| VT George Putnam Balanced Fund | ||||||
| The fund's portfolio | ||||||
| 3/31/24 (Unaudited) | ||||||
| COMMON STOCKS (61.6%)(a) | ||||||
| Shares | Value | |||||
| Basic materials (2.0%) | ||||||
| Agnico-Eagle Mines, Ltd. (Canada) | 5,883 | $350,795 | ||||
| Anglo American PLC (London Exchange) (United Kingdom) | 6,097 | 150,197 | ||||
| Avery Dennison Corp. | 1,571 | 350,726 | ||||
| Corteva, Inc. | 15,644 | 902,189 | ||||
| CRH PLC (Ireland) | 7,133 | 615,293 | ||||
| DuPont de Nemours, Inc. | 6,258 | 479,801 | ||||
| Eastman Chemical Co. | 3,760 | 376,827 | ||||
| Glencore PLC (United Kingdom) | 58,740 | 322,726 | ||||
| Linde PLC | 468 | 217,302 | ||||
| PPG Industries, Inc. | 2,773 | 401,808 | ||||
| Sherwin-Williams Co. (The) | 2,231 | 774,893 | ||||
| 4,942,557 | ||||||
| Capital goods (2.5%) | ||||||
| Ball Corp. | 6,684 | 450,234 | ||||
| Berry Global Group, Inc. | 3,651 | 220,812 | ||||
| Boeing Co. (The)(NON) | 802 | 154,778 | ||||
| Fortive Corp. | 8,801 | 757,062 | ||||
| Honeywell International, Inc. | 3,931 | 806,838 | ||||
| Howmet Aerospace, Inc. | 6,409 | 438,568 | ||||
| Ingersoll Rand, Inc. | 5,547 | 526,688 | ||||
| Johnson Controls International PLC | 4,539 | 296,487 | ||||
| Northrop Grumman Corp. | 1,597 | 764,420 | ||||
| Otis Worldwide Corp. | 12,257 | 1,216,752 | ||||
| RTX Corp. | 4,550 | 443,762 | ||||
| 6,076,401 | ||||||
| Communication services (0.8%) | ||||||
| American Tower Corp.(R) | 1,349 | 266,549 | ||||
| Charter Communications, Inc. Class A(NON) | 1,800 | 523,134 | ||||
| T-Mobile US, Inc. | 6,972 | 1,137,970 | ||||
| 1,927,653 | ||||||
| Computers (3.5%) | ||||||
| Apple, Inc. | 36,575 | 6,271,881 | ||||
| Seagate Technology Holdings PLC(S) | 22,057 | 2,052,404 | ||||
| 8,324,285 | ||||||
| Conglomerates (0.1%) | ||||||
| General Electric Co. | 1,985 | 348,427 | ||||
| 348,427 | ||||||
| Consumer cyclicals (9.7%) | ||||||
| 4Front Ventures Corp.(NON) | 484,225 | 54,233 | ||||
| Amazon.com, Inc.(NON) | 36,043 | 6,501,436 | ||||
| BJ's Wholesale Club Holdings, Inc.(NON) | 3,052 | 230,884 | ||||
| Booking Holdings, Inc. | 306 | 1,110,131 | ||||
| CarMax, Inc.(NON)(S) | 3,123 | 272,045 | ||||
| General Motors Co. | 5,894 | 267,293 | ||||
| Hertz Global Holdings, Inc.(NON) | 35,272 | 276,180 | ||||
| Hilton Worldwide Holdings, Inc. | 3,553 | 757,890 | ||||
| Home Depot, Inc. (The) | 6,429 | 2,466,164 | ||||
| Levi Strauss & Co. Class A | 9,600 | 191,904 | ||||
| Lululemon Athletica, Inc. (Canada)(NON) | 402 | 157,041 | ||||
| Mastercard, Inc. Class A | 5,399 | 2,599,996 | ||||
| Netflix, Inc.(NON) | 1,303 | 791,351 | ||||
| Nike, Inc. Class B | 1,735 | 163,055 | ||||
| O'Reilly Automotive, Inc.(NON) | 284 | 320,602 | ||||
| On Holding AG Class A (Switzerland)(NON)(S) | 4,061 | 143,678 | ||||
| PulteGroup, Inc. | 13,689 | 1,651,167 | ||||
| Target Corp. | 3,924 | 695,372 | ||||
| Tesla, Inc.(NON) | 7,514 | 1,320,886 | ||||
| TJX Cos., Inc. (The) | 4,964 | 503,449 | ||||
| United Rentals, Inc. | 977 | 704,524 | ||||
| Walmart, Inc. | 25,266 | 1,520,255 | ||||
| Walt Disney Co. (The) | 5,703 | 697,819 | ||||
| 23,397,355 | ||||||
| Consumer staples (3.7%) | ||||||
| Chipotle Mexican Grill, Inc.(NON) | 319 | 927,260 | ||||
| Coca-Cola Co. (The) | 24,631 | 1,506,925 | ||||
| Costco Wholesale Corp. | 1,060 | 776,588 | ||||
| General Mills, Inc. | 5,281 | 369,512 | ||||
| Kenvue, Inc. | 17,587 | 377,417 | ||||
| McDonald's Corp. | 461 | 129,979 | ||||
| PepsiCo, Inc. | 10,859 | 1,900,434 | ||||
| Procter & Gamble Co. (The) | 13,733 | 2,228,179 | ||||
| Uber Technologies, Inc.(NON) | 9,670 | 744,493 | ||||
| 8,960,787 | ||||||
| Electronics (6.2%) | ||||||
| Advanced Micro Devices, Inc.(NON) | 11,316 | 2,042,425 | ||||
| Broadcom, Inc. | 2,119 | 2,808,544 | ||||
| NVIDIA Corp. | 7,708 | 6,964,640 | ||||
| Qualcomm, Inc. | 13,786 | 2,333,970 | ||||
| Vontier Corp. | 18,013 | 817,070 | ||||
| 14,966,649 | ||||||
| Energy (2.7%) | ||||||
| BP PLC (United Kingdom) | 63,995 | 400,383 | ||||
| Cenovus Energy, Inc. (Canada) | 58,870 | 1,176,922 | ||||
| ConocoPhillips | 7,146 | 909,543 | ||||
| Diamond Offshore Drilling, Inc.(NON) | 32,204 | 439,263 | ||||
| Exxon Mobil Corp. | 24,651 | 2,865,432 | ||||
| Shell PLC (United Kingdom) | 19,705 | 652,855 | ||||
| 6,444,398 | ||||||
| Financials (7.3%) | ||||||
| AIA Group, Ltd. (Hong Kong) | 128,600 | 863,424 | ||||
| Apollo Global Management, Inc.(S) | 11,330 | 1,274,059 | ||||
| Assured Guaranty, Ltd. | 18,130 | 1,581,843 | ||||
| AXA SA (France) | 29,485 | 1,107,461 | ||||
| Bank of America Corp. | 43,038 | 1,632,001 | ||||
| Berkshire Hathaway, Inc. Class B(NON) | 2,551 | 1,072,747 | ||||
| BlackRock, Inc. | 232 | 193,418 | ||||
| Capital One Financial Corp. | 5,617 | 836,315 | ||||
| Charles Schwab Corp. (The) | 17,499 | 1,265,878 | ||||
| Citigroup, Inc. | 37,833 | 2,392,559 | ||||
| Gaming and Leisure Properties, Inc.(R) | 19,352 | 891,547 | ||||
| Goldman Sachs Group, Inc. (The) | 2,730 | 1,140,294 | ||||
| KKR & Co., Inc. | 7,949 | 799,510 | ||||
| Prudential PLC (United Kingdom) | 44,593 | 418,183 | ||||
| Quilter PLC (United Kingdom) | 237,926 | 321,619 | ||||
| Visa, Inc. Class A(S) | 4,909 | 1,370,004 | ||||
| Vornado Realty Trust(R) | 12,273 | 353,094 | ||||
| 17,513,956 | ||||||
| Health care (7.7%) | ||||||
| Abbott Laboratories | 3,917 | 445,206 | ||||
| AbbVie, Inc. | 12,574 | 2,289,725 | ||||
| Ascendis Pharma A/S ADR (Denmark)(NON) | 3,857 | 583,063 | ||||
| Bio-Rad Laboratories, Inc. Class A(NON) | 1,015 | 351,058 | ||||
| Boston Scientific Corp.(NON) | 11,588 | 793,662 | ||||
| Cigna Group (The) | 2,000 | 726,380 | ||||
| Danaher Corp. | 2,905 | 725,437 | ||||
| Dexcom, Inc.(NON) | 2,785 | 386,280 | ||||
| Edwards Lifesciences Corp.(NON) | 2,894 | 276,551 | ||||
| Elevance Health, Inc. | 395 | 204,823 | ||||
| Eli Lilly and Co. | 2,297 | 1,786,974 | ||||
| Innoviva, Inc.(NON) | 40,342 | 614,812 | ||||
| Intuitive Surgical, Inc.(NON) | 1,892 | 755,078 | ||||
| Johnson & Johnson | 6,681 | 1,056,867 | ||||
| McKesson Corp. | 2,348 | 1,260,524 | ||||
| Medtronic PLC | 3,671 | 319,928 | ||||
| Merck & Co., Inc. | 9,489 | 1,252,074 | ||||
| Mettler-Toledo International, Inc.(NON) | 140 | 186,381 | ||||
| Regeneron Pharmaceuticals, Inc.(NON) | 447 | 430,233 | ||||
| ResMed, Inc.(S) | 677 | 134,066 | ||||
| Stryker Corp. | 690 | 246,930 | ||||
| Thermo Fisher Scientific, Inc. | 1,750 | 1,017,118 | ||||
| UnitedHealth Group, Inc. | 5,086 | 2,516,044 | ||||
| Zoetis, Inc. | 1,648 | 278,858 | ||||
| 18,638,072 | ||||||
| Software (6.8%) | ||||||
| Adobe, Inc.(NON) | 1,996 | 1,007,182 | ||||
| Microsoft Corp. | 27,397 | 11,526,463 | ||||
| Oracle Corp. | 30,057 | 3,775,460 | ||||
| 16,309,105 | ||||||
| Technology services (5.5%) | ||||||
| Alphabet, Inc. Class A(NON) | 35,927 | 5,422,462 | ||||
| Fair Isaac Corp.(NON) | 602 | 752,265 | ||||
| Meta Platforms, Inc. Class A | 8,913 | 4,327,975 | ||||
| Salesforce, Inc.(NON) | 9,525 | 2,868,740 | ||||
| 13,371,442 | ||||||
| Transportation (1.4%) | ||||||
| Canadian Pacific Kansas City, Ltd. (Canada)(S) | 6,494 | 572,576 | ||||
| FedEx Corp. | 5,409 | 1,567,204 | ||||
| Southwest Airlines Co. | 12,102 | 353,257 | ||||
| Union Pacific Corp. | 3,684 | 906,006 | ||||
| 3,399,043 | ||||||
| Utilities and power (1.7%) | ||||||
| Ameren Corp. | 4,010 | 296,580 | ||||
| CenterPoint Energy, Inc. | 6,725 | 191,595 | ||||
| Exelon Corp. | 17,042 | 640,268 | ||||
| NextEra Energy, Inc. | 11,065 | 707,164 | ||||
| NRG Energy, Inc. | 22,979 | 1,555,449 | ||||
| PG&E Corp. | 25,999 | 435,743 | ||||
| PPL Corp. | 9,702 | 267,096 | ||||
| 4,093,895 | ||||||
| Total common stocks (cost $84,925,946) | $148,714,025 | |||||
| CORPORATE BONDS AND NOTES (14.2%)(a) | ||||||
| Principal amount | Value | |||||
| Basic materials (0.9%) | ||||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.55%, 11/15/30 (Germany) | $65,000 | $68,368 | ||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) | 28,000 | 29,035 | ||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | 142,000 | 144,628 | ||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 3.50%, 5/8/24 (Germany) | 40,000 | 39,906 | ||||
| Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) | 95,000 | 86,607 | ||||
| CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 | 174,000 | 155,698 | ||||
| CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 | 13,000 | 12,677 | ||||
| FMC Corp. sr. unsec. unsub. notes 5.65%, 5/18/33 | 125,000 | 122,926 | ||||
| Georgia-Pacific, LLC 144A sr. unsec. sub. notes 2.10%, 4/30/27 | 200,000 | 183,640 | ||||
| Glencore Finance Canada, Ltd. 144A company guaranty sr. unsec. unsub. notes 6.00%, 11/15/41 (Canada) | 5,000 | 5,013 | ||||
| Glencore Funding, LLC 144A company guaranty sr. unsec. bonds 5.634%, 4/4/34 | 135,000 | 135,361 | ||||
| Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30 | 258,000 | 219,015 | ||||
| Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 | 210,000 | 200,527 | ||||
| International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 | 80,000 | 77,418 | ||||
| International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 | 27,000 | 17,996 | ||||
| International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 | 48,000 | 39,876 | ||||
| Nutrien, Ltd. sr. unsec. notes 4.00%, 12/15/26 (Canada) | 152,000 | 147,356 | ||||
| Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | 87,000 | 83,163 | ||||
| Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51 | 233,000 | 150,881 | ||||
| Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41 | 117,000 | 81,011 | ||||
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 | 140,000 | 159,883 | ||||
| WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 | 10,000 | 11,417 | ||||
| Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32(R) | 24,000 | 27,266 | ||||
| 2,199,668 | ||||||
| Capital goods (0.7%) | ||||||
| BAE Systems PLC 144A sr. unsec. bonds 5.50%, 3/26/54 (United Kingdom) | 200,000 | 201,750 | ||||
| Berry Global, Inc. 144A company guaranty sr. notes 4.875%, 7/15/26 | 8,000 | 7,840 | ||||
| Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 | 135,000 | 122,553 | ||||
| Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 | 152,000 | 142,088 | ||||
| Boeing Co. (The) sr. unsec. bonds 5.805%, 5/1/50 | 40,000 | 37,845 | ||||
| Boeing Co. (The) sr. unsec. notes 2.196%, 2/4/26 | 180,000 | 168,516 | ||||
| Boeing Co. (The) sr. unsec. unsub. bonds 3.375%, 6/15/46 | 40,000 | 26,975 | ||||
| Boeing Co. (The) sr. unsec. unsub. notes 6.125%, 2/15/33 | 140,000 | 142,754 | ||||
| Howmet Aerospace, Inc. sr. unsec. unsub. bonds 5.95%, 2/1/37 | 72,000 | 74,515 | ||||
| Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 | 117,000 | 105,654 | ||||
| Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 | 99,000 | 97,105 | ||||
| Oshkosh Corp. sr. unsec. unsub. notes 3.10%, 3/1/30 | 21,000 | 18,660 | ||||
| RTX Corp. sr. unsec. notes 5.15%, 2/27/33 | 50,000 | 50,095 | ||||
| RTX Corp. sr. unsec. unsub. bonds 6.40%, 3/15/54 | 135,000 | 152,733 | ||||
| Waste Connections, Inc. sr. unsec. bonds 5.00%, 3/1/34 | 70,000 | 69,325 | ||||
| Waste Connections, Inc. sr. unsec. notes 4.25%, 12/1/28 | 166,000 | 161,851 | ||||
| Waste Management, Inc. company guaranty sr. unsec. notes 4.875%, 2/15/29 | 110,000 | 111,029 | ||||
| 1,691,288 | ||||||
| Communication services (1.3%) | ||||||
| American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31(R) | 130,000 | 110,052 | ||||
| American Tower Corp. sr. unsec. notes 3.125%, 1/15/27(R) | 230,000 | 217,466 | ||||
| American Tower Corp. sr. unsec. notes 2.90%, 1/15/30(R) | 130,000 | 114,301 | ||||
| American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27(R) | 66,000 | 61,805 | ||||
| AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 | 175,000 | 161,309 | ||||
| AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 | 172,000 | 137,768 | ||||
| AT&T, Inc. sr. unsec. unsub. bonds 2.25%, 2/1/32 | 147,000 | 119,470 | ||||
| AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 | 12,000 | 10,747 | ||||
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29 | 55,000 | 46,790 | ||||
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 | 111,000 | 102,877 | ||||
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. sr. bonds 3.70%, 4/1/51 | 5,000 | 3,092 | ||||
| Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 | 201,000 | 146,986 | ||||
| Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 | 127,000 | 102,823 | ||||
| Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 | 68,000 | 63,608 | ||||
| Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 | 73,000 | 69,360 | ||||
| Crown Castle, Inc. sr. unsec. bonds 3.80%, 2/15/28(R) | 134,000 | 126,860 | ||||
| Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27(R) | 66,000 | 62,564 | ||||
| Crown Castle, Inc. sr. unsec. notes 4.75%, 5/15/47(R) | 30,000 | 25,703 | ||||
| Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29(R) | 194,000 | 173,674 | ||||
| Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada) | 10,000 | 11,769 | ||||
| Rogers Communications, Inc. company guaranty sr. unsec. notes 5.00%, 2/15/29 (Canada) | 140,000 | 139,028 | ||||
| Rogers Communications, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 3.80%, 3/15/32 (Canada) | 81,000 | 72,795 | ||||
| Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 198,000 | 210,996 | ||||
| T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 | 6,000 | 5,621 | ||||
| T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 | 229,000 | 220,552 | ||||
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.75%, 1/15/54 | 5,000 | 5,178 | ||||
| T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.05%, 7/15/33 | 80,000 | 79,146 | ||||
| Time Warner Cable Enterprises, LLC company guaranty sr. unsub. notes 8.375%, 7/15/33 | 85,000 | 94,867 | ||||
| Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61 | 123,000 | 89,935 | ||||
| Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 | 200,000 | 195,549 | ||||
| Verizon Communications, Inc. sr. unsec. unsub. notes 2.355%, 3/15/32 | 140,000 | 115,051 | ||||
| 3,097,742 | ||||||
| Consumer cyclicals (1.1%) | ||||||
| Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) | 120,000 | 114,600 | ||||
| Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) | 131,000 | 117,956 | ||||
| Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 | 98,000 | 93,403 | ||||
| Amazon.com, Inc. sr. unsec. unsub. bonds 2.70%, 6/3/60 | 174,000 | 107,840 | ||||
| Autonation, Inc. company guaranty sr. unsec. notes 4.50%, 10/1/25 | 13,000 | 12,800 | ||||
| BMW US Capital, LLC 144A company guaranty sr. unsec. notes 3.95%, 8/14/28 | 77,000 | 74,458 | ||||
| Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 | 155,000 | 153,086 | ||||
| Brunswick Corp/DE sr. unsec. notes 5.85%, 3/18/29 | 70,000 | 70,760 | ||||
| Discovery Communications, LLC company guaranty sr. unsec. unsub. notes 3.625%, 5/15/30 | 3,000 | 2,683 | ||||
| Ecolab, Inc. sr. unsec. unsub. notes 3.25%, 12/1/27 | 122,000 | 115,744 | ||||
| Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 | 77,000 | 68,926 | ||||
| Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 | 18,000 | 16,297 | ||||
| Hyundai Capital America 144A sr. unsec. notes 6.375%, 4/8/30 (South Korea) | 14,000 | 14,708 | ||||
| Hyundai Capital America 144A sr. unsec. notes 5.40%, 1/8/31 (South Korea) | 32,000 | 32,127 | ||||
| Hyundai Capital America 144A sr. unsec. notes 5.35%, 3/19/29 (South Korea) | 67,000 | 67,232 | ||||
| Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 | 197,000 | 193,517 | ||||
| Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 | 189,000 | 186,609 | ||||
| Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 | 215,000 | 211,761 | ||||
| Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 74,000 | 75,516 | ||||
| Omnicom Group, Inc./Omnicom Capital, Inc. sr. unsec. unsub. notes 3.60%, 4/15/26 | 42,000 | 40,793 | ||||
| Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29 | 60,000 | 53,880 | ||||
| Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 | 26,000 | 23,781 | ||||
| S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 | 175,000 | 154,930 | ||||
| S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 | 56,000 | 45,240 | ||||
| Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 | 200,000 | 182,081 | ||||
| Tapestry, Inc. company guaranty sr. unsec. notes 7.85%, 11/27/33 | 41,000 | 44,497 | ||||
| Tapestry, Inc. company guaranty sr. unsec. notes 7.70%, 11/27/30 | 54,000 | 57,586 | ||||
| Warnermedia Holdings, Inc. company guaranty sr. unsec. bonds 5.05%, 3/15/42 | 25,000 | 21,487 | ||||
| Warnermedia Holdings, Inc. company guaranty sr. unsec. notes 3.755%, 3/15/27 | 298,000 | 284,390 | ||||
| 2,638,688 | ||||||
| Consumer staples (0.5%) | ||||||
| Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 | 200,000 | 191,855 | ||||
| Campbell Soup Co. sr. unsec. unsub. notes 5.20%, 3/21/29 | 50,000 | 50,240 | ||||
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 | 150,000 | 171,056 | ||||
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 | 87,000 | 88,619 | ||||
| ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 | 130,000 | 128,566 | ||||
| JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg SARL 144A company guaranty sr. unsec. bonds 6.75%, 3/15/34 | 140,000 | 147,101 | ||||
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29 | 135,000 | 119,536 | ||||
| Kenvue, Inc. company guaranty sr. unsec. notes Ser. REGS, 4.90%, 3/22/33 | 210,000 | 209,823 | ||||
| Kenvue, Inc. company guaranty sr. unsec. unsub. notes 5.05%, 3/22/28 | 32,000 | 32,344 | ||||
| Kenvue, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 5.05%, 3/22/53 | 38,000 | 37,212 | ||||
| McDonald's Corp. sr. unsec. unsub. bonds Ser. MTN, 6.30%, 10/15/37 | 80,000 | 87,813 | ||||
| 1,264,165 | ||||||
| Energy (0.5%) | ||||||
| Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 | 200,000 | 190,349 | ||||
| Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 | 70,000 | 59,628 | ||||
| Columbia Pipelines Operating Co., LLC 144A sr. unsec. bonds 6.544%, 11/15/53 | 75,000 | 81,131 | ||||
| Columbia Pipelines Operating Co., LLC 144A sr. unsec. notes 5.927%, 8/15/30 | 70,000 | 71,575 | ||||
| Diamondback Energy, Inc. company guaranty sr. unsec. notes 6.25%, 3/15/33 | 115,000 | 122,600 | ||||
| Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 | 105,000 | 100,656 | ||||
| Occidental Petroleum Corp. sr. unsec. sub. notes 7.50%, 5/1/31 | 235,000 | 261,583 | ||||
| ONEOK, Inc. company guaranty sr. unsec. sub. bonds 6.05%, 9/1/33 | 10,000 | 10,430 | ||||
| ONEOK, Inc. company guaranty sr. unsec. unsub. notes 6.10%, 11/15/32 | 130,000 | 136,200 | ||||
| Ovintiv, Inc. company guaranty sr. unsec. bonds 6.25%, 7/15/33 | 27,000 | 28,072 | ||||
| Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/28 | 35,000 | 35,579 | ||||
| Ovintiv, Inc. company guaranty sr. unsec. notes 5.65%, 5/15/25 | 28,000 | 28,005 | ||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 4.875%, 2/1/31 | 135,000 | 129,234 | ||||
| 1,255,042 | ||||||
| Financials (5.1%) | ||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) | 270,000 | 231,567 | ||||
| Air Lease Corp. sr. unsec. notes Ser. MTN, 3.00%, 2/1/30 | 195,000 | 172,366 | ||||
| Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | 27,000 | 26,269 | ||||
| Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 | 32,000 | 28,940 | ||||
| Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 90,000 | 100,250 | ||||
| American Express Co. sr. unsec. unsub. notes 3.375%, 5/3/24 | 180,000 | 179,616 | ||||
| Aon PLC company guaranty sr. unsec. unsub. notes 4.25%, 12/12/42 | 220,000 | 180,170 | ||||
| Ares Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27 | 40,000 | 41,150 | ||||
| Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 | 205,000 | 198,284 | ||||
| Athene Holding, Ltd. 6.25%, 4/1/54 | 40,000 | 40,624 | ||||
| Athene Holding, Ltd. sr. unsec. bonds 5.875%, 1/15/34 | 164,000 | 164,327 | ||||
| Australia and New Zealand Banking Group, Ltd. 144A unsec. sub. FRB 2.57%, 11/25/35 (Australia) | 200,000 | 163,855 | ||||
| Banco Santander SA sr. unsec. unsub. FRN 1.722%, 9/14/27 (Spain) | 600,000 | 547,263 | ||||
| Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity | 32,000 | 32,088 | ||||
| Bank of America Corp. sr. unsec. FRB 5.468%, 1/23/35 | 40,000 | 40,261 | ||||
| Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.551%, 2/4/28 | 70,000 | 65,066 | ||||
| Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 | 440,000 | 388,990 | ||||
| Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 | 150,000 | 159,314 | ||||
| Bank of Montreal unsec. sub. FRN 3.803%, 12/15/32 (Canada) | 45,000 | 41,979 | ||||
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. bonds 2.85%, 10/15/50 | 30,000 | 20,246 | ||||
| Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 | 83,000 | 75,830 | ||||
| BNP Paribas SA 144A jr. unsec. sub. FRN 4.625%, perpetual maturity (France) | 200,000 | 164,985 | ||||
| BPCE SA 144A unsec. sub. notes 5.15%, 7/21/24 (France) | 200,000 | 199,157 | ||||
| Capital One Financial Corp. sr. unsec. unsub. FRN 7.624%, 10/30/31 | 37,000 | 40,866 | ||||
| Capital One Financial Corp. sr. unsec. unsub. notes 3.75%, 3/9/27 | 142,000 | 136,289 | ||||
| Capital One Financial Corp. unsec. sub. notes 4.20%, 10/29/25 | 63,000 | 61,578 | ||||
| Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity | 137,000 | 129,297 | ||||
| Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 | 10,000 | 9,505 | ||||
| Citigroup, Inc. sr. unsec. FRN 5.61%, 9/29/26 | 265,000 | 265,422 | ||||
| Citigroup, Inc. sub. unsec. bonds 6.174%, 5/25/34 | 37,000 | 37,573 | ||||
| Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 | 270,000 | 239,765 | ||||
| Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 | 264,000 | 256,818 | ||||
| CNA Financial Corp. sr. unsec. notes 5.125%, 2/15/34 | 80,000 | 77,835 | ||||
| CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 | 28,000 | 27,847 | ||||
| Commonwealth Bank of Australia 144A unsec. sub. notes 5.837%, 3/13/34 (Australia) | 215,000 | 216,263 | ||||
| Corebridge Financial, Inc. sr. unsec. notes 3.85%, 4/5/29 | 95,000 | 88,823 | ||||
| Deutsche Bank AG/New York, NY sr. unsec. unsub. FRN 2.311%, 11/16/27 (Germany) | 150,000 | 137,139 | ||||
| Deutsche Bank AG/New York, NY unsec. sub. FRB 3.729%, 1/14/32 (Germany) | 225,000 | 189,503 | ||||
| EPR Properties company guaranty sr. unsec. unsub. notes 4.50%, 6/1/27(R) | 32,000 | 30,443 | ||||
| Extra Space Storage LP company guaranty sr. unsec. notes 5.90%, 1/15/31(R) | 170,000 | 175,882 | ||||
| Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) | 145,000 | 143,161 | ||||
| Fidelity National Financial, Inc. sr. unsec. bonds 3.20%, 9/17/51 | 72,000 | 45,927 | ||||
| Fifth Third Bancorp sr. unsec. unsub. FRN 6.339%, 7/27/29 | 100,000 | 103,087 | ||||
| First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 | 157,000 | 161,253 | ||||
| Ford Motor Co. sr. unsec. unsub. notes 5.80%, 3/5/27 | 200,000 | 200,740 | ||||
| General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 | 40,000 | 38,784 | ||||
| General Motors Financial Co., Inc. sr. unsec. notes 6.40%, 1/9/33 | 115,000 | 120,512 | ||||
| General Motors Financial Co., Inc. sr. unsec. notes 1.25%, 1/8/26 | 47,000 | 43,738 | ||||
| General Motors Financial Co., Inc. sr. unsec. sub. notes 1.50%, 6/10/26 | 40,000 | 36,794 | ||||
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. bonds 3.25%, 1/15/32(R) | 65,000 | 54,719 | ||||
| GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. sub. notes 6.75%, 12/1/33(R) | 95,000 | 100,126 | ||||
| Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51 | 26,000 | 23,747 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 | 97,000 | 93,366 | ||||
| Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 5.70%, 11/1/24 | 185,000 | 185,072 | ||||
| Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40 | 127,000 | 91,365 | ||||
| Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32 | 63,000 | 49,126 | ||||
| Intercontinental Exchange, Inc. sr. unsec. notes 4.35%, 6/15/29 | 63,000 | 61,311 | ||||
| Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy) | 220,000 | 183,930 | ||||
| Jefferies Financial Group, Inc. sr. unsec. notes 6.05%, 3/12/25 | 125,000 | 125,132 | ||||
| JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity | 26,000 | 26,010 | ||||
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity | 146,000 | 143,535 | ||||
| JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (CME Term SOFR 3 Month + 1.26%), 6.569%, 5/15/47 | 87,000 | 77,429 | ||||
| JPMorgan Chase & Co. jr. unsec. sub. FRN 3.65%, perpetual maturity | 26,000 | 24,693 | ||||
| JPMorgan Chase & Co. sr. unsec. unsub. FRN 3.782%, 2/1/28 | 324,000 | 312,026 | ||||
| JPMorgan Chase & Co. unsec. sub. FRB 5.717%, 9/14/33 | 185,000 | 188,693 | ||||
| KKR Group Finance Co. VI, LLC 144A company guaranty sr. unsec. bonds 3.75%, 7/1/29 | 25,000 | 23,329 | ||||
| LPL Holdings, Inc. company guaranty sr. unsec. notes 6.75%, 11/17/28 | 67,000 | 70,170 | ||||
| Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 | 185,000 | 181,954 | ||||
| Massachusetts Mutual Life Insurance Co. 144A unsec. sub. bonds 3.729%, 10/15/70 | 175,000 | 118,550 | ||||
| MetLife Capital Trust IV 144A jr. unsec. sub. notes 7.875%, 12/15/37 | 400,000 | 428,848 | ||||
| Morgan Stanley sr. unsec. notes 5.123%, 2/1/29 | 105,000 | 104,744 | ||||
| Morgan Stanley sr. unsec. sub. bonds 5.942%, 2/7/39 | 105,000 | 104,367 | ||||
| Morgan Stanley unsec. sub. notes Ser. GMTN, 4.35%, 9/8/26 | 450,000 | 440,286 | ||||
| Nasdaq, Inc. sr. unsec. bonds 5.95%, 8/15/53 | 26,000 | 27,399 | ||||
| Nasdaq, Inc. sr. unsec. sub. bonds 5.55%, 2/15/34 | 24,000 | 24,405 | ||||
| NatWest Group PLC sr. unsec. unsub. FRN 5.847%, 3/2/27 (United Kingdom) | 200,000 | 200,401 | ||||
| Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 | 40,000 | 32,300 | ||||
| PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 | 365,000 | 340,385 | ||||
| Prologis LP sr. unsec. unsub. FRN 5.00%, 3/15/34(R) | 65,000 | 64,615 | ||||
| Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30(R) | 62,000 | 53,737 | ||||
| Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27(R) | 26,000 | 23,942 | ||||
| Prudential Financial, Inc. sr. unsec. notes 6.625%, 6/21/40 | 35,000 | 39,036 | ||||
| Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) | 35,000 | 34,593 | ||||
| Societe Generale SA 144A jr. unsec. sub. FRB 10.00%, 11/14/73 (France) | 200,000 | 212,000 | ||||
| Teachers Insurance & Annuity Association of America 144A unsec. sub. notes 6.85%, 12/16/39 | 40,000 | 45,456 | ||||
| Toronto-Dominion Bank (The) sr. unsec. notes 4.108%, 6/8/27 (Canada) | 76,000 | 73,979 | ||||
| Truist Financial Corp. sr. unsec. unsub. FRB Ser. MTN, 5.711%, 1/24/35 | 130,000 | 130,561 | ||||
| UBS AG unsec. sub. notes 5.125%, 5/15/24 (Switzerland) | 360,000 | 359,212 | ||||
| UBS Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) | 250,000 | 239,685 | ||||
| US Bancorp unsec. sub. FRB 2.491%, 11/3/36 | 225,000 | 177,020 | ||||
| VICI Properties LP sr. unsec. unsub. bonds 5.75%, 4/1/34 | 105,000 | 104,011 | ||||
| VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28(R) | 95,000 | 92,644 | ||||
| VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27(R) | 35,000 | 33,171 | ||||
| Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity | 80,000 | 76,114 | ||||
| Westpac Banking Corp. unsec. sub. bonds 4.421%, 7/24/39 (Australia) | 85,000 | 74,834 | ||||
| Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia) | 79,000 | 55,756 | ||||
| 12,005,225 | ||||||
| Health care (1.1%) | ||||||
| AbbVie, Inc. sr. unsec. bonds 5.40%, 3/15/54 | 104,000 | 107,047 | ||||
| AbbVie, Inc. sr. unsec. bonds 5.05%, 3/15/34 | 41,000 | 41,508 | ||||
| AbbVie, Inc. sr. unsec. notes 4.95%, 3/15/31 | 145,000 | 146,035 | ||||
| Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 | 83,000 | 73,513 | ||||
| Amgen, Inc. sr. unsec. unsub. bonds 5.75%, 3/2/63 | 90,000 | 91,795 | ||||
| Amgen, Inc. sr. unsec. unsub. bonds 5.65%, 3/2/53 | 48,000 | 48,556 | ||||
| Amgen, Inc. sr. unsec. unsub. notes 5.25%, 3/2/30 | 98,000 | 99,348 | ||||
| Becton, Dickinson and Co. sr. unsec. notes 2.823%, 5/20/30 | 110,000 | 97,063 | ||||
| Bristol-Myers Squibb Co. sr. unsec. notes 5.20%, 2/22/34 | 233,000 | 236,571 | ||||
| Bristol-Myers Squibb Co. sr. unsec. notes 4.90%, 2/22/29 | 32,000 | 32,135 | ||||
| CVS Pass-Through Trust 144A sr. mtge. notes 7.507%, 1/10/32 | 93,179 | 96,467 | ||||
| CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 | 9,928 | 9,080 | ||||
| DH Europe Finance II SARL company guaranty sr. unsec. notes 2.60%, 11/15/29 (Luxembourg) | 80,000 | 71,424 | ||||
| Eli Lilly and Co. sr. unsec. unsub. bonds 4.875%, 2/27/53 | 55,000 | 53,709 | ||||
| GE Healthcare Holding, LLC company guaranty sr. unsec. notes 5.65%, 11/15/27 | 100,000 | 101,828 | ||||
| HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 | 67,000 | 66,805 | ||||
| HCA, Inc. company guaranty sr. unsec. bonds 6.00%, 4/1/54 | 80,000 | 81,199 | ||||
| HCA, Inc. company guaranty sr. unsec. bonds 5.60%, 4/1/34 | 60,000 | 60,415 | ||||
| HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 58,000 | 57,986 | ||||
| HCA, Inc. company guaranty sr. unsec. sub. notes 3.625%, 3/15/32 | 35,000 | 30,983 | ||||
| HCA, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 2/1/25 | 10,000 | 9,971 | ||||
| Humana, Inc. sr. unsec. unsub. bonds 5.50%, 3/15/53 | 30,000 | 29,198 | ||||
| Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 | 130,000 | 132,830 | ||||
| Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 5.30%, 5/19/53 (Singapore) | 90,000 | 89,481 | ||||
| Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.75%, 5/19/33 (Singapore) | 126,000 | 124,058 | ||||
| Pfizer Investment Enterprises PTE, Ltd. company guaranty sr. unsec. notes 4.45%, 5/19/28 (Singapore) | 74,000 | 72,947 | ||||
| Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 30,000 | 28,993 | ||||
| Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | 20,000 | 17,321 | ||||
| Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 | 165,000 | 146,183 | ||||
| Thermo Fisher Scientific, Inc. sr. unsec. notes 4.80%, 11/21/27 | 210,000 | 210,194 | ||||
| Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 | 75,000 | 68,102 | ||||
| Wyeth, LLC company guaranty sr. unsec. bonds 5.95%, 4/1/37 | 50,000 | 54,015 | ||||
| Zoetis, Inc. sr. unsec. sub. notes 3.00%, 9/12/27 | 90,000 | 84,329 | ||||
| Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 | 39,000 | 32,862 | ||||
| 2,703,951 | ||||||
| Technology (1.3%) | ||||||
| Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 | 84,000 | 79,061 | ||||
| Apple, Inc. sr. unsec. bonds 3.95%, 8/8/52 | 138,000 | 116,309 | ||||
| Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 | 150,000 | 138,472 | ||||
| Broadcom, Inc. company guaranty sr. unsec. bonds 4.15%, 11/15/30 | 152,000 | 143,729 | ||||
| Broadcom, Inc. 144A sr. unsec. bonds 4.926%, 5/15/37 | 345,000 | 327,428 | ||||
| Broadcom, Inc. 144A sr. unsec. bonds 3.187%, 11/15/36 | 72,000 | 57,301 | ||||
| Cisco Systems, Inc. sr. unsec. bonds 5.30%, 2/26/54 | 98,000 | 100,596 | ||||
| Cisco Systems, Inc. sr. unsec. notes 5.05%, 2/26/34 | 137,000 | 138,845 | ||||
| Dell International, LLC/EMC Corp. company guaranty sr. bonds 8.35%, 7/15/46 | 3,000 | 3,880 | ||||
| Marvell Technology, Inc. sr. unsec. notes 5.95%, 9/15/33 | 100,000 | 103,631 | ||||
| Marvell Technology, Inc. sr. unsec. notes 5.75%, 2/15/29 | 100,000 | 102,351 | ||||
| Meta Platforms, Inc. sr. unsec. bonds 5.75%, 5/15/63 | 55,000 | 58,962 | ||||
| Meta Platforms, Inc. sr. unsec. bonds 5.60%, 5/15/53 | 264,000 | 279,031 | ||||
| Meta Platforms, Inc. sr. unsec. notes 4.95%, 5/15/33 | 70,000 | 70,853 | ||||
| Meta Platforms, Inc. sr. unsec. unsub. bonds 4.45%, 8/15/52 | 108,000 | 95,995 | ||||
| Meta Platforms, Inc. sr. unsec. unsub. notes 3.50%, 8/15/27 | 60,000 | 57,728 | ||||
| Micron Technology, Inc. sr. unsec. unsub. notes 5.875%, 9/15/33 | 185,000 | 191,803 | ||||
| Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 | 66,000 | 62,640 | ||||
| Motorola Solutions, Inc. sr. unsec. unsub. bonds 5.40%, 4/15/34 | 70,000 | 69,862 | ||||
| MSCI, Inc. 144A company guaranty sr. unsec. notes 3.625%, 9/1/30 | 201,000 | 178,404 | ||||
| Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 | 50,000 | 38,097 | ||||
| Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 | 225,000 | 176,669 | ||||
| Oracle Corp. sr. unsec. notes 1.65%, 3/25/26 | 180,000 | 167,999 | ||||
| salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 | 68,000 | 44,351 | ||||
| salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 | 185,000 | 124,791 | ||||
| Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 | 170,000 | 147,050 | ||||
| ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 | 200,000 | 161,818 | ||||
| 3,237,656 | ||||||
| Transportation (0.2%) | ||||||
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 | 86,000 | 81,812 | ||||
| Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 | 260,000 | 253,086 | ||||
| Westinghouse Air Brake Technologies Corp. company guaranty sr. unsec. unsub. bonds 5.611%, 3/11/34 | 190,000 | 192,458 | ||||
| 527,356 | ||||||
| Utilities and power (1.5%) | ||||||
| AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31 | 135,000 | 110,451 | ||||
| Alexander Funding Trust II 144A sr. notes 7.467%, 7/31/28 | 100,000 | 105,730 | ||||
| American Electric Power Co., Inc. sr. unsec. unsub. bonds 5.625%, 3/1/33 | 55,000 | 55,749 | ||||
| American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 | 66,000 | 63,824 | ||||
| American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 | 50,000 | 41,393 | ||||
| Appalachian Power Co. sr. unsec. unsub. notes Ser. L, 5.80%, 10/1/35 | 60,000 | 60,618 | ||||
| Commonwealth Edison Co. sr. mtge. bonds 5.875%, 2/1/33 | 15,000 | 15,525 | ||||
| Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 | 40,000 | 34,024 | ||||
| Constellation Energy Generation, LLC sr. unsec. bonds 6.50%, 10/1/53 | 149,000 | 163,891 | ||||
| Constellation Energy Generation, LLC sr. unsec. bonds 6.125%, 1/15/34 | 61,000 | 64,410 | ||||
| Constellation Energy Generation, LLC sr. unsec. bonds 5.75%, 3/15/54 | 61,000 | 61,102 | ||||
| Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 | 65,000 | 61,738 | ||||
| El Paso Natural Gas Co., LLC company guaranty sr. unsec. unsub. notes 8.375%, 6/15/32 | 75,000 | 86,231 | ||||
| Electricite De France SA 144A sr. unsec. unsub. bonds 4.75%, 10/13/35 (France) | 150,000 | 139,070 | ||||
| Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) | 42,000 | 41,152 | ||||
| Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 257,000 | 240,013 | ||||
| Energy Transfer LP sr. unsec. unsub. notes 6.50%, 2/1/42 | 20,000 | 21,211 | ||||
| Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 | 230,000 | 206,149 | ||||
| Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 | 65,000 | 55,625 | ||||
| Eversource Energy sr. unsec. unsub. notes 5.45%, 3/1/28 | 60,000 | 60,741 | ||||
| Eversource Energy sr. unsec. unsub. notes 5.125%, 5/15/33 | 140,000 | 137,178 | ||||
| Exelon Corp. sr. unsec. unsub. bonds 5.45%, 3/15/34 | 95,000 | 95,639 | ||||
| Georgia Power Co. sr. unsec. unsub. bonds 5.25%, 3/15/34 | 95,000 | 95,959 | ||||
| Georgia Power Co. sr. unsec. unsub. notes 4.95%, 5/17/33 | 120,000 | 118,317 | ||||
| IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 | 116,000 | 107,928 | ||||
| IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 | 35,000 | 34,988 | ||||
| Kinder Morgan Energy Partners LP company guaranty sr. unsec. notes 5.40%, 9/1/44 | 16,000 | 14,878 | ||||
| Kinder Morgan, Inc. company guaranty sr. unsec. notes Ser. GMTN, 7.75%, 1/15/32 | 55,000 | 62,417 | ||||
| NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.051%, 3/1/25 | 110,000 | 110,418 | ||||
| NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 80,000 | 79,575 | ||||
| NRG Energy, Inc. 144A sr. notes 2.45%, 12/2/27 | 114,000 | 102,470 | ||||
| Oncor Electric Delivery Co., LLC sr. FRB 4.95%, 9/15/52 | 115,000 | 108,119 | ||||
| Oncor Electric Delivery Co., LLC sr. notes 5.75%, 3/15/29 | 55,000 | 56,870 | ||||
| Pacific Gas and Electric Co. notes 2.10%, 8/1/27 | 30,000 | 27,011 | ||||
| Pacific Gas and Electric Co. sr. bonds 5.90%, 6/15/32 | 68,000 | 69,161 | ||||
| Pacific Gas and Electric Co. sr. bonds 4.95%, 7/1/50 | 70,000 | 60,213 | ||||
| Pacific Gas and Electric Co. sr. notes 5.55%, 5/15/29 | 35,000 | 35,306 | ||||
| Pacific Gas and Electric Co. sr. notes 3.30%, 12/1/27 | 130,000 | 120,800 | ||||
| PacifiCorp sr. bonds 2.70%, 9/15/30 | 86,000 | 74,430 | ||||
| Puget Sound Energy, Inc. sr. bonds 5.448%, 6/1/53 | 75,000 | 74,519 | ||||
| Sempra Energy sr. unsec. unsub. bonds 5.50%, 8/1/33 | 75,000 | 75,201 | ||||
| Southern Co. (The) sr. unsec. bonds 5.70%, 3/15/34 | 105,000 | 108,291 | ||||
| Southern Co. (The) sr. unsec. notes 5.50%, 3/15/29 | 15,000 | 15,285 | ||||
| Sunoco Logistics Partners Operations LP company guaranty sr. unsec. unsub. notes 5.95%, 12/1/25 | 25,000 | 25,160 | ||||
| Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 | 58,000 | 54,395 | ||||
| Vistra Operations Co., LLC 144A sr. bonds 6.95%, 10/15/33 | 85,000 | 90,726 | ||||
| 3,643,901 | ||||||
| Total corporate bonds and notes (cost $35,996,974) | $34,264,682 | |||||
| U.S. TREASURY OBLIGATIONS (12.0%)(a) | ||||||
| Principal amount | Value | |||||
| U.S. Treasury Bonds | ||||||
| 3.625%, 2/15/53 | $1,770,000 | $1,554,281 | ||||
| 3.00%, 2/15/49 | 2,080,000 | 1,621,669 | ||||
| 3.00%, 2/15/47 | 2,010,000 | 1,580,889 | ||||
| 2.75%, 8/15/42(SEG) | 3,000,000 | 2,354,476 | ||||
| 1.875%, 2/15/51 | 1,350,000 | 813,270 | ||||
| U.S. Treasury Notes | ||||||
| 2.75%, 8/15/32 | 3,660,000 | 3,282,705 | ||||
| 2.625%, 4/15/25(i) | 125,000 | 123,494 | ||||
| 2.25%, 11/15/27 | 2,340,000 | 2,176,570 | ||||
| 1.875%, 2/28/27 | 2,800,000 | 2,605,313 | ||||
| 1.625%, 5/15/31 | 1,110,000 | 935,435 | ||||
| 1.625%, 9/30/26 | 2,420,000 | 2,257,312 | ||||
| 1.625%, 5/15/26 | 2,330,000 | 2,189,927 | ||||
| 1.625%, 2/15/26 | 3,090,000 | 2,921,800 | ||||
| 1.50%, 2/15/30 | 760,000 | 653,392 | ||||
| 1.375%, 11/15/31 | 370,000 | 302,215 | ||||
| 1.125%, 2/28/25 | 1,000,000 | 964,932 | ||||
| 0.50%, 4/30/27 | 3,000,000 | 2,664,961 | ||||
| Total U.S. treasury obligations (cost $31,620,132) | $29,002,641 | |||||
| U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (9.5%)(a) | ||||||
| Principal amount | Value | |||||
| U.S. Government Guaranteed Mortgage Obligations (1.9%) | ||||||
| Government National Mortgage Association Pass-Through Certificates | ||||||
| 4.50%, 3/20/49 | $412,382 | $400,497 | ||||
| 3.50%, TBA, 4/1/54 | 1,000,000 | 909,884 | ||||
| 3.50%, with due dates from 11/20/47 to 4/20/51 | 729,632 | 656,892 | ||||
| 3.00%, with due dates from 7/20/46 to 11/20/46 | 2,141,739 | 1,919,395 | ||||
| 2.00%, 1/20/51 | 811,481 | 645,959 | ||||
| 4,532,627 | ||||||
| U.S. Government Agency Mortgage Obligations (7.6%) | ||||||
| Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||||||
| 5.50%, with due dates from 9/1/53 to 11/1/53 | 891,869 | 890,977 | ||||
| 2.50%, with due dates from 7/1/50 to 1/1/52 | 1,164,392 | 977,288 | ||||
| Federal National Mortgage Association Pass-Through Certificates | ||||||
| 6.00%, 10/1/53 | 995,471 | 1,013,842 | ||||
| 5.50%, with due dates from 7/1/33 to 9/1/53 | 153,209 | 154,333 | ||||
| 5.00%, with due dates from 8/1/33 to 10/1/52 | 909,675 | 892,202 | ||||
| 4.50%, 2/1/49 | 492,198 | 478,480 | ||||
| 3.50%, with due dates from 11/1/49 to 12/1/49 | 664,520 | 603,119 | ||||
| 3.00%, with due dates from 6/1/46 to 8/1/51 | 1,780,360 | 1,560,005 | ||||
| 2.50%, with due dates from 7/1/50 to 4/1/52 | 3,236,241 | 2,697,625 | ||||
| 2.50%, 2/1/36 | 170,140 | 155,880 | ||||
| 2.00%, with due dates from 10/1/50 to 4/1/52 | 3,098,430 | 2,469,485 | ||||
| Uniform Mortgage-Backed Securities | ||||||
| 5.00%, TBA, 4/1/54 | 2,000,000 | 1,952,031 | ||||
| 4.50%, TBA, 4/1/54 | 2,000,000 | 1,904,453 | ||||
| 4.00%, TBA, 4/1/54 | 1,000,000 | 926,016 | ||||
| 2.50%, TBA, 4/1/54 | 1,000,000 | 826,602 | ||||
| 2.00%, TBA, 4/1/54 | 1,000,000 | 791,147 | ||||
| 18,293,485 | ||||||
| Total U.S. government and agency mortgage obligations (cost $24,364,751) | $22,826,112 | |||||
| MORTGAGE-BACKED SECURITIES (0.3%)(a) | ||||||
| Principal amount | Value | |||||
| Citigroup Commercial Mortgage Trust Ser. 14-GC21, Class C, 4.78%, 5/10/47(WAC) | $124,000 | $118,243 | ||||
| COMM Mortgage Trust FRB Ser. 14-UBS6, Class C, 4.427%, 12/10/47(WAC) | 20,000 | 17,771 | ||||
| CSAIL Commercial Mortgage Trust Ser. 19-C17, Class AS, 3.278%, 9/15/52 | 215,000 | 186,658 | ||||
| Morgan Stanley Bank of America Merrill Lynch Trust Ser. 16-C28, Class A4, 3.544%, 1/15/49 | 340,000 | 326,442 | ||||
| Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class D, 5.164%, 3/15/45(WAC) | 45,764 | 42,847 | ||||
| TIAA Real Estate CDO, Ltd. 144A Ser. 03-1A, Class E, 8.00%, 12/28/38 (In default)(NON) | 220,229 | 2 | ||||
| WF-RBS Commercial Mortgage Trust 144A FRB Ser. 11-C3, Class D, 5.855%, 3/15/44 (In default)(NON)(WAC) | 20,645 | 6,135 | ||||
| Total mortgage-backed securities (cost $895,896) | $698,098 | |||||
| PURCHASED OPTIONS OUTSTANDING (0.1%)(a) | ||||||
| Counterparty | Expiration date/ strike price | Notional amount | Contract amount | Value | ||
| Citibank, N.A. | ||||||
| Oracle Corp. (Call) | Jan-25/$140.00 | $4,759,740 | $37,893 | $318,368 | ||
| UBS AG | ||||||
| BP PLC (Call) | Jun-24/45.00 | 259,314 | 6,882 | 259 | ||
| Hertz Global Holdings, Inc. (Call) | Jun-24/25.00 | 104,170 | 13,304 | 133 | ||
| Total purchased options outstanding (cost $153,802) | $318,760 | |||||
| MUNICIPAL BONDS AND NOTES (0.1%)(a) | ||||||
| Principal amount | Value | |||||
| CA State G.O. Bonds, (Build America Bonds), 7.50%, 4/1/34 | Aa2 | $30,000 | $35,315 | |||
| North TX, Tollway Auth. Rev. Bonds, (Build America Bonds), 6.718%, 1/1/49 | Aa3 | 55,000 | 65,100 | |||
| OH State U. Rev. Bonds, (Build America Bonds), 4.91%, 6/1/40 | Aa1 | 40,000 | 39,517 | |||
| Total municipal bonds and notes (cost $125,135) | $139,932 | |||||
| SHORT-TERM INVESTMENTS (7.0%)(a) | ||||||
| Principal amount/shares | Value | |||||
| Putnam Cash Collateral Pool, LLC 5.57%(AFF) | Shares | 4,734,250 | $4,734,250 | |||
| Putnam Short Term Investment Fund Class P 5.50%(AFF) | Shares | 12,244,567 | 12,244,567 | |||
| Total short-term investments (cost $16,978,817) | $16,978,817 | |||||
| TOTAL INVESTMENTS | ||||||
| Total investments (cost $195,061,453) | $252,943,067 | |||||
| FORWARD CURRENCY CONTRACTS at 3/31/24 (aggregate face value $7,724,001) (Unaudited) | |||||||
| Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) | |
| Bank of America N.A. | |||||||
| British Pound | Sell | 6/20/24 | $489,790 | $492,501 | $2,711 | ||
| Canadian Dollar | Sell | 4/17/24 | 16,393 | 16,644 | 251 | ||
| Hong Kong Dollar | Buy | 5/16/24 | 44,126 | 44,159 | (33) | ||
| Barclays Bank PLC | |||||||
| British Pound | Sell | 6/20/24 | 886,263 | 891,261 | 4,998 | ||
| Canadian Dollar | Sell | 4/17/24 | 407,832 | 414,118 | 6,286 | ||
| Euro | Sell | 6/20/24 | 304,006 | 306,076 | 2,070 | ||
| Citibank, N.A. | |||||||
| Canadian Dollar | Sell | 4/17/24 | 479,090 | 486,253 | 7,163 | ||
| Euro | Sell | 6/20/24 | 445,348 | 448,341 | 2,993 | ||
| Goldman Sachs International | |||||||
| British Pound | Sell | 6/20/24 | 573,253 | 576,439 | 3,186 | ||
| Euro | Sell | 6/20/24 | 212,339 | 213,764 | 1,425 | ||
| Hong Kong Dollar | Sell | 5/16/24 | 50,997 | 51,064 | 67 | ||
| HSBC Bank USA, National Association | |||||||
| Danish Krone | Sell | 6/20/24 | 349,350 | 353,143 | 3,793 | ||
| Hong Kong Dollar | Sell | 5/16/24 | 722,512 | 723,929 | 1,417 | ||
| JPMorgan Chase Bank N.A. | |||||||
| British Pound | Sell | 6/20/24 | 205,058 | 206,181 | 1,123 | ||
| Canadian Dollar | Sell | 4/17/24 | 268,048 | 272,131 | 4,083 | ||
| Morgan Stanley & Co. International PLC | |||||||
| British Pound | Sell | 6/20/24 | 289,783 | 291,535 | 1,752 | ||
| Canadian Dollar | Buy | 4/17/24 | 67,639 | 67,631 | 8 | ||
| Euro | Buy | 6/20/24 | 33,550 | 33,700 | (150) | ||
| NatWest Markets PLC | |||||||
| Canadian Dollar | Sell | 4/17/24 | 42,386 | 42,661 | 275 | ||
| State Street Bank and Trust Co. | |||||||
| British Pound | Buy | 6/20/24 | 8,712 | 8,828 | (116) | ||
| Canadian Dollar | Sell | 4/17/24 | 11,741 | 11,719 | (22) | ||
| Hong Kong Dollar | Sell | 5/16/24 | 296,960 | 297,593 | 633 | ||
| Toronto-Dominion Bank | |||||||
| Euro | Sell | 6/20/24 | 269,915 | 271,748 | 1,833 | ||
| UBS AG | |||||||
| Canadian Dollar | Sell | 4/17/24 | 374,898 | 380,457 | 5,559 | ||
| Euro | Sell | 6/20/24 | 330,413 | 332,591 | 2,178 | ||
| WestPac Banking Corp. | |||||||
| Canadian Dollar | Sell | 4/17/24 | 482,265 | 489,534 | 7,269 | ||
| Unrealized appreciation | 61,073 | ||||||
| Unrealized (depreciation) | (321) | ||||||
| Total | $60,752 | ||||||
| * | The exchange currency for all contracts listed is the United States Dollar. | ||||||
| FUTURES CONTRACTS OUTSTANDING at 3/31/24 (Unaudited) | ||||||
| Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation | ||
| S&P 500 Index E-Mini (Long) | 6 | $1,576,305 | $1,592,550 | Jun-24 | $29,886 | |
| Unrealized appreciation | 29,886 | |||||
| Unrealized (depreciation) | — | |||||
| Total | $29,886 | |||||
| WRITTEN OPTIONS OUTSTANDING at 3/31/24 (premiums $87,927) (Unaudited) | ||||||
| Counterparty | Expiration date/ strike price | Notional amount | Contract amount | Value | ||
| Citibank, N.A. | ||||||
| Oracle Corp. (Call) | Jan-25/$150.00 | $4,759,740 | $37,893 | $211,505 | ||
| UBS AG | ||||||
| BP PLC (Call) | Jun-24/50.00 | 259,314 | 6,882 | 26 | ||
| Hertz Global Holdings, Inc. (Call) | Jun-24/30.00 | 104,170 | 13,304 | 49 | ||
| Total | $211,580 | |||||
| Key to holding's abbreviations | ||||||
| ADR | American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank. | |||||
| CME | Chicago Mercantile Exchange | |||||
| DAC | Designated Activity Company | |||||
| FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
| FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | |||||
| GMTN | Global Medium Term Notes | |||||
| G.O. Bonds | General Obligation Bonds | |||||
| MTN | Medium Term Notes | |||||
| REGS | 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. | |||||
| SOFR | Secured Overnight Financing Rate | |||||
| TBA | To Be Announced Commitments | |||||
| Notes to the fund's portfolio | ||||||
| Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from January 1, 2024 through March 31, 2024 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Franklin Resources, Inc., references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter. | ||||||
| (a) | Percentages indicated are based on net assets of $241,278,091. | |||||
| (NON) | This security is non-income-producing. | |||||
| (AFF) | Affiliated company. For investments in Putnam Cash Collateral Pool, LLC and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows: | |||||
| Name of affiliate | Fair value as of 12/31/23 | Purchase cost | Sale proceeds | Investment income | Shares outstanding and fair value as of 3/31/24 | |
| Short-term investments | ||||||
| Putnam Cash Collateral Pool, LLC*# | $6,599,250 | $5,407,963 | $7,272,963 | $90,435 | $4,734,250 | |
| Putnam Short Term Investment Fund Class P‡ | 11,467,134 | 18,580,689 | 17,803,256 | 158,718 | 12,244,567 | |
| Total Short-term investments | $18,066,384 | $23,988,652 | $25,076,219 | $249,153 | $16,978,817 | |
| * The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund receives cash collateral, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC and there were no realized or unrealized gains or losses during the period. | ||||||
| # At the close of the reporting period, the fund received cash collateral of $4,734,250 for securities loaned. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $4,609,526. | ||||||
| ‡ Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period. | ||||||
| (SEG) | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $115,885. | |||||
| (i) | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. | |||||
| (R) | Real Estate Investment Trust. | |||||
| (S) | This security is on loan, in part or in entirety, at the close of the reporting period. | |||||
| (WAC) | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | |||||
| Debt obligations are considered secured unless otherwise indicated. | ||||||
| 144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||||||
| The dates shown on debt obligations are the original maturity dates. | ||||||
| Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee. | ||||||
| Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security. | ||||||
| Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares. | ||||||
| Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2. | ||||||
| Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. | ||||||
| To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management, which has been designated as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs. | ||||||
| To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount. | ||||||
| Options contracts: The fund used options contracts for managing downside risks. | ||||||
| The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments. | ||||||
| Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. | ||||||
| Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract. | ||||||
| For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes. | ||||||
| Futures contracts: The fund used futures contracts for equitizing cash. | ||||||
| The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. | ||||||
| Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”. | ||||||
| For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes. | ||||||
| Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts were used for hedging foreign exchange risk. | ||||||
| The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. | ||||||
| For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes. | ||||||
| TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. | ||||||
| The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. | ||||||
| TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty. | ||||||
| Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement. | ||||||
| Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio. | ||||||
| Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. | ||||||
| With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity. | ||||||
| At the close of the reporting period, the fund did not have a net liability position on open derivative contracts subject to the Master Agreements. | ||||||
| ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows: | ||||
| Level 1: Valuations based on quoted prices for identical securities in active markets. | ||||
| Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. | ||||
| Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement. | ||||
| The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period: | ||||
| Valuation inputs | ||||
| Investments in securities: | Level 1 | Level 2 | Level 3 | |
| Common stocks*: | ||||
| Basic materials | $4,942,557 | $— | $— | |
| Capital goods | 6,076,401 | — | — | |
| Communication services | 1,927,653 | — | — | |
| Conglomerates | 348,427 | — | — | |
| Consumer cyclicals | 23,397,355 | — | — | |
| Consumer staples | 8,960,787 | — | — | |
| Energy | 6,444,398 | — | — | |
| Financials | 17,513,956 | — | — | |
| Health care | 18,638,072 | — | — | |
| Technology | 52,971,481 | — | — | |
| Transportation | 3,399,043 | — | — | |
| Utilities and power | 4,093,895 | — | — | |
| Total common stocks | 148,714,025 | — | — | |
| Corporate bonds and notes | — | 34,264,682 | — | |
| Mortgage-backed securities | — | 698,098 | — | |
| Municipal bonds and notes | — | 139,932 | — | |
| Purchased options outstanding | — | 318,760 | — | |
| U.S. government and agency mortgage obligations | — | 22,826,112 | — | |
| U.S. treasury obligations | — | 29,002,641 | — | |
| Short-term investments | — | 16,978,817 | — | |
| Totals by level | $148,714,025 | $104,229,042 | $— | |
| Valuation inputs | ||||
| Other financial instruments: | Level 1 | Level 2 | Level 3 | |
| Forward currency contracts | $— | $60,752 | $— | |
| Futures contracts | 29,886 | — | — | |
| Written options outstanding | — | (211,580) | — | |
| Totals by level | $29,886 | $(150,828) | $— | |
| * Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation. | ||||
| The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period: | ||||
| Purchased equity option contracts (contract amount) | $49,000 | |||
| Written equity option contracts (contract amount) | $49,000 | |||
| Futures contracts (number of contracts) | 7 | |||
| Forward currency contracts (contract amount) | $7,800,000 | |||
| For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnam.com | ||||