Putnam Retirement Advantage Funds...Putnam Retirement Advantage Funds A-6 2030 Fund Shares Value Asset Allocation Funds* 88.0% Putnam Retirement Advantage GAA Balanced Portfolio Ω

Putnam Retirement Advantage Funds

Annual Report Year Ended September 30, 2019


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=319846.pdf


Annual Report Year Ended September 30, 2019

Table of Contents

Putnam Retirement Advantage Funds A-1 – A-33

Putnam Retirement Advantage GAA Equity Portfolio B-1 – B-32

Putnam Retirement Advantage GAA Growth Portfolio C-1 – C-69

Putnam Retirement Advantage GAA Balanced Portfolio D-1 – D-68

Putnam Retirement Advantage GAA Conservative Portfolio E-1 – E-64

Putnam Retirement Advantage GAA Income Strategies Portfolio F-1 – F-60

Putnam Money Market Portfolio G-1 – G-15


Annual report 9 | 30 | 19

Putnam Retirement Advantage 2060 Fund









Putnam Retirement Advantage Maturity Fund

Putnam Retirement Advantage Funds A-2

Table of contentsReport of Independent Auditors ……………………………………… A-3

The funds’ portfolios …………………………………………………… A-4

Statements of assets and liabilities …………………………………… A-8

Statements of operations ……………………………………………… A-10

Statements of changes in net assets ………………………………… A-11

Financial highlights …………………………………………………… A-15

Notes to financial statements ………………………………………… A-20


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

Report of Independent Auditors

To the Trustee of the Putnam Retirement Advantage 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, and Putnam Retirement Advantage Maturity Fund (ten of the series comprising Putnam Retirement Advantage Funds hereinafter collectively referred to as the �Funds�), which comprise the statements of assets and liabilities, including the funds� portfolios, as of September 30, 2019 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 each of the Funds as of September 30, 2019, and the results of each of their operations, changes in each of their net assets and each of the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

December 20, 2019 �


2060 Fund Shares Value

Equity Funds* 99.5%

Putnam Retirement Advantage GAA Equity Portfolio Ω 2,333,055 $44,328,038

Putnam Retirement Advantage GAA Growth Portfolio Ω 659,397 12,218,626

Total equity funds (cost $54,046,921) $56,546,664

Fixed Income Funds* 0.5%

Putnam Money Market Portfolio Ω 284,528 $284,528

Total fixed income funds (cost $284,528) $284,528

Total investments (cost $54,331,449) $56,831,192

*Percentages indicated are based on net assets of $56,809,105


Equity Funds* 99.5%


Putnam Retirement Advantage GAA Growth Portfolio Ω 3,728,659 69,092,059



Putnam Money Market Portfolio Ω 1,051,385 $1,051,385

Total fixed income funds (cost $1,051,385) $1,051,385




Equity Funds* 99.5%









The funds’ portfolios 9/30/19



Equity Funds* 99.3%










Asset Allocation Funds* 1.2%

Putnam Retirement Advantage GAA Balanced Portfolio Ω 372,328 $7,182,207

Total asset allocation funds (cost $6,546,021) $7,182,207

Equity Funds* 96.7%

Putnam Retirement Advantage GAA Growth Portfolio Ω 31,272,494 $579,479,322









Putnam Retirement Advantage GAA Balanced Portfolio Ω 13,539,260 $261,172,328


Equity Funds* 60.8%








The funds’ portfolios 9/30/19 cont.




Putnam Retirement Advantage GAA Balanced Portfolio Ω 40,779,361 $786,633,865


Equity Funds* 7.7%










Putnam Retirement Advantage GAA Income Strategies Portfolio Ω 7,596,319 $123,212,299

Putnam Retirement Advantage GAA Balanced Portfolio Ω 20,282,771 391,254,651

Putnam Retirement Advantage GAA Conservative Portfolio Ω 19,833,966 333,607,308










Putnam Retirement Advantage GAA Balanced Portfolio Ω 2,132,309 41,132,234

Putnam Retirement Advantage GAA Conservative Portfolio Ω 8,806,547 148,126,128







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, 2018 through September 30, 2019 (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 $— $56,831,192 $— $56,831,192

Putnam Retirement Advantage 2055 Fund — 210,007,613 — 210,007,613








Putnam Retirement Advantage Maturity Fund — 445,071,884 — 445,071,884


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


Statements of assets and liabilities 9/30/19

ASSETS






Investments in affiliated Portfolios, at value (Notes 1 and 5) $56,831,192 $210,007,613 $384,960,916 $494,683,004 $599,266,406

Interest receivable 407 1,451 2,780 5,346 22,373

Receivable for units of the fund sold 238,732 459,095 590,688 766,871 833,612

Receivable for securities sold 256,637 740,258 914,502 1,686,293 1,832,400

Total assets 57,326,968 211,208,417 386,468,886 497,141,514 601,954,791

LIABILITIESPayable for units of the fund repurchased 195,009 471,279 413,800 1,011,983 1,166,749

Payable for securities purchased 300,734 729,428 1,093,968 1,446,137 1,519,791

Payable for management fees (Note 3) 22,120 91,900 147,250 205,437 234,288

Total liabilities 517,863 1,292,607 1,655,018 2,663,557 2,920,828

Net assets $56,809,105 $209,915,810 $384,813,868 $494,477,957 $599,033,963

COMPUTATION OF NET ASSET VALUE






Computation of net asset value Class IA

Net assets $3,621,673 $9,959,317 $24,928,496 $33,348,828 $38,739,044

Number of units outstanding 232,331 441,154 1,410,748 1,927,084 2,265,290

Net asset value $15.59 $22.58 $17.67 $17.31 $17.10

Computation of net asset value Class I

Net assets $10,586,240 $41,962,791 $64,653,102 $97,300,648 $105,978,884

Number of units outstanding 684,424 1,874,727 3,690,095 5,670,454 6,251,249

Net asset value $15.47 $22.38 $17.52 $17.16 $16.95

Computation of net asset value Class II

Net assets $22,480 $1,168,945 $2,820,756 $3,175,114 $7,587,410

Number of units outstanding 1,465 52,539 162,066 186,179 450,136

Net asset value $15.35† $22.25 $17.40 $17.05 $16.86

Computation of net asset value Class III

Net assets $2,409,214 $11,806,539 $16,431,553 $12,282,220 $17,874,398

Number of units outstanding 157,185 541,491 973,308 743,239 1,094,251

Net asset value $15.33 $21.80 $16.88 $16.53 $16.33

Computation of net asset value Class IV

Net assets $330,031 $2,238,122 $4,987,685 $10,981,623 $12,565,203


Net asset value $15.24 $21.61 $16.73 $16.38 $16.19

Computation of net asset value Class V

Net assets $7,987,742 $40,464,163 $42,559,884 $80,852,889 $73,218,013

Number of units outstanding 526,259 1,884,673 2,559,429 4,968,512 4,551,250

Net asset value $15.18 $21.47 $16.63 $16.27 $16.09

Computation of net asset value Class X

Net assets $31,851,725 $102,315,933 $228,432,392 $256,536,635 $343,071,011

Number of units outstanding 2,045,880 4,537,851 12,944,678 14,841,828 20,081,815

Net asset value $15.57 $22.55 $17.65 $17.28 $17.08

Cost of investments (Note 2) $54,331,449 $200,385,830 $366,136,732 $472,049,667 $570,668,857

† Net asset value may not recalculate due to rounding of fractional shares.


Statements of assets and liabilities 9/30/19 cont.

ASSETS





Putnam Retirement Advantage

Maturity Fund

Investments in affiliated Portfolios, at value (Notes 1 and 5) $725,517,272 $893,966,717 $889,689,131 $626,080,955 $445,071,884

Interest receivable 42,146 70,369 75,981 21,100 --

Receivable for units of the fund sold 710,060 662,948 724,554 279,746 184,181

Receivable for securities sold 4,017,506 3,791,853 5,571,760 2,118,802 735,007

Total assets 730,286,984 898,491,887 896,061,426 628,500,603 445,991,072

LIABILITIESPayable for units of the fund repurchased 2,618,750 2,329,060 3,971,168 1,269,142 735,007

Payable for securities purchased 2,147,399 2,190,338 2,394,787 1,148,960 184,181

Payable for management fees (Note 3) 307,235 347,352 367,275 232,205 168,290

Total liabilities 5,073,384 4,866,750 6,733,230 2,650,307 1,087,478

Net assets $725,213,600 $893,625,137 $889,328,196 $625,850,296 $444,903,594







Maturity Fund

Computation of net asset value Class IA

Net assets $64,766,998 $109,461,821 $132,747,166 $113,388,306 $118,760,706


Net asset value $16.97 $16.51 $16.02 $15.25 $15.43

Computation of net asset value Class I

Net assets $147,399,275 $151,739,496 $168,765,462 $109,147,837 $54,106,131


Net asset value $16.83 $16.37 $15.88 $15.12 $15.30

Computation of net asset value Class II

Net assets $3,463,231 $11,967,616 $15,555,162 $5,866,454 $2,727,976


Net asset value $16.73 $16.26 $15.77 $15.02 $15.20

Computation of net asset value Class III

Net assets $17,478,117 $30,834,226 $17,043,130 $9,771,601 $9,484,055

Number of units outstanding 1,078,748 1,956,565 1,114,993 671,519 643,463

Net asset value $16.20 $15.76 $15.29 $14.55 $14.74

Computation of net asset value Class IV

Net assets $21,990,794 $16,566,086 $23,394,717 $9,826,604 $9,900,653

Number of units outstanding 1,369,855 1,060,899 1,544,394 681,530 678,295

Net asset value $16.05 $15.62 $15.15 $14.42 $14.60

Computation of net asset value Class V

Net assets $124,348,496 $107,234,537 $142,982,716 $69,174,540 $61,108,716


Net asset value $15.95 $15.52 $15.05 $14.33 $14.51

Computation of net asset value Class X

Net assets $345,766,689 $465,821,355 $388,839,843 $308,674,954 $188,815,357


Net asset value $16.95 $16.49 $16.00 $15.23 $15.41

Cost of investments (Note 2) $688,624,382 $841,524,421 $835,582,149 $581,016,192 $412,358,128



Statements of operations Year ended 9/30/19

INVESTMENT INCOME






Income distributions from Portfolios (Note 5) $4,332 $17,565 $34,079 $58,500 $240,799

EXPENSESManagement fees (Note 3)

Class IA 8,441 23,187 62,347 86,123 101,023

Class I 47,755 197,051 347,256 465,102 578,799

Class II 57 9,823 15,468 18,162 46,313

Class III 11,507 67,951 108,128 74,897 121,666

Class IV 1,780 14,771 35,978 82,186 89,664

Class V 67,110 402,632 426,287 866,329 739,632

Class X 72,008 255,698 601,163 648,134 905,106

Total expenses 208,658 971,113 1,596,627 2,240,933 2,582,203

Net investment loss (204,326) (953,548) (1,562,548) (2,182,433) (2,341,404)

Net realized gain (loss) on sale of Portfolios (Notes 1 and 2) (153,569) 2,200,590 4,913,307 7,410,026 13,199,033

Change in net unrealized appreciation (depreciation) of Portfolios during the year 1,108,626 739,231 (1,254,081) (1,876,433) (8,147,989)

Net gain on investments 955,057 2,939,821 3,659,226 5,533,593 5,051,044

Net increase in net assets resulting from operations $750,731 $1,986,273 $2,096,678 $3,351,160 $2,709,640

INVESTMENT INCOME






Maturity Fund

Income distributions from Portfolios (Note 5) $478,552 $815,684 $883,037 $318,083 $--

EXPENSESManagement fees (Note 3)

Class IA 170,838 294,311 352,271 307,717 323,684

Class I 728,055 860,681 867,901 638,538 305,610

Class II 20,263 69,700 96,985 35,636 20,160

Class III 110,875 206,630 101,847 72,033 62,997

Class IV 182,899 134,190 201,984 85,326 89,019

Class V 1,311,963 1,115,775 1,533,220 749,455 663,115

Class X 912,709 1,253,062 1,005,564 831,178 512,866

Total expenses 3,437,602 3,934,349 4,159,772 2,719,883 1,977,451

Net investment loss (2,959,050) (3,118,665) (3,276,735) (2,401,800) (1,977,451)

Net realized gain on sale of Portfolios (Notes 1 and 2) 14,679,950 14,991,473 12,947,745 7,955,652 17,937,706

Change in net unrealized appreciation (depreciation) of Portfolios during the year (4,067,672) 4,217,553 17,765,871 24,982,896 6,414,807

Net gain on investments 10,612,278 19,209,026 30,713,616 32,938,548 24,352,513

Net increase in net assets resulting from operations $7,653,228 $16,090,361 $27,436,881 $30,536,748 $22,375,062


Statements of changes in net assets

TOTAL INCREASE IN NET ASSETSPutnam Retirement

Advantage 2060 Fund

Year ended 9/30/19

Operations:

Net investment loss $(204,326)

Net realized loss on sale of Portfolios (153,569)

Change in net unrealized appreciation of Portfolios 1,108,626

Net increase in net assets resulting from operations 750,731

Increase in net assets from principal transactions (Note 4) 26,413,923

Total increase in net assets 27,164,654

NET ASSETSBeginning of year 29,644,451

End of year $56,809,105


Advantage 2055 Fund

Year ended 9/30/19

Operations:

Net investment loss $(953,548)

Net realized gain on sale of Portfolios 2,200,590

Change in net unrealized appreciation of Portfolios 739,231

Net increase in net assets resulting from operations 1,986,273




End of year $209,915,810


Advantage 2050 Fund

Year ended 9/30/19

Operations:

Net investment loss $(1,562,548)


Change in net unrealized depreciation of Portfolios (1,254,081)





End of year $384,813,868


Statements of changes in net assets cont.


Advantage 2045 Fund

Year ended 9/30/19

Operations:








End of year $494,477,957


Advantage 2040 Fund

Year ended 9/30/19

Operations:








End of year $599,033,963


Advantage 2035 Fund

Year ended 9/30/19

Operations:








End of year $725,213,600






Advantage 2030 Fund

Year ended 9/30/19

Operations:








End of year $893,625,137


Advantage 2025 Fund

Year ended 9/30/19

Operations:








End of year $889,328,196


Advantage 2020 Fund

Year ended 9/30/19

Operations:








End of year $625,850,296



TOTAL INCREASE IN NET ASSETS


Maturity Fund

Year ended 9/30/19

Operations:








End of year $444,903,594



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 The net realized and unrealized gain (loss) on investments per unit amounts shown may not correspond with amounts shown on the Statement of changes in net

assets due to the timing of subscriptions/redemptions in the fund.

Financial highlights (For a unit outstanding throughout the year)


INVESTMENT OPERATIONS: RATIOS AND SUPPLEMENTAL DATA:

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Putnam Retirement Advantage 2060 FundCLASS IA September 30, 2019 $15.71 (.04) (.08) (.12) $15.59 (.76) $3,622 .28 (.27)CLASS I September 30, 2019 $15.63 (.07) (.09) (.16) $15.47 (1.02) $10,586 .50 (.49)CLASS II September 30, 2019 $15.52 (.09) (.08) (.17) $15.35 (1.10) $22 .60 (.59)CLASS III September 30, 2019 $15.52 (.11) (.08) (.19) $15.33 (1.22) $2,409 .75 (.74)CLASS IV September 30, 2019 $15.46 (.13) (.09) (.22) $15.24 (1.42) $330 .90 (.89)CLASS VSeptember 30, 2019 $15.42 (.15) (.09) (.24) $15.18 (1.56) $7,988 1.05 (1.04)CLASS XSeptember 30, 2019 $15.70 (.05) (.08) (.13) $15.57 (.83) $31,852 .35 (.34)Putnam Retirement Advantage 2055 FundCLASS IA September 30, 2019 $22.75 (.06) (.11) (.17) $22.58 (.75) $9,959 .28 (.27)CLASS ISeptember 30, 2019 $22.60 (.11) (.11) (.22) $22.38 (.97) $41,963 .50 (.49)CLASS II September 30, 2019 $22.49 (.13) (.11) (.24) $22.25 (1.07) $1,169 .60 (.59)CLASS III September 30, 2019 $22.07 (.16) (.11) (.27) $21.80 (1.22) $11,807 .75 (.74)CLASS IV September 30, 2019 $21.91 (.19) (.11) (.30) $21.61 (1.37) $2,238 .90 (.89)CLASS V September 30, 2019 $21.80 (.22) (.11) (.33) $21.47 (1.51) $40,464 1.05 (1.04)CLASS XSeptember 30, 2019 $22.74 (.07) (.12) (.19) $22.55 (.84) $102,316 .35 (.34)


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


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Putnam Retirement Advantage 2050 FundCLASS IA September 30, 2019 $17.78 (.05) (.06) (.11) $17.67 (.62) $24,928 .28 (.27)CLASS ISeptember 30, 2019 $17.67 (.08) (.07) (.15) $17.52 (.85) $64,653 .50 (.49)CLASS IISeptember 30, 2019 $17.57 (.10) (.07) (.17) $17.40 (.97) $2,821 .60 (.59)CLASS IIISeptember 30, 2019 $17.07 (.12) (.07) (.19) $16.88 (1.11) $16,432 .75 (.74)CLASS IVSeptember 30, 2019 $16.94 (.14) (.07) (.21) $16.73 (1.24) $4,988 .90 (.89)CLASS V September 30, 2019 $16.86 (.17) (.06) (.23) $16.63 (1.36) $42,560 1.05 (1.04)CLASS XSeptember 30, 2019 $17.77 (.06) (.06) (.12) $17.65 (.68) $228,432 .35 (.34)Putnam Retirement Advantage 2045 FundCLASS IA September 30, 2019 $17.39 (.04) (.04) (.08) $17.31 (.46) $33,349 .28 (.27)CLASS ISeptember 30, 2019 $17.28 (.08) (.04) (.12) $17.16 (.69) $97,301 .50 (.49)CLASS II September 30, 2019 $17.19 (.10) (.04) (.14) $17.05 (.81) $3,175 .60 (.59)CLASS III September 30, 2019 $16.68 (.12) (.03) (.15) $16.53 (.90) $12,282 .75 (.74)CLASS IVSeptember 30, 2019 $16.56 (.14) (.04) (.18) $16.38 (1.09) $10,982 .90 (.89)CLASS V September 30, 2019 $16.48 (.16) (.05) (.21) $16.27 (1.27) $80,853 1.05 (1.04)CLASS XSeptember 30, 2019 $17.38 (.06) (.04) (.10) $17.28 (.58) $256,537 .35 (.34)









Year ended Net

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Putnam Retirement Advantage 2040 FundCLASS IA September 30, 2019 $17.15 (.04) (.01) (.05) $17.10 (.29) $38,739 .28 (.23)

CLASS ISeptember 30, 2019 $17.04 (.07) (.02) (.09) $16.95 (.53) $105,979 .50 (.45)

CLASS II September 30, 2019 $16.96 (.09) (.01) (.10) $16.86 (.59) $7,587 .60 (.55)

CLASS III September 30, 2019 $16.46 (.11) (.02) (.13) $16.33 (.79) $17,874 .75 (.70)

CLASS IVSeptember 30, 2019 $16.34 (.13) (.02) (.15) $16.19 (.92) $12,565 .90 (.85)

CLASS V September 30, 2019 $16.26 (.16) (.01) (.17) $16.09 (1.05) $73,218 1.05 (1.00)

CLASS XSeptember 30, 2019 $17.15 (.05) (.02) (.07) $17.08 (.41) $343,071 .35 (.30)

Putnam Retirement Advantage 2035 FundCLASS IA September 30, 2019 $16.91 (.03) .09 .06 $16.97 .35 $64,767 .28 (.20)CLASS ISeptember 30, 2019 $16.81 (.07) .09 .02 $16.83 .12 $147,399 .50 (.42)CLASS II September 30, 2019 $16.73 (.08) .08 (.00) $16.73 (.00) $3,463 .60 (.52)CLASS III September 30, 2019 $16.23 (.11) .08 (.03) $16.20 (.18) $17,478 .75 (.67)CLASS IVSeptember 30, 2019 $16.10 (.13) .08 (.05) $16.05 (.31) $21,991 .90 (.82)CLASS V September 30, 2019 $16.02 (.15) .08 (.07) $15.95 (.44) $124,348 1.05 (.97)CLASS XSeptember 30, 2019 $16.91 (.04) .08 .04 $16.95 .24 $345,767 .35 (.27)





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Putnam Retirement Advantage 2030 FundCLASS IA September 30, 2019 $16.28 (.03) .26 .23 $16.51 1.41 $109,462 .28 (.18)CLASS ISeptember 30, 2019 $16.18 (.06) .25 .19 $16.37 1.17 $151,739 .50 (.40)CLASS II September 30, 2019 $16.09 (.08) .25 .17 $16.26 1.06 $11,968 .60 (.50)CLASS III September 30, 2019 $15.61 (.10) .25 .15 $15.76 .96 $30,834 .75 (.65)CLASS IVSeptember 30, 2019 $15.49 (.12) .25 .13 $15.62 .84 $16,566 .90 (.80)CLASS V September 30, 2019 $15.42 (.14) .24 .10 $15.52 .65 $107,235 1.05 (.95)CLASS XSeptember 30, 2019 $16.27 (.04) .26 .22 $16.49 1.35 $465,821 .35 (.25)Putnam Retirement Advantage 2025 FundCLASS IA September 30, 2019 $15.55 (.03) .50 .47 $16.02 3.02 $132,747 .28 (.17)CLASS ISeptember 30, 2019 $15.45 (.06) .49 .43 $15.88 2.78 $168,765 .50 (.39)CLASS II September 30, 2019 $15.37 (.07) .47 .40 $15.77 2.60 $15,555 .60 (.49)CLASS III September 30, 2019 $14.92 (.09) .46 .37 $15.29 2.48 $17,043 .75 (.64)CLASS IVSeptember 30, 2019 $14.80 (.11) .46 .35 $15.15 2.36 $23,395 .90 (.79)CLASS V September 30, 2019 $14.73 (.14) .46 .32 $15.05 2.17 $142,983 1.05 (.94)CLASS XSeptember 30, 2019 $15.55 (.04) .49 .45 $16.00 2.89 $388,840 .35 (.24)







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Putnam Retirement Advantage 2020 FundCLASS IA September 30, 2019 $14.50 (.03) .78 .75 $15.25 5.17 $113,388 .28 (.22)CLASS ISeptember 30, 2019 $14.41 (.06) .77 .71 $15.12 4.93 $109,148 .50 (.44)CLASS II September 30, 2019 $14.33 (.08) .77 .69 $15.02 4.82 $5,866 .60 (.54)CLASS III September 30, 2019 $13.91 (.10) .74 .64 $14.55 4.60 $9,772 .75 (.69)CLASS IVSeptember 30, 2019 $13.80 (.12) .74 .62 $14.42 4.49 $9,827 .90 (.84)CLASS V September 30, 2019 $13.73 (.14) .74 .60 $14.33 4.37 $69,175 1.05 (.99)CLASS XSeptember 30, 2019 $14.50 (.04) .77 .73 $15.23 5.03 $308,675 .35 (.30)Putnam Retirement Advantage Maturity FundCLASS IA September 30, 2019 $14.65 (.04) .82 .78 $15.43 5.32 $118,761 .28 (.28)CLASS ISeptember 30, 2019 $14.56 (.07) .81 .74 $15.30 5.08 $54,106 .50 (.50)CLASS II September 30, 2019 $14.48 (.09) .81 .72 $15.20 4.97 $2,728 .60 (.60)CLASS III September 30, 2019 $14.06 (.11) .79 .68 $14.74 4.84 $9,484 .75 (.75)CLASS IVSeptember 30, 2019 $13.95 (.13) .78 .65 $14.60 4.66 $9,901 .90 (.90)CLASS V September 30, 2019 $13.88 (.15) .78 .63 $14.51 4.54 $61,109 1.05 (1.05)CLASS XSeptember 30, 2019 $14.64 (.05) .82 .77 $15.41 5.26 $188,815 .35 (.35)





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.

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

Notes to financial statements 9/30/19


Within the following Notes to financial statements, unless otherwise noted, the “reporting period” represents the period from October 1, 2018 through September 30, 2019.

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, 2019), through the date of the financial statements (December 20, 2019), 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$150 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 (5) 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 6.33%Putnam Retirement Advantage 2050 Fund 6.40%, 6.53%Putnam Retirement Advantage 2045 Fund 6.65%Putnam Retirement Advantage 2040 Fund 6.37%Putnam Retirement Advantage 2035 Fund 8.80%Putnam Retirement Advantage 2030 Fund 12.10%Putnam Retirement Advantage 2025 Fund 14.70%Putnam Retirement Advantage 2020 Fund 17.93%Putnam Retirement Advantage Maturity Fund 26.43%

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 9/30/19Class IA Units AmountUnits Sold 281,907 $4,109,464 Units Repurchased (215,095) (3,077,247)Net increase 66,812 $1,032,217

Class I Units AmountUnits Sold 493,612 $7,344,239 Units Repurchased (702,969) (10,217,292)Net decrease (209,357) $(2,873,053)

Class II Units AmountUnits Sold 1,378 $20,564 Units Repurchased (2) (36)Net increase 1,376 $20,528

Class III Units AmountUnits Sold 160,906 $2,294,504 Units Repurchased (31,901) (474,546)Net increase 129,005 $1,819,958

Class IV Units AmountUnits Sold 17,362 $254,440 Units Repurchased (6,240) (88,310)Net increase 11,122 $166,130

Class V Units AmountUnits Sold 362,495 $5,300,167 Units Repurchased (178,347) (2,600,733)Net increase 184,148 $2,699,434

Class X Units AmountUnits Sold 2,038,125 $30,350,442 Units Repurchased (450,850) (6,801,733)Net increase 1,587,275 $23,548,709



Class I Units AmountUnits Sold 1,176,351 $25,155,831 Units Repurchased (1,276,628) (27,213,416)Net decrease (100,277) $(2,057,585)

Class II Units AmountUnits Sold 61,729 $1,335,584 Units Repurchased (82,102) (1,797,650)Net decrease (20,373) $(462,066)

Class III Units AmountUnits Sold 682,305 $13,484,822 Units Repurchased (396,659) (7,990,251)Net increase 285,646 $5,494,571

Class IV Units AmountUnits Sold 50,370 $1,068,339 Units Repurchased (23,570) (490,249)Net increase 26,800 $578,090

Class V Units AmountUnits Sold 839,462 $17,352,028 Units Repurchased (705,471) (14,654,940)Net increase 133,991 $2,697,088

Class X Units AmountUnits Sold 3,536,612 $76,472,523 Units Repurchased (800,667) (17,448,299)Net increase 2,735,945 $59,024,224




Class I Units AmountUnits Sold 1,923,848 $32,109,233 Units Repurchased (4,113,876) (67,765,462)Net decrease (2,190,028) $(35,656,229)

Class II Units AmountUnits Sold 57,196 $959,505 Units Repurchased (37,014) (630,976)Net increase 20,182 $328,529


Class IV Units AmountUnits Sold 115,134 $1,869,650 Units Repurchased (41,095) (661,561)Net increase 74,039 $1,208,089

Class V Units AmountUnits Sold 1,058,903 $16,955,207 Units Repurchased (927,968) (14,972,504)Net increase 130,935 $1,982,703

Class X Units AmountUnits Sold 9,228,038 $155,337,670 Units Repurchased (1,765,795) (30,083,612)Net increase 7,462,243 $125,254,058



Class I Units AmountUnits Sold 2,998,335 $48,961,302 Units Repurchased (3,380,575) (55,053,189)Net decrease (382,240) $(6,091,887)

Class II Units AmountUnits Sold 33,302 $544,570 Units Repurchased (19,320) (326,635)Net increase 13,982 $217,935


Class IV Units AmountUnits Sold 169,460 $2,723,301 Units Repurchased (89,824) (1,367,921)Net increase 79,636 $1,355,380

Class V Units AmountUnits Sold 1,783,164 $27,950,695 Units Repurchased (2,147,901) (33,765,079)Net decrease (364,737) $(5,814,384)






Class II Units AmountUnits Sold 61,141 $986,816 Units Repurchased (81,584) (1,340,523)Net decrease (20,443) $(353,707)

Class III Units AmountUnits Sold 537,259 $8,379,004 Units Repurchased (735,683) (11,391,224)Net decrease (198,424) $(3,012,220)


Class V Units AmountUnits Sold 1,513,293 $23,496,586 Units Repurchased (1,383,972) (21,547,661)Net increase 129,321 $1,948,925





Class II Units AmountUnits Sold 52,183 $839,336 Units Repurchased (52,949) (858,124)Net decrease (766) $(18,788)


Class IV Units AmountUnits Sold 197,853 $3,099,168 Units Repurchased (186,566) (2,784,412)Net increase 11,287 $314,756








Class III Units AmountUnits Sold 766,490 $11,619,885 Units Repurchased (822,667) (12,360,738)Net decrease (56,177) $(740,853)







Class II Units AmountUnits Sold 96,303 $1,433,054 Units Repurchased (232,969) (3,543,890)Net decrease (136,666) $(2,110,836)


Class IV Units AmountUnits Sold 260,678 $3,838,167 Units Repurchased (495,521) (6,963,006)Net decrease (234,843) $(3,124,839)





Year ended 9/30/19Class IA Units AmountUnits Sold 313,571 $4,592,707 Units Repurchased (522,261) (7,665,670)Net decrease (208,690) $(3,072,963)



Class III Units AmountUnits Sold 301,200 $4,207,954 Units Repurchased (417,648) (5,808,899)Net decrease (116,448) $(1,600,945)

Class IV Units AmountUnits Sold 157,271 $2,203,105 Units Repurchased (243,300) (3,338,784)Net decrease (86,029) $(1,135,679)




Year ended 9/30/19Class IA Units AmountUnits Sold 455,225 $6,713,266 Units Repurchased (837,886) (12,321,479)Net decrease (382,661) $(5,608,213)


Class II Units AmountUnits Sold 11,056 $166,394 Units Repurchased (94,341) (1,387,595)Net decrease (83,285) $(1,221,201)

Class III Units AmountUnits Sold 416,733 $5,762,684 Units Repurchased (351,496) (4,827,142)Net increase 65,237 $935,542

Class IV Units AmountUnits Sold 49,999 $705,815 Units Repurchased (161,727) (2,232,935)Net decrease (111,728) $(1,527,120)

Class V Units AmountUnits Sold 965,160 $13,361,694 Units Repurchased (1,599,574) (22,179,351)Net decrease (634,414) $(8,817,657)



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

9/30/18Purchase

costSale

proceedsInvestment

incomePutnam Retirement Advantage GAA Equity Portfolio $23,132,675 $38,792,516 $18,321,074 $—

Putnam Retirement Advantage GAA Growth Portfolio 6,376,314 10,713,381 5,102,205 —

Putnam Money Market Portfolio 148,286 452,317 316,075 4,332

Totals $29,657,275 $49,958,214 $23,739,354 $4,332



9/30/18Purchase

costSale

proceedsInvestment



Putnam Money Market Portfolio 700,183 1,659,012 1,307,810 17,565

Totals $140,036,540 $145,217,529 $78,186,277 $17,565



9/30/18Purchase

costSale

proceedsInvestment



Putnam Money Market Portfolio 1,417,058 2,691,493 2,181,180 34,079

Totals $283,411,679 $235,535,213 $137,645,202 $34,079



9/30/18Purchase

costSale

proceedsInvestment




Totals $358,055,405 $286,669,585 $155,575,579 $58,500



9/30/18Purchase

costSale

proceedsInvestment

incomePutnam Retirement Advantage GAA Balanced Portfolio $— $7,961,593 $1,540,017 $—

Putnam Retirement Advantage GAA Equity Portfolio 13,056,194 3,294,543 14,454,143 —



Totals $466,292,553 $356,991,651 $229,068,842 $240,799


Putnam Retirement Advantage 2060 Fund cont.

Name of affiliateRealized

gain (loss)

Change in unrealized appreciation

(depreciation)Shares outstanding

as of 9/30/19Fair value as of

9/30/19Putnam Retirement Advantage GAA Equity Portfolio $(124,003) $847,924 2,333,055 $44,328,038

Putnam Retirement Advantage GAA Growth Portfolio (29,566) 260,702 659,397 12,218,626

Putnam Money Market Portfolio — — 284,528 284,528

Totals $(153,569) $1,108,626 $56,831,192



gain (loss)




9/30/19Putnam Retirement Advantage GAA Equity Portfolio $1,679,750 $(610,869) 7,361,272 $139,864,169

Putnam Retirement Advantage GAA Growth Portfolio 520,840 1,350,100 3,728,659 69,092,059

Putnam Money Market Portfolio — — 1,051,385 1,051,385

Totals $2,200,590 $739,231 $210,007,613



gain (loss)




9/30/19Putnam Retirement Advantage GAA Equity Portfolio $2,763,522 $(3,511,365) 8,914,825 $169,381,668

Putnam Retirement Advantage GAA Growth Portfolio 2,149,785 2,257,284 11,530,053 213,651,877


Totals $4,913,307 $(1,254,081) $384,960,916



gain (loss)




9/30/19Putnam Retirement Advantage GAA Equity Portfolio $1,106,063 $(2,569,673) 4,998,852 $94,978,186

Putnam Retirement Advantage GAA Growth Portfolio 6,303,963 693,240 21,383,547 396,237,117


Totals $7,410,026 $(1,876,433) $494,683,004



gain (loss)




9/30/19Putnam Retirement Advantage GAA Balanced Portfolio $124,445 636,186 372,328 $7,182,207

Putnam Retirement Advantage GAA Equity Portfolio (924,693) (971,901) — —

Putnam Retirement Advantage GAA Growth Portfolio 13,999,281 (7,812,274) 31,272,494 579,479,322


Totals $13,199,033 $(8,147,989) $599,266,406




9/30/18Purchase

costSale

proceedsInvestment

incomePutnam Retirement Advantage GAA Balanced Portfolio $152,594,351 $163,592,075 $67,272,791 $—



Totals $561,008,643 $404,077,769 $250,181,418 $478,552



9/30/18Purchase

costSale

proceedsInvestment

incomePutnam Retirement Advantage GAA Balanced Portfolio $553,998,608 $459,696,106 $256,694,963 $—



Totals $721,352,357 $541,650,870 $388,245,536 $815,684



9/30/18Purchase

costSale

proceedsInvestment

incomePutnam Retirement Advantage GAA Income Strategies Portfolio $76,885,039 $69,994,006 $31,250,333 $—

Putnam Retirement Advantage GAA Balanced Portfolio 402,200,064 195,062,760 207,738,864 —

Putnam Retirement Advantage GAA Conservative Portfolio 186,252,785 207,867,186 81,912,001 —


Totals $697,053,837 $498,831,217 $336,909,539 $883,037



9/30/18Purchase

costSale

proceedsInvestment


Putnam Retirement Advantage GAA Balanced Portfolio 44,448,518 23,992,586 27,486,249 —

Putnam Retirement Advantage GAA Conservative Portfolio 254,286,851 111,562,498 218,930,314 —


Totals $516,843,205 $480,967,255 $404,668,053 $318,083



9/30/18Purchase

costSale

proceedsInvestment


Totals $374,020,961 $199,979,016 $153,280,606 $—




gain (loss)




9/30/19Putnam Retirement Advantage GAA Balanced Portfolio $2,354,606 $9,904,087 13,539,260 $261,172,328

Putnam Retirement Advantage GAA Growth Portfolio 12,325,344 (13,971,759) 23,804,158 441,091,042


Totals $14,679,950 $(4,067,672) $725,517,272



gain (loss)




9/30/19Putnam Retirement Advantage GAA Balanced Portfolio $16,986,506 $12,647,608 40,779,361 $786,633,865

Putnam Retirement Advantage GAA Growth Portfolio (1,995,033) (8,430,055) 3,714,542 68,830,464


Totals $14,991,473 $4,217,553 $893,966,717



gain (loss)




9/30/19Putnam Retirement Advantage GAA Income Strategies Portfolio $1,291,555 $6,292,032 7,596,319 $123,212,299

Putnam Retirement Advantage GAA Balanced Portfolio 9,715,829 (7,985,138) 20,282,771 391,254,651

Putnam Retirement Advantage GAA Conservative Portfolio 1,940,361 19,458,977 19,833,966 333,607,308


Totals $12,947,745 $17,765,871 $889,689,131



gain (loss)





Putnam Retirement Advantage GAA Balanced Portfolio 1,051,598 (874,219) 2,132,309 41,132,234

Putnam Retirement Advantage GAA Conservative Portfolio 1,781,531 (574,438) 8,806,547 148,126,128


Totals $7,955,652 $24,982,896 $626,080,955

Putnam Retirement Advantage Maturity Fund cont.


gain (loss)





Totals $17,937,706 $6,414,807 $445,071,884


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.

7. Subsequent EventEffective December 18, 2019, the Putnam Retirement Advantage Funds will be renamed the “Putnam Retirement Advantage Trusts”. Each individual Fund will be renamed as indicated in the table below:

Current Fund Name New Fund Name Effective December 18, 2019

Putnam Retirement Advantage 2060 Fund Putnam Retirement Advantage 2060 Trust









Putnam Retirement Advantage Maturity Fund Putnam Retirement Advantage Maturity Trust


This page intentionally left blank.

100 Federal Street Boston, MA 02110

1-800-225-1581

putnam.com

DC 12/2019

Putnam Retirement Advantage GAA Equity Portfolio


Putnam Retirement Advantage GAA Equity Portfolio B-2

Table of contentsReport of Independent Auditors ……………………………………… B-3

The fund’s portfolio …………………………………………………… B-4

Statement of assets and liabilities …………………………………… B-21

Statement of operations ……………………………………………… B-22

Statement of changes in net assets …………………………………… B-23

Financial highlights …………………………………………………… B-24

Notes to financial statements ………………………………………… B-25



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 fund's portfolio, as of September 30, 2019 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 pe1form 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 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, 2019, 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 18, 2019

PricewaterhouseCoopers LLP, 101 Seaport Blvd, Boston, MA 02110 T: 617-530-5000, F: 617-530-5001 www.pwc.com


The fund’s portfolio 9/30/19

COMMON STOCKS (89.9%)* Shares Value

Basic materials (3.1%)

Anglo American PLC (United Kingdom) 27,385 $631,465

Arkema SA (France) 4,358 406,313

Armstrong World Industries, Inc. 2,733 264,281

Asian Paints, Ltd. (India) 22,537 560,382

Axalta Coating Systems, Ltd. 17,530 528,530

BHP Billiton PLC (United Kingdom) 21,947 468,532

Boliden AB (Sweden) 4,276 98,396

Celanese Corp. 2,670 326,514

CF Industries Holdings, Inc. 20,618 1,014,406

China Lesso Group Holdings, Ltd. (China) 365,000 345,473

Corteva, Inc. 51,736 1,448,608

Covestro AG (Germany) 15,973 790,585

CRH PLC (Ireland) 11,175 384,860

Eastman Chemical Co. 7,009 517,474

Fortescue Metals Group, Ltd. (Australia) 73,894 438,573

Glencore PLC (United Kingdom) 4,167 12,568

HeidelbergCement AG (Germany) 7,733 559,112

HOCHTIEF AG (Germany) 2,518 287,140

LyondellBasell Industries NV Class A 2,121 189,766

NewMarket Corp. 576 271,924

PPG Industries, Inc. 3,323 393,809

Reliance Steel & Aluminum Co. 3,451 343,927

Rio Tinto PLC (United Kingdom) 19,872 1,030,711

Rio Tinto, Ltd. (Australia) 1,168 73,001

Sherwin-Williams Co. (The) 486 267,236

Shin-Etsu Chemical Co., Ltd. (Japan) 7,300 780,828

Steel Dynamics, Inc. 17,288 515,182

Taisei Corp. (Japan) 11,100 429,827

Tosoh Corp. (Japan) 19,000 251,048

W.R. Grace & Co. 2,440 162,894

13,793,365

Capital goods (5.6%)

ACS Actividades de Construccion y Servicios SA (Spain) 14,104 563,691

Allison Transmission Holdings, Inc. 11,281 530,772

AptarGroup, Inc. 131 15,517

Avery Dennison Corp. 118 13,401

Ball Corp. 7,190 523,504

Berry Plastics Group, Inc. 13,131 515,654

Caterpillar, Inc. 8,857 1,118,728

Clean TeQ Holdings, Ltd. (Australia) 564,111 116,042

Cummins, Inc. 10,448 1,699,576

Curtiss-Wright Corp. 1,624 210,097

Dassault Aviation SA (France) 110 155,659

Dover Corp. 6,504 647,538


COMMON STOCKS (89.9%)* cont. Shares Value

Capital goods cont.

Emerson Electric Co. 16,810 $1,123,917

Faurecia SA (France) 11,211 531,911

General Dynamics Corp. 91 16,628

HD Supply Holdings, Inc. 18,389 720,389

HEICO Corp. 4,437 554,092

Hitachi, Ltd. (Japan) 24,800 923,159

Honeywell International, Inc. 19,549 3,307,690

IDEX Corp. 3,149 516,058

Ingersoll-Rand PLC 16,424 2,023,601

KEI Industries, Ltd. (India) 33,764 258,892

Legrand SA (France) 5,484 391,482

Lockheed Martin Corp. 8,680 3,385,721

Obayashi Corp. (Japan) 22,000 219,033

Republic Services, Inc. 7,436 643,586

Roper Technologies, Inc. 1,609 573,769

Sandvik AB (Sweden) 51,005 795,514

Silgan Holdings, Inc. 822 24,689

Sunny Friend Environmental Technology Co., Ltd. (Taiwan) 35,000 306,290

Teledyne Technologies, Inc. 1,507 485,239

Voltronic Power Technology Corp. (Taiwan) 13,000 268,175

Waste Management, Inc. 16,773 1,928,895

25,108,909

Communication services (4.7%)

Altice USA, Inc. Class A 29,332 841,242

AT&T, Inc. 12,257 463,805

BT Group PLC (United Kingdom) 98,042 215,755

Charter Communications, Inc. Class A 336 138,472

Comcast Corp. Class A 110,934 5,000,905

Crown Castle International Corp. R 12,391 1,722,473

Deutsche Telekom AG (Germany) 44,495 746,739

Equinix, Inc. R 647 373,190

Eutelsat Communications SA (France) 5,388 100,299

Hikari Tsushin, Inc. (Japan) 1,900 411,029

Juniper Networks, Inc. 25,629 634,318

KDDI Corp. (Japan) 37,400 977,608

Megacable Holdings SAB de CV (Units) (Mexico) 53,901 217,007

Nippon Telegraph & Telephone Corp. (Japan) 11,600 553,408

Safaricom PLC (Kenya) 1,307,349 346,193

T-Mobile US, Inc. 3,159 248,834

Telekomunikasi Indonesia Persero Tbk PT (Indonesia) 1,388,200 421,496

Telephone & Data Systems, Inc. 8,164 210,631

Telstra Corp., Ltd. (Australia) 292,961 693,532

Verizon Communications, Inc. 110,747 6,684,689

21,001,625

Conglomerates (0.6%)

AMETEK, Inc. 8,931 820,044

Danaher Corp. 12,800 1,848,704



Conglomerates cont.

Mitsui & Co., Ltd. (Japan) 3,400 $55,621

2,724,369

Consumer cyclicals (11.8%)

Amazon.com, Inc. 5,781 10,035,296

Aristocrat Leisure, Ltd. (Australia) 34,718 716,516

Automatic Data Processing, Inc. 17,397 2,808,223

AutoZone, Inc. 138 149,678

Berkeley Group Holdings PLC (The) (United Kingdom) 3,692 190,130

Best Buy Co., Inc. 24,788 1,710,124

Booking Holdings, Inc. 1,557 3,055,784

Brambles, Ltd. (Australia) 12,570 96,647

Bridgestone Corp. (Japan) 1,400 54,199

China International Travel Service Corp., Ltd. Class A (China) 21,700 282,893

CK Hutchison Holdings, Ltd. (Hong Kong) 39,000 344,261

Clicks Group, Ltd. (South Africa) 25,256 358,106

Compagnie Generale des Etablissements Michelin SCA (France) 6,377 711,906

Companhia De Locacao das Americas (Brazil) 18,454 224,617

CoStar Group, Inc. 475 281,770

CP ALL PCL (Thailand) 121,900 322,835

Daiwa House Industry Co., Ltd. (Japan) 10,800 350,357

Daum Communications Corp. (South Korea) 2,719 308,009

Discovery, Inc. Class A 24,401 649,799

Ecolab, Inc. 393 77,830

Expedia, Inc. 12,690 1,705,663

Extended Stay America, Inc. (Units) 15,254 223,319

Fiat Chrysler Automobiles NV (Italy) 50,558 654,365

Fu Shou Yuan International Group, Ltd. (China) 350,000 309,399

Geberit International AG (Switzerland) 851 406,746

Genting Bhd (Singapore) 435,700 277,255

Harvey Norman Holdings, Ltd. (Australia) 19,103 58,365

Harvey Norman Holdings, Ltd. (Rights) (Australia) 3,289 3,982

Hermes International (France) 1,139 787,262

Hilton Worldwide Holdings, Inc. 14,701 1,368,810

Industria de Diseno Textil SA (Inditex) (Spain) 11,707 362,468

Interpublic Group of Cos., Inc. (The) 20,857 449,677

JUMBO SA (Greece) 12,098 229,625

KAR Auction Services, Inc. 14,083 345,738

Kering SA (France) 2,328 1,186,635

Li Ning Co., Ltd. (China) 101,000 289,882

Liberty Media Corp.-Liberty SiriusXM Class A 5,329 221,527

Liberty Media Corp.-Liberty SiriusXM Class C 1,067 44,771

Lowe’s Cos., Inc. 17,516 1,926,059

Macquarie Infrastructure Co., LLC 4,559 179,944

News Corp. Class A 19,133 266,331

Nielsen Holdings PLC 20,030 425,638

Nintendo Co., Ltd. (Japan) 2,400 888,716



Consumer cyclicals cont.

Norwegian Cruise Line Holdings, Ltd. 13,965 $722,968

Omnicom Group, Inc. 19,839 1,553,394

PayPal Holdings, Inc. 53,019 5,492,238

Peugeot SA (France) 32,107 800,870

Porsche Automobil Holding SE (Preference) (Germany) 1,001 65,150

Poya International Co., Ltd. (Taiwan) 20,090 285,247

PulteGroup, Inc. 7,408 270,762

Ross Stores, Inc. 1,635 179,605

ServiceMaster Global Holdings, Inc. 5,135 287,046

Shenzhou International Group Holdings, Ltd. (China) 23,200 303,044

Sinclair Broadcast Group, Inc. Class A 8,553 365,555

Sony Corp. (Japan) 18,400 1,080,590

Taylor Wimpey PLC (United Kingdom) 132,274 263,247

TJX Cos., Inc. (The) 5,264 293,415

Toyota Motor Corp. (Japan) 700 46,738

Verisk Analytics, Inc. Class A 4,202 664,504

Volvo AB (Sweden) 57,044 802,096

Walmart, Inc. 24,163 2,867,665

Walt Disney Co. (The) 3,014 392,784

Wilcon Depot, Inc. (Philippines) 627,700 199,827

Wolters Kluwer NV (Netherlands) 11,199 817,769

53,095,671

Consumer staples (9.3%)

AfreecaTV Co., Ltd. (South Korea) 4,077 218,822

Ashtead Group PLC (United Kingdom) 28,126 784,695

Associated British Foods PLC (United Kingdom) 18,710 530,987

Bright Horizons Family Solutions, Inc. 299 45,598

British American Tobacco PLC (United Kingdom) 12,419 460,266

Carlsberg A/S Class B (Denmark) 5,574 824,069

Coca-Cola Co. (The) 93,402 5,084,805

Coca-Cola European Partners PLC (United Kingdom) 3,739 207,328

Coca-Cola HBC AG (Switzerland) 19,253 630,386

Colgate-Palmolive Co. 955 70,202

Darden Restaurants, Inc. 9,882 1,168,250

Dino Polska SA (Poland) 6,331 247,925

Essity AB Class B (Sweden) 22,252 650,214

Fomento Economico Mexicano SAB de CV ADR (Mexico) 7,568 693,077

Hershey Co. (The) 9,747 1,510,687

Imperial Brands PLC (United Kingdom) 18,812 423,814

ITOCHU Corp. (Japan) 40,800 842,237

Jubilant Foodworks, Ltd. (India) 25,824 495,354

LG Household & Health Care, Ltd. (South Korea) 434 474,220

McDonald’s Corp. 234 50,242

Mondelez International, Inc. Class A 51,089 2,826,244

Nestle India, Ltd. (India) 2,753 539,563

Nestle SA (Switzerland) 11,727 1,273,429



Consumer staples cont.

New Oriental Education & Technology Group, Inc. ADR (China) 2,146 $237,691

PepsiCo, Inc. 27,032 3,706,087

Procter & Gamble Co. (The) 43,382 5,395,853

Rakuten, Inc. (Japan) 29,200 287,745

Shoprite Holdings, Ltd. (South Africa) 39,650 320,704

Starbucks Corp. 60,732 5,369,923

Sundrug Co., Ltd. (Japan) 4,600 144,714

Sysco Corp. 6,627 526,183

Tesco PLC (United Kingdom) 64,455 191,421

Thai Beverage PCL (Thailand) 615,900 394,151

Unilever NV (Netherlands) 20,204 1,214,756

Unilever PLC (United Kingdom) 18,214 1,097,566

US Foods Holding Corp. 14,093 579,222

WH Group, Ltd. (Hong Kong) 82,500 73,877

Wilmar International, Ltd. (Singapore) 66,200 178,557

Woolworths Group, Ltd. (Australia) 35,802 900,187

Wuliangye Yibin Co., Ltd. Class A (China) 19,200 349,120

X5 Retail Group NV GDR (Russia) 10,368 362,673

Yum China Holdings, Inc. (China) 9,376 425,952

41,808,796

Energy (3.7%)

Chevron Corp. 54,814 6,500,941

ConocoPhillips 50,222 2,861,650

Equinor ASA (Norway) 35,416 674,529

Exxon Mobil Corp. 8,563 604,633

Hilong Holding, Ltd. (China) 494,000 53,563

HollyFrontier Corp. 3,112 166,928

Lukoil PJSC ADR (Russia) 8,936 739,365

Occidental Petroleum Corp. 3,450 153,422

OMV AG (Austria) 6,560 352,150

Phillips 66 20,026 2,050,663

Royal Dutch Shell PLC Class B (United Kingdom) 68,310 2,016,914

Santos, Ltd. (Australia) 110,196 574,507

16,749,265

Financials (15.7%)

3i Group PLC (United Kingdom) 33,523 481,886

A-Living Services Co., Ltd. Class H (China) 167,500 387,587

ABN AMRO Group NV GDR (Netherlands) 30,353 535,244

Aflac, Inc. 22,491 1,176,729

AGNC Investment Corp. R 51,033 821,121

Allianz SE (Germany) 5,453 1,271,308

Allstate Corp. (The) 11,366 1,235,256

Ally Financial, Inc. 19,555 648,444

American Financial Group, Inc. 3,018 325,492

American Homes 4 Rent R 2,662 68,919

Ameriprise Financial, Inc. 8,921 1,312,279

Annaly Capital Management, Inc. R 104,524 919,811



Financials cont.

Apartment Investment & Management Co. Class A R 6,380 $332,653

Apple Hospitality REIT, Inc. R 12,664 209,969

Athene Holding, Ltd. Class A (Bermuda) 12,618 530,713

AvalonBay Communities, Inc. R 3,727 802,535

Aviva PLC (United Kingdom) 159,862 786,613

Axis Capital Holdings, Ltd. 2,960 197,491

Baloise Holding AG (Switzerland) 2,331 417,974

Banco Bilbao Vizcaya Argenta (Spain) 172,801 900,587

Bank Leumi Le-Israel BM (Israel) 74,876 532,951

Bank Tabungan Pensiunan Nasional Syariah Tbk PT (Indonesia) 1,039,800 241,729

Berkshire Hathaway, Inc. Class B 41 8,529

BNP Paribas SA (France) 21,091 1,027,115

BOC Hong Kong Holdings, Ltd. (Hong Kong) 80,500 273,146

Brixmor Property Group, Inc. R 24,979 506,824

Broadridge Financial Solutions, Inc. 261 32,476

Brookfield Property REIT, Inc. Class A R 9,834 200,515

Camden Property Trust R 4,308 478,231

Capital One Financial Corp. 17,070 1,553,029

CBRE Group, Inc. Class A 12,604 668,138

Chailease Holding Co., Ltd. (Taiwan) 107,339 432,477

Cheung Kong Property Holdings, Ltd. (Hong Kong) 110,500 748,469

Chimera Investment Corp. R 11,156 218,211

Chubb, Ltd. 59 9,525

Citigroup, Inc. 88,619 6,121,801

Commercial International Bank (CIB) Egypt SAE GDR (Egypt) 73,989 340,719

CoreLogic, Inc. 716 33,129

Credicorp, Ltd. (Peru) 1,737 362,060

Credit Agricole SA (France) 47,212 573,382

Deutsche Boerse AG (Germany) 3,182 497,457

Discover Financial Services 15,721 1,274,816

Duke Realty Corp. R 16,057 545,456

E*Trade Financial Corp. 24,059 1,051,138

Empire State Realty Trust, Inc. Class A R 568 8,105

Equity Commonwealth R 1,150 39,388

Equity Lifestyle Properties, Inc. R 2,431 324,782

Equity Residential Trust R 1,634 140,949

Everest Re Group, Ltd. 1,532 407,650

Federal Realty Investment Trust R 2,498 340,078

First American Financial Corp. 165 9,737

Gaming and Leisure Properties, Inc. R 11,031 421,826

Goldman Sachs Group, Inc. (The) 5,423 1,123,808

Goodman Group (Australia) R 32,856 314,225

Hana Financial Group, Inc. (South Korea) 11,580 341,257

Hang Seng Bank, Ltd. (Hong Kong) 26,800 577,748

Hartford Financial Services Group, Inc. (The) 17,988 1,090,253

HDFC Bank, Ltd. (India) 44,344 768,040



Financials cont.

Henderson Land Development Co., Ltd. (Hong Kong) 97,800 $455,354

Highwoods Properties, Inc. R 430 19,324

HSBC Holdings PLC (United Kingdom) 10,696 82,327

Intercontinental Exchange, Inc. 3,354 309,474

Investor AB Class B (Sweden) 4,752 232,522

Invitation Homes, Inc. R 23,676 701,046

IRB Brasil Resseguros SA (Brazil) 40,593 367,007

Israel Discount Bank, Ltd. Class A (Israel) 78,793 346,609

Itau Unibanco Holding SA ADR (Preference) (Brazil) 44,576 374,884

Japan Prime Realty Investment Corp. (Japan) R 34 161,388

Jones Lang LaSalle, Inc. 2,387 331,936

JPMorgan Chase & Co. 75,381 8,871,590

KBC Groep NV (Belgium) 5,856 380,627

Kerry Properties, Ltd. (Hong Kong) 16,000 49,289

Klepierre (France) R 1,815 61,657

Legal & General Group PLC (United Kingdom) 257,231 787,392

Liberty Property Trust R 6,542 335,801

Lincoln National Corp. 13,459 811,847

Loews Corp. 2,184 112,432

LPL Financial Holdings, Inc. 3,981 326,044

Medical Properties Trust, Inc. R 27,813 544,022

MetLife, Inc. 49,155 2,318,150

MFA Financial, Inc. R 2,814 20,711

MGIC Investment Corp. 36,188 455,245

Mitsubishi UFJ Lease & Finance Co., Ltd. (Japan) 24,600 142,035

Morgan Stanley 47,369 2,021,235

New Residential Investment Corp. R 33,528 525,719

OneMain Holdings, Inc. 4,742 173,937

ORIX Corp. (Japan) 52,800 787,053

Outfront Media, Inc. R 9,093 252,604

Partners Group Holding AG (Switzerland) 1,005 771,829

Ping An Insurance (Group) Co. of China, Ltd. Class H (China) 69,000 792,593

Popular, Inc. (Puerto Rico) 4,787 258,881

Prudential Financial, Inc. 16,016 1,440,639

Raymond James Financial, Inc. 6,081 501,439

Reinsurance Group of America, Inc. 2,638 421,763

Sberbank of Russia PJSC ADR (Russia) 21,022 297,987

Sekisui House, Ltd. (Japan) 4,400 86,514

Starwood Property Trust, Inc. R 2,283 55,294

STORE Capital Corp. R 13,107 490,333

Sumitomo Mitsui Financial Group, Inc. (Japan) 28,400 970,974

Sumitomo Mitsui Trust Holdings, Inc. (Japan) 7,200 259,553

Sun Communities, Inc. R 2,722 404,081

Sun Hung Kai Properties, Ltd. (Hong Kong) 22,500 323,749

Swire Properties, Ltd. (Hong Kong) 18,000 56,484

Swiss Life Holding AG (Switzerland) 378 180,859



Financials cont.

Synchrony Financial 40,872 $1,393,326

Two Harbors Investment Corp. R 19,817 260,197

U.S. Bancorp 5,387 298,117

UDR, Inc. R 1,260 61,085

Unum Group 15,186 451,328

VICI Properties, Inc. R 34,004 770,191

Weingarten Realty Investors R 6,460 188,180

Zurich Insurance Group AG (Switzerland) 243 93,091

70,189,528

Health care (10.2%)

Abbott Laboratories 45,742 3,827,233

AbbVie, Inc. 22,533 1,706,199

Alfresa Holdings Corp. (Japan) 10,100 225,504

Allergan PLC 5,988 1,007,721

AmerisourceBergen Corp. 7,855 646,702

Amgen, Inc. 17,292 3,346,175

Astellas Pharma, Inc. (Japan) 53,400 760,175

Baxter International, Inc. 2,209 193,221

Biogen, Inc. 7,136 1,661,404

Bristol-Myers Squibb Co. 4,325 219,321

Cardinal Health, Inc. 3,688 174,037

Charles River Laboratories International, Inc. 2,009 265,931

Chemed Corp. 1,093 456,404

Cooper Cos., Inc. (The) 1,798 534,006

Dentsply Sirona, Inc. 10,845 578,147

Edwards Lifesciences Corp. 5,576 1,226,218

Eli Lilly & Co. 6,652 743,894

Encompass Health Corp. 625 39,550

Gilead Sciences, Inc. 18,377 1,164,734

GlaxoSmithKline PLC (United Kingdom) 21,565 463,619

Hill-Rom Holdings, Inc. 3,593 378,091

Hologic, Inc. 12,525 632,387

i-SENS, Inc. (South Korea) 6,573 151,116

Ipsen SA (France) 1,351 128,286

Jazz Pharmaceuticals PLC 107 13,711

Johnson & Johnson 29,140 3,770,134

Koninklijke Philips NV (Netherlands) 20,770 962,347

Laboratory Corp. of America Holdings 518 87,024

Masimo Corp. 867 129,001

McKesson Corp. 11,218 1,533,052

Medtronic PLC 39,652 4,307,000

Merck & Co., Inc. 43,426 3,655,601

Novartis AG (Switzerland) 13,538 1,174,927

Novo Nordisk A/S Class B (Denmark) 23,134 1,189,542

Pfizer, Inc. 43,026 1,545,924

QIAGEN NV (Netherlands) 1,596 52,620



Health care cont.

Quest Diagnostics, Inc. 660 $70,640

Regeneron Pharmaceuticals, Inc. 99 27,463

Roche Holding AG (Switzerland) 6,270 1,826,327

Sartorius Stedim Biotech (France) 1,463 204,793

Shionogi & Co., Ltd. (Japan) 14,900 827,065

Suzuken Co., Ltd. (Japan) 4,600 246,866

Thermo Fisher Scientific, Inc. 2,425 706,330

UCB SA (Belgium) 5,192 376,977

UnitedHealth Group, Inc. 444 96,490

Vertex Pharmaceuticals, Inc. 302 51,165

Waters Corp. 61 13,617

Zimmer Biomet Holdings, Inc. 10,976 1,506,676

Zoetis, Inc. 5,443 678,143

45,583,510

Technology (19.6%)

Accenture PLC Class A 234 45,010

Adobe, Inc. 16,743 4,625,254

Agilent Technologies, Inc. 18,580 1,423,785

Alibaba Group Holding, Ltd. ADR (China) 12,361 2,067,130

Alphabet, Inc. Class A 8,974 10,958,502

Amdocs, Ltd. 1,166 77,084

Apple, Inc. 32,066 7,181,822

Aspen Technology, Inc. 4,544 559,276

Black Knight, Inc. 6,910 421,924

Broadcom, Inc. 6,531 1,803,013

Brother Industries, Ltd. (Japan) 6,300 114,021

Cadence Design Systems, Inc. 17,279 1,141,796

Capgemini SE (France) 3,994 470,695

CDW Corp. of Delaware 6,128 755,215

Cisco Systems, Inc. 137,946 6,815,912

Cognizant Technology Solutions Corp. Class A 3,422 206,227

eBay, Inc. 62,038 2,418,241

F5 Networks, Inc. 6,794 954,013

Facebook, Inc. Class A 3,382 602,266

Fair Isaac Corp. 1,422 431,605

Fidelity National Information Services, Inc. 2,161 286,894

Fortinet, Inc. 17,528 1,345,449

FUJIFILM Holdings Corp. (Japan) 12,100 530,687

Fujitsu, Ltd. (Japan) 2,400 192,200

Garmin, Ltd. 8,064 682,940

Genpact, Ltd. 10,471 405,751

Gentex Corp. 992 27,315

Hoya Corp. (Japan) 11,000 897,608

IBM Corp. 15,000 2,181,300

Infosys, Ltd. (India) 48,386 550,061

Intuit, Inc. 12,255 3,259,095



Technology cont.

Keysight Technologies, Inc. 9,727 $945,951

KLA Corp. 10,729 1,710,739

Lam Research Corp. 2,639 609,899

Leidos Holdings, Inc. 11,530 990,197

Maxim Integrated Products, Inc. 1,623 93,988

MediaTek, Inc. (Taiwan) 30,000 356,815

Microsoft Corp. 51,894 7,214,823

Nexon Co., Ltd. (Japan) 42,500 515,545

Nomura Research Institute, Ltd. (Japan) 18,800 374,173

NTT Data Corp. (Japan) 7,900 101,898

Nuance Communications, Inc. 10,908 177,909

Oracle Corp. 100,057 5,506,137

Otsuka Corp. (Japan) 9,600 382,401

Paychex, Inc. 884 73,169

Proofpoint, Inc. 3,675 474,259

Qualcomm, Inc. 23,760 1,812,413

Samsung Electronics Co., Ltd. (South Korea) 40,865 1,675,733

ServiceNow, Inc. 2,930 743,781

Sinbon Electronics Co., Ltd. (Taiwan) 65,000 252,462

Sino-American Silicon Products, Inc. (Taiwan) 114,000 302,045

SoftBank Group Corp. (Japan) 9,500 372,704

STMicroelectronics NV (France) 15,662 302,735

Synopsys, Inc. 937 128,603

Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) 121,000 1,060,839

Techtronic Industries Co., Ltd. (Hong Kong) 37,000 257,462

Tencent Holdings, Ltd. (China) 40,500 1,705,883

Tencent Holdings, Ltd. ADR (China) 4,615 192,122

Texas Instruments, Inc. 2,663 344,166

Thales SA (France) 973 111,911

Tokyo Electron, Ltd. (Japan) 1,000 190,285

Veeva Systems, Inc. Class A 11,054 1,687,835

Xerox Holdings Corp. 18,599 556,296

Xilinx, Inc. 21,985 2,108,362

Yandex NV Class A (Russia) 9,326 326,503

Zebra Technologies Corp. Class A 4,784 987,274

88,079,408

Transportation (2.1%)

Aena SME SA (Spain) 3,892 712,834

Aurizon Holdings, Ltd. (Australia) 136,830 544,481

Delta Air Lines, Inc. 40,124 2,311,142

Deutsche Post AG (Germany) 18,788 627,692

Japan Airlines Co., Ltd. (Japan) 10,800 320,977

Kamigumi Co., Ltd. (Japan) 3,900 88,339

Norfolk Southern Corp. 8,968 1,611,191

Singapore Technologies Engineering, Ltd. (Singapore) 50,000 138,839

Union Pacific Corp. 15,004 2,430,348



Transportation cont.

United Airlines Holdings, Inc. 182 $16,091

West Japan Railway Co. (Japan) 4,500 380,194

Yangzijiang Shipbuilding Holdings, Ltd. (China) 437,000 303,363

9,485,491

Utilities and power (3.5%)

AES Corp. 46,208 755,039

American Electric Power Co., Inc. 1,449 135,757

CenterPoint Energy, Inc. 33,248 1,003,425

CIA Paranaense de Energia-Copel (Preference) (Brazil) 36,425 433,823

CLP Holdings, Ltd. (Hong Kong) 24,000 252,111

Consolidated Edison, Inc. 2,020 190,829

E.ON SE (Germany) 70,762 688,054

Enel SpA (Italy) 142,556 1,064,745

Eni SpA (Italy) 28,587 437,377

Entergy Corp. 6,414 752,747

Evergy, Inc. 10,740 714,854

Exelon Corp. 50,254 2,427,770

IDACORP, Inc. 2,053 231,312

Kinder Morgan, Inc. 101,558 2,093,111

NRG Energy, Inc. 20,748 821,621

Pinnacle West Capital Corp. 7,357 714,144

Public Service Enterprise Group, Inc. 23,127 1,435,724

Snam SpA (Italy) 59,791 302,063

Vistra Energy Corp. 47,499 1,269,648

15,724,154

Total common stocks (cost $376,876,846) $403,344,091

INVESTMENT COMPANIES (1.2%)* Shares Value

iShares MSCI Emerging Markets ETF 11,169 $456,477

SPDR S&P 500 ETF Trust 14,135 4,194,844

SPDR S&P MidCap 400 ETF Trust 1,565 551,616

Total investment companies (cost $5,237,663) $5,202,937

PURCHASED OPTIONS OUTSTANDING (—%)* Counterparty

Expiration date/strike price

Notional amount

Contract amount Value

Bank of America N.A.

EUR/USD (Put) Oct-19/$1.10 $5,335,766 EUR 4,894,300 $39,639

Citibank, N.A.

AUD/JPY (Put) Feb-20/JPY 70.00 3,318,024 AUD 4,919,600 38,592

Goldman Sachs International


Total purchased options outstanding (cost $165,580) $116,823

SHORT-TERM INVESTMENTS (9.0%)* Principal amount/shares Value

Putnam Money Market Portfolio 2.30% L Shares 38,651,190 $38,651,190

U.S. Treasury Bills 2.047%, 12/12/19 # $353,001 351,590


SHORT-TERM INVESTMENTS (9.0%)* cont. Principal amount/shares Value

U.S. Treasury Bills 2.030%, 10/10/19 # $37,999 $37,981

U.S. Treasury Bills 1.998%, 11/7/19 # ∆ 200,001 199,597


U.S. Treasury Bills 1.889%, 3/12/20 # 119,000 118,007


Total short-term investments (cost $40,381,684) $40,381,684

TOTAL INVESTMENTS


Key to holding’s currency abbreviationsAUD Australian DollarEUR EuroJPY Japanese YenUSD/$ 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 bankOTC Over-the-counterPJSC 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, 2018 through September 30, 2019 (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 $448,493,187.# 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 $1,493,317 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 7).∆ 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 $232,225 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.

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 77.8%Japan 3.8United Kingdom 2.5China 1.8France 1.8Switzerland 1.5Germany 1.2Australia 1.0Netherlands 0.8

Hong Kong 0.8%Taiwan 0.7India 0.7South Korea 0.7Sweden 0.6Spain 0.6Italy 0.5Other 3.2Total 100.0%


FORWARD CURRENCY CONTRACTS at 9/30/19 (aggregate face value $55,232,288 )

Counterparty CurrencyContract type*

Delivery date Value

Aggregate face value

Unrealized appreciation/ (depreciation)


Australian Dollar Buy 10/16/19 $331,324 $361,078 $(29,754 )

Brazilian Real Buy 10/2/19 775,244 838,033 (62,789 )

Brazilian Real Sell 10/2/19 775,244 790,845 15,601

Brazilian Real Sell 2/4/20 71,006 65,812 (5,194 )

Canadian Dollar Buy 10/16/19 340,189 344,239 (4,050 )

Canadian Dollar Sell 10/16/19 340,189 339,857 (332 )

Euro Buy 12/18/19 142,018 143,186 (1,168 )

Japanese Yen Buy 11/20/19 1,053,918 1,058,755 (4,837 )

Mexican Peso Buy 10/16/19 393,374 398,042 (4,668 )

New Zealand Dollar Buy 10/16/19 621,472 648,561 (27,089 )

New Zealand Dollar Sell 10/16/19 621,472 639,685 18,213

Russian Ruble Buy 12/18/19 398,402 389,215 9,187

Swedish Krona Sell 12/18/19 363,945 366,718 2,773

Barclays Bank PLC

British Pound Buy 12/18/19 837,385 828,718 8,667

Canadian Dollar Buy 10/16/19 784,406 784,440 (34 )

Canadian Dollar Sell 10/16/19 784,406 792,900 8,494

Euro Buy 12/18/19 871,957 878,880 (6,923 )

Hong Kong Dollar Sell 11/20/19 602,280 603,205 925

Japanese Yen Buy 11/20/19 405,168 413,883 (8,715 )


Norwegian Krone Buy 12/18/19 1,007,843 1,010,424 (2,581 )

Swiss Franc Buy 12/18/19 1,870,923 1,893,988 (23,065 )

Citibank, N.A.

Australian Dollar Buy 10/16/19 389,424 404,886 (15,462 )

Australian Dollar Sell 10/16/19 389,424 389,447 23



Brazilian Real Sell 2/4/20 33,965 34,181 216



Danish Krone Sell 12/18/19 288,504 291,116 2,612

Euro Sell 12/18/19 432,634 438,954 6,320

Japanese Yen Buy 11/20/19 2,029,192 2,052,843 (23,651 )



Credit Suisse International

Australian Dollar Buy 10/16/19 433,218 433,118 100

Australian Dollar Sell 10/16/19 433,218 433,158 (60 )


Canadian Dollar Sell 10/16/19 415,660 416,227 567

Euro Buy 12/18/19 425,067 430,507 (5,440 )


FORWARD CURRENCY CONTRACTS at 9/30/19 (aggregate face value $55,232,288 ) cont.


Delivery date Value




Australian Dollar Buy 10/16/19 $1,037,698 $1,040,687 $(2,989 )

Australian Dollar Sell 10/16/19 1,037,698 1,067,170 29,472

Brazilian Real Buy 2/4/20 447,628 448,167 (539 )



Indian Rupee Buy 11/20/19 403,569 407,441 (3,872 )

Indonesian Rupiah Buy 11/20/19 416,919 405,362 11,557

Japanese Yen Buy 11/20/19 604,117 622,130 (18,013 )

New Taiwan Dollar Sell 11/20/19 400,694 387,465 (13,229 )


Norwegian Krone Buy 12/18/19 221,467 222,070 (603 )


South Korean Won Sell 11/20/19 482,691 507,739 25,048


HSBC Bank USA, National Association


Australian Dollar Sell 10/16/19 409,667 428,876 19,209

Chinese Yuan Buy 11/20/19 1,058,462 1,083,965 (25,503 )

Euro Buy 12/18/19 16,998 17,130 (132 )

Indonesian Rupiah Sell 11/20/19 5,319 1,857 (3,462 )

Japanese Yen Sell 11/20/19 519,628 522,028 2,400

New Zealand Dollar Sell 10/16/19 245,502 239,849 (5,653 )



JPMorgan Chase Bank N.A.


British Pound Buy 12/18/19 1,844,743 1,845,845 (1,102 )


Euro Buy 12/18/19 1,343,413 1,358,120 (14,707 )


Mexican Peso Buy 10/16/19 412,595 419,412 (6,817 )

Mexican Peso Sell 10/16/19 412,595 411,207 (1,388 )

New Zealand Dollar Sell 10/16/19 961,186 1,008,295 47,109

Norwegian Krone Sell 12/18/19 472,147 473,367 1,220

Singapore Dollar Buy 11/20/19 696,540 703,214 (6,674 )

South Korean Won Buy 11/20/19 1,063,729 1,058,295 5,434

Swedish Krona Buy 12/18/19 339,969 342,470 (2,501 )

NatWest Markets PLC




Euro Buy 12/18/19 2,008,758 2,024,523 (15,765 )




Delivery date Value



NatWest Markets PLC cont.

Indian Rupee Sell 11/20/19 $30,012 $18,618 $(11,394 )

Japanese Yen Buy 11/20/19 136,079 155,961 (19,882 )



State Street Bank and Trust Co.


British Pound Buy 12/18/19 438,594 439,100 (506 )

Canadian Dollar Buy 10/16/19 1,082,666 1,085,335 (2,669 )

Canadian Dollar Sell 10/16/19 1,082,666 1,083,091 425

Euro Sell 12/18/19 444,477 448,754 4,277

Japanese Yen Buy 11/20/19 285,419 301,887 (16,468 )

New Zealand Dollar Buy 10/16/19 16,747 16,850 (103 )


Norwegian Krone Buy 12/18/19 487,420 488,676 (1,256 )

Swedish Krona Sell 12/18/19 53,064 49,630 (3,434 )

UBS AG


Japanese Yen Sell 11/20/19 64,674 64,970 296


WestPac Banking Corp.



Canadian Dollar Buy 10/16/19 432,356 431,215 1,141

Canadian Dollar Sell 10/16/19 432,356 430,622 (1,734 )

Unrealized appreciation 343,115

Unrealized (depreciation) (587,372 )

Total $(244,257 )

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

FUTURES CONTRACTS OUTSTANDING at 9/30/19

Number of contracts

Notional amount Value

Expiration date


Russell 2000 Index E-Mini (Long) 352 $26,811,361 $26,840,000 Dec-19 $(968,164 )

Russell 2000 Index E-Mini (Short) 6 457,012 457,500 Dec-19 16,888

S&P 500 Index E-Mini (Long) 49 7,293,013 7,297,325 Dec-19 (86,584 )

S&P Mid Cap 400 Index E-Mini (Long) 5 967,740 969,000 Dec-19 (13,324 )


Unrealized (depreciation) (1,068,072 )

Total $(1,051,184 )


WRITTEN OPTIONS OUTSTANDING at 9/30/19 (premiums $96,965 )

CounterpartyExpiration date/strike price

Notional Amount


Citibank, N.A.

AUD/JPY (Put) Feb-20/JPY 66.00 $4,977,070 AUD 7,379,450 $19,998



Total $39,996

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/19

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.$277,917 $277,374 $— 6/20/23 (1 month USD-LIBOR-BBA

plus 1.00% )—MonthlyBUPA Arabia for Cooperative—Monthly

$(707 )

26,828 26,776 — 6/20/23 (1 month USD-LIBOR-BBA plus 1.00% )—Monthly

BUPA Arabia for Cooperative—Monthly

(68 )

137,594 133,015 — 3/30/20 (1 month USD-LIBOR-BBA plus 1.00%)—Monthly

Jarir Marketing Co.—Monthly

(6,356 )



(328 )



1,103



(183 )

Upfront premium received — Unrealized appreciation 1,103

Upfront premium (paid) — Unrealized (depreciation) (7,642 )

Total $— Total $(6,539 )


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 $13,793,365 $— $—

Capital goods 25,108,909 — —

Communication services 21,001,625 — —

Conglomerates 2,724,369 — —

Consumer cyclicals 53,095,671 — —

Consumer staples 41,808,796 — —

Energy 16,749,265 — —

Financials 70,189,528 — —

Health care 45,583,510 — —

Technology 88,079,408 — —

Transportation 9,485,491 — —

Utilities and power 15,724,154 — —

Total common stocks 403,344,091 — —

Investment companies 5,202,937 — —

Purchased options outstanding — 116,823 —

Short-term investments — 40,381,684 —

Totals by level $408,547,028 $40,498,507 $—

Valuation inputs

Other financial instruments: Level 1 Level 2 Level 3

Forward currency contracts $— $(244,257 ) $—

Futures contracts (1,051,184 ) — —

Written options outstanding — (39,996 ) —

Total return swap contracts — (6,539 ) —

Totals by level $(1,051,184 ) $(290,792 ) $—

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




Statement of assets and liabilities 9/30/19

ASSETS

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

Unaffiliated issuers (identified cost $384,010,583) $410,394,345

Affiliated issuers (identified cost $38,651,190) (Note 4) 38,651,190

Cash 17,287

Foreign currency (cost $661,305) (Note 2) 660,707

Dividends, interest and other receivables 597,817

Foreign tax reclaim 267,687

Receivable for units of the Portfolio sold 1,044,342

Receivable for investments sold 4,460,302

Receivable for variation margin on futures contracts (Note 2) 58,505

Unrealized appreciation on forward currency contracts (Note 2) 343,115

Unrealized appreciation on OTC swap contracts (Note 2) 1,103

Total assets 456,496,400

LIABILITIES

Payable for investments purchased 6,399,472

Payable for units of the Portfolio repurchased 968,461

Payable for variation margin on futures contracts (Note 2) 270

Unrealized depreciation on OTC swap contracts (Note 2) 7,642

Unrealized depreciation on forward currency contracts (Note 2) 587,372

Written options outstanding, at value (premiums $96,965) (Note 2) 39,996

Total liabilities 8,003,213

Net assets $448,493,187


Net assets $448,493,187

Units outstanding 23,608,003

Net asset value per unit $19.00



Statement of operations Year ended 9/30/19

INVESTMENT INCOME

Dividends (net of foreign tax of $134,865) $8,615,043

Interest (including interest income of $879,603 from investments in affiliated issuers) (Note 4) 912,571

Net investment income 9,527,614

REALIZED AND UNREALIZED GAIN (LOSS)

Net realized gain (loss) on:

Securities from unaffiliated issuers (Notes 2 and 7) (8,578,732)

Foreign currency transactions (Note 2) (44,713)

Forward currency contracts (Note 2) (838,501)

Futures contracts (Note 2) (1,813,724)

Swap contracts (Note 2) 176,264

Written options (Note 2) 66,564

Total net realized loss (11,032,842)

Change in net unrealized appreciation (depreciation) on:

Securities from unaffiliated issuers 186,563

Assets and liabilities in foreign currencies (6,569)

Forward currency contracts (206,382)

Futures contracts (937,150)

Swap contracts (12,561)

Written options 56,098

Total change in net unrealized depreciation (920,001)

Net loss on investments (11,952,843)

Net decrease in net assets resulting from operations (2,425,229)



Statement of changes in net assets

INCREASE IN NET ASSETSYear ended

9/30/19

Operations

Net investment income $9,527,614

Net realized loss on investments and foreign currency transactions (11,032,842)

Change in net unrealized depreciation of investments and assets and liabilities in foreign currencies (920,001)

Net decrease in net assets resulting from operations (2,425,229)

Principal transactions

Proceeds from sale of units 292,191,563

Value of units redeemed (199,471,180)

Total increase in principal transactions 92,720,383


NET ASSETS

Beginning of year 358,198,033

End of year $448,493,187

NUMBER OF UNITS OF THE PORTFOLIO

Units outstanding at beginning of year 18,721,766

Sold 16,186,597

Redeemed (11,300,360)

Units outstanding at end of year 23,608,003



PER-UNIT OPERATING PERFORMANCEYear ended

9/30/19

Net asset value, beginning of year $19.13

Investment operations:

Net investment income (a) 0.46

Net realized and unrealized gain (loss) on investments (0.59)

Total from investment operations (0.13)

Net asset value, end of year $19.00

Total return at net asset value (%) (0.68)

RATIOS AND SUPPLEMENTAL DATANet assets, end of year (in thousands) $448,493

Ratio of net investment income to average net assets (%) 2.50

(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, 2018 through September 30, 2019.

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 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 state-ments 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, 2019), through the date the financial statements were issued (December 18, 2019), 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.

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.

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 exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.



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 and including amortization and accretion of premiums and discounts on debt securities, 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.

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 makers. 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 $279,859 on open derivative contracts subject to the Master Agreements. Collateral posted by the Portfolio at period end for these agreements totaled $232,225 and may include amounts related to unsettled agreements.

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.

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.

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:


9/30/18 Purchase cost Sale proceedsInvestment

income

Shares outstanding and

fair value as of 9/30/19

Short-term investments

Putnam Money Market Portfolio* $33,480,478 $121,153,957 $115,983,245 $879,603 $38,651,190

Total Short-term investments $33,480,478 $121,153,957 $115,983,245 $879,603 $38,651,190

* 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) $—*

Purchased currency option contracts (contract amount) $8,000,000

Written equity option contracts (contract amount) $—*

Written currency option contracts (contract amount) $8,700,000

Futures contracts (number of contracts) 400

Forward currency contracts (contract amount) $84,900,000

OTC total return swap contracts (notional) $840,000

Warrants (number of warrants) 94,000

*For the reporting period, there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.

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 $459,938 Payables $627,368

Equity contracts Receivables, Net assets—Unrealized appreciation

17,991 * Payables, Net assets—Unrealized depreciation

1,075,714 *

Total $477,929 $1,703,082

* 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 $— $44,656 $— $(838,501) $— $(793,845)

Equity contracts 55,008 (16,736) (1,813,724) — 176,264 (1,599,188)

Total $55,008 $27,920 $(1,813,724) $(838,501) $176,264 $(2,393,033)

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 $— $9,287 $— $(206,382) $— $(197,095)

Equity contracts 94,142 — (937,150) — (12,561) (855,569)

Total $94,142 $9,287 $(937,150) $(206,382) $(12,561) $(1,052,664)


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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OTC Total return swap contracts*# $1,103 $— $— $— $— $— $—

Futures contracts§ — — 58,505 — — — —

Forward currency contracts# 45,774 43,943 — 26,209 667 101,051 40,538

Purchased options**# 39,639 — — 38,592 — 38,592 —

Total Assets $86,516 $43,943 $58,505 $64,801 $667 $139,643 $40,538

Liabilities:

OTC Total return swap contracts*# 7,642 — — — — — —

Futures contracts§ — — 270 — — — —

Forward currency contracts# 139,881 41,318 — 76,890 5,522 39,769 46,938

Written options# — — — 19,998 — 19,998 —

Total Liabilities $147,523 $41,318 $270 $96,888 $5,522 $59,767 $46,938

Total Financial and Derivative Net Assets $(61,007) $2,625 $58,235 $(32,087) $(4,855) $79,876 $(6,400)

Total collateral received (pledged)##† $(61,007) $— $— $— $— $— $—

Net amount $— $2,625 $58,235 $(32,087) $(4,855) $79,876 $(6,400)

Controlled collateral received (including TBA commitments)** $— $— $— $— $— $— $—

Uncontrolled collateral received $— $— $— $— $— $— $—

Collateral (pledged) (including TBA commitments)** $(121,602) $— $— $— $— $— $—

(Continued on the next page)


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$— $— $— $— $— $1,103

— — — — — 58,505

70,153 4,650 5,806 3,183 1,141 343,115

— — — — — 116,823

$70,153 $4,650 $5,806 $3,183 $1,141 $519,546

— — — — — 7,642

— — — — — 270

46,764 95,759 46,654 22,122 25,755 587,372

— — — — — 39,996

$46,764 $95,759 $46,654 $22,122 $25,755 $635,280

$23,389 $(91,109) $(40,848) $(18,939) $(24,614) $(115,734)

$— $(91,109) $— $— $—

$23,389 $— $(40,848) $(18,939) $(24,614)

$— $— $— $— $— $—

$— $— $— $— $— $—

$— $(110,623) $— $— $— $(232,225)

* 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 $1,493,317.

8. New Accounting Pronouncements In 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 fiscal years and interim periods within those 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 12/2019


1-800-225-1581

putnam.com

Putnam Retirement Advantage GAA Growth Portfolio


Putnam Retirement Advantage GAA Growth Portfolio C-2

Table of contentsReport of Independent Auditors ……………………………………… C-3

The fund’s portfolio …………………………………………………… C-4

Statement of assets and liabilities …………………………………… C-55

Statement of operations ……………………………………………… C-56

Statement of changes in net assets …………………………………… C-57

Financial highlights …………………………………………………… C-58

Notes to financial statements ………………………………………… C-59



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 fund's portfolio, as of September 30, 2019 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, 2019, 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 18, 2019

PricewaterlwuseCoopers LLP, 101 Seaport Blud, Boston, MA 02110 T: 617-530-5000, F: 617-530-5001 www.pwc.com





Anglo American PLC (United Kingdom) 88,286 $2,035,768

Arkema SA (France) 14,051 1,310,029


Asian Paints, Ltd. (India) 72,344 1,798,831

Axalta Coating Systems, Ltd. 49,774 1,500,686

BHP Billiton PLC (United Kingdom) 70,755 1,510,503




China Lesso Group Holdings, Ltd. (China) 1,172,000 1,109,299

Corteva, Inc. 142,371 3,986,388

Covestro AG (Germany) 51,497 2,548,848

CRH PLC (Ireland) 36,028 1,240,783

Eastman Chemical Co. 19,437 1,435,034

Fortescue Metals Group, Ltd. (Australia) 238,225 1,413,903


HeidelbergCement AG (Germany) 24,931 1,802,563



NewMarket Corp. 1,586 748,735

PPG Industries, Inc. 9,216 1,092,188




Sherwin-Williams Co. (The) 1,463 804,460

Shin-Etsu Chemical Co., Ltd. (Japan) 23,600 2,524,321

Steel Dynamics, Inc. 48,106 1,433,559

Taisei Corp. (Japan) 35,700 1,382,415


W.R. Grace & Co. 6,702 447,426

41,714,924


ACS Actividades de Construccion y Servicios SA (Spain) 45,469 1,817,247

Allison Transmission Holdings, Inc. 32,336 1,521,409



Ball Corp. 19,748 1,437,852

Berry Plastics Group, Inc. 37,554 1,474,745


Clean TeQ Holdings, Ltd. (Australia) 1,816,020 373,568

Cummins, Inc. 29,158 4,743,132



Dover Corp. 17,946 1,786,704



Capital goods cont.

Emerson Electric Co. 46,157 $3,086,057

Faurecia SA (France) 36,192 1,717,147


HD Supply Holdings, Inc. 52,269 2,047,638

HEICO Corp. 12,546 1,566,745

Hitachi, Ltd. (Japan) 79,900 2,974,210


IDEX Corp. 8,732 1,431,000


KEI Industries, Ltd. (India) 108,526 832,144

Legrand SA (France) 17,691 1,262,895



Republic Services, Inc. 20,754 1,796,259

Roper Technologies, Inc. 4,415 1,574,389

Sandvik AB (Sweden) 164,435 2,564,659

Silgan Holdings, Inc. 2,668 80,133

Sunny Friend Environmental Technology Co., Ltd. (Taiwan) 111,000 971,377

Teledyne Technologies, Inc. 4,359 1,403,555

Tervita Corp. (Canada) 12 68

Voltronic Power Technology Corp. (Taiwan) 41,000 845,783


72,475,638


Altice USA, Inc. Class A 81,109 2,326,206

AT&T, Inc. 33,981 1,285,841


Charter Communications, Inc. Class A 1,091 449,623



Deutsche Telekom AG (Germany) 143,449 2,407,438

Equinix, Inc. R 1,780 1,026,704


Hikari Tsushin, Inc. (Japan) 6,200 1,341,254

Juniper Networks, Inc. 74,117 1,834,396

KDDI Corp. (Japan) 120,500 3,149,780

Megacable Holdings SAB de CV (Units) (Mexico) 173,019 696,580

Nippon Telegraph & Telephone Corp. (Japan) 37,300 1,779,494

Safaricom PLC (Kenya) 4,235,469 1,121,573

T-Mobile US, Inc. 10,292 810,701

Telekomunikasi Indonesia Persero Tbk PT (Indonesia) 4,456,000 1,352,967


Telstra Corp., Ltd. (Australia) 944,471 2,235,864


60,633,467


AMETEK, Inc. 24,893 2,285,675



Conglomerates cont.

Danaher Corp. 35,402 $5,113,111

Mitsui & Co., Ltd. (Japan) 11,100 181,585

7,580,371


Amazon.com, Inc. 16,133 28,005,436

Aristocrat Leisure, Ltd. (Australia) 111,984 2,311,144




Best Buy Co., Inc. 68,559 4,729,885




China International Travel Service Corp., Ltd. Class A (China) 69,700 908,646

CK Hutchison Holdings, Ltd. (Hong Kong) 126,000 1,112,228

Clear Channel Outdoor Holdings, Inc. 750 1,891

Clicks Group, Ltd. (South Africa) 81,072 1,149,525

Compagnie Generale des Etablissements Michelin SCA (France) 20,560 2,295,246

Companhia De Locacao das Americas (Brazil) 59,107 719,433

CoStar Group, Inc. 1,361 807,345

CP ALL PCL (Thailand) 391,300 1,036,302

Daiwa House Industry Co., Ltd. (Japan) 34,700 1,125,683

Daum Communications Corp. (South Korea) 8,728 988,709

Discovery, Inc. Class A 67,781 1,805,008

Ecolab, Inc. 1,296 256,660

Expedia, Inc. 34,853 4,684,592


Fiat Chrysler Automobiles NV (Italy) 162,993 2,109,594

Fu Shou Yuan International Group, Ltd. (China) 1,125,000 994,496

Geberit International AG (Switzerland) 2,747 1,312,962

Genting Bhd (Singapore) 1,405,400 894,318



Hermes International (France) 3,673 2,538,729


iHeartMedia, Inc. Class A 319 4,785

Industria de Diseno Textil SA (Inditex) (Spain) 37,764 1,169,237

Interpublic Group of Cos., Inc. (The) 57,268 1,234,698

JUMBO SA (Greece) 38,840 737,198



Li Ning Co., Ltd. (China) 324,500 931,353



Lowe’s Cos., Inc. 49,344 5,425,866





News Corp. Class A 54,905 $764,277

Nielsen Holdings PLC 55,258 1,174,233

Nintendo Co., Ltd. (Japan) 7,700 2,851,298

Norwegian Cruise Line Holdings, Ltd. 38,724 2,004,741



Peugeot SA (France) 103,509 2,581,905


Poya International Co., Ltd. (Taiwan) 64,260 912,393




Shenzhou International Group Holdings, Ltd. (China) 74,500 973,136

Sinclair Broadcast Group, Inc. Class A 23,537 1,005,971

Sony Corp. (Japan) 59,200 3,476,682


TJX Cos., Inc. (The) 17,329 965,918

Toyota Motor Corp. (Japan) 2,100 140,214

Verisk Analytics, Inc. Class A 11,652 1,842,647

Volvo AB (Sweden) 183,904 2,585,877

Walmart, Inc. 66,496 7,891,745

Walt Disney Co. (The) 9,777 1,274,139

Wilcon Depot, Inc. (Philippines) 2,014,900 641,440

Wolters Kluwer NV (Netherlands) 36,106 2,636,517

154,527,845


AfreecaTV Co., Ltd. (South Korea) 13,085 702,301

Ashtead Group PLC (United Kingdom) 90,678 2,529,849

Associated British Foods PLC (United Kingdom) 60,322 1,711,930


British American Tobacco PLC (United Kingdom) 40,038 1,483,865

Carlsberg A/S Class B (Denmark) 17,981 2,658,338

Coca-Cola Co. (The) 261,705 14,247,220


Coca-Cola HBC AG (Switzerland) 62,105 2,033,454

Colgate-Palmolive Co. 3,104 228,175


Dino Polska SA (Poland) 20,323 795,857

Essity AB Class B (Sweden) 71,740 2,096,276

Fomento Economico Mexicano SAB de CV ADR (Mexico) 24,252 2,220,998

Hershey Co. (The) 27,753 4,301,437

Imperial Brands PLC (United Kingdom) 60,649 1,366,355

ITOCHU Corp. (Japan) 131,500 2,714,564

Jubilant Foodworks, Ltd. (India) 82,894 1,590,066

LG Household & Health Care, Ltd. (South Korea) 1,393 1,522,093





Mondelez International, Inc. Class A 145,538 $8,051,162

Nestle India, Ltd. (India) 8,839 1,732,365


New Oriental Education & Technology Group, Inc. ADR (China) 6,890 763,136

PepsiCo, Inc. 76,009 10,420,834



Shoprite Holdings, Ltd. (South Africa) 127,321 1,029,820

Starbucks Corp. 170,556 15,080,561


Sysco Corp. 20,523 1,629,526


Thai Beverage PCL (Thailand) 1,976,900 1,265,136



US Foods Holding Corp. 40,176 1,651,234



Woolworths Group, Ltd. (Australia) 115,486 2,903,721

Wuliangye Yibin Co., Ltd. Class A (China) 61,800 1,123,731

X5 Retail Group NV GDR (Russia) 33,281 1,164,169

Yum China Holdings, Inc. (China) 30,097 1,367,307

124,118,900

Energy (2.7%)

Chevron Corp. 152,937 18,138,328


Equinor ASA (Norway) 114,178 2,174,622

Exxon Mobil Corp. 25,460 1,797,730

Hilong Holding, Ltd. (China) 1,592,000 172,615


Lukoil PJSC ADR (Russia) 28,637 2,369,425

MWO Holdings, LLC (Units) F 8 271

Nine Point Energy F 106 212


OMV AG (Austria) 21,158 1,135,792

Phillips 66 56,245 5,759,488


Santos, Ltd. (Australia) 355,449 1,853,132

48,850,197

Financials (11.5%)

3i Group PLC (United Kingdom) 108,421 1,558,527

A-Living Services Co., Ltd. Class H (China) 539,250 1,247,799

ABN AMRO Group NV GDR (Netherlands) 97,856 1,725,591

Aflac, Inc. 62,763 3,283,760

AGNC Investment Corp. R 146,845 2,362,736





Financials cont.

Ally Financial, Inc. 53,979 $1,789,944




Annaly Capital Management, Inc. R 301,373 2,652,083

Apartment Investment & Management Co. Class A R 17,570 916,100


Athene Holding, Ltd. Class A (Bermuda) 36,057 1,516,558

AvalonBay Communities, Inc. R 10,399 2,239,217

Aviva PLC (United Kingdom) 515,377 2,535,950


Baloise Holding AG (Switzerland) 7,516 1,347,702

Banco Bilbao Vizcaya Argenta (Spain) 557,092 2,903,397

Bank Leumi Le-Israel BM (Israel) 241,522 1,719,102

Bank Tabungan Pensiunan Nasional Syariah Tbk PT (Indonesia) 3,337,700 775,936




Brixmor Property Group, Inc. R 69,707 1,414,355



Camden Property Trust R 12,273 1,362,425


CBRE Group, Inc. Class A 35,171 1,864,415

Chailease Holding Co., Ltd. (Taiwan) 345,922 1,393,745

Cheung Kong Property Holdings, Ltd. (Hong Kong) 356,500 2,414,745


Chubb, Ltd. 195 31,481

Citigroup, Inc. 247,465 17,094,882

Commercial International Bank (CIB) Egypt SAE GDR (Egypt) 237,501 1,093,692

CoreLogic, Inc. 2,358 109,105

Credicorp, Ltd. (Peru) 5,575 1,162,053

Credit Agricole SA (France) 152,287 1,849,499

Deutsche Boerse AG (Germany) 10,266 1,604,932


Duke Realty Corp. R 45,105 1,532,217


Empire State Realty Trust, Inc. Class A R 1,864 26,599




Everest Re Group, Ltd. 4,212 1,120,771



Gaming and Leisure Properties, Inc. R 31,584 1,207,772




Financials cont.

Goodman Group (Australia) R 105,926 $1,013,044

Hana Financial Group, Inc. (South Korea) 37,109 1,093,585

Hang Seng Bank, Ltd. (Hong Kong) 86,500 1,864,747


HDFC Bank, Ltd. (India) 142,344 2,465,403

Henderson Land Development Co., Ltd. (Hong Kong) 313,900 1,461,509

Highwoods Properties, Inc. R 1,411 63,410


Intercontinental Exchange, Inc. 10,881 1,003,990


Invitation Homes, Inc. R 64,955 1,923,318

IRB Brasil Resseguros SA (Brazil) 130,029 1,175,612

Israel Discount Bank, Ltd. Class A (Israel) 254,153 1,118,016

Itau Unibanco Holding SA ADR (Preference) (Brazil) 143,089 1,203,378




KBC Groep NV (Belgium) 18,880 1,227,157



Legal & General Group PLC (United Kingdom) 829,283 2,538,462


Lincoln National Corp. 37,561 2,265,680

Loews Corp. 7,185 369,884


Medical Properties Trust, Inc. R 76,496 1,496,262

MetLife, Inc. 135,269 6,379,286


MGIC Investment Corp. 102,355 1,287,626



New Residential Investment Corp. R 94,203 1,477,103


ORIX Corp. (Japan) 171,500 2,556,433


Partners Group Holding AG (Switzerland) 3,240 2,488,284

Ping An Insurance (Group) Co. of China, Ltd. Class H (China) 222,000 2,550,080



Raymond James Financial, Inc. 16,736 1,380,051

Reinsurance Group of America, Inc. 7,502 1,199,419

Sberbank of Russia PJSC ADR (Russia) 67,481 956,543



STORE Capital Corp. R 36,574 1,368,233

Sumitomo Mitsui Financial Group, Inc. (Japan) 91,600 3,131,733



Financials cont.

Sumitomo Mitsui Trust Holdings, Inc. (Japan) 23,400 $843,548

Sun Communities, Inc. R 7,469 1,108,773

Sun Hung Kai Properties, Ltd. (Hong Kong) 72,500 1,043,192


Swiss Life Holding AG (Switzerland) 1,220 583,726

Synchrony Financial 114,034 3,887,419


U.S. Bancorp 17,574 972,545

UDR, Inc. R 4,156 201,483

Unum Group 42,382 1,259,593

VICI Properties, Inc. R 99,033 2,243,097



205,635,243

Health care (7.4%)


AbbVie, Inc. 62,857 4,759,532

Advanz Pharma Corp. (Canada) 88 1,055


Allergan PLC 16,479 2,773,251

AmerisourceBergen Corp. 21,549 1,774,129

Amgen, Inc. 48,587 9,402,070

Astellas Pharma, Inc. (Japan) 172,100 2,449,927


Biogen, Inc. 19,987 4,653,373




Chemed Corp. 3,113 1,299,895

Cooper Cos., Inc. (The) 4,986 1,480,842

Dentsply Sirona, Inc. 29,754 1,586,186


Eli Lilly & Co. 19,406 2,170,173

Encompass Health Corp. 2,057 130,167


GlaxoSmithKline PLC (United Kingdom) 69,559 1,495,428

Hill-Rom Holdings, Inc. 10,018 1,054,194

Hologic, Inc. 35,947 1,814,964

i-SENS, Inc. (South Korea) 21,099 485,075




Koninklijke Philips NV (Netherlands) 66,962 3,102,583

Laboratory Corp. of America Holdings 1,706 286,608

Masimo Corp. 2,466 366,916

McKesson Corp. 31,305 4,278,141



Health care cont.

Medtronic PLC 110,855 $12,041,070

Merck & Co., Inc. 122,005 10,270,381



Pfizer, Inc. 122,160 4,389,209


Quest Diagnostics, Inc. 2,190 234,396




Shionogi & Co., Ltd. (Japan) 48,100 2,669,923


Thermo Fisher Scientific, Inc. 6,738 1,962,577

UCB SA (Belgium) 16,740 1,215,446

UnitedHealth Group, Inc. 1,441 313,158




Zoetis, Inc. 15,543 1,936,503

131,569,081

Technology (14.2%)


Adobe, Inc. 46,684 12,896,455


Alibaba Group Holding, Ltd. ADR (China) 39,681 6,635,854


Amdocs, Ltd. 3,811 251,945

Apple, Inc. 90,547 20,279,812

Aspen Technology, Inc. 12,682 1,560,901

Avaya Holdings Corp. 1,916 19,601

Black Knight, Inc. 19,844 1,211,675

Broadcom, Inc. 17,972 4,961,530



Capgemini SE (France) 12,876 1,517,444

CDW Corp. of Delaware 17,102 2,107,650



eBay, Inc. 172,899 6,739,603

F5 Networks, Inc. 19,460 2,732,574

Facebook, Inc. Class A 9,589 1,707,609

Fair Isaac Corp. 3,906 1,185,549


Fortinet, Inc. 48,235 3,702,519

FUJIFILM Holdings Corp. (Japan) 38,900 1,706,093




Technology cont.

Garmin, Ltd. 23,055 $1,952,528

Genpact, Ltd. 29,750 1,152,812

Gentex Corp. 3,218 88,608

Hoya Corp. (Japan) 35,400 2,888,666

IBM Corp. 41,408 6,021,551

Infosys, Ltd. (India) 155,318 1,765,685

Intuit, Inc. 34,743 9,239,553

Keysight Technologies, Inc. 26,830 2,609,218

KLA Corp. 30,043 4,790,356

Lam Research Corp. 7,264 1,678,783

Leidos Holdings, Inc. 32,721 2,810,080


MediaTek, Inc. (Taiwan) 95,000 1,129,913

Microsoft Corp. 144,256 20,055,911

Nexon Co., Ltd. (Japan) 136,900 1,660,661

Nomura Research Institute, Ltd. (Japan) 60,500 1,204,122



Oracle Corp. 275,344 15,152,180

Otsuka Corp. (Japan) 31,200 1,242,804

Paychex, Inc. 2,873 237,798

Proofpoint, Inc. 10,084 1,301,340

Qualcomm, Inc. 65,420 4,990,238

Samsung Electronics Co., Ltd. (South Korea) 131,177 5,379,118

ServiceNow, Inc. 8,048 2,042,985

Sinbon Electronics Co., Ltd. (Taiwan) 209,000 811,762

Sino-American Silicon Products, Inc. (Taiwan) 364,000 964,425

SoftBank Group Corp. (Japan) 30,700 1,204,423


Synopsys, Inc. 3,080 422,730

Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) 388,000 3,401,699

Techtronic Industries Co., Ltd. (Hong Kong) 119,000 828,054

Tencent Holdings, Ltd. (China) 129,900 5,471,462

Tencent Holdings, Ltd. ADR (China) 14,812 616,624

Texas Instruments, Inc. 8,764 1,132,659

Thales SA (France) 3,138 360,920



Xerox Holdings Corp. 51,660 1,545,151

Xilinx, Inc. 60,980 5,847,982

Yandex NV Class A (Russia) 29,939 1,048,164

Zebra Technologies Corp. Class A 13,303 2,745,340

252,357,085


Aena SME SA (Spain) 12,548 2,298,211

Aurizon Holdings, Ltd. (Australia) 441,125 1,755,348



Transportation cont.

Delta Air Lines, Inc. 112,289 $6,467,846

Deutsche Post AG (Germany) 60,572 2,023,661

Japan Airlines Co., Ltd. (Japan) 34,900 1,037,232





United Airlines Holdings, Inc. 588 51,985

West Japan Railway Co. (Japan) 14,400 1,216,622

Yangzijiang Shipbuilding Holdings, Ltd. (China) 1,409,000 978,118

27,777,099


AES Corp. 128,820 2,104,919



CIA Paranaense de Energia-Copel (Preference) (Brazil) 116,875 1,391,984



E.ON SE (Germany) 228,129 2,218,211

Enel SpA (Italy) 459,584 3,432,614

Eni SpA (Italy) 92,208 1,410,770

Entergy Corp. 17,786 2,087,365

Evergy, Inc. 29,835 1,985,818

Exelon Corp. 142,665 6,892,146

GenOn Energy, Inc. 33 6,930

IDACORP, Inc. 5,694 641,543


NRG Energy, Inc. 58,042 2,298,463

Pinnacle West Capital Corp. 20,573 1,997,021


Snam SpA (Italy) 192,760 973,821

Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) 884 681


45,596,299

Total common stocks (cost $1,091,271,012) $1,172,836,149

CORPORATE BONDS AND NOTES (7.8%)* Principal amount Value


Allegheny Technologies, Inc. sr. unsec. unsub. notes 7.875%, 8/15/23 $120,000 $130,172

Allegheny Technologies, Inc. sr. unsec. unsub. notes 5.95%, 1/15/21 50,000 51,094

ArcelorMittal SA sr. unsec. unsub. bonds 6.125%, 6/1/25 (France) 10,000 11,213

ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) 90,000 109,000

Beacon Roofing Supply, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 10/1/23 90,000 92,925

Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 60,000 60,600

Beacon Roofing Supply, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/25 100,000 97,985


CORPORATE BONDS AND NOTES (7.8%)* cont. Principal amount Value

Basic materials cont.

Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 $120,000 $126,600

BMC East, LLC 144A company guaranty sr. notes 5.50%, 10/1/24 240,000 249,381

Boise Cascade Co. 144A company guaranty sr. unsec. notes 5.625%, 9/1/24 145,000 149,894

Builders FirstSource, Inc. 144A company guaranty sr. unsub. notes 5.625%, 9/1/24 235,000 244,400

Builders FirstSource, Inc. 144A sr. notes 6.75%, 6/1/27 105,000 113,138

BWAY Holding Co. 144A sr. notes 5.50%, 4/15/24 50,000 51,373

BWAY Holding Co. 144A sr. unsec. notes 7.25%, 4/15/25 220,000 207,966

Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) 231,000 239,499

Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4.625%, 11/15/22 (Germany) 30,000 31,814

Cemex SAB de CV 144A company guaranty sr. notes 6.125%, 5/5/25 (Mexico) 235,000 244,400

CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 95,000 93,100

CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 360,000 392,728

Chemours Co. (The) company guaranty sr. unsec. notes 5.375%, 5/15/27 55,000 47,439

Chemours Co. (The) company guaranty sr. unsec. unsub. notes 7.00%, 5/15/25 55,000 51,838


Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 135,000 133,313

CPG Merger Sub, LLC 144A company guaranty sr. unsec. notes 8.00%, 10/1/21 10,000 10,000

Dow Chemical Co. (The) sr. unsec. unsub. bonds 3.50%, 10/1/24 65,000 67,794

First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) 200,000 196,500

Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) 55,000 49,555

GCP Applied Technologies, Inc. 144A sr. unsec. notes 5.50%, 4/15/26 360,000 367,200

Glencore Funding, LLC 144A company guaranty sr. unsec. unsub. notes 4.625%, 4/29/24 90,000 96,166


Greif, Inc. 144A company guaranty sr. unsec. notes 6.50%, 3/1/27 215,000 228,008

HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 7.625%, 1/15/25 (Canada) 85,000 86,169

Ingevity Corp. 144A sr. unsec. notes 4.50%, 2/1/26 160,000 158,400

International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 185,000 204,347

International Paper Co. sr. unsec. unsub. notes 3.00%, 2/15/27 85,000 86,244

James Hardie International Finance DAC 144A sr. unsec. bonds 5.00%, 1/15/28 (Ireland) 200,000 207,500

Joseph T Ryerson & Son, Inc. 144A sr. notes 11.00%, 5/15/22 30,000 31,613

Kraton Polymers, LLC/Kraton Polymers Capital Corp. 144A company guaranty sr. unsec. notes 7.00%, 4/15/25 145,000 151,163

Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 4.875%, 9/15/24 125,000 129,063

Mercer International, Inc. company guaranty sr. unsec. notes 7.75%, 12/1/22 (Canada) 6,000 6,233

Mercer International, Inc. sr. unsec. notes 7.375%, 1/15/25 (Canada) 30,000 31,248



Methanex Corp. sr. unsec. unsub. notes 3.25%, 12/15/19 (Canada) 2,000 2,004

NCI Building Systems, Inc. 144A company guaranty sr. unsec. sub. notes 8.00%, 4/15/26 175,000 172,156




New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) $15,000 $15,000

Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 175,000 183,523

Novelis Corp. 144A company guaranty sr. unsec. notes 6.25%, 8/15/24 45,000 47,194

Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) 10,000 11,819


Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) 235,000 258,854

Packaging Corp. of America sr. unsec. unsub. notes 4.50%, 11/1/23 15,000 16,063

PQ Corp. 144A company guaranty sr. unsec. notes 5.75%, 12/15/25 240,000 247,200

Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 80,000 83,666

Sherwin-Williams Co. (The) sr. unsec. unsub. notes 2.75%, 6/1/22 25,000 25,338

Smurfit Kappa Treasury Funding DAC company guaranty sr. unsec. unsub. notes 7.50%, 11/20/25 (Ireland) 50,000 59,938

Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 65,000 68,088


Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 10/1/24 25,000 25,658


Teck Resources, Ltd. company guaranty sr. unsec. unsub. notes 3.75%, 2/1/23 (Canada) 25,000 25,507

TMS International Corp. 144A sr. unsec. notes 7.25%, 8/15/25 115,000 98,613

TopBuild Corp. 144A company guaranty sr. unsec. notes 5.625%, 5/1/26 115,000 119,457

Tronox Finance PLC 144A company guaranty sr. unsec. notes 5.75%, 10/1/25 (United Kingdom) 35,000 33,101

U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 134,000 139,360

Univar USA, Inc. 144A company guaranty sr. unsec. notes 6.75%, 7/15/23 45,000 45,731

Westlake Chemical Corp. company guaranty sr. unsec. unsub. bonds 4.375%, 11/15/47 190,000 186,742

Westlake Chemical Corp. company guaranty sr. unsec. unsub. notes 3.60%, 8/15/26 305,000 314,916

WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 55,000 75,295


Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32 R 40,000 56,045

WR Grace & Co.- Conn. 144A company guaranty sr. unsec. notes 5.625%, 10/1/24 240,000 258,600

Zekelman Industries, Inc. 144A company guaranty sr. notes 9.875%, 6/15/23 16,000 16,860

8,189,329


Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 165,000 169,331

Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 100,000 105,500

ATS Automation Tooling Systems, Inc. 144A sr. unsec. notes 6.50%, 6/15/23 (Canada) 15,000 15,501

Berry Global Escrow Corp. 144A notes 5.625%, 7/15/27 65,000 67,275

Berry Global, Inc. company guaranty notes 5.50%, 5/15/22 11,000 11,151

Berry Global, Inc. company guaranty unsub. notes 5.125%, 7/15/23 35,000 35,919

Berry Global, Inc. 144A notes 4.50%, 2/15/26 125,000 123,281

Boeing Capital Corp. sr. unsec. unsub. notes 4.70%, 10/27/19 10,000 10,017

Bombardier, Inc. 144A sr. unsec. notes 8.75%, 12/1/21 (Canada) 45,000 48,879



Briggs & Stratton Corp. company guaranty sr. unsec. notes 6.875%, 12/15/20 35,000 35,788

Clean Harbors, Inc. 144A sr. unsec. bonds 5.125%, 7/15/29 55,000 58,300



Capital goods cont.

Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 $95,000 $99,156

Crown Americas, LLC/Crown Americas Capital Corp. VI company guaranty sr. unsec. notes 4.75%, 2/1/26 50,000 52,313

Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 45,000 54,675

Deere & Co. sr. unsec. unsub. notes 2.60%, 6/8/22 25,000 25,415

Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 110,000 109,588

General Dynamics Corp. company guaranty sr. unsec. unsub. notes 3.60%, 11/15/42 20,000 22,116


GFL Environmental, Inc. 144A sr. unsec. notes 8.50%, 5/1/27 (Canada) 130,000 144,138

Great Lakes Dredge & Dock Corp. company guaranty sr. unsec. notes 8.00%, 5/15/22 135,000 143,883

Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 15,000 17,267

Hulk Finance Corp. 144A sr. unsec. notes 7.00%, 6/1/26 (Canada) 175,000 184,188

Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 33,000 34,801

Johnson Controls International PLC sr. unsec. unsub. bonds 4.50%, 2/15/47 220,000 242,527

L3Harris Technologies, Inc. 144A sr. unsec. sub. notes 4.40%, 6/15/28 127,000 142,677


MasTec, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/15/23 75,000 76,125

Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 250,000 262,374

Oshkosh Corp. company guaranty sr. unsec. sub. notes 5.375%, 3/1/25 195,000 202,556

Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 245,000 264,056

Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 25,000 26,313

Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 120,000 121,500

Park-Ohio Industries, Inc. company guaranty sr. unsec. notes 6.625%, 4/15/27 45,000 42,975

Raytheon Co. sr. unsec. notes 4.875%, 10/15/40 5,000 6,306

Raytheon Co. sr. unsec. unsub. notes 2.50%, 12/15/22 320,000 323,987

RBS Global, Inc./Rexnord, LLC 144A sr. unsec. notes 4.875%, 12/15/25 210,000 215,754

Staples, Inc. 144A sr. notes 7.50%, 4/15/26 335,000 345,151

Staples, Inc. 144A sr. unsec. notes 10.75%, 4/15/27 185,000 190,088

Stevens Holding Co, Inc. 144A company guaranty sr. unsec. notes 6.125%, 10/1/26 245,000 260,619

Tennant Co. company guaranty sr. unsec. unsub. notes 5.625%, 5/1/25 70,000 72,800

Titan Acquisition, Ltd./Titan Co-Borrower, LLC 144A sr. unsec. notes 7.75%, 4/15/26 (Canada) 41,000 38,438

TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.50%, 5/15/25 10,000 10,375


TransDigm, Inc. company guaranty sr. unsec. unsub. notes 6.50%, 7/15/24 83,000 85,594

TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 355,000 381,181

United Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 260,000 294,160


Vertiv Group Corp. 144A sr. unsec. notes 9.25%, 10/15/24 70,000 67,463

Vertiv Intermediate Holding Corp. 144A sr. unsec. notes 12.00%, 2/15/22 ‡‡ 40,000 35,900

Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 145,000 154,679

Waste Management, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 6/30/20 81,000 82,579

6,883,050


Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) 200,000 201,750



Communication services cont.

American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27 R $380,000 $387,645

American Tower Corp. sr. unsec. unsub. bonds 3.55%, 7/15/27 R 65,000 68,446


AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 530,000 572,950

AT&T, Inc. sr. unsec. sub. notes 3.80%, 2/15/27 885,000 936,625


AT&T, Inc. sr. unsec. unsub. bonds 4.35%, 3/1/29 170,000 187,763

AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 170,000 188,524

Cablevision Systems Corp. sr. unsec. unsub. notes 8.00%, 4/15/20 3,000 3,086

CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 190,000 199,006

CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 975,000 1,038,375

CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 5.75%, 2/15/26 260,000 274,820

Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 180,000 219,028

Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 38,000 41,684


Comcast Corp. company guaranty sr. unsec. unsub. bonds 4.049%, 11/1/52 10,000 11,153




Comcast Corp. company guaranty sr. unsec. unsub. notes 6.50%, 11/15/35 8,000 11,174


CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 125,000 113,125

Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 70,000 73,368

Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28 R 625,000 664,700


Crown Castle International Corp. sr. unsec. notes 4.875%, 4/15/22 R 21,000 22,285


Crown Castle International Corp. sr. unsec. unsub. bonds 3.70%, 6/15/26 R 65,000 68,529

CSC Holdings, LLC sr. unsec. unsub. bonds 5.25%, 6/1/24 374,000 402,050

CSC Holdings, LLC sr. unsec. unsub. notes 6.75%, 11/15/21 192,000 206,880

CSC Holdings, LLC 144A sr. unsec. unsub. notes 7.50%, 4/1/28 335,000 377,260


Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) 31,000 45,774

Digicel Group Two Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 260,000 124,150

DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 360,000 356,850

Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27 R 435,000 468,984

Equinix, Inc. sr. unsec. unsub. notes 5.875%, 1/15/26 R 35,000 37,237

Frontier Communications Corp. sr. unsec. notes 11.00%, 9/15/25 225,000 102,938

Frontier Communications Corp. 144A company guaranty notes 8.50%, 4/1/26 105,000 104,990

Intelsat Connect Finance SA 144A company guaranty sr. unsec. notes 9.50%, 2/15/23 (Luxembourg) 275,000 254,290

Intelsat Jackson Holdings SA 144A sr. unsec. notes 9.75%, 7/15/25 (Bermuda) 485,000 506,825




Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 $75,000 $75,938

Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 70,000 70,634

NBCUniversal Media, LLC company guaranty sr. unsec. unsub. notes 4.375%, 4/1/21 370,000 383,059

Quebecor Media, Inc. sr. unsec. unsub. notes 5.75%, 1/15/23 (Canada) 29,000 31,538

Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada) 20,000 29,665

Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 506,000 551,641

Sprint Communications, Inc. sr. unsec. notes 7.00%, 8/15/20 6,000 6,180

Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 69,000 75,794



Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 105,000 105,394

T-Mobile USA, Inc. company guaranty sr. unsec. notes 6.375%, 3/1/25 140,000 145,034




T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 175,000 183,138

T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 35,000 36,026

TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28 15,000 19,822

Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) 370,000 413,023

Verizon Communications, Inc. sr. unsec. unsub. bonds 4.672%, 3/15/55 215,000 257,032

Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 50,000 57,197

Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 1,274,000 1,444,426

Videotron, Ltd. company guaranty sr. unsec. unsub. notes 5.00%, 7/15/22 (Canada) 55,000 57,956

Videotron, Ltd./Videotron Ltee. 144A sr. unsec. notes 5.125%, 4/15/27 (Canada) 210,000 222,076

Vodafone Group PLC sr. unsec. unsub. notes 4.375%, 5/30/28 (United Kingdom) 190,000 209,856

14,699,582


Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 2.20%, 3/16/20 (Netherlands) 1,210,000 1,211,002

1,211,002


Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) 120,000 124,283

Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 245,000 260,267


AMC Entertainment Holdings, Inc. company guaranty sr. unsec. notes 6.125%, 5/15/27 101,000 91,405

AMC Entertainment Holdings, Inc. company guaranty sr. unsec. sub. notes 5.875%, 11/15/26 85,000 77,138


American Builders & Contractors Supply Co., Inc. 144A company guaranty sr. unsec. notes 5.875%, 5/15/26 30,000 31,425

American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 5.75%, 12/15/23 55,000 56,650

Autonation, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 2/1/20 57,000 57,535

BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 62,000 67,920






Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 $45,000 $47,471

Boyd Gaming Corp. company guaranty sr. unsec. sub. notes 6.875%, 5/15/23 15,000 15,563

Boyd Gaming Corp. company guaranty sr. unsec. unsub. notes 6.375%, 4/1/26 100,000 106,000

Brookfield Residential Properties, Inc./Brookfield Residential US Corp. 144A company guaranty sr. unsec. notes 6.25%, 9/15/27 (Canada) 70,000 70,350


Carriage Services, Inc. 144A sr. unsec. notes 6.625%, 6/1/26 95,000 97,375

CBS Corp. company guaranty sr. unsec. bonds 4.20%, 6/1/29 460,000 499,139

CBS Corp. company guaranty sr. unsec. unsub. bonds 2.90%, 1/15/27 154,000 152,662

CBS Corp. company guaranty sr. unsec. unsub. notes 4.60%, 1/15/45 94,000 101,950


Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 4.875%, 6/1/23 101,000 102,389

Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 95,000 98,976

Clear Channel Worldwide Holdings, Inc. 144A company guaranty sr. unsec. notes 9.25%, 2/15/24 72,000 79,104

Constellation Merger Sub, Inc. 144A sr. unsec. notes 8.50%, 9/15/25 215,000 180,063

CRC Escrow Issuer, LLC/CRC Finco, Inc. 144A company guaranty sr. unsec. notes 5.25%, 10/15/25 130,000 132,912

Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. notes 5.375%, 8/15/26 175,000 181,563

Diamond Sports Group, LLC/Diamond Sports Finance Co. 144A sr. unsec. notes 6.625%, 8/15/27 275,000 285,313

Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 30,000 30,992

Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 205,000 210,677

Ecolab, Inc. sr. unsec. unsub. notes 3.25%, 12/1/27 10,000 10,665

Eldorado Resorts, Inc. company guaranty sr. unsec. notes 6.00%, 9/15/26 20,000 21,900

Eldorado Resorts, Inc. company guaranty sr. unsec. unsub. notes 7.00%, 8/1/23 10,000 10,450

Entercom Media Corp. 144A company guaranty notes 6.50%, 5/1/27 155,000 161,975

Entercom Media Corp. 144A company guaranty sr. unsec. notes 7.25%, 11/1/24 155,000 160,425

Fox Corp. 144A company guaranty sr. unsec. notes 4.03%, 1/25/24 145,000 154,174

Gartner, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/25 60,000 62,775

General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 334,000 337,970

General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.30%, 7/13/25 18,000 18,694


Gray Television, Inc. 144A sr. unsec. notes 7.00%, 5/15/27 235,000 258,195

Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 30,000 31,575

Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 445,000 468,697

Home Depot, Inc. (The) sr. unsec. unsub. notes 2.625%, 6/1/22 65,000 66,448

Howard Hughes Corp. (The) 144A sr. unsec. notes 5.375%, 3/15/25 200,000 208,000

Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 65,000 71,991

iHeartCommunications, Inc. company guaranty sr. notes 6.375%, 5/1/26 76,806 82,950

iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 148,271 160,177

IHS Markit, Ltd. sr. unsec. sub. bonds 4.75%, 8/1/28 (United Kingdom) 100,000 111,250

IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 685,000 743,225




IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) $20,000 $21,100

Installed Building Products, Inc. 144A company guaranty sr. unsec. notes 5.75%, 2/1/28 30,000 30,938

Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 638,000 714,919

Iron Mountain US Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 5.375%, 6/1/26 R 55,000 56,925

Iron Mountain, Inc. 144A company guaranty sr. unsec. bonds 5.25%, 3/15/28 R 45,000 46,517

Iron Mountain, Inc. 144A company guaranty sr. unsec. notes 4.875%, 9/15/27 R 125,000 127,656

Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty notes 10.25%, 11/15/22 155,000 164,106

Jack Ohio Finance, LLC/Jack Ohio Finance 1 Corp. 144A company guaranty sr. notes 6.75%, 11/15/21 175,000 178,719

Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 50,000 49,500


Lear Corp. sr. unsec. unsub. bonds 3.80%, 9/15/27 298,000 299,512

Lennar Corp. company guaranty sr. unsec. sub. notes 5.875%, 11/15/24 90,000 99,675

Lions Gate Capital Holdings, LLC 144A company guaranty sr. unsec. notes 5.875%, 11/1/24 70,000 71,925

Lions Gate Capital Holdings, LLC 144A sr. unsec. notes 6.375%, 2/1/24 115,000 121,599

Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. notes 4.875%, 11/1/24 55,000 56,982

Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 90,000 95,738

Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 55,000 57,338

Mattamy Group Corp. 144A sr. unsec. notes 6.875%, 12/15/23 (Canada) 140,000 145,600


Meredith Corp. company guaranty sr. unsec. notes 6.875%, 2/1/26 140,000 142,275

MGM Resorts International company guaranty sr. unsec. unsub. notes 6.625%, 12/15/21 20,000 21,675

Navistar International Corp. 144A sr. unsec. notes 6.625%, 11/1/25 215,000 218,225

Nexstar Broadcasting, Inc. 144A company guaranty sr. unsec. notes 5.625%, 8/1/24 150,000 156,128

Nexstar Escrow, Inc. 144A sr. unsec. notes 5.625%, 7/15/27 55,000 57,613

Nielsen Co. Luxembourg SARL (The) 144A company guaranty sr. unsec. notes 5.00%, 2/1/25 (Luxembourg) 210,000 207,375

Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. sub. notes 5.00%, 4/15/22 185,000 185,518

Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 110,000 115,956

Outfront Media Capital, LLC/Outfront Media Capital Corp. company guaranty sr. unsec. sub. notes 5.875%, 3/15/25 115,000 118,594

Penn National Gaming, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 50,000 51,500

Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 19,000 19,254



PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 7.875%, 6/15/32 186,000 226,920


QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24 20,000 21,108

QVC, Inc. company guaranty sr. sub. notes 4.45%, 2/15/25 20,000 20,710




Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 9.375%, 4/1/27 $35,000 $32,516

Refinitiv US Holdings, Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 155,000 166,236

S&P Global, Inc. company guaranty sr. unsec. unsub. notes 4.40%, 2/15/26 35,000 39,092

Sabre GLBL, Inc. 144A company guaranty sr. notes 5.375%, 4/15/23 95,000 96,900

Scientific Games International, Inc. company guaranty sr. unsec. notes 10.00%, 12/1/22 158,000 164,320

Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/15/26 175,000 185,649

Sinclair Television Group, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 8/1/24 75,000 77,156

Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 500,000 516,875

Six Flags Entertainment Corp. 144A company guaranty sr. unsec. bonds 5.50%, 4/15/27 435,000 463,810

Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 125,000 129,375

Spectrum Brands, Inc. company guaranty sr. unsec. unsub. notes 6.125%, 12/15/24 10,000 10,378

Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 75,000 76,313

Standard Industries, Inc. 144A sr. unsec. notes 5.375%, 11/15/24 55,000 56,650



SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 65,000 63,863

Total System Services, Inc. sr. unsec. unsub. notes 4.00%, 6/1/23 280,000 293,917

Townsquare Media, Inc. 144A company guaranty sr. unsec. notes 6.50%, 4/1/23 5,000 4,988

TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 45,000 47,925

TWDC Enterprises 18 Corp. sr. unsec. notes 2.75%, 8/16/21 5,000 5,073

TWDC Enterprises 18 Corp. 144A company guaranty sr. unsec. bonds 7.75%, 12/1/45 131,000 228,893


TWDC Enterprises 18 Corp. 144A company guaranty sr. unsec. notes 3.00%, 9/15/22 30,000 30,935

Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 70,000 68,030

Viacom, Inc. sr. unsec. unsub. notes 4.50%, 3/1/21 20,000 20,591

Weekley Homes, LLC/Weekley Finance Corp. sr. unsec. notes 6.00%, 2/1/23 28,000 27,919

Werner FinCo LP/Werner FinCo, Inc. 144A company guaranty sr. unsec. notes 8.75%, 7/15/25 140,000 119,700

WMG Acquisition Corp. 144A company guaranty sr. notes 5.00%, 8/1/23 45,000 46,013

WMG Acquisition Corp. 144A company guaranty sr. unsec. notes 5.50%, 4/15/26 25,000 26,250

Wolverine World Wide, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 9/1/26 35,000 35,175

Wyndham Hotels & Resorts, Inc. 144A company guaranty sr. unsec. notes 5.375%, 4/15/26 75,000 78,375

Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 180,000 184,950

Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 145,000 151,946

15,878,519


1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) 105,000 108,281

1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 4.625%, 1/15/22 (Canada) 10,000 10,000




1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) $25,000 $25,125

1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. sub. notes 4.25%, 5/15/24 (Canada) 140,000 144,074

Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertson’s, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26 110,000 122,375

Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 3.65%, 2/1/26 253,000 271,038

Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 5.55%, 1/23/49 164,000 214,629

Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 4.75%, 1/23/29 197,000 228,965



Ascend Learning, LLC 144A sr. unsec. notes 6.875%, 8/1/25 105,000 108,675


Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 340,000 349,775

Brand Energy & Infrastructure Services, Inc. 144A sr. unsec. notes 8.50%, 7/15/25 170,000 160,650

CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 2,889 3,231

Energizer Holdings, Inc. 144A company guaranty sr. unsec. notes 7.75%, 1/15/27 10,000 11,142

Energizer Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 6.375%, 7/15/26 35,000 37,490

ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 20,000 22,293

ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 90,000 127,444



Fresh Market, Inc. (The) 144A company guaranty sr. notes 9.75%, 5/1/23 50,000 29,000

Go Daddy Operating Co, LLC/GD Finance Co., Inc. 144A company guaranty sr. unsec. notes 5.25%, 12/1/27 65,000 68,331

Golden Nugget, Inc. 144A company guaranty sr. unsec. sub. notes 8.75%, 10/1/25 140,000 145,950

Golden Nugget, Inc. 144A sr. unsec. notes 6.75%, 10/15/24 180,000 183,150

Itron, Inc. 144A company guaranty sr. unsec. notes 5.00%, 1/15/26 135,000 139,091

Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.597%, 5/25/28 453,000 507,291


KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 5.25%, 6/1/26 100,000 105,850



Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 226,000 236,736


Match Group, Inc. 144A sr. unsec. bonds 5.00%, 12/15/27 240,000 249,000

Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 75,000 76,309

Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 275,000 298,733

Netflix, Inc. 144A sr. unsec. bonds 6.375%, 5/15/29 55,000 60,913

Newell Brands, Inc. sr. unsec. unsub. notes 4.20%, 4/1/26 120,000 125,549

Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 75,000 79,125

Rite Aid Corp. 144A company guaranty sr. unsec. unsub. notes 6.125%, 4/1/23 155,000 122,969




Walgreens Boots Alliance, Inc. sr. unsec. bonds 3.45%, 6/1/26 $20,000 $20,654

Walgreens Boots Alliance, Inc. sr. unsec. unsub. notes 3.30%, 11/18/21 30,000 30,631

Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 70,000 72,286

5,125,833

Energy (0.9%)

Aker BP ASA 144A sr. unsec. notes 5.875%, 3/31/25 (Norway) 365,000 383,714

Antero Resources Corp. company guaranty sr. unsec. notes 5.625%, 6/1/23 60,000 51,900

Antero Resources Corp. company guaranty sr. unsec. sub. notes 5.375%, 11/1/21 64,000 61,760


Apache Corp. sr. unsec. unsub. notes 3.25%, 4/15/22 8,000 8,144

Apergy Corp. company guaranty sr. unsec. notes 6.375%, 5/1/26 125,000 124,063

Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 116,000 115,965


Baytex Energy Corp. 144A company guaranty sr. unsec. sub. notes 5.625%, 6/1/24 (Canada) 50,000 46,000

BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 45,000 46,917

BP Capital Markets America, Inc. company guaranty sr. unsec. unsub. notes 3.937%, 9/21/28 126,000 139,630

BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom) 220,000 231,552


California Resources Corp. 144A company guaranty notes 8.00%, 12/15/22 63,000 31,185

Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) 100,000 122,125

Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 7.00%, 6/30/24 210,000 241,353



Chesapeake Energy Corp. company guaranty sr. unsec. notes 8.00%, 6/15/27 30,000 20,406



Chevron Corp. sr. unsec. unsub. notes 2.10%, 5/16/21 304,000 305,174

Comstock Escrow Corp. company guaranty sr. unsec. sub. notes 9.75%, 8/15/26 45,000 37,611

Concho Resources, Inc. company guaranty sr. unsec. notes 3.75%, 10/1/27 389,000 404,311

Continental Resources, Inc. company guaranty sr. unsec. sub. notes 5.00%, 9/15/22 8,000 8,070

Covey Park Energy, LLC/Covey Park Finance Corp. 144A company guaranty sr. unsec. notes 7.50%, 5/15/25 145,000 116,000

DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 145,000 152,613

Denbury Resources, Inc. 144A company guaranty notes 9.00%, 5/15/21 86,000 79,765

Diamondback Energy, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 5/31/25 105,000 109,574

Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 140,000 148,050

Energy Transfer Partners LP company guaranty sr. unsec. notes 5.875%, 1/15/24 456,000 506,916

Energy Transfer Partners LP jr. unsec. sub. FRB Ser. B, 6.625%, perpetual maturity 550,000 519,750

Energy Transfer Partners LP sr. unsec. unsub. bonds 6.125%, 12/15/45 30,000 35,196

Energy Transfer Partners LP sr. unsec. unsub. notes 5.20%, 2/1/22 140,000 147,476

EOG Resources, Inc. sr. unsec. unsub. notes 4.15%, 1/15/26 45,000 49,768




Energy cont.

EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 7.75%, 5/15/26 (In default) $75,000 $56,250

Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) 10,000 12,901

Equinor ASA company guaranty sr. unsec. unsub. notes 2.90%, 11/8/20 (Norway) 243,000 245,540

Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 915,000 919,792

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. 144A sr. unsec. notes 5.625%, 2/15/26 200,000 209,000

Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 8/1/24 220,000 228,800

Indigo Natural Resources, LLC 144A sr. unsec. notes 6.875%, 2/15/26 140,000 126,175

Marathon Petroleum Corp. sr. unsec. unsub. notes 6.50%, 3/1/41 5,000 6,223

MEG Energy Corp. 144A company guaranty sr. unsec. notes 7.00%, 3/31/24 (Canada) 15,000 14,475


MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) 315,000 321,300

Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 130,000 96,200


Newfield Exploration Co. sr. unsec. unsub. notes 5.75%, 1/30/22 15,000 15,975

Nine Energy Service, Inc. 144A sr. unsec. notes 8.75%, 11/1/23 55,000 44,550

Noble Holding International, Ltd. company guaranty sr. unsec. unsub. notes 7.75%, 1/15/24 45,000 29,250

Noble Holding International, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 2/1/26 75,000 54,000

Oasis Petroleum, Inc. company guaranty sr. unsec. sub. notes 6.875%, 1/15/23 5,000 4,550

Oasis Petroleum, Inc. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/22 158,000 147,336

Oasis Petroleum, Inc. 144A sr. unsec. notes 6.25%, 5/1/26 25,000 20,250

Occidental Petroleum Corp. sr. unsec. unsub. bonds 4.40%, 4/15/46 145,000 147,691

Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 210,139

Petrobras Global Finance BV company guaranty sr. unsec. unsub. bonds 7.375%, 1/17/27 (Brazil) 227,000 274,173

Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 1,214,000 1,361,198

Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.125%, 1/17/22 (Brazil) 111,000 119,048



Petrobras Global Finance BV 144A company guaranty sr. unsec. bonds 5.093%, 1/15/30 (Brazil) 243,000 253,485

Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default) 1,000 85

Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 6.00%, 11/15/26 (Venezuela) (In default) 100,000 8,000

Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 448,000 465,122

Petroleos Mexicanos 144A company guaranty sr. unsec. notes 7.69%, 1/23/50 (Mexico) 45,000 46,913

Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) 180,000 166,050

Regency Energy Partners LP/Regency Energy Finance Corp. company guaranty sr. unsec. unsub. notes 4.50%, 11/1/23 9,000 9,530

Rose Rock Midstream LP/Rose Rock Finance Corp. company guaranty sr. unsec. sub. notes 5.625%, 7/15/22 70,000 71,051



Energy cont.

Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 $200,000 $211,622

Sabine Pass Liquefaction, LLC sr. notes 5.75%, 5/15/24 100,000 111,461


SESI, LLC company guaranty sr. unsec. notes 7.75%, 9/15/24 40,000 22,600

SESI, LLC company guaranty sr. unsec. unsub. notes 7.125%, 12/15/21 100,000 68,125

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) 205,000 213,337



SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 40,000 34,500

SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 10,000 8,975

SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 40,000 35,000


Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 45,000 46,574

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 110,000 107,514

Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 5.00%, 1/15/28 245,000 247,769

Targa Resources Partners LP/Targa Resources Partners Finance Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 35,000 38,240


Total Capital International SA company guaranty sr. unsec. unsub. notes 2.75%, 6/19/21 (France) 875,000 886,236

Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) 250,000 248,750

Transocean Pontus, Ltd. 144A company guaranty sr. notes 6.125%, 8/1/25 (Cayman Islands) 75,650 76,785

Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 70,000 72,800

Transocean Sentry Ltd. 144A company guaranty sr. notes 5.375%, 5/15/23 (Cayman Islands) 160,000 159,800

Transocean, Inc. company guaranty sr. unsec. unsub. bonds 7.50%, 4/15/31 55,000 38,775

Transocean, Inc. 144A company guaranty sr. unsec. notes 9.00%, 7/15/23 5,000 5,138

USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26 85,000 88,188

USA Compression Partners LP/USA Compression Finance Corp. 144A sr. unsec. notes 6.875%, 9/1/27 35,000 36,138

Valaris PLC sr. unsec. notes 7.75%, 2/1/26 (United Kingdom) 65,000 34,788

Williams Partners LP sr. unsec. sub. notes 4.30%, 3/4/24 280,000 297,161

WPX Energy, Inc. sr. unsec. notes 8.25%, 8/1/23 80,000 90,000


WPX Energy, Inc. sr. unsec. sub. notes 5.25%, 10/15/27 130,000 130,650

15,871,565

Financials (2.1%)

AIG Global Funding 144A sr. notes 2.15%, 7/2/20 200,000 200,138

Air Lease Corp. sr. unsec. notes 2.50%, 3/1/21 90,000 90,261

Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 302,000 332,451



Financials cont.

Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 $118,000 $116,340

Air Lease Corp. sr. unsec. unsub. notes 3.625%, 4/1/27 170,000 175,281

Alliant Holdings Intermediate, LLC 144A sr. unsec. notes 8.25%, 8/1/23 20,000 20,425

Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 816,000 1,128,063

Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 3/15/20 6,000 6,127

Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 235,000 263,205

American International Group, Inc. jr. unsec. sub. FRB 8.175%, 5/15/58 105,000 138,937

ANZ New Zealand Int’l, Ltd./London 144A company guaranty sr. unsec. notes 2.875%, 1/25/22 (United Kingdom) 215,000 218,082

Australia & New Zealand Banking Group, Ltd. sr. unsec. notes Ser. MTN, 2.125%, 8/19/20 (Australia) 534,000 534,478

Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) 600,000 654,147

Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 61,000 66,795

Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 10,000 11,125

Bank of America Corp. sr. unsec. notes Ser. MTN, 3.499%, 5/17/22 1,224,000 1,248,283

Bank of America Corp. sr. unsec. unsub. bonds Ser. MTN, 3.248%, 10/21/27 840,000 873,122

Bank of America Corp. sr. unsec. unsub. notes Ser. MTN, 2.151%, 11/9/20 50,000 50,005

Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 155,000 202,932

Bank of Montreal sr. unsec. unsub. notes Ser. D, 3.10%, 4/13/21 (Canada) 448,000 455,683

Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) 45,000 46,671

Bank of Nova Scotia (The) sr. unsec. unsub. notes 2.70%, 3/7/22 (Canada) 340,000 345,738


Bank of Nova Scotia (The) sr. unsec. unsub. notes Ser. BKNT, 2.45%, 3/22/21 (Canada) 126,000 126,864

Banque Federative du Credit Mutuel SA 144A sr. unsec. unsub. notes 2.20%, 7/20/20 (France) 430,000 430,495

BB&T Corp. jr. unsec. sub. FRB 4.80%, perpetual maturity 180,000 179,998

Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 10,000 11,785

Berkshire Hathaway Finance Corp. company guaranty sr. unsec. unsub. notes 4.25%, 1/15/21 430,000 442,838

BGC Partners, Inc. sr. unsec. notes 5.125%, 5/27/21 95,000 98,076

BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) 470,000 499,336

Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23 R 20,000 21,745

Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19 25,000 25,050

Cantor Fitzgerald LP 144A unsec. notes 6.50%, 6/17/22 65,000 70,114

Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 30,000 31,956

CBRE Services, Inc. company guaranty sr. unsec. notes 5.25%, 3/15/25 33,000 36,950

CBRE Services, Inc. company guaranty sr. unsec. unsub. notes 4.875%, 3/1/26 47,000 52,189

CIT Group, Inc. sr. unsec. sub. notes 5.00%, 8/1/23 241,000 256,665

CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 657,000 716,130


Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 955,000 1,011,463

Citigroup, Inc. sr. unsec. notes 2.65%, 10/26/20 420,000 422,572

Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 95,000 101,760

Citigroup, Inc. sr. unsec. unsub. notes 2.90%, 12/8/21 160,000 162,361

Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 611,000 712,568

Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 35,000 38,241

Citizens Bank NA/Providence RI sr. unsec. notes 2.25%, 3/2/20 390,000 390,122

CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 120,000 131,400



Financials cont.

CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 $80,000 $85,984

Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) 205,000 216,671


Commonwealth Bank of Australia 144A unsec. notes 2.20%, 11/9/20 (Australia) 480,000 480,888

Credit Acceptance Corp. company guaranty sr. unsec. notes 7.375%, 3/15/23 60,000 62,250

Credit Acceptance Corp. 144A company guaranty sr. unsec. notes 6.625%, 3/15/26 60,000 64,200

Credit Suisse Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland) 250,000 262,959

Danske Bank A/S 144A sr. unsec. notes 2.70%, 3/2/22 (Denmark) 235,000 236,009

Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28 R 325,000 359,290

ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25 R 40,000 41,360

Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 525,000 567,934

Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 50,000 53,403

Fifth Third Bancorp jr. unsec. sub. FRB 5.10%, perpetual maturity 17,000 17,187

Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 418,000 450,398

Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 80,000 73,400


GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. notes 5.25%, 6/1/25 85,000 93,786

GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 170,000 186,976

goeasy, Ltd. 144A company guaranty sr. unsec. notes 7.875%, 11/1/22 (Canada) 60,000 62,400

Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 210,000 229,234

Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 835,000 885,410




Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 11,000 14,819

HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 115,000 118,128

Huntington Bancshares, Inc. unsec. notes 4.35%, 2/4/23 150,000 158,124

Huntington National Bank (The) sr. unsec. notes 2.375%, 3/10/20 250,000 250,215

Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.75%, 2/1/24 40,000 41,600


Icahn Enterprises LP/Icahn Enterprises Finance Corp. 144A company guaranty sr. unsec. notes 6.25%, 5/15/26 130,000 136,338


iStar, Inc. sr. unsec. notes 4.75%, 10/1/24 R 185,000 188,252

iStar, Inc. sr. unsec. unsub. notes 5.25%, 9/15/22 R 35,000 35,744

JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity 13,000 14,103

JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. Z, 5.30%, perpetual maturity 63,000 63,709

JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 1,150,000 1,289,299

JPMorgan Chase & Co. sr. unsec. unsub. notes 2.25%, 1/23/20 330,000 330,087

JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 455,000 479,023

JPMorgan Chase Bank NA sr. unsec. FRN Ser. BKNT, 3.086%, 4/26/21 810,000 813,993

KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 20,000 23,432

KKR Group Finance Co. VI, LLC 144A company guaranty sr. unsec. bonds 3.75%, 7/1/29 15,000 15,808

LPL Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/25 285,000 296,400



Financials cont.

Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, 7/29/20 (Australia) $45,000 $45,297

Manufacturers & Traders Trust Co. sr. unsec. notes Ser. BKNT, 2.05%, 8/17/20 735,000 735,452

Marsh & McLennan Cos., Inc. sr. unsec. sub. bonds 4.90%, 3/15/49 120,000 150,324

Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 115,000 130,065

Metropolitan Life Global Funding I 144A notes 2.40%, 6/17/22 300,000 302,524

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24 R 35,000 38,369


Mitsubishi UFJ Financial Group, Inc. sr. unsec. notes 3.535%, 7/26/21 (Japan) 367,000 375,012

Morgan Stanley sr. unsec. unsub. notes 3.625%, 1/20/27 814,000 861,899



National Australia Bank, Ltd., NY sr. unsec. notes 2.80%, 1/10/22 (Australia) 260,000 264,772

National Australia Bank, Ltd., NY sr. unsec. notes Ser. MTN, 2.125%, 5/22/20 (Australia) 595,000 595,228

National Australia Bank, Ltd./New York sr. unsec. notes 2.50%, 1/12/21 (Australia) 250,000 251,346

Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 9.125%, 7/15/26 100,000 106,375


Nationstar Mortgage, LLC/Nationstar Capital Corp. company guaranty sr. unsec. unsub. notes 6.50%, 7/1/21 75,000 75,188

Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 20,000 20,912

PNC Bank NA sr. unsec. notes Ser. BKNT, 2.00%, 5/19/20 250,000 249,841

Protective Life Global Funding 144A notes 2.262%, 4/8/20 180,000 180,084

Provident Funding Associates LP/PFG Finance Corp. 144A sr. unsec. notes 6.375%, 6/15/25 95,000 92,388

Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 35,000 37,538


Regions Financial Corp. sr. unsec. unsub. notes 2.75%, 8/14/22 125,000 126,832

Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 555,000 555,373

Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) 40,000 44,178

Royal Bank of Scotland Group PLC sr. unsec. unsub. FRB 4.892%, 5/18/29 (United Kingdom) 255,000 280,288

Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 4.80%, 4/5/26 (United Kingdom) 324,000 354,212

Service Properties Trust sr. unsec. notes 4.375%, 2/15/30 R 91,000 87,087

Skandinaviska Enskilda Banken AB sr. unsec. notes 2.30%, 3/11/20 (Sweden) 1,195,000 1,196,100

Skandinaviska Enskilda Banken AB 144A sr. unsec. unsub. notes 2.625%, 11/17/20 (Sweden) 200,000 201,133

Springleaf Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 50,000 55,466


Springleaf Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 3/15/25 80,000 88,150

Starwood Property Trust, Inc. sr. unsec. notes 4.75%, 3/15/25 R 100,000 103,430

Svenska Handelsbanken AB company guaranty sr. unsec. notes 1.95%, 9/8/20 (Sweden) 500,000 499,929

Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 30,000 34,446

Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 65,000 70,525

TMX Finance, LLC/TitleMax Finance Corp. 144A sr. notes 11.125%, 4/1/23 100,000 92,500



Financials cont.

Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) $159,000 $164,752

U.S. Bancorp sr. unsec. unsub. notes Ser. V, 2.625%, 1/24/22 1,093,000 1,106,406

UBS AG/London 144A sr. unsec. notes 2.20%, 6/8/20 (United Kingdom) 430,000 430,439

UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. bonds 4.253%, 3/23/28 (Switzerland) 376,000 410,129

UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. notes 3.491%, 5/23/23 (Switzerland) 800,000 821,728

USIS Merger Sub, Inc. 144A sr. unsec. notes 6.875%, 5/1/25 80,000 81,198

VTB Bank OJSC Via VTB Capital SA 144A unsec. sub. bonds 6.95%, 10/17/22 (Russia) 200,000 212,250

Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity 60,000 65,700

Wells Fargo & Co. sr. unsec. notes Ser. GMTN, 2.60%, 7/22/20 839,000 842,961

Westpac Banking Corp. sr. unsec. unsub. notes 4.875%, 11/19/19 (Australia) 20,000 20,070



Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) 90,000 99,315

WeWork Cos, Inc. 144A company guaranty sr. unsec. notes 7.875%, 5/1/25 40,000 33,950

38,227,939

Health care (0.7%)

AbbVie, Inc. sr. unsec. notes 2.50%, 5/14/20 120,000 120,273

Air Medical Merger Sub Corp. 144A sr. unsec. notes 6.375%, 5/15/23 10,000 8,750

Allergan Funding SCS company guaranty sr. unsec. notes 3.45%, 3/15/22 (Luxembourg) 15,000 15,372

Allergan Funding SCS company guaranty sr. unsec. unsub. notes 3.80%, 3/15/25 (Luxembourg) 150,000 157,069

Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 143,000 167,428

Amgen, Inc. sr. unsec. notes 3.45%, 10/1/20 35,000 35,404

Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 217,000 217,707

ASP AMC Merger Sub, Inc. 144A sr. unsec. notes 8.00%, 5/15/25 100,000 68,000

Bausch Health Americas, Inc. 144A company guaranty sr. unsec. notes 9.25%, 4/1/26 90,000 102,262

Bausch Health Americas, Inc. 144A sr. unsec. notes 8.50%, 1/31/27 125,000 140,156

Bausch Health Cos., Inc. company guaranty sr. unsec. notes Ser. REGS, 4.50%, 5/15/23 EUR 100,000 110,060

Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 $25,000 26,159

Bausch Health Cos., Inc. 144A company guaranty sr. unsec. notes 9.00%, 12/15/25 75,000 84,188




Bausch Health Cos., Inc. 144A company guaranty sr. unsub. notes 7.00%, 3/15/24 80,000 84,077


Bausch Health Cos., Inc. 144A sr. notes 5.75%, 8/15/27 393,000 424,766

Becton Dickinson and Co. sr. unsec. unsub. bonds 3.70%, 6/6/27 180,000 191,085

Biogen, Inc. sr. unsec. sub. notes 3.625%, 9/15/22 65,000 67,582

Bristol-Myers Squibb Co. 144A sr. unsec. bonds 3.40%, 7/26/29 104,000 111,085

Bristol-Myers Squibb Co. 144A sr. unsec. notes 2.90%, 7/26/24 441,000 454,646

Centene Corp. sr. unsec. unsub. notes 6.125%, 2/15/24 35,000 36,407


Centene Escrow I Corp. 144A sr. unsec. notes 5.375%, 6/1/26 45,000 47,081

CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 500,000 496,675



Health care cont.

CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 $84,000 $63,735

CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 260,000 259,350

CHS/Community Health Systems, Inc. 144A company guaranty sub. notes 8.125%, 6/30/24 94,000 74,730

Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23 813,000 851,354

Cigna Holding Co. sr. unsec. unsub. notes 4.50%, 3/15/21 25,000 25,719

CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 418,000 457,787


CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 12,473 13,666

Eagle Holding Co II, LLC 144A unsec. notes 7.75%, 5/15/22 ‡‡ 35,000 35,306

HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 35,000 38,973

HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 205,000 214,981

HCA, Inc. company guaranty sr. sub. bonds 5.50%, 6/15/47 30,000 33,728

HCA, Inc. company guaranty sr. sub. notes 5.00%, 3/15/24 125,000 136,494

HCA, Inc. company guaranty sr. unsec. unsub. notes 7.50%, 2/15/22 3,000 3,326

Hologic, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/15/25 65,000 66,625

Jaguar Holding Co. II/Pharmaceutical Product Development, LLC 144A company guaranty sr. unsec. notes 6.375%, 8/1/23 25,000 25,844

Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty sr. unsec. unsub. notes 5.50%, 4/15/25 (Luxembourg) 15,000 4,350

Merck & Co., Inc. sr. unsec. notes 2.90%, 3/7/24 135,000 140,283

Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 145,000 163,528


Molina Healthcare, Inc. company guaranty sr. unsec. notes 5.375%, 11/15/22 20,000 21,201

Molina Healthcare, Inc. 144A company guaranty sr. unsec. notes 4.875%, 6/15/25 15,000 15,075

Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 235,000 276,507

Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 110,000 115,810



Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland) 200,000 238,365

Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 180,000 192,375

Service Corp. International sr. unsec. notes 4.625%, 12/15/27 340,000 354,875

Service Corp. International sr. unsec. unsub. notes 5.375%, 5/15/24 77,000 79,467

Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) 130,000 133,869


Sotera Health Holdings, LLC 144A sr. unsec. notes 6.50%, 5/15/23 15,000 15,319

Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 305,000 313,458

Tenet Healthcare Corp. sr. unsec. notes 8.125%, 4/1/22 200,000 216,310

Tenet Healthcare Corp. 144A company guaranty notes 6.25%, 2/1/27 60,000 62,493

Tenet Healthcare Corp. 144A company guaranty sr. notes 5.125%, 11/1/27 285,000 294,505


Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.75%, 3/1/28 (Israel) 200,000 163,000




Health care cont.

UnitedHealth Group, Inc. sr. unsec. unsub. bonds 4.25%, 4/15/47 $529,000 $600,807

UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.70%, 2/15/21 61,000 62,643






WellCare Health Plans, Inc. sr. unsec. notes 5.25%, 4/1/25 40,000 41,650

WellCare Health Plans, Inc. 144A sr. unsec. notes 5.375%, 8/15/26 40,000 42,692

Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 155,000 169,603

11,973,652

Technology (0.7%)

Alphabet, Inc. sr. unsec. notes 3.625%, 5/19/21 652,000 669,772


Analog Devices, Inc. sr. unsec. unsub. notes 2.85%, 3/12/20 200,000 200,721

Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 295,000 352,670

Apple, Inc. sr. unsec. notes 3.45%, 5/6/24 15,000 15,961



Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 305,000 369,231



Avaya, Inc. 144A escrow notes 7.00%, 4/1/20 48,000 —

Banff Merger Sub, Inc. 144A sr. unsec. notes 9.75%, 9/1/26 180,000 171,810

Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 241,000 242,017


Cisco Systems, Inc. sr. unsec. unsub. notes 2.50%, 9/20/26 110,000 113,141


CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 60,000 62,088


Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 658,000 739,973

Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. unsec. notes 7.125%, 6/15/24 120,000 126,480

Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A sr. bonds 8.35%, 7/15/46 39,000 51,439

Dun & Bradstreet Corp. (The) 144A sr. notes 6.875%, 8/15/26 60,000 65,400

Fidelity National Information Services, Inc. sr. unsec. notes 3.75%, 5/21/29 428,000 464,289


Fidelity National Information Services, Inc. sr. unsec. sub. notes Ser. 10Y, 4.25%, 5/15/28 100,000 111,543

Fiserv, Inc. sr. unsec. bonds 3.50%, 7/1/29 160,000 168,339

Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 755,000 835,181

Google, LLC sr. unsec. notes 3.375%, 2/25/24 200,000 213,059

Inception Merger Sub, Inc./Rackspace Hosting, Inc. 144A sr. unsec. notes 8.625%, 11/15/24 19,000 17,478

Infor US, Inc. company guaranty sr. unsec. notes 6.50%, 5/15/22 90,000 91,463

Legrand France SA sr. unsec. unsub. notes 8.50%, 2/15/25 (France) 20,000 26,014



Technology cont.

Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 $370,000 $388,565

Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 325,000 330,998

Microsoft Corp. sr. unsec. unsub. notes 5.30%, 2/8/41 10,000 13,767




Oracle Corp. sr. unsec. notes 2.50%, 5/15/22 110,000 111,341

Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 360,000 402,878

Oracle Corp. sr. unsec. unsub. notes 5.375%, 7/15/40 341,000 443,449




Plantronics, Inc. 144A company guaranty sr. unsec. notes 5.50%, 5/31/23 90,000 90,225

Qorvo, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 7/15/26 90,000 95,063

Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 610,000 669,536

Solera, LLC /Solera Finance, Inc. 144A sr. unsec. notes 10.50%, 3/1/24 165,000 174,425

SS&C Technologies, Inc. 144A company guaranty sr. unsec. notes 5.50%, 9/30/27 85,000 88,613

Tempo Acquisition, LLC/Tempo Acquisition Finance Corp. 144A sr. unsec. notes 6.75%, 6/1/25 175,000 180,250

TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 5.625%, 10/1/25 150,000 150,000

VMware, Inc. sr. unsec. notes 3.90%, 8/21/27 45,000 46,281

Western Digital Corp. company guaranty sr. unsec. notes 4.75%, 2/15/26 345,000 354,919

13,227,808

Transportation (—%)

CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44 30,000 32,618

Delta Air Lines, Inc. sr. notes Ser. A, 7.75%, 12/17/19 3,932 3,972

FedEx Corp. company guaranty sr. unsec. unsub. notes 2.625%, 8/1/22 5,000 5,050

Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 582,000 594,828

Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24 105,000 110,768

Watco Cos., LLC/Watco Finance Corp. 144A company guaranty sr. unsec. notes 6.375%, 4/1/23 119,000 120,785

868,021


AES Corp./Virginia (The) sr. unsec. unsub. notes 5.50%, 4/15/25 55,000 57,063




American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 240,000 268,912

American Transmission Systems, Inc. 144A sr. unsec. unsub. bonds 5.00%, 9/1/44 75,000 95,800

Appalachian Power Co. sr. unsec. unsub. notes 4.60%, 3/30/21 15,000 15,445

Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 370,000 512,478

Calpine Corp. sr. unsec. sub. notes 5.75%, 1/15/25 25,000 25,438

Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 50,000 51,750

Calpine Corp. 144A company guaranty sr. sub. notes 5.875%, 1/15/24 3,000 3,060

Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 15,000 16,938

Consolidated Edison, Inc. sr. unsec. unsub. notes Ser. A, 2.00%, 3/15/20 285,000 285,005

Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 265,000 295,173



Utilities and power cont.

Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 $160,000 $166,255

Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 265,000 289,940

El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 45,000 62,297

Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) 345,000 378,252

Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) 150,000 164,083

Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 255,000 275,582

FirstEnergy Corp. sr. unsec. unsub. bonds Ser. B, 3.90%, 7/15/27 24,000 25,574

FirstEnergy Corp. sr. unsec. unsub. bonds Ser. C, 4.85%, 7/15/47 41,000 49,020

FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes 5.45%, 7/15/44 420,000 533,419

IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 100,000 103,549

Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 34,000 38,932


Kinder Morgan Energy Partners LP company guaranty sr. unsec. unsub. notes 3.45%, 2/15/23 30,000 30,908

Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 4.30%, 6/1/25 531,000 574,076


MidAmerican Funding, LLC sr. bonds 6.927%, 3/1/29 25,000 33,300

NRG Energy, Inc. company guaranty sr. unsec. notes 7.25%, 5/15/26 35,000 38,413



NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 477,000 496,970

NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 250,000 257,253

NRG Energy, Inc. 144A sr. unsec. bonds 5.25%, 6/15/29 135,000 145,166

NSTAR Electric Co. sr. unsec. unsub. notes 2.375%, 10/15/22 (Canada) 25,000 25,219

Oncor Electric Delivery Co., LLC sr. notes 5.30%, 6/1/42 15,000 20,012


PPL Capital Funding, Inc. company guaranty sr. unsec. unsub. notes 4.20%, 6/15/22 20,000 20,869

Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40 5,000 6,651

Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 F 6,000 9

Toledo Edison Co. (The) sr. mtge. bonds 7.25%, 5/1/20 2,000 2,050

Vistra Energy Corp. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 45,000 48,263

Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.00%, 7/31/27 90,000 92,671

Vistra Operations Co., LLC 144A sr. bonds 4.30%, 7/15/29 254,000 260,605

Vistra Operations Co., LLC 144A sr. notes 3.55%, 7/15/24 261,000 262,732

Vistra Operations Co., LLC 144A sr. unsec. notes 5.625%, 2/15/27 70,000 73,714


6,954,528

Total corporate bonds and notes (cost $134,688,396) $139,110,828

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (4.8%)* Principal amount Value

U.S. Government Guaranteed Mortgage Obligations (1.3%)

Government National Mortgage Association Pass-Through Certificates

4.509%, 3/20/67 $99,406 $110,340

4.323%, 5/20/67 106,969 119,003


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (4.8%)* cont. Principal amount Value

U.S. Government Guaranteed Mortgage Obligations cont.


3.50%, TBA, 10/1/49 $3,000,000 $3,108,047

3.50%, with due dates from 7/20/47 to 2/20/48 18,779,091 19,495,182

22,832,572

U.S. Government Agency Mortgage Obligations (3.5%)

Federal Home Loan Mortgage Corporation Pass-Through Certificates


Federal National Mortgage Association Pass-Through Certificates



Uniform Mortgage-Backed Securities

6.00%, TBA, 10/1/49 3,000,000 3,320,859

4.50%, TBA, 10/1/49 1,000,000 1,052,891

4.00%, TBA, 10/1/49 9,000,000 9,338,905

3.00%, TBA, 10/1/49 6,000,000 6,090,000

3.00%, TBA, 10/1/34 9,000,000 9,198,281

62,324,688

Total U.S. government and agency mortgage obligations (cost $84,163,195) $85,157,260

U.S. TREASURY OBLIGATIONS (—%)* Principal amount Value

U.S. Treasury Notes 2.875%, 5/15/28 i $124,000 $137,461

Total U.S. treasury obligations (cost $137,461) $137,461

MORTGAGE-BACKED SECURITIES (1.8%)* Principal amount Value

Agency collateralized mortgage obligations (0.1%)

Federal Home Loan Mortgage Corporation

REMICs IFB Ser. 3829, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.95%), 4.923%, 3/15/41 $439,676 $75,932

REMICs Ser. 4546, Class PI, IO, 4.00%, 12/15/45 288,166 37,111

REMICs Ser. 4096, Class MI, IO, 4.00%, 1/15/42 431,062 54,909

Federal National Mortgage Association REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 144,388 4,701

Government National Mortgage Association

Ser. 11-135, Class DI, IO, 5.00%, 4/16/40 551,653 121,690

Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 58,159 11,859

IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 4.073%, 7/16/43 27,565 4,559

IFB Ser. 13-99, Class AS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 4.006%, 6/20/43 501,624 103,836

Ser. 17-123, Class JI, IO, 4.00%, 8/20/46 685,767 69,290

Ser. 16-135, Class PI, IO, 4.00%, 5/20/46 1,099,034 155,843

Ser. 14-116, Class IL, IO, 4.00%, 8/20/44 1,033,760 153,526

Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 1,208,172 121,131

Ser. 13-14, IO, 3.50%, 12/20/42 51,396 4,907

Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 238,389 12,635

Ser. 16-H16, Class EI, IO, 2.397%, 6/20/66 W 1,306,286 140,948

Ser. 15-H25, Class BI, IO, 1.85%, 10/20/65 W 758,975 70,736

Ser. 15-H26, Class EI, IO, 1.749%, 10/20/65 W 427,735 37,256

1,180,869


MORTGAGE-BACKED SECURITIES (1.8%)* cont. Principal amount Value

Commercial mortgage-backed securities (0.9%)

BANK FRB Ser. 18-BN10, Class XA, IO, 0.887%, 2/15/61 W $2,971,381 $153,234

CFCRE Commercial Mortgage Trust FRB Ser. 16-C4, Class XA, IO, 1.876%, 5/10/58 W 1,734,403 153,477

CFCRE Commercial Mortgage Trust 144A

FRB Ser. 11-C1, Class D, 6.272%, 4/15/44 W 288,000 300,918

FRB Ser. 11-C2, Class D, 5.939%, 12/15/47 W 159,000 166,950

Citigroup Commercial Mortgage Trust

Ser. 13-GC17, Class AS, 4.544%, 11/10/46 174,000 189,003

Ser. 14-GC21, Class AS, 4.026%, 5/10/47 183,000 194,252

Citigroup Commercial Mortgage Trust 144A

FRB Ser. 12-GC8, Class XA, IO, 1.935%, 9/10/45 W 1,877,565 80,136

FRB Ser. 06-C5, Class XC, IO, 0.722%, 10/15/49 W 201,421 3

COMM Mortgage Trust

FRB Ser. 14-CR17, Class C, 4.948%, 5/10/47 W 172,000 183,707

Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W 90,000 97,700

Ser. 12-CR2, Class AM, 3.791%, 8/15/45 183,000 189,250

FRB Ser. 14-UBS4, Class XA, IO, 1.265%, 8/10/47 W 2,019,590 87,886

FRB Ser. 14-CR20, Class XA, IO, 1.187%, 11/10/47 W 6,568,068 289,980

FRB Ser. 14-CR17, Class XA, IO, 1.145%, 5/10/47 W 730,916 28,304


FRB Ser. 14-UBS6, Class XA, IO, 1.07%, 12/10/47 W 938,463 36,033


COMM Mortgage Trust 144A

FRB Ser. 10-C1, Class D, 6.304%, 7/10/46 W 383,000 391,998

FRB Ser. 12-LC4, Class D, 5.722%, 12/10/44 W 700,000 693,845

FRB Ser. 12-LC4, Class XA, IO, 2.288%, 12/10/44 W 386,584 14,801

CSAIL Commercial Mortgage Trust

FRB Ser. 15-C1, Class C, 4.417%, 4/15/50 W 520,000 546,467

Ser. 15-C1, Class XA, IO, 1.004%, 4/15/50 W 4,057,908 152,991

DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.512%, 8/10/44 W 640,000 665,812

GS Mortgage Securities Trust

FRB Ser. 14-GC18, Class C, 5.157%, 1/10/47 W 123,000 126,419




GS Mortgage Securities Trust 144A

FRB Ser. 10-C1, Class D, 6.197%, 8/10/43 W 613,000 620,165


FRB Ser. 11-GC3, Class D, 5.825%, 3/10/44 W 552,000 574,810

Ser. 11-GC5, Class AS, 5.209%, 8/10/44 W 547,000 570,908

FRB Ser. 13-GC13, Class AS, 4.219%, 7/10/46 W 166,000 177,413

JPMBB Commercial Mortgage Securities Trust

Ser. 13-C15, Class B, 4.927%, 11/15/45 W 145,000 158,065

FRB Ser. 13-C14, Class C, 4.859%, 8/15/46 W 158,000 165,783

FRB Ser. 14-C22, Class C, 4.709%, 9/15/47 W 149,000 153,960

Ser. 14-C23, Class AS, 4.202%, 9/15/47 W 211,000 228,144

FRB Ser. 14-C19, Class XA, IO, 0.929%, 4/15/47 W 1,208,377 28,434



Commercial mortgage-backed securities cont.


FRB Ser. 13-C17, Class XA, IO, 0.928%, 1/15/47 W $670,223 $18,659


JPMorgan Chase Commercial Mortgage Securities Trust

FRB Ser. 13-LC11, Class C, 3.958%, 4/15/46 W 193,000 197,439

FRB Ser. 13-LC11, Class XA, IO, 1.401%, 4/15/46 W 1,240,782 47,820

JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C6, Class E, 5.319%, 5/15/45 W 144,000 138,020

LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.776%, 9/15/39 W 244,572 2,210

LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.303%, 4/20/48 W 239,000 238,434

Morgan Stanley Bank of America Merrill Lynch Trust

FRB Ser. 14-C17, Class C, 4.657%, 8/15/47 W 302,000 311,127

Ser. 12-C5, Class AS, 3.792%, 8/15/45 217,000 224,758

Ser. 13-C8, Class B, 3.697%, 12/15/48 W 54,000 55,953

Ser. 12-C6, Class AS, 3.476%, 11/15/45 329,000 338,677

FRB Ser. 14-C17, Class XA, IO, 1.268%, 8/15/47 W 344,159 13,819

Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 14-C15, Class D, 5.074%, 4/15/47 W 242,000 256,413

Morgan Stanley Capital I Trust FRB Ser. 16-BNK2, Class C, 4.036%, 11/15/49 W 209,000 222,125

Morgan Stanley Capital I Trust 144A

Ser. 12-C4, Class C, 5.60%, 3/15/45 W 200,000 207,747

FRB Ser. 12-C4, Class D, 5.60%, 3/15/45 W 285,000 285,807

FRB Ser. 11-C3, Class D, 5.292%, 7/15/49 W 95,000 97,509


UBS Commercial Mortgage Trust 144A FRB Ser. 12-C1, Class C, 5.728%, 5/10/45 W 206,000 217,740

UBS-Barclays Commercial Mortgage Trust 144A

FRB Ser. 12-C3, Class C, 5.198%, 8/10/49 W 36,000 37,936

FRB Ser. 12-C2, Class D, 5.048%, 5/10/63 W 136,000 136,109


UBS-Citigroup Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.252%, 1/10/45 W 159,000 165,211

Wells Fargo Commercial Mortgage Trust

FRB Ser. 13-LC12, Class AS, 4.42%, 7/15/46 W 131,000 139,114


Ser. 16-BNK1, Class C, 3.071%, 8/15/49 W 214,000 210,857


Wells Fargo Commercial Mortgage Trust 144A Ser. 12-LC5, Class D, 4.917%, 10/15/45 W 179,000 182,580

WF-RBS Commercial Mortgage Trust

FRB Ser. 13-C16, Class AS, 4.668%, 9/15/46 W 121,000 130,721

Ser. 13-C18, Class AS, 4.387%, 12/15/46 W 221,000 238,295

Ser. 13-UBS1, Class AS, 4.306%, 3/15/46 W 63,000 67,454

Ser. 14-C19, Class AS, 4.271%, 3/15/47 177,000 189,505

Ser. 12-C8, Class AS, 3.66%, 8/15/45 179,000 185,074

Ser. 12-C9, Class AS, 3.388%, 11/15/45 247,000 253,301

Ser. 13-C11, Class AS, 3.311%, 3/15/45 152,000 156,131

Ser. 12-C10, Class AS, 3.241%, 12/15/45 295,000 301,041




WF-RBS Commercial Mortgage Trust 144A

FRB Ser. 11-C3, Class D, 5.856%, 3/15/44 W $288,000 $270,420

FRB Ser. 11-C2, Class D, 5.839%, 2/15/44 W 573,000 587,256

Ser. 11-C4, Class E, 5.397%, 6/15/44 W 46,000 45,993

FRB Ser. 13-C15, Class D, 4.624%, 8/15/46 W 73,000 58,957

FRB Ser. 12-C10, Class D, 4.585%, 12/15/45 W 313,000 269,391

FRB Ser. 13-C11, Class D, 4.403%, 3/15/45 W 390,000 397,313



16,169,872

Residential mortgage-backed securities (non-agency) (0.8%)

Arroyo Mortgage Trust 144A Ser. 18-1, Class A3, 4.157%, 4/25/48 W 130,928 133,424

Bellemeade Re, Ltd. 144A FRB Ser. 18-2A, Class M1B, (1 Month US LIBOR + 1.35%), 3.368%, 8/25/28 (Bermuda) 209,000 209,392

BRAVO Residential Funding Trust 144A Ser. 19-NQM1, Class A3, 2.996%, 7/25/59 W 128,739 128,780

Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 4.93%, 5/25/35 W 93,448 96,841

CWABS Asset-Backed Certificates Trust FRB Ser. 04-5, Class 2A, (1 Month US LIBOR + 0.50%), 2.518%, 10/25/34 190,898 189,832

EquiFirst Mortgage Loan Trust FRB Ser. 04-1, Class M2, (1 Month US LIBOR + 1.43%), 3.443%, 1/25/34 75,973 77,250


Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 7.168%, 11/25/28 315,000 341,492

Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (1 Month US LIBOR + 4.65%), 6.668%, 10/25/28 1,160,000 1,242,811

Structured Agency Credit Risk Debt FRN Ser. 14-DN4, Class M3, (1 Month US LIBOR + 4.55%), 6.568%, 10/25/24 398,476 427,166


Structured Agency Credit Risk Debt FRN Ser. 14-HQ2, Class M3, (1 Month US LIBOR + 3.75%), 5.768%, 9/25/24 250,000 271,040

Structured Agency Credit Risk Debt FRN Ser. 17-DNA1, Class M2, (1 Month US LIBOR + 3.25%), 5.268%, 7/25/29 250,000 261,589



Federal Home Loan Mortgage Corporation 144A

Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 4.668%, 1/25/49 137,000 138,993


Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 4.318%, 10/25/48 140,000 141,530

Structured Agency Credit Risk Trust FRN Ser. 18-DNA2, Class M2, (1 Month US LIBOR + 2.15%), 4.168%, 12/25/30 47,000 47,323


Federal National Mortgage Association

Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (1 Month US LIBOR + 6.95%), 8.968%, 8/25/28 333,519 359,781




Residential mortgage-backed securities (non-agency) cont.


Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 8.018%, 9/25/28 $738,864 $804,873














Federal National Mortgage Association 144A

Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 4.468%, 7/25/31 290,000 292,964



HomeBanc Mortgage Trust FRB Ser. 04-2, Class A1, (1 Month US LIBOR + 0.74%), 2.758%, 12/25/34 108,128 108,995

Impac CMB Trust

FRB Ser. 04-6, Class 1A2, (1 Month US LIBOR + 0.78%), 2.798%, 10/25/34 90,951 90,738


Long Beach Mortgage Loan Trust FRB Ser. 04-5, Class A5, (1 Month US LIBOR + 0.56%), 2.578%, 9/25/34 140,538 140,423

Merrill Lynch Mortgage Investors Trust FRB Ser. 05-A2, Class A2, 4.448%, 2/25/35 W 103,609 107,747

Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE6, Class M1, (1 Month US LIBOR + 0.83%), 2.843%, 8/25/34 229,624 229,624

MortgageIT Trust FRB Ser. 05-1, Class 1M1, (1 Month US LIBOR + 0.72%), 2.738%, 2/25/35 40,467 39,207

New Century Home Equity Loan Trust FRB Ser. 03-4, Class M1, (1 Month US LIBOR + 1.13%), 3.143%, 10/25/33 134,999 136,222

New Residential Mortgage Loan Trust 144A FRB Ser. 18-4A, Class A1M, (1 Month US LIBOR + 0.90%), 2.918%, 1/25/48 220,815 223,358

Starwood Mortgage Residential Trust 144A Ser. 19-1, Class A3, 3.175%, 6/25/49 W 430,304 432,456

WaMu Mortgage Pass-Through Certificates Trust

FRB Ser. 06-AR4, Class 1A1A, (1 Month US LIBOR + 0.94%), 3.423%, 5/25/46 43,877 42,775





FRB Ser. 04-AR13, Class A1B2, (1 Month US LIBOR + 0.98%), 2.998%, 11/25/34 $24,669 $23,974

FRB Ser. 04-AR13, Class A2B, (1 Month US LIBOR + 0.88%), 2.898%, 11/25/34 84,645 82,726

FRB Ser. 05-AR1, Class A2A3, (1 Month US LIBOR + 0.80%), 2.818%, 1/25/45 14,642 14,131


FRB Ser. 05-AR8, Class 2AB3, (1 Month US LIBOR + 0.72%), 2.738%, 7/25/45 65,439 63,808

FRB Ser. 04-AR13, Class A1A, (1 Month US LIBOR + 0.72%), 2.738%, 11/25/34 241,144 239,938



FRB Ser. 05-AR2, Class 1A1B, (1 Month US LIBOR + 0.39%), 2.408%, 1/25/45 63,135 61,241



FRB Ser. 05-AR13, Class A1B3, (1 Month US LIBOR + 0.36%), 2.378%, 10/25/45 45,643 45,260



Wells Fargo Home Equity Asset-Backed Securities Trust

FRB Ser. 05-2, Class M9, (1 Month US LIBOR + 2.40%), 4.418%, 12/25/34 298,000 303,642


Wells Fargo Mortgage Backed Securities Trust

FRB Ser. 05-AR8, Class 1A2, 4.994%, 6/25/35 W 9,113 9,169


14,498,247

Total mortgage-backed securities (cost $32,051,508) $31,848,988


iShares MSCI Emerging Markets ETF 27,832 $1,137,494

SPDR S&P 500 ETF Trust 26,580 7,888,147



FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)* Principal amount Value

Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, 4/7/26 (Brazil) $385,000 $445,156

Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%, 1/7/25 (Brazil) 643,000 677,561

Colombia (Republic of) sr. unsec. notes 3.875%, 4/25/27 (Colombia) 345,000 365,864

Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 700,000 772,632

Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 1,043,000 1,131,655

Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Ivory Coast) 200,000 192,750

Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 200,000 204,750

Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 3/13/28 (Senegal) EUR 120,000 135,747

Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) $57,000 68,936

Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 200,000 210,780

Russia (Federation of) 144A sr. unsec. unsub. bonds 4.375%, 3/21/29 (Russia) 200,000 213,998

South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) 200,000 204,497

Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) 204,000 207,631

United Mexican States sr. unsec. notes 4.00%, 10/2/23 (Mexico) 90,000 94,844


FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)* cont. Principal amount Value

United Mexican States sr. unsec. unsub. notes 4.50%, 4/22/29 (Mexico) $1,480,000 $1,608,505

United Mexican States sr. unsec. unsub. notes 4.15%, 3/28/27 (Mexico) 220,000 232,752

Venezuela (Republic of) sr. unsec. notes 9.00%, 5/7/23 (Venezuela) (In default) 227,000 24,970

Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default) 368,000 40,480

Total foreign government and agency bonds and notes (cost $6,642,715) $6,833,508

ASSET-BACKED SECURITIES (0.3%)* Principal amount Value

Mello Warehouse Securitization Trust 144A

FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), 2.868%, 11/25/51 $446,000 $446,000

FRB Ser. 19-1, Class A, (1 Month US LIBOR + 0.80%), 2.818%, 6/25/52 564,000 564,000

Onslow Bay Financial, LLC Trust 144A Ser. 18-EXP1, Class 1A3, 4.00%, 4/25/48 W 120,846 122,941

Station Place Securitization Trust 144A




FRB Ser. 18-8, Class A, (1 Month US LIBOR + 0.70%), 2.737%, 2/24/20 1,198,000 1,198,000

FRB Ser. 19-WL1, Class A, (1 Month US LIBOR + 0.65%), 2.668%, 8/25/52 417,000 417,000

Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 2.745%, 1/25/46 406,169 402,865

Total asset-backed securities (cost $5,330,779) $5,329,806

SENIOR LOANS (0.1%)* c Principal amount Value

Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 6.334%, 12/15/24 $142,426 $134,948

Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 6.514%, 6/21/24 221,633 215,723

BWAY Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.59%, 4/3/24 224,426 219,563

California Resources Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 6.794%, 12/31/22 70,000 62,694

CPG International, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.75%), 5.933%, 5/5/24 28,458 28,351

FTS International, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.75%), 6.796%, 4/16/21 22,425 22,229

Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.794%, 3/31/24 17,127 16,870

GFL Environmental, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.044%, 5/31/25 29,633 29,344

iHeartCommunications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 6.032%, 5/1/26 6,226 6,264

Jo-Ann Stores, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 9.25%), 11.509%, 5/21/24 114,411 38,900


Lower Cadence Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.054%, 5/9/26 87,000 84,499

Navistar, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.53%, 11/6/24 376,508 374,860

Neiman Marcus Group, Ltd., LLC bank term loan FRN (BBA LIBOR USD 3 Month + 6.00%), 8.057%, 10/25/23 18,829 14,388

Ortho-Clinical Diagnostics, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 5.563%, 6/1/25 87,300 84,299


SENIOR LOANS (0.1%)* c cont. Principal amount Value

Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.287%, 11/3/23 $24,422 $22,346

Revlon Consumer Products Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.624%, 9/7/23 67,949 51,599

Robertshaw Holdings Corp. bank term loan FRN (BBA LIBOR USD 3 Month + 8.00%), 10.063%, 2/28/26 65,000 54,600


Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 5.044%, 3/28/25 157,563 150,801

Travelport Finance Luxembourg Sarl bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 5.00%), 7.104%, 5/30/26 150,000 135,281

Univision Communications, Inc. bank term loan FRN Ser. C5, (BBA LIBOR USD 3 Month + 2.75%), 4.794%, 3/15/24 23,756 23,061

Total senior loans (cost $2,030,343) $1,865,145



Notional amount




Citibank, N.A.





CONVERTIBLE BONDS AND NOTES (—%)* Principal amount Value

DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 $60,000 $54,972

Total convertible bonds and notes (cost $56,190) $54,972

CONVERTIBLE PREFERRED STOCKS (—%)* Shares Value

EPR Properties Ser. C, $1.438 cv. pfd. R 720 $24,018

Nine Point Energy 6.75% cv. pfd. F 1 200

Total convertible preferred stocks (cost $14,130) $24,218

PREFERRED STOCKS (—%)* Shares Value

GMAC Capital Trust I Ser. 2, $1.91 cum. ARP 830 $21,754

Total preferred stocks (cost $21,186) $21,754



State Street Institutional U.S. Government Money Market Fund, Premier Class 1.88% P Shares 1,890,000 1,890,000

U.S. Treasury Bills 2.044%, 12/5/19 # ∆ § $557,001 554,986

U.S. Treasury Bills 2.004%, 10/10/19 ∆ 148,000 147,927

U.S. Treasury Bills 1.909%, 11/14/19 # ∆ § 2,609,000 2,603,039




SHORT-TERM INVESTMENTS (20.2%)* cont. Principal amount/shares Value

U.S. Treasury Bills 2.047%, 12/12/19 # ∆ § $3,247,000 $3,234,029

U.S. Treasury Bills 1.908%, 3/12/20 # § 1,791,999 1,776,906


TOTAL INVESTMENTS

Total investments (cost $1,726,560,708) $1,813,119,092


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 $1,780,673,258.‡‡ 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 $13,085,985 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 8).

∆ 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 $1,416,318 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 8).

§ This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $2,238,609 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 8).

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 6).

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 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.

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.

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.


Debt obligations are considered secured unless otherwise indicated.

144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

See Note 2 to the financial statements regarding TBA commitments.

The dates shown on debt obligations are the original maturity dates.



United States 80.3%Japan 3.1United Kingdom 2.1France 1.5China 1.4Switzerland 1.3Australia 1.0Germany 1.0Netherlands 0.8

Hong Kong 0.6%Taiwan 0.6Sweden 0.6India 0.6South Korea 0.6Spain 0.5Other 4.0Total 100.0%



Delivery date Value





Brazilian Real Buy 10/2/19 3,111,346 3,363,175 (251,829 )

Brazilian Real Sell 10/2/19 3,111,346 3,174,145 62,799



Euro Buy 12/18/19 3,821,872 3,853,312 (31,440 )

Japanese Yen Buy 11/20/19 2,488,625 2,500,046 (11,421 )

Mexican Peso Buy 10/16/19 1,588,896 1,607,722 (18,826 )

New Zealand Dollar Buy 10/16/19 2,496,048 2,604,701 (108,653 )

New Zealand Dollar Sell 10/16/19 2,496,048 2,569,492 73,444

Russian Ruble Buy 12/18/19 1,604,603 1,567,604 36,999

Swedish Krona Sell 12/18/19 1,411,599 1,422,358 10,759

Barclays Bank PLC

Canadian Dollar Sell 10/16/19 3,154,320 3,198,235 43,915

Hong Kong Dollar Sell 11/20/19 2,154,361 2,157,670 3,309

Japanese Yen Buy 11/20/19 1,634,894 1,670,060 (35,166 )



Swiss Franc Buy 12/18/19 988,470 1,000,655 (12,185 )

Citibank, N.A.






Delivery date Value



Citibank, N.A. cont.

Brazilian Real Buy 10/2/19 $1,669,396 $1,789,222 $(119,826 )




Canadian Dollar Sell 10/16/19 1,672,689 1,672,648 (41 )

Danish Krone Buy 12/18/19 2,177,559 2,197,275 (19,716 )

Euro Sell 12/18/19 1,735,031 1,760,378 25,347

Japanese Yen Buy 11/20/19 9,095,923 9,195,784 (99,861 )



Australian Dollar Buy 10/16/19 1,741,846 1,741,443 403

Australian Dollar Sell 10/16/19 1,741,846 1,741,603 (243 )

Canadian Dollar Buy 10/16/19 1,676,089 1,676,176 (87 )


Euro Buy 12/18/19 1,709,040 1,730,913 (21,873 )


Australian Dollar Buy 10/16/19 4,166,853 4,178,854 (12,001 )




Canadian Dollar Sell 10/16/19 1,738,642 1,736,617 (2,025 )

Indian Rupee Buy 11/20/19 1,624,574 1,640,181 (15,607 )

Indonesian Rupiah Buy 11/20/19 1,676,606 1,630,131 46,475

Japanese Yen Sell 11/20/19 2,829,673 2,841,449 11,776

New Taiwan Dollar Sell 11/20/19 1,616,193 1,562,928 (53,265 )




South Korean Won Sell 11/20/19 1,949,275 2,055,597 106,322




British Pound Sell 12/18/19 26,083 25,819 (264 )

Chinese Yuan (Offshore) Buy 11/20/19 4,066,445 4,164,424 (97,979 )

Euro Buy 12/18/19 4,127,512 4,159,453 (31,941 )









Delivery date Value







Euro Buy 12/18/19 685,743 712,403 (26,660 )


Mexican Peso Buy 10/16/19 1,657,223 1,684,651 (27,428 )

Mexican Peso Sell 10/16/19 1,657,223 1,651,648 (5,575 )


Norwegian Krone Sell 12/18/19 3,382,926 3,391,670 8,744

Singapore Dollar Buy 11/20/19 2,021,536 2,040,906 (19,370 )

South Korean Won Buy 11/20/19 3,287,545 3,270,750 16,795

Swedish Krona Buy 12/18/19 66,529 67,019 (490 )

Swiss Franc Buy 12/18/19 3,672,079 3,716,941 (44,862 )

NatWest Markets PLC




Euro Buy 12/18/19 3,437,491 3,464,469 (26,978 )

Indian Rupee Sell 11/20/19 118,521 72,673 (45,848 )

Japanese Yen Buy 11/20/19 1,243,698 1,326,736 (83,038 )









Euro Sell 12/18/19 1,764,202 1,781,177 16,975

Japanese Yen Buy 11/20/19 748,307 812,578 (64,271 )



Norwegian Krone Buy 12/18/19 951,589 954,042 (2,453 )


UBS AG



British Pound Sell 12/18/19 1,744,118 1,726,137 (17,981 )








Delivery date Value



WestPac Banking Corp. cont.

Australian Dollar Sell 10/16/19 $2,902,356 $2,902,223 $(133 )

Canadian Dollar Buy 10/16/19 1,738,038 1,733,450 4,588


Unrealized appreciation 1,414,466


Total $(831,200 )



Number of contracts


Expiration date


Russell 2000 Index E-Mini (Long) 1,128 $85,918,226 $86,010,000 Dec-19 $(3,118,827 )

S&P 500 Index E-Mini (Long) 1,567 233,227,579 233,365,475 Dec-19 (1,262,482 )

S&P Mid Cap 400 Index E-Mini (Long) 56 10,838,688 10,852,800 Dec-19 (149,225 )

U.S. Treasury Bond 30 yr (Long) 40 6,492,500 6,492,500 Dec-19 (92,903 )

U.S. Treasury Bond Ultra 30 yr (Long) 89 17,079,656 17,079,656 Dec-19 (355,857 )

U.S. Treasury Note 2 yr (Long) 179 38,574,500 38,574,500 Dec-19 (90,520 )

U.S. Treasury Note 2 yr (Short) 155 33,402,500 33,402,500 Dec-19 80,784






Total $(5,251,620 )



Notional Amount


Citibank, N.A.




Total $161,277

TBA SALE COMMITMENTS OUTSTANDING at 9/30/19 (proceeds receivable $2,033,203 )

AgencyPrincipal

amountSettlement date Value

Uniform Mortgage-Backed Securities, 3.00%, 10/1/49 $2,000,000 10/10/19 $2,030,000

Total $2,030,000


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/19


Upfront premium


Payments made by fund

Payments received by fund


$11,188,900 $5,729 E $(2,067 ) 12/18/21 3 month USD-LIBOR-BBA—Quarterly

1.58 %—Semiannually

$3,662

45,476,400 23,284 E 25,575 12/18/21 1.58 %—Semiannually 3 month USD-LIBOR-BBA—Quarterly

2,292

14,971,200 20,855 E (19,679 ) 12/18/24 1.45 %—Semiannually 3 month USD-LIBOR-BBA—Quarterly

1,174

7,157,400 9,970 E 13,821 12/18/24 3 month USD-LIBOR-BBA—Quarterly


3,851

858,000 13,695 E (12,222 ) 12/18/49 1.65 %—Semiannally 3 month USD-LIBOR-BBA—Quarterly

1,472



(700 )

8,309,300 30,046 E (24,767 ) 12/18/29 1.525%—Semiannually

3 month USD-LIBOR-BBA—Quarterly

5,259


1.525%—Semiannually

1,030

Total $112,406 $18,040

E Extended effective date.



Upfront premium





Bank of America N.A.$892,041 $890,297 $— 6/20/23 (1 month USD-LIBOR-BBA

plus 1.00%)—MonthlyBUPA Arabia for Cooperative—Monthly

$(2,270 )


BUPA Arabia for Cooperative—Monthly

(220 )



(16,380 )



(1,101 )



3,638



(452 )

Barclays Bank PLC10,024 10,040 — 1/12/40 4.50% (1 month USD-

LIBOR)—MonthlySynthetic MBX Index 4.50% 30 year Fannie Mae pools—Monthly

28

70,592 70,743 — 1/12/41 5.00% (1 month USD-LIBOR)—Monthly

Synthetic MBX Index 5.00% 30 year Fannie Mae pools—Monthly

246



52

12,723 12,737 — 1/12/38 (6.50%) 1 month USD-LIBOR—Monthly


(37 )

827 818 — 1/12/43 3.50% (1 month USD-LIBOR)—Monthly

Synthetic TRS Index 3.50% 30 year Fannie Mae pools—Monthly

(1 )



(33 )


OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/19 cont.


Upfront premium





Barclays Bank PLC cont.$718 $711 $— 1/12/42 4.00% (1 month USD-

LIBOR)—MonthlySynthetic TRS Index 4.00% 30 year Fannie Mae pools—Monthly

$—



(4 )

247 244 — 1/12/40 (5.00%) 1 month USD-LIBOR—Monthly


—



(3 )

Citibank, N.A.51,466,394 52,796,294 — 11/26/19 (3 month USD-LIBOR-BBA

plus 0.34%)—QuarterlyA basket (CGPUTQL2 ) of common stocks—Quarterly

1,344,636

44,863,808 46,391,633 — 11/26/19 3 month USD-LIBOR-BBA plus 0.09%—Quarterly

Russell 1000 Total Return Index—Quarterly

(1,428,127 )



30

Credit Suisse International107,890 108,141 — 1/12/41 4.50% (1 month USD-

LIBOR)—MonthlySynthetic MBX Index 4.50% 30 year Ginnie Mae II pools—Monthly

374



(2 )

Goldman Sachs International106,843,530 106,550,949 — 12/15/20 (1 month USD-LIBOR-BBA

plus 0.50%)—MonthlyA basket (GSGLPWDL) of common stocks—Monthly

(117,835 )

100,853,508 98,854,724 — 12/15/20 1 month USD-LIBOR-BBA minus 0.15%—Monthly

A basket (GSGLPWDS) of common stocks—Monthly

1,851,255



2



—



—

JPMorgan Securities LLC31,753 31,316 — 1/12/44 4.00% (1 month USD-


(102 )



37



(1 )

Upfront premium received — Unrealized appreciation 3,200,298

Upfront premium (paid) — Unrealized (depreciation) (1,566,568 )

Total $— Total $1,633,730


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING—PROTECTION SOLD at 9/30/19

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 $169 5/11/63 300 bp—Monthly $(31 )

CMBX NA BBB–.6 Index BBB–/P 185 3,000 254 5/11/63 300 bp—Monthly (67 )



Barclays Bank PLC

CMBX NA BBB–.6 Index BBB–/P 1,109 10,000 846 5/11/63 300 bp—Monthly 268

Citigroup Global Markets, Inc.

CMBX NA A.6 Index A/P (109 ) 246,000 541 5/11/63 200 bp—Monthly 515

CMBX NA A.6 Index A/P 40 23,000 51 5/11/63 200 bp—Monthly 99

CMBX NA BB.6 Index BB/P 28,797 117,000 18,229 5/11/63 500 bp—Monthly 10,666





CMBX NA A.6 Index A/P (837 ) 758,000 1,668 5/11/63 200 bp—Monthly 1,083

CMBX NA A.7 Index A-/P 236 6,000 104 1/17/47 200 bp—Monthly 342


CMBX NA BBB–.6 Index BBB–/P 11,933 127,000 10,744 5/11/63 300 bp—Monthly 1,253



CMBX NA A.6 Index A/P 8,124 351,000 772 5/11/63 200 bp—Monthly 9,014





CMBX NA A.6 Index A/P 843 112,000 246 5/11/63 200 bp—Monthly 1,127







CMBX NA BBB–.6 Index BBB–/P 2,165 20,000 1,692 5/11/63 300 bp—Monthly 483




CMBX NA BBB–.6 Index BBB–/P 1,339 27,000 2,284 5/11/63 300 bp—Monthly (931 )






CMBX NA BBB–.6 Index BBB–/P 4,418 90,000 7,614 5/11/63 300 bp—Monthly (3,151 )



CMBX NA BBB–.7 Index BBB–/P 1,624 19,000 296 1/17/47 300 bp—Monthly 1,337



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING—PROTECTION SOLD at 9/30/19 cont.




Termi- nation date



JPMorgan Securities LLC

CMBX NA BB.6 Index BB/P $3,389 $16,000 $2,493 5/11/63 500 bp—Monthly $910


CMBX NA A.6 Index A/P 43,502 1,891,000 4,160 5/11/63 200 bp—Monthly 48,293





CMBX NA BB.10 Index BB–/P 4,253 53,000 4,622 5/11/63 500 bp—Monthly (325 )


CMBX NA BBB–.7 Index BBB–/P 209 8,000 125 1/17/47 300 bp—Monthly 88

Merrill Lynch International







Morgan Stanley & Co. International PLC


CMBX NA A.6 Index A/P 18,599 461,000 1,014 5/11/63 200 bp—Monthly 19,767







CMBX NA A.6 Index A/P — 16,000 35 5/11/63 200 bp—Monthly 41







CMBX NA BB.6 Index BB/P 1,201 5,000 779 5/11/63 500 bp—Monthly 426





Upfront premium received 500,529 Unrealized appreciation 270,736

Upfront premium (paid) (1,029 ) Unrealized (depreciation) (5,971 )

Total $499,500 Total $264,765

* 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, 2019. 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 9/30/19

Swap counterparty/ Referenced debt*



Termi- nation date

Payments (paid) by fund



CMBX NA A.7 Index $(44 ) $6,000 $104 1/17/47 (200 bp)—Monthly $(150 )

CMBX NA BB.10 Index (2,609 ) 25,000 2,180 11/17/59 (500 bp)—Monthly (450 )


CMBX NA BB.11 Index (9,587 ) 74,000 5,454 11/18/54 (500 bp)—Monthly (4,195 )















CMBX NA BB.7 Index (303 ) 2,000 143 1/17/47 (500 bp)—Monthly (162 )





CMBX NA BB.9 Index (1,617 ) 15,000 888 9/17/58 (500 bp)—Monthly (741 )

CMBX NA BB.9 Index (1,912 ) 12,000 710 9/17/58 (500 bp)—Monthly (1,211 )













CMBX NA BBB–.7 Index (5,160 ) 136,000 2,122 1/17/47 (300 bp)—Monthly (3,107 )









CMBX NA BBB–.7 Index (2,049 ) 25,000 390 1/17/47 (300 bp)—Monthly (1,671 )


OTC CREDIT DEFAULT CONTRACTS OUTSTANDING—PROTECTION PURCHASED at 9/30/19 cont.




Termi- nation date




CMBX NA BBB–.7 Index $(3,566 ) $35,000 $546 1/17/47 (300 bp)—Monthly $(3,038 )


















Upfront premium received — Unrealized appreciation —


Total $(380,043 ) Total $(177,404 )

* 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 9/30/19

Referenced debt* Rating***



Termi- nation date



NA HY Series 33 Index B+/P $(1,887,653 ) $28,142,000 $1,887,681 12/20/24 500 bp—Quarterly $11,754

NA IG Series 33 Index BBB+/P (1,014,678 ) 49,800,000 990,024 12/20/24 100 bp—Quarterly (14,971 )

Total $(2,902,331 ) $(3,217 )



CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING—PROTECTION PURCHASED at 9/30/19

Referenced debt*



Termi- nation date


Unrealized depreciation

NA HY Series 33 Index $1,089,965 $16,387,000 $1,099,191 12/20/24 (500 bp)—Quarterly $(16,054 )

Total $1,089,965 $(16,054 )






Valuation inputs

Investments in securities: Level 1 Level 2 Level 3Common stocks*:







Energy 48,849,714 — 483

Financials 205,635,243 — —

Health care 131,569,081 — —

Technology 252,357,085 — —


Utilities and power 45,588,688 7,611 —

Total common stocks 1,172,828,055 7,611 483Asset-backed securities — 5,329,806 —

Convertible bonds and notes — 54,972 —

Convertible preferred stocks — 24,018 200

Corporate bonds and notes — 139,110,815 13

Foreign government and agency bonds and notes — 6,833,508 —


Mortgage-backed securities — 31,848,988 —

Preferred stocks — 21,754 —


Senior loans — 1,865,145 —

U.S. government and agency mortgage obligations — 85,157,260 —

U.S. treasury obligations — 137,461 —

Short-term investments 1,890,000 357,550,741 —

Totals by level $1,184,707,701 $628,410,695 $696

Valuation inputs

Other financial instruments: Level 1 Level 2 Level 3Forward currency contracts $— $(831,200 ) $—



TBA sale commitments — (2,030,000 ) —

Interest rate swap contracts — (94,366 ) —

Total return swap contracts — 1,633,730 —

Credit default contracts — 1,760,999 —

Totals by level $(5,251,620 ) $277,886 $—


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


Unaffiliated issuers (identified cost $1,387,665,158) $1,474,223,542


Cash 68,308

Foreign currency (cost $2,133,201) (Note 2) 2,124,904

Dividends, interest and other receivables 4,363,354




Receivable for sales of TBA securities (Note 2) 2,034,703

Receivable for variation margin on futures contracts (Note 2) 1,312,171

Receivable for variation margin on centrally cleared swap contracts (Note 2) 1,745,995

Unrealized appreciation on forward currency contracts (Note 2) 1,414,466

Unrealized appreciation on OTC swap contracts (Note 2) 3,471,034

Premium paid on OTC swap contracts (Note 2) 381,072

Total assets 1,847,204,990

LIABILITIES


Payable for purchases of TBA securities (Note 2) 32,169,068

Payable for units of the Portfolio repurchased 6,140,376

Payable for variation margin on futures contracts (Note 2) 49,196

Payable for variation margin on centrally cleared swap contracts (Note 2) 1,660,555

Unrealized depreciation on OTC swap contracts (Note 2) 1,749,943

Premium received on OTC swap contracts (Note 2) 500,529

Unrealized depreciation on forward currency contracts (Note 2) 2,245,666


TBA sale commitments, at value (proceeds receivable $2,033,203) (Note 2) 2,030,000

Collateral on certain derivative contracts, at value (Notes 2 and 8) 2,027,461


Net assets $1,780,673,258


Net assets $1,780,673,258






INVESTMENT INCOME

Dividends (net of foreign tax of $439,909) $25,833,298

Interest (net of foreign tax of $372) (including interest income of $7,397,830 from investments in affiliated issuers) (Note 4) 16,778,538




Securities from unaffiliated issuers (Note 2) (27,490,491)


Forward currency contracts (Note 2) (2,659,020)


Swap contracts (Note 2) 2,931,957




Securities from unaffiliated issuers and TBA sale commitments 8,406,882



Futures contracts (5,380,774)

Swap contracts 1,457,485


Total change in net unrealized appreciation 3,848,569

Net loss on investments (34,651,568)

Net increase in net assets resulting from operations $7,960,268





9/30/19

Operations:



Change in net unrealized appreciation of investments and assets and liabilities in foreign currencies 3,848,569



Proceeds from sale of units 1,033,327,888




NET ASSETS

Beginning of year 1,436,668,795

End of year $1,780,673,258



Sold 58,816,018

Redeemed (40,269,885)





9/30/19




Net realized and unrealized gain (loss) on investments (0.49)

Total from investment operations 0.00


Total return at net asset value (%) 0.00

RATIOS AND SUPPLEMENTAL DATANet assets, end of year (in thousands) $1,780,673






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.







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. 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 may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.

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 makers. 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 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 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.

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 $1,206,359 on open derivative contracts subject to the Master Agreements. Collateral posted by the Portfolio at period end for these agreements totaled $1,416,318 and may include amounts related to unsettled agreements.










income




Putnam Money Market Portfolio* $285,098,753 $488,171,832 $434,375,035 $7,397,830 $338,895,550

Total Short-term investments $285,098,753 $488,171,832 $434,375,035 $7,397,830 $338,895,550


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 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.

6. 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.


Purchased equity option contracts (contract amount) $—*


Written equity option contracts (contract amount) $—*


Futures contracts (number of contracts) 4,000


Centrally cleared interest rate swap contracts (notional) $105,200,000

OTC total return swap contracts (notional) $177,900,000

OTC credit default contracts (notional) $11,600,000

Centrally cleared credit default contracts (notional) $80,900,000

Warrants (number of warrants) 310,000

*For the reporting period, there were no holdings at the end of each fiscal quarter and the transactions were considered minimal.








liabilities location Fair valueCredit contracts Receivables,

Net assets — Unrealized appreciation

$3,117,080 * Payables, Net assets – Unrealized

depreciation

$1,356,081 *

Foreign exchange contracts Investments, Receivables

1,883,082 Payables 2,406,943

Equity contracts Receivables 3,199,529 Payables, Net assets – Unrealized

depreciation

6,096,919 *

Interest rate contracts Receivables, Net assets — Unrealized

appreciation

212,151 * Payables, Net assets – Unrealized

depreciation

1,027,017 *

Total $8,411,842 $10,886,960

* 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.



Forward currency

contracts Swaps TotalCredit contracts $— $— $— $— $2,390,114 $2,390,114

Foreign exchange contracts — 182,131 — (2,659,020) — (2,476,889)

Equity contracts 203,693 (54,111) (7,412,049) — 604,074 (6,658,393)

Interest rate contracts — — (3,983,692) — (62,231) (4,045,923)

Total $203,693 $128,020 $(11,395,741) $(2,659,020) $2,931,957 $(10,791,091)


Forward currency

contracts Swaps TotalCredit contracts $— $— $— $— $(23,303) $(23,303)

Foreign exchange contracts — 35,734 — (835,270) — (799,536)

Equity contracts 305,498 — (5,360,350) — 1,458,489 (3,596,363)

Interest rate contracts — — (20,424) — 22,299 1,875

Total $305,498 $35,734 $(5,380,774) $(835,270) $1,457,485 $(4,417,327)




Bank

of A

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kets

, Inc

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isse

In

tern

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nal

Gold

man

Sac

hs

Inte

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iona

l

Assets:

Centrally cleared interest rate swap contracts§ $— $— $1,657,295 $— $— $— $— $—

OTC Total return swap contracts*# 3,638 326 — — 1,344,666 — 374 1,851,257

OTC Credit default contracts - protection sold*# — — — — — 683 2,026 4,083

OTC Credit default contracts - protection purchased*# — — — — — 44,224 56,551 19,619

Centrally cleared credit default contracts§ — — 88,700 — — — — —

Futures contracts§ — — — 1,297,687 — — — —

Forward currency contracts# 184,001 151,769 — — 90,940 — 2,688 410,990

Purchased options**# 157,382 — — — 155,617 — — 155,617

Total Assets $345,021 $152,095 $1,745,995 $1,297,687 $1,591,223 $44,907 $61,639 $2,441,566

Liabilities:

Centrally cleared interest rate swap contracts§ — — 1,660,555 — — — — —

OTC Total return swap contracts*# 20,423 78 — — 1,428,127 — 2 117,835

OTC Credit default contracts - protection sold*# 1,681 841 — — — 28,928 18,631 71,281

OTC Credit default contracts - protection purchased*# — — — — — 106 — —

Centrally cleared credit default contracts§ — — — — — — — —

Futures contracts§ — — — 20,712 — — — —


Written options# — — — — 80,639 — — 80,638

Total Liabilities $649,215 $58,093 $1,660,555 $20,712 $1,812,447 $29,034 $40,836 $360,578

Total Financial and Derivative Net Assets $(304,194) $94,002 $85,440 $1,276,975 $(221,224) $15,873 $20,803 $2,080,988

Total collateral received (pledged)##† $(304,194) $94,002 $— $— $(221,224) $— $— $1,877,461

Net amount $— $— $85,440 $1,276,975 $— $15,873 $20,803 $203,527

Controlled collateral received (including TBA commitments)** $— $150,000 $— $— $— $— $— $1,877,461

Uncontrolled collateral received $— $— $— $— $— $— $— $—

Collateral (pledged) (including TBA commitments)** $(356,103) $— $— $— $(271,386) $— $— $—



HSB

C Ba

nk

USA

, Nat

iona

l As

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atio

n

JPM

orga

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Bank

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.

JPM

orga

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curit

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LC

Mer

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ynch

In

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atio

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Mor

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Stan

ley

& Co

. In

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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

$— $— $— $— $— $— $— $— $— $1,657,295

— — 37 — — — — — — 3,200,298

— — 5,286 736 2,407 — — — — 15,221

— — 25,554 26,999 29,798 — — — — 202,745

— — — — — — — — — 88,700

— — 14,484 — — — — — — 1,312,171

86,953 276,723 — — — 18,435 123,570 63,809 4,588 1,414,466

— — — — — — — — — 468,616

$86,953 $276,723 $45,361 $27,735 $32,205 $18,435 $123,570 $63,809 $4,588 $8,359,512

— — — — — — — — — 1,660,555

— — 103 — — — — — — 1,566,568

— — 81,413 18,885 28,296 — — — — 249,956

— — — — — — — — — 106

— — — — — — — — — —

— — 28,484 — — — — — — 49,196

203,517 262,844 — — — 398,660 156,052 17,981 105,619 2,245,666

— — — — — — — — — 161,277

$203,517 $262,844 $110,000 $18,885 $28,296 $398,660 $156,052 $17,981 $105,619 $5,933,324

$(116,564) $13,879 $(64,639) $8,850 $3,909 $(380,225) $(32,482) $45,828 $(101,031) $2,426,188

$(50,862) $— $(64,639) $— $— $(380,225) $(32,482) $— $(101,031)

$(65,702) $13,879 $— $8,850 $3,909 $— $— $45,828 $—

$— $— $— $— $— $— $— $— $— $2,027,461

$— $— $— $— $— $— $— $— $— $—

$(50,862) $— $(99,705) $— $— $(383,903) $(142,661) $— $(111,698) $(1,416,318)


9. New Accounting PronouncementsIn March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2017–08, Receivables—Nonretrustable 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 fiscal years and interim periods within those fiscal years beginning after December 15, 2019 for non-public business entities. Management is currently evaluating the impact, if any, of applying this provision.



(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 $13,085,985 and $2,238,609, respectively.



BB8 12/2019


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-3

The fund’s portfolio …………………………………………………… D-4

Statement of assets and liabilities …………………………………… D-54

Statement of operations ……………………………………………… D-55

Statement of changes in net assets …………………………………… D-56

Financial highlights …………………………………………………… D-57

Notes to financial statements ………………………………………… D-58




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�sportfolio, as of September 30, 2019 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 Balanced Portfolio as of September 30, 2019, 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.






Anglo American PLC (United Kingdom) 49,954 $1,151,879



Axalta Coating Systems, Ltd. 38,118 1,149,258





Corteva, Inc. 114,215 3,198,020

Covestro AG (Germany) 29,208 1,445,652


Eastman Chemical Co. 15,729 1,161,272



HeidelbergCement AG (Germany) 14,107 1,019,965



NewMarket Corp. 1,270 599,554





Sherwin-Williams Co. (The) 1,010 555,368

Shin-Etsu Chemical Co., Ltd. (Japan) 13,300 1,422,605

Steel Dynamics, Inc. 38,972 1,161,366



W.R. Grace & Co. 5,354 357,433

25,989,590


ACS Actividades de Construccion y Servicios SA (Spain) 25,728 1,028,264

Allison Transmission Holdings, Inc. 25,122 1,181,990



Ball Corp. 15,777 1,148,723

Berry Plastics Group, Inc. 28,882 1,134,197


Cummins, Inc. 23,688 3,853,327



Dover Corp. 14,474 1,441,031

Emerson Electric Co. 36,877 2,465,596





Capital goods cont.

HD Supply Holdings, Inc. 39,307 $1,539,852

HEICO Corp. 9,541 1,191,480

Hitachi, Ltd. (Japan) 45,000 1,675,087


IDEX Corp. 7,066 1,157,976





Republic Services, Inc. 16,860 1,459,233

Roper Technologies, Inc. 3,518 1,254,519

Sandvik AB (Sweden) 93,042 1,451,157

Silgan Holdings, Inc. 1,501 45,083

Teledyne Technologies, Inc. 3,251 1,046,790

Tervita Corp. (Canada) 16 91


52,244,518


Altice USA, Inc. Class A 65,374 1,874,926

AT&T, Inc. 27,458 1,039,011





Deutsche Telekom AG (Germany) 81,167 1,362,188

Equinix, Inc. R 1,446 834,053


Hikari Tsushin, Inc. (Japan) 3,500 757,159

Juniper Networks, Inc. 55,539 1,374,591

KDDI Corp. (Japan) 68,200 1,782,697

Nippon Telegraph & Telephone Corp. (Japan) 21,100 1,006,631

T-Mobile US, Inc. 5,838 459,859


Telstra Corp., Ltd. (Australia) 534,410 1,265,119


42,958,283


AMETEK, Inc. 20,194 1,854,213

Danaher Corp. 28,451 4,109,178


6,066,453


Amazon.com, Inc. 12,868 22,337,690

Aristocrat Leisure, Ltd. (Australia) 63,440 1,309,285







Best Buy Co., Inc. 55,097 $3,801,142





Clear Channel Outdoor Holdings, Inc. 951 2,397

Compagnie Generale des Etablissements Michelin SCA (France) 11,633 1,298,667

CoStar Group, Inc. 1,121 664,977


Discovery, Inc. Class A 54,908 1,462,200

Ecolab, Inc. 738 146,154

Expedia, Inc. 27,830 3,740,630


Fiat Chrysler Automobiles NV (Italy) 92,226 1,193,668

Geberit International AG (Switzerland) 1,556 743,709




Hermes International (France) 2,078 1,436,286









Lowe’s Cos., Inc. 40,545 4,458,328




Nintendo Co., Ltd. (Japan) 4,300 1,592,283

Norwegian Cruise Line Holdings, Ltd. 31,338 1,622,368



Peugeot SA (France) 58,505 1,459,335






Sony Corp. (Japan) 33,500 1,967,379


TJX Cos., Inc. (The) 9,903 551,993

Toyota Motor Corp. (Japan) 1,200 80,122

Verisk Analytics, Inc. Class A 9,429 1,491,102




Volvo AB (Sweden) 104,058 $1,463,161

Walmart, Inc. 53,345 6,330,985

Walt Disney Co. (The) 5,503 717,151

Wolters Kluwer NV (Netherlands) 20,430 1,491,831

105,755,457


Ashtead Group PLC (United Kingdom) 50,901 1,420,100




Carlsberg A/S Class B (Denmark) 10,186 1,505,914

Coca-Cola Co. (The) 210,711 11,471,107


Coca-Cola HBC AG (Switzerland) 35,183 1,151,969

Colgate-Palmolive Co. 1,757 129,157


Essity AB Class B (Sweden) 40,592 1,186,117

Hershey Co. (The) 21,717 3,365,918


ITOCHU Corp. (Japan) 74,500 1,537,909




PepsiCo, Inc. 60,987 8,361,318



Starbucks Corp. 133,952 11,844,035


Sysco Corp. 13,712 1,088,733




US Foods Holding Corp. 30,556 1,255,851



Woolworths Group, Ltd. (Australia) 65,423 1,644,962

78,211,257

Energy (2.3%)

Chevron Corp. 123,407 14,636,070


Equinor ASA (Norway) 64,605 1,230,460

Exxon Mobil Corp. 18,200 1,285,102


MWO Holdings, LLC (Units) F 10 338



OMV AG (Austria) 11,986 643,426



Energy cont.

Phillips 66 45,124 $4,620,697


Santos, Ltd. (Australia) 201,364 1,049,811

34,285,674

Financials (9.4%)



Aflac, Inc. 50,991 2,667,849

AGNC Investment Corp. R 111,378 1,792,072



Ally Financial, Inc. 43,446 1,440,669




Annaly Capital Management, Inc. R 226,921 1,996,905



Athene Holding, Ltd. Class A (Bermuda) 27,813 1,169,814

AvalonBay Communities, Inc. R 8,448 1,819,108

Aviva PLC (United Kingdom) 291,616 1,434,918



Banco Bilbao Vizcaya Argenta (Spain) 315,219 1,642,827





Brixmor Property Group, Inc. R 56,634 1,149,104



Camden Property Trust R 9,473 1,051,598


CBRE Group, Inc. Class A 28,575 1,514,761

Cheung Kong Property Holdings, Ltd. (Hong Kong) 201,500 1,364,856


Chubb, Ltd. 109 17,597

Citigroup, Inc. 201,196 13,898,620

CoreLogic, Inc. 1,345 62,233

Credit Agricole SA (France) 86,272 1,047,758



Duke Realty Corp. R 36,172 1,228,763


Empire State Realty Trust, Inc. Class A R 1,065 15,198




Financials cont.

Equity Lifestyle Properties, Inc. R 5,390 $720,104








Hang Seng Bank, Ltd. (Hong Kong) 48,900 1,054,175


Henderson Land Development Co., Ltd. (Hong Kong) 177,400 825,969





Invitation Homes, Inc. R 51,755 1,532,466








Legal & General Group PLC (United Kingdom) 469,234 1,436,340


Lincoln National Corp. 30,515 1,840,665

Loews Corp. 4,103 211,222


Medical Properties Trust, Inc. R 61,292 1,198,872

MetLife, Inc. 108,518 5,117,709





New Residential Investment Corp. R 75,391 1,182,130


ORIX Corp. (Japan) 97,100 1,447,403


Partners Group Holding AG (Switzerland) 1,833 1,407,723



Raymond James Financial, Inc. 13,427 1,107,190




STORE Capital Corp. R 29,714 1,111,601



Financials cont.

Sumitomo Mitsui Financial Group, Inc. (Japan) 51,800 $1,771,002








U.S. Bancorp 9,980 552,293

UDR, Inc. R 2,375 115,140

Unum Group 34,433 1,023,349

VICI Properties, Inc. R 73,064 1,654,900



140,061,798

Health care (6.6%)


AbbVie, Inc. 50,464 3,821,134

Advanz Pharma Corp. (Canada) 70 839


Allergan PLC 13,219 2,224,626

AmerisourceBergen Corp. 17,170 1,413,606

Amgen, Inc. 39,019 7,550,567

Astellas Pharma, Inc. (Japan) 97,400 1,386,536


Biogen, Inc. 15,942 3,711,617




Chemed Corp. 2,395 1,000,080

Cooper Cos., Inc. (The) 4,035 1,198,395

Dentsply Sirona, Inc. 23,708 1,263,873


Eli Lilly & Co. 15,099 1,688,522

Encompass Health Corp. 1,173 74,227




Hologic, Inc. 26,726 1,349,396




Koninklijke Philips NV (Netherlands) 37,889 1,755,530


Masimo Corp. 2,024 301,151

McKesson Corp. 25,432 3,475,537



Health care cont.

Medtronic PLC 89,431 $9,713,995

Merck & Co., Inc. 97,388 8,198,121



Pfizer, Inc. 96,013 3,449,747


Quest Diagnostics, Inc. 1,258 134,644




Shionogi & Co., Ltd. (Japan) 27,200 1,509,811


Thermo Fisher Scientific, Inc. 5,317 1,548,683






Zoetis, Inc. 12,185 1,518,129

97,806,603

Technology (11.7%)


Adobe, Inc. 37,907 10,471,809



Amdocs, Ltd. 2,165 143,128

Apple, Inc. 72,407 16,216,996

Aspen Technology, Inc. 10,303 1,268,093



Broadcom, Inc. 14,418 3,980,377




CDW Corp. of Delaware 13,894 1,712,297



eBay, Inc. 134,492 5,242,498

F5 Networks, Inc. 15,016 2,108,547

Facebook, Inc. Class A 7,330 1,305,326



Fortinet, Inc. 38,696 2,970,305



Garmin, Ltd. 17,028 1,442,102



Technology cont.

Genpact, Ltd. 22,642 $877,378

Gentex Corp. 1,811 49,866

Hoya Corp. (Japan) 20,000 1,632,015

IBM Corp. 33,468 4,866,917

Intuit, Inc. 27,382 7,281,970

Keysight Technologies, Inc. 21,625 2,103,031

KLA Corp. 23,294 3,714,228

Lam Research Corp. 5,827 1,346,678

Leidos Holdings, Inc. 24,815 2,131,112


Microsoft Corp. 113,441 15,771,702





Oracle Corp. 220,890 12,155,577


Paychex, Inc. 1,617 133,839

Proofpoint, Inc. 8,034 1,036,788

Qualcomm, Inc. 52,465 4,002,030

ServiceNow, Inc. 6,430 1,632,256



Synopsys, Inc. 1,758 241,286

Texas Instruments, Inc. 5,004 646,717

Thales SA (France) 1,778 204,499



Xerox Holdings Corp. 41,847 1,251,644

Xilinx, Inc. 49,352 4,732,857

Zebra Technologies Corp. Class A 10,752 2,218,890

174,423,415


Aena SME SA (Spain) 7,100 1,300,390



Deutsche Post AG (Germany) 34,273 1,145,033









19,778,287




AES Corp. 104,533 $1,708,069





E.ON SE (Germany) 129,082 1,255,128

Enel SpA (Italy) 260,331 1,944,402

Eni SpA (Italy) 52,237 799,219

Entergy Corp. 14,393 1,689,162

Evergy, Inc. 24,236 1,613,148

Exelon Corp. 111,346 5,379,125

GenOn Energy, Inc. 22 4,620

IDACORP, Inc. 4,608 519,183


NRG Energy, Inc. 47,232 1,870,387

Pinnacle West Capital Corp. 16,636 1,614,856


Snam SpA (Italy) 109,069 551,015



32,867,079











Big River Steel, LLC/BRS Finance Corp. 144A company guaranty sr. notes 7.25%, 9/1/25 95,000 100,225










Cemex SAB de CV 144A company guaranty sr. notes 6.125%, 5/5/25 (Mexico) 200,000 208,000




CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 $80,000 $78,400








First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) 200,000 196,500










James Hardie International Finance DAC 144A sr. unsec. bonds 5.00%, 1/15/28 (Ireland) 200,000 207,500










New Gold, Inc. 144A company guaranty sr. unsec. unsub. notes 6.25%, 11/15/22 (Canada) 10,000 10,000














Steel Dynamics, Inc. company guaranty sr. unsec. notes 5.00%, 12/15/26 $55,000 $57,613

















8,990,013















Clean Harbors, Inc. 144A sr. unsec. notes 4.875%, 7/15/27 80,000 83,500













Capital goods cont.

Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 $70,000 $73,821
























United Technologies Corp. sr. unsec. unsub. notes 1.90%, 5/4/20 1,132,000 1,130,706





8,555,565



American Tower Corp. sr. unsec. bonds 3.125%, 1/15/27 R 430,000 438,651



AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 930,000 1,005,365

AT&T, Inc. sr. unsec. sub. notes 3.80%, 2/15/27 1,778,000 1,881,717






CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 840,000 894,600





Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 $252,000 $306,641























Digicel Group Two Ltd. 144A company guaranty sr. unsec. notes 6.75%, 3/1/23 (Jamaica) 220,000 105,050








Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.625%, 2/1/23 70,000 70,875













Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 $120,000 $120,450















19,828,571


Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 2.20%, 3/16/20 (Netherlands) 1,445,000 1,446,196

1,446,196














Boyd Gaming Corp. company guaranty sr. unsec. notes 6.00%, 8/15/26 40,000 42,196












CBS Corp. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/26 $16,000 $17,055








Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 85,000 87,811





















IHS Markit, Ltd. 144A company guaranty notes 4.75%, 2/15/25 (United Kingdom) 957,000 1,038,345

IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 20,000 21,100


Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 960,000 1,075,741









Jeld-Wen, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 $40,000 $39,600


























QVC, Inc. company guaranty sr. notes 4.85%, 4/1/24 30,000 31,663

Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 9.375%, 4/1/27 35,000 32,516













Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 4.875%, 7/31/24 $100,000 $103,500

























19,322,432














Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. notes 2.50%, 7/15/22 $65,000 $65,906































Walgreens Boots Alliance, Inc. sr. unsec. bonds 3.45%, 6/1/26 25,000 25,817



6,541,531

Energy (1.3%)









Energy cont.

Ascent Resources Utica Holdings, LLC/ARU Finance Corp. 144A sr. unsec. notes 10.00%, 4/1/22 $106,000 $105,968






























EP Energy, LLC/Everest Acquisition Finance, Inc. 144A company guaranty sr. notes 7.75%, 5/15/26 (In default) 65,000 48,750



Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 1,250,000 1,256,547








Energy cont.

MEG Energy Corp. 144A notes 6.50%, 1/15/25 (Canada) $280,000 $285,600











Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 200,000 210,139


Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 1,565,000 1,754,756





Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5.375%, 4/12/27 (Venezuela) (In default) 3,000 255


Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 1,053,000 1,093,244




Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 235,000 248,656






Seventy Seven Operating, LLC escrow company guaranty sr. unsec. unsub. notes 6.625%, 11/15/19 F 14,000 1



Shell International Finance BV company guaranty sr. unsec. unsub. notes 1.875%, 5/10/21 (Netherlands) 1,110,000 1,110,113




Energy cont.

SM Energy Co. sr. unsec. sub. notes 5.00%, 1/15/24 $5,000 $4,488























18,867,356

Financials (3.7%)




Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 170,000 167,607




Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.00%, 3/15/20 7,000 7,148




Australia & New Zealand Banking Group, Ltd. sr. unsec. notes Ser. MTN, 2.125%, 8/19/20 (Australia) 579,000 579,518


Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) 200,000 220,088




Financials cont.

Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity $10,000 $11,125

Bank of America Corp. sr. unsec. notes Ser. MTN, 3.499%, 5/17/22 699,000 712,867


Bank of America Corp. sr. unsec. unsub. FRB Ser. MTN, 3.824%, 1/20/28 440,000 472,315

Bank of America Corp. sr. unsec. unsub. FRN 3.004%, 12/20/23 596,000 608,675















Cantor Fitzgerald LP 144A unsec. bonds 7.875%, 10/15/19 55,000 55,109








Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 1,238,000 1,311,194



Citigroup, Inc. sr. unsec. unsub. notes 2.90%, 12/8/21 640,000 649,443






CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 130,000 139,724











Financials cont.

DNB Bank ASA 144A sr. unsec. notes 2.125%, 10/2/20 (Norway) $200,000 $200,269

Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 105,000 141,514



Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 35,000 37,382


Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 305,000 328,640






Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 1,015,000 1,107,964

Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 1,425,000 1,511,029












International Lease Finance Corp. sr. unsec. unsub. notes 5.875%, 8/15/22 14,000 15,369









JPMorgan Chase Bank NA sr. unsec. FRN Ser. BKNT, 3.086%, 4/26/21 1,010,000 1,014,979

KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 40,000 46,863



Macquarie Bank, Ltd. 144A sr. unsec. notes 2.85%, 7/29/20 (Australia) 80,000 80,528







Financials cont.

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. company guaranty sr. unsec. notes 5.625%, 5/1/24 R $15,000 $16,444







National Australia Bank, Ltd. 144A sr. unsec. FRN (BBA LIBOR USD 3 Month + 0.69%), 2.792%, 12/9/19 (Australia) 255,000 255,294

National Australia Bank, Ltd., NY sr. unsec. notes 2.80%, 1/10/22 (Australia) 250,000 254,589






Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 55,000 57,508

Nordea Bank ABP 144A sr. unsec. notes 2.50%, 9/17/20 (Finland) 450,000 452,221

Nordea Bank ABP 144A sr. unsec. unsub. notes 2.25%, 5/27/21 (Finland) 210,000 210,100

PNC Bank NA sr. unsec. notes Ser. BKNT, 2.00%, 5/19/20 250,000 249,841

PNC Bank NA unsec. sub. notes Ser. BKNT, 2.70%, 11/1/22 250,000 253,619






Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 1,035,000 1,035,695



Royal Bank of Scotland Group PLC sr. unsec. unsub. notes 4.80%, 4/5/26 (United Kingdom) 200,000 218,649

Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom) 200,000 211,962


Skandinaviska Enskilda Banken AB sr. unsec. notes 2.625%, 3/15/21 (Sweden) 361,000 363,623

Skandinaviska Enskilda Banken AB sr. unsec. notes 2.30%, 3/11/20 (Sweden) 1,570,000 1,571,446

Skandinaviska Enskilda Banken AB 144A sr. unsec. unsub. notes 2.625%, 11/17/20 (Sweden) 200,000 201,133






Swiss Re Treasury US Corp. 144A company guaranty sr. unsec. notes 4.25%, 12/6/42 70,000 80,374



Financials cont.

Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 $60,000 $65,100


Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) 277,000 287,021



UBS Group Funding (Switzerland) AG 144A company guaranty sr. unsec. bonds 4.253%, 3/23/28 (Switzerland) 201,000 219,245





Wells Fargo & Co. sr. unsec. notes Ser. GMTN, 2.60%, 7/22/20 1,187,000 1,192,603


Westpac Banking Corp. sr. unsec. unsub. notes 2.15%, 3/6/20 (Australia) 1,490,000 1,490,562




55,434,272

Health care (1.0%)

AbbVie, Inc. sr. unsec. notes 2.50%, 5/14/20 155,000 155,352




























Health care cont.

CHS/Community Health Systems, Inc. company guaranty sr. notes 6.25%, 3/31/23 $445,000 $442,041

CHS/Community Health Systems, Inc. company guaranty sr. unsec. notes 6.875%, 2/1/22 67,000 50,836







CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 29,103 31,888
































UnitedHealth Group, Inc. sr. unsec. unsub. bonds 4.25%, 4/15/47 285,000 323,686



Health care cont.

UnitedHealth Group, Inc. sr. unsec. unsub. notes 4.70%, 2/15/21 $75,000 $77,020









15,580,521

Technology (1.4%)

Alphabet, Inc. sr. unsec. notes 3.625%, 5/19/21 978,000 1,004,658





Apple, Inc. sr. unsec. notes 2.85%, 5/11/24 1,015,000 1,053,048























IBM Corp. sr. unsec. unsub. notes 1.875%, 8/1/22 105,000 104,570






Technology cont.

Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 $540,000 $567,096



Microsoft Corp. sr. unsec. unsub. notes 3.70%, 8/8/46 1,424,000 1,620,689



Oracle Corp. sr. unsec. notes 2.50%, 5/15/22 162,000 163,974

Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 1,540,000 1,723,422



Oracle Corp. sr. unsec. unsub. notes 2.25%, 10/8/19 1,107,000 1,107,020



Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 1,140,000 1,251,265







20,302,456








1,134,554









Berkshire Hathaway Energy Co. sr. unsec. bonds 3.80%, 7/15/48 100,000 107,943

Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 231,000 319,952










Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 $305,000 $316,924




























Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. escrow company guaranty sr. notes 11.50%, 10/1/20 F 7,000 11








9,682,138





4.509%, 3/20/67 $99,406 $110,340


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (11.1%)* cont. Principal amount Value

U.S. Government Guaranteed Mortgage Obligations cont.


4.50%, 5/20/49 $30,845 $33,169

4.323%, 5/20/67 106,969 119,003

3.50%, TBA, 10/1/49 8,000,000 8,288,125


43,902,505





5.00%, 3/1/39 15,876 17,572



3.00%, with due dates from 12/1/25 to 8/1/34 ## 1,999,801 2,046,671


6.00%, TBA, 10/1/49 6,000,000 6,641,719

4.50%, TBA, 10/1/49 1,000,000 1,052,891

4.00%, TBA, 10/1/49 18,000,000 18,677,812

3.00%, TBA, 10/1/49 12,000,000 12,180,000

3.00%, TBA, 10/1/34 18,000,000 18,396,562

120,684,253









Federal National Mortgage Association REMICs Ser. 13-23, Class PI, IO, 3.00%, 10/25/41 136,124 4,432


Ser. 11-135, Class DI, IO, 5.00%, 4/16/40 808,183 178,278

Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 38,467 7,844

Ser. 17-139, Class NI, IO, 4.50%, 9/20/47 1,140,925 253,856


Ser. 17-123, Class JI, IO, 4.00%, 8/20/46 1,003,503 101,394

Ser. 14-116, Class IL, IO, 4.00%, 8/20/44 1,028,292 152,714

Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 1,831,505 183,627

Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 281,461 14,917

Ser. 16-H16, Class EI, IO, 2.397%, 6/20/66 W 1,150,798 124,171

Ser. 15-H25, Class BI, IO, 1.85%, 10/20/65 W 960,493 89,518

1,474,851


CFCRE Commercial Mortgage Trust FRB Ser. 16-C4, Class XA, IO, 1.876%, 5/10/58 W 2,728,242 241,422




CFCRE Commercial Mortgage Trust 144A

FRB Ser. 11-C1, Class D, 6.272%, 4/15/44 W $464,000 $484,813

FRB Ser. 11-C2, Class D, 5.939%, 12/15/47 W 243,000 255,150


Ser. 13-GC17, Class AS, 4.544%, 11/10/46 239,000 259,608


Citigroup Commercial Mortgage Trust 144A


FRB Ser. 06-C5, Class XC, IO, 0.722%, 10/15/49 W 270,441 4

COMM Mortgage Trust


Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W 160,000 173,688

Ser. 13-CR13, Class AM, 4.449%, 11/10/46 W 284,000 306,980

Ser. 12-CR2, Class AM, 3.791%, 8/15/45 179,000 185,113

Ser. 13-LC6, Class AM, 3.282%, 1/10/46 328,000 336,062










FRB Ser. 10-C1, Class D, 6.304%, 7/10/46 W 501,000 512,770

FRB Ser. 12-LC4, Class D, 5.722%, 12/10/44 W 109,000 108,042

FRB Ser. 13-CR9, Class D, 4.397%, 7/10/45 W 168,000 154,609

Ser. 12-CR5, Class B, 3.774%, 12/10/45 744,963 768,876


CSAIL Commercial Mortgage Trust FRB Ser. 15-C1, Class C, 4.417%, 4/15/50 W 743,000 780,817

DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.512%, 8/10/44 W 1,131,000 1,176,615




FRB Ser. 14-GC22, Class XA, IO, 1.143%, 6/10/47 W 909,796 28,932


FRB Ser. 10-C1, Class D, 6.197%, 8/10/43 W 750,000 758,766




Ser. 11-GC5, Class AS, 5.209%, 8/10/44 W 768,000 801,567

FRB Ser. 13-GC13, Class AS, 4.219%, 7/10/46 W 234,000 250,088


Ser. 13-C15, Class B, 4.927%, 11/15/45 W 172,000 187,498

FRB Ser. 13-C14, Class C, 4.859%, 8/15/46 W 238,000 249,723

FRB Ser. 14-C22, Class C, 4.709%, 9/15/47 W 378,000 390,583





Ser. 14-C23, Class AS, 4.202%, 9/15/47 W $303,000 $327,619






Ser. 13-C10, Class AS, 3.372%, 12/15/47 155,000 158,629

Ser. 13-LC11, Class AS, 3.216%, 4/15/46 230,000 235,371


JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C6, Class E, 5.319%, 5/15/45 W 200,000 191,694

LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.776%, 9/15/39 W 332,959 3,009

LSTAR Commercial Mortgage Trust 144A FRB Ser. 15-3, Class B, 3.303%, 4/20/48 W 298,000 297,294


FRB Ser. 14-C17, Class C, 4.657%, 8/15/47 W 448,000 461,539

Ser. 12-C5, Class AS, 3.792%, 8/15/45 252,000 261,010

Ser. 13-C8, Class B, 3.697%, 12/15/48 W 65,000 67,350

Ser. 12-C6, Class AS, 3.476%, 11/15/45 358,000 368,530




Morgan Stanley Bank of America Merrill Lynch Trust 144A

FRB Ser. 14-C15, Class D, 5.074%, 4/15/47 W 301,000 318,927

FRB Ser. 12-C6, Class D, 4.762%, 11/15/45 W 260,000 270,400

Morgan Stanley Capital I Trust FRB Ser. 16-BNK2, Class C, 4.036%, 11/15/49 W 267,000 283,768


FRB Ser. 12-C4, Class D, 5.60%, 3/15/45 W 300,000 300,850

FRB Ser. 11-C3, Class D, 5.292%, 7/15/49 W 117,000 120,090


UBS Commercial Mortgage Trust FRB Ser. 17-C7, Class XA, IO, 1.214%, 12/15/50 W 2,239,334 147,400


UBS-Barclays Commercial Mortgage Trust 144A

FRB Ser. 12-C3, Class C, 5.198%, 8/10/49 W 56,000 59,012

FRB Ser. 12-C2, Class D, 5.048%, 5/10/63 W 149,000 149,119






Ser. 12-LC5, Class AS, 3.539%, 10/15/45 186,000 192,602

Ser. 16-BNK1, Class C, 3.071%, 8/15/49 W 271,000 267,020


Wells Fargo Commercial Mortgage Trust 144A Ser. 12-LC5, Class D, 4.917%, 10/15/45 W 223,000 227,460


FRB Ser. 13-C16, Class AS, 4.668%, 9/15/46 W 159,000 171,774





Ser. 13-UBS1, Class AS, 4.306%, 3/15/46 W $64,000 $68,524

Ser. 12-C6, Class AS, 3.835%, 4/15/45 39,000 40,182

Ser. 12-C8, Class AS, 3.66%, 8/15/45 272,000 281,230

Ser. 13-C12, Class AS, 3.56%, 3/15/48 125,000 129,596

Ser. 13-C11, Class AS, 3.311%, 3/15/45 151,000 155,104

Ser. 12-C10, Class AS, 3.241%, 12/15/45 403,000 411,253




FRB Ser. 11-C3, Class D, 5.856%, 3/15/44 W 333,000 312,673

FRB Ser. 11-C2, Class D, 5.839%, 2/15/44 W 632,000 647,724

Ser. 11-C4, Class D, 5.397%, 6/15/44 W 240,000 242,282

Ser. 11-C4, Class E, 5.397%, 6/15/44 W 55,000 54,991

FRB Ser. 13-C15, Class D, 4.624%, 8/15/46 W 133,000 107,414

FRB Ser. 12-C10, Class D, 4.585%, 12/15/45 W 306,000 263,367



21,629,623


Arroyo Mortgage Trust 144A

Ser. 19-1, Class A3, 4.208%, 1/25/49 W 219,082 223,327

Ser. 18-1, Class A3, 4.157%, 4/25/48 W 181,845 185,311

Bellemeade Re, Ltd. 144A FRB Ser. 18-2A, Class M1B, (1 Month US LIBOR + 1.35%), 3.368%, 8/25/28 (Bermuda) 290,000 290,544









Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (1 Month US LIBOR + 4.65%), 6.668%, 10/25/28 1,630,000 1,746,364










Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 4.318%, 9/25/30 $550,000 $555,853






Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes FRB Ser. 16-DNA1, Class M3, (1 Month US LIBOR + 5.55%), 7.695%, 7/25/28 250,000 277,216




Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 8.018%, 9/25/28 1,041,531 1,134,580














Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (1 Month US LIBOR + 1.25%), 3.268%, 7/25/29 160,000 158,444








Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1M2, (1 Month US LIBOR + 2.15%), 4.168%, 9/25/31 $120,000 $120,557

HomeBanc Mortgage Trust FRB Ser. 04-2, Class A1, (1 Month US LIBOR + 0.74%), 2.758%, 12/25/34 118,109 119,056

Impac CMB Trust



Long Beach Mortgage Loan Trust FRB Ser. 04-5, Class A5, (1 Month US LIBOR + 0.56%), 2.578%, 9/25/34 152,584 152,459

Merrill Lynch Mortgage Investors Trust

FRB Ser. 05-A2, Class A2, 4.448%, 2/25/35 W 134,579 139,954

FRB Ser. 05-A10, Class A, (1 Month US LIBOR + 0.21%), 2.228%, 2/25/36 197,586 197,902


























20,853,099



Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, 4/7/26 (Brazil) $910,000 $1,052,188

Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%, 1/7/25 (Brazil) 951,000 1,002,116



Colombia (Republic of) sr. unsec. notes 3.875%, 4/25/27 (Colombia) $415,000 $440,097

Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 1/8/26 (Indonesia) 1,095,000 1,208,617



Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) 394,000 476,504


Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 200,000 201,000


Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) 270,000 274,806

United Mexican States sr. unsec. unsub. notes 4.50%, 4/22/29 (Mexico) 1,899,000 2,063,886



Venezuela (Republic of) sr. unsec. notes 7.65%, 4/21/25 (Venezuela) (In default) 1,000 110

Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default) 499,000 54,890
















SPDR S&P 500 ETF Trust 11,677 $3,465,383











SENIOR LOANS (0.1%)* c cont. Principal amount Value

Gates Global, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 4.794%, 3/31/24 $13,698 $13,493









Rackspace Hosting, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 5.287%, 11/3/23 19,498 17,841










Notional amount




Citibank, N.A.










Nine Point Energy 6.75% cv. pfd. F 1 200








State Street Institutional U.S. Government Money Market Fund, Premier Class 1.88% P Shares 1,640,000 1,640,000

U.S. Treasury Bills 2.060%, 12/5/19 #§ $740,002 737,307

U.S. Treasury Bills 2.040%, 11/21/19 #∆§ 7,791,999 7,769,980

U.S. Treasury Bills 2.011%, 10/10/19 #∆§ 1,550,001 1,549,236

U.S. Treasury Bills 2.010%, 11/7/19 #§ 1,726,002 1,722,501




TOTAL INVESTMENTS



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

transaction not subject to, the registration requirements of the Securities Act of 1933.SPDR S&P Depository ReceiptsTBA To Be Announced Commitments

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, 2018 through September 30, 2019 (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 $1,487,492,005.‡‡ 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 custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $727,388 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 8).



## Forward commitment, in part or in entirety (Note 2). 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 6).












Delivery date Value









Euro Buy 12/18/19 2,697,578 2,719,764 (22,186 )

Mexican Peso Buy 10/16/19 1,352,783 1,368,795 (16,012 )

New Zealand Dollar Buy 10/16/19 2,110,921 2,202,730 (91,809 )




Barclays Bank PLC



Japanese Yen Buy 11/20/19 1,395,461 1,425,477 (30,016 )


Swiss Franc Buy 12/18/19 463,137 468,846 (5,709 )

Citibank, N.A.






British Pound Sell 12/18/19 1,335,069 1,321,407 (13,662 )





Delivery date Value



Citibank, N.A. cont.

Canadian Dollar Sell 10/16/19 $1,414,243 $1,414,207 $(36 )

Danish Krone Buy 12/18/19 1,076,796 1,086,545 (9,749 )

Euro Buy 12/18/19 2,078,835 2,084,631 (5,796 )

Japanese Yen Buy 11/20/19 2,807,152 2,867,649 (60,497 )







Euro Buy 12/18/19 1,444,306 1,462,791 (18,485 )







Indian Rupee Buy 11/20/19 1,377,484 1,390,791 (13,307 )

Indonesian Rupiah Buy 11/20/19 1,424,812 1,385,316 39,496





















Euro Buy 12/18/19 560,724 583,176 (22,452 )


Mexican Peso Buy 10/16/19 1,405,840 1,429,135 (23,295 )




Delivery date Value



JPMorgan Chase Bank N.A. cont.

Mexican Peso Sell 10/16/19 $1,405,840 $1,401,110 $(4,730 )


Norwegian Krone Sell 12/18/19 8,959 8,982 23

Singapore Dollar Buy 11/20/19 1,040,650 1,050,621 (9,971 )


NatWest Markets PLC




Euro Sell 12/18/19 1,347,251 1,357,824 10,573


Japanese Yen Buy 11/20/19 1,385,747 1,457,886 (72,139 )


Norwegian Krone Buy 12/18/19 66,304 66,475 (171 )








Euro Sell 12/18/19 1,474,793 1,488,983 14,190

Japanese Yen Buy 11/20/19 3,777,595 3,846,651 (69,056 )




UBS AG


Australian Dollar Sell 10/16/19 981,825 1,020,508 38,683







Unrealized appreciation 1,243,116


Total $(383,765 )




Number of contracts


Expiration date


MSCI EAFE Index (Long) 40 $3,778,716 $3,796,800 Dec-19 $(45,682 )

Russell 2000 Index E-Mini (Long) 793 60,401,732 60,466,250 Dec-19 (2,203,548 )

S&P 500 Index E-Mini (Long) 607 90,344,059 90,397,475 Dec-19 224,762

S&P Mid Cap 400 Index E-Mini (Long) 9 1,741,932 1,744,200 Dec-19 (23,983 )










Total $(3,733,319 )



Notional Amount


Citibank, N.A.




Total $137,597

TBA SALE COMMITMENTS OUTSTANDING at 9/30/19 (proceeds receivable $3,049,805 )

AgencyPrincipal

amountSettlement date Value

Uniform Mortgage-Backed Securities, 3.00%, 10/1/49 $3,000,000 10/10/19 $3,045,000

Total $3,045,000



Upfront premium







$7,337


2,865


2,006



9,645


2,123



(1,524 )

11,028,100 39,878 E (32,871 ) 12/18/29 1.525%—Semiannually


7,007


CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/19 cont.


Upfront premium





$33,129,000 $119,794 E $121,944 12/18/29 3 month USD-LIBOR-BBA—Quarterly


$2,150

Total $272,606 $31,609




Upfront premium





Barclays Bank PLC$14,814 $14,838 $— 1/12/40 4.50% (1 month USD-


$41



363



78



(51 )



(2 )



(289 )



(12 )

352 348 — 1/12/40 (5.00%) 1 month USD-LIBOR—Monthly


—



(4 )



1,136,431



(1,199,416 )



21

Credit Suisse International137,653 137,973 — 1/12/41 4.50% (1 month USD-


477



(5 )



(98,978 )



1,554,980



2




Upfront premium





JPMorgan Securities LLC$7,259 $7,184 $— 1/12/42 (4.00%) 1 month USD-

LIBOR—MonthlySynthetic TRS Index 4.00% 30 year Fannie Mae pools—Monthly

$(2 )



301

Upfront premium received — Unrealized appreciation 2,692,694

Upfront premium (paid) — Unrealized (depreciation) (1,298,759 )

Total $— Total $1,393,935





Termi- nation date






CMBX NA BBB–.6 Index BBB–/P 988 16,000 1,354 5/11/63 300 bp—Monthly (358 )

Barclays Bank PLC










CMBX NA A.6 Index A/P (1,707 ) 1,546,000 3,401 5/11/63 200 bp—Monthly 2,209
















CMBX NA A.7 Index A-/P 141 9,000 156 1/17/47 200 bp—Monthly 300










Termi- nation date



Goldman Sachs International cont.

CMBX NA BBB–.6 Index BBB–/P $2,363 $28,000 $2,369 5/11/63 300 bp—Monthly $8






CMBX NA BBB–.6 Index BBB–/P 39,690 528,000 44,669 5/11/63 300 bp—Monthly (4,714 )










CMBX NA A.7 Index A-/P 4,122 94,000 1,626 1/17/47 200 bp—Monthly 5,780

































Termi- nation date



Morgan Stanley & Co. International PLC cont.





Total $584,872 Total $360,653







Termi- nation date




CMBX NA A.7 Index $(764 ) $103,000 $1,782 1/17/47 (200 bp)—Monthly $(2,580 )




































Termi- nation date



JPMorgan Securities LLC cont.

CMBX NA BB.11 Index $(2,259 ) $22,000 $1,621 11/18/54 (500 bp)—Monthly $(656 )


CMBX NA BB.6 Index (2,531 ) 18,000 2,804 5/11/63 (500 bp)—Monthly 259

CMBX NA BB.6 Index (1,294 ) 9,000 1,402 5/11/63 (500 bp)—Monthly 100
































Upfront premium received — Unrealized appreciation 359


Total $(475,696 ) Total $(219,151 )







Termi- nation date




NA IG Series 33 Index BBB+/P (2,244,313 ) 110,150,000 2,189,782 12/20/24 100 bp—Quarterly (33,113 )

Total $(3,720,857 ) $(23,919 )




Referenced debt*



Termi- nation date



NA HY Series 33 Index $939,643 $14,127,000 $947,597 12/20/24 (500 bp)—Quarterly $(13,840 )

Total $939,643 $(13,840 )






Valuation inputs

Investments in securities: Level 1 Level 2 Level 3Common stocks*:







Energy 34,285,122 — 552

Financials 140,061,798 — —

Health care 97,806,603 — —

Technology 174,423,415 — —


Utilities and power 32,861,704 5,375 —

Total common stocks 810,442,487 5,375 552Asset-backed securities — 7,099,523 —


Convertible preferred stocks — 27,021 200









Short-term investments 1,640,000 327,510,291 —

Totals by level $815,998,679 $740,422,067 $766

Valuation inputs

Other financial instruments: Level 1 Level 2 Level 3Forward currency contracts $— $(383,765 ) $—



TBA sale commitments — (3,045,000 ) —


Total return swap contracts — 1,393,935 —


Totals by level $(3,733,319 ) $362,357 $—







ASSETS


Unaffiliated issuers (identified cost $1,168,883,926) $1,243,329,614


Cash 1,300,981









Unrealized appreciation on forward currency contracts (Note 2) 1,243,116

Unrealized appreciation on OTC swap contracts (Note 2) 3,059,816



LIABILITIES


Payable for purchases of delayed delivery securities (Note 2) 5,695,105





Unrealized depreciation on OTC swap contracts (Note 2) 1,524,379


Unrealized depreciation on forward currency contracts (Note 2) 1,626,881


TBA sale commitments, at value (proceeds receivable $3,049,805) (Note 2) 3,045,000

Collateral on certain derivative contracts, at value (Notes 2 and 8) 1,640,000


Net assets $1,487,492,005


Net assets $1,487,492,005






INVESTMENT INCOME

Interest (net of foreign tax of $443) (including interest income of $7,026,355 from investments in affiliated issuers) (Note 4) $19,393,939

Dividends (net of foreign tax of $157,429) 17,734,364






Forward currency contracts (Note 2) (1,559,206)









Futures contracts (2,346,273)

Swap contracts 1,132,684



Net gain on investments 7,673,875






9/30/19

Operations:










NET ASSETS


End of year $1,487,492,005



Sold 47,083,044

Redeemed (31,091,636)





9/30/19




Net realized and unrealized gain (loss) on investments (b) (0.10)




RATIOS AND SUPPLEMENTAL DATANet assets, end of year (in thousands) $1,487,492



(b) The net realized and unrealized gain (loss) on investments per unit amounts shown may not correspond with amounts shown on the Statement of changes in net assets due to the timing of subscriptions/redemptions in the fund.




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.





Securities purchased or sold on a forward commitment or 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.


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.

Options Contracts The Portfolio uses options contracts to hedge against changes in values of securities it owns, owned or expects to own.


















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 makers. 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 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.



Federal Income TaxesIt 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.









income









7. Summary of Derivative ActivityThe 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:









Warrants (number of warrants) 70










$3,981,636 * Payables, Net assets —


$1,205,855 *

Foreign exchange contracts Investments, Receivables

1,640,395 Payables 1,764,478

Equity contracts Receivables, Net assets —

Unrealized appreciation

2,916,173 * Payables, Net assets —


3,571,607 *

Interest rate contracts Receivables, Net assets —

Unrealized appreciation

113,004 * Payables, Net assets —


2,037,951 *

Total $8,651,208 $8,579,891




Forward currency


Foreign exchange contracts — 159,965 — (1,559,206) — (1,399,241)

Equity contracts 6 — (6,474,788) — 28,569 (6,446,213)

Interest rate contracts — — 5,304,375 — 3,612,936 8,917,311

Total $6 $159,965 $(1,170,413) $(1,559,206) $6,687,086 $4,117,438


Forward currency



Equity contracts (24) — (2,232,812) — 1,262,019 (970,817)

Interest rate contracts — — (113,461) — 5,221 (108,240)

Total $(24) $28,568 $(2,346,273) $(555,980) $1,132,684 $(1,741,025)




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rnat

iona

l

Assets:


OTC Total return swap contracts*# — 482 — — 1,136,452 — 477 1,554,982







Total Assets $288,683 $115,387 $3,574,445 $524,368 $1,325,566 $57,991 $67,652 $2,062,556

Liabilities:


OTC Total return swap contracts*# — 358 — — 1,199,416 — 5 98,978

OTC Credit default contracts - protection sold*# 2,271 1,093 — — — 30,461 18,633 107,570

OTC Credit default contracts - protection purchased*# — — — — — 1,816 — —




Written options# — — — — 68,799 — — 68,798

Total Liabilities $490,393 $37,176 $3,449,044 $54,772 $1,493,965 $32,277 $37,402 $364,205

Total Financial and Derivative Net Assets $(201,710) $78,211 $125,401 $469,596 $(168,399) $25,714 $30,250 $1,698,351

Total collateral received (pledged)##† $(201,710) $— $— $— $(109,703) $— $— $1,520,000

Net amount $— $78,211 $125,401 $469,596 $(58,696) $25,714 $30,250 $178,351

Controlled collateral received (including TBA commitments)** $— $— $— $— $— $— $— $1,520,000


Collateral (pledged) (including TBA commitments)** $(213,488) $— $— $— $(109,703) $— $— $—



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Total

$— $— $— $— $— $— $— $— $— $3,435,804

— — 301 — — — — — — 2,692,694

— — 11,147 910 3,691 — — — — 26,337

— — 46,867 31,980 39,857 — — — — 258,361

— — — — — — — — — 138,641

— — 11,969 — — — — — — 536,337

136,308 239,889 — — — 25,808 111,529 51,665 — 1,243,116

— — — — — — — — — 397,279

$136,308 $239,889 $70,284 $32,890 $43,548 $25,808 $111,529 $51,665 $— $8,728,569

— — — — — — — — — 3,449,044

— — 2 — — — — — — 1,298,759

— — 39,642 18,994 31,892 — — — — 250,556

— — — — — — — — — 1,816

— — — — — — — — — —

— — — — — — — — — 54,772

111,742 85,261 — — — 344,297 139,925 — 88,436 1,626,881

— — — — — — — — — 137,597

$111,742 $85,261 $39,644 $18,994 $31,892 $344,297 $139,925 $— $88,436 $6,819,425

$24,566 $154,628 $30,640 $13,896 $11,656 $(318,489) $(28,396) $51,665 $(88,436) $1,909,144

$— $120,000 $— $— $— $(283,524) $(28,396) $— $—

$24,566 $34,628 $30,640 $13,896 $11,656 $(34,965) $— $51,665 $(88,436)

$— $120,000 $— $— $— $— $— $— $— $1,640,000

$— $— $— $— $— $— $— $— $— $—

$— $— $— $— $— $(283,524) $(120,673) $— $— $(727,388)





9. 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 fiscal years and interim periods within those fiscal years beginning after December 15, 2019 for non-public business entities. Management is currently evaluating the impact, if any, of applying this provision.

BB6 12/2019


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-3

The fund’s portfolio …………………………………………………… E-4

Statement of assets and liabilities …………………………………… E-50

Statement of operations ……………………………………………… E-51

Statement of changes in net assets …………………………………… E-52

Financial highlights …………………………………………………… E-53

Notes to financial statements ………………………………………… E-54



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 fund's portfolio, as of September 30, 2019 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, 2019, 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 18, 2019

PricewaterhouseCoopers LLP, 101 Seaport Blvd, Boston, MA 02110 T: 617-530-5000, F: 617-530-5001 www.pwc.com












CF Industries Holdings, Inc. 9,580 471,336

Corteva, Inc. 23,793 666,204








LyondellBasell Industries NV Class A 972 86,965




Rio Tinto PLC (United Kingdom) 9,547 495,179

Rio Tinto, Ltd. (Australia) 576 36,001






W.R. Grace & Co. 1,112 74,237

6,064,336






Ball Corp. 3,277 238,598


Caterpillar, Inc. 4,144 523,429

Cummins, Inc. 4,946 804,566

Curtiss-Wright Corp. 699 90,430


Dover Corp. 3,003 298,979

Emerson Electric Co. 7,662 512,281





Capital goods cont.

HD Supply Holdings, Inc. 7,943 $311,167

HEICO Corp. 1,937 241,893



IDEX Corp. 1,473 241,395

Ingersoll-Rand PLC 7,388 910,275





Roper Technologies, Inc. 726 258,892


Silgan Holdings, Inc. 252 7,569

Teledyne Technologies, Inc. 650 209,294

Waste Management, Inc. 7,604 874,460

11,143,903



AT&T, Inc. 5,716 216,293




Crown Castle International Corp. R 5,649 785,267




Hikari Tsushin, Inc. (Japan) 900 194,698


KDDI Corp. (Japan) 18,000 470,507


T-Mobile US, Inc. 1,001 78,849




9,266,212


AMETEK, Inc. 4,211 386,654

Danaher Corp. 5,926 855,892


1,268,720


Amazon.com, Inc. 2,663 4,622,728





Best Buy Co., Inc. 11,477 791,798




Booking Holdings, Inc. 735 $1,442,518


Bridgestone Corp. (Japan) 700 27,100


Clear Channel Outdoor Holdings, Inc. 251 633





Ecolab, Inc. 124 24,557

Expedia, Inc. 5,765 774,874







Hermes International (France) 547 378,079

Hilton Worldwide Holdings, Inc. 6,948 646,928





Kering SA (France) 746 380,253


Liberty Media Corp.-Liberty SiriusXM Class C 336 14,099

Lowe’s Cos., Inc. 8,485 933,011





Norwegian Cruise Line Holdings, Ltd. 6,533 338,213

Omnicom Group, Inc. 8,962 701,725



Porsche Automobil Holding SE (Preference) (Germany) 481 31,306


Ross Stores, Inc. 515 56,573



Sony Corp. (Japan) 8,800 516,804


TJX Cos., Inc. (The) 1,659 92,473







Walmart, Inc. 11,112 $1,318,772

Walt Disney Co. (The) 928 120,937


22,908,238







Coca-Cola Co. (The) 43,823 2,385,724



Colgate-Palmolive Co. 303 22,274

Darden Restaurants, Inc. 4,679 553,151


Hershey Co. (The) 4,454 690,325





Nestle SA (Switzerland) 5,634 611,793

PepsiCo, Inc. 12,665 1,736,372





Sysco Corp. 2,604 206,758


Unilever NV (Netherlands) 9,712 583,929

Unilever PLC (United Kingdom) 8,751 527,330





17,253,218

Energy (1.5%)

Chevron Corp. 25,699 3,047,901







Phillips 66 9,366 959,078

Royal Dutch Shell PLC Class B (United Kingdom) 32,820 969,040



Energy cont.

Santos, Ltd. (Australia) 52,972 $276,169

7,475,334

Financials (6.3%)



Aflac, Inc. 10,646 556,999


Allianz SE (Germany) 2,620 610,825

Allstate Corp. (The) 4,995 542,857



American Homes 4 Rent R 842 21,799

Ameriprise Financial, Inc. 4,225 621,498





AvalonBay Communities, Inc. R 1,763 379,627







BNP Paribas SA (France) 10,188 496,148






Capital One Financial Corp. 8,081 735,209




Chubb, Ltd. 17 2,744

Citigroup, Inc. 42,019 2,902,673

CoreLogic, Inc. 225 10,411



Discover Financial Services 7,441 603,391


E*Trade Financial Corp. 11,471 501,168

Empire State Realty Trust, Inc. Class A R 179 2,554

Equity Commonwealth R 363 12,433


Equity Residential Trust R 514 44,338



Financials cont.

Everest Re Group, Ltd. 702 $186,795




Goldman Sachs Group, Inc. (The) 2,567 531,959



Hartford Financial Services Group, Inc. (The) 8,557 518,640













Klepierre (France) R 872 29,622




Loews Corp. 688 35,418



MetLife, Inc. 22,608 1,066,193

MFA Financial, Inc. R 887 6,528



Morgan Stanley 22,501 960,118



ORIX Corp. (Japan) 25,600 381,602


Partners Group Holding AG (Switzerland) 482 370,171


Prudential Financial, Inc. 7,581 681,911




Starwood Property Trust, Inc. R 721 17,463






Financials cont.

Sun Communities, Inc. R 1,228 $182,297




Synchrony Financial 19,342 659,369


U.S. Bancorp 1,708 94,521

UDR, Inc. R 398 19,295

Unum Group 7,189 213,657




30,502,730

Health care (4.4%)


AbbVie, Inc. 10,435 790,138


Allergan PLC 2,754 463,471


Amgen, Inc. 8,103 1,568,012


Baxter International, Inc. 697 60,967

Biogen, Inc. 3,297 767,608



Charles River Laboratories International, Inc. 948 125,487

Chemed Corp. 487 203,357

Cooper Cos., Inc. (The) 841 249,777


Edwards Lifesciences Corp. 2,608 573,525

Eli Lilly & Co. 3,114 348,239

Encompass Health Corp. 196 12,403

Gilead Sciences, Inc. 8,593 544,624



Hologic, Inc. 5,342 269,718

Ipsen SA (France) 666 63,241






McKesson Corp. 5,310 725,665


Merck & Co., Inc. 20,172 1,698,079

Novartis AG (Switzerland) 6,504 564,465



Health care cont.

Novo Nordisk A/S Class B (Denmark) 11,211 $576,466

Pfizer, Inc. 19,736 709,114

QIAGEN NV (Netherlands) 504 16,617

Quest Diagnostics, Inc. 206 22,048


Roche Holding AG (Switzerland) 3,012 877,336

Sartorius Stedim Biotech (France) 702 98,267








Zimmer Biomet Holdings, Inc. 4,729 649,150

Zoetis, Inc. 2,493 310,603

21,050,170

Technology (7.6%)


Adobe, Inc. 7,911 2,185,414

Agilent Technologies, Inc. 8,822 676,030


Amdocs, Ltd. 368 24,328

Apple, Inc. 15,015 3,362,910


Avaya Holdings Corp. 644 6,588


Broadcom, Inc. 3,003 829,038


Cadence Design Systems, Inc. 7,826 517,142





eBay, Inc. 27,554 1,074,055

F5 Networks, Inc. 3,056 429,124


Fair Isaac Corp. 647 196,377

Fidelity National Information Services, Inc. 683 90,675

Fortinet, Inc. 8,062 618,839



Garmin, Ltd. 3,414 289,132

Genpact, Ltd. 4,593 177,979

Gentex Corp. 306 8,426

Hoya Corp. (Japan) 5,300 432,484



Technology cont.

IBM Corp. 7,040 $1,023,757

Intuit, Inc. 5,633 1,498,040

Keysight Technologies, Inc. 4,487 436,361

KLA Corp. 4,775 761,374



Maxim Integrated Products, Inc. 511 29,592






Oracle Corp. 46,018 2,532,371


Paychex, Inc. 272 22,513


Qualcomm, Inc. 10,906 831,910




Synopsys, Inc. 294 40,352

Texas Instruments, Inc. 841 108,691


Tokyo Electron, Ltd. (Japan) 500 95,142

Veeva Systems, Inc. Class A 5,083 776,123


Xilinx, Inc. 10,280 985,852


36,535,041








Norfolk Southern Corp. 4,000 718,640






4,409,621


AES Corp. 21,822 356,571

American Electric Power Co., Inc. 446 41,786

CenterPoint Energy, Inc. 15,454 466,402




CLP Holdings, Ltd. (Hong Kong) 11,500 $120,803

Consolidated Edison, Inc. 928 87,668

E.ON SE (Germany) 33,998 330,579

Enel SpA (Italy) 68,789 513,782

Eni SpA (Italy) 13,742 210,251


Evergy, Inc. 5,047 335,928

Exelon Corp. 22,801 1,101,516

IDACORP, Inc. 960 108,163

Kinder Morgan, Inc. 44,926 925,925

NRG Energy, Inc. 9,876 391,090


Public Service Enterprise Group, Inc. 10,948 679,652

Snam SpA (Italy) 28,727 145,128


Vistra Energy Corp. 20,742 554,434

7,058,383





3.50%, TBA, 10/1/49 $2,000,000 $2,072,031


25,985,142








6.00%, TBA, 10/1/49 3,000,000 3,320,859

4.00%, TBA, 10/1/49 10,000,000 10,376,562

3.50%, TBA, 10/1/49 1,000,000 1,025,781

3.00%, TBA, 10/1/49 6,000,000 6,090,000

3.00%, TBA, 10/1/34 11,000,000 11,242,343

68,510,188


U.S. TREASURY OBLIGATIONS (—%)* Principal amount Value

U.S. Treasury Bonds 2.50%, 2/15/45 i $198,000 $213,699

Total U.S. treasury obligations (cost $213,699) $213,699














































Novelis Corp. 144A company guaranty sr. unsec. bonds 5.875%, 9/30/26 $65,000 $68,166

























3,688,138




















Capital goods cont.

Gates Global, LLC/Gates Global Co. 144A company guaranty sr. unsec. notes 6.00%, 7/15/22 $5,000 $4,981







Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 45,000 47,456




























4,166,667





AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 550,000 594,571

AT&T, Inc. sr. unsec. sub. notes 3.80%, 2/15/27 1,053,000 1,114,425






AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 $162,000 $179,653



CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 155,000 165,075











































T-Mobile USA, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 2/1/26 $15,000 $15,440









9,290,616


Siemens Financieringsmaatschappij NV 144A company guaranty sr. unsec. notes 2.20%, 3/16/20 (Netherlands) 907,000 907,751

907,751




















Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 10,000 10,125











Dollar General Corp. sr. unsec. sub. notes 3.25%, 4/15/23 $65,000 $67,149





















IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 5,000 5,275


Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 573,000 642,083



















Mattamy Group Corp. 144A sr. unsec. notes 6.50%, 10/1/25 (Canada) $10,000 $10,575








































Univision Communications, Inc. 144A company guaranty sr. sub. notes 5.125%, 2/15/25 $20,000 $19,437









8,776,794






























KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 $65,000 $67,681













2,847,158

Energy (1.9%)



























Energy cont.

Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 $55,000 $58,163










Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 739,000 742,871

















Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 894,000 1,002,398





Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 605,000 628,122






Energy cont.

Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 $115,000 $121,683































9,273,817

Financials (5.6%)






Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 215,000 297,238



Financials cont.

Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 $90,000 $100,802








Bank of America Corp. sr. unsec. unsub. FRN 3.004%, 12/20/23 260,000 265,530





















Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 973,000 1,030,527

















Financials cont.

ESH Hospitality, Inc. 144A company guaranty sr. unsec. notes 5.25%, 5/1/25 R $35,000 $36,190








Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 960,000 1,047,926




















JPMorgan Chase Bank NA sr. unsec. FRN Ser. BKNT, 3.086%, 4/26/21 580,000 582,859






MetLife, Inc. jr. unsec. sub. notes 6.40%, 12/15/36 25,000 29,648










Financials cont.

National Australia Bank, Ltd., NY sr. unsec. notes 2.80%, 1/10/22 (Australia) $270,000 $274,956







Nordea Bank ABP 144A sr. unsec. notes 2.50%, 9/17/20 (Finland) 240,000 241,185






Royal Bank of Canada sr. unsec. notes Ser. GMTN, 2.125%, 3/2/20 (Canada) 538,000 538,361

Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.80%, 4/29/22 (Canada) 11,000 11,198














U.S. Bancorp sr. unsec. unsub. notes Ser. V, 2.625%, 1/24/22 597,000 604,322












26,932,087



Health care (1.6%)

AbbVie, Inc. sr. unsec. notes 2.50%, 5/14/20 $50,000 $50,114









Bausch Health Cos., Inc. 144A company guaranty sr. notes 5.50%, 11/1/25 10,000 10,464
































Omnicare, Inc. company guaranty sr. unsec. sub. notes 4.75%, 12/1/22 64,000 68,246




Health care cont.

Pfizer, Inc. sr. unsec. unsub. notes 1.70%, 12/15/19 $195,000 $194,841











UnitedHealth Group, Inc. sr. unsec. unsub. bonds 4.25%, 4/15/47 140,000 159,004









7,862,595

Technology (2.2%)
























Technology cont.

Fidelity National Information Services, Inc. sr. unsec. notes 3.00%, 8/15/26 $20,000 $20,593








Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 310,000 325,555






Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 830,000 928,857






Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 670,000 735,393







10,701,077








576,272








Berkshire Hathaway Energy Co. sr. unsec. bonds 3.80%, 7/15/48 125,000 134,929




Berkshire Hathaway Energy Co. sr. unsec. unsub. bonds 6.125%, 4/1/36 $104,000 $144,048






Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 215,000 223,405


































5,538,367












Ser. 11-135, Class DI, IO, 5.00%, 4/16/40 433,982 95,733

Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 23,584 4,809

Ser. 17-139, Class NI, IO, 4.50%, 9/20/47 589,514 131,167


Ser. 17-123, Class JI, IO, 4.00%, 8/20/46 538,874 54,448

Ser. 16-135, Class PI, IO, 4.00%, 5/20/46 552,532 78,349

Ser. 14-116, Class IL, IO, 4.00%, 8/20/44 418,826 62,201

Ser. 16-123, Class LI, IO, 3.50%, 3/20/44 988,689 99,126

Ser. 15-124, Class NI, IO, 3.50%, 6/20/39 84,438 4,475

Ser. 16-H16, Class EI, IO, 2.397%, 6/20/66 W 606,587 65,451

Ser. 15-H25, Class BI, IO, 1.85%, 10/20/65 W 308,068 28,712

799,459


BANK FRB Ser. 18-BN10, Class XA, IO, 0.887%, 2/15/61 W 1,980,921 102,156

CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.272%, 4/15/44 W 203,000 212,106


Ser. 14-GC19, Class AS, 4.345%, 3/10/47 115,000 124,182

Ser. 14-GC21, Class AS, 4.026%, 5/10/47 113,000 119,948


Citigroup Commercial Mortgage Trust 144A FRB Ser. 12-GC8, Class XA, IO, 1.935%, 9/10/45 W 944,363 40,306

COMM Mortgage Trust



Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W 83,000 90,101

Ser. 12-LC4, Class AM, 4.063%, 12/10/44 82,000 84,395

Ser. 12-CR1, Class AM, 3.912%, 5/15/45 225,000 232,695

Ser. 12-CR2, Class AM, 3.791%, 8/15/45 70,000 72,391

Ser. 13-LC6, Class AM, 3.282%, 1/10/46 258,000 264,341







FRB Ser. 14-UBS6, Class XA, IO, 1.07%, 12/10/47 W 582,648 22,371



FRB Ser. 10-C1, Class D, 6.304%, 7/10/46 W 147,000 150,453






FRB Ser. 15-C1, Class C, 4.417%, 4/15/50 W $324,000 $340,491

Ser. 15-C1, Class AS, 3.791%, 4/15/50 W 199,000 210,838

DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.512%, 8/10/44 W 443,000 460,867





FRB Ser. 10-C1, Class D, 6.197%, 8/10/43 W 136,000 137,590




Ser. 13-C15, Class B, 4.927%, 11/15/45 W 73,000 79,578

FRB Ser. 13-C14, Class C, 4.859%, 8/15/46 W 105,000 110,172

FRB Ser. 14-C22, Class C, 4.709%, 9/15/47 W 134,000 138,461

Ser. 14-C23, Class AS, 4.202%, 9/15/47 W 151,000 163,269



JPMBB Commercial Mortgage Securities Trust 144A FRB Ser. 13-C15, Class D, 5.372%, 11/15/45 W 104,000 111,004


Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 130,782 120,424

FRB Ser. 12-C6, Class D, 5.319%, 5/15/45 W 87,000 88,130


Ser. 13-LC11, Class AS, 3.216%, 4/15/46 146,000 149,409

LB-UBS Commercial Mortgage Trust FRB Ser. 08-C1, Class AM, 6.278%, 4/15/41 W 3,722 3,840


FRB Ser. 14-C17, Class C, 4.657%, 8/15/47 W 249,000 256,525

Ser. 12-C5, Class AS, 3.792%, 8/15/45 88,000 91,146

Ser. 13-C8, Class B, 3.697%, 12/15/48 W 28,000 29,012

Ser. 12-C6, Class AS, 3.476%, 11/15/45 158,000 162,647

Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 14-C15, Class D, 5.074%, 4/15/47 W 101,000 107,015

Morgan Stanley Capital I Trust

FRB Ser. 16-BNK2, Class C, 4.036%, 11/15/49 W 100,000 106,280

FRB Ser. 16-BNK2, Class XB, IO, 0.677%, 11/15/49 W 1,856,000 67,606


Ser. 12-C4, Class C, 5.60%, 3/15/45 W 140,000 145,423

FRB Ser. 12-C4, Class D, 5.60%, 3/15/45 W 125,000 125,354



UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 12-C2, Class D, 5.048%, 5/10/63 W 55,000 55,044




Ser. 12-LC5, Class AS, 3.539%, 10/15/45 81,000 83,875





Ser. 16-BNK1, Class C, 3.071%, 8/15/49 W $117,000 $115,282


Ser. 13-C18, Class AS, 4.387%, 12/15/46 W 125,000 134,783

Ser. 14-C19, Class AS, 4.271%, 3/15/47 111,000 118,842

Ser. 12-C8, Class AS, 3.66%, 8/15/45 201,000 207,821

Ser. 13-C12, Class AS, 3.56%, 3/15/48 36,000 37,324

Ser. 13-C11, Class AS, 3.311%, 3/15/45 37,000 38,006




FRB Ser. 11-C3, Class D, 5.856%, 3/15/44 W 99,000 92,957

FRB Ser. 11-C2, Class D, 5.839%, 2/15/44 W 169,000 173,205

FRB Ser. 12-C10, Class D, 4.585%, 12/15/45 W 113,000 97,256

8,401,569





Countrywide Asset-Backed Certificates FRB Ser. 05-8, Class M4, (1 Month US LIBOR + 0.93%), 2.948%, 12/25/35 80,000 79,648













Structured Agency Credit Risk Trust FRN Ser. 18-DNA2, Class M2, (1 Month US LIBOR + 2.15%), 4.168%, 12/25/30 13,000 13,089
























Federal National Mortgage Association 144A Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 4.468%, 7/25/31 120,000 121,226

Impac CMB Trust



Merrill Lynch Mortgage Investors Trust

FRB Ser. 05-A2, Class A2, 4.448%, 2/25/35 W 52,931 55,045

FRB Ser. 05-A10, Class A, (1 Month US LIBOR + 0.21%), 2.228%, 2/25/36 142,662 142,890




New Residential Mortgage Loan Trust 144A

FRB Ser. 18-4A, Class A1M, (1 Month US LIBOR + 0.90%), 2.918%, 1/25/48 121,092 122,487

Ser. 19-NQM4, Class A1, 2.465%, 9/25/59 W 100,000 100,050










FRB Ser. 05-AR1, Class A2A3, (1 Month US LIBOR + 0.80%), 2.818%, 1/25/45 $58,569 $56,523
















8,128,829



Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%, 1/7/25 (Brazil) $200,000 $210,750



Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 670,000 726,950

Ivory Coast (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.25%, 3/22/30 (Ivory Coast) EUR 240,000 262,964

Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.75%, 3/13/28 (Senegal) EUR 100,000 113,122

Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) $121,000 146,337




United Mexican States sr. unsec. unsub. notes 4.50%, 4/22/29 (Mexico) 930,000 1,010,750














ASSET-BACKED SECURITIES (0.7%)* cont. Principal amount Value

Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (1 Month US LIBOR + 0.60%), 2.745%, 1/25/46 $287,760 $285,420



SPDR S&P 500 ETF Trust 2,206 $654,675

SPDR S&P MidCap 400 ETF Trust 231 81,421

Total investment companies (cost $739,344) $736,096






















Total senior loans (cost $495,746) $443,800




Notional amount




Citibank, N.A.
















State Street Institutional U.S. Government Money Market Fund, Premier Class 1.88% P Shares 110,000 110,000

U.S. Treasury Bills 2.012%, 12/5/19 # § $228,000 227,188

U.S. Treasury Bills 1.994%, 10/10/19 § 155,000 154,924

U.S. Treasury Bills 1.976%, 11/14/19 # ∆ § 970,000 967,708

U.S. Treasury Bills 1.962%, 11/7/19 # ∆ § 775,000 773,465

U.S. Treasury Bills 2.044%, 11/21/19 # § 3,499,000 3,489,096

U.S. Treasury Bills 1.938%, 12/12/19 # § 138,000 137,477


TOTAL INVESTMENTS



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 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 $481,601,027.‡‡ 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.





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 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. 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. 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









British Pound Sell 12/18/19 686,445 679,376 (7,069 )






Delivery date Value



Bank of America N.A. cont.

Japanese Yen Buy 11/20/19 $417,791 $419,709 $(1,918 )

Mexican Peso Buy 10/16/19 327,174 331,049 (3,875 )





Barclays Bank PLC




Japanese Yen Buy 11/20/19 344,185 351,588 (7,403 )



Citibank, N.A.

Australian Dollar Buy 10/16/19 165,797 166,282 (485 )







Danish Krone Sell 12/18/19 2,351 2,372 21

Euro Sell 12/18/19 359,267 364,515 5,248

Japanese Yen Buy 11/20/19 685,899 700,675 (14,776 )







Euro Buy 12/18/19 354,660 359,200 (4,540 )




Brazilian Real Buy 2/4/20 453,802 454,537 (735 )



Indian Rupee Buy 11/20/19 330,945 334,203 (3,258 )

Indonesian Rupiah Buy 11/20/19 346,313 336,713 9,600







Delivery date Value




Norwegian Krone Buy 12/18/19 $212,949 $213,528 $(579 )







British Pound Sell 12/18/19 15,823 15,663 (160 )







Australian Dollar Sell 10/16/19 8,570 6,188 (2,382 )


Euro Buy 12/18/19 18,205 22,678 (4,473 )


Mexican Peso Buy 10/16/19 340,706 346,348 (5,642 )

Mexican Peso Sell 10/16/19 340,706 339,560 (1,146 )



Singapore Dollar Sell 11/20/19 15,122 15,267 145


Swiss Franc Buy 12/18/19 556,027 562,820 (6,793 )

NatWest Markets PLC

Australian Dollar Buy 10/16/19 983,310 1,021,173 (37,863 )




Japanese Yen Buy 11/20/19 334,507 352,096 (17,589 )









Euro Sell 12/18/19 356,306 359,734 3,428

Japanese Yen Buy 11/20/19 142,482 155,677 (13,195 )

New Zealand Dollar Buy 10/16/19 78,217 78,696 (479 )




Delivery date Value



State Street Bank and Trust Co. cont.

New Zealand Dollar Sell 10/16/19 $78,217 $83,373 $5,156


UBS AG



Japanese Yen Sell 11/20/19 108,958 109,457 499





Canadian Dollar Buy 10/16/19 360,662 359,710 952




Total $(69,462 )



Number of contracts


Expiration date


MSCI EAFE Index (Short) 109 $10,297,001 $10,346,280 Dec-19 $123,492

Russell 2000 Index E-Mini (Long) 118 8,987,900 8,997,500 Dec-19 (332,645 )

S&P 500 Index E-Mini (Long) 176 26,195,312 26,210,800 Dec-19 107,998

S&P 500 Index E-Mini (Short) 213 31,702,281 31,721,025 Dec-19 375,646









Total $(753,565 )



Notional Amount


Citibank, N.A.




Total $33,707




Upfront premium







$5,749


1,292


1,341



4,594

390,100 6,226 E (5,557 ) 12/18/49 1.65 %—Semiannually 3 month USD-LIBOR-BBA—Quarterly

669



(903 )

6,312,500 22,826 E (18,815 ) 12/18/29 1.525%—Semiannually


4,011



1,320

Total $161,900 $18,073




Upfront premium





Barclays Bank PLC$4,879 $4,887 $— 1/12/40 4.50% (1 month USD-


$13



109



25



(14 )



(1 )



(78 )



—



(2 )



207,134



(221,107 )




Upfront premium





Credit Suisse International$59,680 $59,819 $— 1/12/41 4.50% (1 month USD-


$207



(2 )



(17,696 )



278,006



3



—



—

JPMorgan Securities LLC15,225 15,015 — 1/12/44 4.00% (1 month USD-


(49 )



(1 )



80

Upfront premium received — Unrealized appreciation 485,577

Upfront premium (paid) — Unrealized (depreciation) (238,950 )

Total $— Total $246,627





Termi- nation date








Barclays Bank PLC






CMBX NA BB.7 Index BB/P 91 1,000 71 1/17/47 500 bp—Monthly 20









Termi- nation date



Citigroup Global Markets, Inc. cont.



CMBX NA A.6 Index A/P (1,052 ) 953,000 2,097 5/11/63 200 bp—Monthly 1,362

































CMBX NA BB.6 Index BB/P 969 4,000 623 5/11/63 500 bp—Monthly 349





CMBX NA BB.6 Index BB/P 2,034 9,000 1,402 5/11/63 500 bp—Monthly 639












Termi- nation date




CMBX NA A.6 Index A/P $1,229 $110,000 $242 5/11/63 200 bp—Monthly $1,508








CMBX NA BB.6 Index BB/P 1,441 6,000 935 5/11/63 500 bp—Monthly 512







Total $240,291 Total $179,985







Termi- nation date




CMBX NA A.7 Index $(1,001 ) $135,000 $2,336 1/17/47 (200 bp)—Monthly $(3,381 )









CMBX NA BBB–.7 Index (249 ) 6,000 94 1/17/47 (300 bp)—Monthly (158 )

















Termi- nation date




CMBX NA BB.9 Index $(1,602 ) $10,000 $592 9/17/58 (500 bp)—Monthly $(1,019 )

































Total $(227,232 ) Total $(115,631 )







Termi- nation date



NA HY Series 33 Index B+/P $(568,201 ) $8,471,000 $568,209 12/20/24 500 bp—Quarterly $3,538

NA IG Series 33 Index BBB+/P (1,323,360 ) 64,950,000 1,291,206 12/20/24 100 bp—Quarterly (19,525 )

Total $(1,891,561 ) $(15,987 )




Referenced debt*



Termi- nation date



NA HY Series 33 Index $308,226 $4,634,000 $310,835 12/20/24 (500 bp)—Quarterly $(4,540 )

Total $308,226 $(4,540 )






Valuation inputs


Common stocks*:







Energy 7,475,334 — —


Health care 21,050,170 — —



Utilities and power 7,058,203 180 —

Total common stocks 174,935,726 180 —

Asset-backed securities — 3,344,258 —


Convertible preferred stocks — 8,506 —

Corporate bonds and notes — 90,561,339 —


Investment companies 736,096 — —




Senior loans — 443,800 —


U.S. treasury obligations — 213,699 —

Short-term investments 110,000 131,080,589 —

Totals by level $175,781,822 $341,495,903 $—

Valuation inputs



Futures contracts (753,565 ) — —



Total return swap contracts — 246,627 —


Totals by level $(753,565 ) $1,613,734 $—






ASSETS

Investment in securities, at value, (Notes 2 and 8):



Cash 10,848




Receivable for units of the Portfolio sold 337,956








Total assets 525,731,536

LIABILITIES










Collateral on certain derivative contracts and TBA commitments, at value (Notes 2 and 8) 323,699


Net assets $481,601,027


Net assets $481,601,027






INVESTMENT INCOME



Total investment income 13,240,683





Forward currency contracts (Note 2) (278,960)

Futures contracts (Note 2) 3,205,503



Total net realized gain 2,987,421





Futures contracts 593,573










9/30/19

Operations:


Net realized gain on investments and foreign currency transactions 2,987,421








NET ASSETS


End of year $481,601,027



Sold 20,384,225

Redeemed (19,398,429)





9/30/19




Net realized and unrealized gain (loss) on investments 0.41










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.





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.





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.



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.




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 makers. 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.











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.












income




Putnam Money Market Portfolio * $126,096,334 $155,856,362 $156,621,965 $2,863,161 $125,330,731
























$2,005,609 * Payables, Net assets — Unrealized

depreciation

$391,506 *

Foreign exchange contracts Investments, Receivables 411,374 Payables 417,612

Equity contracts Receivables, Net assets — Unrealized

appreciation

1,092,276 * Payables, Net assets — Unrealized

depreciation

571,448 *

Interest rate contracts Receivables, Net assets — Unrealized

appreciation

53,691 * Payables, Net assets — Unrealized

depreciation

1,225,284 *

Total $3,562,950 $2,605,850




Forward currency



Equity contracts 4 — (2,415,477) — 56,722 (2,358,751)

Interest rate contracts — — 5,620,980 — 2,946,454 8,567,434

Total $4 $34,349 $3,205,503 $(278,960) $4,372,637 $7,333,533


Forward currency



Equity contracts (15) — 496,666 — 204,911 701,562

Interest rate contracts — — 96,907 — (28,999) 67,908

Total $(15) $6,868 $593,573 $(92,684) $(3,089) $504,653




Bank

of A

mer

ica

N.A

.

Barc

lays

Ban

k PL

C

Barc

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Cap

ital,

Inc.

(cle

arin

g br

oker

)

BofA

Sec

uriti

es,

Inc.

Citib

ank,

N.A

.

Citig

roup

Glo

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Mar

kets

, Inc

.

Cred

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isse

In

tern

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nal

Gold

man

Sac

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Inte

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iona

l

Assets:


OTC Total return swap contracts*# — 147 — — 207,134 — 207 278,009





Forward currency contracts# 41,405 28,659 — — 25,459 — 561 84,626


Total Assets $73,290 $28,806 $2,139,419 $146,909 $265,116 $29,210 $31,077 $407,550

Liabilities:


OTC Total return swap contracts*# — 95 — — 221,107 — 2 17,696

OTC Credit default contracts - protection sold*# 1,263 336 — — — 17,276 4,190 25,234

OTC Credit default contracts - protection purchased*# — — — — — 2,380 — —




Written options# — — — — 16,854 — — 16,853

Total Liabilities $119,860 $11,005 $2,066,433 $226,588 $283,462 $19,656 $8,800 $78,259

Total Financial and Derivative Net Assets $(46,570) $17,801 $72,986 $(79,679) $(18,346) $9,554 $22,277 $329,291

Total collateral received (pledged)##† $— $— $— $— $(11,975) $— $— $213,699

Net amount $(46,570) $17,801 $72,986 $(79,679) $(6,371) $9,554 $22,277 $115,592

Controlled collateral received (including TBA commitments)** $— $— $— $— $— $— $— $213,699


Collateral (pledged) (including TBA commitments)** $— $— $— $— $(11,975) $— $— $—



HSB

C Ba

nk

USA

, Nat

iona

l As

soci

atio

n

JPM

orga

n Ch

ase

Bank

N.A

.

JPM

orga

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curit

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LC

Mer

rill L

ynch

In

tern

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Mor

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Stan

ley

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. In

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LC

Nat

Wes

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arke

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Stat

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Ban

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UBS

AG

Wes

tPac

Ban

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rp.

Total

$— $— $— $— $— $— $— $— $— $2,060,252

— — 80 — — — — — — 485,577

— — 5,997 512 1,703 — — — — 16,054

— — 17,994 12,382 19,536 — — — — 113,981

— — — — — — — — — 79,167

— — 156 — — — — — — 147,065

32,239 61,264 — — — 2,406 27,448 9,424 952 314,443

— — — — — — — — — 96,931

$32,239 $61,264 $24,227 $12,894 $21,239 $2,406 $27,448 $9,424 $952 $3,313,470

— — — — — — — — — 2,066,433

— — 50 — — — — — — 238,950

— — 6,656 4,002 17,403 — — — — 76,360

— — — — — — — — — 2,380

— — — — — — — — — —

— — — — — — — — — 226,588

31,141 20,436 — — — 81,096 30,762 — 22,714 383,905

— — — — — — — — — 33,707

$31,141 $20,436 $6,706 $4,002 $17,403 $81,096 $30,762 $— $22,714 $3,028,323

$1,098 $40,828 $17,521 $8,892 $3,836 $(78,690) $(3,314) $9,424 $(21,762) $285,147

$— $40,828 $— $— $— $— $— $— $—

$1,098 $— $17,521 $8,892 $3,836 $(78,690) $(3,314) $9,424 $(21,762)

$— $110,000 $— $— $— $— $— $— $— $323,699

$— $— $— $— $— $— $— $— $— $—

$— $— $— $— $— $— $— $— $— $(11,975)






BB7 12/2019


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-3

The fund’s portfolio …………………………………………………… F-4

Statement of assets and liabilities …………………………………… F-47

Statement of operations ……………………………………………… F-48

Statement of changes in net assets …………………………………… F-49

Financial highlights …………………………………………………… F-50

Notes to financial statements ………………………………………… F-51













CF Industries Holdings, Inc. 16,014 787,889

Corteva, Inc. 39,220 1,098,160












Rio Tinto PLC (United Kingdom) 9,177 475,988

Rio Tinto, Ltd. (Australia) 556 34,751






W.R. Grace & Co. 1,846 123,239

7,740,934




Ball Corp. 5,443 396,305


Caterpillar, Inc. 6,878 868,760

Cummins, Inc. 8,248 1,341,702

Curtiss-Wright Corp. 939 121,478


Dover Corp. 5,030 500,787

Emerson Electric Co. 12,725 850,794


HD Supply Holdings, Inc. 11,379 445,772

HEICO Corp. 2,853 356,283




Capital goods cont.

Honeywell International, Inc. 13,782 $2,331,914

IDEX Corp. 2,445 400,687






Roper Technologies, Inc. 1,196 426,494


Teledyne Technologies, Inc. 911 293,333


16,589,251



AT&T, Inc. 9,601 363,302







Hikari Tsushin, Inc. (Japan) 900 194,698


KDDI Corp. (Japan) 17,300 452,209





13,777,383


AMETEK, Inc. 7,019 644,485

Danaher Corp. 9,818 1,418,014


2,088,673


Amazon.com, Inc. 4,330 7,516,490




Best Buy Co., Inc. 19,015 1,311,845



Bridgestone Corp. (Japan) 700 27,100


Clear Channel Outdoor Holdings, Inc. 1,001 2,523






Daiwa House Industry Co., Ltd. (Japan) 5,000 $162,202


Expedia, Inc. 9,495 1,276,223







Hermes International (France) 526 363,564






Kering SA (France) 717 365,471


Lowe’s Cos., Inc. 14,252 1,567,150





Norwegian Cruise Line Holdings, Ltd. 10,845 561,446




Porsche Automobil Holding SE (Preference) (Germany) 462 30,069




Sony Corp. (Japan) 8,500 499,186





Walmart, Inc. 18,318 2,173,980


33,458,419






Coca-Cola Co. (The) 71,886 3,913,474






Darden Restaurants, Inc. 7,803 $922,471


Hershey Co. (The) 6,873 1,065,246




Nestle SA (Switzerland) 5,416 588,121

PepsiCo, Inc. 20,517 2,812,881





Sysco Corp. 2,413 191,592


Unilever NV (Netherlands) 9,322 560,481

Unilever PLC (United Kingdom) 8,412 506,902





24,125,026

Energy (1.1%)

Chevron Corp. 42,490 5,039,314







Phillips 66 15,245 1,561,088

Royal Dutch Shell PLC Class B (United Kingdom) 31,548 931,483

Santos, Ltd. (Australia) 50,847 265,091

10,955,630

Financials (4.4%)



Aflac, Inc. 17,758 929,099


Allianz SE (Germany) 2,518 587,045

Allstate Corp. (The) 7,110 772,715










Financials cont.

AvalonBay Communities, Inc. R 2,941 $633,286






BNP Paribas SA (France) 9,818 478,129









Citigroup, Inc. 70,124 4,844,166





E*Trade Financial Corp. 19,153 836,795





Goldman Sachs Group, Inc. (The) 4,281 887,152



Hartford Financial Services Group, Inc. (The) 14,280 865,511











Klepierre (France) R 837 28,433






MetLife, Inc. 37,264 1,757,370



Financials cont.

MGIC Investment Corp. 23,170 $291,479





ORIX Corp. (Japan) 24,500 365,205


Partners Group Holding AG (Switzerland) 464 356,347















Unum Group 11,991 356,373




44,061,359

Health care (3.1%)


AbbVie, Inc. 16,931 1,282,015

Advanz Pharma Corp. (Canada) 340 4,077


Allergan PLC 4,539 763,868


Amgen, Inc. 13,205 2,555,300


Biogen, Inc. 5,364 1,248,846




Chemed Corp. 743 310,255

Cooper Cos., Inc. (The) 1,396 414,612


Edwards Lifesciences Corp. 4,330 952,210

Eli Lilly & Co. 4,640 518,891

Gilead Sciences, Inc. 13,989 886,623



Health care cont.

GlaxoSmithKline PLC (United Kingdom) 9,951 $213,934


Hologic, Inc. 7,472 377,261

Ipsen SA (France) 644 61,152




McKesson Corp. 8,856 1,210,261


Merck & Co., Inc. 32,582 2,742,753

Novartis AG (Switzerland) 6,252 542,594

Novo Nordisk A/S Class B (Denmark) 10,762 553,378

Pfizer, Inc. 30,719 1,103,734

Roche Holding AG (Switzerland) 2,889 841,508

Sartorius Stedim Biotech (France) 675 94,488





Zimmer Biomet Holdings, Inc. 6,908 948,261

Zoetis, Inc. 3,853 480,045

30,995,287

Technology (5.8%)

Adobe, Inc. 13,199 3,646,224



Apple, Inc. 24,168 5,412,907




Broadcom, Inc. 4,950 1,366,547


Cadence Design Systems, Inc. 11,917 787,475




eBay, Inc. 43,077 1,679,141

F5 Networks, Inc. 4,576 642,562



Fortinet, Inc. 13,289 1,020,064



Garmin, Ltd. 4,695 397,620

Genpact, Ltd. 6,774 262,493

Hoya Corp. (Japan) 5,100 416,164



Technology cont.

IBM Corp. 11,612 $1,688,617

Intuit, Inc. 8,838 2,350,378

Keysight Technologies, Inc. 7,512 730,542

KLA Corp. 7,347 1,171,479








Oracle Corp. 75,853 4,174,191



Qualcomm, Inc. 17,994 1,372,582





Tokyo Electron, Ltd. (Japan) 500 95,142



Xilinx, Inc. 17,334 1,662,331


57,019,407













6,154,537


AES Corp. 36,371 594,302

CenterPoint Energy, Inc. 24,909 751,754



E.ON SE (Germany) 32,681 317,773

Enel SpA (Italy) 66,577 497,261

Eni SpA (Italy) 13,191 201,821





Evergy, Inc. 8,397 $558,904

Exelon Corp. 35,122 1,696,744

IDACORP, Inc. 1,594 179,596


NRG Energy, Inc. 16,459 651,776



Snam SpA (Italy) 27,614 139,506


Vistra Energy Corp. 30,166 806,336

10,315,688






Alpha 2 BV 144A sr. unsec. notes 8.75%, 6/1/23 (Netherlands) ‡‡ 200,000 198,500



Atotech Alpha 3 BV/Alpha US Bidco, Inc. 144A company guaranty sr. unsec. notes 6.25%, 2/1/25 (Netherlands) 210,000 211,050

Axalta Coating Systems, LLC 144A company guaranty sr. unsec. unsub. notes 4.875%, 8/15/24 150,000 154,875












Cemex Finance, LLC 144A company guaranty sr. notes 6.00%, 4/1/24 (Mexico) 200,000 205,300

Cemex SAB de CV 144A company guaranty sr. sub. notes 5.70%, 1/11/25 (Mexico) 280,000 288,050


CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 1,500,000 1,636,364









First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) $215,000 $211,238



Georgia-Pacific, LLC 144A company guaranty sr. unsec. notes 5.40%, 11/1/20 1,720,000 1,779,198







International Paper Co. sr. unsec. notes 8.70%, 6/15/38 5,000 7,363

















Starfruit Finco BV/Starfruit US Holdco, LLC 144A sr. unsec. notes 8.00%, 10/1/26 (Netherlands) 300,000 300,375




Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 5.182%, 4/24/28 (Switzerland) 255,000 271,051

Syngenta Finance NV 144A company guaranty sr. unsec. unsub. notes 4.892%, 4/24/25 (Switzerland) 255,000 270,059








U.S. Concrete, Inc. company guaranty sr. unsec. unsub. notes 6.375%, 6/1/24 $205,000 $213,200








WRKCo, Inc. 144A company guaranty sr. unsec. unsub. notes 3.375%, 9/15/27 470,000 478,113


21,498,256




ARD Finance SA sr. notes 7.125%, 9/15/23 (Luxembourg) ‡‡ 200,000 206,000

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) 255,000 256,594

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 8/15/27 (Ireland) 255,000 258,188




















L3Harris Technologies, Inc. 144A sr. unsec. sub. notes 3.85%, 12/15/26 1,027,000 1,103,226








Capital goods cont.

Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 $225,000 $227,813












Trivium Packaging Finance BV 144A company guaranty sr. notes 5.50%, 8/15/26 (Netherlands) 200,000 210,240




12,849,509



Altice Luxembourg SA 144A company guaranty sr. unsec. notes 7.75%, 5/15/22 (Luxembourg) 200,000 204,250

Altice Luxembourg SA 144A sr. unsec. notes 10.50%, 5/15/27 (Luxembourg) 260,000 293,020




AT&T, Inc. sr. unsec. notes 4.10%, 2/15/28 1,360,000 1,470,211



AT&T, Inc. sr. unsec. unsub. bonds 4.35%, 3/1/29 1,015,000 1,121,056




CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 960,000 1,022,400







Comcast Corp. company guaranty sr. unsec. unsub. notes 3.15%, 3/1/26 1,733,000 1,814,598






Crown Castle International Corp. sr. unsec. bonds 3.80%, 2/15/28 R $530,000 $563,665







CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 215,000 224,701



Equinix, Inc. sr. unsec. notes 5.375%, 5/15/27 R 1,058,000 1,140,656





Intelsat Jackson Holdings SA 144A company guaranty sr. notes 8.00%, 2/15/24 (Bermuda) 2,000 2,078





Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes 4.50%, 3/15/43 (Canada) 10,000 11,399



Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 955,000 1,049,029


Sprint Spectrum Co., LLC/Sprint Spectrum Co. II, LLC/Sprint Spectrum Co. III, LLC 144A company guaranty sr. notes 3.36%, 9/20/21 117,500 117,941












Ziggo BV 144A company guaranty sr. notes 5.50%, 1/15/27 (Netherlands) 150,000 156,330

27,055,160




Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 1,330,000 1,412,879




Amazon.com, Inc. sr. unsec. notes 2.50%, 11/29/22 $362,000 $368,291


















Cinemark USA, Inc. company guaranty sr. unsec. notes 5.125%, 12/15/22 40,000 40,500






D.R. Horton, Inc. company guaranty sr. unsec. sub. notes 5.75%, 8/15/23 40,000 44,150

















Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. sub. notes 4.25%, 9/1/24 $425,000 $432,969







IHS Markit, Ltd. 144A company guaranty sr. unsec. notes 4.00%, 3/1/26 (United Kingdom) 997,000 1,051,835


Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 1,571,000 1,760,406









Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 4/1/21 5,000 5,106






















Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 5.75%, 10/1/22 $20,000 $20,268













Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 1,611,000 1,665,371






















33,816,565




1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 5.00%, 10/15/25 (Canada) $315,000 $324,844

























Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 4.597%, 5/25/28 1,398,000 1,565,548





Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 4.875%, 11/1/26 1,058,000 1,108,255










Resideo Funding, Inc. 144A company guaranty sr. unsec. notes 6.125%, 11/1/26 $115,000 $121,325




12,263,511

Energy (2.8%)















Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 1,595,000 1,745,528













Energy Transfer Operating LP company guaranty sr. unsec. bonds 6.25%, 4/15/49 265,000 321,824


Energy Transfer Partners LP company guaranty sr. unsec. notes 5.50%, 6/1/27 1,290,000 1,459,371




EOG Resources, Inc. sr. unsec. unsub. notes 4.15%, 1/15/26 1,380,000 1,526,226




Energy cont.

Equinor ASA company guaranty sr. unsec. notes 5.10%, 8/17/40 (Norway) $520,000 $670,843


Exxon Mobil Corp. sr. unsec. unsub. notes 2.222%, 3/1/21 1,198,000 1,204,275






















Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.50%, 3/13/27 (Mexico) 1,682,000 1,746,283

Petroleos Mexicanos 144A company guaranty sr. unsec. notes 7.69%, 1/23/50 (Mexico) 88,000 91,740



Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 90,000 95,230












Energy cont.

SM Energy Co. sr. unsec. unsub. notes 6.125%, 11/15/22 $189,000 $181,128



















27,609,830

Financials (6.0%)








Australia & New Zealand Banking Group, Ltd. sr. unsec. notes Ser. MTN, 2.125%, 8/19/20 (Australia) 1,073,000 1,073,960

Bank of America Corp. jr. unsec. sub. bonds Ser. JJ, 5.125%, perpetual maturity 545,000 563,394

Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity 1,205,000 1,319,475

Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity 60,000 66,750



Bank of Montreal sr. unsec. unsub. notes Ser. D, 3.10%, 4/13/21 (Canada) 1,018,000 1,035,459








Financials cont.

BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) $1,101,000 $1,169,721





CIT Bank NA sr. unsec. FRN Ser. BKNT, 2.969%, 9/27/25 350,000 349,895


CIT Group, Inc. sr. unsec. unsub. notes 5.25%, 3/7/25 1,889,000 2,059,010


Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 750,000 794,342


Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 1,897,000 2,069,770




Commonwealth Bank of Australia 144A sr. unsec. unsub. notes 2.00%, 9/6/21 (Australia) 804,000 803,296

Cooperative Rabobank UA company guaranty unsec. sub. notes 3.75%, 7/21/26 (Netherlands) 302,000 313,290




Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28 R 1,305,000 1,442,686


Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) 1,575,000 1,703,803






Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 1,175,000 1,282,618


Hartford Financial Services Group, Inc. (The) sr. unsec. unsub. notes 6.625%, 3/30/40 631,000 856,178






ING Bank NV 144A unsec. sub. notes 5.80%, 9/25/23 (Netherlands) 1,448,000 1,605,233








Financials cont.

JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 $3,715,000 $4,164,995


Lloyds Banking Group PLC unsec. sub. notes 4.50%, 11/4/24 (United Kingdom) 684,000 714,071



Metropolitan Life Global Funding I 144A notes 2.40%, 6/17/22 1,650,000 1,663,880




Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) 200,000 214,624

Morgan Stanley sr. unsec. unsub. notes 2.75%, 5/19/22 1,190,000 1,207,278





PNC Bank NA unsec. sub. notes Ser. BKNT, 2.70%, 11/1/22 750,000 760,858



Prudential Financial, Inc. sr. unsec. notes 6.625%, 6/21/40 5,000 7,157

Royal Bank of Canada sr. unsec. unsub. notes Ser. GMTN, 2.80%, 4/29/22 (Canada) 801,000 815,399


Santander UK PLC 144A unsec. sub. notes 5.00%, 11/7/23 (United Kingdom) 685,000 725,970







Teachers Insurance & Annuity Association of America 144A unsec. sub. bonds 4.90%, 9/15/44 35,000 43,511





UBS Group Funding Jersey, Ltd. 144A company guaranty sr. unsec. notes 4.125%, 4/15/26 (Switzerland) 2,341,000 2,542,097

UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) 212,000 227,224







Financials cont.

WeWork Cos, Inc. 144A company guaranty sr. unsec. notes 7.875%, 5/1/25 $90,000 $76,388

59,184,887

Health care (1.9%)















Bristol-Myers Squibb Co. 144A sr. unsec. bonds 3.40%, 7/26/29 2,515,000 2,686,326
























Service Corp. International sr. unsec. notes 4.625%, 12/15/27 972,000 1,014,525




Health care cont.

Shire Acquisitions Investments Ireland DAC company guaranty sr. unsec. unsub. notes 3.20%, 9/23/26 (Ireland) $563,000 $579,754









UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 1,325,000 1,450,543




18,868,197

Technology (2.4%)

Alphabet, Inc. sr. unsec. notes 3.625%, 5/19/21 1,100,000 1,129,984



Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 1,651,000 1,998,690




Cisco Systems, Inc. sr. unsec. unsub. notes 2.20%, 2/28/21 1,198,000 1,204,202



Diamond 1 Finance Corp./Diamond 2 Finance Corp. 144A company guaranty sr. notes 6.02%, 6/15/26 2,373,000 2,668,626




Fidelity National Information Services, Inc. sr. unsec. notes 3.75%, 5/21/29 1,096,000 1,188,927




Fiserv, Inc. sr. unsec. sub. bonds 4.20%, 10/1/28 1,210,000 1,338,503




Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 645,000 677,364

Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 1,278,000 1,301,585

Microsoft Corp. sr. unsec. unsub. notes 2.40%, 2/6/22 1,262,000 1,279,621

Nutanix, Inc. cv. sr. unsec. notes zero %, 1/15/23 274,000 255,676



Technology cont.

Oracle Corp. sr. unsec. unsub. notes 2.65%, 7/15/26 $1,232,000 $1,257,905



Salesforce.com, Inc. sr. unsec. unsub. notes 3.70%, 4/11/28 1,785,000 1,959,218







23,392,672





1,038,944



AES Corp./Virginia (The) sr. unsec. unsub. notes 5.125%, 9/1/27 988,000 1,049,750



American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 1,070,000 1,198,900





Colorado Interstate Gas Co., LLC company guaranty sr. unsec. notes 6.85%, 6/15/37 100,000 118,414


Duke Energy Carolinas, LLC sr. mtge. notes 4.25%, 12/15/41 10,000 11,452

Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 995,000 1,088,642







Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 4.30%, 6/1/25 1,062,000 1,148,152




NRG Energy, Inc. 144A company guaranty sr. bonds 4.45%, 6/15/29 1,361,000 1,417,981







Vistra Energy Corp. 144A company guaranty sr. unsec. notes 8.125%, 1/30/26 $450,000 $482,625






WEC Energy Group, Inc. jr. unsec. sub. FRN Ser. A, (BBA LIBOR USD 3 Month + 2.11%), 4.271%, 5/15/67 1,217,000 1,023,745

13,224,969




Government National Mortgage Association IFB Ser. 13-9, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.75%), 4.706%, 1/20/43 $4,754,920 $991,083

991,083


BANK

FRB Ser. 17-BNK9, Class XA, IO, 0.955%, 11/15/54 W 7,028,572 378,494

FRB Ser. 18-BN10, Class XA, IO, 0.887%, 2/15/61 W 42,391,700 2,186,140

CD Commercial Mortgage Trust

FRB Ser. 16-CD1, Class XA, IO, 1.548%, 8/10/49 W 6,563,730 489,195

FRB Ser. 16-CD2, Class XA, IO, 0.809%, 11/10/49 W 17,714,012 617,161


Ser. 13-GC17, Class AS, 4.544%, 11/10/46 1,831,000 1,988,876

Ser. 14-GC19, Class AS, 4.345%, 3/10/47 1,071,000 1,156,513

Ser. 14-GC21, Class AS, 4.026%, 5/10/47 977,000 1,037,073



COMM Mortgage Trust


Ser. 13-CR11, Class AM, 4.715%, 8/10/50 W 375,000 407,081

Ser. 13-CR13, Class AM, 4.449%, 11/10/46 W 1,040,000 1,124,151

Ser. 12-LC4, Class AM, 4.063%, 12/10/44 220,000 226,426

Ser. 12-CR1, Class AM, 3.912%, 5/15/45 589,000 609,144

Ser. 12-CR2, Class AM, 3.791%, 8/15/45 381,000 394,012

Ser. 13-LC6, Class AM, 3.282%, 1/10/46 655,000 671,099




FRB Ser. 15-LC21, Class XA, IO, 0.909%, 7/10/48 W 60,748,719 1,862,802



FRB Ser. 10-C1, Class D, 6.304%, 7/10/46 W 318,000 325,471

FRB Ser. 12-CR3, Class D, 4.91%, 10/15/45 W 258,000 260,181






FRB Ser. 15-C1, Class C, 4.417%, 4/15/50 W $581,000 $610,571

Ser. 15-C1, Class AS, 3.791%, 4/15/50 W 1,819,000 1,927,205

CSMC Trust

FRB Ser. 16-NXSR, Class C, 4.505%, 12/15/49 W 393,000 417,321

FRB Ser. 16-NXSR, Class XA, IO, 0.931%, 12/15/49 W 23,284,745 970,107

DBJPM Commercial Mortgage Trust FRB Ser. 16-C3, Class XA, IO, 1.631%, 8/10/49 W 7,628,274 631,757

DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.512%, 8/10/44 W 2,174,000 2,261,682

GS Mortgage Securities Corp., II

Ser. 13-GC10, Class AS, 3.279%, 2/10/46 594,000 609,367






FRB Ser. 17-GS8, Class XA, IO, 1.123%, 11/10/50 W 34,942,852 2,215,377

FRB Ser. 15-GC30, Class XA, IO, 0.959%, 5/10/50 W 33,758,698 1,063,180




Ser. 11-GC5, Class AS, 5.209%, 8/10/44 W 2,392,000 2,496,547



FRB Ser. 14-C22, Class C, 4.709%, 9/15/47 W 328,000 338,918

Ser. 13-C17, Class AS, 4.458%, 1/15/47 83,000 89,626

Ser. 14-C18, Class AS, 4.439%, 2/15/47 W 1,507,000 1,606,206

Ser. 13-C14, Class AS, 4.409%, 8/15/46 W 547,000 585,509







Ser. 13-C10, Class AS, 3.372%, 12/15/47 1,280,000 1,309,965

Ser. 13-LC11, Class AS, 3.216%, 4/15/46 1,452,000 1,485,905





Ser. 13-C13, Class AS, 4.266%, 11/15/46 1,149,000 1,221,812

Ser. 12-C5, Class AS, 3.792%, 8/15/45 658,000 681,525

Ser. 12-C6, Class AS, 3.476%, 11/15/45 759,000 781,324



Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 13-C7, Class XB, IO, 0.421%, 2/15/46 W 15,835,000 167,851




Morgan Stanley Capital I Trust

Ser. 12-C4, Class AS, 3.773%, 3/15/45 $64,000 $65,952

FRB Ser. 16-BNK2, Class XA, IO, 1.21%, 11/15/49 W 19,337,904 1,067,452

FRB Ser. 16-UB12, Class XA, IO, 0.922%, 12/15/49 W 8,821,745 357,104

FRB Ser. 16-BNK2, Class XB, IO, 0.677%, 11/15/49 W 24,764,000 902,042


FRB Ser. 11-C3, Class D, 5.292%, 7/15/49 W 78,000 80,060


UBS Commercial Mortgage Trust FRB Ser. 17-C7, Class XA, IO, 1.214%, 12/15/50 W 5,024,462 330,725

UBS-Barclays Commercial Mortgage Trust 144A FRB Ser. 13-C6, Class XA, IO, 1.266%, 4/10/46 W 9,817,567 315,483



Ser. 12-LC5, Class AS, 3.539%, 10/15/45 341,000 353,104

FRB Ser. 16-BNK1, Class XB, IO, 1.479%, 8/15/49 W 16,086,598 1,335,364




FRB Ser. 12-C10, Class C, 4.52%, 12/15/45 W 170,000 170,467

Ser. 13-C18, Class AS, 4.387%, 12/15/46 W 859,000 926,225

Ser. 13-UBS1, Class AS, 4.306%, 3/15/46 W 453,000 485,025

Ser. 14-C19, Class AS, 4.271%, 3/15/47 718,000 768,726

Ser. 12-C6, Class AS, 3.835%, 4/15/45 48,000 49,454

Ser. 12-C8, Class AS, 3.66%, 8/15/45 1,207,000 1,247,958

Ser. 13-C12, Class AS, 3.56%, 3/15/48 446,000 462,399

Ser. 12-C9, Class AS, 3.388%, 11/15/45 418,000 428,663

Ser. 13-C11, Class AS, 3.311%, 3/15/45 507,000 520,780

Ser. 12-C10, Class AS, 3.241%, 12/15/45 1,969,000 2,009,321



FRB Ser. 14-C22, Class XA, IO, 0.962%, 9/15/57 W 32,796,701 1,095,475


FRB Ser. 14-C23, Class XA, IO, 0.736%, 10/15/57 W 69,188,755 1,852,452


FRB Ser. 11-C3, Class D, 5.856%, 3/15/44 W 137,000 128,637

FRB Ser. 12-C10, Class D, 4.585%, 12/15/45 W 156,000 134,265





61,634,791


Adjustable Rate Mortgage Trust FRB Ser. 05-9, Class 5A1, (1 Month US LIBOR + 0.54%), 2.558%, 11/25/35 557,946 558,918

Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-R1, Class A1B, (1 Month US LIBOR + 0.80%), 2.818%, 2/25/34 387,204 389,111





Bellemeade Re, Ltd. 144A FRB Ser. 18-2A, Class M1B, (1 Month US LIBOR + 1.35%), 3.368%, 8/25/28 (Bermuda) $603,000 $604,131

Countrywide Asset-Backed Certificates FRB Ser. 05-8, Class M4, (1 Month US LIBOR + 0.93%), 2.948%, 12/25/35 810,000 806,434







Structured Agency Credit Risk Debt FRN Ser. 14-DN4, Class M3, (1 Month US LIBOR + 4.55%), 6.568%, 10/25/24 1,597,118 1,712,110






Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 4.318%, 9/25/30 2,290,000 2,314,369



Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 4.468%, 3/25/49 1,200,000 1,212,108

Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 4.318%, 10/25/48 1,073,700 1,085,436


Federal Home Loan Mortgage Corporation Structured Agency Credit Risk Debt Notes Structured Agency Credit risk Debt Notes FRB Ser. 16-DNA1, Class M3, (1 Month US LIBOR + 5.55%), 7.695%, 7/25/28 460,000 510,077


















Connecticut Avenue Securities FRB Ser. 17-C02, Class 2ED3, (1 Month US LIBOR + 1.35%), 3.368%, 9/25/29 836,394 837,514



Connecticut Avenue Securities Trust FRB Ser. 18-R07, Class 1M2, (1 Month US LIBOR + 2.40%), 4.418%, 4/25/31 1,335,000 1,347,068



Impac CMB Trust FRB Ser. 04-7, Class 1A1, (1 Month US LIBOR + 0.74%), 2.758%, 11/25/34 255,758 250,963

New Century Home Equity Loan Trust FRB Ser. 04-2, Class A4, (1 Month US LIBOR + 1.10%), 3.118%, 8/25/34 269,602 269,600



Towd Point HE Trust 144A FRB Ser. 19-HE1, Class A1, (1 Month US LIBOR + 0.90%), 2.918%, 4/25/48 725,849 726,167


FRB Ser. 05-AR8, Class 2AC2, (1 Month US LIBOR + 0.92%), 2.938%, 7/25/45 459,370 455,575


Wells Fargo Home Equity Asset-Backed Securities Trust FRB Ser. 04-2, Class M1, (1 Month US LIBOR + 0.90%), 2.918%, 10/25/34 1,012,884 1,009,845

33,959,685


CONVERTIBLE BONDS AND NOTES (2.7%)* Principal amount Value


Fortive Corp. 144A cv. company guaranty sr. unsec. notes 0.875%, 2/15/22 $671,000 $663,871

II-VI, Inc. cv. sr. unsec. notes 0.25%, 9/1/22 415,000 428,344

1,092,215


8x8, Inc. 144A cv. sr. unsec. notes 0.50%, 2/1/24 245,000 256,666

DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 882,000 808,094

GCI Liberty, Inc. 144A cv. sr. unsec. bonds 1.75%, 9/30/46 500,000 608,125

Intelsat SA cv. company guaranty sr. unsec. notes 4.50%, 6/15/25, (Luxembourg) 140,000 205,549

Powerwave Technologies, Inc. cv. unsec. sub. notes 3.875%, 10/1/27, (In default) F 145,000 15

RingCentral, Inc. cv. sr. unsec. notes zero %, 3/15/23 148,000 238,619


CONVERTIBLE BONDS AND NOTES (2.7%)* cont. Principal amount Value


Vonage Holdings Corp. 144A cv. sr. unsec. notes 1.75%, 6/1/24 $275,000 $283,664

2,400,732


Euronet Worldwide, Inc. 144A cv. sr. unsec. bonds 0.75%, 3/15/49 356,000 416,743

FTI Consulting, Inc. cv. sr. unsec. notes 2.00%, 8/15/23 265,000 322,534

Horizon Global Corp. cv. sr. unsec. unsub. notes 2.75%, 7/1/22 269,000 214,175

Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 485,000 579,381

Liberty Media Corp. cv. sr. unsec. notes 1.00%, 1/30/23 330,000 413,269

Live Nation Entertainment, Inc. cv. sr. unsec. notes 2.50%, 3/15/23 507,000 594,407

Marriott Vacations Worldwide Corp. cv. sr. unsec. notes 1.50%, 9/15/22 460,000 461,138

Priceline Group, Inc. (The) cv. sr. unsec. bonds 0.90%, 9/15/21 620,000 718,900

Quotient Technology, Inc. cv. sr. unsec. notes 1.75%, 12/1/22 215,000 202,035

RH cv. sr. unsec. unsub. notes zero %, 6/15/23 265,000 286,780

Square, Inc. cv. sr. unsec. notes 0.50%, 5/15/23 292,000 324,668

4,534,030


Chegg, Inc. 144A cv. sr. unsec. notes 0.125%, 3/15/25 385,000 352,063

IAC Financeco 2, Inc. 144A cv. company guaranty sr. unsec. notes 0.875%, 6/15/26 559,000 581,822

Wayfair, Inc. 144A cv. sr. unsec. notes 1.125%, 11/1/24 270,000 325,480

Zillow Group, Inc. cv. sr. unsec. notes 1.50%, 7/1/23 310,000 272,219

1,531,584

Energy (—%)

Chesapeake Energy Corp. cv. company guaranty sr. unsec. notes 5.50%, 9/15/26 245,000 146,388

Oasis Petroleum, Inc. cv. sr. unsec. notes 2.625%, 9/15/23 68,000 50,344

Transocean, Inc. cv. company guaranty sr. unsec. sub. notes 0.50%, 1/30/23 265,000 216,803

413,535

Financials (0.1%)

Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23, R 320,000 334,000

IH Merger Sub, LLC cv. company guaranty sr. unsec. notes 3.50%, 1/15/22, R 219,000 290,900

JPMorgan Chase Financial Co., LLC cv. company guaranty sr. unsec. notes 0.25%, 5/1/23 325,000 332,403

Redfin Corp. cv. sr. unsec. notes 1.75%, 7/15/23 145,000 133,005

1,090,308

Health care (0.5%)

BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 0.599%, 8/1/24 291,000 286,052

China Medical Technologies, Inc. cv. sr. unsec. bonds Ser. CMT, 4.00%, 8/15/20, (China) (In default) F 104,000 6,656

CONMED Corp. 144A cv. sr. unsec. notes 2.625%, 2/1/24 245,000 303,212

DexCom, Inc. 144A cv. sr. unsec. notes 0.75%, 12/1/23 544,000 637,689

Exact Sciences Corp. cv. sr. unsec. notes 0.375%, 3/15/27 241,000 259,991

Illumina, Inc. cv. sr. unsec. notes zero %, 8/15/23 270,000 298,688

Ironwood Pharmaceuticals, Inc. 144A cv. sr. unsec. notes 0.75%, 6/15/24 185,000 171,125

Jazz Investments I, Ltd. cv. company guaranty sr. unsec. sub. notes 1.50%, 8/15/24, (Ireland) 595,000 572,704

Neurocrine Biosciences, Inc. cv. sr. unsec. notes 2.25%, 5/15/24 220,000 301,226

Pacira Pharmaceuticals, Inc./Delaware cv. sr. unsec. sub. notes 2.375%, 4/1/22 285,000 280,289

Repligen Corp. cv. sr. unsec. notes 0.375%, 7/15/24 229,000 226,424

Supernus Pharmaceuticals, Inc. cv. sr. unsec. notes 0.625%, 4/1/23 230,000 213,003


CONVERTIBLE BONDS AND NOTES (2.7%)* cont. Principal amount Value

Health care cont.

Tabula Rasa HealthCare, Inc. 144A cv. sr. unsec. sub. notes 1.75%, 2/15/26 $193,000 $209,009

Teladoc Health, Inc. cv. sr. unsec. notes 1.375%, 5/15/25 295,000 436,491

Wright Medical Group, Inc. cv. company guaranty sr. unsec. notes 1.625%, 6/15/23 235,000 224,071

4,426,630

Technology (1.1%)

Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 668,000 764,608

Carbonite, Inc. cv. sr. unsec. unsub. notes 2.50%, 4/1/22 170,000 161,881

Cree, Inc. cv. sr. unsec. notes 0.875%, 9/1/23 235,000 257,334

DocuSign, Inc. 144A cv. sr. unsec. notes 0.50%, 9/15/23 419,000 470,220

Envestnet, Inc. cv. sr. unsec. sub. notes 1.75%, 12/15/19 240,000 243,600

Five9, Inc. cv. sr. unsec. notes 0.125%, 5/1/23 140,000 201,453

Guidewire Software, Inc. cv. sr. unsec. sub. notes 1.25%, 3/15/25 275,000 314,893

Inphi Corp. cv. sr. unsec. notes 0.75%, 9/1/21 305,000 378,499

J2 Global, Inc. cv. sr. unsec. notes 3.25%, 6/15/29 188,000 266,552

LivePerson, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/24 135,000 157,390

Lumentum Holdings, Inc. cv. sr. unsec. unsub. notes 0.25%, 3/15/24 225,000 260,440

Microchip Technology, Inc. cv. sr. unsec. sub. notes 1.625%, 2/15/27 298,000 383,619

New Relic, Inc. cv. sr. unsec. notes 0.50%, 5/1/23 305,000 288,709

Nuance Communications, Inc. cv. sr. unsec. notes 1.25%, 4/1/25 455,000 445,900

ON Semiconductor Corp. cv. company guaranty sr. unsec. unsub. notes 1.625%, 10/15/23 486,000 584,390

Palo Alto Networks, Inc. cv. sr. unsec. notes 0.75%, 7/1/23 625,000 657,214

Pluralsight, Inc. 144A cv. sr. unsec. notes 0.375%, 3/1/24 494,000 423,588

Rapid7, Inc. cv. sr. unsec. notes 1.25%, 8/1/23 135,000 174,963

SailPoint Technologies Holding, Inc. 144A cv. sr. unsec. notes 0.125%, 9/15/24 215,000 204,304

Silicon Laboratories, Inc. cv. sr. unsec. notes 1.375%, 3/1/22 135,000 175,597

Snap, Inc. 144A cv. sr. unsec. notes 0.75%, 8/1/26 253,000 259,786

Splunk, Inc. cv. sr. unsec. notes 1.125%, 9/15/25 765,000 836,241

Twitter, Inc. cv. sr. unsec. unsub. bonds 1.00%, 9/15/21 585,000 575,859

Verint Systems, Inc. cv. sr. unsec. notes 1.50%, 6/1/21 225,000 226,225

Viavi Solutions, Inc. cv. sr. unsec. notes 1.75%, 6/1/23 270,000 324,621

Wix.com, Ltd. cv. sr. unsec. notes zero %, 7/1/23, (Israel) 276,000 305,708

Workday, Inc. cv. sr. unsec. notes 0.25%, 10/1/22 316,000 414,238

Zendesk, Inc. cv. sr. unsec. notes 0.25%, 3/15/23 265,000 349,929

Zynga, Inc. 144A cv. sr. unsec. notes 0.25%, 6/1/24 250,000 248,844

10,356,605

Transportation (—%)

Air Transport Services Group, Inc. cv. sr. unsec. notes 1.125%, 10/15/24 184,000 171,432

171,432

Utilities and power (—%)

NRG Energy, Inc. cv. company guaranty sr. unsec. bonds 2.75%, 6/1/48 440,000 494,497

494,497

Total convertible bonds and notes (cost $26,076,723) $26,511,568


Brazil (Federal Republic of) sr. unsec. unsub. bonds 4.625%, 1/13/28 (Brazil) $445,000 $473,035



Brazil (Federal Republic of) sr. unsec. unsub. notes 6.00%, 4/7/26 (Brazil) $2,835,000 $3,277,969

Brazil (Federal Republic of) sr. unsec. unsub. notes 4.25%, 1/7/25 (Brazil) 3,205,000 3,377,269


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 38,753









Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/15/24 (Indonesia) $2,025,000 2,275,626




Ivory Coast (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Ivory Coast) 200,000 204,750

Russia (Federation of) 144A sr. unsec. notes 4.50%, 4/4/22 (Russia) 1,200,000 1,264,682


Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 275,000 276,375



United Mexican States sr. unsec. unsub. notes 4.50%, 4/22/29 (Mexico) 3,280,000 3,564,796



Venezuela (Republic of) sr. unsec. unsub. notes 8.25%, 10/13/24 (Venezuela) (In default) 1,339,000 147,290




FRB Ser. 18-W1, Class A, (1 Month US LIBOR + 0.85%), 2.868%, 11/25/51 $1,603,000 $1,603,000


Onslow Bay Financial, LLC Trust 144A Ser. 18-EXP1, Class 1A3, 4.00%, 4/25/48 W 2,114,804 2,151,469











Air Methods Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.50%), 5.604%, 4/21/24 $79,517 $64,369

Avaya, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.25%), 6.334%, 12/15/24 230,838 218,719


















Vertiv Intermediate Holding II Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 6.044%, 11/15/23 85,000 80,679


CONVERTIBLE PREFERRED STOCKS (0.1%)* Shares Value

AMG Capital Trust II $2.575 cv. pfd. 7,709 $359,468

Broadcom, Inc. 8.00% cv. pfd. 304 311,717

Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd. 10,395 336,902

EPR Properties Ser. C, $1.438 cv. pfd. R 765 25,519

NextEra Energy, Inc. $2.436 cv. pfd. 1,390 69,695

Nine Point Energy 6.75% cv. pfd. F 8 1,600

Total convertible preferred stocks (cost $1,313,293) $1,104,901

MUNICIPAL BONDS AND NOTES (—%)* Principal amount Value

CA State G.O. Bonds, (Build America Bonds), 7.50%, 4/1/34 $15,000 $23,139

North TX, Tollway Auth. Rev. Bonds, (Build America Bonds), 6.718%, 1/1/49 10,000 16,395


MUNICIPAL BONDS AND NOTES (—%)* cont. Principal amount Value

OH State U. Rev. Bonds, (Build America Bonds), 4.91%, 6/1/40 $10,000 $12,991

Total municipal bonds and notes (cost $35,085) $52,525


GMAC Capital Trust I Ser. 2, $1.91 cum. ARP 1,305 $34,204





4.00%, TBA, 10/1/49 $2,000,000 $2,079,688

4.00%, 8/20/46 1,204,520 1,277,439

3.50%, TBA, 10/1/49 8,000,000 8,288,125

3.50%, 11/20/47 1,598,481 1,683,408

3.00%, 7/20/46 3,618,465 3,729,424

17,058,084



4.50%, TBA, 10/1/49 5,000,000 5,264,453

4.00%, TBA, 10/1/49 6,000,000 6,225,937

3.50%, TBA, 10/1/49 22,000,000 22,567,186

3.00%, TBA, 10/1/49 65,000,000 65,975,000

3.00%, TBA, 10/1/34 5,000,000 5,110,156

105,142,732


U.S. TREASURY OBLIGATIONS (11.1%)* Principal amount Value

U.S. Treasury Bonds

4.50%, 2/15/36 $2,800,000 $3,860,609

3.00%, 2/15/47 6,170,000 7,313,378

2.75%, 8/15/42 # ∆ § Ф 26,960,000 30,267,865

U.S. Treasury Notes

2.75%, 2/15/24 16,490,000 17,309,992

2.375%, 8/15/24 4,080,000 4,232,681

2.25%, 11/15/27 11,930,000 12,481,063

2.125%, 12/31/22 6,900,000 7,018,324

1.875%, 11/30/21 7,200,000 7,237,547

1.625%, 2/15/26 7,000,000 7,003,144

1.625%, 10/31/23 13,510,000 13,539,817

Total U.S. treasury obligations (cost $102,862,819) $110,264,420

SHORT-TERM INVESTMENTS (20.7%)* Shares Value

Putnam Money Market Portfolio 2.30% L 205,271,634 $205,271,634

State Street Institutional U.S. Government Money Market Fund, Premier Class 1.88% P 201,000 201,000



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 period.BKNT Bank Notebp Basis PointsDAC Designated Activity CompanyFRB 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 bank.GMTN Global Medium Term NotesG.O. Bonds General Obligation BondsIFB 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 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 transaction not subject to, the registration requirements of the Securities Act of 1933.TBA To Be Announced Commitments


* Percentages indicated are based on net assets of $993,020,196.†† 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 $871,679 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 8).


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 $281,550 and is included in Investments in securities on the Statement of assets and liabilities (Notes 2 and 8).














Delivery date Value





Euro Sell 12/18/19 129,297 130,360 1,063

Japanese Yen Buy 11/20/19 111,021 111,531 (510 )

Barclays Bank PLC



Euro Sell 12/18/19 893,342 900,435 7,093


Swiss Franc Buy 12/18/19 12,621 12,777 (156 )

Citibank, N.A.

Chinese Yuan Buy 11/20/19 87,261 87,694 (433 )

Danish Krone Sell 12/18/19 358,893 360,741 1,848




Euro Sell 12/18/19 430,001 430,366 365

Japanese Yen Sell 11/20/19 86,132 85,732 (400 )


Australian Dollar Buy 10/16/19 102,501 102,509 (8 )


Chinese Yuan Sell 11/20/19 207,027 212,015 4,988




Euro Buy 12/18/19 575,200 579,602 (4,402 )


Singapore Dollar Buy 11/20/19 179,941 181,665 (1,724 )


Swiss Franc Buy 12/18/19 36,146 42,415 (6,269 )

NatWest Markets PLC

Japanese Yen Buy 11/20/19 358,299 359,857 (1,558 )



Israeli Shekel Sell 10/16/19 149,105 147,551 (1,554 )


UBS AG

Swedish Krona Buy 12/18/19 143,989 143,744 245





Total $(22,910 )




Number of contracts


Expiration date


Russell 2000 Index E-Mini (Long) 248 $18,889,823 $18,910,000 Dec-19 $(699,119 )

Russell 2000 Index E-Mini (Short) 8 609,349 610,000 Dec-19 22,517

S&P 500 Index E-Mini (Short) 134 19,944,158 19,955,950 Dec-19 236,322

S&P Mid Cap 400 Index E-Mini (Long) 1 193,548 193,800 Dec-19 (2,665 )



U.S. Treasury Note 2 yr (Short) 2 431,000 431,000 Dec-19 1,042





Total $(773,042 )



Upfront premium





$35,138,000 $364,522 $(285 ) 6/26/24 1.737%—Semiannually 3 month USD-LIBOR-BBA—Quarterly

$(515,792 )

494,000 823 (4 ) 8/12/24 1.475%—Semiannually 3 month USD-LIBOR-BBA—Quarterly

1,324

12,063,800 6,177 E (7,217 ) 12/18/21 3 month USD-LIBOR-BBA—Quarterly


(1,040 )


4,106



(14,474 )

17,602,400 63,650 E (52,466 ) 12/18/29 1.525%—Semiannually


11,184

Total $35,134 $(514,692 )






Termi- nation date




CMBX NA A.6 Index A/P $86 $49,000 $108 5/11/63 200 bp—Monthly $210








CMBX NA A.6 Index A/P (1,696 ) 1,536,000 3,379 5/11/63 200 bp—Monthly 2,195







Termi- nation date



Credit Suisse International cont.

CMBX NA BB.7 Index BB/P $5,350 $40,000 $2,856 1/17/47 500 bp—Monthly $2,528





CMBX NA A.6 Index A/P 760 101,000 222 5/11/63 200 bp—Monthly 1,016















































Termi- nation date




CMBX NA A.6 Index A/P $— $10,000 $22 5/11/63 200 bp—Monthly $25























Upfront premium (paid) (1,706 ) Unrealized (depreciation) (916 )

Total $442,652 Total $239,384







Termi- nation date




CMBX NA A.7 Index $(200 ) $27,000 $467 1/17/47 (200 bp)—Monthly $(676 )

















Termi- nation date



Credit Suisse International cont.

CMBX NA BB.7 Index $(11,350 ) $69,000 $4,927 1/17/47 (500 bp)—Monthly $(6,481 )












CMBX NA A.7 Index (780 ) 37,000 640 1/17/47 (200 bp)—Monthly (1,432 )







CMBX NA BBB–.6 Index (153,764 ) 1,500,000 126,900 5/11/63 (300 bp)—Monthly (27,614 )

























Total $(511,446 ) Total $(198,425 )







Termi- nation date




Total $(2,549,022 ) $15,872







Valuation inputs


Common stocks*:







Energy 10,954,764 — 866


Health care 30,995,287 — —



Utilities and power 10,315,144 544 —

Total common stocks 257,280,184 544 866

Asset-backed securities — 9,938,585 —

Convertible bonds and notes — 26,504,897 6,671

Convertible preferred stocks 381,412 721,889 1,600




Municipal bonds and notes — 52,525 —




U.S. treasury obligations — 110,264,420 —

Short-term investments 201,000 205,271,634 —

Totals by level $257,862,596 $848,509,543 $9,141

Valuation inputs



Futures contracts (773,042 ) — —



Totals by level $(773,042 ) $2,101,911 $—







ASSETS




Cash 26,277




Receivable for units of the Portfolio sold 474,486



Receivable for variation margin on centrally cleared swap contracts (Note 2) 703,899





LIABILITIES


Payable for purchases of delayed delivery securities (Note 2) 1,047,802




Payable for variation margin on centrally cleared swap contracts (Note 2) 570,540




Collateral on certain derivative contracts, at value (Notes 2 and 8) 201,000


Net assets $993,020,196


Net assets $993,020,196






INVESTMENT INCOME






Securities from unaffiliated issuers (Note 2) 4,280,648

Foreign currency transactions (Note 2) 5,868

Forward currency contracts (Note 2) 133,924

Futures contracts (Note 2) 1,160,047

Swap contracts (Note 2) (528,587)

Total net realized gain 5,051,900





Futures contracts (267,522)









9/30/19

Operations


Net realized gain on investments and foreign currency transactions 5,051,900








NET ASSETS


End of year $993,020,196



Sold 40,030,184

Redeemed (21,119,796)





9/30/19



Net investment income (a) (b) 0.52

Net realized and unrealized gain (loss) on investments (b) 0.34







(b) The ratio of net investment income and net investment income per share amounts shown may not correspond with the expected specific difference due to the timing of income received and the timing of subscriptions/redemption to the Portfolio.



1. Description of the Portfolio Within 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, 2018 through September 30, 2019.

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.
















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.















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.























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) 800













Net assets —Unrealized appreciation

$2,901,915 * Payables $227,268

Foreign exchange contracts Receivables 22,295 Payables 45,205

Equity contracts Receivables, Net assets —Unrealized

appreciation


depreciation

701,784 *

Interest rate contracts Receivables, Net assets —Unrealized

appreciation


depreciation

986,999 *

Total $3,290,125 $1,961,256

* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported after 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 investments

Derivatives not accounted for as hedging instruments under ASC 815 Warrants Futures

Forward currency

contracts Swaps TotalCredit contracts $— $— $— $1,995,766 $1,995,766

Foreign exchange contracts — — 133,924 — 133,924

Equity contracts 17 (1,739,470) — — (1,739,453)

Interest rate contracts — 2,899,517 — (2,524,353) 375,164

Total $17 $1,160,047 $133,924 $(528,587) $765,401

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

contracts Swaps TotalCredit contracts $— $— $— $(157,096) $(157,096)

Foreign exchange contracts — — (6,974) — (6,974)

Equity contracts (64) (226,800) — — (226,864)

Interest rate contracts — (40,722) — (450,184) (490,906)

Total $(64) $(267,522) $(6,974) $(607,280) $(881,840)




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Assets:

Centrally cleared interest rate swap contracts§ $— $— $— $583,169 $— $— $— $—



Centrally cleared credit default contracts§ — — — 120,730 — — — —

Futures contracts§ — 12,490 — — — — — —

Forward currency contracts# 1,063 — 8,069 — 1,848 — — 368

Total Assets $1,063 $12,490 $8,069 $703,899 $1,848 $46,579 $59,585 $14,350

Liabilities:

Centrally cleared interest rate swap contracts§ — — — 570,540 — — — —

OTC Credit default contracts - protection sold*# — — — — — 46,375 44,566 24,389

OTC Credit default contracts - protection purchased*# — — — — — 476 — —

Futures contracts§ — 98,850 — — — — — —

Forward currency contracts# 10,905 — 1,481 — 433 — — 2,107

Total Liabilities $10,905 $98,850 $1,481 $570,540 $433 $46,851 $44,566 $26,496

Total Financial and Derivative Net Assets $(9,842) $(86,360) $6,588 $133,359 $1,415 $(272) $15,019 $(12,146)

Total collateral received (pledged)##† $— $— $— $— $— $— $— $(12,146)

Net amount $(9,842) $(86,360) $6,588 $133,359 $1,415 $(272) $15,019 $—

Controlled collateral received (including TBA commitments)** $— $— $— $— $— $— $— $—


Collateral (pledged) (including TBA commitments)** $— $— $— $— $— $— $— $(29,281)



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Total

$— $— $— $— $— $— $— $— $— $583,169

— — 6,373 194 9,459 — — — — $22,872

— — 153,712 22,796 24,341 — — — — 314,149

— — — — — — — — — 120,730

— — 63 — — — — — — 12,553

5,638 3,814 — — — — 1,250 245 — 22,295

$5,638 $3,814 $160,148 $22,990 $33,800 $— $1,250 $245 $— $1,075,768

— — — — — — — — — 570,540

— — 10,860 22,890 77,060 — — — — 226,140

— — 652 — — — — — — 1,128

— — 19,703 — — — — — — 118,553

8 22,179 — — — 1,558 3,738 — 2,796 45,205

$8 $22,179 $31,215 $22,890 $77,060 $1,558 $3,738 $— $2,796 $961,566

$5,630 $(18,365) $128,933 $100 $(43,260) $(1,558) $(2,488) $245 $(2,796) $114,202

$— $— $128,933 $— $(41,669) $— $— $— $—

$5,630 $(18,365) $— $100 $(1,591) $(1,558) $(2,488) $245 $(2,796)

$— $— $201,000 $— $— $— $— $— $— $201,000

$— $— $— $— $— $— $— $— $— $—

$— $— $(281,550) $— $(41,669) $— $— $— $— $(352,500)



(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 $871,679 and $4,091,485, respectively.



BC3 12/2019


1-800-225-1581

putnam.com

Putnam Money Market Portfolio


Putnam Money Market Portfolio G-2

Table of contentsReport of Independent Auditors ……………………………………… G-3

The fund’s portfolio …………………………………………………… G-4

Statement of assets and liabilities …………………………………… G-8

Statement of operations ……………………………………………… G-9

Statement of changes in net assets …………………………………… G-10

Financial highlights …………………………………………………… G-11

Notes to financial statements ………………………………………… G-12




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 ofSeptember 30, 2019 and the related statements of operations, of changes in net assets and the financialhighlights for the year then ended. These financial statements and financial highlights are hereaftercollectively 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 Money Market Portfolio as of September 30, 2019, 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.


w



REPURCHASE AGREEMENTS (43.9%)* Principal amount Value

Interest in $200,000,000 tri-party repurchase agreement dated 9/30/19 with Bank of Nova Scotia due 10/1/19 — maturity value of $200,012,778 for an effective yield of 2.300% (collateralized by various U.S. Treasury notes and bonds with coupon rates ranging from 0.125% to 3.625% and due dates ranging from 3/31/20 to 2/15/44, valued at $204,013,115) $200,000,000 $200,000,000

Interest in $190,300,000 tri-party repurchase agreement dated 9/30/19 with BNP Paribas due 10/1/19 — maturity value of $190,312,528 for an effective yield of 2.370% (collateralized by various mortgage backed securities and various U.S. Treasury notes with coupon rates ranging from 0.625% to 6.000% and due dates ranging from 7/15/21 to 3/1/48, valued at $194,118,779) 190,300,000 190,300,000

Interest in $213,246,000 joint tri-party repurchase agreement dated 9/30/19 with BofA Securities, Inc. due 10/1/19 — maturity value of $190,484,169 for an effective yield of 2.300% (collateralized by various mortgage backed securities with coupon rates ranging from 3.000% to 5.000% and due dates ranging from 7/20/40 to 9/20/49, valued at $217,510,921) 190,472,000 190,472,000

Interest in $190,300,000 tri-party repurchase agreement dated 9/30/19 with Citigroup Global Markets, Inc. due 10/1/19 — maturity value of $190,312,422 for an effective yield of 2.350% (collateralized by various mortgage backed securities and a U.S. Treasury note with coupon rates ranging from 1.625% to 8.500% and due dates ranging from 7/31/20 to 8/20/69, valued at $194,106,002) 190,300,000 190,300,000

Interest in $190,300,000 tri-party repurchase agreement dated 9/30/19 with Royal Bank of Canada due 10/1/19 — maturity value of $190,312,528 for an effective yield of 2.370% (collateralized by various mortgage backed securities with coupon rates ranging from 2.585% to 4.568% and due dates ranging from 7/1/27 to 1/1/57, valued at $194,118,779) 190,300,000 190,300,000

Total repurchase agreements (cost $961,372,000) $961,372,000

CERTIFICATES OF DEPOSIT (19.3%)* Yield (%) Maturity date Principal amount Value

Australia & New Zealand Banking Group, Ltd./New York, NY FRN 2.434 1/28/20 $16,500,000 $16,500,000

Bank of America, NA 2.560 10/11/19 9,000,000 9,000,000

Bank of America, NA FRN 2.560 11/4/19 19,250,000 19,250,000



Bank of Montreal/Chicago, IL FRN (Canada) 2.269 4/3/20 14,500,000 14,500,000

Bank of Montreal/Chicago, IL FRN (Canada) 2.192 6/1/20 11,750,000 11,750,000

Bank of Nova Scotia/Houston FRN 2.547 11/4/19 9,250,000 9,252,365



Canadian Imperial Bank of Commerce/New York, NY FRN 2.447 12/6/19 16,000,000 16,000,000

Canadian Imperial Bank of Commerce/New York, NY FRN M 2.250 10/9/20 21,000,000 21,000,000

Canadian Imperial Bank of Commerce/New York, NY FRN 2.060 6/12/20 9,750,000 9,750,000

Citibank, NA 2.570 10/21/19 17,000,000 17,000,000

Cooperatieve Rabobank UA/NY FRN (Netherlands) 2.247 6/5/20 21,000,000 21,000,000

Credit Suisse AG/New York, NY FRN 2.262 12/9/19 10,000,000 10,000,299

MUFG Bank, Ltd./New York, NY FRN (Japan) 2.224 2/20/20 20,000,000 20,000,000

Nordea Bank ABP/New York, NY FRN 2.618 10/10/19 18,250,000 18,251,465

Royal Bank of Canada/New York, NY (Canada) 2.630 11/19/19 4,300,000 4,300,694

Royal Bank of Canada/New York, NY FRN (Canada) 2.206 5/22/20 16,250,000 16,250,000

Sumitomo Mitsui Banking Corp./New York FRN (Japan) 2.152 11/7/19 18,750,000 18,749,867

Svenska Handelsbanken/New York, NY FRN (Sweden) 2.187 3/5/20 14,000,000 14,000,000



Toronto-Dominion Bank/NY (Canada) 2.200 1/23/20 10,500,000 10,500,000

Toronto-Dominion Bank/NY FRN (Canada) 2.358 7/22/20 19,250,000 19,250,000

US Bank NA/Cincinnati, OH 2.224 4/1/20 18,500,000 18,500,000

Wells Fargo Bank, NA FRN 2.418 8/10/20 10,500,000 10,500,000


CERTIFICATES OF DEPOSIT (19.3%)* cont. Yield (%) Maturity date Principal amount Value

Wells Fargo Bank, NA FRN 2.262 10/9/19 $9,250,000 $9,250,000

Wells Fargo Bank, NA FRN 2.245 6/12/20 16,250,000 16,250,000

Total certificates of deposit (cost $423,306,028) $423,306,028

COMMERCIAL PAPER (18.2%)* Yield (%) Maturity date Principal amount Value

ABN AMRO Funding USA, LLC 2.207 12/2/19 $16,250,000 $16,188,710

American Honda Finance Corp. 2.183 10/28/19 13,100,000 13,078,680

Canadian Imperial Bank of Commerce (Canada) 2.214 11/4/19 11,000,000 10,977,144

Commonwealth Bank of Australia (Australia) 2.208 3/16/20 20,000,000 19,999,842

DNB Bank ASA (Norway) 2.316 1/23/20 11,500,000 11,500,000

Export Development Canada (Canada) 2.115 10/15/19 20,000,000 19,983,589

HSBC USA, Inc. 2.346 2/5/20 3,000,000 2,975,553

ING (U.S.) Funding LLC 2.324 11/8/19 16,250,000 16,250,000

Lloyds Bank PLC (United Kingdom) 2.344 11/15/19 16,250,000 16,250,000

Mitsubishi UFJ Trust and Banking Corp./Singapore (Singapore) 2.178 11/22/19 21,000,000 20,934,177

National Australia Bank, Ltd. (Australia) 2.384 5/20/20 4,000,000 3,998,742

National Australia Bank, Ltd. (Australia) 2.128 10/22/19 25,000,000 24,969,083

National Bank of Canada (Canada) 2.334 10/11/19 2,500,000 2,500,009

National Bank of Canada (Canada) 2.107 10/21/19 10,000,000 9,988,333

Nationwide Building Society (United Kingdom) 2.164 10/7/19 20,000,000 19,992,800

Nestle Finance International, Ltd. (Switzerland) 2.204 11/1/19 19,000,000 18,964,169

Nestle Finance International, Ltd. (Switzerland) 1.969 2/10/20 14,000,000 13,899,900

NRW.Bank (Germany) 2.263 10/10/19 17,000,000 16,990,438

NRW.Bank (Germany) 2.019 2/20/20 21,000,000 20,834,333

Prudential PLC (United Kingdom) 2.031 11/18/19 9,450,000 9,424,548

Simon Property Group LP 2.133 11/20/19 15,100,000 15,055,539

Skandinaviska Enskilda Banken AB (Sweden) 3.137 10/1/19 16,500,000 16,500,000

Societe Generale SA (France) 2.212 10/15/19 9,500,000 9,491,872

Toronto-Dominion Bank (The) (Canada) 2.166 11/26/19 11,500,000 11,500,113

Total Capital Canada, Ltd. (Canada) 2.233 10/23/19 19,250,000 19,223,884

Toyota Motor Credit Corp. 2.289 3/2/20 21,000,000 21,000,000

UBS AG/London (United Kingdom) 2.384 1/23/20 17,000,000 17,000,568

Total commercial paper (cost $399,472,026) $399,472,026

ASSET-BACKED COMMERCIAL PAPER (14.0%)* Yield (%) Maturity date Principal amount Value

Atlantic Asset Securitization, LLC 2.281 10/4/19 $9,000,000 $8,998,298

Atlantic Asset Securitization, LLC 2.107 11/6/19 10,750,000 10,727,425

Barclays Bank PLC CCP (United Kingdom) 2.313 10/24/19 10,750,000 10,734,203

Barclays Bank PLC CCP (United Kingdom) 2.101 10/2/19 10,500,000 10,499,388

CAFCO, LLC 2.263 10/9/19 8,750,000 8,745,625

Chariot Funding, LLC 2.115 10/4/19 20,000,000 19,996,483

Chariot Funding, LLC 2.064 1/13/20 10,250,000 10,189,297

Collateralized Commercial Paper Co., LLC 2.270 3/11/20 12,500,000 12,500,000

Collateralized Commercial Paper Co., LLC 2.048 1/28/20 20,000,000 19,865,794

Collateralized Commercial Paper FLEX Co., LLC 2.193 1/13/20 12,000,000 11,924,773

CRC Funding, LLC 2.264 10/15/19 8,750,000 8,742,344

Liberty Street Funding, LLC (Canada) 2.226 11/12/19 18,650,000 18,601,914


ASSET-BACKED COMMERCIAL PAPER (14.0%)* cont. Yield (%) Maturity date Principal amount Value

Matchpoint Finance PLC (Ireland) 2.293 10/17/19 $19,375,000 $19,355,367

Matchpoint Finance PLC (Ireland) 2.121 12/12/19 10,750,000 10,704,635

MetLife Short Term Funding, LLC 2.089 11/6/19 19,000,000 18,960,480

MetLife Short Term Funding, LLC 2.009 2/21/20 21,000,000 20,834,001

Old Line Funding, LLC 2.241 10/18/19 15,000,000 14,984,204

Old Line Funding, LLC 2.092 11/20/19 5,000,000 4,985,556

Regency Markets No. 1, LLC 2.084 10/9/19 25,000,000 24,988,444

Thunder Bay Funding, LLC 2.243 10/25/19 20,000,000 19,970,267

Thunder Bay Funding, LLC 2.071 12/5/19 21,000,000 20,921,892

Total asset-backed commercial paper (cost $307,230,390) $307,230,390

U.S. TREASURY OBLIGATIONS (2.4%)* Yield (%) Maturity date Principal amount Value

U.S. Treasury FRN M 2.134 7/31/21 $19,200,000 $19,189,400

U.S. Treasury FRN M 2.053 4/30/21 18,000,000 18,001,103

U.S. Treasury FRN 1.957 7/31/20 16,250,000 16,251,035

Total U.S. treasury obligations (cost $53,441,538) $53,441,538

U.S. GOVERNMENT AGENCY OBLIGATIONS (1.0%)* Yield (%) Maturity date Principal amount Value

Federal Home Loan Banks unsec. FRB M 1.885 2/26/21 $21,175,000 $21,170,351

Total U.S. government agency obligations (cost $21,170,351) $21,170,351

CORPORATE BONDS AND NOTES (0.9%)*Interest rate (%) Maturity date Principal amount Value

Sumitomo Mitsui Banking Corp. company guaranty sr. unsec. FRN (Japan) (BBA LIBOR USD 3 Month + 0.35%), 2.653% 1/17/20 $20,000,000 $20,021,299


TOTAL INVESTMENTS


Key to holding’s currency abbreviationsUSD/$ United States Dollar

Key to holding’s abbreviationsFRB 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.


* Percentages indicated are based on net assets of $2,190,405,851. M This security’s effective maturity date is less than one year.






United States 73.9%Canada 7.8United Kingdom 3.8Japan 2.7Australia 2.2Sweden 2.1Germany 1.7

Switzerland 1.5%Ireland 1.4Netherlands 1.0Singapore 1.0Norway 0.5France 0.4Total 100.0%

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 Portfoilo’s investments. The three levels are defined as follows:



Valuation inputs


Asset-backed commercial paper $— $307,230,390 $—

Certificates of deposit — 423,306,028 —

Commercial paper — 399,472,026 —

Corporate bonds and notes — 20,021,299 —

Repurchase agreements — 961,372,000 —

U.S. government agency obligations — 21,170,351 —

U.S. treasury obligations — 53,441,538 —

Totals by level $— $2,186,013,632 $—





ASSETS


Unaffiliated issuers (at amortized cost) $1,224,641,632

Repurchase agreements (identified cost $961,372,000) 961,372,000

Cash 21,345,201

Interest receivable 1,969,881



LIABILITIES


Payable for units of the Portfolio repurchased 481,411

Distributions payable to unitholders (Note 2) 3,521,654


Net assets $2,190,405,851


Computation of net asset value Class A

Net assets $134,808,479



Computation of net asset value Class P

Net assets $2,055,597,372

Units outstanding 2,055,600,160





INVESTMENT INCOME

Interest $47,943,380







9/30/19

Operations:



Distributions to unitholders (Note 2)

Class A (2,877,929)

Class P (45,065,327)

Increase in principal transactions (Note 4) 373,379,280


NET ASSETS


End of year $2,190,405,851



CLASS A PER-UNIT OPERATING PERFORMANCEYear ended

9/30/19




Net realized and unrealized gain (loss) on investments —


Less Distributions:

From net investment income (0.02)


Total return at net asset value (%)(b) 2.52

RATIOS AND SUPPLEMENTAL DATA

Net assets, end of year (in thousands) $134,808



CLASS P PER-UNIT OPERATING PERFORMANCEYear ended

9/30/19




Net realized and unrealized gain (loss) on investments —


Less Distributions:

From net investment income (0.02)


Total return at net asset value (%)(b) 2.52

RATIOS AND SUPPLEMENTAL DATA

Net assets, end of year (in thousands) $2,055,597



(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 Valuation The 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.

Joint Trading Account The Portfolio may transfer uninvested cash balances into a joint trading account along with the cash of certain other accounts managed by PFTC or its affiliates. These balances may be invested in issues of short-term investments having maturities of up to 90 days. Under these joint accounts, the Portfolio and such other accounts maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties.

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 $980,638,116 at the end of the reporting period, 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). Gains or losses on securities sold are deter-mined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual 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. Principal TransactionsAt the close of the reporting period Principal Transactions were as follows:

Year Ended 9/30/19

Class A Units Amount

Proceeds from sale of units 98,353,799 $98,353,799

Issuance of units from reinvestment of distributions 2,876,870 2,876,870

101,230,669 101,230,669

Value of units redeemed (75,393,678) (75,393,678)

Net increase 25,836,991 $25,836,991

Year Ended 9/30/19

Class P Units Amount

Proceeds from sale of units 4,050,862,970 $4,050,862,970

Issuance of units from reinvestment of distributions — —

4,050,862,970 4,050,862,970

Value of units redeemed (3,703,320,681) (3,703,320,681)

Net increase 347,542,289 $347,542,289

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.


6. Offsetting of Financial Assets and LiabilitiesThe 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 financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

Bank of Nova Scotia

BNP Paribas

BofA Securities, Inc.


Royal Bank of Canada Total

Assets:

Repurchase agreements** $200,000,000 $190,300,000 $190,472,000 $190,300,000 $190,300,000 $961,372,000

Total Assets $200,000,000 $190,300,000 $190,472,000 $190,300,000 $190,300,000 $961,372,000

Liabilities:

Total Liabilities $— $— $— $— $— $—

Total Financial Net Assets $200,000,000 $190,300,000 $190,472,000 $190,300,000 $190,300,000 $961,372,000

Total collateral received (pledged)##† $200,000,000 $190,300,000 $190,472,000 $190,300,000 $190,300,000

Net amount $— $— $— $— $—

Controlled collateral received (including TBA commitments)** $— $— $— $— $— $—

Uncontrolled collateral received $204,013,115 $194,118,779 $194,281,441 $194,106,002 $194,118,779 $980,638,116

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 net assets is not shown. Collateral may include amounts related to unsettled agreements.




BB9 12/2019


1-800-225-1581

putnam.com

319846 1/2020

100 Federal Street

Boston, MA 02110

putnam.com



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