytheon Co. sr. unsec. notes 4.875%, 10/15/40 5,000 5,570

RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 80,000 76,200

Republic Services, Inc. sr. unsec. notes 3.95%, 5/15/28 175,000 173,947

Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 155,000 157,519

Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 70,000 70,875

Tenneco, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 12/15/24 60,000 56,325



Capital goods cont.

Titan Acquisition, Ltd./Titan Co-Borrower, LLC. 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) $140,000 $121,450

TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 25,000 25,469


TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 83,000 85,034

Trident Merger Sub, Inc. 144A sr. unsec. notes 6.625%, 11/1/25 80,000 75,800

United Technologies Corp. sr. unsec. unsub. notes 1.90%, 5/4/20 675,000 661,278

Vertiv Group Corp. 144A sr. unsec. notes 9.25%, 10/15/24 95,000 98,800

Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22 ‡‡ 40,000 40,900

Wabash National Corp. 144A company guaranty sr. unsec. notes 5.50%, 10/1/25 155,000 148,025

Waste Management, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 6/30/20 81,000 83,137

Wrangler Buyer Corp. 144A sr. unsec. notes 6.00%, 10/1/25 145,000 139,200

4,460,546


American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27 R 380,000 345,750

American Tower Corp. sr. unsec. unsub. bonds 3.55%, 7/15/27 R 65,000 60,740


AT&T, Inc. sr. unsec. unsub. notes 5.80%, 2/15/19 70,000 70,814



AT&T, Inc. 144A sr. unsec. notes 4.10%, 2/15/28 530,000 514,538

Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 3,000 3,161

CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 285,000 281,794

CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. notes 5.875%, 4/1/24 230,000 233,738

CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 125,000 125,313

CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 5/1/23 20,000 20,031

Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. unsub. notes 5.125%, 12/15/21 135,000 135,844


Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 180,000 193,497

Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 38,000 38,587


Comcast Corp. company guaranty sr. unsec. unsub. bonds 4.049%, 11/1/52 10,000 8,868




Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 8,000 9,654


CommScope Technologies Finance, LLC 144A sr. unsec. notes 6.00%, 6/15/25 185,000 190,550

CommScope Technologies, LLC 144A company guaranty sr. unsec. unsub. notes 5.00%, 3/15/27 110,000 105,875

Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 70,000 65,761

Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28 R 115,000 109,062




Crown Castle International Corp. sr. unsec. bonds 3.65%, 9/1/27 R $153,000 $143,750

Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22 R 21,000 21,621


Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26 R 65,000 61,947

CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 374,000 365,585

CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 47,000 49,468

Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 31,000 41,632

Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 260,000 217,100

DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 200,000 179,250

Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27 R 80,000 80,000

Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 30,000 23,391


Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 130,000 122,850

Intelsat Connect Finance SA 144A company guaranty sr. unsec. notes 9.50%, 2/15/23 (Luxembourg) 275,000 273,625

Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 210,000 222,338

Koninklijke KPN NV sr. unsec. unsub. bonds 8.375%, 10/1/30 (Netherlands) 10,000 12,892

Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 135,000 136,532

NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 5.15%, 4/30/20 345,000 355,794


Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 29,000 29,870

Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada) 20,000 26,467

Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 506,000 508,530

Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 6,000 6,270

Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 7,000 7,043

Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 69,000 74,434



Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 157,500 156,909

T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 140,000 145,852




T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 85,000 80,006

T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 35,000 33,403

TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28 15,000 18,103

Telefonica Emisiones SAU company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) 370,000 344,612

Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 50,000 48,759


Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 55,000 56,375

Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 210,000 205,800

Vodafone Group PLC sr. unsec. unsub. notes 4.375%, 5/30/28 (United Kingdom) 190,000 187,193

Windstream Services, LLC/Windstream Finance Corp. 144A company guaranty sub. notes 9.00%, 6/30/25 48,000 37,080

9,381,169




Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 2.20%, 3/16/20 (Netherlands) $1,210,000 $1,193,204

1,193,204


21st Century Fox America, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 11/15/46 258,000 276,242

21st Century Fox America, Inc. company guaranty sr. unsec. unsub. notes 7.75%, 12/1/45 131,000 200,620


Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 60,000 56,322

Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 245,000 234,748

AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 86,000 82,345

AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 85,000 81,388


American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 30,000 30,075

American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 55,000 56,031

Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 57,000 58,427

BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 200,000 199,873



Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 45,000 45,338

Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 15,000 15,758

Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 100,000 102,875

Boyne USA, Inc. 144A company guaranty notes 7.25%, 5/1/25 40,000 42,300

Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 31,000 31,146

Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 95,000 96,900

CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 154,000 137,786

CBS Corp. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 94,000 88,793


CBS Radio, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 185,000 177,781

Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 101,000 99,359

Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. sub. notes 7.625%, 3/15/20 27,000 27,135

Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/22 60,000 61,050

Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 215,000 203,713

CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 130,000 123,825

Delta Merger Sub., Inc. 144A sr. unsec. notes 6.00%, 9/15/26 20,000 20,250

Diamond Resorts International, Inc. 144A sr. notes 7.75%, 9/1/23 90,000 92,250

Diamond Resorts International, Inc. 144A sr. unsec. notes 10.75%, 9/1/24 15,000 14,606

Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 30,000 29,290

Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 205,000 189,764

Ecolab, Inc. sr. unsec. unsub. notes 3.25%, 12/1/27 10,000 9,579




Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 $10,000 $10,525

Ford Motor Co. sr. unsec. unsub. notes 4.346%, 12/8/26 238,000 223,992

Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 60,000 60,415

General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 334,000 313,846

General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 18,000 17,508


GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 85,000 86,275

GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 170,000 172,637

Gray Television, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/26 40,000 39,650

Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 24,000 19,029

Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 $30,000 29,156

Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 445,000 438,650

Home Depot, Inc. (The) sr. unsec. unsub. notes 2.625%, 6/1/22 65,000 63,684

Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 210,000 207,900

Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 65,000 67,069

iHeartCommunications, Inc. company guaranty sr. notes 9.00%, 12/15/19 (In default) 5,000 3,763

IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 100,000 100,126

IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 460,000 466,900

IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 20,000 19,200

Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 638,000 638,953

Iron Mountain US Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 6/1/26 R 55,000 51,700

Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28 R 40,000 37,100

Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27 R 135,000 123,863

Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 155,000 170,531

Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 175,000 181,125

Jacobs Entertainment, Inc. 144A notes 7.875%, 2/1/24 25,000 26,535

Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 50,000 45,563


Lear Corp. sr. unsec. unsub. bonds 3.80%, 9/15/27 362,000 336,079

Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 105,000 109,331

Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 36,000 36,155

Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 70,000 71,750

Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 55,000 53,900

Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 90,000 90,900

Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 105,000 106,050


Meredith Corp. 144A sr. unsec. notes 6.875%, 2/1/26 140,000 143,500

MGM Resorts International company guaranty sr. unsec. notes 6.75%, 10/1/20 20,000 21,025




MGM Resorts International company guaranty sr. unsec. unsub. notes 8.625%, 2/1/19 $15,000 $15,225

MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 20,000 21,125

Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 215,000 223,600

Neiman Marcus Group, LLC (The) company guaranty sr. notes 7.125%, 6/1/28 30,000 24,450

Neiman Marcus Group, Ltd. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/15/21 10,972 7,235


Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 150,000 146,813

Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 65,000 63,700

Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 185,000 180,375

Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 110,000 104,474

Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 115,000 116,150

Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 50,000 48,235

Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 19,000 19,356



PetSmart, Inc. 144A sr. unsec. notes 7.125%, 3/15/23 30,000 21,563

PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 51,000 54,889


QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24 20,000 19,794

QVC, Inc. company guaranty sr. sub. notes 4.45%, 2/15/25 20,000 19,012

Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 105,000 105,387

Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. 144A sr. notes 6.125%, 8/15/21 135,000 134,663

S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 35,000 35,905

Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 95,000 95,587

Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 290,000 307,038

Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 180,000 176,175

Sirius XM Radio, Inc. 144A company guaranty sr. unsec. sub. notes 6.00%, 7/15/24 22,000 22,825

Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 500,000 480,000

Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 125,000 123,750

Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 125,000 121,875

Spectrum Brands, Inc. company guaranty sr. unsec. notes 5.75%, 7/15/25 15,000 15,150

Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 10,000 10,200

Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 55,000 54,931



SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 65,000 61,406

Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 3.80%, 2/15/27 265,000 253,488




Time Warner, Inc. company guaranty sr. unsec. unsub. bonds 2.95%, 7/15/26 $52,000 $47,152

Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 5,000 4,625

Toyota Motor Credit Corp. sr. unsec. unsub. notes Ser. MTN, 2.00%, 10/24/18 102,000 101,973

TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 45,000 44,663

Tribune Media Co. company guaranty sr. unsec. notes 5.875%, 7/15/22 15,000 15,263

Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 70,000 65,450

Viacom, Inc. sr. unsec. unsub. notes 4.50%, 3/1/21 20,000 20,346

Walt Disney Co. (The) sr. unsec. notes 2.75%, 8/16/21 5,000 4,942

Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 28,000 27,090

Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 155,000 149,575

WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 45,000 45,000

WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 25,000 24,813

Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 35,000 34,344

Wyndham Destinations, Inc. sr. unsec. unsub. bonds 5.75%, 4/1/27 21,000 19,793

Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 75,000 74,250

Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 180,000 167,175

12,589,319


1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 105,000 100,538

1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 10,000 10,013

1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 140,000 132,650

Altria Group, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/31/24 423,000 427,605


Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 4.90%, 2/1/46 374,000 378,234


Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. notes 2.65%, 2/1/21 524,000 516,392

Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 2.50%, 7/15/22 25,000 24,138

Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 105,000 106,050

Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 570,000 541,500

Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 170,000 174,740

CEC Entertainment, Inc. company guaranty sr. unsec. sub. notes 8.00%, 2/15/22 120,000 108,600

Coca-Cola Co. (The) sr. unsec. unsub. bonds 2.25%, 9/1/26 25,000 22,696

CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 3,119 3,308

CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 12,969 12,769

Dean Foods Co. 144A company guaranty sr. unsec. notes 6.50%, 3/15/23 105,000 98,569

Diageo Investment Corp. company guaranty sr. unsec. notes 8.00%, 9/15/22 11,000 12,796

Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 100,000 108,438

ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 $20,000 18,820

ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 90,000 112,711




ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 $35,000 $38,264


Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 50,000 37,250

Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 140,000 146,759

Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 145,000 147,085

Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 135,000 129,600

KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 100,000 99,625



Kraft Heinz Co. (The) company guaranty sr. unsec. bonds 4.375%, 6/1/46 80,000 70,656

Kraft Heinz Co. (The) company guaranty sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.82%), 3.161%, 8/10/22 245,000 246,239

Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 226,000 221,480


Maple Escrow Subsidiary, Inc. 144A company guaranty sr. unsec. notes 4.597%, 5/25/28 553,000 555,170

Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 90,000 89,559

Netflix, Inc. 144A sr. unsec. bonds 4.875%, 4/15/28 75,000 70,500

Netflix, Inc. 144A sr. unsec. unsub. bonds 5.875%, 11/15/28 80,000 79,700

Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 170,000 161,688

PepsiCo, Inc. sr. unsec. unsub. bonds 3.45%, 10/6/46 15,000 13,526

Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 155,000 138,919

Walgreens Boots Alliance, Inc. sr. unsec. bonds 3.45%, 6/1/26 20,000 18,979

Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.30%, 11/18/21 30,000 29,811

6,299,147

Energy (1.1%)

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 240,000 228,000

Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 60,000 61,425

Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 29,000 29,371


Apache Corp. sr. unsec. unsub. notes 3.25%, 4/15/22 15,000 14,766

Apergy Corp. 144A sr. unsec. notes 6.375%, 5/1/26 150,000 154,125

Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 40,000 45,000


Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 50,000 47,750

BP Capital Markets PLC company guaranty sr. unsec. bonds 3.119%, 5/4/26 (United Kingdom) 45,000 42,832

BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom) 220,000 210,443





Energy cont.

California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 $45,000 $42,975

California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 43,000 41,065

Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 310,000 325,888


Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 30,000 30,600



Chevron Corp. sr. unsec. unsub. notes 1.561%, 5/16/19 410,000 407,441

Comstock Escrow Corp. 144A sr. unsec. notes 9.75%, 8/15/26 130,000 129,714

Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 389,000 371,299

Continental Resources, Inc. company guaranty sr. unsec. bonds 4.90%, 6/1/44 115,000 113,559

Continental Resources, Inc. company guaranty sr. unsec. notes 3.80%, 6/1/24 55,000 53,936

Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5.00%, 9/15/22 12,000 12,174

Continental Resources, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 4/15/23 25,000 25,440

Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 130,000 131,788

CrownRock LP/CrownRock Finance, Inc. 144A sr. unsec. notes 5.625%, 10/15/25 85,000 82,875

DCP Midstream Operating LP company guaranty sr. unsec. unsub. notes 5.375%, 7/15/25 50,000 50,938

DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 65,000 69,550

Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6.375%, 8/15/21 35,000 34,125

Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 96,000 103,800

Denbury Resources, Inc. 144A notes 7.50%, 2/15/24 50,000 51,500

Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 105,000 107,100


Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 140,000 140,000

Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. notes 5.50%, 1/30/26 50,000 50,000

Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 550,000 526,626

Energy Transfer Partners LP sr. unsec. unsub. bonds 6.125%, 12/15/45 30,000 32,000

Energy Transfer Partners LP sr. unsec. unsub. notes 6.50%, 2/1/42 15,000 16,567


Ensco PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 65,000 64,513

EOG Resources, Inc. sr. unsec. unsub. notes 2.625%, 3/15/23 175,000 168,636

EP Energy, LLC/Everest Acquisition Finance, Inc. company guaranty sr. unsec. sub. notes 9.375%, 5/1/20 69,000 67,879

EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty notes 9.375%, 5/1/24 80,000 66,000


EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 8.00%, 11/29/24 135,000 136,013


EQT Corp. sr. unsec. unsub. notes 3.90%, 10/1/27 265,000 248,308

Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) 10,000 11,317

Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 915,000 896,818

Hess Corp. sr. unsec. unsub. notes 7.30%, 8/15/31 10,000 11,550



Energy cont.

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 $200,000 $202,000

Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 130,000 132,925

Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 155,000 149,963

Jagged Peak Energy, LLC 144A company guaranty sr. unsec. notes 5.875%, 5/1/26 125,000 124,375

Marathon Petroleum Corp. sr. unsec. unsub. notes 6.50%, 3/1/41 5,000 5,851

MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 15,000 13,688


MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 95,000 94,050

Motiva Enterprises, LLC 144A sr. unsec. notes 5.75%, 1/15/20 15,000 15,351

Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 130,000 124,626


Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 15,000 15,656


Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 55,000 54,588

Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 35,000 36,313

Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 5,000 5,113

Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 158,000 160,762

Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 90,000 91,575

Occidental Petroleum Corp. sr. unsec. unsub. bonds 4.40%, 4/15/46 145,000 147,496

Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 198,411

Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 780,000 789,867


Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 1,004,000 1,007,765

Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 111,000 114,608



Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default) 4,000 866

Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) (In default) 100,000 21,500

Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 673,000 686,286





Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 80,000 82,200

Range Resources Corp. company guaranty sr. unsec. notes 5.00%, 3/15/23 25,000 24,500



Energy cont.

Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 $70,000 $72,013

Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 9,000 9,122

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. bonds 4.20%, 3/15/28 200,000 194,015

Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 100,000 107,347


SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24 135,000 137,700

SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 35,000 35,490

Seven Generations Energy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 9/30/25 (Canada) 65,000 62,563

Seven Generations Energy, Ltd. 144A sr. unsec. bonds 6.75%, 5/1/23 (Canada) 30,000 31,013

Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22 F 20,000 2

Seventy Seven Operating, LLC escrow company guaranty sr. unsec. unsub. notes 6.625%, 11/15/19 F 17,000 2

Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) 205,000 194,694


SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 40,000 41,350

SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 20,000 19,475

SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 40,000 41,550


Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 45,000 42,372

Statoil ASA company guaranty sr. unsec. unsub. notes 2.90%, 11/8/20 (Norway) 222,000 220,747

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. bonds 5.50%, 1/15/28 70,000 70,613

Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. notes 5.375%, 2/1/27 25,000 25,000

Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. unsub. bonds 5.00%, 1/15/28 315,000 306,338

Total Capital International SA company guaranty sr. unsec. unsub. notes 2.75%, 6/19/21 (France) 875,000 865,889

Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 250,000 237,813

Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 50,000 50,750

Trinidad Drilling, Ltd. 144A company guaranty sr. unsec. notes 6.625%, 2/15/25 (Canada) 180,000 178,200

USA Compression Partners LP/USA Compression Finance Corp. 144A sr. unsec. notes 6.875%, 4/1/26 85,000 87,763

Vermilion Energy, Inc. 144A company guaranty sr. unsec. notes 5.625%, 3/15/25 (Canada) 60,000 59,625

Weatherford International, LLC 144A company guaranty sr. unsec. notes 9.875%, 3/1/25 40,000 38,600

Weatherford International, Ltd. company guaranty sr. unsec. sub. notes 9.875%, 2/15/24 130,000 127,400

Weatherford International, Ltd. company guaranty sr. unsec. unsub. notes 8.25%, 6/15/23 15,000 14,175

Whiting Petroleum Corp. sr. unsec. notes 6.625%, 1/15/26 80,000 83,200

Williams Cos., Inc. (The) sr. unsec. unsub. notes 8.75%, 3/15/32 100,000 133,246

Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 280,000 281,614

WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 80,000 90,800



Energy cont.

WPX Energy, Inc. sr. unsec. notes 5.75%, 6/1/26 $75,000 $75,938

WPX Energy, Inc. sr. unsec. unsub. notes 6.00%, 1/15/22 19,000 19,689

15,739,376

Financials (2.1%)

AIG Global Funding 144A sr. notes 2.15%, 7/2/20 200,000 196,132

Air Lease Corp. sr. unsec. notes 2.50%, 3/1/21 90,000 87,912

Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 420,000 413,926

Air Lease Corp. sr. unsec. unsub. notes 3.625%, 4/1/27 170,000 156,986

Alliance Data Systems Corp. 144A company guaranty sr. unsec. notes 5.375%, 8/1/22 20,000 20,150

Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 20,000 20,700

Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 621,000 752,187

Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 3/15/20 6,000 6,360

Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 235,000 242,638

American Express Co. sr. unsec. bonds 8.125%, 5/20/19 130,000 134,360

American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 105,000 131,775

ANZ New Zealand Int’l, Ltd./London 144A company guaranty sr. unsec. notes 2.875%, 1/25/22 (United Kingdom) 215,000 208,728

Australia & New Zealand Banking Group, Ltd. sr. unsec. notes Ser. MTN, 2.125%, 8/19/20 (Australia) 320,000 313,748

Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) 600,000 569,159

Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 61,000 63,898

Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 10,000 10,795

Bank of America Corp. sr. unsec. unsub. bonds Ser. MTN, 3.248%, 10/21/27 840,000 779,132

Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, 2.151%, 11/9/20 50,000 48,929

Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 155,000 178,617

Bank of Montreal sr. unsec. unsub. notes Ser. D, 3.10%, 4/13/21 (Canada) 210,000 209,162

Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) 45,000 42,045

Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.70%, 3/7/22 (Canada) 340,000 331,495



Bank of Nova Scotia (The) sr. unsec. unsub. notes Ser. BKNT, 2.45%, 3/22/21 (Canada) 126,000 123,383

Banque Federative du Credit Mutuel SA 144A sr. unsec. unsub. notes 2.20%, 7/20/20 (France) 430,000 420,006

Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 10,000 10,048

BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 95,000 97,236

BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) 470,000 459,657

Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23 R 20,000 20,932

Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19 25,000 25,961

Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 65,000 68,846

Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 30,000 29,316

CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 33,000 34,294

CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 47,000 47,928

CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 241,000 245,519

CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 172,000 175,440


Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 105,000 99,537

Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20 420,000 414,540

Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 445,000 432,024



Financials cont.

Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 $611,000 $595,987

Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 35,000 35,232

Citizens Bank NA/Providence RI sr. unsec. notes 2.25%, 3/2/20 390,000 384,753

CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 115,000 112,700

CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 80,000 81,800

Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) 205,000 191,580


Commonwealth Bank of Australia 144A unsec. notes 2.20%, 11/9/20 (Australia) 480,000 467,313

Cooperatieve Rabobank UA company guaranty sr. unsec. unsub. bonds Ser. MTN, 5.25%, 5/24/41 (Netherlands) 130,000 145,955

Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 60,000 62,850


Credit Suisse Group AG 144A sr. unsec. bonds 4.282%, 1/9/28 (Switzerland) 385,000 374,444

Danske Bank A/S 144A sr. unsec. notes 2.70%, 3/2/22 (Denmark) 235,000 225,265

Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28 R 325,000 324,733

Digital Realty Trust LP company guaranty sr. unsec. notes 3.40%, 10/1/20 R 130,000 130,124

ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25 R 40,000 38,700

Fairfax Financial Holdings, Ltd. 144A sr. unsec. notes 4.85%, 4/17/28 (Canada) 525,000 517,596

Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 50,000 50,708

Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 17,000 16,660

Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 418,000 428,169

Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 80,000 77,600


GE Capital International Funding Co. Unlimited Co. company guaranty sr. unsec. notes 3.373%, 11/15/25 (Ireland) 193,000 183,730


goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 60,000 62,475

Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 210,000 206,925

Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 835,000 810,109




Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 11,000 13,214

Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 5.125%, 4/15/22 15,000 15,687

Hospitality Properties Trust sr. unsec. notes 4.375%, 2/15/30 R 214,000 196,222

Hospitality Properties Trust sr. unsec. unsub. notes 4.50%, 3/15/25 R 15,000 14,607

HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 115,000 115,151

Huntington Bancshares, Inc. unsec. notes 4.35%, 2/4/23 150,000 150,476

Huntington National Bank (The) sr. unsec. notes 2.375%, 3/10/20 250,000 247,406

Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 40,000 40,950




iStar, Inc. sr. unsec. notes 6.00%, 4/1/22 R 30,000 30,225



Financials cont.

iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22 R $35,000 $34,475

JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity 13,000 13,455

JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity 63,000 64,418

JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 1,150,000 1,050,423

JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 455,000 429,116

JPMorgan Chase Bank NA sr. unsec. FRN Ser. BKNT, 3.086%, 4/26/21 310,000 309,127

KeyCorp sr. unsec. unsub. notes Ser. MTN, 1.86%, 12/13/18 160,000 160,002

KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 20,000 19,858

KKR Group Finance Co., LLC 144A company guaranty sr. unsec. unsub. notes 6.375%, 9/29/20 50,000 52,649

Liberty Mutual Group, Inc. 144A company guaranty jr. unsec. sub. bonds 7.80%, 3/15/37 55,000 64,350

LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 105,000 102,506

Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, 7/29/20 (Australia) 45,000 44,500

Macquarie Group Ltd. 144A sr. unsec. notes 7.625%, 8/13/19 (Australia) 330,000 342,375

Manufacturers & Traders Trust Co. sr. unsec. notes Ser. BKNT, 2.05%, 8/17/20 735,000 719,560

Metropolitan Life Global Funding I 144A sr. notes 1.75%, 9/19/19 280,000 277,029

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24 R 35,000 35,875


Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23 R 15,000 15,169

Mitsubishi UFJ Financial Group, Inc. sr. unsec. notes 3.535%, 7/26/21 (Japan) 365,000 364,521

Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 814,000 781,662


National Australia Bank, Ltd., NY sr. unsec. notes 2.80%, 1/10/22 (Australia) 260,000 253,548

National Australia Bank, Ltd., NY sr. unsec. notes Ser. MTN, 2.125%, 5/22/20 (Australia) 595,000 584,922

National Australia Bank, Ltd./New York sr. unsec. notes 2.50%, 1/12/21 (Australia) 250,000 244,603

Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 90,000 90,108

Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 20,000 18,674

Peachtree Corners Funding Trust 144A company guaranty sr. unsec. unsub. bonds 3.976%, 2/15/25 100,000 97,124

PNC Bank NA sr. unsec. notes Ser. BKNT, 2.00%, 5/19/20 250,000 245,540

Protective Life Global Funding 144A notes 2.262%, 4/8/20 180,000 177,246

Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 95,000 95,000

Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 79,000 82,358


Regions Financial Corp. sr. unsec. unsub. notes 2.75%, 8/14/22 125,000 120,281

Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 555,000 549,185

Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 40,000 40,911

Royal Bank of Scotland Group PLC sr. unsec. unsub. FRB 4.892%, 5/18/29 (United Kingdom) 255,000 252,149

Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 4.80%, 4/5/26 (United Kingdom) 324,000 324,186

Skandinaviska Enskilda Banken AB sr. unsec. notes 2.30%, 3/11/20 (Sweden) 1,195,000 1,177,424

Skandinaviska Enskilda Banken AB 144A sr. unsec. unsub. notes 2.625%, 11/17/20 (Sweden) 200,000 196,310



Financials cont.

Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 $50,000 $49,750

Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 80,000 79,800


Springleaf Finance Corp. sr. unsec. unsub. notes 5.25%, 12/15/19 25,000 25,344

Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25 R 100,000 95,761

Svenska Handelsbanken AB company guaranty sr. unsec. notes 1.95%, 9/8/20 (Sweden) 500,000 486,787

Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 30,000 29,196

TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 100,000 100,000

Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 159,000 149,433

Travelport Corporate Finance PLC 144A company guaranty sr. notes 6.00%, 3/15/26 (United Kingdom) 100,000 101,567

UBS AG/London 144A sr. unsec. notes 2.20%, 6/8/20 (United Kingdom) 230,000 225,838

UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. bonds 4.253%, 3/23/28 (Switzerland) 376,000 372,573

UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. unsub. notes 2.65%, 2/1/22 (Switzerland) 200,000 193,330

USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 80,000 79,800

VEREIT Operating Partnership LP company guaranty sr. unsec. notes 4.60%, 2/6/24 R 50,000 50,166

VEREIT Operating Partnership LP company guaranty sr. unsec. unsub. bonds 4.875%, 6/1/26 R 55,000 55,550

VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 195,000

Wand Merger Corp. 144A sr. unsec. notes 9.125%, 7/15/26 30,000 31,425


Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 60,000 63,000

Wells Fargo & Co. sr. unsec. notes Ser. GMTN, 2.60%, 7/22/20 590,000 584,147

Westpac Banking Corp. sr. unsec. unsub. notes 4.875%, 11/19/19 (Australia) 20,000 20,415



WeWork Cos, Inc. 144A company guaranty sr. unsec. notes 7.875%, 5/1/25 175,000 169,598

WP Carey, Inc. sr. unsec. unsub. notes 4.60%, 4/1/24 R 10,000 10,082

30,710,620

Health care (0.7%)

AbbVie, Inc. sr. unsec. notes 3.60%, 5/14/25 100,000 96,787


Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 60,000 54,000

Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 15,000 14,899

Allergan Funding SCS company guaranty sr. unsec. unsub. notes 3.80%, 3/15/25 (Luxembourg) 150,000 146,887

Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 143,000 141,472

Amgen, Inc. sr. unsec. notes 3.45%, 10/1/20 35,000 35,173

Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 217,000 196,442

ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 100,000 76,000

AstraZeneca PLC sr. unsec. unsub. notes 6.45%, 9/15/37 (United Kingdom) 30,000 37,602


Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 25,000 25,000

Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 90,000 97,088




Health care cont.

Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/15/25 $330,000 $313,500


Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 80,000 84,520


Bausch Health Cos., Inc. 144A sr. unsec. notes 8.50%, 1/31/27 95,000 99,750

Becton Dickinson and Co. (BD) sr. unsec. unsub. bonds 4.669%, 6/6/47 321,000 317,490


Biogen, Inc. sr. unsec. sub. notes 3.625%, 9/15/22 65,000 65,156

BioScrip, Inc. company guaranty sr. unsec. notes 8.875%, 2/15/21 120,000 113,700

Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 35,000 36,750


Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 45,000 46,073

CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 245,000 232,677

CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 134,000 75,080

CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 8.125%, 6/30/24 109,000 90,620

Cigna Corp. sr. unsec. unsub. notes 4.50%, 3/15/21 25,000 25,510

CVS Health Corp. sr. unsec. notes zero %, 12/1/22 50,000 51,788

CVS Health Corp. sr. unsec. unsub. bonds 5.05%, 3/25/48 266,000 272,076

CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 799,000 795,172


Elanco Animal Health, Inc. 144A sr. unsec. notes 4.90%, 8/28/28 425,000 431,503

Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 1/15/23 200,000 176,500

Halfmoon Parent, Inc. 144A sr. unsub. notes 3.75%, 7/15/23 313,000 312,042

HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 35,000 36,006

HCA, Inc. company guaranty sr. notes 6.50%, 2/15/20 178,000 185,120


HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 175,000 177,407

HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 3,000 3,285

Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 25,000 25,188

Kinetic Concepts, Inc./KCI USA, Inc. 144A company guaranty sub. notes 12.50%, 11/1/21 35,000 38,511

Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 15,000 12,656

Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 145,000 138,079


Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 20,000 20,325

Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 15,000 14,738

Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 235,000 236,062

Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 4.50%, 4/1/27 R 70,000 67,113

Omega Healthcare Investors, Inc. company guaranty sr. unsec. unsub. notes 4.95%, 4/1/24 R 45,000 45,631

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA 144A sr. unsec. notes 6.625%, 5/15/22 35,000 34,195

Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 110,000 105,606




Health care cont.

Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland) $200,000 $196,184

Service Corp. International sr. unsec. notes 5.375%, 1/15/22 14,000 14,175


Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 77,000 78,266

Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 130,000 119,996


Sotera Health Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 15,000 15,450

Tenet Healthcare Corp. company guaranty sr. sub. notes 6.00%, 10/1/20 65,000 67,135

Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 50,000 52,690

Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Netherlands) 200,000 210,973

UnitedHealth Group, Inc. sr. unsec. unsub. bonds 4.25%, 4/15/47 529,000 530,831

UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.70%, 2/15/21 61,000 62,796





WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 40,000 40,650

WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26 40,000 40,700

Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 155,000 153,404

9,616,958

Technology (0.6%)

Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 130,000 117,151

Analog Devices, Inc. sr. unsec. unsub. notes 2.85%, 3/12/20 200,000 198,744

Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 295,000 301,036

Apple, Inc. sr. unsec. notes 3.45%, 5/6/24 15,000 14,992


Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 305,000 317,123



Avaya, Inc. 144A escrow notes 7.00%, 4/1/19 48,000 —

Banff Merger Sub, Inc. 144A sr. unsec. notes 9.75%, 9/1/26 180,000 182,610

Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 241,000 226,888


Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 110,000 101,736

Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 280,000 300,356

Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 39,000 48,545

Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. notes 5.45%, 6/15/23 228,000 239,773

Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. unsec. notes 5.875%, 6/15/21 10,000 10,300

Energizer Gamma Acquisition, Inc. 144A company guaranty sr. unsec. notes 6.375%, 7/15/26 35,000 36,181

Fidelity National Information Services, Inc. sr. unsec. sub. notes Ser. 10Y, 4.25%, 5/15/28 115,000 115,228

Fidelity National Information Services, Inc. sr. unsec. unsub. notes 5.00%, 10/15/25 7,000 7,371



Technology cont.

First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 $60,000 $62,475

First Data Corp. 144A notes 5.75%, 1/15/24 275,000 279,469

First Data Corp. 144A sr. notes 5.375%, 8/15/23 25,000 25,381

Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 240,000 240,504

Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 195,000 189,657

Infor Software Parent, LLC/Infor Software Parent, Inc. 144A company guaranty sr. unsec. notes 7.125%, 5/1/21 ‡‡ 200,000 201,748

Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 90,000 91,220

Infor US, Inc. 144A company guaranty sr. notes 5.75%, 8/15/20 10,000 10,138

Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 20,000 24,454

Microchip Technology, Inc. 144A company guaranty sr. notes 4.333%, 6/1/23 370,000 366,495

Microsoft Corp. sr. unsec. unsub. bonds 3.30%, 2/6/27 210,000 205,974


Microsoft Corp. sr. unsec. unsub. notes 5.30%, 2/8/41 10,000 11,780



Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40 341,000 388,157





Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 135,000 134,325

Qorvo, Inc. 144A sr. unsec. notes 5.50%, 7/15/26 40,000 40,700

Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 280,000 277,604

Solera, LLC /Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 205,000 223,963

Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 110,000 106,975

TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 150,000 150,375

VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 45,000 42,574

Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 345,000 333,642

8,545,186


CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44 30,000 28,322

Delta Air Lines, Inc. sr. notes Ser. A, 7.75%, 12/17/19 5,307 5,544

FedEx Corp. company guaranty sr. unsec. unsub. notes 2.625%, 8/1/22 5,000 4,843

Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 582,000 541,749

Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24 105,000 103,310

United Airlines, Inc. Pass-Through Trust pass-through certificates Ser. 14-2, Class A, 3.75%, 9/3/26 16,587 16,411

Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 119,000 121,380

821,559


AES Corp./Virginia (The) sr. unsec. notes 5.50%, 4/15/25 55,000 56,375



AES Corp./Virginia (The) sr. unsec. unsub. bonds 5.125%, 9/1/27 175,000 176,750

American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds 5.00%, 9/1/44 75,000 79,914




Appalachian Power Co. sr. unsec. unsub. notes 4.60%, 3/30/21 $15,000 $15,386

Arizona Public Services Co. sr. unsec. notes 4.50%, 4/1/42 5,000 5,143

Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 370,000 447,913

Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 25,000 22,125

Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 50,000 46,313

Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 3,000 3,015

Consolidated Edison Co. of New York, Inc. sr. unsec. notes 7.125%, 12/1/18 67,000 67,499

Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 15,000 14,691

Consolidated Edison, Inc. sr. unsec. unsub. notes Ser. A, 2.00%, 3/15/20 285,000 279,971

Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 160,000 148,803

Dynegy, Inc. company guaranty sr. unsec. unsub. notes 7.625%, 11/1/24 230,000 247,538

Dynegy, Inc. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 45,000 49,556

El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 45,000 56,654

Electricite de France (EDF) 144A sr. unsec. notes 6.50%, 1/26/19 (France) 15,000 15,175

Emera US Finance LP company guaranty sr. unsec. notes 3.55%, 6/15/26 65,000 61,220

Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 150,000 150,952

Energy Transfer Equity LP sr. sub. notes 5.875%, 1/15/24 456,000 479,940


Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 255,000 240,046

FirstEnergy Corp. sr. unsec. unsub. bonds Ser. B, 3.90%, 7/15/27 24,000 23,346

FirstEnergy Corp. sr. unsec. unsub. bonds Ser. C, 4.85%, 7/15/47 41,000 41,708

FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 420,000 458,470

GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default) 12,000 8,100

IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 100,000 96,994

Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 34,000 34,903


Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 30,000 29,421

Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 3.15%, 1/15/23 220,000 214,021


MidAmerican Funding, LLC sr. bonds 6.927%, 3/1/29 25,000 30,541

Nevada Power Co. mtge. notes 7.125%, 3/15/19 10,000 10,191

NextEra Energy Capital Holdings, Inc. company guaranty jr. unsec. sub. FRB 4.80%, 12/1/77 150,000 140,625

NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 35,000 37,975


NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/28 35,000 35,350

NSTAR Electric Co. sr. unsec. unsub. notes 2.375%, 10/15/22 (Canada) 25,000 23,996

Oncor Electric Delivery Co., LLC sr. notes 5.30%, 6/1/42 15,000 17,299



PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 4.20%, 6/15/22 20,000 20,296

Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40 5,000 5,869

Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 6,000 45

Toledo Edison Co. (The) sr. mtge. bonds 7.25%, 5/1/20 2,000 2,109




Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 $140,000 $141,575

4,927,095

Total corporate bonds and notes (cost $114,687,180) $112,073,587

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (4.8%)* Principal amount Value

U.S. Government Guaranteed Mortgage Obligations (1.1%)

Government National Mortgage Association Pass-Through Certificates

4.507%, 3/20/67 $95,403 $99,815

4.32%, 5/20/67 103,772 107,664

3.50%, TBA, 10/1/48 5,000,000 4,970,313

3.50%, with due dates from 7/20/47 to 11/20/47 11,095,180 11,046,181

16,223,973

U.S. Government Agency Mortgage Obligations (3.7%)

Federal Home Loan Mortgage Corporation Pass-Through Certificates

4.00%, 5/1/48 2,925,108 2,955,274

3.00%, 2/1/47 892,659 855,104

Federal National Mortgage Association Pass-Through Certificates

6.00%, TBA, 10/1/48 2,000,000 2,162,031

4.50%, TBA, 10/1/48 1,000,000 1,031,563

4.00%, 1/1/57 519,190 525,903

4.00%, TBA, 11/1/48 6,000,000 6,050,156

4.00%, TBA, 10/1/48 10,000,000 10,096,875




3.00%, TBA, 10/1/33 5,000,000 4,938,672

52,916,889

Total U.S. government and agency mortgage obligations (cost $70,403,885) $69,140,862

U.S. TREASURY OBLIGATIONS (—%)* Principal amount Value

U.S. Treasury Bonds

3.75%, 11/15/43 i $1,000 $1,109

3.00%, 5/15/45 i 169,000 164,963

Total U.S. treasury obligations (cost $166,072) $166,072


iShares MSCI EAFE ETF 28,398 $1,930,780

iShares MSCI Emerging Markets ETF 43,405 1,862,943

SPDR S&P 500 ETF Trust 59,027 17,160,329

SPDR S&P MidCap 400 ETF Trust 5,980 2,197,411


MORTGAGE-BACKED SECURITIES (1.5%)* Principal amount Value

Agency collateralized mortgage obligations (0.2%)

Bellemeade Re, Ltd. 144A FRB Ser. 18-2A, Class M1B, (1 Month US LIBOR + 1.35%), 3.566%, 8/25/28 (Bermuda) $209,000 $210,176


MORTGAGE-BACKED SECURITIES (1.5%)* cont. Principal amount Value

Agency collateralized mortgage obligations cont.

Federal Home Loan Mortgage Corporation

Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M2, (1 Month US LIBOR + 2.85%), 5.066%, 4/25/28 $503,114 $520,647

IFB Ser. 3829, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.95%), 4.792%, 3/15/41 537,753 86,842

Ser. 4546, Class PI, IO, 4.00%, 12/15/45 348,451 77,585

Ser. 4096, Class MI, IO, 4.00%, 1/15/42 499,579 90,099

Federal National Mortgage Association

Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 8.216%, 9/25/28 180,000 211,427




Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 206,722 11,552

Government National Mortgage Association

Ser. 11-135, Class DI, IO, 5.00%, 4/16/40 663,622 159,043

Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 69,031 15,622

Ser. 17-123, Class JI, IO, 4.00%, 8/20/46 791,486 131,185

Ser. 16-135, Class PI, IO, 4.00%, 5/20/46 1,264,889 246,451

Ser. 14-116, Class IL, IO, 4.00%, 8/20/44 1,239,332 218,370

IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 3.942%, 7/16/43 32,738 4,343

IFB Ser. 13-99, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 3.885%, 6/20/43 571,157 100,540

Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 1,455,341 182,718

Ser. 13-14, IO, 3.50%, 12/20/42 60,284 8,791

Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 324,406 26,472

Ser. 16-H16, Class EI, IO, 2.206%, 6/20/66 W 1,367,710 153,047

Ser. 15-H26, Class EI, IO, 1.72%, 10/20/65 W 455,975 39,396

Ser. 15-H25, Class BI, IO, 1.539%, 10/20/65 W 802,370 72,454

3,201,607

Commercial mortgage-backed securities (0.8%)

CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.947%, 12/15/47 W 159,000 162,975

Citigroup Commercial Mortgage Trust Ser. 14-GC21, Class AS, 4.026%, 5/10/47 148,000 150,034

Citigroup Commercial Mortgage Trust 144A

FRB Ser. 13-GC11, Class D, 4.567%, 4/10/46 W 243,000 238,558

FRB Ser. 12-GC8, Class XA, IO, 1.966%, 9/10/45 W 2,066,109 110,777

FRB Ser. 06-C5, Class XC, IO, zero %, 10/15/49 W 293,697 3

COMM Mortgage Trust

Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W 90,000 93,062

Ser. 13-CR13, Class AM, 4.449%, 11/10/46 W 271,000 279,665

Ser. 12-CR2, Class AM, 3.791%, 8/15/45 183,000 185,704

FRB Ser. 14-UBS4, Class XA, IO, 1.337%, 8/10/47 W 2,361,658 112,189

FRB Ser. 14-CR16, Class XA, IO, 1.302%, 4/10/47 W 186,602 7,315

FRB Ser. 14-CR20, Class XA, IO, 1.283%, 11/10/47 W 4,555,891 212,122



FRB Ser. 14-UBS6, Class XA, IO, 1.111%, 12/10/47 W 987,548 40,014



Commercial mortgage-backed securities cont.

COMM Mortgage Trust

FRB Ser. 13-CR10, Class XA, IO, 0.871%, 8/10/46 W $3,662,632 $120,501

COMM Mortgage Trust 144A

FRB Ser. 10-C1, Class D, 6.308%, 7/10/46 W 197,000 200,694

FRB Ser. 12-LC4, Class D, 5.777%, 12/10/44 W 700,000 651,749

Ser. 15-LC19, Class D, 2.867%, 2/10/48 165,000 141,896

FRB Ser. 12-LC4, Class XA, IO, 2.38%, 12/10/44 W 438,002 24,935

CSAIL Commercial Mortgage Trust FRB Ser. 15-C1, Class C, 4.44%, 4/15/50 W 403,000 399,994

DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.516%, 8/10/44 W 450,000 463,526

GS Mortgage Securities Corp. II FRB Ser. 15-GC30, Class XA, IO, 1.00%, 5/10/50 W 2,846,584 110,732

GS Mortgage Securities Trust

FRB Ser. 14-GC18, Class C, 5.108%, 1/10/47 W 171,000 169,290



GS Mortgage Securities Trust 144A

FRB Ser. 10-C1, Class D, 6.197%, 8/10/43 W 613,000 617,881


Ser. 11-GC5, Class AS, 5.209%, 8/10/44 W 274,000 285,443

FRB Ser. 13-GC13, Class AS, 4.218%, 7/10/46 W 166,000 170,383

JPMBB Commercial Mortgage Securities Trust

Ser. 13-C15, Class B, 4.927%, 11/15/45 W 145,000 151,292

FRB Ser. 14-C22, Class C, 4.71%, 9/15/47 W 149,000 144,335

FRB Ser. 14-C19, Class XA, IO, 1.278%, 4/15/47 W 2,167,352 40,447



JPMorgan Chase Commercial Mortgage Securities Trust

FRB Ser. 13-LC11, Class C, 3.958%, 4/15/46 W 193,000 188,769

FRB Ser. 13-LC11, Class XA, IO, 1.413%, 4/15/46 W 1,322,194 70,209

JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C6, Class E, 5.312%, 5/15/45 W 144,000 127,256

LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.771%, 9/15/39 W 254,775 3,854

LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.217%, 4/20/48 W 214,000 196,253

Morgan Stanley Bank of America Merrill Lynch Trust

FRB Ser. 14-C17, Class C, 4.614%, 8/15/47 W 302,000 292,636

FRB Ser. 13-C7, Class C, 4.255%, 2/15/46 W 187,000 184,091

Ser. 12-C5, Class AS, 3.792%, 8/15/45 217,000 216,620

Ser. 13-C8, Class B, 3.697%, 12/15/48 W 54,000 53,249

Ser. 12-C6, Class AS, 3.476%, 11/15/45 329,000 327,029

FRB Ser. 14-C17, Class XA, IO, 1.349%, 8/15/47 W 452,965 17,681

Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 13-C10, Class D, 4.219%, 7/15/46 W 148,000 135,149

Morgan Stanley Capital I Trust 144A

Ser. 12-C4, Class C, 5.601%, 3/15/45 W 200,000 196,566

FRB Ser. 12-C4, Class D, 5.601%, 3/15/45 W 285,000 269,567

FRB Ser. 11-C3, Class D, 5.326%, 7/15/49 W 95,000 95,667


UBS-Barclays Commercial Mortgage Trust 144A





FRB Ser. 12-C3, Class C, 5.209%, 8/10/49 W $36,000 $36,429

FRB Ser. 12-C2, Class D, 5.05%, 5/10/63 W 136,000 126,844


Wachovia Bank Commercial Mortgage Trust FRB Ser. 05-C21, Class D, 5.417%, 10/15/44 W 102,745 101,759

Wells Fargo Commercial Mortgage Trust

FRB Ser. 13-LC12, Class AS, 4.423%, 7/15/46 W 131,000 133,496



WF-RBS Commercial Mortgage Trust

FRB Ser. 13-C16, Class AS, 4.668%, 9/15/46 W 121,000 125,890

Ser. 13-C18, Class AS, 4.387%, 12/15/46 W 221,000 225,902

Ser. 13-UBS1, Class AS, 4.306%, 3/15/46 W 63,000 63,714

Ser. 14-C19, Class AS, 4.271%, 3/15/47 118,000 119,917

Ser. 12-C8, Class AS, 3.66%, 8/15/45 128,000 128,586

Ser. 12-C9, Class AS, 3.388%, 11/15/45 151,000 149,433

Ser. 13-C11, Class AS, 3.311%, 3/15/45 152,000 151,644

Ser. 12-C10, Class AS, 3.241%, 12/15/45 186,000 182,151

WF-RBS Commercial Mortgage Trust 144A

FRB Ser. 11-C3, Class D, 5.865%, 3/15/44 W 288,000 255,012

FRB Ser. 11-C5, Class E, 5.862%, 11/15/44 W 222,000 219,790

FRB Ser. 11-C2, Class D, 5.839%, 2/15/44 W 421,000 416,166

Ser. 11-C4, Class E, 5.397%, 6/15/44 W 77,000 72,457

FRB Ser. 13-C15, Class D, 4.621%, 8/15/46 W 73,000 62,753

FRB Ser. 12-C10, Class D, 4.59%, 12/15/45 W 313,000 270,158



11,938,230

Residential mortgage-backed securities (non-agency) (0.5%)

Arroyo Mortgage Trust 144A Ser. 18-1, Class A3, 4.157%, 4/25/48 W 167,124 167,124

Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 4.011%, 5/25/35 W 126,233 129,370

Countrywide Asset-Backed Certificates Trust FRB Ser. 04-5, Class 2A, (1 Month US LIBOR + 0.50%), 2.716%, 10/25/34 199,994 196,119

EquiFirst Mortgage Loan Trust FRB Ser. 04-1, Class M2, (1 Month US LIBOR + 1.43%), 3.641%, 1/25/34 88,089 88,338


Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 7.366%, 11/25/28 315,000 373,504

Structured Agency Credit Risk Debt Notes FRB Ser. 14-DN4, Class M3, (1 Month US LIBOR + 4.55%), 6.766%, 10/25/24 191,737 213,369








Residential mortgage-backed securities (non-agency) cont.


Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 6.216%, 5/25/25 $20,621 $22,647



HomeBanc Mortgage Trust FRB Ser. 04-2, Class A1, (1 Month US LIBOR + 0.74%), 2.956%, 12/25/34 143,774 141,066

Impac CMB Trust FRB Ser. 04-6, Class 1A2, (1 Month US LIBOR + 0.78%), 2.996%, 10/25/34 119,777 117,354

Long Beach Mortgage Loan Trust FRB Ser. 04-5, Class A5, (1 Month US LIBOR + 0.56%), 2.776%, 9/25/34 140,538 138,920

Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 3.539%, 2/25/35 W 137,242 139,869

Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE6, Class M1, (1 Month US LIBOR + 0.83%), 3.041%, 8/25/34 329,063 329,063

MortgageIT Trust FRB Ser. 05-1, Class 1M1, (1 Month US LIBOR + 0.72%), 2.936%, 2/25/35 57,301 56,732

New Century Home Equity Loan Trust FRB Ser. 03-4, Class M1, (1 Month US LIBOR + 1.13%), 3.341%, 10/25/33 155,659 155,908

WaMu Mortgage Pass-Through Certificates Trust

FRB Ser. 04-AR13, Class A1B2, (1 Month US LIBOR + 0.98%), 3.196%, 11/25/34 29,899 30,496

FRB Ser. 04-AR13, Class A2B, (1 Month US LIBOR + 0.88%), 3.096%, 11/25/34 102,591 101,606

FRB Ser. 05-AR1, Class A2A3, (1 Month US LIBOR + 0.80%), 3.016%, 1/25/45 17,122 17,089


FRB Ser. 05-AR8, Class 2AB3, (1 Month US LIBOR + 0.72%), 2.936%, 7/25/45 78,131 77,923

FRB Ser. 04-AR13, Class A1A, (1 Month US LIBOR + 0.72%), 2.936%, 11/25/34 292,270 292,270


FRB Ser. 05-AR8, Class 2A1A, (1 Month US LIBOR + 0.58%), 2.796%, 7/25/45 127,205 127,985


FRB Ser. 05-AR2, Class 1A1B, (1 Month US LIBOR + 0.39%), 2.606%, 1/25/45 70,647 67,821






Wells Fargo Home Equity Asset-Backed Securities Trust FRB Ser. 04-2, Class M1, (1 Month US LIBOR + 0.90%), 3.116%, 10/25/34 686,619 686,858

Wells Fargo Mortgage Backed Securities Trust

FRB Ser. 05-AR10, Class 1A2, 4.289%, 6/25/35 W 47,748 47,795


6,584,868

Total mortgage-backed securities (cost $21,877,496) $21,724,705

COMMODITY LINKED NOTES (0.6%)*††† Principal amount Value

Goldman Sachs International 144A notes zero %, 2019 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) $5,320,000 $7,035,295

UBS AG/London 144A sr. notes 1-month LIBOR less 0.25%, 2019 (Indexed to the S&P GSCI Total Return Commodity Index multiplied by 3) (United Kingdom) 1,020,000 1,336,304

Total commodity linked notes (cost $6,340,000) $8,371,599


ASSET-BACKED SECURITIES (0.4%)* Principal amount Value

loanDepot Station Place Agency Securitization Trust 144A FRB Ser. 17-LD1, Class A, (1 Month US LIBOR + 0.80%), 3.016%, 11/25/50 $540,000 $540,000

Station Place Securitization Trust 144A

FRB Ser. 18-1, Class A, (1 Month US LIBOR + 0.90%), 3.112%, 4/24/19 999,000 999,000

FRB Ser. 18-5, Class A, (1 Month US LIBOR + 0.70%), 2.912%, 9/24/19 1,254,000 1,254,000



Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 2.816%, 1/25/46 539,543 536,791

Total asset-backed securities (cost $5,155,373) $5,154,791

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.3%)* Principal amount Value

Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) $750,000 $669,375

Argentina (Republic of) sr. unsec. unsub. notes 6.875%, 1/26/27 (Argentina) 156,000 132,600

Argentina (Republic of) 144A sr. unsec. notes 7.125%, 8/1/27 (Argentina) 160,000 126,400

Buenos Aires (Province of) sr. unsec. unsub. bonds Ser. REGS, 7.875%, 6/15/27 (Argentina) 150,000 124,905

Buenos Aires (Province of) 144A sr. unsec. unsub. notes 10.875%, 1/26/21 (Argentina) 100,000 100,625


Colombia (Republic of) sr. unsec. notes 3.875%, 4/25/27 (Colombia) 345,000 334,927

Cordoba (Province of) sr. unsec. unsub. notes Ser. REGS, 7.45%, 9/1/24 (Argentina) 335,000 281,400

Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 5.577%, 2/21/23 (Egypt) 270,000 260,888

Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 700,000 710,500

Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 625,000 616,406

Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Ivory Coast) 200,000 182,500

Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 3/13/28 (Senegal) EUR 120,000 134,708

Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) $200,000 202,500

Russia (Federation of) 144A sr. unsec. unsub. bonds 4.375%, 3/21/29 (Russia) 200,000 192,000

United Mexican States sr. unsec. notes 4.00%, 10/2/23 (Mexico) 90,000 90,570

United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 220,000 216,358

Total foreign government and agency bonds and notes (cost $5,132,041) $4,751,935

WARRANTS (0.2%)* Expiration dateStrike price Warrants Value

Halcon Resources Corp. 9/9/20 $14.04 291 $29

Han’s Laser Technology Industry Group Co., Ltd. 144A (China) 9/27/19 0.00 65,800 405,189

Hangzhou Hikvision Digital Technology Co., Ltd. 144A (China) 2/11/19 0.00 127,000 530,474

Shengyi Technology Co., Ltd. 144A (China) 5/24/19 0.00 300,100 459,270

Wuliangye Yibin Co., Ltd. 144A (China) 4/12/19 0.00 82,000 809,799

Total warrants (cost $2,510,259) $2,204,761

SENIOR LOANS (0.1%)* c Principal amount Value

Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 6.408%, 12/15/24 $143,513 $144,615

Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.596%, 6/21/24 138,250 139,051

California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 6.962%, 11/17/22 145,000 147,900

CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 6.251%, 5/5/24 28,677 28,844


SENIOR LOANS (0.1%)* c cont. Principal amount Value

Eagleclaw Midstream Ventures, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.492%, 6/30/24 $99,244 $97,714

Forterra Finance, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.076%, 10/25/23 44,294 42,334

FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.826%, 4/16/21 40,113 40,163

Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.992%, 3/31/24 17,258 17,355

GFL Environmental, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 2.75%), 5.105%, 5/31/25 (Canada) U 3,315 3,317

GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.105%, 5/31/25 26,552 26,568

iHeartCommunications, Inc. bank term loan FRN Ser. D, (BBA LIBOR USD 3 Month + 6.75%), 8.826%, 1/30/19 (In default) 25,000 18,583

Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.604%, 5/21/24 115,000 113,563


KCA Deutag Alpha, Ltd. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 6.75%), 9.021%, 3/21/23 105,408 102,509

Keane Group Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 6.079%, 5/25/25 49,675 48,930

Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.64%, 11/6/24 213,925 214,594

Neiman Marcus Group, Ltd., Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 5.37%, 10/25/20 23,641 21,912

Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.568%, 6/1/25 90,000 90,241

Oryx Southern Delaware Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.267%, 2/28/25 94,762 93,183

Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.348%, 11/3/23 54,861 54,117

Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.81%, 9/7/23 68,474 52,112

Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 9.873%, 2/28/26 65,000 62,400


Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.202%, 3/28/25 158,688 154,051

Univision Communications, Inc. bank term loan FRN Ser. C5, (BBA LIBOR USD 3 Month + 2.75%), 4.992%, 3/15/24 24,493 23,788

Total senior loans (cost $1,880,894) $1,861,735



Notional amount





CONVERTIBLE BONDS AND NOTES (—%)* Principal amount Value

DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 $65,000 $61,995

Total convertible bonds and notes (cost $60,370) $61,995


PREFERRED STOCKS (—%)* Shares Value

GMAC Capital Trust I Ser. 2, $1.91 cum. ARP 830 $21,829

Total preferred stocks (cost $21,186) $21,829

CONVERTIBLE PREFERRED STOCKS (—%)* Shares Value

EPR Properties Ser. C, $1.438 cv. pfd. R 720 $20,167

Nine Point Energy 6.75% cv. pfd. 1 1,176

Total convertible preferred stocks (cost $14,130) $21,343



State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97% P Shares 20,000 20,000

U.S. Treasury Bills 1.962%, 10/11/18 # $1,675,999 1,675,101

U.S. Treasury Bills 1.999%, 10/25/18 # 1,717,001 1,714,755

U.S. Treasury Bills 2.008%, 11/1/18 ∆ 230,001 229,610

U.S. Treasury Bills 2.044%, 11/8/18 # ∆ 919,998 918,052

U.S. Treasury Bills 2.064%, 11/15/18 # § Ф 5,457,000 5,443,186


TOTAL INVESTMENTS

Total investments (cost $1,390,075,606) $1,468,217,811

Key to holding’s currency abbreviationsCAD Canadian DollarCNH Chinese Yuan (Offshore)EUR EuroUSD/$ United States Dollar

Key to holding’s abbreviationsADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bankARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting periodBKNT Bank Notebp Basis PointsDAC Designated Activity CompanyETF Exchange Traded FundFRB 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.GDR Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bankGMTN Global Medium Term NotesIFB 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 OnlyMTN Medium Term NotesOJSC Open Joint Stock CompanyOTC Over-the-counterPJSC Public Joint Stock CompanyREGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a

transaction not subject to, the registration requirements of the Securities Act of 1933.SPDR S&P Depository ReceiptsTBA To Be Announced Commitments



* Percentages indicated are based on net assets of $1,436,668,795.††† The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple

(or leverage) will increase the volatility of the note’s value relative to the change in the underlying index.‡‡ 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.

# 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 $7,646,909 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 10).

∆ 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 $249,435 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 10).

Ф This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $120,661 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 10).

§ 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 $602,309 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 10).

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 (Notes 2 and 7).

F This security is valued by Putnam Management at fair value following procedures approved by the Trustee. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs (Note 2).

i This security was pledged, or purchased with cash that was pledged, to the Portfolio for collateral on certain derivative contracts (Note 2). L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the Putnam Money Market Portfolio at the close of the

reporting period. P This security was pledged, or purchased with cash that was pledged, to the Portfolio for collateral on certain derivative contracts. The rate quoted in the security

description is the annualized 7-day yield of the fund at the close of the reporting period (Note 2). R Real Estate Investment Trust. U This security, in part or in entirety, represents an unfunded loan commitment (Note 8). W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.


Debt obligations are considered secured unless otherwise indicated.


See Note 2 to the financial statements regarding TBA commitments.

The dates shown on debt obligations are the original maturity dates.



United States 79.7%Japan 3.5United Kingdom 2.4France 1.5China 1.4Germany 1.1Switzerland 0.9Australia 0.9Hong Kong 0.8Spain 0.8

Sweden 0.8%Canada 0.6Taiwan 0.6Italy 0.5Netherlands 0.5South Korea 0.5Brazil 0.5Other 3.0Total 100.0%



Delivery date Value




Australian Dollar Buy 10/17/18 $3,260,217 $3,278,304 $(18,087 )





Delivery date Value



Bank of America N.A. cont.


Euro Buy 12/19/18 8,997,115 9,047,768 (50,653 )

Hong Kong Dollar Sell 11/19/18 4,916,365 4,905,199 (11,166 )

Japanese Yen Sell 11/19/18 1,091,168 1,113,753 22,585

New Zealand Dollar Buy 10/17/18 1,257,351 1,261,705 (4,354 )

New Zealand Dollar Sell 10/17/18 1,257,351 1,278,079 20,728

Swedish Krona Sell 12/19/18 2,223,170 2,183,300 (39,870 )

Barclays Bank PLC


Australian Dollar Sell 10/17/18 2,584,293 2,594,496 10,203

British Pound Sell 12/19/18 1,444,280 1,436,373 (7,907 )

Canadian Dollar Buy 10/17/18 2,818,508 2,770,689 47,819

Canadian Dollar Sell 10/17/18 2,818,508 2,774,868 (43,640 )

Euro Sell 12/19/18 4,770,317 4,779,704 9,387



New Zealand Dollar Buy 10/17/18 1,419,128 1,409,963 9,165

New Zealand Dollar Sell 10/17/18 1,419,128 1,399,604 (19,524 )


Swiss Franc Buy 12/19/18 1,009,723 1,016,562 (6,839 )

Citibank, N.A.




Danish Krone Buy 12/19/18 2,324,220 2,329,953 (5,733 )

Euro Sell 12/19/18 1,426,898 1,443,069 16,171

Japanese Yen Buy 11/19/18 699,963 713,825 (13,862 )








Euro Sell 12/19/18 1,600,510 1,605,373 4,863




Swiss Franc Buy 12/19/18 1,429,393 1,428,365 1,028

Swiss Franc Sell 12/19/18 1,414,438 1,436,701 22,263



Australian Dollar Sell 10/17/18 8,452,754 8,449,746 (3,008 )




Delivery date Value




British Pound Buy 12/19/18 $2,128,462 $2,118,602 $9,860



Euro Sell 12/19/18 2,050,033 2,054,893 4,860

Indian Rupee Buy 11/19/18 1,409,411 1,418,211 (8,800 )

Indian Rupee Sell 11/19/18 1,409,411 1,398,431 (10,980 )

Japanese Yen Buy 11/19/18 699,962 713,821 (13,859 )



Swedish Krona Buy 12/19/18 4,337,380 4,284,032 53,348



British Pound Sell 12/19/18 1,425,432 1,433,380 7,948



Euro Sell 12/19/18 2,845,963 2,874,647 28,684





Swedish Krona Buy 12/19/18 1,432,065 1,450,173 (18,108 )



British Pound Buy 12/19/18 648,316 650,271 (1,955 )


Euro Sell 12/19/18 3,297,239 3,306,297 9,058



Norwegian Krone Buy 12/19/18 433,188 455,703 (22,515 )

Singapore Dollar Buy 11/19/18 2,047,004 2,055,995 (8,991 )


Swiss Franc Buy 12/19/18 3,751,034 3,777,581 (26,547 )

NatWest Markets PLC




Euro Sell 12/19/18 395,159 395,977 818








Delivery date Value








Euro Sell 12/19/18 5,647,967 5,661,852 13,885





UBS AG






Euro Sell 12/19/18 5,329,151 5,348,456 19,305

Japanese Yen Buy 11/19/18 321,738 328,445 (6,707 )







Unrealized appreciation 1,244,487

Unrealized (depreciation) (1,240,417 )

Total $4,070



Number of contracts


Expiration date



S&P 500 Index E-Mini (Long) 730 106,360,270 106,543,500 Dec-18 933,203



Tokyo Price Index (Long) 88 14,079,148 14,081,085 Dec-18 1,047,363

U.S. Treasury Bond 30 yr (Long) 35 4,917,500 4,917,500 Dec-18 (113,711 )

U.S. Treasury Bond Ultra 30 yr (Long) 76 11,725,375 11,725,375 Dec-18 (355,215 )

U.S. Treasury Note 2 yr (Long) 134 28,238,406 28,238,406 Dec-18 (71,518 )

U.S. Treasury Note 2 yr (Short) 155 32,663,828 32,663,828 Dec-18 77,190




FUTURES CONTRACTS OUTSTANDING at 9/30/18 cont.

Number of contracts


Expiration date


U.S. Treasury Note 10 yr (Long) 88 $10,452,750 $10,452,750 Dec-18 $(99,707 )



Total $129,154



Notional Amount




Total $54,568

TBA SALE COMMITMENTS OUTSTANDING at 9/30/18 (proceeds receivable $12,022,969 )

AgencyPrincipal

amountSettlement date Value

Federal National Mortgage Association, 4.00%, 10/1/48 $10,000,000 10/11/18 $10,096,875

Federal National Mortgage Association, 3.00%, 10/1/48 2,000,000 10/11/18 1,913,594

Total $12,010,469

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/18


Upfront premium


Payments made by fund

Payments received by fund


$34,703,500 $18,462 E $(16,273 ) 12/19/20 3.05%—Semiannually 3 month USD-LIBOR-BBA—Quarterly

$2,190

21,913,300 11,658 E 7,685 12/19/20 3 month USD-LIBOR-BBA—Quarterly

3.05%—Semiannually

(3,973 )



18,385

14,554,500 2,940 E (29,479 ) 12/19/23 3.10%—Semiannually 3 month USD-LIBOR-BBA—Quarterly

(32,419 )



18,379


(22,427 )

3,093,500 42,393 E (16,841 ) 12/19/48 3 month USD-LIBOR-BBA—Quarterly


25,552

1,131,800 15,510 E 6,138 12/19/48 3.20%—Semiannually 3 month USD-LIBOR-BBA—Quarterly

(9,373 )

Total $(33,423 ) $(3,686 )

E Extended effective date.



Upfront premium





Bank of America N.A.$355,443 $362,613 $— 6/20/19 (1 month USD-LIBOR-BBA

plus 1.00%)—MonthlyAl Rajhi Bank—Monthly $6,948


Al Rajhi Bank—Monthly (1,228 )




Upfront premium





Bank of America N.A. cont.$396,874 $368,302 $— 7/2/19 (1 month USD-LIBOR-BBA

plus 1.00%)—MonthlySaudi Kayan Petrochemical Co.—Monthly

$(29,427 )


Al Rajhi Bank—Monthly 4,559



26,218



8,509



4,051

Barclays Bank PLC1,035 1,033 — 1/12/42 4.00% (1 month USD-

LIBOR)—MonthlySynthetic TRS Index 4.00% 30 year Fannie Mae pools—Monthly

6

5,657 5,641 — 1/12/41 4.00% (1 month USD-LIBOR)—Monthly

Synthetic TRS Index 4.00% 30 year Fannie Mae pools—Monthly

31

668 666 — 1/12/41 4.00% (1 month USD-LIBOR)—Monthly


4


Synthetic MBX Index 4.50% 30 year Fannie Mae pools—Monthly

(21 )

365 364 — 1/12/40 (5.00%) 1 month USD-LIBOR—Monthly


(3 )

3,554 3,561 — 1/12/41 (5.00%) 1 month USD-LIBOR—Monthly


(40 )



1



(41 )



(165 )



(34 )

Citibank, N.A.10,052 10,018 — 1/12/41 5.00% (1 month USD-

LIBOR)—MonthlySynthetic MBX Index 5.00% 30 year Fannie Mae pools—Monthly

(20 )

49,256,344 49,555,245 — 11/27/18 3 month USD-LIBOR-BBA plus 0.35%—Quarterly

Russell 1000 Total Return Index—Quarterly

(178,736 )

58,724,339 59,072,970 — 11/27/18 (3 month USD-LIBOR-BBA plus 0.37%)—Quarterly

A basket (CGPUTQL2 ) of common stocks—Quarterly

333,761

Credit Suisse International125,195 124,879 — 1/12/41 4.50% (1 month USD-

LIBOR)—MonthlySynthetic MBX Index 4.50% 30 year Ginnie Mae II pools—Monthly

(175 )



19




Upfront premium





Goldman Sachs International$2,530 $2,525 $— 1/12/42 4.00% (1 month USD-


$15



15



54

JPMorgan Securities LLC46,251 46,315 — 1/12/44 4.00% (1 month USD-


439



(35 )



(37 )




OTC CREDIT DEFAULT CONTRACTS OUTSTANDING—PROTECTION SOLD at 9/30/18

Swap counterparty/ Referenced debt* Rating***

Upfront premium received

(paid)**Notional amount Value

Termi- nation date




CMBX NA BBB–.6 Index BBB–/P $137 $2,000 $236 5/11/63 300 bp—Monthly $(98 )

CMBX NA BBB–.6 Index BBB–/P 185 3,000 354 5/11/63 300 bp—Monthly (167 )


CMBX NA BBB–.6 Index BBB–/P 570 10,000 1,179 5/11/63 300 bp—Monthly (604 )

Barclays Bank PLC

CMBX NA BBB–.6 Index BBB–/P 1,109 10,000 1,179 5/11/63 300 bp—Monthly (65 )

Citigroup Global Markets, Inc.

CMBX NA A.6 Index A/P (3 ) 9,000 111 5/11/63 200 bp—Monthly (111 )

CMBX NA A.6 Index A/P 12 10,000 123 5/11/63 200 bp—Monthly (108 )




CMBX NA A.6 Index A/P 608 132,000 1,624 5/11/63 200 bp—Monthly (972 )

CMBX NA BB.6 Index BB/P 28,799 117,000 24,430 5/11/63 500 bp—Monthly 4,465

CMBX NA BB.7 Index BB/P 6,941 54,000 6,826 1/17/47 500 bp—Monthly 160


CMBX NA A.6 Index A/P 50 1,000 12 5/11/63 200 bp—Monthly 38



CMBX NA A.6 Index A/P 21,011 414,000 5,092 5/11/63 200 bp—Monthly 16,056

CMBX NA A.7 Index A-/P 236 6,000 8 1/17/47 200 bp—Monthly 246

CMBX NA BBB–.6 Index BBB–/P 127 1,000 118 5/11/63 300 bp—Monthly 9



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING—PROTECTION SOLD at 9/30/18 cont.




Termi- nation date



Credit Suisse International cont.

CMBX NA BBB–.6 Index BBB–/P $9,520 $82,000 $9,668 5/11/63 300 bp—Monthly $(107 )

CMBX NA BBB–.7 Index BBB–/P 27,275 369,000 20,812 1/17/47 300 bp—Monthly 6,647


CMBX NA A.6 Index A/P 1,823 37,000 455 5/11/63 200 bp—Monthly 1,380


CMBX NA A.6 Index A/P 1,462 48,000 590 5/11/63 200 bp—Monthly 888












CMBX NA BBB–.6 Index BBB–/P 1,408 27,000 3,183 5/11/63 300 bp—Monthly (1,761 )







CMBX NA BBB–.6 Index BBB–/P 22,037 181,000 21,340 5/11/63 300 bp—Monthly 788




JPMorgan Securities LLC







CMBX NA A.6 Index A/P 1,447 84,000 1,033 5/11/63 200 bp—Monthly 442


















Termi- nation date



JPMorgan Securities LLC cont.

















Merrill Lynch International




Morgan Stanley & Co. International PLC









CMBX NA A.6 Index A/P — 16,000 197 5/11/63 200 bp—Monthly (191 )



CMBX NA A.6 Index A/P 1,509 135,000 1,661 5/11/63 200 bp—Monthly (108 )






Upfront premium received 538,127 Unrealized appreciation 166,324

Upfront premium (paid) (3 ) Unrealized (depreciation) (30,843 )

Total $538,124 Total $135,481

* 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, 2018. 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 9/30/18

Swap counterparty/ Referenced debt*



Termi- nation date

Payments (paid) by fund



CMBX NA A.7 Index $(44 ) $6,000 $8 1/17/47 (200 bp)—Monthly $(54 )

CMBX NA BB.7 Index (6,371 ) 50,000 6,320 1/17/47 (500 bp)—Monthly (93 )

CMBX NA BB.7 Index (7,669 ) 38,000 4,803 1/17/47 (500 bp)—Monthly (2,898 )

















CMBX NA BB.7 Index (757 ) 5,000 632 1/17/47 (500 bp)—Monthly (129 )















CMBX NA BBB–.7 Index (5,366 ) 80,000 4,512 1/17/47 (300 bp)—Monthly (894 )



CMBX NA BBB–.7 Index (1,084 ) 12,000 677 1/17/47 (300 bp)—Monthly (414 )






CMBX NA BBB–.7 Index (3,566 ) 35,000 1,974 1/17/47 (300 bp)—Monthly (1,610 )





OTC CREDIT DEFAULT CONTRACTS OUTSTANDING—PROTECTION PURCHASED at 9/30/18 cont.




Termi- nation date



Morgan Stanley & Co. International PLC cont.

CMBX NA BB.9 Index $(3,309 ) $22,000 $3,045 9/17/58 (500 bp)—Monthly $(282 )


Upfront premium received — Unrealized appreciation —

Upfront premium (paid) (354,266 ) Unrealized (depreciation) (87,621 )

Total $(354,266 ) Total $(87,621 )

* 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 9/30/18

Referenced debt* Rating***



Termi- nation date



NA HY Series 31 Index B+/P $(951,517 ) $13,242,000 $968,454 12/20/23 500 bp—Quarterly $22,454

NA IG Series 31 Index BBB+/P (593,377 ) 33,740,000 652,059 12/20/23 100 bp—Quarterly 63,369

Total $(1,544,894 ) $85,823

* 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 Portfolio 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, 2018. 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 9/30/18

Referenced debt*



Termi- nation date


Unrealized depreciation

NA HY Series 31 Index $1,737,513 $24,198,000 $1,769,721 12/20/23 (500 bp)—Quarterly $(42,290 )

Total $1,737,513 $(42,290 )





Valuation inputs


Common stocks*:







Energy 52,446,933 — 2,179

Financials 172,937,610 — —

Health care 114,696,821 — —

Technology 194,552,718 — —


Utilities and power 31,647,942 610 —

Total common stocks 924,287,301 610 2,179

Asset-backed securities — 5,154,791 —

Commodity linked notes — 8,371,599 —

Convertible bonds and notes — 61,995 —

Convertible preferred stocks — 21,343 —

Corporate bonds and notes — 112,073,583 4

Foreign government and agency bonds and notes — 4,751,935 —


Mortgage-backed securities — 21,724,705 —

Preferred stocks 21,829 — —


Senior loans — 1,861,735 —

U.S. government and agency mortgage obligations — 69,140,862 —

U.S. treasury obligations — 166,072 —

Warrants 29 2,204,732 —

Short-term investments 20,000 295,079,457 —

Totals by level $947,480,622 $520,735,006 $2,183


Valuation inputs


Forward currency contracts $— $4,070 $—

Futures contracts 129,154 — —


TBA sale commitments — (12,010,469 ) —

Interest rate swap contracts — 29,737 —


Credit default contracts — (285,084 ) —

Totals by level $129,154 $(12,141,646 ) $—

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the Portfolio’s net assets and were not considered a signifi-cant portion of the fund’s portfolio.





ASSETS


Unaffiliated issuers (identified cost $1,104,976,853) $1,183,119,058






Receivable for investments sold 942,080

Receivable for sales of delayed delivery securities (Note 2) 11,018,190


Receivable for variation margin on centrally cleared swap contracts (Note 2) 5,072

Unrealized appreciation on forward currency contracts (Note 2) 1,244,487


Premium paid on OTC swap contracts (Note 2) 354,269

Total assets 1,504,890,876

LIABILITIES


Payable for investments purchased 5,452,114

Payable for purchases of delayed delivery securities (Note 2) 28,410,886


Payable for variation margin on futures contracts (Note 2) 115,971

Payable for variation margin on centrally cleared swap contracts (Note 2) 11,755


Premium received on OTC swap contracts (Note 2) 538,127

Unrealized depreciation on forward currency contracts (Note 2) 1,240,417


TBA sale commitments, at value (proceeds receivable $12,022,969) (Note 2) 12,010,469

Collateral on certain derivative contracts, at value (Notes 2 and 10) 186,072


Net assets $1,436,668,795


Net assets $1,436,668,795






INVESTMENT INCOME

Dividends (net of foreign tax of $402,779) $19,341,438

Interest (net of foreign tax of $1,005) (including interest income of $4,145,308 from investments in affiliated issuers) (Note 5) 11,411,402




Securities from unaffiliated issuers (Note 2) 68,695,797


Forward currency contracts (Note 2) (3,540,447)


Swap contracts (Note 2) 1,053,965


Net increase from payments by affiliates (Note 4) 6,194



Securities from unaffiliated issuers and TBA sale commitments 4,206,766

Assets and liabilities in foreign currencies 6,574



Swap contracts 1,171,154


Total change in net unrealized appreciation 317,444







9/30/18

Operations:



Net unrealized appreciation of investments and assets and liabilities in foreign currencies 317,444


Increase in capital from settlement payments 921






NET ASSETS

Beginning of year 1,013,399,452

End of year $1,436,668,795



Sold 53,108,481

Redeemed (36,266,195)





9/30/18






Non-recurring reimbursements (b) —



RATIOS AND SUPPLEMENTAL DATANet assets, end of year (in thousands) $1,436,669



(b) Reflects a non-recurring reimbursement pursuant to a settlement between the Securities and Exchange Commission (the SEC) and Barclays Capital, Inc. which amounted to less than $0.01 per unit outstanding on November 20, 2017.




Putnam Retirement Advantage GAA Growth Portfolio (the “Portfolio”) is a portfolio established and maintained by Putnam Fiduciary Trust Company, LLC (“PFTC”) as Trustee (the “Trustee” and “Manager”) pursuant to the Declaration of Trust for the Putnam Fiduciary Trust Company Investment Funds for Pension and Profit Sharing Trusts (the “Trust”), as amended and restated March 31, 2008. PFTC has hired its affiliate, The Putnam Advisory Company, LLC (“PAC”), to provide certain non-discretionary investment advisory and administrative services to Putnam in connection with the Portfolio. The Portfolio invests in U.S. and international stocks and bonds and is designed for investors seeking long-term growth with moderate risk.





Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining matur-ities 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 Trustee or dealers selected by the Trustee. 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 sched-uled close of the New York Stock Exchange. Accordingly, on certain days, the Portfolio will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the Portfolio to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.




Such valuations and procedures are reviewed periodically by the Trustee. 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 Portfolio 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.






The Portfolio earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amortized into income in the Statement of operations.

Securities purchased or sold on a delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.

Stripped Securities The Portfolio 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 Portfolio 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 Portfolio uses 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 returns on securities owned, to enhance the return on a security owned, to gain exposure to securities and to manage downside risks.



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 option 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.


Futures Contracts The Portfolio uses 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.







Interest Rate Swap Contracts The Portfolio 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 Portfolio is recorded as a liability on the Portfolio’s books. An upfront payment made by the Portfolio is recorded as an asset on the Portfolio’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 in variation margin on the Statement of assets and liabilities and 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 Portfolio 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 Portfolio’s maximum risk of loss from counter-party 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 Portfolio 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.



To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offset-ting interest rate obligation, the Portfolio 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 in variation margin on the Statement of assets and liabilities 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 Portfolio 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 Portfolio’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 Portfolio 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.


Credit Default Contracts

The Portfolio 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, restruc-turing and obligation acceleration. For OTC credit default contracts, an upfront payment received by the Portfolio is recorded as a liability on the Portfolio’s books. An upfront payment made by the Portfolio is recorded as an asset on the Portfolio’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 Portfolio 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 in variation margin on the Statement of assets and liabilities and 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 Portfolio 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 Portfolio 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 Portfolio may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The Portfolio’s maximum risk of loss from counterparty risk, either as the protection seller or as the protec-tion 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 Portfolio 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 Portfolio is a seller of protection, the maximum potential amount of future payments the Portfolio may be required to make is equal to the notional amount.

OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.

TBA Commitments The Portfolio 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 Portfolio holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the Portfolio 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 Portfolio 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 offset-ting 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 acqui-sition of an offsetting TBA purchase commitment, the Portfolio realizes a gain or loss. If the Portfolio delivers securities under the commitment, the Portfolio 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 Portfolio 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 Portfolio as an unrealized gain or loss. Based on market circumstances, the Trustee will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.

TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

Master Agreements The Portfolio 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, collat-eral 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 Portfolio is held in a segregated account by the Portfolio’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.


With respect to ISDA Master Agreements, termination events applicable to the Portfolio may occur upon a decline in the Portfolio’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 coun-terparty’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 Portfolio’s counterparties to elect early termination could impact the Portfolio’s future derivative activity.

At the close of the reporting period, the Portfolio had a net liability position of $423,258 on open derivative contracts subject to the Master Agreements. Collateral posted by the Portfolio at period end for these agreements totaled $249,435 and may include amounts related to unsettled agreements.







4. Payments by Affiliates Putnam Investment Management, LLC (“PIM”), an affiliate of PFTC, entered into a settlement agreement with the Securities and Exchange Commission (“SEC”) on September 27, 2018. The settlement agreement states that: (i) a trader formerly employed by PIM engaged in prearranged trades in certain mortgage-backed securities, (ii) as a result of these undisclosed prearranged trades PIM did not seek best execution, (iii) PIM did not ensure compliance with applicable policies regarding cross-trades and failed to supervise the former employee. The SEC entered a cease and desist order, and PIM paid a $1,000,000 fine and agreed to reimburse the clients that participated in the relevant trades in an aggregate amount of $1,095,006.10. In connection with this settlement, the Portfolio was reimbursed $6,194 by PFTC during the fiscal year.




income




Putnam Money Market Portfolio* $180,406,132 $565,510,963 $460,818,342 $4,145,308 $285,098,753

Total Short-term investments $180,406,132 $565,510,963 $460,818,342 $4,145,308 $285,098,753


6. Market, Credit and Other RisksIn the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The Portfolio may be exposed to additional credit risk that an institution or other entity with which the Portfolio has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The Portfolio may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

7. Senior Loan CommitmentsSenior 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 hold-er’s portion of the loan. When the Portfolio invests in a loan or participation, the Portfolio is subject to the risk that an intermediate participant between the Portfolio and the borrower will fail to meet its obligations to the Portfolio, in addition to the risk that the borrower under the loan may default on its obligations.

8. Unfunded Loan CommitmentsAs of the close of the reporting period, the Portfolio had unfunded loan commitments of $3,315, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:

Borrower Unfunded Commitments

GFL Environmental, Inc. $3,315

Total $3,315



Purchased equity option contracts (contract amount) $14,000


Written equity option contracts (contract amount) $15,000


Futures contracts (number of contracts) 3,000


Centrally cleared interest rate swap contracts (notional) $98,000,000

OTC total return swap contracts (notional) $98,700,000

OTC credit default contracts (notional) $10,400,000

Centrally cleared credit default contracts (notional) $58,600,000

Warrants (number of warrants) 480,000







liabilities location Fair valueCredit contracts Receivables,

Net assets — Unrealized appreciation

$1,897,382 * Payables, Net assets – Unrealized

depreciation

$2,182,466 *

Foreign exchange contracts Investments, Receivables

1,366,074 Payables 1,294,985

Equity contracts Investments, Receivables,


4,569,373 * Payables, Net assets – Unrealized

depreciation

1,360,141 *

Interest rate contracts Receivables, Net assets — Unrealized

appreciation

219,881 * Payables, Net assets – Unrealized

depreciation

890,793 *

Total $8,052,710 $5,728,385

* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.



Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investmentsDerivatives not accounted for as hedging instruments under ASC 815 Warrants Options Futures

Forward currency

contracts Swaps TotalCredit contracts $— $— $— $— $109,370 $109,370

Foreign exchange contracts — (319,198) — (3,540,447) — (3,859,645)

Equity contracts 239,794 (76,557) 27,248,401 — 87,840 27,499,478

Interest rate contracts — — (134,795) — 856,755 721,960

Total $239,794 $(395,755) $27,113,606 $(3,540,447) $1,053,965 $24,471,163


Forward currency


Foreign exchange contracts — 39,502 — (200,990) — (161,488)

Equity contracts (438,989) 32,794 (4,135,149) — 1,074,558 (3,466,786)

Interest rate contracts — — (678,103) — (23,010) (701,113)

Total $(438,989) $72,296 $(4,813,252) $(200,990) $1,171,154 $(4,209,781)




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Assets:

Centrally cleared interest rate swap contracts§ $— $— $4,135 $— $— $— $— $—

OTC Total return swap contracts*# 50,285 42 — 333,761 — 19 84 —

OTC Credit default contracts - protection sold*# — — — — — 10 — —

OTC Credit default contracts - protection purchased*# — — — — 43,023 79,334 43,203 —

Centrally cleared credit default contracts§ — — 937 — — — — —

Futures contracts§ — — — — — — — —

Forward currency contracts# 69,333 202,532 — 52,797 — 77,949 331,582 126,975

Purchased options**# — — — — — — 121,587 —

Total Assets $119,618 $202,574 $5,072 $386,558 $43,023 $157,312 $496,456 $126,975

Liabilities:

Centrally cleared interest rate swap contracts§ — — 5,518 — — — — —

OTC Total return swap contracts*# 30,655 304 — 178,756 — 175 — —

OTC Credit default contracts - protection sold*# 2,348 1,174 — — 33,581 41,140 115,762 —

OTC Credit default contracts - protection purchased*# — — — — 10 — — —

Centrally cleared credit default contracts§ — — 6,237 — — — — —



Written options# — — — — — — 54,568 —

Total Liabilities $159,460 $109,804 $11,755 $280,119 $33,591 $131,939 $321,718 $110,959

Total Financial and Derivative Net Assets $(39,842) $92,770 $(6,683) $106,439 $9,432 $25,373 $174,738 $16,016

Total collateral received (pledged)##† $1,109 $— $— $— $— $20,000 $164,963 $—

Net amount $(40,951) $92,770 $(6,683) $106,439 $9,432 $5,373 $9,775 $16,016

Controlled collateral received (including TBA commitments)** $1,109 $— $— $— $— $20,000 $164,963 $—

Uncontrolled collateral received $— $— $— $— $— $— $— $—

Collateral (pledged) (including TBA commitments)** $— $— $— $— $— $— $— $—



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$— $— $— $— $— $— $— $— $— $4,135

— 439 — — — — — — — 384,630

— — — — — — — — — 10

— 52,808 18,866 — 29,421 — — — — 266,655

— — — — — — — — — 937

— — — 406,701 — — — — — 406,701

23,094 — — — — 63,962 194,077 96,271 5,915 1,244,487

— — — — — — — — — 121,587

$23,094 $53,247 $18,866 $406,701 $29,421 $63,962 $194,077 $96,271 $5,915 $2,429,142

— — — — — — — — — 5,518

— 72 — — — — — — — 209,962

— 148,616 14,094 — 45,938 — — — — 402,653

— — — — — — — — — 10

— — — — — — — — — 6,237

— — — 115,971 — — — — — 115,971

179,138 — — — — 125,864 97,283 89,588 59,427 1,240,417

— — — — — — — — — 54,568

$179,138 $148,688 $14,094 $115,971 $45,938 $125,864 $97,283 $89,588 $59,427 $2,035,336

$(156,044) $(95,441) $4,772 $290,730 $(16,517) $(61,902) $96,794 $6,683 $(53,512) $393,806

$(156,044) $(87,824) $— $— $— $— $— $— $—

$— $(7,617) $4,772 $290,730 $(16,517) $(61,902) $96,794 $6,683 $(53,512)

$— $— $— $— $— $— $— $— $— $186,072

$— $— $— $— $— $— $— $— $— $—

$(161,611) $(208,485) $— $— $— $— $— $— $— $(370,096)





(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $7,646,909 and $602,309, respectively.

BB8 12/2018


1-800-225-1581

putnam.com

Putnam Retirement Advantage GAA Balanced Portfolio


Putnam Retirement Advantage GAA Balanced Portfolio D-2

Table of contentsReport of Independent Auditors ……………………………………… D-4

The fund’s portfolio …………………………………………………… D-5

Statement of assets and liabilities …………………………………… D-56

Statement of operations ……………………………………………… D-57

Statement of changes in net assets …………………………………… D-58

Financial highlights …………………………………………………… D-59

Notes to financial statements ………………………………………… D-60


A note on the Portfolio’s trusteeThe Portfolio’s trustee, Putnam Fiduciary Trust Company, a nondepository trust company regulated by the New Hampshire Banking Department, will be converting to a New Hampshire limited liability company and changing its name to Putnam Fiduciary Trust Company, LLC effective after the close of business on December 31, 2018. The conversion will have no impact on the Portfolio or on PFTC’s business or regulatory status. No action is required for Plans invested in the Portfolio. PFTC will continue to manage the Portfolio, and each Plan’s participation agreement will remain in place. If you have any questions about this change, or about your investment, please feel free to call Putnam at 1-800-648-7410.




To the Trustee of Putnam Retirement Advantage GAA Balanced Portfolio

We have audited the accompanying financial statements of Putnam Retirement Advantage GAA Balanced Portfolio (the “Portfolio”), which comprise the statement of assets and liabilities, including the fund’s portfolio, as of September 30, 2018 and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements".




Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Putnam Retirement Advantage GAA Balanced Portfolio as of September 30, 2018, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

December 20, 2018





Air Products & Chemicals, Inc. 9,598 $1,603,346

Anglo American PLC (United Kingdom) 46,131 1,036,507

ArcelorMittal SA (France) 42,674 1,328,364


BASF SE (Germany) 13,516 1,201,745




Cabot Corp. 5,937 372,369

Celanese Corp. 9,749 1,111,386


Covestro AG (Germany) 14,768 1,198,310

Domtar Corp. 8,730 455,444


HOCHTIEF AG (Germany) 1,197 198,537

Huntsman Corp. 47,706 1,299,034



Newmont Mining Corp. 42,145 1,272,779

Packaging Corp. of America 12,800 1,404,032

Rio Tinto PLC (United Kingdom) 30,979 1,567,448






Univar, Inc. 8,637 264,810


W.R. Grace & Co. 10,902 779,057

Weyerhaeuser Co. R 39,947 1,289,090

22,535,408


ACS Actividades de Construccion y Servicios SA (Spain) 21,608 920,583

AECOM 10,958 357,888

Allison Transmission Holdings, Inc. 29,423 1,530,290

Avery Dennison Corp. 11,614 1,258,377


Boeing Co. (The) 28,969 10,773,571



Cummins, Inc. 17,880 2,611,732



General Dynamics Corp. 1,103 225,806



Capital goods cont.

HD Supply Holdings, Inc. 12,200 $522,038

Hitachi, Ltd. (Japan) 40,200 1,366,131




L3 Technologies, Inc. 1,966 418,011



Pentair PLC 17,972 779,086

Raytheon Co. 14,241 2,943,045


Sandvik AB (Sweden) 71,013 1,259,648


Teledyne Technologies, Inc. 1,334 329,071

Tervita Corp. (Canada) 16 110

Vinci SA (France) 11,227 1,069,554


Waste Management, Inc. 23,215 2,097,708

47,903,813



AT&T, Inc. 6,136 206,047


KDDI Corp. (Japan) 53,500 1,478,509

Nippon Telegraph & Telephone Corp. (Japan) 27,200 1,228,951




Zayo Group Holdings, Inc. 2,170 75,342

15,322,359


AMETEK, Inc. 14,445 1,142,888


Marubeni Corp. (Japan) 119,300 1,092,327

Mitsui & Co., Ltd. (Japan) 60,800 1,081,537

3,755,956



Amazon.com, Inc. 4,427 8,867,281

Aramark 682 29,340







Carnival Corp. 37,473 2,389,653




Crown, Ltd. (Australia) 38,634 $382,685


Dollar General Corp. 11,028 1,205,360


Ecolab, Inc. 574 89,992



FleetCor Technologies, Inc. 7,283 1,659,359

Ford Motor Co. 311,104 2,877,713


Hermes International (France) 1,964 1,301,644

Hilton Worldwide Holdings, Inc. 23,748 1,918,363







Las Vegas Sands Corp. 28,666 1,700,754


Lowe’s Cos., Inc. 3,699 424,719


Madison Square Garden Co. (The) Class A 1,906 601,000


Mastercard, Inc. Class A 7,848 1,747,043


Moncler SpA (Italy) 15,206 655,251


Next PLC (United Kingdom) 1,750 125,378

Owens Corning 18,870 1,024,075


Peugeot SA (France) 42,936 1,158,483


PVH Corp. 17,047 2,461,587



Ross Stores, Inc. 36,744 3,641,330






Sony Corp. (Japan) 19,800 1,214,305


Tapestry, Inc. 5,144 258,589

Taylor Wimpey PLC (United Kingdom) 448,234 1,004,204




Tiffany & Co. 19,434 $2,506,403

TJX Cos., Inc. (The) 4,095 458,722


Total System Services, Inc. 13,648 1,347,604


TUI AG (Germany) 39,638 761,392

Twenty-First Century Fox, Inc. 25,261 1,157,459

VF Corp. 21,038 1,966,001


Volvo AB (Sweden) 69,107 1,220,788




Wyndham Destinations, Inc. 34,518 1,496,700

89,647,624


Altria Group, Inc. 1,639 98,848





Coca-Cola Co. (The) 117,992 5,450,050

Coca-Cola European Partners PLC (United Kingdom) 1,229 55,883

ConAgra Foods, Inc. 39,078 1,327,480

Constellation Brands, Inc. Class A 1,746 376,473


Hershey Co. (The) 17,980 1,833,960

Imperial Brands PLC (United Kingdom) 38,577 1,343,682


ITOCHU Corp. (Japan) 61,500 1,126,205


Kao Corp. (Japan) 6,100 492,683



Koninklijke Ahold Delhaize NV (Netherlands) 52,838 1,212,083



LKQ Corp. 23,356 739,685




Molson Coors Brewing Co. Class B 21,706 1,334,919




PepsiCo, Inc. 60,116 6,720,969




Pinnacle Foods, Inc. 14,295 $926,459


Procter & Gamble Co. (The) 19,156 1,594,354


Sysco Corp. 46,504 3,406,418






47,880,565

Energy (2.9%)


Equinor ASA (Norway) 48,222 1,359,025

Exxon Mobil Corp. 4,557 387,436

Halcon Resources Corp. 879 3,929



MWO Holdings, LLC (Units) F 10 810




ONEOK, Inc. 20,155 1,366,307

PBF Energy, Inc. Class A 25,243 1,259,878

Phillips 66 1,044 117,680

Repsol SA (Spain) 65,645 1,308,774

Royal Dutch Shell PLC Class B (United Kingdom) 31,177 1,093,249

SandRidge Energy, Inc. 431 4,685

TOTAL SA (France) 35,074 2,274,834



32,948,934

Financials (9.7%)


ABN AMRO Group NV GDR (Netherlands) 38,896 1,059,417



Allianz SE (Germany) 8,045 1,794,099


Ally Financial, Inc. 48,236 1,275,842










Financials cont.

Assurant, Inc. 8,712 $940,460


Aviva PLC (United Kingdom) 202,008 1,289,482


BB&T Corp. 345 16,746





Broadridge Financial Solutions, Inc. 9,157 1,208,266

Camden Property Trust R 856 80,096



Cheung Kong Property Holdings, Ltd. (Hong Kong) 166,000 1,246,342


CIT Group, Inc. 25,578 1,320,081

Citigroup, Inc. 148,695 10,667,379

CME Group, Inc. 1,062 180,763


Corporate Office Properties Trust R 1,194 35,617


Deutsche Boerse AG (Germany) 1,623 217,542

Discover Financial Services 27,138 2,074,700

DNB ASA (Norway) 48,203 1,013,688





EPR Properties R 1,099 75,183



Equity Residential Trust R 27,015 1,790,014

Fifth Third Bancorp 70,293 1,962,581



Goldman Sachs Group, Inc. (The) 9,376 2,102,474

Hang Seng Bank, Ltd. (Hong Kong) 38,100 1,035,165

Hartford Financial Services Group, Inc. (The) 34,837 1,740,457

HCP, Inc. R 41,047 1,080,357










Financials cont.

JPMorgan Chase & Co. 129,602 $14,624,290


Legal & General Group PLC (United Kingdom) 367,129 1,255,294



Lincoln National Corp. 17,862 1,208,543


Loews Corp. 28,646 1,438,889


Macquarie Group, Ltd. (Australia) 14,405 1,313,682

MetLife, Inc. 49,170 2,297,222


Mizuho Financial Group, Inc. (Japan) 758,900 1,324,242


Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 2,526 559,651





ORIX Corp. (Japan) 77,800 1,261,677




Partners Group Holding AG (Switzerland) 1,323 1,054,418

Persimmon PLC (United Kingdom) 36,636 1,129,883

Piedmont Office Realty Trust, Inc. Class A R 1,693 32,048









Resona Holdings, Inc. (Japan) 200,400 1,126,164



Schroders PLC (United Kingdom) 2,738 110,507


SL Green Realty Corp. R 10,620 1,035,769





Sumitomo Mitsui Financial Group, Inc. (Japan) 36,300 1,465,614




Financials cont.

Sun Communities, Inc. R 4,419 $448,705



Swedbank AB Class A (Sweden) 47,676 1,181,017



Travelers Cos., Inc. (The) 1,227 159,154


U.S. Bancorp 53,067 2,802,468

UDR, Inc. R 2,089 84,458



WP Carey, Inc. R 3,552 228,429

111,646,356

Health care (7.1%)

AbbVie, Inc. 25,151 2,378,782

ABIOMED, Inc. 6,385 2,871,654

Akorn, Inc. 2,338 30,347



Amgen, Inc. 20,806 4,312,876

Anthem, Inc. 19,279 5,283,410

Astellas Pharma, Inc. (Japan) 76,700 1,338,376


Biogen, Inc. 4,321 1,526,653



Celgene Corp. 12,908 1,155,137

Centene Corp. 14,294 2,069,485


Cigna Corp. 17,123 3,565,865



Dentsply Sirona, Inc. 32,115 1,212,020

Eli Lilly & Co. 44,008 4,722,499

Fresenius Medical Care AG & Co., KGaA (Germany) 12,220 1,257,262




Humana, Inc. 11,118 3,763,665





McKesson Corp. 19,309 2,561,339




Health care cont.

Merck & Co., Inc. 69,813 $4,952,534




Pfizer, Inc. 67,892 2,992,001


Shionogi & Co., Ltd. (Japan) 17,800 1,163,421






Vertex Pharmaceuticals, Inc. 6,872 1,324,509

Waters Corp. 1,853 360,742

WellCare Health Plans, Inc. 5,286 1,694,110

Zoetis, Inc. 18,473 1,691,388

82,144,806

Technology (11.7%)



Amadeus IT Holding SA Class A (Spain) 14,913 1,386,062

Amdocs, Ltd. 15,280 1,008,175

Apple, Inc. 53,453 12,066,480

Applied Materials, Inc. 33,684 1,301,887




CA, Inc. 26,226 1,157,878

Cadence Design Systems, Inc. 23,749 1,076,305


CDK Global, Inc. 1,502 93,965




Corning, Inc. 1,411 49,808

Dell Technologies, Inc. Class V 18,912 1,836,734


eBay, Inc. 9,861 325,610

F5 Networks, Inc. 11,416 2,276,579


Fidelity National Information Services, Inc. 17,142 1,869,678

Fiserv, Inc. 2,342 192,934

Fortinet, Inc. 31,195 2,878,363


Genpact, Ltd. 1,240 37,956

Harris Corp. 1,253 212,020



Technology cont.

Hoya Corp. (Japan) 22,000 $1,307,391

HP, Inc. 112,801 2,906,882

IBM Corp. 26,369 3,987,256

Intuit, Inc. 21,713 4,937,536

Jabil, Inc. 13,011 352,338


KLA-Tencor Corp. 18,746 1,906,656




MSCI, Inc. 5,435 964,223

NetApp, Inc. 41,010 3,522,349


NTT Data Corp. (Japan) 78,500 1,087,120



NVIDIA Corp. 37,366 10,500,593

Oracle Corp. 136,268 7,025,978


Red Hat, Inc. 18,400 2,507,552

Rockwell Automation, Inc. 10,423 1,954,521

Synopsys, Inc. 13,444 1,325,713



135,234,040



Central Japan Railway Co. (Japan) 6,100 1,270,643




Expeditors International of Washington, Inc. 13,677 1,005,670

International Consolidated Airlines Group SA (Spain) 128,814 1,107,468


Kansas City Southern 13,017 1,474,566


Norfolk Southern Corp. 1,756 316,958

11,680,497


AES Corp. 67,060 938,840

Ameren Corp. 18,462 1,167,168

American Electric Power Co., Inc. 18,230 1,292,142


CenterPoint Energy, Inc. 43,164 1,193,485

CLP Holdings, Ltd. (Hong Kong) 90,500 1,059,991

CMS Energy Corp. 27,436 1,344,364





Endesa SA (Spain) 16,689 $360,741

Enel SpA (Italy) 231,772 1,187,724


Eni SpA (Italy) 76,925 1,454,770

Entergy Corp. 29,081 2,359,342

Evergy, Inc. 11,123 610,875

Exelon Corp. 4,068 177,609


NRG Energy, Inc. 53,100 1,985,940




UGI Corp. 20,468 1,135,498

21,634,672

















Celanese US Holdings, LLC company guaranty sr. unsec. notes 5.875%, 6/15/21 (Germany) 40,000 42,005


Cemex SAB de CV 144A company guaranty sr. notes 6.125%, 5/5/25 (Mexico) 200,000 206,672













Crown Americas, LLC/Crown Americas Capital Corp. VI 144A company guaranty sr. unsec. notes 4.75%, 2/1/26 $45,000 $42,975
































Platform Specialty Products Corp. 144A sr. unsec. notes 6.50%, 2/1/22 25,000 25,438










Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 $25,000 $25,525












USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 25,000 25,469








8,314,859



















Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 35,000 33,277





Capital goods cont.

Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 $70,000 $66,628














Titan Acquisition, Ltd./Titan Co-Borrower, LLC. 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) 120,000 104,100



TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 78,000 79,911


United Technologies Corp. sr. unsec. unsub. notes 1.90%, 5/4/20 1,132,000 1,108,988






5,276,989



















Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 $67,000 $68,033





















Digicel, Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 220,000 183,700
















Sprint Communications, Inc. 144A company guaranty sr. unsec. notes 9.00%, 11/15/18 7,000 7,043







Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 $180,000 $179,325















11,675,844


Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 2.20%, 3/16/20 (Netherlands) 1,445,000 1,424,942

1,424,942
























Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) $22,000 $22,103

















Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 10,000 10,525









Great Canadian Gaming Corp. 144A company guaranty sr. unsec. notes 6.625%, 7/25/22 (Canada) CAD 20,000 15,858

Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 $25,000 24,297















Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27 R $120,000 $110,100


































QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24 30,000 29,690






S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 $65,000 $66,680































14,100,314





Altria Group, Inc. company guaranty sr. unsec. notes 9.25%, 8/6/19 3,000 3,160





Altria Group, Inc. company guaranty sr. unsec. unsub. notes 2.625%, 1/14/20 $665,000 $661,196











CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 30,261 29,793


ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 105,000 98,808
























8,016,316



Energy (1.5%)

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. company guaranty sr. unsec. notes 7.875%, 12/15/24 $200,000 $190,000













California Resources Corp. company guaranty sr. unsec. sub. notes 5.00%, 1/15/20 35,000 33,425




























Energy cont.

Energy Transfer Partners LP sr. unsec. unsub. bonds 6.125%, 12/15/45 $35,000 $37,333












Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 1,250,000 1,225,162


Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 165,000 166,650







Motiva Enterprises, LLC 144A sr. unsec. notes 5.75%, 1/15/20 30,000 30,702











Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 198,411

Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 1,111,000 1,125,054







Energy cont.

Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) $42,000 $39,060

Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default) 11,000 2,382


Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 1,581,000 1,612,211





Range Resources Corp. company guaranty sr. unsec. sub. notes 5.75%, 6/1/21 60,000 61,725










Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22 F 20,000 2

Seventy Seven Operating, LLC escrow company guaranty sr. unsec. unsub. notes 6.625%, 11/15/19 F 14,000 1

















Energy cont.

Trinidad Drilling, Ltd. 144A company guaranty sr. unsec. notes 6.625%, 2/15/25 (Canada) $150,000 $148,500













17,780,825

Financials (4.0%)








Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 3/15/20 7,000 7,420


Ally Financial, Inc. unsec. sub. notes 8.00%, 12/31/18 7,000 7,070




Australia & New Zealand Banking Group, Ltd. sr. unsec. notes Ser. MTN, 2.125%, 8/19/20 (Australia) 365,000 357,869


Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) 200,000 200,737




Bank of America Corp. sr. unsec. unsub. FRB Ser. MTN, 3.824%, 1/20/28 440,000 428,173

Bank of America Corp. sr. unsec. unsub. FRN 3.004%, 12/20/23 596,000 578,379








Financials cont.

Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.35%, 10/21/20 (Canada) $140,000 $137,536







Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19 55,000 57,113











Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 482,000 470,156


Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 45,000 45,298


CNG Holdings, Inc. 144A sr. notes 9.375%, 5/15/20 90,000 88,200












DnB Bank ASA 144A sr. unsec. notes 2.125%, 10/2/20 (Norway) 200,000 194,782

Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 105,000 129,544



Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 35,000 35,496


Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 305,000 312,420






Financials cont.

GE Capital International Funding Co. Unlimited Co. company guaranty sr. unsec. notes 2.342%, 11/15/20 (Ireland) $615,000 $599,546


Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 1,015,000 1,000,138

Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 1,425,000 1,382,521















ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) 219,000 230,582

International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 14,000 14,823


iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22 R 30,000 29,550






KeyCorp sr. unsec. unsub. notes Ser. MTN, 1.86%, 12/13/18 435,000 435,006

KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 40,000 39,715




Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, 7/29/20 (Australia) 80,000 79,111



MetLife, Inc. sr. unsec. unsub. notes 4.75%, 2/8/21 101,000 104,189

Metropolitan Life Global Funding I 144A notes 1.55%, 9/13/19 150,000 148,137






Financials cont.

Mid-America Apartments LP sr. unsec. notes 4.30%, 10/15/23 R $85,000 $85,960





National Australia Bank, Ltd. 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.69%), 3.017%, 12/9/19 (Australia) 255,000 256,585





Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 55,000 51,352

Nordea Bank AB 144A sr. unsec. notes 2.50%, 9/17/20 (Finland) 450,000 443,081

Nordea Bank AB 144A sr. unsec. unsub. notes 2.25%, 5/27/21 (Finland) 210,000 203,126


PNC Bank NA sr. unsec. notes Ser. BKNT, 2.00%, 5/19/20 250,000 245,540






Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 1,035,000 1,024,155



Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 4.80%, 4/5/26 (United Kingdom) 200,000 200,115

Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom) 200,000 201,336

Skandinaviska Enskilda Banken AB sr. unsec. notes 2.625%, 3/15/21 (Sweden) 361,000 353,943

Skandinaviska Enskilda Banken AB sr. unsec. notes 2.30%, 3/11/20 (Sweden) 1,570,000 1,546,909

Skandinaviska Enskilda Banken AB 144A sr. unsec. unsub. notes 2.625%, 11/17/20 (Sweden) 200,000 196,310

Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 40,000 39,800






Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 70,000 68,125







Financials cont.

UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. bonds 4.253%, 3/23/28 (Switzerland) $201,000 $199,168

UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. unsub. notes 2.65%, 2/1/22 (Switzerland) 345,000 333,494










Westpac Banking Corp. sr. unsec. unsub. notes 2.15%, 3/6/20 (Australia) 1,490,000 1,470,914




45,826,985

Health care (1.2%)





























Health care cont.

CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 $205,000 $194,689






CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 1,425,000 1,418,173























Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland) 370,000 362,940












Health care cont.

UnitedHealth Group, Inc. sr. unsec. unsub. bonds 4.25%, 4/15/47 $285,000 $285,987









13,418,756

Technology (1.0%)














Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 205,000 189,600








First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 55,000 57,269




IBM Corp. sr. unsec. unsub. notes 1.875%, 8/1/22 105,000 99,186







Technology cont.

Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) $25,000 $30,567











Oracle Corp. sr. unsec. unsub. notes 2.25%, 10/8/19 1,107,000 1,101,467









11,523,690









1,091,587







Appalachian Power Co. sr. unsec. unsub. notes 4.60%, 3/30/21 40,000 41,031


Berkshire Hathaway Energy Co. sr. unsec. bonds 3.80%, 7/15/48 100,000 90,331




Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 3,000 3,015






Consolidated Edison, Inc. sr. unsec. unsub. notes Ser. A, 2.00%, 3/15/20 $325,000 $319,265













GenOn Energy, Inc. sr. unsec. sub. notes 9.875%, 10/15/20 (In default) 8,000 5,400




















Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 7,000 53


Vistra Operations Co., LLC 144A sr. unsec. notes 5.50%, 9/1/26 110,000 111,238

5,796,592






4.507%, 3/20/67 $95,403 $99,815

4.32%, 5/20/67 103,772 107,664

3.50%, TBA, 10/1/48 10,000,000 9,940,625


30,379,317



4.00%, 5/1/48 4,777,677 4,826,947

3.00%, 2/1/47 1,785,317 1,710,209


6.00%, TBA, 10/1/48 5,000,000 5,405,078

5.00%, 3/1/39 16,552 17,559

4.50%, TBA, 10/1/48 1,000,000 1,031,563

4.00%, 1/1/57 692,254 701,204

4.00%, TBA, 11/1/48 14,000,000 14,117,032

4.00%, TBA, 10/1/48 17,000,000 17,164,688




3.00%, TBA, 10/1/33 8,000,000 7,901,875

94,954,190






Structured Agency Credit Risk Debt FRN Ser. 14-HQ3, Class M3, (1 Month US LIBOR + 4.75%), 6.966%, 10/25/24 232,476 257,799

Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M2, (1 Month US LIBOR + 2.85%), 5.066%, 4/25/28 603,736 624,777


Ser. 4546, Class PI, IO, 4.00%, 12/15/45 513,033 114,230

Ser. 4193, Class PI, IO, 4.00%, 3/15/43 140,630 20,264

Ser. 4096, Class MI, IO, 4.00%, 1/15/42 589,351 106,289

Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes FRB Ser. 16-DNA1, Class M3, (1 Month US LIBOR + 5.55%), 7.766%, 7/25/28 250,000 302,557








Agency collateralized mortgage obligations cont.




Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 194,890 10,890


Ser. 11-135, Class DI, IO, 5.00%, 4/16/40 972,220 233,001

Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 45,658 10,332

Ser. 17-139, Class NI, IO, 4.50%, 9/20/47 1,354,560 308,162

Ser. 17-123, Class JI, IO, 4.00%, 8/20/46 1,158,204 191,967

Ser. 14-116, Class IL, IO, 4.00%, 8/20/44 1,232,777 217,215


Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 2,206,196 276,988

Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 383,020 31,254

Ser. 15-124, Class DI, IO, 3.50%, 1/20/38 344,104 37,783

Ser. 16-H16, Class EI, IO, 2.206%, 6/20/66 W 1,204,910 134,829

Ser. 15-H25, Class BI, IO, 1.539%, 10/20/65 W 1,015,410 91,692

5,108,354


CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.947%, 12/15/47 W 243,000 249,075

Citigroup Commercial Mortgage Trust FRB Ser. 14-GC21, Class XA, IO, 1.357%, 5/10/47 W 2,583,345 133,246




FRB Ser. 06-C5, Class XC, IO, zero %, 10/15/49 W 394,336 4

COMM Mortgage Pass-Through Certificates FRB Ser. 14-CR14, Class XA, IO, 0.874%, 2/10/47 W 6,582,868 161,741

COMM Mortgage Trust

Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W 160,000 165,443

Ser. 13-CR13, Class AM, 4.449%, 11/10/46 W 229,000 236,322

Ser. 12-CR2, Class AM, 3.791%, 8/15/45 179,000 181,645

Ser. 13-LC6, Class AM, 3.282%, 1/10/46 328,000 323,146










FRB Ser. 10-C1, Class D, 6.308%, 7/10/46 W 215,000 219,031

FRB Ser. 12-LC4, Class D, 5.777%, 12/10/44 W 109,000 101,487

FRB Ser. 13-CR9, Class D, 4.399%, 7/10/45 W 168,000 143,808






DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.516%, 8/10/44 W $851,000 $876,579




FRB Ser. 14-GC22, Class XA, IO, 1.147%, 6/10/47 W 935,788 36,683


FRB Ser. 10-C1, Class D, 6.197%, 8/10/43 W 750,000 755,972


Ser. 11-GC5, Class AS, 5.209%, 8/10/44 W 265,000 276,067


JP Morgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C8, Class C, 4.758%, 10/15/45 W 300,000 302,650


Ser. 13-C15, Class B, 4.927%, 11/15/45 W 172,000 179,464

FRB Ser. 14-C22, Class C, 4.71%, 9/15/47 W 378,000 366,164






Ser. 13-C10, Class AS, 3.372%, 12/15/47 55,000 53,318

Ser. 13-LC11, Class AS, 3.216%, 4/15/46 215,000 210,084


JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C6, Class E, 5.312%, 5/15/45 W 200,000 176,744

LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.771%, 9/15/39 W 346,850 5,247

LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.217%, 4/20/48 W 259,000 237,521


FRB Ser. 14-C17, Class C, 4.614%, 8/15/47 W 448,000 434,110

Ser. 14-C18, Class C, 4.489%, 10/15/47 W 221,000 217,594

FRB Ser. 13-C7, Class C, 4.255%, 2/15/46 W 267,000 262,846

Ser. 12-C5, Class AS, 3.792%, 8/15/45 252,000 251,559

Ser. 13-C8, Class B, 3.697%, 12/15/48 W 65,000 64,096

Ser. 12-C6, Class AS, 3.476%, 11/15/45 358,000 355,855




Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 12-C6, Class D, 4.726%, 11/15/45 W 260,000 260,731


FRB Ser. 12-C4, Class D, 5.601%, 3/15/45 W 300,000 283,754

FRB Ser. 11-C3, Class D, 5.326%, 7/15/49 W 117,000 117,822


UBS Commercial Mortgage Trust FRB Ser. 17-C7, Class XA, IO, 1.226%, 12/15/50 W 2,259,358 160,780


FRB Ser. 12-C3, Class C, 5.209%, 8/10/49 W 56,000 56,667

FRB Ser. 12-C2, Class D, 5.05%, 5/10/63 W 149,000 138,969





FRB Ser. 12-C4, Class XA, IO, 1.792%, 12/10/45 W $1,436,374 $75,884






Ser. 12-LC5, Class AS, 3.539%, 10/15/45 186,000 185,716



FRB Ser. 13-C16, Class AS, 4.668%, 9/15/46 W 159,000 165,425

Ser. 13-UBS1, Class AS, 4.306%, 3/15/46 W 64,000 64,726

Ser. 12-C6, Class AS, 3.835%, 4/15/45 39,000 38,905

Ser. 12-C8, Class AS, 3.66%, 8/15/45 189,000 189,866

Ser. 13-C12, Class AS, 3.56%, 3/15/48 96,000 95,389

Ser. 13-C11, Class AS, 3.311%, 3/15/45 134,000 133,686

Ser. 12-C10, Class AS, 3.241%, 12/15/45 263,000 257,557




FRB Ser. 11-C3, Class D, 5.865%, 3/15/44 W 333,000 294,858

FRB Ser. 11-C5, Class E, 5.862%, 11/15/44 W 187,000 185,139

FRB Ser. 11-C2, Class D, 5.839%, 2/15/44 W 415,000 410,235

Ser. 11-C4, Class D, 5.397%, 6/15/44 W 240,000 232,246

Ser. 11-C4, Class E, 5.397%, 6/15/44 W 92,000 86,572

FRB Ser. 13-C15, Class D, 4.621%, 8/15/46 W 133,000 114,330

FRB Ser. 12-C10, Class D, 4.59%, 12/15/45 W 306,000 264,116



15,470,392








FRB Ser. 16-DNA3, Class M3, (1 Month US LIBOR + 5.00%), 7.216%, 12/25/28 250,000 292,602














HomeBanc Mortgage Trust FRB Ser. 04-2, Class A1, (1 Month US LIBOR + 0.74%), 2.956%, 12/25/34 82,947 81,384


Long Beach Mortgage Loan Trust FRB Ser. 04-5, Class A5, (1 Month US LIBOR + 0.56%), 2.776%, 9/25/34 152,584 150,828

Merrill Lynch Mortgage Investors Trust

FRB Ser. 05-A2, Class A2, 3.539%, 2/25/35 W 178,266 181,678

FRB Ser. 05-A10, Class A, (1 Month US LIBOR + 0.21%), 2.426%, 2/25/36 232,948 226,053













FRB Ser. 05-AR11, Class A1C3, (1 Month US LIBOR + 0.51%), 2.726%, 8/25/45 226,111 226,111










9,036,170




iShares MSCI EAFE ETF 15,829 $1,076,214

SPDR S&P 500 ETF Trust 46,914 13,638,838

SPDR S&P MidCap 400 ETF Trust 4,828 1,774,097




UBS AG/London 144A sr. notes 1-month LIBOR less 0.25%, 2019 (Indexed to the S&P GSCI Total Return Commodity Index multiplied by 3) (United Kingdom) 580,000 759,859









Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 2.816%, 1/25/46 724,268 720,574



Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) $1,110,000 $990,675




Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) 485,000 403,860






Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 1,095,000 1,111,425

Indonesia (Republic of) 144A sr. unsec. notes 5.25%, 1/17/42 (Indonesia) 200,000 204,250




Turkey (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 200,000 186,250









Eagleclaw Midstream Ventures, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.492%, 6/30/24 84,358 83,057

Forterra Finance, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.076%, 10/25/23 39,408 37,664




GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.105%, 5/31/25 17,701 17,712





Keane Group Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 6.079%, 5/25/25 39,725 39,129














Notional amount
















WARRANTS (—%)* Expiration dateStrike price Warrants Value


Total warrants (cost $—) $24




U.S. Treasury Bills 2.060%, 11/15/18 # § $269,001 268,322

U.S. Treasury Bills 2.043%, 11/8/18 # ∆ § 439,000 438,070

U.S. Treasury Bills 2.016%, 11/1/18 § 423,002 422,280

U.S. Treasury Bills 1.962%, 10/11/18 # § 1,175,001 1,174,370

U.S. Treasury Bills 1.977%, 10/4/18 # § Ф 4,530,000 4,529,268


TOTAL INVESTMENTS


Key to holding’s currency abbreviationsCAD Canadian DollarCNH Chinese Yuan (Offshore)USD/$ United States Dollar

Key to holding’s abbreviationsARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting period.BKNT Bank Notebp Basis PointsDAC Designated Activity CompanyETF Exchange Traded FundFRB 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


certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.GDR Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank.GMTN Global Medium Term NotesIFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates


IO Interest OnlyMTN Medium Term NotesOJSC Open Joint Stock Company


OTC Over-the-counterREGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a



* Percentages indicated are based on net assets of $1,153,096,697.††† The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple





§ 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 $1,896,499 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 10).



L Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the Putnam Money Market Portfolio at the close of the reporting period.

P This security was pledged, or purchased with cash that was pledged, to the Portfolio for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period (Note 2).

R Real Estate Investment Trust. U This security, in part or in entirety, represents an unfunded loan commitment (Note 8). W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.








Delivery date Value




Australian Dollar Buy 10/17/18 $1,873,203 $1,872,482 $721



Euro Buy 12/19/18 3,623,070 3,649,042 (25,972 )





Barclays Bank PLC





Delivery date Value



Barclays Bank PLC cont.

Australian Dollar Sell 10/17/18 $2,198,610 $2,207,190 $8,580



Euro Sell 12/19/18 3,545,441 3,552,418 6,977




New Zealand Dollar Sell 10/17/18 1,142,848 1,127,104 (15,744 )

Swiss Franc Buy 12/19/18 473,095 476,299 (3,204 )

Citibank, N.A.





Danish Krone Buy 12/19/18 1,149,319 1,152,154 (2,835 )

Euro Sell 12/19/18 1,147,247 1,160,249 13,002

Japanese Yen Buy 11/19/18 559,312 570,388 (11,076 )








Euro Sell 12/19/18 2,093,641 2,099,406 5,765




Swiss Franc Buy 12/19/18 1,150,404 1,149,577 827

Swiss Franc Sell 12/19/18 1,135,964 1,153,845 17,881






Euro Sell 12/19/18 862,803 864,848 2,045

Indian Rupee Buy 11/19/18 1,131,919 1,138,987 (7,068 )

Indian Rupee Sell 11/19/18 1,131,919 1,123,101 (8,818 )








Delivery date Value






Canadian Dollar Buy 10/17/18 887,832 890,120 (2,288 )

Euro Sell 12/19/18 2,287,713 2,310,776 23,063


Japanese Yen Sell 11/19/18 982,307 1,002,645 20,338


Swedish Krona Buy 12/19/18 1,151,686 1,166,249 (14,563 )



Australian Dollar Sell 10/17/18 2,348,831 2,352,228 3,397




Euro Sell 12/19/18 2,542,930 2,548,989 6,059




Singapore Dollar Buy 11/19/18 1,053,760 1,058,389 (4,629 )


NatWest Markets PLC




Euro Sell 12/19/18 321,388 322,054 666










Euro Sell 12/19/18 4,786,451 4,798,210 11,759





UBS AG






Delivery date Value



UBS AG cont.

Canadian Dollar Buy 10/17/18 $2,268,025 $2,248,833 $19,192


Euro Sell 12/19/18 4,344,060 4,359,719 15,659










Total $172,215



Number of contracts


Expiration date


MSCI EAFE Index (Long) 40 $3,947,198 $3,951,000 Dec-18 $79,132

Russell 2000 Index E-Mini (Long) 602 51,066,784 51,194,080 Dec-18 (629,866 )













Total $(1,387,046 )



Notional Amount




Total $43,886



AgencyPrincipal



Federal National Mortgage Association, 3.00%, 10/1/48 3,000,000 10/11/18 2,870,390

Total $20,035,078



Upfront premium






$2,355



(8,852 )



20,422


(51,013 )



46,760


(30,374 )



60,476

1,428,300 19,573 E 7,745 12/19/48 3.20%—Semiannually 3 month USD-LIBOR-BBA—Quarterly

(11,827 )

Total $(57,377 ) $27,947




Upfront premium





Barclays Bank PLC$49,042 $48,905 $— 1/12/41 4.00% (1 month USD-


$271



12



(31 )

520 519 — 1/12/40 (5.00%) 1 month USD-LIBOR—Monthly


(4 )



(56 )



2



(61 )



(243 )




Upfront premium





Barclays Bank PLC cont.$20,396 $20,405 $— 1/12/38 (6.50%) 1 month USD-

LIBOR—MonthlySynthetic MBX Index 6.50% 30 year Fannie Mae pools—Monthly

$(47 )

Citibank, N.A.7,106 7,082 — 1/12/41 5.00% (1 month USD-

LIBOR)—MonthlySynthetic MBX Index 5.00% 30 year Fannie Mae pools—Monthly

(14 )

41,701,522 41,954,579 — 11/27/18 3 month USD-LIBOR-BBA plus 0.35%—Quarterly

Russell 1000 Total Return Index—Quarterly

(151,322 )



282,320



(223 )



36

Goldman Sachs International10,467 10,445 — 1/12/42 4.00% (1 month USD-


63

JPMorgan Securities LLC51,136 50,993 — 1/12/41 (4.00%) 1 month USD-

LIBOR—MonthlySynthetic TRS Index 4.00% 30 year Fannie Mae pools—Monthly

(282 )



(64 )








Termi- nation date







Barclays Bank PLC















Termi- nation date



Citigroup Global Markets, Inc. cont.

CMBX NA A.6 Index A/P $1,009 $73,000 $898 5/11/63 200 bp—Monthly $136



Credit Suisse InternationalCMBX NA A.6 Index A/P 4,637 93,000 1,144 5/11/63 200 bp—Monthly 3,524

CMBX NA A.6 Index A/P 51,105 1,007,000 12,386 5/11/63 200 bp—Monthly 39,055





Goldman Sachs InternationalCMBX NA A.6 Index A/P 6,830 104,000 1,279 5/11/63 200 bp—Monthly 5,586





CMBX NA A.6 Index A/P 1,942 258,000 3,173 5/11/63 200 bp—Monthly (1,145 )




CMBX NA A.7 Index A-/P 4,033 80,000 104 1/17/47 200 bp—Monthly 4,164















JPMorgan Securities LLCCMBX NA BB.6 Index BB/P 8,262 39,000 8,143 5/11/63 500 bp—Monthly 151

















Termi- nation date




CMBX NA A.6 Index A/P $8,450 $258,000 $3,173 5/11/63 200 bp—Monthly $5,363






CMBX NA A.7 Index A-/P $4,122 $94,000 $122 1/17/47 200 bp—Monthly $4,276




































Total $680,466 Total $223,603


are believed to be the most recent ratings available at September 30, 2018. “ Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.






Termi- nation date























CMBX NA BB.7 Index (1,059 ) 7,000 885 1/17/47 (500 bp)—Monthly (180 )










CMBX NA BB.6 Index (2,531 ) 18,000 3,758 5/11/63 (500 bp)—Monthly 1,213

CMBX NA BB.6 Index (1,294 ) 9,000 1,879 5/11/63 (500 bp)—Monthly 577















CMBX NA BBB–.7 Index (54 ) 1,000 56 1/17/47 (300 bp)—Monthly 2






Termi- nation date




CMBX NA BB.7 Index $(24,287 ) $140,000 $17,696 1/17/47 (500 bp)—Monthly $(6,708 )












Total $(462,899 ) Total $(115,328 )






Termi- nation date




NA IG Series 31 Index BBB+/P (1,336,154 ) 75,975,000 1,468,293 12/20/23 100 bp—Quarterly 142,690

Total $(2,292,773 ) $165,264


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, 2018. “ Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.


Referenced debt*



Termi- nation date



NA HY Series 31 Index $1,447,855 $20,164,000 $1,474,694 12/20/23 (500 bp)—Quarterly $(35,240 )

Total $1,447,855 $(35,240 )



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 Portfolio’s net assets as of the close of the reporting period:

Valuation inputs


Common stocks*:







Energy 32,946,579 — 2,355

Financials 111,646,356 — —

Health care 82,144,806 — —

Technology 135,234,040 — —
















Warrants 24 — —


Totals by level $639,031,818 $573,686,898 $2,358

Valuation inputs



Futures contracts (1,387,046 ) — —





Credit default contracts — 865,650 —

Totals by level $(1,387,046 ) $(18,825,418 ) $—

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the Portfolio’s net assets and were not considered a significant portion of the fund’s portfolio.





ASSETS












Unrealized appreciation on forward currency contracts (Note 2) 1,113,993




LIABILITIES














Net assets $1,153,096,697


Net assets $1,153,096,697






INVESTMENT INCOME

Interest (net of foreign tax of $1,147) (including interest income of $3,827,550 from investments in affiliated issuers) (Note 5) $13,008,255

Dividends (net of foreign tax of $140,617) 12,641,233





Foreign currency transactions (Note 2) (700)

Forward currency contracts (Note 2) (2,743,694)


Swap contracts (Note 2) 458,278


Net increase from payments by affiliates (Note 4) 7,056



Securities from unaffiliated issuers and TBA sale commitments 9,175,643

Assets and liabilities in foreign currencies (7,603)

Forward currency contracts 37,598




Total change in net unrealized appreciation 6,182,691







9/30/18

Operations:



Net unrealized appreciation of investments and assets and liabilities in foreign currencies 6,182,691


Increase in capital from settlement payments 1,304






NET ASSETS


End of year $1,153,096,697



Sold 40,648,342

Redeemed (26,734,091)





9/30/18






Non-recurring reimbursements (b) —



RATIOS AND SUPPLEMENTAL DATANet assets, end of year (in thousands) $1,153,097



(b) Reflects a non-recurring reimbursement pursuant to a settlement between the Securities and Exchange Commission (the SEC) and Barclay’s Capital Inc. which amounted to less than $0.01 per share outstanding on November 20, 2017.




Putnam Retirement Advantage GAA Balanced Portfolio (the “Portfolio”) is a portfolio established and maintained by Putnam Fiduciary Trust Company, LLC (“PFTC”) as Trustee (the “Trustee” and “Manager”) pursuant to the Declaration of Trust for the Putnam Fiduciary Trust Company Investment Funds for Pension and Profit Sharing Trusts (the “Trust”), as amended and restated March 31, 2008. PFTC has hired its affiliate, The Putnam Advisory Company, LLC (“PAC”), to provide certain non-discretionary investment advisory and administrative services to Putnam in connection with the Portfolio. The Portfolio is diversified across stocks and bonds in global markets and is designed for investors seeking a combination of growth and current income.








Such valuations and procedures are reviewed periodically by the Trustee. 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 Portfolio 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.

Security Transactions and Related Investment Income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are deter-mined on the identified cost basis.





The Portfolio earned certain fees in connection with its senior loan purchasing activities. These fees are treated as market discount and are amor-tized into income in the Statement of operations.




Options Contracts The Portfolio uses options contracts to hedge against changes in values of securities it owns, owned or expects to own.



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 option 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.















To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offset-ting interest rate obligation, the Portfolio 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 in variation margin on the Statement of assets and liabilities 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 Portfolio 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 Portfolio’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 Portfolio 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.


Credit Default Contracts The Portfolio 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.





The Portfolio 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 Portfolio realizes a gain or loss. If the Portfolio delivers securities under the commit-ment, the Portfolio 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.














4. Payments by Affiliates Putnam Investment Management, LLC (“PIM”), an affiliate of PFTC, entered into a settlement agreement with the Securities and Exchange Commission (“SEC”) on September 27, 2018. The settlement agreement states that: (i) a trader formerly employed by PIM engaged in prearranged


trades in certain mortgage-backed securities, (ii) as a result of these undisclosed prearranged trades PIM did not seek best execution, (iii) PIM did not ensure compliance with applicable policies regarding cross-trades and failed to supervise the former employee. The SEC entered a cease and desist order, and PIM paid a $1,000,000 fine and agreed to reimburse the clients that participated in the relevant trades in an aggregate amount of $1,095,006.10. In connection with this settlement, the Portfolio was reimbursed $7,056 by PFTC during the fiscal year.




income











Totals $2,210











Warrants (number of warrants) 200









$2,806,077 * Payables, Net assets —


$1,940,427 *

Foreign exchange contracts Investments, Receivables

1,211,778 Payables 985,664

Equity contracts Investments, Receivables, Net assets —


1,206,507 * Payables, Net assets —


891,124 *

Interest rate contracts Receivables, Net assets —


170,440 * Payables, Net assets —


1,657,164 *

Total $5,394,802 $5,474,379



Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments

Derivatives not accounted for as hedging instruments under ASC 815 Options Futures

Forward currency

contracts Swaps TotalCredit contracts $— $— $— $851,085 $851,085

Foreign exchange contracts (260,908) — (2,743,694) — (3,004,602)

Equity contracts — 11,186,444 — 98,848 11,285,292

Interest rate contracts — (2,667,357) — (491,655) (3,159,012)

Total $(260,908) $8,519,087 $(2,743,694) $458,278 $5,972,763


Forward currency


Foreign exchange contracts — 32,237 — 37,598 — 69,835

Equity contracts (107) — (2,914,999) — 830,046 (2,085,060)

Interest rate contracts — — (1,040,529) — 13,463 (1,027,066)

Total $(107) $32,237 $(3,955,528) $37,598 $954,065 $(2,931,735)




Bank

of A

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, Inc

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USA

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Assets:


OTC Total return swap contracts*# — 285 — 282,320 — 36 63 —

Centrally cleared total return swap contracts§ — — 2,110 — — — — —

OTC Credit default contracts - protection sold*# — — — — — — 147 —





Total Assets $47,790 $44,198 $10,617 $372,429 $57,223 $157,869 $460,086 $89,018

Liabilities:

OTC Interest rate swap contracts*# — — — — — — — —


OTC Total return swap contracts*# — 442 — 151,336 — 223 — —

Centrally cleared total return swap contracts§ — — 4,115 — — — — —

OTC Credit default contracts - protection sold*# 3,170 1,526 — — 39,047 52,071 178,450 —




Written options# — — — — — — 43,886 —


Total Financial and Derivative Net Assets $(19,390) $(8,954) $(2,054) $126,863 $18,008 $17,332 $121,378 $12,507

Total collateral received (pledged)##† $— $(8,954) $— $50,000 $— $17,332 $110,000 $—

Net amount $(19,390) $— $(2,054) $76,863 $18,008 $— $11,378 $12,507

Controlled collateral received (including TBA commitments)** $— $— $— $50,000 $— $30,000 $110,000 $—


Collateral (pledged) (including TBA commitments)** $— $(41,899) $— $— $— $— $— $—



JPM

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Bank

N.A

.

JPM

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LC

Mer

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Mer

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AG

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Total

$— $— $— $— $— $— $— $— $— $8,507

— — — — — — — — — 282,704

— — — — — — — — — 2,110

— 154 — — — — — — — 301

— 89,756 30,867 — 40,003 — — — — 347,739

— — — 356,747 — — — — — 356,747

77,373 — — — — 51,321 183,889 133,950 6,596 1,113,993

— — — — — — — — — 97,785

$77,373 $89,910 $30,867 $356,747 $40,003 $51,321 $183,889 $133,950 $6,596 $2,209,886

— — — — — — — — — —

— — — — — — — — — 8,556

— 346 — — — — — — — 152,347

— — — — — — — — — 4,115

— 115,382 11,137 — 56,381 — — — — 457,164

— — — — — — — — — 168

— — — 176,438 — — — — — 176,438

91,206 — — — — 101,349 95,243 124,165 39,265 941,778

— — — — — — — — — 43,886

$91,206 $115,728 $11,137 $176,438 $56,381 $101,349 $95,243 $124,165 $39,265 $1,784,452

$(13,833) $(25,818) $19,730 $180,309 $(16,378) $(50,028) $88,646 $9,785 $(32,669) $425,434

$— $— $— $— $— $— $— $(121,707) $—

$(13,833) $(25,818) $19,730 $180,309 $(16,378) $(50,028) $88,646 $131,492 $(32,669)

$— $— $— $— $— $— $— $— $— $190,000

$— $— $— $— $— $— $— $— $— $—

$— $(282,915) $— $— $— $— $— $(121,707) $— $(446,521)



(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $3,941,721 and $1,896,499, respectively.



BB6 12/2018


1-800-225-1581

putnam.com

Putnam Retirement Advantage GAA Conservative Portfolio


Putnam Retirement Advantage GAA Conservative Portfolio E-2

Table of contentsReport of Independent Auditors ……………………………………… E-4

The fund’s portfolio …………………………………………………… E-5

Statement of assets and liabilities …………………………………… E-52

Statement of operations ……………………………………………… E-53

Statement of changes in net assets …………………………………… E-54

Financial highlights …………………………………………………… E-55

Notes to financial statements ………………………………………… E-56






To the Trustee of Putnam Retirement Advantage GAA Conservative Portfolio

We have audited the accompanying financial statements of Putnam Retirement Advantage GAA Conservative Portfolio (the “Portfolio”), which comprise the statement of assets and liabilities, including the portfolio, as of September 30, 2018 and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements".




Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Putnam Retirement Advantage GAA Conservative Portfolio as of September 30, 2018, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

December 14, 2018













Cabot Corp. 1,534 96,212




Domtar Corp. 2,255 117,643














Univar, Inc. 2,230 68,372


W.R. Grace & Co. 2,817 201,303


6,643,721



AECOM 2,831 92,460




Boeing Co. (The) 7,484 2,783,300


Crown Holdings, Inc. 767 36,816

Cummins, Inc. 4,619 674,697



General Dynamics Corp. 221 45,243




Capital goods cont.

Hitachi, Ltd. (Japan) 13,200 $448,580



Ingersoll-Rand PLC 6,234 637,738


Lockheed Martin Corp. 2,249 778,064



Raytheon Co. 3,562 736,123








12,670,390



AT&T, Inc. 1,284 43,117


KDDI Corp. (Japan) 17,500 483,625





Zayo Group Holdings, Inc. 436 15,138

4,190,430


AMETEK, Inc. 3,732 295,276

Danaher Corp. 815 88,558



1,109,407



Amazon.com, Inc. 1,138 2,279,414

Aramark 137 5,894


Automatic Data Processing, Inc. 4,994 752,396





Carnival Corp. 9,681 617,357






Dollar General Corp. 2,848 $311,286


Ecolab, Inc. 116 18,186




Ford Motor Co. 79,904 739,113


Hermes International (France) 641 424,824







Kimberly-Clark Corp. 543 61,707



Lowe’s Cos., Inc. 744 85,426

lululemon athletica, Inc. (Canada) 5,036 818,300




Michael Kors Holdings, Ltd. 8,274 567,265








PVH Corp. 4,350 628,140



Ross Stores, Inc. 9,358 927,378

Royal Caribbean Cruises, Ltd. 5,345 694,529

RTL Group SA (Belgium) 910 64,950




Sony Corp. (Japan) 6,500 398,635

Suzuki Motor Corp. (Japan) 900 51,567

Tapestry, Inc. 1,329 66,809


Tiffany & Co. 5,021 647,558

TJX Cos., Inc. (The) 825 92,417




Toll Brothers, Inc. 7,279 $240,425


Toyota Motor Corp. (Japan) 11,400 712,092

TUI AG (Germany) 13,291 255,302


VF Corp. 5,435 507,901





Worldpay, Inc. Class A 369 37,369


24,043,124


Altria Group, Inc. 330 19,902





Coca-Cola Co. (The) 30,485 1,408,102



Constellation Brands, Inc. Class A 351 75,683

Estee Lauder Cos., Inc. (The) Class A 4,657 676,755

Hershey Co. (The) 4,564 465,528





Kao Corp. (Japan) 2,000 161,535






LKQ Corp. 6,034 191,097



McDonald’s Corp. 547 91,508


Mondelez International, Inc. Class A 22,248 955,774

Monster Beverage Corp. 575 33,511


PepsiCo, Inc. 15,518 1,734,913






Procter & Gamble Co. (The) 4,840 $402,834


Sysco Corp. 11,825 866,182

US Foods Holding Corp. 733 22,591

Walgreens Boots Alliance, Inc. 12,795 932,756




13,041,656

Energy (2.0%)



Exxon Mobil Corp. 918 78,048

Halcon Resources Corp. 537 2,400

Halliburton Co. 22,232 901,063

Marathon Petroleum Corp. 693 55,419



ONEOK, Inc. 5,207 352,983


Phillips 66 210 23,671



TOTAL SA (France) 11,446 742,366


Williams Cos., Inc. (The) 25,412 690,952

8,882,229

Financials (6.8%)






Allstate Corp. (The) 544 53,693


American Express Co. 832 88,600



Ameriprise Financial, Inc. 4,049 597,875




Assurant, Inc. 2,250 242,888




BB&T Corp. 68 3,301



Financials cont.

Berkshire Hathaway, Inc. Class B 10 $2,141





Camden Property Trust R 172 16,094

Capital One Financial Corp. 6,464 613,628



Chimera Investment Corp. R 636 11,531

CIT Group, Inc. 6,608 341,039

Citigroup, Inc. 38,418 2,756,107

CME Group, Inc. 214 36,425


Corporate Office Properties Trust R 239 7,129




DNB ASA (Norway) 15,734 330,879



E*Trade Financial Corp. 12,779 669,492


EPR Properties R 221 15,119








Hang Seng Bank, Ltd. (Hong Kong) 12,400 336,904


HCP, Inc. R 10,605 279,124












Life Storage, Inc. R 914 86,976



Financials cont.

Lincoln National Corp. 4,614 $312,183


Loews Corp. 7,221 362,711



MetLife, Inc. 12,703 593,484

MFA Financial, Inc. R 809 5,946


Morgan Stanley 20,363 948,305

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 825 182,784




Old Republic International Corp. 796 17,814

ORIX Corp. (Japan) 25,400 411,910






Piedmont Office Realty Trust, Inc. Class A R 340 6,436

PNC Financial Services Group, Inc. (The) 544 74,087



Prudential Financial, Inc. 6,967 705,896


Regions Financial Corp. 37,950 696,383


RenaissanceRe Holdings, Ltd. 769 102,723




Schroders PLC (United Kingdom) 893 36,042











SunTrust Banks, Inc. 444 29,655





Financials cont.

Synovus Financial Corp. 2,154 $98,632

Travelers Cos., Inc. (The) 245 31,779

Two Harbors Investment Corp. R 605 9,033

U.S. Bancorp 13,550 715,575

UDR, Inc. R 421 17,021



WP Carey, Inc. R 917 58,972

30,239,642

Health care (5.0%)

AbbVie, Inc. 6,441 609,189

ABIOMED, Inc. 1,649 741,638

Akorn, Inc. 470 6,101



Amgen, Inc. 5,336 1,106,099

Anthem, Inc. 4,962 1,359,836


Baxter International, Inc. 9,359 721,485

Biogen, Inc. 1,108 391,468

Boston Scientific Corp. 18,338 706,014





Cigna Corp. 4,423 921,090



Eli Lilly & Co. 11,317 1,214,427


Gilead Sciences, Inc. 8,058 622,158

GlaxoSmithKline PLC (United Kingdom) 30,024 601,700

Hill-Rom Holdings, Inc. 912 86,093

Humana, Inc. 2,794 945,825


Ipsen SA (France) 666 112,011


Koninklijke Philips NV (Netherlands) 705 32,128

McKesson Corp. 4,989 661,791


Merck & Co., Inc. 17,870 1,267,698


Novartis AG (Switzerland) 9,527 823,176


Pfizer, Inc. 17,973 792,070

Roche Holding AG (Switzerland) 3,150 766,700



Health care cont.

Shionogi & Co., Ltd. (Japan) 5,600 $366,020









Zoetis, Inc. 4,656 426,303

21,946,767

Technology (7.8%)

Agilent Technologies, Inc. 9,349 659,478



Amdocs, Ltd. 3,901 257,388

Apple, Inc. 13,665 3,084,737


Avaya Holdings Corp. 643 14,236



CA, Inc. 6,775 299,116



CDK Global, Inc. 302 18,893



Cognizant Technology Solutions Corp. Class A 9,929 766,022

Corning, Inc. 284 10,025



eBay, Inc. 1,990 65,710

F5 Networks, Inc. 2,866 571,537



Fiserv, Inc. 470 38,719

Fortinet, Inc. 8,060 743,696


Genpact, Ltd. 250 7,653

Harris Corp. 252 42,641

Hoya Corp. (Japan) 7,200 427,873

HP, Inc. 28,550 735,734

IBM Corp. 6,812 1,030,043

Intuit, Inc. 5,476 1,245,242

Jabil, Inc. 3,361 91,016




Technology cont.

KLA-Tencor Corp. 4,842 $492,480


Maxim Integrated Products, Inc. 473 26,672


MSCI, Inc. 1,403 248,906

NetApp, Inc. 10,409 894,029





NVIDIA Corp. 9,654 2,712,967

Oracle Corp. 35,207 1,815,273

Palo Alto Networks, Inc. 3,267 735,924

Red Hat, Inc. 4,671 636,564


Synopsys, Inc. 3,396 334,880

Texas Instruments, Inc. 5,562 596,747


34,966,363




Copa Holdings SA Class A (Panama) 972 77,604

Delta Air Lines, Inc. 17,043 985,597







Norfolk Southern Corp. 354 63,897

3,322,535


AES Corp. 17,326 242,564

Ameren Corp. 4,770 301,559






Duke Energy Corp. 658 52,653


Enel SpA (Italy) 77,718 398,269


Eni SpA (Italy) 25,103 474,736

Entergy Corp. 7,514 609,611

Evergy, Inc. 2,873 157,785




Exelon Corp. 819 $35,758

Kinder Morgan, Inc. 40,925 725,600

NRG Energy, Inc. 13,719 513,091




UGI Corp. 5,288 293,378

5,838,098





3.50%, TBA, 10/1/48 $10,000,000 $9,940,625


21,932,688



4.00%, 5/1/48 2,925,108 2,955,274

3.00%, 2/1/47 1,785,317 1,710,209


6.00%, TBA, 10/1/48 3,000,000 3,243,047

4.00%, 1/1/57 346,127 350,602

4.00%, TBA, 11/1/48 9,000,000 9,075,235

4.00%, TBA, 10/1/48 15,000,000 15,145,313


3.50%, TBA, 10/1/48 1,000,000 984,063


3.00%, TBA, 10/1/48 1,000,000 956,797


3.00%, TBA, 10/1/33 7,000,000 6,914,141

69,561,731















Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 $80,000 $81,576











































Packaging Corp. of America sr. unsec. unsub. notes 4.50%, 11/1/23 $20,000 $20,567
























3,673,693




















Capital goods cont.

Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 $20,000 $19,015



Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 45,000 42,832


















United Technologies Corp. sr. unsec. unsub. notes 1.90%, 5/4/20 593,000 580,945


Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22, ‡‡ 15,000 15,338




2,715,510














Charter Communications Operating, LLC/Charter Communications Operating Capital C company guaranty sr. sub. bonds 5.375%, 5/1/47 167,000 158,233





Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 $6,000 $5,340















































Vodafone Group PLC sr. unsec. unsub. notes 4.375%, 5/30/28 (United Kingdom) $135,000 $133,006


5,576,802


Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 2.20%, 3/16/20 (Netherlands) 907,000 894,410

894,410




















CBS Corp. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/26 1,000 980


Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 10,000 10,050
















Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 $10,000 $10,069







Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 10,000 9,719



































Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) $25,000 $24,500






































Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 $65,000 $60,369

6,695,844

















Diageo Investment Corp. company guaranty sr. unsec. notes 8.00%, 9/15/22 16,000 18,612























Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.30%, 11/18/21 $45,000 $44,717

3,666,524

Energy (2.1%)







































Energy cont.

Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity $265,000 $253,738













Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 655,000 641,985


Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 70,000 70,700
























Energy cont.

Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) $909,000 $926,945




































Energy cont.

Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 $155,000 $155,894





9,135,907

Financials (5.5%)















Bank of America Corp. sr. unsec. unsub. FRN 3.004%, 12/20/23 260,000 252,313


























Financials cont.

Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 $45,000 $45,298




















Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 960,000 945,943

























Financials cont.

KeyCorp sr. unsec. unsub. notes Ser. MTN, 1.86%, 12/13/18 $228,000 $228,003




MetLife, Inc. jr. unsec. sub. notes 6.40%, 12/15/36 25,000 26,500














Nordea Bank AB 144A sr. unsec. notes 2.50%, 9/17/20 (Finland) 240,000 236,310






Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 538,000 532,363



















Financials cont.

VEREIT Operating Partnership LP company guaranty sr. unsec. unsub. bonds 4.875%, 6/1/26 R $25,000 $25,250











24,107,828

Health care (1.7%)





























CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 1,073,000 1,067,859




Health care cont.

Elanco Animal Health, Inc. 144A sr. unsec. notes 4.90%, 8/28/28 $403,000 $409,166











Omnicare, Inc. company guaranty sr. unsec. sub. notes 4.75%, 12/1/22 64,000 65,971









UnitedHealth Group, Inc. sr. unsec. unsub. bonds 4.25%, 4/15/47 140,000 140,485









7,328,295

Technology (1.5%)















Technology cont.

Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 $145,000 $134,107

































6,674,154










Transportation cont.

Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 $40,000 $40,800

559,195






Appalachian Power Co. sr. unsec. unsub. notes 4.60%, 3/30/21 20,000 20,515


Berkshire Hathaway Energy Co. sr. unsec. bonds 3.80%, 7/15/48 125,000 112,914






Consolidated Edison, Inc. sr. unsec. unsub. notes Ser. A, 2.00%, 3/15/20 289,000 283,901































PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 3.40%, 6/1/23 $5,000 $4,912




3,442,780





Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M2, (1 Month US LIBOR + 2.85%), 5.066%, 4/25/28 $301,868 $312,388


Ser. 4546, Class PI, IO, 4.00%, 12/15/45 203,799 45,377

Ser. 4193, Class PI, IO, 4.00%, 3/15/43 47,000 6,772

Ser. 4096, Class MI, IO, 4.00%, 1/15/42 299,506 54,016

Ser. 4134, Class PI, IO, 3.00%, 11/15/42 167,849 19,816








Ser. 11-135, Class DI, IO, 5.00%, 4/16/40 522,068 125,118

Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 27,993 6,335

Ser. 17-139, Class NI, IO, 4.50%, 9/20/47 699,899 159,227

Ser. 17-123, Class JI, IO, 4.00%, 8/20/46 621,947 103,085

Ser. 16-135, Class PI, IO, 4.00%, 5/20/46 635,915 123,902

Ser. 14-116, Class IL, IO, 4.00%, 8/20/44 502,113 88,472


Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 1,190,955 149,524

Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 114,906 9,376

Ser. 16-H16, Class EI, IO, 2.206%, 6/20/66 W 635,110 71,069

Ser. 15-H25, Class BI, IO, 1.539%, 10/20/65 W 325,682 29,409

1,815,928


Citigroup Commercial Mortgage Trust

Ser. 14-GC21, Class AS, 4.026%, 5/10/47 103,000 104,415








COMM Mortgage Trust

FRB Ser. 14-CR17, Class C, 4.898%, 5/10/47 W $78,000 $77,780

Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W 83,000 85,824

Ser. 13-CR13, Class AM, 4.449%, 11/10/46 W 164,000 169,244

Ser. 12-LC4, Class AM, 4.063%, 12/10/44 82,000 82,849

Ser. 12-CR1, Class AM, 3.912%, 5/15/45 225,000 226,428

Ser. 12-CR2, Class AM, 3.791%, 8/15/45 70,000 71,034

Ser. 13-LC6, Class AM, 3.282%, 1/10/46 258,000 254,182








FRB Ser. 14-UBS6, Class XA, IO, 1.111%, 12/10/47 W 613,122 24,843




Ser. 15-LC19, Class D, 2.867%, 2/10/48 139,000 119,536


CSAIL Commercial Mortgage Trust

FRB Ser. 15-C1, Class C, 4.44%, 4/15/50 W 222,000 220,344

Ser. 15-C1, Class AS, 3.791%, 4/15/50 W 148,000 146,373




GS Mortgage Securities Trust 144A FRB Ser. 10-C1, Class D, 6.197%, 8/10/43 W 136,000 137,083


Ser. 13-C15, Class B, 4.927%, 11/15/45 W 73,000 76,168

FRB Ser. 14-C22, Class C, 4.71%, 9/15/47 W 134,000 129,804




FRB Ser. 12-C6, Class D, 5.312%, 5/15/45 W 87,000 84,840


Ser. 13-LC11, Class AS, 3.216%, 4/15/46 135,000 131,913

LB-UBS Commercial Mortgage Trust FRB Ser. 08-C1, Class AM, 6.319%, 4/15/41 W 5,070 5,266


FRB Ser. 14-C17, Class C, 4.614%, 8/15/47 W 249,000 241,280

Ser. 14-C18, Class C, 4.489%, 10/15/47 W 122,000 120,120

FRB Ser. 13-C7, Class C, 4.255%, 2/15/46 W 158,000 155,542

Ser. 12-C5, Class AS, 3.792%, 8/15/45 88,000 87,846

Ser. 13-C8, Class B, 3.697%, 12/15/48 W 28,000 27,611

Ser. 12-C6, Class AS, 3.476%, 11/15/45 158,000 157,053

Morgan Stanley Capital I Trust FRB Ser. 16-BNK2, Class XB, IO, 0.679%, 11/15/49 W 1,856,000 73,834





Ser. 12-C4, Class C, 5.601%, 3/15/45 W $140,000 $137,596

FRB Ser. 12-C4, Class D, 5.601%, 3/15/45 W 125,000 118,231


UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C2, Class D, 5.05%, 5/10/63 W 55,000 51,297





Ser. 12-LC5, Class AS, 3.539%, 10/15/45 81,000 80,876


Ser. 13-C18, Class AS, 4.387%, 12/15/46 W 125,000 127,773

Ser. 14-C19, Class AS, 4.271%, 3/15/47 60,000 60,975

Ser. 12-C8, Class AS, 3.66%, 8/15/45 173,000 173,793

Ser. 13-C12, Class AS, 3.56%, 3/15/48 36,000 35,771

Ser. 13-C11, Class AS, 3.311%, 3/15/45 37,000 36,913




FRB Ser. 11-C3, Class D, 5.865%, 3/15/44 W 99,000 87,661

FRB Ser. 11-C5, Class E, 5.862%, 11/15/44 W 100,000 99,005

FRB Ser. 11-C2, Class D, 5.839%, 2/15/44 W 79,000 78,093

FRB Ser. 12-C10, Class D, 4.59%, 12/15/45 W 113,000 97,533

6,181,404




Countrywide Asset-Backed Certificates FRB Ser. 05-8, Class M4, (1 Month US LIBOR + 0.93%), 3.146%, 12/25/35 80,000 80,594





Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2, (1 Month US LIBOR + 4.25%), 6.466%, 11/25/23 231,622 258,262















Merrill Lynch Mortgage Investors Trust

FRB Ser. 05-A2, Class A2, 3.539%, 2/25/35 W 70,113 71,455

FRB Ser. 05-A10, Class A, (1 Month US LIBOR + 0.21%), 2.426%, 2/25/36 188,622 183,039






















4,537,227










ASSET-BACKED SECURITIES (0.8%)* cont. Principal amount Value

Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 2.816%, 1/25/46 $382,253 $380,303



Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) $705,000 $629,213








Ivory Coast (Republic of) sr. unsec. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) 120,000 132,253

Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 3/13/28 (Senegal) EUR 100,000 112,257

Russia (Federation of) 144A sr. unsec. unsub. bonds 4.375%, 3/21/29 (Russia) $200,000 192,000





SPDR S&P 500 ETF Trust 8,673 2,521,415

SPDR S&P MidCap 400 ETF Trust 890 327,039




UBS AG/London 144A sr. notes 1-month LIBOR less 0.25%, 2019 (Indexed to the S&P GSCI Total Return Commodity Index multiplied by 3) (United Kingdom) 120,000 157,212












SENIOR LOANS (0.1%)* c cont. Principal amount Value

GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 5.105%, 5/31/25 $8,851 $8,856













Total senior loans (cost $555,190) $551,221



Notional amount





















U.S. Treasury Bills 2.159%, 12/13/18 #Ф $335,999 334,556

U.S. Treasury Bills 2.140%, 12/6/18 §Ф 145,000 144,441

U.S. Treasury Bills 2.122%, 11/23/18 #§ 72,000 71,780

U.S. Treasury Bills 2.061%, 11/15/18 #§Ф 154,001 153,611

U.S. Treasury Bills 2.090%, 11/8/18 #§Ф 476,001 474,968


U.S. Treasury Bills 2.022%, 11/1/18 #∆§ 685,000 683,829


U.S. Treasury Bills 1.977%, 10/4/18 #§Ф 2,968,000 2,967,520


TOTAL INVESTMENTS


Key to holding’s currency abbreviationsCNH Chinese Yuan (Offshore)EUR EuroUSD/$ United States Dollar

Key to holding’s abbreviationsARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting periodBKNT Bank Notebp Basis PointsDAC Designated Activity CompanyETF Exchange Traded FundFRB 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


certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.GDR Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bankGMTN Global Medium Term NotesIFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates


IO Interest OnlyMTN Medium Term NotesOJSC Open Joint Stock CompanyOTC Over-the-counterREGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a



* Percentages indicated are based on net assets of $440,419,326.††† The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple










R Real Estate Investment Trust. U This security, in part or in entirety, represents an unfunded loan commitment (Note 8). W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.








Delivery date Value




Australian Dollar Buy 10/17/18 $179,238 $176,858 $2,380

British Pound Buy 12/19/18 646,614 664,932 (18,318 )

Canadian Dollar Buy 10/17/18 1,006 950 56

Euro Buy 12/19/18 1,274,095 1,305,145 (31,050 )

Japanese Yen Buy 11/19/18 366,718 351,234 15,484




Barclays Bank PLC






Euro Sell 12/19/18 134,214 134,897 683






Swiss Franc Sell 12/19/18 6,704 6,749 45

Citibank, N.A.







Delivery date Value



Citibank, N.A. cont.

Canadian Dollar Sell 10/17/18 $411,798 $411,095 $(703 )

Danish Krone Sell 12/19/18 2,510 2,516 6

Euro Sell 12/19/18 325,948 329,642 3,694









Euro Sell 12/19/18 328,403 329,429 1,026


New Zealand Dollar Sell 10/17/18 156,738 157,069 331

Norwegian Krone Sell 12/19/18 12,321 11,949 (372 )

Swiss Franc Buy 12/19/18 327,258 327,022 236

Swiss Franc Sell 12/19/18 323,235 328,323 5,088



Australian Dollar Sell 10/17/18 1,947,301 1,946,611 (690 )



Euro Sell 12/19/18 476,762 477,893 1,131

Indian Rupee Buy 11/19/18 322,067 324,078 (2,011 )

Indian Rupee Sell 11/19/18 322,067 319,558 (2,509 )




Swedish Krona Buy 12/19/18 998,607 986,329 12,278





Euro Sell 12/19/18 651,662 658,225 6,563





Swedish Krona Buy 12/19/18 327,431 331,571 (4,140 )




Delivery date Value




Australian Dollar Buy 10/17/18 $255,216 $264,340 $(9,124 )

British Pound Buy 12/19/18 187,963 188,242 (279 )

Canadian Dollar Buy 10/17/18 325,817 325,390 427


Euro Sell 12/19/18 2,517,093 2,524,092 6,999





Singapore Dollar Sell 11/19/18 15,312 15,379 67


Swiss Franc Buy 12/19/18 574,686 587,212 (12,526 )

NatWest Markets PLC




Euro Sell 12/19/18 95,867 96,065 198



Norwegian Krone Buy 12/19/18 165,830 166,322 (492 )





British Pound Sell 12/19/18 65,447 65,163 (284 )


Euro Sell 12/19/18 1,393,929 1,397,353 3,424



Norwegian Krone Buy 12/19/18 1,005,765 986,426 19,339


UBS AG


Australian Dollar Sell 10/17/18 328,880 323,863 (5,017 )




Euro Sell 12/19/18 1,213,535 1,217,952 4,417

Japanese Yen Buy 11/19/18 89,558 91,425 (1,867 )


Swedish Krona Sell 12/19/18 20,096 19,732 (364 )




Delivery date Value








Total $23,222



Number of contracts


Expiration date


MSCI EAFE Index (Short) 128 $12,631,034 $12,643,200 Dec-18 $(62,245 )

Russell 2000 Index E-Mini (Long) 117 9,924,940 9,949,680 Dec-18 (122,764 )











Total $(1,347,138 )



Notional Amount




Total $12,467


AgencyPrincipal



Total $15,145,313



Upfront premium






$1,102



(6,490 )



16,134


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/18 cont.


Upfront premium






$(24,768 )



35,211


(15,536 )



47,351

690,300 9,460 E 3,743 12/19/48 3.20%—Semiannually 3 month USD-LIBOR-BBA—Quarterly

(5,716 )

Total $(25,605 ) $47,288




Upfront premium





Barclays Bank PLC$1,208 $1,205 $— 1/12/42 4.00% (1 month USD-


$7



74



(10 )



2



1



(20 )



(73 )



(13 )

Citibank, N.A.13,309,577 13,390,343 — 11/27/18 3 month USD-LIBOR-BBA

plus 0.35%—QuarterlyRussell 1000 Total Return Index—Quarterly

(48,296 )



89,722



(97 )



13




Upfront premium





Goldman Sachs International$3,048 $3,042 $— 1/12/42 4.00% (1 month USD-


$18



18



64

JPMorgan Securities LLC22,176 22,207 — 1/12/44 4.00% (1 month USD-


210



(76 )



(44 )








Termi- nation date








Barclays Bank PLC
























Termi- nation date



Credit Suisse International cont.


























CMBX NA BBB–.7 Index BBB–/P 1,278 15,000 846 1/17/47 300 bp—Monthly 439

















CMBX NA BB.6 Index BB/P 969 4,000 835 5/11/63 500 bp—Monthly 137











Termi- nation date




CMBX NA BBB–.6 Index BBB–/P $1,750 $14,000 $1,651 5/11/63 300 bp—Monthly $106





























Total $453,404 Total $180,470

* 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, 2018. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.





Termi- nation date




CMBX NA A.7 Index $(1,001 ) $135,000 $176 1/17/47 (200 bp)—Monthly $(1,221 )












Termi- nation date



Citigroup Global Markets, Inc. cont.




















CMBX NA BB.9 Index (1,118 ) 7,000 969 9/17/58 (500 bp)—Monthly (155 )
















CMBX NA BBB–.7 Index (855 ) 10,000 564 1/17/47 (300 bp)—Monthly (296 )
















Termi- nation date



Morgan Stanley & Co. International PLC cont.




Total $(257,031 ) Total $(66,992 )






Termi- nation date




NA IG Series 31 Index BBB+/P (1,062,065 ) 60,390,000 1,167,097 12/20/23 100 bp—Quarterly 113,419

Total $(1,476,746 ) $123,205


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, 2018. Securities rated by Fitch are indicated by “/F.” Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.


Referenced debt*



Termi- nation date



NA HY Series 31 Index $569,262 $7,928,000 $579,814 12/20/23 (500 bp)—Quarterly $(13,855 )

Total $569,262 $(13,855 )






Valuation inputs


Common stocks*:







Energy 8,882,229 — —


Health care 21,946,767 — —




Total common stocks 166,894,201 161 —





Corporate bonds and notes — 74,470,942 —






Senior loans — 551,221 —


Warrants 15 — —


Totals by level $169,952,506 $319,038,150 $—

Valuation inputs



Futures contracts (1,347,138 ) — —





Credit default contracts — 933,939 —

Totals by level $(1,347,138 ) $(14,086,226 ) $—

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.





ASSETS

Investment in securities, at value, (Notes 2 and 10):














LIABILITIES














Net assets $440,419,326


Net assets $440,419,326






INVESTMENT INCOME

Interest (net of foreign tax of $322 ) (including interest income of $2,034,419 from investments in affiliated issuers) (Note 5) $6,492,386






Foreign currency transactions (Note 2) 9,748

Forward currency contracts (Note 2) (643,189)

Futures contracts (Note 2) (4,847,776)

Swap contracts (Note 2) (704,196)


Net increase from payments by affiliates (Note 4) 810



Securities from unaffiliated issuers and TBA sale commitments 309,541






Total change in net unrealized depreciation (439,332)







9/30/18

Operations:



Net unrealized depreciation of investments and assets and liabilities in foreign currencies (439,332)







NET ASSETS


End of year $440,419,326



Sold 18,784,333

Redeemed (11,644,827)





9/30/18














Putnam Retirement Advantage GAA Conservative Portfolio (the “Portfolio”) is a portfolio established and maintained by Putnam Fiduciary Trust Company, LLC (“PFTC”) as Trustee (the “Trustee” and “Manager”) pursuant to the Declaration of Trust for the Putnam Fiduciary Trust Company Investment Funds for Pension and Profit Sharing Trusts (the “Trust”), as amended and restated March 31, 2008. PFTC has hired its affiliate, The Putnam Advisory Company, LLC (“PAC”), to provide certain non-discretionary investment advisory and administrative services to Putnam in connection with the Portfolio. The Portfolio is globally diversified and emphasizes bonds over stocks. It is designed for investors who want to protect the value of their investment while receiving regular income and protection against inflation.




















Options Contracts The Portfolio uses options contracts to hedge against changes in values of securities it owns, owned or expects to own.



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 option 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.















To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offset-ting interest rate obligation, the Portfolio 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 in variation margin on the Statement of assets and liabilities 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 Portfolio 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 Portfolio’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 Portfolio 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.


Credit Default Contracts The Portfolio entered into OTC and/or centrally cleared credit default contracts to hedge market risk, to hedge credit risk and to gain exposure on individual names and/or baskets of securities.












With respect to ISDA Master Agreements, termination events applicable to the Portfolio may occur upon a decline in the Portfolio’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 coun-terparty’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 Portfolio’s counterparties to elect early termination could impact the Portfolio ‘s future derivative activity.







4. Payments by Affiliates Putnam Investment Management, LLC (“PIM”), an affiliate of PFTC, entered into a settlement agreement with the Securities and Exchange Commission (“SEC”) 0n September 27, 2018. The settlement agreement states that: (i) a trader formerly employed by PIM engaged in prearranged


trades in certain mortgage-backed securities, (ii) as a result of these undisclosed prearranged trades PIM did not seek best execution, (iii) PIM did not ensure compliance with applicable policies regarding cross-trades and failed to supervise the former employee. The SEC entered a cease and desist order, and PIM paid a $1,000,000 fine and agreed to reimburse the clients that participated in the relevant trades in an aggregate amount of $1,095,006. In connection with this settlement, the Portfolio was reimbursed $810 by PFTC during the fiscal year.




income




Putnam Money Market Portfolio * $95,802,364 $159,059,100 $128,765,130 $2,034,419 $126,096,334








Total $1,105




















$1,790,732 * Payables, Net assets — Unrealized

depreciation

$856,793 *

Foreign exchange contracts Investments, Receivables 362,765 Payables 324,231



411,087 * Payables, Net assets — Unrealized

depreciation

591,821 *

Interest rate contracts Receivables, Net assets — Unrealized

appreciation


depreciation

1,168,690 *

Total $2,681,278 $2,941,535




Derivatives not accounted for as hedging instruments under ASC 815 Options Futures

Forward currency


Foreign exchange contracts (76,280) — (643,189) — (719,469)

Equity contracts — (2,437,029) — 72,832 (2,364,197)

Interest rate contracts — (2,410,747) — (1,549,484) (3,960,231)

Total $(76,280) $(4,847,776) $(643,189) $(704,196) $(6,271,441)


Forward currency


Foreign exchange contracts — 9,416 — (46,391) — (36,975)

Equity contracts (65) — (456,193) — 220,514 (235,744)

Interest rate contracts — — (621,728) — 47,122 (574,606)

Total $(65) $9,416 $(1,077,921) $(46,391) $384,292 $(730,669)




Bank

of A

mer

ica

N.A

.

Barc

lays

Ban

k PL

C

Barc

lays

Cap

ital,

Inc.

(cle

arin

g br

oker

)

Citib

ank,

N.A

.

Citig

roup

Glo

bal

Mar

kets

, Inc

.

Cred

it Su

isse

In

tern

atio

nal

Gold

man

Sac

hs

Inte

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iona

l

HSB

C Ba

nk

USA

, Nat

iona

l As

soci

atio

n

Assets:


OTC Total return swap contracts*# — 84 — 89,722 — 13 100 —

OTC Credit default contracts - protection sold*# — — — — — 513 9 —






Total Assets $22,746 $54,360 $10,600 $115,426 $29,795 $61,499 $127,874 $23,825

Liabilities:


OTC Total return swap contracts*# — 116 — 48,296 — 97 — —

OTC Credit default contracts - protection sold*# 1,760 469 — — 23,859 30,342 93,269 —





Written options# — — — — — — 12,467 —


Total Financial and Derivative Net Assets $(41,797) $28,815 $3,575 $46,828 $5,716 $14,064 $(11,089) $2,633

Total collateral received (pledged)##† $— $— $— $10,000 $— $— $(11,089) $—

Net amount $(41,797) $28,815 $3,575 $36,828 $5,716 $14,064 $— $2,633

Controlled collateral received (including TBA commitments)** $— $— $— $10,000 $— $— $— $—


Collateral (pledged) (including TBA commitments)** $— $— $— $— $— $— $(32,934) $—



JPM

orga

n Ch

ase

Bank

N.A

.

JPM

orga

n Se

curit

ies L

LC

Mer

rill L

ynch

In

tern

atio

nal

Mer

rill L

ynch

, Pi

erce

, Fen

ner &

Sm

ith, I

nc.

Mor

gan

Stan

ley

& Co

. In

tern

atio

nal P

LC

Nat

Wes

t M

arke

ts P

LC

Stat

e St

reet

Ban

k an

d Tr

ust C

o.

UBS

AG

Wes

tPac

Ban

king

Co

rp.

Total

$— $— $— $— $— $— $— $— $— $9,130

— 210 — — — — — — — 90,129

— — — — — — — — — 522

— 46,836 22,712 — 24,185 — — — — 190,259

— — — — — — — — — 1,470

— — — 207,151 — — — — — 207,151

40,449 — — — — 14,707 39,471 17,810 1,770 334,986

— — — — — — — — — 27,779

$40,449 $47,046 $22,712 $207,151 $24,185 $14,707 $39,471 $17,810 $1,770 $861,426

— — — — — — — — — 5,794

— 120 — — — — — — — 48,629

— 84,309 7,221 — 32,227 — — — — 273,456

— — — — — — — — — 220

— — — — — — — — — 1,231

— — — 33,747 — — — — — 33,747

48,777 — — — — 30,331 21,348 20,280 11,568 311,764

— — — — — — — — — 12,467

$48,777 $84,429 $7,221 $33,747 $32,227 $30,331 $21,348 $20,280 $11,568 $687,308

$(8,328) $(37,383) $15,491 $173,404 $(8,042) $(15,624) $18,123 $(2,470) $(9,798) $174,118

$— $— $— $— $— $— $— $— $—

$(8,328) $(37,383) $15,491 $173,404 $(8,042) $(15,624) $18,123 $(2,470) $(9,798)

$— $— $— $— $— $— $— $— $— $10,000

$— $— $— $— $— $— $— $— $— $—

$— $(253,908) $— $— $— $— $— $— $— $(286,842)



(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $3,019,781 and $1,970,649, respectively.



BB7 12/2018


1-800-225-1581

putnam.com

Putnam Retirement Advantage GAA Income Strategies Portfolio


Putnam Retirement Advantage GAA Income Strategies Portfolio F-2

Table of contentsReport of Independent Auditors ……………………………………… F-4

The fund’s portfolio …………………………………………………… F-5

Statement of assets and liabilities …………………………………… F-50

Statement of operations ……………………………………………… F-51

Statement of changes in net assets …………………………………… F-52

Financial highlights …………………………………………………… F-53

Notes to financial statements ………………………………………… F-54






To the Trustee of Putnam Retirement Advantage GAA Income Strategies Portfolio

We have audited the accompanying financial statements of Putnam Retirement Advantage GAA Income Strategies Portfolio (the “Portfolio”), which comprise the statement of assets and liabilities, including the portfolio, as of September 30, 2018 and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements".




Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Putnam Retirement Advantage GAA Income Strategies Portfolio as of September 30, 2018, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

December 14, 2018













Cabot Corp. 1,847 115,844




Domtar Corp. 2,717 141,746













Univar, Inc. 2,688 82,414


W.R. Grace & Co. 3,393 242,464


5,785,768



AECOM 3,410 111,371




Boeing Co. (The) 9,016 3,353,050


Cummins, Inc. 5,564 812,733




Hitachi, Ltd. (Japan) 8,400 285,460




Capital goods cont.

Ingersoll-Rand PLC 7,510 $768,273


Lockheed Martin Corp. 2,710 937,552



Raytheon Co. 3,795 784,275








13,605,685




KDDI Corp. (Japan) 11,200 309,520




T-Mobile US, Inc. 2,248 157,765


4,374,833


AMETEK, Inc. 4,495 355,644




1,368,907



Amazon.com, Inc. 1,353 2,710,059


Automatic Data Processing, Inc. 6,016 906,371




Carnival Corp. 11,663 743,750



Dollar General Corp. 3,432 375,118





Ford Motor Co. 94,230 871,628




Galaxy Entertainment Group, Ltd. (Hong Kong) 31,000 $196,699

Hermes International (France) 414 274,379








lululemon athletica, Inc. (Canada) 6,067 985,827



Michael Kors Holdings, Ltd. 9,619 659,479








PVH Corp. 5,018 724,599



Ross Stores, Inc. 10,694 1,059,775

Royal Caribbean Cruises, Ltd. 6,438 836,554

RTL Group SA (Belgium) 590 42,111



Sony Corp. (Japan) 4,200 257,580

Stanley Black & Decker, Inc. 2,955 432,730

Suzuki Motor Corp. (Japan) 600 34,378

Tapestry, Inc. 1,601 80,482


Tiffany & Co. 6,048 780,011



Toyota Motor Corp. (Japan) 7,400 462,235

TUI AG (Germany) 8,412 161,583


VF Corp. 6,547 611,817




Wolters Kluwer NV (Netherlands) 694 43,270


25,946,286




Ashtead Group PLC (United Kingdom) 3,060 $97,246



Coca-Cola Co. (The) 36,724 1,696,282



Estee Lauder Cos., Inc. (The) Class A 5,611 815,391

Hershey Co. (The) 5,162 526,524





Kao Corp. (Japan) 1,200 96,921




L’Oreal SA (France) 730 176,108

LKQ Corp. 7,269 230,209






PepsiCo, Inc. 18,637 2,083,617



Procter & Gamble Co. (The) 5,373 447,195


Sysco Corp. 13,432 983,894





13,103,117

Energy (1.4%)



Halcon Resources Corp. 2,363 10,563





ONEOK, Inc. 6,273 425,247






Energy cont.

SandRidge Energy, Inc. 1,081 $11,750

TOTAL SA (France) 7,402 480,080


Williams Cos., Inc. (The) 30,612 832,340

9,189,151

Financials (4.8%)









Ameriprise Financial, Inc. 4,879 720,433



Assurant, Inc. 2,711 292,652




Bank of America Corp. 4,895 144,207





Capital One Financial Corp. 7,787 739,220



CIT Group, Inc. 7,961 410,867

Citigroup, Inc. 46,280 3,320,127





DNB ASA (Norway) 10,201 214,523



E*Trade Financial Corp. 15,394 806,492










Financials cont.

Hang Seng Bank, Ltd. (Hong Kong) 8,100 $220,074


HCP, Inc. R 12,775 336,238












Lincoln National Corp. 5,558 376,054


Loews Corp. 7,929 398,274



MetLife, Inc. 15,303 714,956



Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) 535 118,532




ORIX Corp. (Japan) 16,500 267,579








Prudential Financial, Inc. 8,393 850,379


Regions Financial Corp. 45,716 838,889

RenaissanceRe Holdings, Ltd. 927 123,829




Schroders PLC (United Kingdom) 579 23,369







Financials cont.

Stockland (Units) (Australia) R 5,287 $15,875








U.S. Bancorp 15,646 826,265



WP Carey, Inc. R 1,105 71,063

31,171,285

Health care (3.6%)

AbbVie, Inc. 7,520 711,242

ABIOMED, Inc. 1,986 893,204



Amgen, Inc. 6,266 1,298,879

Anthem, Inc. 5,901 1,617,169


Baxter International, Inc. 10,296 793,719

Biogen, Inc. 1,317 465,309

Boston Scientific Corp. 21,782 838,607





Cigna Corp. 5,329 1,109,764




Eli Lilly & Co. 13,416 1,439,671


Gilead Sciences, Inc. 9,472 731,333

GlaxoSmithKline PLC (United Kingdom) 19,466 390,111


Humana, Inc. 3,032 1,026,393

Ipsen SA (France) 440 74,001


Koninklijke Philips NV (Netherlands) 457 20,826

McKesson Corp. 6,010 797,227


Merck & Co., Inc. 20,822 1,477,113

Novartis AG (Switzerland) 6,177 533,721

Pfizer, Inc. 18,170 800,752



Health care cont.

Roche Holding AG (Switzerland) 2,037 $495,799

Shionogi & Co., Ltd. (Japan) 3,700 241,835







Zoetis, Inc. 5,118 468,604

23,330,607

Technology (6.1%)

Agilent Technologies, Inc. 11,263 794,492



Amdocs, Ltd. 4,502 297,042

Apple, Inc. 15,835 3,574,593





CA, Inc. 8,162 360,352



Check Point Software Technologies, Ltd. (Israel) 708 83,310


Cognizant Technology Solutions Corp. Class A 10,753 829,594



F5 Networks, Inc. 3,098 617,803



Fortinet, Inc. 9,709 895,849


Hoya Corp. (Japan) 4,600 273,364

HP, Inc. 31,852 820,826

IBM Corp. 8,206 1,240,829

Intuit, Inc. 6,029 1,370,995

Jabil, Inc. 4,049 109,647


KLA-Tencor Corp. 5,834 593,376



MSCI, Inc. 1,691 300,000

NetApp, Inc. 11,750 1,009,208





Technology cont.

Nuance Communications, Inc. 12,848 $222,527


NVIDIA Corp. 11,629 3,267,982

Oracle Corp. 42,412 2,186,763

Palo Alto Networks, Inc. 3,936 886,623

Proofpoint, Inc. 1 60

Red Hat, Inc. 5,280 719,558


Synopsys, Inc. 3,762 370,971

Texas Instruments, Inc. 5,757 617,669


39,794,957












3,010,700


AES Corp. 20,871 292,194

Ameren Corp. 5,745 363,199







Enel SpA (Italy) 49,187 252,061


Eni SpA (Italy) 16,233 306,991

Entergy Corp. 9,052 734,389

Evergy, Inc. 3,461 190,078

Kinder Morgan, Inc. 46,576 825,792

NRG Energy, Inc. 16,527 618,110




UGI Corp. 6,371 353,463

5,977,314





Alcoa Nederland Holding BV 144A company guaranty sr. unsec. unsub. notes 6.125%, 5/15/28 (Netherlands) $200,000 $205,500



Alpha 2 BV 144A sr. unsec. notes 8.75%, 6/1/23 (Netherlands) ‡‡ 200,000 203,000




Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 150,000 147,000











Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 200,000 206,006
















Georgia-Pacific, LLC sr. unsec. unsub. notes 7.75%, 11/15/29 45,000 59,154







HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) $130,000 $134,225




International Paper Co. sr. unsec. notes 8.70%, 6/15/38 5,000 6,917













Packaging Corp. of America sr. unsec. notes 3.90%, 6/15/22 15,000 15,127



















USG Corp. 144A company guaranty sr. unsec. notes 5.50%, 3/1/25 70,000 71,313



WestRock Co. 144A company guaranty sr. unsec. bonds 3.375%, 9/15/27 470,000 440,328




WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 $381,000 $494,769





14,014,100




Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 7.25%, 5/15/24 (Ireland) 200,000 209,250

































6,418,372




Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) $200,000 $194,250












Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. unsec. notes 7.50%, 4/1/28 225,000 235,688




Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 30,000 30,463















CSC Holdings, LLC 144A sr. unsec. unsub. notes 10.125%, 1/15/23 265,000 289,910










Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) $2,000 $2,105




Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) 10,000 9,647





Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 176,250 175,589













14,085,568





















Boyne USA, Inc. 144A company guaranty notes 7.25%, 5/1/25 $65,000 $68,738

Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.125%, 7/1/22 (Canada) 15,000 15,071






Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 40,000 40,200






D.R. Horton, Inc. company guaranty sr. unsec. sub. notes 5.75%, 8/15/23 40,000 42,541






Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 25,000 26,313








Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 55,000 53,453

Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. sub. notes 4.25%, 9/1/24 45,000 43,551














Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 $160,000 $165,600





















NVR, Inc. sr. unsec. notes 3.95%, 9/15/22 25,000 24,991




















Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 $325,000 $318,094


























21,034,786






Anheuser-Busch InBev Finance, Inc. company guaranty sr. unsec. unsub. bonds 4.90%, 2/1/46 1,328,000 1,343,034








Ashtead Capital, Inc. 144A notes 4.125%, 8/15/25 $200,000 $190,000





Diamond (BC) BV 144A sr. unsec. notes 5.625%, 8/15/25 EUR 130,000 140,969

ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 $423,000 398,056






















10,460,448

Energy (3.5%)












Energy cont.

BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 4.50%, 10/1/20 (United Kingdom) $10,000 $10,251









































Energy cont.

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 $300,000 $303,000
















Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 2,004,000 2,029,351







Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 2,525,000 2,574,846















Energy cont.

Seventy Seven Energy, Inc. escrow sr. unsec. notes 6.50%, 7/15/22 F $40,000 $4







Talos Production, LLC/Talos Production Finance, Inc. 144A company guaranty notes 11.00%, 4/3/22 56,003 59,923


















22,448,391

Financials (4.7%)









Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 1,205,000 1,262,238







Financials cont.

BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 $110,000 $112,589

BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) 1,101,000 1,076,771









Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 1,897,000 1,875,081


Cooperative Rabobank UA company guaranty unsec. sub. notes 3.75%, 7/21/26 (Netherlands) 302,000 285,242


Credit Suisse Group AG 144A sr. unsec. bonds 4.282%, 1/9/28 (Switzerland) 1,672,000 1,626,158







Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 1,175,000 1,157,795





HSBC Holdings PLC sr. unsec. notes 4.875%, 1/14/22 (United Kingdom) 682,000 706,323





ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) 1,448,000 1,524,580









Lloyds Banking Group PLC unsec. sub. notes 4.50%, 11/4/24 (United Kingdom) 684,000 671,878




Financials cont.

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24 R $60,000 $61,500



Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) 200,000 196,650






Prudential Financial, Inc. sr. unsec. notes 6.625%, 6/21/40 5,000 6,223



Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom) 685,000 689,575





Teachers Insurance & Annuity Association of America 144A unsec. sub. bonds 4.90%, 9/15/44 35,000 37,181




UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec. notes 4.125%, 4/15/26 (Switzerland) 941,000 930,147

UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) 212,000 214,119









30,764,773

Health care (2.1%)






Anthem, Inc. sr. unsec. unsub. notes 4.625%, 5/15/42 20,000 19,544



Health care cont.

ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 $160,000 $121,600























Endo DAC/Endo Finance, LLC/Endo Finco, Inc. 144A company guaranty sr. unsec. unsub. notes 6.00%, 7/15/23 (Ireland) 220,000 195,250


Halfmoon Parent, Inc. 144A sr. unsub. notes 3.75%, 7/15/23 1,567,000 1,562,206




HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 55,000 56,375










Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland) 205,000 201,088



Health care cont.

Service Corp. International sr. unsec. notes 4.625%, 12/15/27 $972,000 $932,935








UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 1,045,000 1,047,570




13,539,596

Technology (2.2%)



Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 1,651,000 1,716,622










First Data Corp. 144A company guaranty sr. unsec. unsub. notes 7.00%, 12/1/23 115,000 119,744



Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 1,040,000 1,042,182







Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 1,278,000 1,178,385






Technology cont.

Qorvo, Inc. 144A sr. unsec. notes 5.50%, 7/15/26 $60,000 $61,050







14,246,136






818,562










Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 100,000 107,757


Duke Energy Carolinas, LLC sr. mtge. notes 4.25%, 12/15/41 10,000 9,992




Emera US Finance LP company guaranty sr. unsec. bonds 4.75%, 6/15/46 407,000 396,602







Iberdrola International BV company guaranty sr. unsec. unsub. bonds 6.75%, 7/15/36 (Spain) 15,000 18,086





Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 4.30%, 6/1/25 1,062,000 1,070,849




NextEra Energy Capital Holdings, Inc. company guaranty jr. unsec. sub. FRB 4.80%, 12/1/77 $512,000 $480,000







WEC Energy Group, Inc. jr. unsec. sub. FRN Ser. A, (BBA LIBOR USD 3 Month + 2.11%), 4.426%, 5/15/67 1,217,000 1,178,920

8,563,631





4.00%, TBA, 10/1/48 $2,000,000 $2,033,438

4.00%, 8/20/46 1,307,326 1,334,085

3.50%, TBA, 10/1/48 8,000,000 7,952,500


3.00%, TBA, 10/1/48 4,000,000 3,873,438

16,907,113



4.50%, TBA, 10/1/48 5,000,000 5,157,813

4.00%, TBA, 11/1/48 6,000,000 6,050,156

4.00%, TBA, 10/1/48 6,000,000 6,058,125

3.50%, TBA, 10/1/48 2,000,000 1,968,125

3.00%, TBA, 10/1/48 13,000,000 12,438,360

3.00%, TBA, 10/1/33 5,000,000 4,938,672

36,611,251


U.S. TREASURY OBLIGATIONS (5.3%)* Principal amount Value

U.S. Treasury Bonds

4.50%, 2/15/36 $2,800,000 $3,322,112

3.00%, 2/15/47 4,430,000 4,269,482

2.75%, 8/15/42 # ∆ § Ф 13,000,000 12,036,985

U.S. Treasury Notes

2.75%, 2/15/24 2,190,000 2,166,885

2.375%, 8/15/24 2,080,000 2,011,506

2.25%, 11/15/27 3,000,000 2,807,813

2.125%, 12/31/22 1,230,000 1,190,054

1.625%, 2/15/26 7,000,000 6,353,211

Total U.S. treasury obligations (cost $35,831,928) $34,158,048






Structured Agency Credit Risk Debt FRN Ser. 14-HQ3, Class M3, (1 Month US LIBOR + 4.75%), 6.966%, 10/25/24 947,124 1,050,294

Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M2, (1 Month US LIBOR + 2.85%), 5.066%, 4/25/28 603,736 624,777

Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes FRB Ser. 16-DNA1, Class M3, (1 Month US LIBOR + 5.55%), 7.766%, 7/25/28 460,000 556,705



Connecticut Avenue Securities FRB Ser. 14-C02, Class 1M2, (1 Month US LIBOR + 2.60%), 4.816%, 5/25/24 1,460,000 1,553,893


4,517,370


CD Commercial Mortgage Trust FRB Ser. 16-CD1, Class XA, IO, 1.562%, 8/10/49 W 3,690,765 306,333

Citigroup Commercial Mortgage Trust

Ser. 13-GC17, Class AS, 4.544%, 11/10/46 380,000 392,782

Ser. 14-GC21, Class AS, 4.026%, 5/10/47 453,000 459,225


FRB Ser. 14-GC19, Class XA, IO, 1.305%, 3/10/47 W 29,042,278 1,385,404






COMM Mortgage Pass-Through Certificates FRB Ser. 14-CR14, Class XA, IO, 0.874%, 2/10/47 W 14,317,426 351,779

COMM Mortgage Pass-Through Certificates 144A FRB Ser. 12-CR3, Class D, 4.914%, 10/15/45 W 258,000 251,937

COMM Mortgage Trust

FRB Ser. 14-CR17, Class C, 4.898%, 5/10/47 W 311,000 310,122

Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W 375,000 387,758

Ser. 13-CR13, Class AM, 4.449%, 11/10/46 W 665,000 686,263

Ser. 12-LC4, Class AM, 4.063%, 12/10/44 220,000 222,277

Ser. 12-CR1, Class AM, 3.912%, 5/15/45 589,000 592,738

Ser. 12-CR2, Class AM, 3.791%, 8/15/45 381,000 386,630

Ser. 13-LC6, Class AM, 3.282%, 1/10/46 655,000 645,307

FRB Ser. 14-LC15, Class XA, IO, 1.448%, 4/10/47 W 24,938,218 1,014,985












COMM Mortgage Trust

FRB Ser. 14-LC17, Class XA, IO, 1.072%, 10/10/47 W $3,313,333 $98,187

FRB Ser. 15-LC21, Class XA, IO, 0.971%, 7/10/48 W 41,656,499 1,456,350


FRB Ser. 10-C1, Class D, 6.308%, 7/10/46 W 194,000 197,638



CSMC Trust FRB Ser. 16-NXSR, Class C, 4.508%, 12/15/49 W 373,000 362,431

DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.516%, 8/10/44 W 621,000 639,665

GS Mortgage Securities Corp. II

Ser. 13-GC10, Class AS, 3.279%, 2/10/46 594,000 578,402




FRB Ser. 13-GC12, Class XA, IO, 1.576%, 6/10/46 W 887,769 46,657





Ser. 11-GC5, Class AS, 5.209%, 8/10/44 W 582,000 606,307



JP Morgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C8, Class C, 4.758%, 10/15/45 W 183,000 184,616


FRB Ser. 14-C22, Class C, 4.71%, 9/15/47 W 328,000 317,730

Ser. 13-C17, Class AS, 4.458%, 1/15/47 83,000 85,646

Ser. 13-C14, Class AS, 4.409%, 8/15/46 W 485,000 498,483





FRB Ser. 14-C22, Class XA, IO, 1.038%, 9/15/47 W 38,009,191 1,533,956


JPMorgan Chase Commercial Mortgage Securities Corp. FRB Ser. 12-LC9, Class XA, IO, 1.701%, 12/15/47 W 1,611,677 92,510


Ser. 12-C6, Class AS, 4.117%, 5/15/45 997,000 1,015,196

Ser. 13-C10, Class AS, 3.372%, 12/15/47 149,000 144,444

Ser. 13-LC11, Class AS, 3.216%, 4/15/46 1,356,000 1,324,995




Ladder Capital Commercial Mortgage Securities, LLC 144A FRB Ser. 17-LC26, Class XA, IO, 1.685%, 7/12/50 W 7,955,514 728,821


Ser. 14-C18, Class C, 4.489%, 10/15/47 W 372,000 366,266





Ser. 13-C13, Class AS, 4.266%, 11/15/46 $1,149,000 $1,172,876

Ser. 12-C5, Class AS, 3.792%, 8/15/45 467,000 466,182

Ser. 12-C6, Class AS, 3.476%, 11/15/45 759,000 754,452





Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 13-C7, Class XB, IO, 0.417%, 2/15/46 W 15,835,000 212,189

Morgan Stanley Capital I Trust

Ser. 12-C4, Class AS, 3.773%, 3/15/45 64,000 64,317

FRB Ser. 16-UB12, Class XA, IO, 0.947%, 12/15/49 W 8,952,052 449,393

FRB Ser. 16-BNK2, Class XB, IO, 0.679%, 11/15/49 W 24,764,000 985,141


FRB Ser. 11-C3, Class D, 5.326%, 7/15/49 W 78,000 78,548


UBS Commercial Mortgage Trust FRB Ser. 17-C7, Class XA, IO, 1.226%, 12/15/50 W 5,069,391 360,748






Ser. 12-LC5, Class AS, 3.539%, 10/15/45 341,000 340,480




FRB Ser. 13-C15, Class C, 4.621%, 8/15/46 W 72,000 71,755

FRB Ser. 12-C10, Class C, 4.525%, 12/15/45 W 170,000 167,874

Ser. 13-C18, Class AS, 4.387%, 12/15/46 W 859,000 878,053

Ser. 13-UBS1, Class AS, 4.306%, 3/15/46 W 453,000 458,137

Ser. 14-C19, Class AS, 4.271%, 3/15/47 196,000 199,184

Ser. 12-C6, Class AS, 3.835%, 4/15/45 48,000 47,883

Ser. 12-C8, Class AS, 3.66%, 8/15/45 1,207,000 1,212,530

Ser. 13-C12, Class AS, 3.56%, 3/15/48 291,000 289,149

Ser. 12-C9, Class AS, 3.388%, 11/15/45 418,000 413,661

Ser. 13-C11, Class AS, 3.311%, 3/15/45 387,000 386,093

Ser. 12-C10, Class AS, 3.241%, 12/15/45 605,000 592,480




FRB Ser. 13-C14, Class XA, IO, 0.874%, 6/15/46 W 35,725,066 1,132,485



FRB Ser. 11-C3, Class D, 5.865%, 3/15/44 W 137,000 121,308

FRB Ser. 11-C5, Class E, 5.862%, 11/15/44 W 111,000 109,895

FRB Ser. 12-C10, Class D, 4.59%, 12/15/45 W 156,000 134,648





FRB Ser. 12-C9, Class XA, IO, 2.048%, 11/15/45 W $661,853 $47,455




44,804,363


Adjustable Rate Mortgage Trust FRB Ser. 05-9, Class 5A1, (1 Month US LIBOR + 0.54%), 2.756%, 11/25/35 718,530 708,509

Countrywide Asset-Backed Certificates FRB Ser. 05-8, Class M4, (1 Month US LIBOR + 0.93%), 3.146%, 12/25/35 810,000 816,011








Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 7.916%, 4/25/28 866,745 1,007,071







New Century Home Equity Loan Trust FRB Ser. 04-2, Class A4, (1 Month US LIBOR + 1.10%), 3.316%, 8/25/34 274,717 274,717


FRB Ser. 05-AR8, Class 2AC2, (1 Month US LIBOR + 0.92%), 3.136%, 7/25/45 548,467 541,064


Wells Fargo Home Equity Asset-Backed Securities Trust FRB Ser. 04-2, Class M1, (1 Month US LIBOR + 0.90%), 3.116%, 10/25/34 1,179,382 1,179,912

15,081,744


CONVERTIBLE BONDS AND NOTES (6.4%)* Principal amount Value


Cemex SAB de CV cv. unsec. sub. notes 3.72%, 3/15/20, (Mexico) $270,000 $272,000

Patrick Industries, Inc. 144A cv. sr. unsec. notes 1.00%, 2/1/23 353,000 332,730

604,730


CONVERTIBLE BONDS AND NOTES (6.4%)* cont. Principal amount Value


Dycom Industries, Inc. cv. sr. unsec. notes 0.75%, 9/15/21 $435,000 $482,453

Greenbrier Cos., Inc. (The) cv. sr. unsec. notes 2.875%, 2/1/24 300,000 354,763

Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 269,000 200,619

II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 315,000 370,099

Kaman Corp. cv. sr. unsec. notes 3.25%, 5/1/24 311,000 364,422

1,772,356


DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 992,000 946,136

GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 88,000 96,716

Powerwave Technologies, Inc. cv. unsec. sub. notes 3.875%, 10/1/27, (In default) F 145,000 15

RingCentral, Inc. 144A cv. sr. unsec. notes zero %, 3/15/23 483,000 605,642

1,648,509


Caesars Entertainment Corp. cv. sr. unsec. notes 5.00%, 10/1/24 318,430 518,591

Liberty Interactive, LLC 144A cv. sr. unsec. bonds 1.75%, 9/30/46 466,000 522,526

Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 590,000 716,402

Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 330,000 385,635

Live Nation Entertainment, Inc. 144A cv. sr. unsec. notes 2.50%, 3/15/23 552,000 596,430

Macquarie Infrastructure Corp. cv. sr. unsec. unsub. notes 2.00%, 10/1/23 416,000 373,849

Priceline Group, Inc. (The) cv. sr. unsec. unsub. notes 0.35%, 6/15/20 495,000 751,211

Square, Inc. cv. sr. unsec. unsub. notes 0.375%, 3/1/22 83,000 359,062

Square, Inc. 144A cv. sr. unsec. notes 0.50%, 5/15/23 547,000 774,834

Tesla, Inc. cv. sr. unsec. sub. notes 1.25%, 3/1/21 810,000 774,563

5,773,103


Chegg, Inc. 144A cv. sr. unsec. notes 0.25%, 5/15/23 251,000 302,330

IAC FinanceCo, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 10/1/22 391,000 581,131

Liberty Expedia Holdings, Inc. cv. sr. unsec. unsub. bonds 1.00%, 6/30/47 586,000 588,578

Vector Group, Ltd. cv. sr. unsec. sub. notes 1.75%, 4/15/20 420,000 437,223

Wayfair, Inc. cv. sr. unsec. sub. notes 0.375%, 9/1/22 265,000 399,480

2,308,742

Energy (0.3%)

Cheniere Energy, Inc. cv. sr. unsec. unsub. notes 4.25%, 3/15/45 491,000 393,843

Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 715,000 706,239

Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 322,000 432,347

SEACOR Holdings, Inc. cv. sr. unsec. bonds 3.00%, 11/15/28 270,000 261,422

Weatherford International, Ltd. cv. company guaranty sr. unsec. notes 5.875%, 7/1/21 440,000 414,359

2,208,210

Financials (0.4%)

Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23, R 380,000 377,744

Heritage Insurance Holdings, Inc. cv. company guaranty sr. unsec. bonds 5.875%, 8/1/37 160,000 184,560

IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22, R 494,000 542,946

JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 670,000 646,550

Starwood Property Trust, Inc. cv. sr. unsec. unsub. notes 4.00%, 1/15/19, R 281,000 310,505

TCP Capital Corp. cv. sr. unsec. bonds 5.25%, 12/15/19 265,000 267,232

2,329,537



Health care (1.1%)

BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 $515,000 $548,862

China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4.00%, 8/15/19, (China) (In default) F 104,000 6,656

Clovis Oncology, Inc. cv. sr. unsec. notes 1.25%, 5/1/25 503,000 388,819

Exact Sciences Corp. cv. sr. unsec. notes 1.00%, 1/15/25 405,000 500,428

Illumina, Inc. 144A cv. sr. unsec. notes zero %, 8/15/23 535,000 590,455

Insmed, Inc. cv. sr. unsec. sub. notes 1.75%, 1/15/25 249,000 209,607

Insulet Corp. 144A cv. sr. unsec. notes 1.375%, 11/15/24 300,000 379,277

Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 2.25%, 6/15/22 260,000 337,513

Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. bonds 1.875%, 8/15/21, (Ireland) 683,000 730,789

Medicines Co. (The) cv. sr. unsec. notes 2.50%, 1/15/22 540,000 580,280

Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 265,000 451,714

Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 398,000 420,883

Supernus Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.625%, 4/1/23 385,000 430,513

Teladoc, Inc. 144A cv. sr. unsec. notes 1.375%, 5/15/25 480,000 824,916

Wright Medical Group, Inc. 144A cv. company guaranty sr. unsec. notes 1.625%, 6/15/23 475,000 502,016

6,902,728

Technology (2.6%)

Akamai Technologies, Inc. 144A cv. sr. unsec. notes 0.125%, 5/1/25 408,000 401,237

Alteryx, Inc. 144A cv.sr. unsec. notes 0.50%, 6/1/23 335,000 475,901

Avid Technology, Inc. cv. sr. unsec. notes 2.00%, 6/15/20 6,000 5,370

Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22 305,000 457,500

Ciena Corp. cv. sr. unsec. notes 4.00%, 12/15/20 243,000 384,742

Citrix Systems, Inc. cv. sr. unsec. notes 0.50%, 4/15/19 250,000 383,974

Coupa Software, Inc. 144A cv. sr. unsec. notes 0.375%, 1/15/23 290,000 529,130

Cypress Semiconductor Corp. cv. sr. unsec. notes 4.50%, 1/15/22 295,000 370,719

DocuSign, Inc. 144A cv. sr. unsec. notes 0.50%, 9/15/23 489,000 485,822

Everbridge, Inc. cv. sr. unsec. unsub. notes 1.50%, 11/1/22 269,000 472,841

HubSpot, Inc. cv. sr. unsec. notes 0.25%, 6/1/22 381,000 626,196

Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 375,000 369,428

Integrated Device Technology, Inc. cv. sr. unsec. unsub. notes 0.875%, 11/15/22 190,000 285,531

Intel Corp. cv. jr. unsec. sub. notes 3.25%, 8/1/39 251,000 576,045

J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 328,000 424,878

Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 1,198,000 1,275,240

Micron Technology, Inc. cv. sr. unsec. bonds 3.00%, 11/15/43 495,000 767,109

Nice Systems, Inc. cv. company guaranty sr. unsec. notes 1.25%, 1/15/24 320,000 457,400

Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 330,000 339,674

Nutanix, Inc. 144A cv. sr. unsec. notes zero %, 1/15/23 269,000 297,671

Okta, Inc. 144A cv. sr. unsec. notes 0.25%, 2/15/23 434,000 670,619

ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 291,000 326,731

ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.00%, 12/1/20 199,000 230,854

OSI Systems, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/1/22 339,000 323,137

Palo Alto Networks, Inc. 144A cv. sr. unsec. notes 0.75%, 7/1/23 670,000 700,281

RealPage, Inc. cv. sr. unsec. notes 1.50%, 11/15/22 576,000 941,048



Technology cont.

Red Hat, Inc. cv. sr. unsec. unsub. bonds 0.25%, 10/1/19 $185,000 $341,760

ServiceNow, Inc. cv. sr. unsec. unsub. notes zero %, 6/1/22 625,000 931,776

Splunk, Inc. 144A cv. sr. unsec. notes 1.125%, 9/15/25 575,000 592,172

Teradyne, Inc. cv. sr. unsec. notes 1.25%, 12/15/23 180,000 233,811

TTM Technologies, Inc. cv. sr. unsec. notes 1.75%, 12/15/20 165,000 278,073

Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 495,000 455,715

Vocera Communications, Inc. 144A cv. sr. unsec. notes 1.50%, 5/15/23 324,000 407,515

Western Digital Corp. 144A cv. company guaranty sr. unsec. notes 1.50%, 2/1/24 345,000 319,253

Wix.com, Ltd. 144A cv. sr. unsec. notes zero %, 7/1/23, (Israel) 416,000 441,902

Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 546,000 631,543

17,212,598


Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 424,000 405,386

405,386


NRG Energy, Inc. 144A cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 555,000 584,270

584,270

Total convertible bonds and notes (cost $38,917,173) $41,750,169


Argentina (Republic of) sr. unsec. unsub. notes 7.50%, 4/22/26 (Argentina) $2,370,000 $2,115,225




Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) 445,000 408,876

Buenos Aires (Province of) 144A sr. unsec. unsub. bonds 7.875%, 6/15/27 (Argentina) 760,000 632,852





Egypt (Arab Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 6/11/25 (Egypt) 275,000 262,625

Hellenic (Republic of) sr. unsec. unsub. bonds Ser. PSI, stepped-coupon 3.00% (3.65%, 2/24/20), 2/24/38 (Greece) †† EUR 28,578 27,667










FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (2.1%)* cont. Principal amount Value

Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/15/24 (Indonesia) $2,025,000 $2,174,344


Indonesia (Republic of) 144A sr. unsec. notes 5.25%, 1/17/42 (Indonesia) 200,000 204,250



Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 200,000 191,250

Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 1,200,000 1,215,000


Turkey (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 275,000 256,094




CONVERTIBLE PREFERRED STOCKS (1.8%)* Shares Value

Alexandria Real Estate Equities, Inc. Ser. D, $1.75 cv. pfd. R 7,174 $248,909

AMG Capital Trust II $2.575 cv. pfd. 7,709 442,452

Bank of America Corp. Ser. L, 7.25% cv. pfd. 733 948,685

Becton Dickinson and Co. (BD) Ser. A, $3.063 cv. pfd. 18,125 1,186,646

Belden, Inc. $6.75 cv. pfd. 3,864 369,677

Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 10,395 507,853

Crown Castle International Corp. Ser. A, 6.875% cv. pfd. 778 839,548

DTE Energy Co. $3.25 cv. pfd. 9,794 508,349

EPR Properties Ser. C, $1.438 cv. pfd. R 12,304 344,635

Fortive Corp. Ser. A, 5.00% cv. pfd. 765 815,848

Hess Corp. $4.00 cv. pfd. 12,255 972,784

International Flavors & Fragrances, Inc. $3.00 cv. pfd. 9,364 506,967

iStar, Inc. Ser. J, $2.25 cv. pfd. R 5,465 259,424

Mandatory Exchangeable Trust Securities 144A $5.75 cv. pfd. 3,749 694,502

NextEra Energy, Inc. $3.06 cv. pfd. 12,385 703,821


Rexnord Corp. Ser. A, $2.88 cv. pfd. 8,126 522,855

RLJ Lodging Trust Ser. A, $0.49 cv. pfd. 11,841 308,458

Sempra Energy Ser. A, $6.00 cv. pfd. 5,230 525,119

Vistra Energy Corp. $7.00 cv. pfd. 1,448 140,384

Wells Fargo & Co. Ser. L, 7.50% cv. pfd. 416 535,109

Total convertible preferred stocks (cost $10,629,361) $11,391,436











SPDR S&P 500 ETF Trust 9,304 2,704,859

SPDR S&P MidCap 400 ETF Trust 997 366,358





















MUNICIPAL BONDS AND NOTES (—%)* Principal amount Value

CA State G.O. Bonds, (Build America Bonds), 7.50%, 4/1/34 $15,000 $20,783

North TX, Tollway Auth. Rev. Bonds, (Build America Bonds), 6.718%, 1/1/49 10,000 14,095

OH State U. Rev. Bonds, (Build America Bonds), 4.91%, 6/1/40 10,000 11,284

Total municipal bonds and notes (cost $35,088) $46,162


GMAC Capital Trust I Ser. 2, $1.91 cum. ARP 1,305 $34,322






SHORT-TERM INVESTMENTS (20.9%)* Shares Value

Putnam Money Market Portfolio 2.32% L 135,882,262 $135,882,262

State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97% P ∆ 60,000 60,000


TOTAL INVESTMENTS


Key to holding’s currency abbreviationsEUR EuroUSD/$ United States Dollar

Key to holding’s abbreviationsARP Adjustable Rate Preferred Stock: the rate shown is the current interest rate at the close of the reporting periodbp Basis PointsDAC Designated Activity CompanyETF Exchange Traded FundFRB 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.GDR Global Depository Receipts: represents ownership of foreign securities on deposit with a custodian bankGMTN Global Medium Term NotesG.O. Bonds General Obligation BondsIO Interest OnlyMTN Medium Term NotesOTC Over-the-counterREGS Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a



* Percentages indicated are based on net assets of $650,017,253.†† The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the Portfolio will begin accruing interest at this rate.‡‡ 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.

# 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 $563,229 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 8).









R Real Estate Investment Trust. W The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.







Delivery date Value






Euro Sell 12/19/18 1,923,651 1,927,487 3,836


Barclays Bank PLC


Euro Sell 12/19/18 5,492,827 5,502,548 9,721


Norwegian Krone Sell 12/19/18 233,609 226,504 (7,105 )

Citibank, N.A.


Danish Krone Buy 12/19/18 386,280 387,233 (953 )

Euro Buy 12/19/18 15,278,389 15,309,043 (30,654 )


Brazilian Real Buy 10/2/18 34,606 33,757 849

Brazilian Real Sell 10/2/18 34,606 36,493 1,887

Brazilian Real Buy 1/3/19 34,353 34,426 (73 )

Brazilian Real Sell 1/3/19 34,353 33,490 (863 )


Euro Sell 12/19/18 1,289,645 1,292,702 3,057




Euro Sell 12/19/18 343,951 342,977 (974 )




Euro Sell 12/19/18 3,356,280 3,364,276 7,996


Norwegian Krone Sell 12/19/18 226,574 219,656 (6,918 )

Singapore Dollar Buy 11/19/18 146,309 146,478 (169 )


Swiss Franc Buy 12/19/18 370,163 372,619 (2,456 )




Delivery date Value



NatWest Markets PLC

Euro Sell 12/19/18 $1,504,994 $1,508,111 $3,117



Euro Sell 12/19/18 1,784,762 1,789,100 4,338

Israeli Shekel Buy 10/17/18 97,548 97,836 (288 )

UBS AG

Euro Sell 12/19/18 708,247 709,772 1,525


New Zealand Dollar Buy 10/17/18 44,754 45,521 (767 )



Total $(15,936 )



Number of contracts


Expiration date



Russell 2000 Index E-Mini (Short) 8 678,628 680,320 Dec-18 8,377


S&P Mid Cap 400 Index E-Mini (Long) 1 201,955 202,520 Dec-18 (1,782 )



U.S. Treasury Note 2 yr (Short) 2 421,469 421,469 Dec-18 996





Total $(505,520 )


AgencyPrincipal



Total $6,058,125



Upfront premium





$9,871,700 $5,252 E $3,462 12/19/20 3 month USD-LIBOR-BBA—Quarterly


$(1,790 )


(18,581 )


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/18 cont.


Upfront premium






$(45,025 )

107,500 1,473 E (585 ) 12/19/48 3 month USD-LIBOR-BBA—Quarterly


888

Total $(30,575 ) $(64,508 )






Termi- nation date




CMBX NA A.6 Index A/P $3 $4,000 $49 5/11/63 200 bp—Monthly $(45 )










































Termi- nation date










CMBX NA BBB–.6 Index BBB–/P 887 17,000 2,004 5/11/63 300 bp—Monthly (1,109 )
































CMBX NA BBB–.6 Index BBB–/P 1,128 8,000 943 5/11/63 300 bp—Monthly 189















Termi- nation date

















































Total $782,897 Total $246,293



are believed to be the most recent ratings available at September 30, 2018. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.





Termi- nation date
































CMBX NA A.7 Index (780 ) 37,000 48 1/17/47 (200 bp)—Monthly (840 )



















Termi- nation date




CMBX NA BBB–.7 Index $(589 ) $8,000 $451 1/17/47 (300 bp)—Monthly $(141 )

















Total $(359,939 ) Total $(86,122 )

* 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.





Termi- nation date



NA HY Series 31 Index B+/P $(2,277,979 ) $31,702,000 $2,318,526 12/20/23 500 bp—Quarterly $53,756

Total $(2,277,979 ) $53,756


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, 2018. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications.





Valuation inputs


Common stocks*:







Energy 9,182,898 — 6,253


Health care 23,330,607 — —






Convertible bonds and notes — 41,743,498 6,671

Convertible preferred stocks — 11,391,436 —





Municipal bonds and notes — 46,162 —




U.S. treasury obligations — 34,158,048 —

Warrants 64 — —


Totals by level $179,981,261 $517,299,768 $12,928

Valuation inputs


Forward currency contracts $— $(15,936 ) $—

Futures contracts (505,520 ) — —


Interest rate swap contracts — (33,933 ) —

Credit default contracts — 2,068,948 —

Totals by level $(505,520 ) $(4,039,046 ) $—

* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation.At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the Portfolio’s net assets and were not considered a significant portion of the fund’s portfolio.





ASSETS




Foreign currency (cost $4,766) (Note 2) 4,791



Receivable for investments sold 1,763,491








LIABILITIES

Payable to custodian 913,744












Net assets $650,017,253


Net assets $650,017,253






INVESTMENT INCOME

Interest (including interest income of $2,314,253 from investments in affiliated issuers) (Note 4) $14,790,463







Forward currency contracts (Note 2) 14,107

Futures contracts (Note 2) (966,185)

Swap contracts (Note 2) 3,063,172



Securities from unaffiliated issuers and TBA sale commitments (5,873,974)



Futures contracts (746,387)


Total change in net unrealized depreciation (6,474,808)







9/30/18

Operations



Net unrealized depreciation of investments and assets and liabilities in foreign currencies (6,474,808)







NET ASSETS


End of year $650,017,253



Sold 24,711,282

Redeemed (15,113,967)





9/30/18














Putnam Retirement Advantage GAA Income Strategies Portfolio (the “Portfolio”) is a portfolio established and maintained by Putnam Fiduciary Trust Company, LLC (“PFTC”) as Trustee (the “Trustee” and “Manager”) pursuant to the Declaration of Trust for the Putnam Fiduciary Trust Company Investment Funds for Pension and Profit Sharing Trusts (the “Trust”), as amended and restated March 31, 2008. PFTC has hired its affiliate, The Putnam Advisory Company, LLC (“PAC”), to provide certain non-discretionary investment advisory and administrative services to Putnam in connection with the Portfolio. The Portfolio invests in a combination of bonds and common stocks of U.S. and non-U.S. companies. The Portfolio buys bonds with short- to long-term maturities that are either investment grade or below investment grade in quality. The Portfolio also buys other fixed income securities, such as mortgage-backed investments. The Portfolio invests in stocks that are believed to offer the potential for current income and capital growth. The Portfolio primarily invests in large companies, although it can invest in companies of any size.











Security Transactions and Related Investment Income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are deter-mined on the identified cost basis.








Foreign Currency TranslationThe accounting records of the Portfolio are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the Portfolio after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The Portfolio does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net real-ized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the Portfolio’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.













Credit Default ContractsThe Portfolio 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.











Collateral pledged by the Portfolio is delivered to the counterparty 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 Portfolio and the applicable counter-party. Collateral requirements are determined based on the Portfolio’s net position with each counterparty.





The Portfolio is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The Portfolio did not


have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains, if any. The Portfolio’s prior fiscal years remain subject to examination by the Internal Revenue Service.






income







5. Market, Credit and Other RisksIn the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The Portfolio may be exposed to additional credit risk that an institution or other entity with which the Portfolio has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The Portfolio may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The Portfolio may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.




Futures contracts (number of contracts) 600













Net assets —Unrealized appreciation

$2,605,760 * Payables $536,812 *

Foreign exchange contracts Receivables 50,172 Payables 66,108


Net assets —Unrealized appreciation


depreciation

224,522 *

Interest rate contracts Receivables, Net assets —Unrealized

appreciation


depreciation

325,777 *

Total $2,666,842 $1,153,219

* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported after the fund’s portfolio. Only current day’s varia-tion margin is reported within the Statement of assets and liabilities.



Derivatives not accounted for as hedging instruments under ASC 815 Futures

Forward currency

contracts Swaps TotalCredit contracts $— $— $1,953,401 $1,953,401

Foreign exchange contracts — 14,107 — 14,107

Equity contracts 101,658 — — 101,658

Interest rate contracts (1,067,843) — 1,109,771 41,928

Total $(966,185) $14,107 $3,063,172 $2,111,094

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) on investments

Derivatives not accounted for as hedging instruments under ASC 815 Warrants Futures

Forward currency


Foreign exchange contracts — — (43,015) — (43,015)

Equity contracts (289) (642,862) — — (643,151)

Interest rate contracts — (103,525) — (77,781) (181,306)

Total $(289) $(746,387) $(43,015) $191,278 $(598,413)




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OTC Credit default contracts - protection sold*# — — — — — 104 — —




Forward currency contracts# 9,038 10,048 — 759 — — 8,833 —

Total Assets $9,038 $10,048 $20,355 $759 $42,537 $57,755 $39,397 $—

Liabilities:


OTC Credit default contracts - protection sold*# — — — — 29,294 111,993 104,515 —


Centrally cleared credit default contracts§ — — — — — — — —


Forward currency contracts# 3,095 7,627 — 31,607 — — 2,461 974

Total Liabilities $3,095 $7,627 $5,189 $31,607 $29,338 $111,993 $106,976 $974

Total Financial and Derivative Net Assets $5,943 $2,421 $15,166 $(30,848) $13,199 $(54,238) $(67,579) $(974)

Total collateral received (pledged)##† $— $— $— $60,000 $— $(24,000) $— $—

Net amount $5,943 $2,421 $15,166 $(90,848) $13,199 $(30,238) $(67,579) $(974)

Controlled collateral received (including TBA commitments)** $— $— $— $60,000 $— $— $— $—


Collateral (pledged) (including TBA commitments)** $— $— $— $— $— $(24,000) $— $—



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$— $— $— $— $— $— $— $— $— $2,664

— — — — — — — — — 104

— 68,148 39,769 — 35,252 — — — — 273,921

— — — — — — — — — 17,691

— — — 100,006 — — — — — 100,006

12,409 — — — — 3,117 4,443 1,525 — 50,172

$12,409 $68,148 $39,769 $100,006 $35,252 $3,117 $4,443 $1,525 $— $444,558

— — — — — — — — — 5,189

— 213,493 29,866 — 47,547 — — — — 536,708

— 60 — — — — — — — 104

— — — — — — — — — —

— — — 46,013 — — — — — 46,013

19,289 — — — — — 288 — 767 66,108

$19,289 $213,553 $29,866 $46,013 $47,547 $— $288 $— $767 $654,122

$(6,880) $(145,405) $9,903 $53,993 $(12,295) $3,117 $4,155 $1,525 $(767) $(209,564)

$— $(66,918) $— $— $— $— $— $— $—

$(6,880) $(78,487) $9,903 $53,993 $(12,295) $3,117 $4,155 $1,525 $(767)

$— $— $— $— $— $— $— $— $— $60,000

$— $— $— $— $— $— $— $— $— $—

$— $(488,875) $— $— $— $— $— $— $— $(512,875)



(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $563,229 and $3,018,757, respectively.



BC3 12/2018


1-800-225-1581

putnam.com

This page intentionally left blank.

Putnam Money Market Portfolio


Putnam Money Market Portfolio G-2

Table of contentsReport of Independent Auditors ……………………………………… G-4

The fund’s portfolio …………………………………………………… G-5

Statement of assets and liabilities …………………………………… G-9

Statement of operations ……………………………………………… G-10

Statement of changes in net assets …………………………………… G-11

Financial highlights …………………………………………………… G-12

Notes to financial statements ………………………………………… G-13


A note on the Portfolio’s trusteeThe Portfolio’s trustee, Putnam Fiduciary Trust Company, a nondepository trust company regulated by the New Hampshire Banking Department, will be converting to a New Hampshire limited liability company and changing its name to Putnam Fiduciary Trust Company, LLC effective after the close of business on December 31, 2018. The conversion will have no impact on the Portfolio or on PFTC’s business or regulatory status. No action is required for Plans invested in the Portfolio. PFTC will continue to manage the Portfolio, and each Plan’s participation agreement will remain in place. If you have any questions about this change, or about your investment, please feel free to call Putnam at 1-800-648-7410.




To the Trustee of Putnam Money Market Portfolio

We have audited the accompanying financial statements of Putnam Money Market Portfolio (the “Portfolio”), which comprise the statement of assets and liabilities, including the fund’s portfolio, as of September 30, 2018 and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements".




Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Putnam Money Market Portfolio as of September 30, 2018, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

December 20, 2018

w



REPURCHASE AGREEMENTS (39.9%)* Principal amount Value

Interest in $175,000,000 tri-party repurchase agreement dated 9/28/18 with Bank of Nova Scotia due 10/1/18 — maturity value of $175,032,375 for an effective yield of 2.220% (collateralized by various U.S. Treasury notes and bonds with coupon rates ranging from 0.125% to 2.750% and due dates ranging from 2/28/19 to 2/15/45, valued at $178,533,078) $175,000,000 $175,000,000

Interest in $50,000,000 tri-party repurchase agreement dated 9/28/18 with BMO Capital Markets due 10/1/18 — maturity value of $50,009,167 for an effective yield of 2.200% (collateralized by various U.S. Treasury notes and a U.S. Treasury bond with coupon rates ranging from 1.750% to 4.250% and due dates ranging from 2/28/22 to 11/15/40, valued at $51,009,407) 50,000,000 50,000,000

Interest in $35,000,000 tri-party term repurchase agreement dated 8/10/18 with BMO Capital Markets due 10/9/18 — maturity value of $35,110,279 for an effective yield of 1.990% (collateralized by various U.S. Treasury notes and bonds with coupon rates ranging from 1.435% to 4.375% and due dates ranging from 1/31/20 to 8/15/43, valued at $35,796,730) IR 35,000,000 35,000,000

Interest in $155,000,000 tri-party repurchase agreement dated 9/28/18 with BNP Paribas due 10/1/18 — maturity value of $155,029,192 for an effective yield of 2.260% (collateralized by various mortgage backed securities and a U.S. Treasury bond with coupon rates ranging from 1.848% to 6.000% and due dates ranging from 12/1/26 to 9/1/48, valued at $158,129,810) 155,000,000 155,000,000

Interest in $155,000,000 tri-party repurchase agreement dated 9/28/18 with Citigroup Global Markets, Inc. due 10/1/18 — maturity value of $155,029,063 for an effective yield of 2.250% (collateralized by various U.S. Treasury notes with coupon rates ranging from 1.500% to 2.875% and due dates ranging from 10/31/19 to 5/15/28, valued at $158,100,092) 155,000,000 155,000,000

Interest in $159,280,000 joint tri-party repurchase agreement dated 9/28/18 with Merrill Lynch, Pierce, Fenner & Smith, Inc. due 10/1/18 — maturity value of $154,367,196 for an effective yield of 2.270% (collateralized by various mortgage backed securities with coupon rates ranging from 4.000% to 4.500% and due dates ranging from 4/20/47 to 3/20/48, valued at $162,465,600) 154,338,000 154,338,000

Total repurchase agreements (cost $724,338,000) $724,338,000

COMMERCIAL PAPER (21.9%)* Yield (%) Maturity date Principal amount Value

ABN AMRO Funding USA, LLC 2.254 11/13/18 $8,500,000 $8,477,258

Australia & New Zealand Banking Group, Ltd. (Australia) 2.555 4/5/19 18,250,000 18,012,385

Australia & New Zealand Banking Group, Ltd. (Australia) 2.250 12/17/18 6,100,000 6,070,826

Australia & New Zealand Banking Group, Ltd. 144A (Australia) 2.444 10/16/18 8,250,000 8,250,000

Australia & New Zealand Banking Group, Ltd. 144A (Australia) 2.364 3/7/19 7,000,000 6,999,793

Canadian Imperial Bank of Commerce (Canada) 2.334 11/5/18 13,000,000 13,000,000

Commonwealth Bank of Australia (Australia) 2.324 11/29/18 13,000,000 13,000,000

Commonwealth Bank of Australia (Australia) 2.273 12/10/18 10,000,000 9,956,056

Danske Corp. (Denmark) 2.243 10/19/18 12,750,000 12,735,784

DNB Bank ASA (Norway) 2.304 12/21/18 16,750,000 16,750,000

DNB Bank ASA 144A (Norway) 2.263 3/14/19 16,500,000 16,500,000

DNB Bank ASA (Norway) 2.235 10/31/18 5,000,000 4,990,708

Export Development Canada (Canada) 2.417 2/11/19 9,000,000 8,920,533

HSBC Bank PLC 144A (United Kingdom) 2.314 11/5/18 6,250,000 6,250,000

HSBC USA, Inc. 144A 2.434 7/5/19 16,250,000 16,250,000

International Business Machines Corp. 2.326 12/19/18 16,250,000 16,167,626

Lloyds Bank PLC (United Kingdom) 2.364 12/7/18 13,750,000 13,750,000

Lloyds Bank PLC (United Kingdom) 2.205 11/21/18 10,000,000 9,968,904

National Australia Bank, Ltd. (Australia) 2.344 4/11/19 16,500,000 16,500,000



National Bank of Canada (Canada) 2.364 1/18/19 16,000,000 16,000,000

Nationwide Building Society (United Kingdom) 2.305 12/17/18 9,500,000 9,453,468

NRW.Bank (Germany) 2.292 12/4/18 8,000,000 7,967,573

NRW.Bank (Germany) 2.097 10/11/18 8,000,000 7,995,356


COMMERCIAL PAPER (21.9%)* cont. Yield (%) Maturity date Principal amount Value

Societe Generale SA (France) 2.295 10/31/18 $9,000,000 $8,982,900

Swedbank AB (Sweden) 2.267 11/16/18 5,000,000 4,985,561

Toronto-Dominion Bank (The) (Canada) 2.384 2/8/19 16,000,000 16,000,000

Toronto-Dominion Bank (The) (Canada) 2.364 1/11/19 10,500,000 10,500,000

UBS AG/London (United Kingdom) 2.414 11/13/18 16,000,000 16,002,064

UBS AG/London (United Kingdom) 2.374 4/25/19 9,500,000 9,500,000

Walmart, Inc. 2.035 10/9/18 18,130,000 18,121,820

Westpac Banking Corp. 144A (Australia) 2.344 1/3/19 13,750,000 13,750,036

Westpac Banking Corp. 144A (Australia) 2.397 9/19/19 17,000,000 17,000,000

Total commercial paper (cost $397,286,970) $397,286,970

CERTIFICATES OF DEPOSIT (19.7%)* Yield (%) Maturity date Principal amount Value

Bank of America, NA 2.500 4/4/19 $14,750,000 $14,750,000

Bank of America, NA FRN Ser. BN21 2.514 10/3/18 8,500,000 8,500,000

Bank of America, NA FRN 2.378 1/16/19 10,761,000 10,763,898

Bank of Montreal/Chicago, IL FRN (Canada) 2.486 2/25/19 16,250,000 16,250,000

Canadian Imperial Bank of Commerce/New York, NY 2.486 8/1/19 8,500,000 8,500,000

Canadian Imperial Bank of Commerce/New York, NY FRN 2.482 12/28/18 17,250,000 17,250,000

Citibank, NA 2.330 10/23/18 16,250,000 16,250,000

Citibank, NA 2.280 12/18/18 16,500,000 16,500,000

Cooperatieve Rabobank UA/NY FRN (Netherlands) 2.484 10/1/18 16,250,000 16,250,000

Credit Suisse AG/New York, NY 2.294 10/29/18 9,000,000 8,996,683

Mitsubishi UFJ Trust & Banking Corp./NY 2.260 11/13/18 15,250,000 15,249,982

Mizuho Bank, Ltd./New York, NY 2.274 12/3/18 8,500,000 8,500,000

Nordea Bank AB/New York, NY FRN 2.534 3/14/19 9,500,000 9,500,000

Nordea Bank AB/New York, NY FRN 2.382 5/21/19 12,250,000 12,249,703

Rabobank Nederland NV/NY (Netherlands) 2.290 12/17/18 16,500,000 16,500,000

Royal Bank of Canada/New York (Canada) 2.470 3/1/19 8,000,000 8,000,000

Royal Bank of Canada/New York, NY FRN (Canada) 2.351 12/7/18 14,250,000 14,250,000

Skandinaviska Enskilda Banken AB/New York, NY FRN 2.488 10/17/18 16,000,000 16,000,000

Skandinaviska Enskilda Banken AB/New York, NY FRN 2.240 3/6/19 16,500,000 16,500,000

Sumitomo Mitsui Banking Corp./New York FRN (Japan) 2.343 11/9/18 16,500,000 16,500,000

Svenska Handelsbanken/New York, NY FRN (Sweden) 2.413 7/8/19 10,000,000 10,000,000

Svenska Handelsbanken/New York, NY FRN (Sweden) 2.404 2/4/19 12,000,000 12,000,000

Swedbank AB/New York FRN 2.320 11/6/18 14,750,000 14,750,000

US Bank, NA/Cincinnati, OH FRN 2.264 5/13/19 17,500,000 17,500,000

US Bank, NA/Cincinnati, OH FRN 2.254 7/3/19 8,500,000 8,500,000

Wells Fargo Bank, NA FRN 2.408 11/16/18 11,750,000 11,750,000

Wells Fargo Bank, NA FRN 2.378 11/15/18 6,500,000 6,500,000

Westpac Banking Corp./NY FRN (Australia) 2.440 3/5/19 9,500,000 9,500,000

Total certificates of deposit (cost $357,760,266) $357,760,266

ASSET-BACKED COMMERCIAL PAPER (17.3%)* Yield (%) Maturity date Principal amount Value

Atlantic Asset Securitization, LLC 2.285 11/27/18 $10,500,000 $10,462,261

Barclays Bank PLC CCP (United Kingdom) 2.314 10/29/18 8,000,000 7,985,689

Barclays Bank PLC CCP (United Kingdom) 2.064 10/12/18 8,000,000 7,994,964

Bedford Row Funding Corp. 2.460 2/21/19 12,750,000 12,626,931


ASSET-BACKED COMMERCIAL PAPER (17.3%)* cont. Yield (%) Maturity date Principal amount Value

Bedford Row Funding Corp. 2.334 11/5/18 $3,500,000 $3,500,000

Chariot Funding, LLC 2.369 10/22/18 16,250,000 16,227,724

Chariot Funding, LLC 2.262 11/26/18 18,000,000 17,937,000

CHARTA, LLC 2.293 12/14/18 8,000,000 7,962,507

Collateralized Commercial Paper II Co., LLC 144A 2.359 10/4/18 15,000,000 14,997,075

Collateralized Commercial Paper II Co., LLC 144A 2.334 1/24/19 8,750,000 8,750,000

CRC Funding, LLC 2.264 11/14/18 7,500,000 7,479,375

Fairway Finance Co., LLC (Canada) 2.274 10/22/18 13,000,000 12,982,862



Liberty Street Funding, LLC (Canada) 2.368 10/10/18 9,750,000 9,744,272



Manhattan Asset Funding Co., LLC (Japan) 2.138 10/19/18 16,000,000 15,982,960

MetLife Short Term Funding, LLC 2.276 11/14/18 8,000,000 7,977,902



Old Line Funding, LLC 2.298 12/13/18 16,000,000 15,926,027

Regency Markets No. 1, LLC 2.153 10/9/18 13,921,000 13,914,349

Regency Markets No. 1, LLC 2.114 10/11/18 6,250,000 6,246,337

Thunder Bay Funding, LLC 2.339 11/27/18 15,000,000 14,944,900

Thunder Bay Funding, LLC 2.339 12/3/18 2,200,000 2,191,068

Victory Receivables Corp. (Japan) 2.182 10/9/18 12,000,000 11,994,187

Total asset-backed commercial paper (cost $314,699,872) $314,699,872

U.S. TREASURY OBLIGATIONS (0.9%)*Interest rate (%) Maturity date Principal amount Value

U.S. Treasury Notes FRN M 2.235 7/31/20 $16,250,000 $16,252,278

Total U.S. treasury obligations (cost $16,252,278) $16,252,278

TOTAL INVESTMENTS


Key to holding’s currency abbreviationsUSD/$ United States Dollar

Key to holding’s abbreviationsFRN 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.

Notes to the fund’s portfolioUnless noted otherwise, the notes to the fund’s portfolio are for the close of the Porfolio’s reporting period, which ran from October 1, 2017 through September 30, 2018 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.

* Percentages indicated are based on net assets of $1,817,026,447. M This security’s effective maturity date is less than one year. IR Repurchase agreements with a maturity of more than seven days are considered to be illiquid investments.






United States 67.9%Canada 10.1Australia 7.6United Kingdom 4.5Japan 2.4Norway 2.1

Netherlands 1.8%Sweden 1.5Germany 0.9Denmark 0.7France 0.5Total 100.0%



Valuation inputs


Asset-backed commercial paper $— $314,699,872 $—

Certificates of deposit — 357,760,266 —

Commercial paper — 397,286,970 —

Repurchase agreements — 724,338,000 —

U.S. treasury obligations — 16,252,278 —

Totals by level $— $1,810,337,386 $—





ASSETS


Unaffiliated issuers (at amortized cost) $1,085,999,386

Repurchase agreements (identified cost $724,338,000) 724,338,000

Interest receivable 1,361,063



LIABILITIES

Payable to custodian 8,408


Distributions payable to unitholders (Note 2) 2,955,428


Net assets $1,817,026,447


Computation of net asset value Class A

Net assets $108,971,350



Computation of net asset value Class P

Net assets $1,708,055,097

Units outstanding 1,708,057,871





INVESTMENT INCOME

Interest $28,638,303







9/30/18

Operations:



Distributions to unitholders (Note 2)

Class A (1,616,169)

Class P (27,022,134)

Total distributions to unitholders (28,638,303)


Class A


Issuance of units from reinvestment of distributions 1,612,493


Class P

Proceeds from sale of units 3,980,339,253

Value of units redeemed (3,510,095,324)



NET ASSETS

Beginning of year 1,316,242,126

End of year $1,817,026,447

NUMBER OF CLASS A UNITS OF THE PORTFOLIO


Sold 86,696,535

Reinvested 1,612,493

Redeemed (57,768,636)


NUMBER OF CLASS P UNITS OF THE PORTFOLIO

Units outstanding at beginning of year 1,237,813,942

Sold 3,980,339,253

Redeemed (3,510,095,324)

Units outstanding at end of year 1,708,057,871



CLASS A PER-UNIT OPERATING PERFORMANCEYear ended

9/30/18




Net realized and unrealized gain (loss) on investments —


Less Distributions:

From net investment income (0.02)


Total return at net asset value (%) (b) 1.78

RATIOS AND SUPPLEMENTAL DATA

Net assets, end of year (in thousands) $108,971



CLASS P PER-UNIT OPERATING PERFORMANCEYear ended

9/30/18




Net realized and unrealized gain (loss) on investments —


Less Distributions:

From net investment income (0.02)


Total return at net asset value (%) (b) 1.78

RATIOS AND SUPPLEMENTAL DATA

Net assets, end of year (in thousands) $1,708,055



(b) Total return assumes dividend reinvestment.



Putnam Money Market Portfolio (the “Portfolio”) is a portfolio established and maintained by Putnam Fiduciary Trust Company, LLC (“PFTC”) as Trustee (the “Trustee” and “Manager”) pursuant to the Declaration of Trust for the Putnam Fiduciary Trust Company Investment Funds for Pension and Profit Sharing Trusts (the “Trust”), as amended and restated March 31, 2008. PFTC has hired its affiliate, The Putnam Advisory Company, LLC (“PAC”), to provide certain non-discretionary investment advisory and administrative services to Putnam in connection with the Portfolio. The Portfolio invests mainly in instruments that are high quality and have short-term maturity. Currently, the Portfolio offers class A units and class P units. Class A units are available to Putnam Retirement Advantage Age-Based Funds. Class P units are available to underlying Putnam GAA Portfolios and other Putnam funds which are used for overnight investments.



Investment income, realized gains and losses and expenses of the Portfolio are borne pro-rata based on the relative net assets of each class to the total net assets of the Portfolio, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustee. Units of each class would receive their pro-rata unit of the net assets of the Portfolio, if the Portfolio were liquidated. In addition, the Trustee declares separate dividends on each class of units.

Security ValuationThe valuation of the fund’s portfolio instruments is determined by means of the amortized cost method (which approximates fair value). The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity and is generally categorized as a Level 2 security.

Repurchase Agreements The Portfolio, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $744,034,717, is held at the counterparty’s custodian in a segregated account for the benefit of the Portfolio and the counterparty. The Trustee is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.

Security Transactions and Related Investment Income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Interest income is recorded on the accrual basis. Premiums and discounts from purchases of short-term investments are amortized/accreted at a constant rate until maturity. Gains or losses on securities sold are determined on the identified cost basis.




Distributions to Unitholders Income dividends are recorded daily by the Portfolio and are paid monthly. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually.




4. Market, Credit and Other RisksIn the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The Portfolio may be exposed to additional credit risk that an institution or other entity with which the Portfolio has unsettled or open transactions will default.

5. Offsetting of Financial Assets and Liabilities

The following table summarizes any repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For financial reporting purposes, the Portfolio does not offset finan-cial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

Bank of Nova Scotia

BMO Capital Markets BNP Paribas


Merrill Lynch, Pierce, Fenner & Smith, Inc. Total

Assets:

Repurchase agreements** $175,000,000 $85,000,000 $155,000,000 $155,000,000 $154,338,000 $724,338,000

Total Assets $175,000,000 $85,000,000 $155,000,000 $155,000,000 $154,338,000 $724,338,000

Liabilities:

Total Liabilities $— $— $— $— $— $—

Total Financial Net Assets $175,000,000 $85,000,000 $155,000,000 $155,000,000 $154,338,000 $724,338,000

Total collateral received (pledged)##† $175,000,000 $85,000,000 $155,000,000 $155,000,000 $154,338,000

Net amount $— $— $— $— $—

Controlled collateral received (including TBA commitments)** $— $— $— $— $— $—

Uncontrolled collateral received $178,533,078 $86,806,137 $158,129,810 $158,100,092 $162,465,600 $744,034,717

Collateral (pledged) (including TBA commitments)** $— $— $— $— $— $—

** Included with Investments in securities on the Statement of assets and liabilities.† Additional collateral may be required from certain brokers based on individual agreements.## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.



BB9 12/2018


1-800-225-1581

putnam.com

315119 1/2019

100 Federal Street

Boston, MA 02110

putnam.com



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Putnam Retirement Advantage Funds · *Percentages indicated are based on net assets of $721,042,300...

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