putnam world trust - amazon s3 · 2015-12-07 · investment objectives cont. putnam world trust 5...

Annual Report and audited fi nancial statements for the year ended 30 June 2015. An Umbrella Unit Trust authorised by the Central Bank of Ireland and established as an undertaking for collective investment in transferable securities pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended), (the “Regulations”).

Putnam World Trust

30 | 06 | 15Annual report

2�Putnam New Flag Euro High Yield Fund plc

Contents Page

Background to the Trust 3

Investment Objectives 4

Policies 6

Investment Manager’s Report 7

Total Expense Ratio (“TER”) (unaudited) 17

Portfolio Turnover Rate (“PTR”) (unaudited) 17

Statement of Manager’s Responsibilities 18

Report of the Trustee to the Unitholders 18

Independent Auditor’s Report 20

Schedule of Investments

Putnam Asia Pacific (Ex-Japan) Equity Fund 22

Putnam Emerging Markets Equity Fund 25

Putnam Global Core Equity Fund 28

Putnam Global Fixed Income Alpha Fund S2* 33

Putnam Global High Yield Bond Fund 63

Putnam Total Return Fund 77

Putnam U.S. Large Cap Growth Fund 113

Profit and Loss Account 117

Balance Sheet 124

Statement of Changes in Net Assets Attributableto Redeemable Participating Unitholders 133

* Effective 1 September 2015, the Fund’s name changed to Putnam Fixed

Income Global Alpha Fund.

Contents Page

Notes to the Financial Statements 136

Schedule of Portfolio Changes (unaudited)




Putnam Global Fixed Income Alpha Fund S2* 185




Important Information for Investors in Germany(unaudited) 189

Organisation 190

Table of contents

This Report includes, inter alia, information in relation to Putnam Asia Pacific (Ex-Japan) Equity Fund, Putnam Emerging Markets Equity Fund and Putnam Global Core Equity Fund. These Funds have not been registered for distribution with the German Financial Regulator (the BaFin) pursuant to section 310 of the German Capital Investment Act (nor does their distribution benefit from the transitional rules under section 355 German Capital Investment Act) and Units in those Funds will not be marketed to investors within Germany.

Background to the Trust

Putnam World Trust 3

Putnam World Trust (the “Trust”) is an umbrella Unit Trust established as an Undertaking for Collective Investment in Transferable Securities pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities ("UCITS")) Regulations, 2011 (as amended) (the “Regulations”) and authorised by the Central Bank of Ireland (the “Central Bank”). The Trust was constituted on 18 February 2000 and commenced operations on 22 February 2000.

Effective 1 July 2011, the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) came into operation in Ireland giving effect to Directive 2009/65/EC of the European Parliament and of the Council of 13 July 2009. The Trust has adopted specific policies and procedures in order to comply with its obligations under these Regulations.

The Trust is an umbrella Unit Trust comprising Funds (collectively the "Funds") in which different classes of Units may be issued from time to time. Each Fund represents interests in a trust comprising a separate and distinct portfolio of investments. The Manager may issue different classes of Units in each Fund. Each Fund will bear its own liabilities and shall not bear the liabilities of any other Fund.

Putnam World Trust Funds (other than Putnam Global Fixed Income Alpha Fund S2, Putnam Multi-Asset Absolute Return Fund I, Putnam Multi-Asset Absolute Return Fund II and Putnam U.S. Large Cap Growth Fund) are listed on the Irish Stock Exchange.

As of 30 June 2015, the following Funds and Classes of Units are in issue:

Fund Classes of Units currently in issue Base Fund Currency

Putnam Asia Pacific (Ex-Japan) Equity Fund Classes A, B, C, I, M and T US Dollar

Putnam Emerging Markets Equity Fund Classes A, B, C, I, M and T US Dollar

Putnam Global Core Equity Fund Classes A, B, C, I, M and T US Dollar

Putnam Global Fixed Income Alpha Fund S2* Class S Sterling

Putnam Global High Yield Bond Fund Classes A, B, C, E, I and S US Dollar

Putnam Total Return Fund Classes A, B, C, E, E2**, I, M and S US Dollar

Putnam U.S. Large Cap Growth Fund Classes A and M US Dollar

* Effective 1 September 2015, the Fund's name changed to Putnam Fixed Income Global Alpha Fund. ** Class E2 Units of Putnam Total Return Fund launched on 16 March 2015. Putnam Multi-Asset Absolute Return Fund I and Putnam Multi-Asset Absolute Return II were approved by the Central Bank on 27 February 2015. Neither Fund has launched as at 30 June 2015. For Funds with Class E Units and Class M Units, values are stated in euro (€) throughout this report. For Funds with Class S Units and Class T Units, values are stated in sterling (£) throughout this report.

Investment Objectives

4 Putnam World Trust

The assets of each Fund will be invested separately in accordance with the investment objectives and policies of the Fund. Each Fund has its own investment goal and strategy for pursuing it.

Putnam Asia Pacific (Ex-Japan) Equity Fund The investment objective of the Fund is to seek capital appreciation. The Fund seeks its objective by investing at least two-thirds of its total assets (after deduction of ancillary liquid assets) in equity securities and equity related securities such as warrants, convertible stocks or preferred stocks issued by Asian and Pacific region (other than Japanese) companies.

Putnam Emerging Markets Equity Fund The Fund’s investment objective is to seek capital appreciation. The Fund seeks to achieve its objective by investing at least two-thirds of its total assets (after deduction of ancillary liquid assets) in equity securities and equity related securities such as warrants, convertible stocks or preferred stocks issued from developing or “emerging” markets. Emerging markets include countries that are included in the MSCI Emerging Market Free Index, the composition of which may change from time to time. To determine whether a company is based in an emerging market, The Putnam Advisory Company, LLC. (the "Investment Advisor"), looks at the following factors: where the company’s securities trade, where the company is located or organised, or where the company derives its revenues or profits.

Putnam Global Core Equity Fund The Fund’s investment objective is to seek capital appreciation. The Fund seeks to achieve its objective by investing at least two-thirds of its total assets (after deduction of ancillary liquid assets) in equity securities and equity related securities such as warrants, convertible stocks or preferred stocks issued worldwide. The Fund will not invest more than 20% of its assets, at the time of purchase, outside of those countries included in the MSCI World Index, the composition of which may change from time to time. Additionally the Fund will not invest more than 20 percentage points greater than the weighting in the MSCI World Index in securities of emerging market countries, at the time of purchase.

Putnam Global Fixed Income Alpha Fund S2* The Fund’s investment objective is to achieve an annual total return that exceeds six-month Sterling LIBOR by 2.0% or more, as measured over rolling three year periods.

The Fund seeks to achieve its objective by investing principally and at least two-thirds of the Fund’s total assets (after deduction of ancillary liquid assets), in listed transferable securities i.e. in investment grade and non-investment grade government, agency, supranational, corporate and securitised bonds (including commercial paper and convertible bonds), collateralised mortgage obligations, asset-backed and mortgage-backed securities, collateralised securities, securitised loan interests, certificates of deposit and other short-term instruments.

There is also no limit on the percentage of the Fund’s assets that may be invested in any credit rating category or in unrated categories, and, accordingly, the Fund’s fixed income securities may include investment in high-yielding, lower-rated debt securities such as those rated lower than BBB by Standard & Poor’s (“S&P”) or its equivalent by Moody’s Investor Services (“Moody’s”) or Fitch Ratings or deemed to be of equivalent quality by the Investment Advisor.

* Effective 1 September 2015, the Fund's name changed to Putnam Fixed Income Global Alpha Fund.

Putnam Global High Yield Bond Fund The Fund seeks high current income. Capital growth is a secondary objective when consistent with the objective of high current income.

The Fund seeks to achieve its objective by investing at least two-thirds of its total assets (after deduction of ancillary liquid assets) in high-yielding, lower-rated debt securities worldwide such as those rated lower than S&P’s BBB or Moody’s Baa and listed or traded on Recognised Exchanges (including unleveraged freely transferable loan participations securitised and traded on a Recognised Exchange, zero-coupon bond and payment-in-kind bonds) constituting a portfolio which the Investment Advisor believes does not involve undue risk to income or principal.

Putnam Multi-Asset Absolute Return Fund I The Fund's objective is to achieve an annual return that exceeds one-month LIBOR by 7.0% on an annualised basis over a reasonable period of time (generally at least three years or more) regardless of market conditions, gross of fees In pursuing its strategies, the Fund may invest, without limit, in many different asset classes: U.S., international, and emerging markets equity securities and fixed-income securities (including government and corporate issues), mortgage- and asset-backed securities, high yield securities (sometimes referred to as “junk bonds”), inflation-protected securities, commodities (indirect only), and real estate trusts (“REITs”) (entities that invest primarily in income-producing real estate properties or real estate related loans, such as mortgages). The Fund has not launched as at 30 June 2015.

Putnam Multi-Asset Absolute Return Fund II The Fund's objective is to achieve an annual return that exceeds one-month LIBOR by 5.0% on an annualised basis over a reasonable period of time (generally at least three years or more) regardless of market conditions, gross of fees.

In pursuing its strategies, the Fund may invest, without limit, in many different asset classes: U.S., international, and emerging markets equity securities and fixed-income securities (including government and corporate issues), mortgage- and asset-backed securities, high yield securities (sometimes referred to as “junk bonds”), inflation-protected securities, commodities (indirect only), and real estate trusts (“REITs”) (entities that invest primarily in income-producing real estate properties or real estate related loans, such as mortgages). The Fund has not launched as at 30 June 2015.

Putnam Total Return Fund The Fund’s investment objective is to provide positive total return, both relative and absolute, throughout varying market conditions. The Fund seeks to achieve its objective by investing its net assets in a diversified multi-asset class portfolio. The portfolio allocation will draw upon various sources to drive the risk/return target of the Fund, including exposure to equities (e.g. U.S., non-U.S. emerging markets, large cap and small cap), fixed income (e.g. U.S., non-U.S. high yield and emerging markets), currencies and alternative assets classes (e.g. real estate investment trusts ("REITS") or other real estate instruments), treasury inflated protected securities (“TIPS”). The portfolio will also use various overlay techniques (e.g. global asset tactical allocation, currency and index options) in an attempt to add incremental return to the total portfolio.

Investment Objectives cont.


Putnam U.S. Large Cap Growth Fund The investment objective of the Fund is to seek capital appreciation. The Fund seeks to achieve its objective by investing at least two-thirds of its total assets (after deduction of ancillary liquid assets) in equity securities and equity-related securities such as warrants, convertible stocks or preferred stocks issued by large capitalisation U.S. companies which are listed or traded on Recognised Exchanges globally, with a focus on growth stocks. Growth stocks are issued by companies whose earnings are expected to grow faster than those of similar firms, and whose business growth and other characteristics may lead to an increase in stock price. The Investment Advisor uses fundamental investment research to seek opportunities and may consider, among other factors, a company’s valuation, financial strength, growth potential, competitive position in the industry, projected future earnings, cash flows and dividends when deciding whether to buy or sell investments.

Policies


Distribution Policy Each of the Funds is certified (with respect to certain classes of Units) as a Reporting Fund under Regulation 51 of the Offshore Funds (Tax) Regulations 2009.

Each Fund has its own specific distribution policy. If the Manager decides to make a distribution, it will be paid at the Manager’s discretion as set out in the relevant Prospectus Supplement for the Fund. For certain Funds, the Manager will distribute all net investment income of a Fund at least annually and sometimes more frequently as specified in the relevant supplement. Distributions shall be made to the Unitholders on record on the date of distribution in accordance with the number of Units held in that particular Fund. The distributions payable to Unitholders will be reinvested in Classes of Units of the relevant Fund unless otherwise requested by the Unitholder.

Distributions are payable to Unitholders who have elected to receive distributions in cash by transfer of funds (any charges being at the expense of the Unitholder) unless the amount of such distribution is US$50 or less or such other amount as determined by the Manager from time to time. Such amount shall not be distributed but shall be retained and reinvested.

The Manager does not currently intend to distribute net investment income with respect to the following Funds and Classes; not all classes listed below are currently in issue, see the section entitled “Background to the Trust”.

• Class E Units, Class I Units and Class Y Units of Putnam Global Fixed Income Alpha Fund S2;

• Class A Units, Class B Units, Class C Units, Class E2 Units, Class I Units, Class M Units and Class Y Units of Putnam Total Return Fund.

• Class A Units, Class B Units, Class C Units, Class I Units, Class M Units and Class Y Units of Putnam Asia Pacific (Ex-Japan) Equity Fund, Putnam Emerging Markets Equity Fund and Putnam Global Core Equity Fund; and

• Class A and M Units of Putnam U.S. Large Cap Growth Fund.

• Class E2 Units, Class I Units, Class S Units and Class Y Units of Putnam Multi-Asset Absolute Return Fund I and Putnam Multi-Asset Absolute Return Fund II.

If, in the future, it is determined that these Classes will distribute net investment income, the amount to be distributed to Unitholders will be decided upon by the Manager.

Calculation of Net Asset Value The Net Asset Value of each Fund will be expressed in the base currency of the relevant Fund and will be calculated on each Dealing Day by ascertaining the value of the assets of the Fund on such Dealing Day and deducting, from such value, the liabilities of the Fund on such Dealing Day. The Net Asset Value per Unit is calculated by dividing the Net Asset Value of the relevant Fund by the number of Units then outstanding for that Fund, or the Net Asset Value of the relevant Fund attributable to the Class of Unit divided by the number of Units in that Class then in issue or deemed to be in issue on such Dealing Day and rounding the result to the nearest unit of currency.

The most recently available Net Asset Value per Unit and the Net Asset Value per Unit per Class on each Dealing Day will be made public at the registered office of the administrator and at the following website addresses: www.fundinfo.com for investors in

Switzerland, www.europerformance.fr for investors in France or www.putnam.com/ucits (for all other investors) and/or in such other publication that the Manager may from time to time determine. Investors should note that the Trust and the Manager are not responsible for any other content (other than Net Asset Value) provided on the foregoing non-Putnam websites, and do not guarantee or assume responsibility for their contents.

Calculation of Sales Charges An initial sales charge of up to 6.25% of the Net Asset Value per Unit may be charged on certain classes or a contingent deferred sales charge (“CDSC”) of up to 4% of the Net Asset Value per Unit may be charged at the discretion of the Manager.

Currently, Class A Units, Class M Units and Class T Units may be subject to a sales charge of up to 6.25% of the Net Asset Value per Unit. Certain Class A Units that are part of a subscription of US$1 million or more (US$500,000 or more for Putnam Global High Yield Bond Fund and Putnam Total Return Fund), may be subject to a 1.00% CDSC if redeemed within nine months of purchase, provided, however, that no other initial sales charge has been imposed in respect of the Class A Units to which the CDSC is applied.

Currently, Class B Units and Class C Units are offered without an initial sales charge at the time of purchase but a higher ongoing management fee is paid out of assets allocated to the relevant Fund and Class. Unitholders who purchase Class B Units may incur a CDSC of up to 4% if Units are redeemed within four years as set out in the Prospectus. Unitholders who purchase Class C Units may incur a 1% CDSC if Units are redeemed within one year of purchase.

There are no initial or deferred sales charges with respect to Class E Units, Class E2 Units, Class I Units, Class S Units and Class Y Units.

Any initial sales charges are accounted for before monies come into the Fund.

Financial Derivative Instruments The Manager may, on behalf of each Fund, employ techniques and instruments relating to transferable securities and money market instruments under and in accordance with conditions or requirements imposed by the Central Bank. The derivatives used by the Funds may include futures, swaps, swaptions, options, TBA purchases and sales, forward contracts, and contracts for difference, and they may be used for hedging and for investment purposes, including as a substitute for direct investment in securities or to obtain additional exposure beyond that which might be obtained from a traditional securities portfolio, subject always to the restrictions and requirements of the Central Bank. Details of the derivatives that may be used are set out in the derivatives risk management process filed with the Central Bank. The Funds may also use forward foreign exchange contracts and other currency instruments for hedging or to alter the currency exposure characteristics of transferable securities held by the Funds as an alternative currency exposure management strategy. The techniques and instruments that the Manager may use on behalf of the Trust or any Fund are set out in Appendix II of the Prospectus and, if applicable to a particular Fund, the relevant supplement.

For the purpose of providing margin or collateral in respect of the application of transactions in techniques and instruments, the Trustee may transfer, mortgage, charge, or encumber any assets or cash forming part of the relevant Fund.


Investment Manager’s Report

Dear Unitholder:

Looking back on the first half of 2015, we can highlight some transitions in the financial markets. The U.S. economy rallied from a brief dip during the first quarter, and bond yields rose on a sustained basis in recent months. Firmer data on employment growth, wage gains, and consumer prices underscore this progress. Europe, meanwhile, looked as if it had emerged from its 2014 slowdown into a broader midcycle expansion.

The U.S. Federal Reserve is monitoring these and other indicators as it considers raising interest rates, an action it has not taken since 2006. Higher interest rates can pose a risk to fixed-income investments, while also having a less direct impact on stocks by adding to business financing costs, among other effects.

Through mid-2015, U.S. stock market averages have continued near record-high levels. Although gains have been modest this year, the U.S. market has been more placid than China’s market, in which a dizzying advance gave way to a sharp pullback in June, and European markets that were caught up in Greece’s debt crisis. Global market conditions, we believe, call for a well-crafted and flexible strategy.

With the possibility that markets could move in different directions from here, it might be a prudent time to consult your financial advisor and determine whether any adjustments or additions to your portfolio are warranted.

I would like to take this opportunity to welcome new unitholders to the Trust and, on behalf of everyone at Putnam Investments (Ireland) Limited, to thank all of our investors for your continued confidence in the Putnam World Trust family of funds.

Respectfully yours,

F. Peter Ferrelli

Director

Putnam Investments (Ireland) Limited

13 August 2015

The views expressed here are exclusively those of Putnam as of 13 August 2015. They are not meant as investment advice. Expectations about future market performance are subject to change.

Please note that the holdings discussed in this report may not have been held by the relevant Fund for the entire period. Portfolio composition is subject to review in accordance with each Fund's investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.

Total Return* for the year ended 30 June 2015


The table and disclosures in the following pages are part of the Investment Manager’s Report for the year ended 30 June 2015.

Class A Class B Class C Class E Class E2 Class I Class M Class S Class TNAV % NAV % CDSC % NAV % CDSC % NAV % NAV% NAV % NAV % NAV % NAV %

Putnam Asia Pacific (Ex-Japan) Equity Fund 1 year (5.86) (6.34) (10.08) (5.96) (6.90) - - (5.19) (23.66) - (13.25)5 years Cumulative 31.00 27.65 27.65 30.20 30.20 - - 35.54 14.51 - 35.66Annualised 5.55 5.00 5.00 5.42 5.42 - - 6.27 2.75 - 6.29Life of Fund (since 30/10/08) Cumulative 126.50 118.80 118.80 124.20 124.20 - - 137.60 83.26 - 105.53Annualised 13.04 12.46 12.46 12.87 12.87 - - 13.86 9.51 - 11.41Putnam Emerging Markets Equity Fund 1 year (5.23) (5.65) (9.42) (5.23) (6.18) - - (4.32) (23.07) - (12.72)5 years Cumulative 14.63 11.76 11.76 13.95 13.95 - - 20.09 (0.52) - 18.76Annualised 2.77 2.25 2.25 2.65 2.65 - - 3.73 (0.10) - 3.50Life of Fund (since 30/10/08) Cumulative 84.90 78.70 78.70 83.00 83.00 - - 97.30 47.92 - 66.56Annualised 9.65 9.09 9.09 9.48 9.48 - - 10.73 6.05 - 7.95Putnam Global Core Equity Fund 1 year (0.35) (0.87) (4.84) (0.50) (1.50) - - 0.38 (19.12) - (8.38)5 years Cumulative 87.54 83.07 83.07 85.86 85.86 - - 94.26 63.18 - 93.67Annualised 13.40 12.86 12.86 13.20 13.20 - - 14.20 10.29 - 14.13Life of Fund (since 16/10/08) Cumulative 100.10 93.50 93.50 97.20 97.20 - - 109.80 51.33 - 69.62Annualised 10.90 10.34 10.34 10.65 10.65 - - 11.68 6.37 - 8.20Putnam Global Fixed Income Alpha Fund S2 1 year - - - - - - - - - 0.55 -5 years Cumulative - - - - - - - - - 10.64 -Annualised - - - - - - - - - 2.04 -Life of Fund (since 25/2/08) Cumulative - - - - - - - - - 23.41 -Annualised - - - - - - - - - 2.90 -Putnam Global High Yield Bond Fund† 1 year (1.62) (2.14) (5.89) (2.09) (3.02) (19.85) - (1.06) - (8.80) -5 years Cumulative 44.42 40.73 40.73 41.43 41.43 33.71 - 49.46 - 57.67 -Annualised 7.63 7.07 7.07 7.18 7.18 5.98 - 8.37 - 9.53 -10 years Cumulative 82.59 73.79 73.79 75.58 75.58 70.07 - 91.36 - 72.52 -Annualised 6.21 5.68 5.68 5.79 5.79 5.45 - 6.71 - 5.60 -Life of Fund (since 18/2/00) Cumulative 125.57 108.46 108.46 113.90 113.90 121.82 - 141.20 - 93.23 -Annualised 5.44 4.90 4.90 5.07 5.07 6.80 - 5.90 - 5.94 -Putnam Total Return Fund** 1 year (2.57) (3.08) (6.96) (2.80) (3.77) (20.59) - (1.97) (21.08) (9.71) -5 years Cumulative 38.29 34.84 34.84 36.68 36.68 - - - 23.33 49.88 -Annualised 6.70 6.16 6.16 6.45 6.45 - - - 4.28 8.43 -Life of Fund (30/6/06) Cumulative 67.59 44.82 44.82 47.82 47.82 0.51 6.97 9.30 36.96 32.74 -Annualised 5.90 4.75 4.75 5.02 5.02 0.17 - 3.61 3.56 3.36 -Putnam U.S. Large Cap Growth Fund 1 year 6.09 - - - - - - - (13.79) - -Life of Fund (18/4/12) Cumulative 46.30 - - - - - - - 22.12 - -Annualised 12.63 - - - - - - - 6.45 - -

Total Return for the year ended 30 June 2015 cont.


* Total return is the change in Unit value and assumes reinvestment of all distributions back into the Fund. Performance data represent past results. Past performance may not be a reliable guide to future performance. Investment returns and principal value will fluctuate so an investor’s Units, when sold, may be worth more or less than their original cost. Fund performance data does not take into account any adjustment for taxes payable on reinvested distributions. All performance in this table is based on U.S. Dollar valuations, except for Putnam Global Fixed Income Alpha Fund S2, which is shown in Sterling, that Fund’s Base Currency.

** Class A and Class M Units of Putnam Total Return Fund launched on 30 June, 2006, Class S Units launched on 30 November, 2006, Class B and Class C Units launched on 10 July, 2007, Class E Units launched on 2 July, 2012, Class I Units launched on 28 December, 2012 and Class E2 Units launched on 16 March, 2015.

† Returns shown for Class C and Class I Units for the years prior to inception are derived from the historical performance of Class A Units adjusted to reflect the lower operating expenses applicable to such Units. Class I Units launched on 8 June, 2000, Class E Units launched on 23 May, 2003, Class S Units launched on 30 January, 2004 and Class C Units launched on 27 February, 2004.

Data is historical. Past performance is not a guarantee of future results. The performance data does not take account of the commissions and costs incurred on the issue and redemption of Units. More recent returns may be less or more than those shown.

Investment return, Net Asset Value, and market price will fluctuate, and you may have a gain or a loss when you sell your Units. Performance assumes reinvestment of distributions at NAV and does not account for any taxes or sales charges. The payment of any sales charges will reduce performance.

The difference at any one time between the issue price and the redemption price of Fund Units means that the investment should be viewed as medium to long term. For Funds with income as an objective, income may fluctuate in accordance with market conditions and taxation arrangements. Changes in the exchange rate may have an adverse effect on the value, price, or income of the Funds.

The Funds are sub-funds of Putnam World Trust, an umbrella Unit Trust domiciled in Ireland. Prior to 18 February 2000, Putnam Global High Yield Bond Fund was domiciled in the Cayman Islands and was subject to lower fees and expenses. The Trust is established as an undertaking for collective investment in transferable securities pursuant to the Regulations.


Putnam Asia Pacific (Ex-Japan) Equity Fund For the 12 months ended 30 June 2015, the Fund lagged its benchmark in both U.S. dollar and local-currency terms. U.S. dollar strength during much of the period hampered the Fund’s dollar-based returns. Stock selection and sector positioning worked against the Fund’s relative performance, while country allocations helped versus the benchmark.

From a country perspective, overweight exposure to China, combined with underweights in Malaysia and Australia, added the most value. On a sector basis, overweight allocations in energy, materials and consumer staples aided relative performance. However, an overweight in consumer discretionary, coupled with lighter-than-benchmark exposure to financials, hampered the Fund’s results and negated the benefit of positive positioning in other sectors. As for stock selection, picks in energy and materials detracted from relative performance, while selections in consumer discretionary and information technology were beneficial.

Top individual contributors to relative performance included out-of-benchmark investments in Cuckoo Electronics and Skyworth Digital (consumer discretionary), along with an overweight position in China Railway (industrials). On the downside, non-benchmark positions in Ezra Holdings and Ezion Holdings (energy), coupled with an investment in Daesang (consumer staples), were the biggest individual detractors.

For the period, the Fund generated the following returns by unit class: -5.86% for Class A Units, -6.34% for Class B Units, -5.96% for Class C Units, -5.19% for Class I Units, -23.66% (-6.25% in euro terms) for Class M Units, and -13.25% (-5.51% in sterling terms) for Class T Units, all at net asset value (NAV, or without sales charges). The Fund’s benchmark, the MSCI All-Country Pacific ex. Japan Index (ND), declined -1.04%, in U.S. dollar terms.

At year end, we continued to closely monitor both the macro- and microeconomic issues affecting the Asia-Pacific region, particularly in China. China’s economic slowdown and its various market bubbles - in real estate, stocks and the so-called “shadow” banking system - have the power to create a vortex of problems throughout Asian emerging markets.

To us, the Chinese stock market appeared to be in unsustainable overdrive through early June. Worryingly, government stimulus and exuberant retail investors converged to help drive the market to unwarranted high levels. Our concern was validated shortly after the year end, as the Chinese stock market went into free fall, losing more than a quarter of its value in less than a month, until the government’s efforts to stop the sell-off appeared to help the market reverse course - at least for now.

Elsewhere in emerging markets (“EM”), there was disappointment. Some EM countries apparently have missed their moment to make structural economic change a reality. Indonesia, for example, has made surprisingly little economic progress, despite the new president’s ambitious reform agenda. Countries such as Indonesia, as well as other developing nations, require foreign capital to fund themselves. Such capital arrived in force when the U.S. dollar was weak and bond yields were attractive. But now, dollar strength and widespread expectations for higher interest rates have stimulated a flight of foreign capital out of emerging markets, requiring painful economic adjustments for countries in this group.

Unit value Class A Class B Class C Class I Class M* Class T**NAV NAV NAV NAV NAV NAV

30/06/14 $24.06 $23.36 $23.84 $25.06 €22.72 £21.7830/06/15 22.65 21.88 22.42 23.76 21.30 20.58

The Fund made no distributions during the period. * Values stated in euro. ** Values stated in pound sterling. International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. The Fund invests some or all of its assets in small and/or midsize companies. Such investments increase the risk of greater price fluctuations. The Fund invests in fewer issuers or concentrates its investments by region or sector, and involves more risk than a fund that invests more broadly.



Putnam Emerging Markets Equity Fund For the 12 months ended 30 June 2015, most of the Fund’s unit classes trailed its benchmark, dampened by adverse country allocations. U.S. dollar strength during much of the year hampered the Fund’s dollar-based returns. Stock selection and sector positioning aided the Fund’s relative performance.

From a country perspective, overweight allocations in Hong Kong, the United Arab Emirates and Turkey worked against performance, although this impact was partially offset by a beneficial overweight in China and lighter-than-benchmark exposure to Malaysia and Qatar. On a sector basis, lighter-than-benchmark allocations in materials and energy were the largest contributors. Conversely, an overweight in consumer discretionary and an underweight in consumer staples dampened the overall positive contribution from sector positioning. Stock picks in information technology added the most value, while selections in energy detracted.

Top individual contributors to relative performance included out-of-benchmark investments in Cuckoo Electronics (consumer discretionary) and Net 1 UEPS Technologies (information technology), along with an overweight position in China Railway (industrials). On the downside, non-benchmark holdings of Mota-Engil (industrials) and Genel Energy (energy), as well as an overweight in Estacio Participacoes (consumer discretionary), were the primary detractors.

For the year, the Fund generated the following returns by unit class: -5.23% for Class A Units, -5.65% for Class B Units, -5.23% for Class C Units, -4.32% for Class I Units, -23.07% (-5.44% in euro terms) for Class M Units, and -12.72% (-4.94% in sterling terms) for Class T Units, all at net asset value (NAV, or without sales charges). The Fund’s benchmark, the MSCI Emerging Markets Index (ND), declined -5.12% in U.S. dollar terms.

At year end, we continued to closely monitor both the macro- and microeconomic issues affecting the Asia-Pacific region, particularly in China. China’s economic slowdown and its various market bubbles - in real estate, stocks and the so-called “shadow” banking system - have the power to create a vortex of problems throughout Asian emerging markets.

To us, the Chinese stock market appeared to be in unsustainable overdrive through early June. Worryingly, government stimulus and exuberant retail investors converged to help drive the market to unwarranted high levels. Our concern was validated shortly after the year end, as the Chinese stock market went into free fall, losing more than a quarter of its value in less than a month, until the government’s efforts to stop the selloff appeared to help the market reverse course - at least for now.

Elsewhere in emerging markets, there was disappointment. Some EM countries apparently have missed their moment to make structural economic change a reality. Indonesia, for example, has made surprisingly little economic progress, despite the new president’s ambitious reform agenda. Countries such as Indonesia, as well as other developing nations, require foreign capital to fund themselves. Such capital arrived in force when the U.S. dollar was weak and bond yields were attractive. But now, dollar strength and widespread expectations for higher interest rates have stimulated a flight of foreign capital out of emerging markets, requiring painful economic adjustments for countries in this group.

Unit value Class A Class B Class C Class I Class M* Class T**NAV NAV NAV NAV NAV NAV

30/06/14 $19.51 $18.94 $19.31 $20.62 €18.19 £18.0030/06/15 18.49 17.87 18.30 19.73 17.20 17.11

The Fund made no distributions during the period. * Values stated in euro. ** Values stated in pound sterling. International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. The Fund invests some or all of its assets in small and/or midsize companies. Such investments increase the risk of greater price fluctuations. The Fund invests in fewer issuers or concentrates its investments by region or sector, and involves more risk than a fund that invests more broadly



Putnam Global Core Equity Fund For the 12 months ended 30 June 2015, the Fund lagged its benchmark in both U.S. dollar and local-currency terms. U.S. dollar strength during much of the period hampered the Fund’s dollar-based returns. Security selection and country allocations detracted from relative results, while sector positioning aided performance versus the benchmark.

From a country perspective, exposure to Portugal, Indonesia and the United Kingdom hampered performance, while allocations in Ireland, Canada and the Netherlands contributed. On a sector basis, lighter-than-benchmark exposure to the lagging energy group, along with an overweighting in consumer discretionary, provided the biggest boost to performance. Stock picks in consumer staples, health care, telecommunication services and materials aided the Fund’s return, but weak selections in information technology and consumer discretionary more than offset this positive result.

Top individual contributors included Coty and Japan Tobacco (consumer staples), Valeant Pharmaceuticals and Impax Laboratories (health care), Bharti Infratel (telecom services), and Sealed Air (materials). On the downside, the biggest individual detractors were Micron Technology and Google (technology), along with Global Mediacom and G8 Education (consumer discretionary). Not holding smartphone and computer giant Apple also weighed on the Fund’s relative performance.

For the year, the Fund generated the following returns by unit class: -0.35% for Class A Units, -0.87% for Class B Units, -0.50% for Class C Units, 0.38% for Class I Units, -19.12% (-0.60% in euro terms) for Class M Units, and -8.38% (-0.22% in sterling terms) for Class T Units, all at net asset value (NAV, or without sales charges). The Fund’s benchmark, the MSCI World Index (ND), rose 1.43%, in U.S. dollar terms.

As the annual reporting year came to a close, the global economic expansion remained sluggish, but better conditions in several major developed economies suggested a modestly improving outlook. U.S. growth appeared to rebound in the second quarter following a disappointing first quarter, and the U.S. economy remains solidly in midcycle expansion phase, in our view. Europe, meanwhile, looked as if it had emerged from its 2014 slowdown into a broader midcycle expansion, supported by favourable credit conditions, pent-up household demand and accommodative monetary policy. Greece represents a near-term risk, but Europe’s modest banking exposure to Greece, the European Central Bank’s sizable liquidity program and stable yield spreads on bonds issued by peripheral eurozone countries suggest contagion is unlikely to derail Europe’s expansion.

Overall, we have a generally optimistic outlook for stocks globally, assuming second- and third-quarter earnings meet investors’ reduced expectations. We also believe the resurgence in mergers and acquisitions across multiple industry groups may continue to be a meaningful driver for stock performance. From a valuation perspective, at year end we believed stocks were attractively valued versus bonds, based on measures such as historical price/earnings ratios for stocks compared with the 10-year U.S. Treasury yield. As a result, we think stocks may offer the potential for further multiple expansion in the months ahead.

Unit value Class A Class B Class C Class I Class M* Class T** NAV NAV NAV NAV NAV NAV30/06/14 $20.08 $19.52 $19.82 $20.90 €18.44 £18.2730/06/15 20.01 19.35 19.72 20.98 18.33 18.23

The Fund made no distributions during the period. * Values stated in euro. ** Values stated in pound sterling.

International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility. The Fund invests some or all of its assets in small and/or midsize companies. Such investments increase the risk of greater price fluctuations.



Putnam Global Fixed Income Alpha Fund S2* For the twelve months ended 30 June 2015, the Fund underperformed its benchmark in local-currency terms. The Fund's Class S Units were up 0.55% at net asset value (NAV, or without sales charges), and the Fund's benchmark, the 6-Month LIBOR Index, gained 0.70%.

Our active currency strategies were the leading contributor for the period. Short positions in the euro and the Japanese yen, particularly during the first half of the period, were especially beneficial as the U.S. dollar strengthened relative to both.

Mortgage credit investments also aided the Fund’s performance, specifically positions in subordinated mezzanine commercial mortgage-backed securities (CMBS). These securities benefited from supportive commercial real estate fundamentals amid a generally favourable U.S. economic backdrop, along with persistent investor demand for higher-yielding bonds.

Our prepayment strategies, which we implemented primarily with interest-only (IO) collateralised mortgage obligations (CMOs), provided a further boost to the Fund’s return. Although rates ended the period lower on some parts of the yield curve, refinancing activity remained subdued. As a result, mortgage prepayment speeds continued to be relatively slow, providing a tailwind for our IO CMO positions.

Our investments in emerging-markets debt, specifically U.S. dollar-denominated holdings in Argentina, also modestly contributed. Prices of Argentine debt rose over the period, as the market appeared to price in a benign outcome in the nation’s standoff with the holdout creditors.

Interest-rate and yield-curve strategies served as the sole detractor from performance during the period. The Fund was positioned for a rising-rate environment in the United States, resulting in an overall duration - a key measure of interest-rate sensitivity - that was modestly negative on a net basis. However, with rates generally declining on the intermediate to long end of the curve during the period, this positioning hampered the Fund’s results. Outside the United States, positions in Greece and Germany both detracted, as yields rose across both core and peripheral Europe, and the political uncertainty in Greece came to a tipping point.

We believe U.S. economic growth will continue to be solid for the rest of 2015, given improving trends in employment and a pickup in consumer and business spending. Accordingly, we think the Federal Reserve (“the Fed”) will begin to raise short-term interest rates by the end of 2015. Although signs in the labour market have been positive, the Fed is cautious of hiking too early, particularly given that U.S. inflation continues to be below the central bank’s stated target of 2%.

* Effective 1 September 2015, the Fund's name changed to Putnam Fixed Income Global Alpha Fund.

As for portfolio positioning, we currently plan to maintain our diversified mortgage, corporate and sovereign credit exposure primarily through allocations to mezzanine CMBS, high-yield bonds and peripheral European sovereign bonds, respectively. We also find prepayment risk attractive, given the potential for higher interest rates amid a strengthening U.S. economy. As a result, we will continue our efforts to try to capitalise on anticipated slower prepayment speeds via allocations to IO CMOs.

Unit value Class S*

NAV30/06/14 £7.2430/06/15 7.28

The Fund made no distributions during the period. * Values stated in pound sterling. Global investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. The use of derivatives involves special risks and may result in losses. Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses.



Putnam Global High Yield Bond Fund For the 12 months ended 30 June 2015, the Fund lagged its benchmark in both U.S. dollar and local-currency terms. U.S. dollar strength during much of the year hampered the Fund’s dollar-based returns. At the sector/industry level, an underweight in metals/mining, along with favourable overall positioning in housing and financials, bolstered the Fund’s relative return. Conversely, adverse positioning in energy, retail and cable/satellite hampered the Fund’s performance versus the benchmark. Additionally, having lighter-than-benchmark exposure to higher-quality Ba-rated securities - which outperformed B-rated and Caa-rated bonds during the year - also worked against the Fund’s relative performance.

In terms of individual holdings, top contributors included underweights in telecommunication services provider Telecom Italia, coal miner Peabody Energy, and casino and resort operator Caesars Entertainment, the latter of which filed for bankruptcy protection during the period. On the downside, the primary detractors were United Kingdom-based mobile phone retailer Phones4U, along with positions in several energy exploration and production companies: Paragon Offshore, Milagro Oil & Gas and Vantage Drilling. Milagro filed for chapter 11 bankruptcy shortly after the year end.

For the year, the Fund generated the following returns by unit class: -1.62% for Class A Units, -2.14% for Class B Units, -2.09% for Class C Units, -19.85% (-1.54% in euro terms) for Class E Units, -1.06% for Class I Units, and -8.80% (-0.46% in sterling terms) for Class S Units, all at net asset value (NAV, or without sales charges). The Fund’s benchmark, the BofA Merrill Lynch Global High Yield Investment Grade Country Constrained Index (100% USD Hedged), rose 0.18% in U.S. dollar terms.

As the annual reporting year came to a close, the global economic expansion remained sluggish, but better conditions in several major developed economies suggested a modestly improving outlook. U.S. growth appeared to rebound in the second quarter following a disappointing first quarter, and the U.S. economy remains solidly in midcycle expansion phase, in our view. Europe, meanwhile, looked as if it had emerged from its 2014 slowdown into a broader midcycle expansion, supported by favourable credit conditions, pent-up household demand and accommodative monetary policy. Greece represents a near-term risk, but Europe’s modest banking exposure to Greece, the European Central Bank’s sizable liquidity program and stable yield spreads on bonds issued by peripheral eurozone countries suggest contagion is unlikely to derail Europe’s expansion.

As for end-of-year portfolio positioning, the Fund was broadly diversified across market sectors, and the majority of our holdings were in mid-tier split Ba-rated or B-rated bonds. From a sector/industry perspective, we favoured telecommunications, gaming/lodging/leisure, financials, utilities, and housing.

Conversely, we maintained underweights in energy, technology, metals/mining, food/beverage, transportation, and consumer products. To compensate for marketplace liquidity constraints, as well as potentially higher U.S. interest rates, we increased the portfolio’s cash allocation, and planned to keep its interest-rate sensitivity slightly below that of the benchmark.

Unit value Class A Class B Class C Class E* Class I Class S** NAV NAV NAV NAV NAV NAV30/06/14 $7.12 $7.08 $9.02 €8.03 $2.73 £5.1930/06/15 6.67 6.64 8.45 7.44 2.55 4.88

Distributions Number Income Capital gain TotalClass A 12 $0.3330 - $0.3330Class B 12 $0.2880 - $0.2880 Class C 12 $0.3810 - $0.3810 Class E* 12 €0.4650 - €0.4650Class I 12 $0.1500 - $0.1500Class S** 12 £0.2830 - £0.2830 * Values stated in euro. ** Values stated in pound sterling. International investing involves certain risks, such as currency fluctuations, economic instability, and political developments. Additional risks may be associated with emerging-market securities, including illiquidity and volatility Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk. Funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses.



Putnam Total Return Fund For the 12 months ended 30 June 2015, the Fund trailed its cash benchmark in U.S. dollar and local-currency terms, outpaced its strategic policy portfolio (-6.45%), and posted mixed results versus its global 60/40 benchmark (-2.80%). Relative to the policy portfolio, active execution and dynamic asset allocation added value for the period. U.S. dollar strength during much of the year hampered the Fund’s dollar-based returns.

Within the portfolio, dynamic asset allocation was bolstered by an underweight in commodities, which was one of the worst-performing asset classes during the past 12 months. Our U.S. equity overweight was also a major contributor, as both large- and small-cap stocks generally performed well during the year. Conversely, a lighter-than-benchmark stake in U.S. investment-grade bonds, along with overall positioning in U.S. Treasuries, notably detracted from the Fund’s allocation strategy.

Active execution was also positive during the year. The primary contributors versus the policy portfolio were tactical foreign-exchange hedging, several strategic global macro positions and security selection within commodities. Stock picks in U.S. large-cap shares were a slight detractor, and marginally dampened the overall constructive impact of our active execution strategies.

For the year, the Fund generated the following returns by unit class: -2.57% for Class A Units, -3.08% for Class B Units, -2.80% for Class C Units, -1.97% for Class I Units, -20.59% (-2.43% in euro terms) for Class E Units, -21.08% (-3.12% in euro terms) for Class M Units, and -9.71% (-1.48% in sterling terms) for Class S Units, all at net asset value (NAV, or without sales charges). Class E2 Units launched on 16 March 2015. For the period since its launch, the unit class returned 6.97% (0.60% in euro terms) at NAV. The Fund’s cash benchmark, the BofA Merrill Lynch 1-Month USD LIBOR Index, gained 0.17%.

U.S. economic growth appeared to rebound in the second quarter following a disappointing first quarter, and we believe U.S. gross domestic product may grow at a 2.5% to 3% annual rate in the months to come.

The Federal Reserve has indicated that it no longer wishes to give specific guidance on the timing of policy changes and has instead described its approach as being “data dependent.” With the U.S. economy appearing to be back on track and core inflation showing signs of re-emerging, we think it’s likely that the central bank may implement its first rate increase in September. If the economy continues on a trajectory broadly similar to what we expect, we believe the Fed could hike rates again before the next year-end. While this is our current view, there are possible factors that could cause the Fed to delay, such as renewed dollar strength, coupled with volatility in Europe and Asia. In any event, when the Fed does begin raising rates, we think it will proceed cautiously in an effort to avoid stoking excessive volatility in the financial markets.

As of year end, we were somewhat more cautious in our outlook for equities. U.S. stock valuations were slightly above longer-term normalised levels, which may temper gains in the months ahead. That said, we think equities still appear attractive relative to U.S. Treasuries and other investment-grade bonds, and they could continue to advance despite elevated valuations.

Elsewhere, we had a more constructive outlook for high-yield bonds. Yields over Treasuries in the asset class had widened to attractive levels over cash, and flows into high-yield mutual funds had stabilised, helping to bolster the category’s technical backdrop.

Unit value Class A Class B Class CClass

E* Class E2*† Class I

Class M*

Class S**

NAV NAV NAV NAV NAV NAV NAV NAV30/06/14 $14.42 $12.66 $12.88 €11.42 - $11.15 €10.57 £3.7216/03/15† - - - - €10.00 - - -30/06/15 14.05 12.27 12.52 11.00 10.06 10.93 10.24 3.60

Distributions

Number Income Capital

gain TotalClass A - - - -Class B - - - -Class C - - - -Class E* 1 €0.1420 - €0.1420Class E2* - - - -Class I - - - -Class M* - - - -Class S** 1 £0.0640 - £0.0640 * Values stated in euro. ** Values stated in pound sterling. † Class E2 Units launched 16 March 2015. Global investing involves certain risks, such as currency fluctuations, economic instability, and political developments. The Fund invests some or all of its assets in small and/or midsize companies. Such investments increase the risk of greater price fluctuations. Lower rated bonds may offer higher yields in return for more risk. The Fund may have a significant portion of its holdings in bonds. The use of derivatives involves special risks and may result in losses. Mutual funds that invest in bonds are subject to certain risks including interest-rate risk, credit risk, and inflation risk. As interest rates rise, the prices of bonds fall. Long-term bonds are more exposed to interest-rate risk than short-term bonds. Unlike bonds, bond funds have ongoing fees and expenses. Diversification does not assure a profit or protect against loss. It is possible to lose money in a diversified portfolio.



Putnam U.S. Large Cap Growth Fund For the 12 months ended 30 June 2015, the Fund lagged its benchmark in both U.S. dollar and local-currency terms. U.S. dollar strength during much of the year hampered the Fund’s dollar-based returns. Relative to the benchmark, security selection and currency exposure hampered the Fund’s performance, as did a small cash stake in a rising market. Overall sector positioning aided performance versus the benchmark.

Stock picks in information technology were the primary detractors, followed by selections in energy, materials and consumer discretionary. On the plus side, stock choices in consumer staples, financials and telecommunication services helped the Fund’s relative return. From a sector perspective, an overweight in the strong-performing health care group provided the biggest boost, while a small overweight in the lagging energy category was the principal detractor.

In terms of individual holdings, top contributors included overweights in biotechnology company Gilead Sciences and pharmacy operator CVS Health, along with pharmaceutical firms Allergan and Cubist Pharmaceuticals. Avoiding index heavyweight and technology giant IBM also proved advantageous. Cubist Pharmaceuticals was acquired by Merck in January 2015. On the downside, overweights in semiconductor manufacturer Micron Technology, oil services provider Halliburton and Internet services titan Google dampened relative performance, as did an out-of-benchmark position in Melco Crown Entertainment, which owns casino and resort facilities in Asia.

For the year, the Fund generated the following returns by unit class: 6.09% for Class A Units and -13.79% (5.90% in euro terms) for Class M Units. The Fund’s benchmark, the Russell 1000 Growth Index gained 10.56% in U.S. dollar terms.

Much of 2015 has been dominated by three key macroeconomic themes: the timing of an interest-rate increase by the Federal Reserve; the impact of Greece possibly exiting the European Union; and concern about why U.S. economic data has generally continued to fall short of expectations. Against this backdrop, we have seen flat to mildly negative corporate earnings revisions, a much stronger U.S. dollar, and elevated U.S. equity valuations. All told, it has not been an environment that is conducive to significant near-term equity gains, in our view. That said, if trends in employment and housing continue to improve, we believe U.S. stocks could generate modest gains, albeit with increased volatility. Within such an environment, stock selection backed by solid fundamental research is crucial. Additionally, it remains critical for us to stay focused on investing in companies benefiting from what we believe are durable growth themes, while selling or avoiding highly valued stocks of companies where we believe the thesis is changing and fundamentals are weakening.

At year end, the Fund’s largest overweights versus the benchmark were in energy, industrials and technology, while consumer staples was our largest underweight, followed by consumer discretionary.

Unit value Class A Class M* NAV NAV30/06/14 $13.79 € 13.5630/06/15 14.63 14.36

The Fund made no distributions during the period. * Values stated in euro. The views expressed here are exclusively those of Putnam as of 13 August 2015. They are not meant as investment advice. Expectations about future market performance are subject to change.

Total Expense Ratio (“TER”)* (unaudited)


The TER for each of the Funds for the year ended 30 June 2015 is presented below:

Class A Class B Class C Class E Class E2 Class I Class M Class S Class TFund % % % % % % % % %

Putnam Asia Pacific (Ex-Japan) Equity Fund 1.80% 2.30% 2.07% - - 1.10% 1.80% - 1.80%

Putnam Emerging Markets Equity Fund 2.05% 2.55% 2.30% - - 1.10% 2.05% - 2.05%

Putnam Global Core Equity Fund 1.80% 2.30% 2.05% - - 1.10% 1.80% - 1.80%

Putnam Global Fixed Income Alpha Fund S2 - - - - - - - 0.40% -

Putnam Global High Yield Bond Fund 1.63% 2.13% 2.02% 0.91% - 0.94% 0.93% -

Putnam Total Return Fund 1.80% 2.30% 2.05% 1.10% 1.13% 1.10% 1.80% 1.10% -

Putnam U.S. Large Cap Growth Fund 1.91% - - - - - 1.91% - -

* The TER is calculated as the total operating expenses for each Unit Class of each Fund in the accounting currency of the Fund for the year in question as a percentage of the average net assets of the Fund for the year in question.

Average net assets are calculated using figures based on the authorised Fund’s net assets at each calculation of the Net Asset Value. All Funds are valued daily with the exception of Putnam Global Fixed Income Alpha Fund S2 which is valued weekly.

As of 30 June 2015, the performance fees of Putnam Global Fixed Income Alpha Fund S2 equalled 0.12% (30 June 2014: 0.62%). The performance fees of Putnam Global Fixed Income Alpha Fund S2 do not form part of the Fund's TER of 40% for Class S Units.

Portfolio Turnover Rate (“PTR”)* (unaudited) The PTR for each of the Funds for the year ended 30 June 2015 is presented below:

PTR

Fund %




Putnam Global Fixed Income Alpha Fund S2 1,040




* Turnover being a Fund’s aggregate value of total cost of securities purchased plus total disposal proceeds of securities sold less the aggregate value of that Fund’s redeemable participating shares’ subscriptions plus redemptions during the reporting year. All values in the turnover calculation are in the functional currency of the respective Fund.

Statement of Manager’s Responsibilities Report of the Trustee to the Unitholders


The Manager is responsible for the preparation of financial statements, which give a true and fair view of the financial affairs of the Trust and of its results for the year. In preparing those financial statements the Manager is required to:

• select suitable accounting policies and then apply them consistently;

• make judgements and estimates that are reasonable and prudent; and

• prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Trust will continue in operation.

The Manager is responsible for keeping proper accounting records which disclose with reasonable accuracy at any time the financial position of the Trust and to enable it to ensure that the financial statements are prepared in accordance with accounting standards generally accepted in Ireland and comply with the Trust Deed and the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the “Regulations”).

The measures taken by the Manager to secure compliance with the Trust’s obligations to keep proper accounting records are the use of appropriate systems and procedures and the employment of competent persons. To this end, the Directors of the Manager have appointed State Street Fund Services (Ireland) Limited for the purpose of maintaining proper accounting records.

The Manager is responsible for the maintenance and integrity of the corporate and financial information in relation to the Trust as included on the website, www.putnam.com/ucits. Legislation in Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

The accounting records are kept at 78 Sir John Rogerson’s Quay, Dublin 2, Ireland. The Manager is also responsible for safeguarding the assets of the Trust. In this regard it has entrusted the assets of the Trust to a Trustee for safekeeping in accordance with the Trust Deed. The Manager is also responsible for taking reasonable steps for the prevention and detection of fraud, error and non-compliance with laws and regulations.

The Directors of the Manager adopted the Irish Funds Industry Corporate Governance Code for collective investment schemes and management companies on 14 November 2012 with effect from 31 December 2012. The Fund has been in compliance with the Code throughout the duration of the year ended 30 June 2015.

Connected Party Transactions The Central Bank of Ireland UCITS Notices, UCITS 14.5 – ‘Dealings by promoter, manager, trustee, investment adviser and group companies’ states in paragraph one that any transaction carried out with a UCITS by a promoter, manager, trustee, investment adviser and/or associated or group companies of these (“connected parties”) must be carried out as if negotiated at arm’s length. Transactions must be in the best interests of the unitholders.

The Board of Directors of the Manager are satisfied that there are arrangements (evidenced by written procedures) in place, to ensure that the obligations set out in paragraph one of UCITS 14.5 are applied to all transactions with connected parties; and the Board is satisfied that transactions with connected parties entered into during the year complied with the obligations set out in this paragraph.

On behalf of the Manager:

Director:

Director:

14 October 2015

We have enquired into the conduct of the Manager in respect of Putnam World Trust (the “Trust”) for the year ended 30 June 2015, in our capacity as Trustee to the Trust. This report including the opinion has been prepared for and solely for the Unitholders in the Trust as a body, in accordance with the Central Bank’s UCITS Notice 4 and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown.

Responsibilities of the Trustee Our duties and responsibilities are outlined in the Central Bank’s UCITS Notice 4. One of those duties is to enquire into the conduct of the Trust in each annual accounting year and report thereon to the Unitholders.

Our report shall state whether, in our opinion, the Trust has been managed in that year in accordance with the provisions of the Trust’s Trust Deed and the Regulations. It is the overall responsibility of the Manager to comply with these provisions. If the Manager has not so complied, we as Trustee must state why this is the case and outline the steps which we have taken to rectify the situation.

Basis of Trustee Opinion The Trustee conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as outlined in UCITS Notice 4 and to ensure that, in all material respects, the Trust has been managed: (i) in accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional documentation and the appropriate regulations; and (ii) otherwise in accordance with the Trust’s constitutional documentation and the appropriate regulations.

Opinion In our opinion, the Trust has been managed during the year, in all material respects:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the Manager and the Trustee by the Trust Deed and by the European Communities (Undertakings for Collective Investment In Transferable Securities) Regulations 2011 (as amended) (the “Regulations”); and

(ii) otherwise in accordance with the provisions of the Trust Deed and the Regulations.

State Street Custodial Services (Ireland) Limited

78 Sir John Rogerson’s Quay

Dublin 2

Ireland

14 October 2015

A Note about the Trust’s Auditors


PricewaterhouseCoopers (Ireland) ("PwC") are the Trust's Irish statutory auditors. Because the Trust's Investment Advisor, The Putnam Advisory Company, LLC ("PAC") is regulated in the U.S. by the SEC, it is subject to certain SEC rules in its management of the Funds' investments, including rules on financial audit requirements for certain fund vehicles such as the Trust.

These financial statements are prepared in accordance with accounting standards generally accepted in Ireland (“Irish GAAP”). The financial statements have been audited in accordance with International Standards on Auditing (UK and Ireland) (“ISA”) and auditing standards generally accepted in the United States of America (“U.S. GAAS”).

Independent Auditors’ Report


Independent Auditors’ Report to the Unitholders of Putnam World Trust (the “Trust”) Our Opinion In our opinion, Putnam World Trust’s financial statements (the “financial statements”):

give a true and fair view of the funds’ assets, liabilities and financial position as at 30 June 2015 and of their results for the year then ended;

have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland; and

have been properly prepared in accordance with the requirements of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended).

What we have audited

The financial statements comprise:

the balance sheet as at 30 June 2015;

the profit and loss account for the year then ended;

the statement of changes in net assets attributable to redeemable participating unitholders for the year then ended;

the schedule of investments for each of the Funds as at 30 June 2015; and

the notes to the financial statements for each of its Funds which include a summary of significant accounting policies and other explanatory information.

The financial reporting framework that has been applied in the preparation of the financial statements is Irish law and accounting standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants in Ireland (Generally Accepted Accounting Practice in Ireland).

In applying the financial reporting framework, the Manager has made a number of subjective judgements, for example in respect of significant accounting estimates. In making such estimates, the manager has made assumptions and considered future events.

Responsibilities for the financial statements and the audit Our responsibilities and those of the Manager As explained more fully in the Statement of Manager’s Responsibilities set out on page 18, the Manager is responsible for the preparation of the financial statements giving a true and fair view.

Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and International Standards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board’s Ethical Standards for Auditors.

This report, including the opinion, has been prepared for and only for the unitholders of each of the funds as a body and for no other purpose. We do not, in giving this opinion, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.

What an audit of financial statements involves We conducted our audit in accordance with International Standards on Auditing (UK and Ireland). An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of:

whether the accounting policies are appropriate to the funds’ circumstances and have been consistently applied and adequately disclosed;

the reasonableness of significant accounting estimates made by the manager; and

the overall presentation of the financial statements.

We primarily focus our work in these areas by assessing the manager’s judgements against available evidence, forming our own judgements, and evaluating the disclosures in the financial statements.

We test and examine information, using sampling and other auditing techniques, to the extent we consider necessary to provide a reasonable basis for us to draw conclusions. We obtain audit evidence through testing the effectiveness of controls, substantive procedures or a combination of both.

In addition, we read all the financial and non-financial information in the annual report to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report.

PricewaterhouseCoopers Chartered Accountants and Registered Auditors Dublin 14 October 2015

Independent Auditors’ Report


To the Unitholders of the Funds of Putnam World Trust We have audited the accompanying financial statements of Putnam World Trust (the “Trust”), which comprise the balance sheet, including the schedule of investments, as of 30 June 2015 and the related profit and loss account and statement of changes in net assets attributable to redeemable participating unitholders for the year then ended. 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 Accounting Practice in Ireland; 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. Auditor’s 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 Trust’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 Trust’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 World Trust at 30 June 2015, and the results of its operations and changes in its net assets for the year then ended, in accordance with accounting principles Generally Accepted Accounting Practice in Ireland.

PricewaterhouseCoopers Chartered Accountants and Registered Auditors Dublin 14 October 2015

Putnam Asia Pacific (Ex-Japan) Equity Fund

Schedule of Investments 30 June 2015

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


NON-U.S. EQUITIES (91.51%) Number of

Shares

ValueUSD

% ofFund

Airlines (1.15%) 13,000 Cathay Pacific Airways Limited

(Hong Kong) USD 31,865 0.6211,252 Qantas Airways Limited (Australia) 27,347 0.53

59,212 1.15Banking (9.74%)

121,000 Bank of China Limited (China) 78,361 1.523,064 Bank of Queensland Limited (Australia) 30,189 0.59

108,000 China Construction Bank Corporation (China) 98,643 1.92

2,000 DBS Group Holdings Limited (Singapore) 30,709 0.60104,000 Industrial & Commercial Bank of China

Limited (China) 82,513 1.6189,000 King's Town Bank Company Limited

(Taiwan) 77,305 1.506,000 United Overseas Bank Limited (Singapore) 102,773 2.00

500,493 9.74Building Materials (0.77%)

31,000 China Singyes Solar Technologies Holdings Limited (Hong Kong) 39,672 0.77 39,672 0.77

Chemicals (2.40%) 438 AK Holdings Incorporated (South Korea) 30,589 0.60173 LG Chem Limited (South Korea) 43,116 0.84

1,136 Soulbrain Company Limited (South Korea) 49,546 0.96 123,251 2.40

Commercial Services (2.01%) 34,774 Affinity Education Group Limited (Australia) 21,732 0.4248,960 Ezion Holdings Limited (Singapore) 37,260 0.73

4,723 McMillan Shakespeare Limited (Australia) 44,020 0.86 103,012 2.01

Cosmetics/Personal Care (1.12%) 83 LG Household & Health Care Limited

(South Korea) 57,593 1.12 57,593 1.12

Diversified Financial Services (7.26%) 29,000 Chailease Holding Company Limited

(Taiwan) 69,928 1.36103,000 China Cinda Asset Management Company

Limited (China) 57,403 1.12139,477 CTBC Financial Holding Company Limited

(Taiwan) 109,169 2.1254,000 Far East Horizon Limited (Hong Kong) 50,994 0.99

817 Macquarie Group Limited (Australia) 51,292 1.00759 Mirae Asset Securities Company Limited

(South Korea) 34,294 0.67 373,080 7.26

Electric Utilities (3.43%) 22,000 China Resources Power Holdings Company

Limited (Hong Kong) 61,020 1.1980,600 First Gen Corporation (Philippines) 44,152 0.8692,000 Huadian Fuxin Energy Corporation Limited

(China) 44,032 0.8658,000 Malakoff Corporation Bhd (Malaysia) 26,902 0.52

176,106 3.43Electrical Components &Equipment (0.50%)

90,000 Jiangnan Group Limited (China) 25,775 0.50 25,775 0.50

Electronics (1.44%) 6,000 Casetek Holdings Limited (Taiwan) 37,045 0.72

24,000 Wasion Group Holdings Limited (Hong Kong) 36,844 0.72 73,889 1.44

NON-U.S. EQUITIES (91.51%) cont. Number of

Shares

ValueUSD

% ofFund

Engineering and Construction (3.65%) 132,100 DMCI Holdings Incorporated (Philippines) USD 38,145 0.7412,692 Downer EDI Limited (Australia) 46,710 0.915,410 Lend Lease Group (Australia) 62,737 1.22

36,530 Transfield Services Limited (Australia) 40,022 0.78 187,614 3.65

Environmental Control (1.00%) 64,000 Sound Global Limited (China) (F) 51,426 1.00

51,426 1.00Food (1.75%)

29,560 JG Summit Holdings Incorporated (Philippines) 46,939 0.91

63,000 WH Group Limited (Hong Kong) 42,994 0.84 89,933 1.75

Hand/Machine Tools (1.09%) 17,000 Techtronic Industries Company Limited

(Hong Kong) 55,924 1.09 55,924 1.09

Health-Care Services (0.95%) 2,959 Sonic Healthcare Limited (Australia) 48,720 0.95

48,720 0.95Health-Care Equip&Supply (0.89%)

2,472 Ansell Limited (Australia) 45,946 0.89 45,946 0.89

Home Furnishings (0.55%) 32,000 Skyworth Digital Holdings Limited

(Hong Kong) 28,402 0.55 28,402 0.55

Industrial Conglomerates (0.77%) 2,600 Siam Cement PCL (Thailand) 39,567 0.77

39,567 0.77Insurance (8.53%)

21,000 AIA Group Limited (Hong Kong) 136,947 2.6634,000 Cathay Financial Holding Company Limited

(Taiwan) 59,285 1.1519,974 Challenger Limited (Australia) 103,562 2.02

8,181 Hanwha Life Insurance Company Limited (South Korea) 58,014 1.13

9,918 Insurance Australia Group Limited (Australia) 42,699 0.83

3,429 Korean Reinsurance Company (South Korea) 37,811 0.74 438,318 8.53

Internet (8.94%) 798 Alibaba Group Holding Limited (China) 65,659 1.28581 Baidu Incorporated (China) 115,665 2.25819 Ctrip.com International Limited (China) 59,476 1.16321 NCSoft Corporation (South Korea) 57,124 1.11

6,900 Tencent Holdings Limited (China) 137,082 2.661,100 Vipshop Holdings Limited (China) 24,475 0.48

459,481 8.94Iron/Steel (0.15%)

489,404 Sundance Resources Limited (Australia) 7,930 0.15 7,930 0.15

Investment Companies (0.60%) 4,298 Macquarie Korea Infrastructure Fund

(South Korea) 31,018 0.60 31,018 0.60

Leisure Time (0.73%) 1,264 Modetour Network Incorporated

(South Korea) 37,565 0.73 37,565 0.73


Schedule of Investments cont. 30 June 2015




Shares

ValueUSD

% ofFund

Lodging (1.28%) 12,287 Echo Entertainment Group Limited

(Australia) USD 41,143 0.80876 Grand Korea Leisure Company Limited

(South Korea) 24,424 0.48 65,567 1.28

Machinery (1.54%) 24,202 Austal Limited (Australia) 34,172 0.66

1,876 Hollysys Automation Technologies Limited (China) 45,080 0.88 79,252 1.54

Machinery-Construction and Mining (3.08%) 2,315 BHP Billiton Limited (Australia) 48,279 0.94

3,433 Newcrest Mining Limited (Australia) 34,486 0.67174,600 Vale Indonesia Tbk PT (Indonesia) 35,424 0.69

16,256 Western Areas Limited (Australia) 40,261 0.78 158,450 3.08

Media (1.41%) 30,462 Nine Entertainment Company Holdings

Limited (Australia) 36,430 0.716,100 Television Broadcasts Limited (Hong Kong) 35,963 0.70

72,393 1.41Medical Technology (1.26%)

20,897 Asaleo Care Limited (Australia) 30,473 0.5920,000 CHC Healthcare Group (Taiwan) 34,031 0.67

64,504 1.26Metal Fabricate/Hardware (0.81%)

144,000 EVA Precision Industrial Holdings Limited (Hong Kong) 41,798 0.81 41,798 0.81

Pharmaceuticals (0.54%) 150,000 Hua Han Bio-Pharmaceutical Holdings

Limited (Hong Kong) 27,865 0.54 27,865 0.54

Real Estate (4.85%) 18,000 China Overseas Land & Investment Limited

(Hong Kong) 63,394 1.2313,777 China Resources Land Limited (Hong Kong) 44,522 0.876,054 Goodman Group (Australia) 29,240 0.57

1,676,600 Kawasan Industri Jababeka Tbk PT (Indonesia) 32,821 0.64

44,000 KWG Property Holding Limited (China) 37,066 0.7213,355 Stockland (Australia) 42,247 0.82

249,290 4.85


Shares

ValueUSD

% ofFund

Retail (1.45%) 271 Hyundai Department Store Company

Limited (South Korea) USD 35,714 0.6947,400 Puregold Price Club Incorporated

(Philippines) 38,738 0.76 74,452 1.45

Semiconductors (9.07%) 35,000 Advanced Semiconductor Engineering

Incorporated (Taiwan) 47,359 0.92240 Samsung Electronics Company Limited

(South Korea) 272,823 5.3132,219 Taiwan Semiconductor Manufacturing

Company Limited (Taiwan) 146,191 2.84 466,373 9.07

Software (1.08%) 382 NetEase Incorporation ADR (China) 55,310 1.08

55,310 1.08Telecommunications (5.03%)

10,000 China Mobile Limited (Hong Kong) 127,974 2.4968,303 PCCW Limited (Hong Kong) 40,709 0.79

9,391 Spark New Zealand Limited (New Zealand) 17,787 0.3531,000 TCL Communication Technology Holdings

Limited (China) 28,914 0.569,115 Telstra Corporation Limited (Australia) 43,110 0.84

258,494 5.03Transportation (0.69%)

22,500 Kerry Logistics Network Limited (Hong Kong) 35,470 0.69 35,470 0.69

Total Non-U.S. Equities USD 4,703,145 91.51

WARRANTS (4.09%)

Number ofWarrants

ExpirationDate

ValueUSD

% ofFund

30,400 China State Construction Engineering Corporation Limited (Switzerland)† 18/04/2016 USD 40,739 0.799 Daqin Railway Company Limited (Switzerland)† 31/03/2016 20 -

4,200 Gree Electric Appliances Incorporated of Zhuhai (Switzerland)† 24/06/2016 43,280 0.858,700 Qingdao Haier Company Limited (Switzerland)† 18/03/2016 42,553 0.83

10,400 UBS AG London Warrants (China) 29/06/2017 33,562 0.659,800 Wuliangye Yibin Company Limited (Switzerland)† 15/04/2016 50,098 0.97

Total Warrants USD 210,252 4.09Total Value of Investments excluding financial derivative instruments USD 4,913,397 95.60 † Single broker sourced priced securities. (F) is valued at fair value following procedures approved by the Investment Advisor. Securities may be classified as Level 2 or Level 3 for Financial Reporting Standard 29 ("FRS 29"), "Improving Disclosures about Financial Instruments" based on the securities' valuation inputs.





OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING (-0.10%)

Swap Counterparty

NotionalAmount

Upfrontpremium

received (paid)Termination

Date

Paymentsreceived (paid) by

Fund per annum

Total returnreceived by

or (paid) by Fund

Unrealised Depreciation

USD% of

FundDeutsche Bank AG

baskets 273 USD - 14/04/2016(3 month USD-LIBOR-BBA

plus 55 bp) A basket (UBSPUTNH) of

common stocks USD (4,944) (0.10)Unrealised Depreciation on OTC Total Return Swap Contracts Outstanding USD (4,944) (0.10) FORWARD FOREIGN EXCHANGE CURRENCY CONTRACTS (0.44%)

Counterparty Currency Contract

typeDelivery

dateValue

USD

Aggregateface value

USD

UnrealisedAppreciation/

(Depreciation)USD

% ofFund

Bank of America, N.A. British Pound Sell 16/09/2015 63,635 65,548 USD 1,913 0.05 Euro Buy 16/09/2015 3,396 3,452 (56) -Barclays Bank PLC Australian Dollar Sell 15/07/2015 14,726 14,482 (244) -Citibank, N.A. British Pound Sell 16/09/2015 43,524 44,843 1,319 0.03 Euro Buy 16/09/2015 12,986 12,984 2 - Euro Sell 16/09/2015 119,473 121,541 2,068 0.04Credit Suisse International British Pound Sell 16/09/2015 72,139 74,319 2,180 0.04 Euro Sell 16/09/2015 121,371 123,351 1,980 0.04Deutsche Bank AG British Pound Sell 16/09/2015 24,713 25,454 741 0.01 Euro Buy 16/09/2015 19,679 19,479 200 - Euro Sell 16/09/2015 4,795 4,874 79 -HSBC Bank USA, National Association British Pound Sell 16/09/2015 64,535 66,496 1,961 0.04 Euro Buy 16/09/2015 112,880 114,800 (1,920) (0.05)JPMorgan Chase Bank, N.A. Australian Dollar Sell 15/07/2015 40,785 40,125 (660) (0.01) British Pound Sell 16/09/2015 31,217 32,145 928 0.02Royal Bank of Scotland PLC Euro Buy 16/09/2015 15,084 15,327 (243) -State Street Bank & Trust Company British Pound Buy 16/09/2015 17,710 18,214 (504) (0.01) British Pound Sell 16/09/2015 87,148 89,783 2,635 0.05 Euro Buy 16/09/2015 41,756 42,463 (707) (0.01)UBS AG Australian Dollar Buy 15/07/2015 115,803 113,927 1,876 0.04 British Pound Buy 16/09/2015 24,013 24,005 8 - British Pound Sell 16/09/2015 58,132 59,901 1,769 0.03 Euro Sell 16/09/2015 162,428 165,193 2,765 0.05Westpac Banking Corporation British Pound Sell 16/09/2015 30,917 31,846 929 0.02 Euro Sell 16/09/2015 191,197 194,318 3,121 0.06Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 26,474 0.52Unrealised Depreciation on Forward Foreign Exchange Currency Contracts USD (4,334) (0.08)Net Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 22,140 0.44Total Financial Assets at Fair Value through Profit or Loss USD 4,939,871 96.12Total Financial Liabilities at Fair Value through Profit or Loss USD (9,278) (0.18) Analysis of Total Assets (unaudited)

% ofTotal Assets

(a) Transferable securities admitted to official stock exchange listing 86.51(b) Transferable securities other than those admitted to official stock exchange listing or dealt in on another regulated market 0.70(c) Investment Companies 0.58(d) OTC financial derivative instruments 4.42(e) Other assets 7.79Total Assets 100.00

Putnam Emerging Markets Equity Fund





SharesValue

USD% of

FundAirlines (1.38%)

77,257 Air Arabia PJSC (United Arab Emirates) USD 34,076 0.6611,239 Turk Hava Yollari AO (Turkey) 36,903 0.72

70,979 1.38Auto Parts and Equipment (0.48%)

9,354 Apollo Tyres Limited (India) 24,971 0.48 24,971 0.48

Automotive (1.02%) 7,711 Tata Motors Limited (India) 52,517 1.02

52,517 1.02Banking (13.41%)

5,379 Axis Bank Limited (India) 47,130 0.91107,000 Bank of China Limited (China) 69,295 1.34108,000 China Construction Bank Corporation

(China) 98,644 1.9112,842 Commercial International Bank Egypt SAE

(Egypt) 93,747 1.82135 Credicorp Limited (Peru) 18,757 0.36

48,438 Dubai Islamic Bank PJSC (United Arab Emirates) 89,282 1.73

18,378 Federal Bank Limited (India) 42,669 0.8310,596 Grupo Financiero Banorte SAB de CV

(Mexico) 58,085 1.1399,000 Industrial & Commercial Bank of China

Limited (China) 78,546 1.523,572 Itau Unibanco Holding SA (Brazil) 39,078 0.76

65,000 King's Town Bank Company Limited (Taiwan) 56,459 1.10


27,000 China Singyes Solar Technologies Holdings Limited (Hong Kong) 34,553 0.67

34,553 0.67Chemicals (2.61%)

333 AK Holdings Incorporated (South Korea) 23,256 0.45139 LG Chemical Limited (South Korea) 34,643 0.67

2,661 PhosAgro OAO (Russia) 33,529 0.65991 Soulbrain Company Limited (South Korea) 43,222 0.84

134,650 2.61Commercial Services (2.63%)

6,672 Adani Ports & Special Economic Zone Limited (India) 32,255 0.63

30,480 Ezion Holdings Limited (Singapore) 23,196 0.451,945 Net 1 UEPS Technologies Incorporated

(South Africa) 35,516 0.697,100 Qualicorp SA (Brazil) 44,645 0.86

135,612 2.63Cosmetics/Personal Care (1.01%)

75 LG Household & Health Care Limited (South Korea) 52,042 1.01

52,042 1.01Diversified Financial Services (7.74%)

26,900 Chailease Holding Company Limited (Taiwan) 64,864 1.26

93,000 China Cinda Asset Management Company Limited (China) 51,830 1.00

123,255 CTBC Financial Holding Company Limited (Taiwan) 96,472 1.87

9,575 Dewan Housing Finance Corporation Limited (India) 63,122 1.22

48,000 Far East Horizon Limited (Hong Kong) 45,328 0.88650 Mirae Asset Securities Company Limited

(South Korea) 29,369 0.5725,776 Moscow Exchange MICEX-RTS PJSC

(Russia) 25,776 0.50

NON-U.S. EQUITIES (89.87%) cont.Number of

SharesValue

USD% of

FundDiversified Financial Services (7.74%) cont.

1,683 Shriram Transport Finance Company Limited (India) USD 22,506 0.44

399,267 7.74Electric Utilities (3.55%)

18,000 China Resources Power Holdings Company Limited (Hong Kong) 49,926 0.97

2,252 Enersis SA (Chile) 35,604 0.6961,800 First Gen Corporation (Philippines) 33,854 0.66

78,000 Huadian Fuxin Energy Corporation Limited (China) 37,332 0.72

57,400 Malakoff Corporation Bhd (Malaysia) 26,623 0.51

183,339 3.55Electrical Components &Equipment (0.47%)

84,000 Jiangnan Group Limited (China) 24,057 0.47

24,057 0.47Electronics (1.19%)

5,000 Casetek Holdings Limited (Taiwan) 30,871 0.6020,000 Wasion Group Holdings Limited

(Hong Kong) 30,704 0.59

61,575 1.19Engineering and Construction (2.07%)

82,000 DMCI Holdings Incorporated (Philippines) 23,678 0.4610,189 IRB Infrastructure Developers Limited

(India) 37,177 0.72899 Mota-Engil Africa NV (South Africa) 6,685 0.13

15,461 Mota-Engil SGPS SA (Portugal) 39,300 0.76

106,840 2.07Environmental Control (0.93%)

60,000 Sound Global Limited (China) (F) 48,212 0.93

48,212 0.93Food (7.19%)

3,912 Gruma SAB de CV (Mexico) 50,267 0.97231 Hyundai Department Store Company

Limited (South Korea) 30,442 0.5910,543 JBS SA (Brazil) 55,409 1.0721,660 JG Summit Holdings Incorporated

(Philippines) 34,395 0.6741,500 Puregold Price Club Incorporated

(Philippines) 33,916 0.662,184 Sao Martinho SA (Brazil) 26,342 0.512,586 Shoprite Holdings Limited (South Africa) 36,798 0.71

14,000 Wal-Mart de Mexico SAB de CV (Mexico) 34,159 0.6743,500 WH Group Limited (Hong Kong) 29,686 0.58

2,367 X5 Retail Group NV (Russia) 39,411 0.76

370,825 7.19Health-Care Services (1.79%)

4,877 Mediclinic International Limited (South Africa) 41,025 0.80

16,281 Netcare Limited (South Africa) 51,188 0.99

92,213 1.79Home Furnishings (0.45%)

26,000 Skyworth Digital Holdings Limited (Hong Kong) 23,077 0.45

23,077 0.45Industrial Conglomerates (0.65%)

2,200 Siam Cement PCL (Thailand) 33,480 0.65

33,480 0.65






SharesValue

USD% of

FundInsurance (2.49%)

31,000 Cathay Financial Holding Company Limited (Taiwan) USD 54,054 1.05

6,441 Hanwha Life Insurance Company Limited (South Korea) 45,675 0.89

2,603 Korean Reinsurance Company (South Korea) 28,703 0.55

128,432 2.49Internet (8.31%)

730 Alibaba Group Holding Limited (China) 60,064 1.16551 Baidu Incorporated (China) 109,693 2.13

765 Ctrip.com International Limited (China) 55,554 1.08260 NCSoft Corporation (South Korea) 46,268 0.90

6,900 Tencent Holdings Limited (China) 137,082 2.66900 Vipshop Holdings Limited (China) 20,025 0.38

428,686 8.31Investment Companies (0.50%)

3,556 Macquarie Korea Infrastructure Fund (South Korea) 25,663 0.50

25,663 0.50Leisure Time (0.62%)

1,080 Modetour Network Incorporated (South Korea) 32,096 0.62

32,096 0.62Lodging (0.39%)

718 Grand Korea Leisure Company Limited (South Korea) 20,019 0.39

20,019 0.39Machinery (0.78%)

1,685 Hollysys Automation Technologies Limited (China) 40,491 0.78

40,491 0.78Machinery-Construction and Mining (2.57%)

8,202 Hindustan Zinc Limited (India) 21,523 0.422,110 MMC Norilsk Nickel PJSC (Russia) 35,554 0.69

19,638 Sibanye Gold Limited (South Africa) 31,363 0.61216,500 Vale Indonesia Tbk PT (Indonesia) 43,925 0.85

132,365 2.57Media (3.05%)

19,562 Dish TV India Limited (India) 32,547 0.63556 Naspers Limited (South Africa) 86,310 1.67

6,701 Zee Entertainment Enterprises Limited (India) 38,730 0.75


14,000 CHC Healthcare Group (Taiwan) 23,821 0.46


128,000 EVA Precision Industrial Holdings Limited (Hong Kong) 37,154 0.72

37,154 0.72Oil and Natural Gas Utilities (0.74%)

4,768 Genel Energy Plc (United Kingdom) 37,983 0.74

37,983 0.74Pharmaceuticals (1.32%)

1,958 Aurobindo Pharma Limited (India) 44,830 0.87126,000 Hua Han Bio-Pharmaceutical Holdings

Limited (Hong Kong) 23,407 0.45

68,237 1.32Real Estate (5.09%)

16,000 China Overseas Land & Investment Limited (Hong Kong) 56,350 1.09

11,333 China Resources Land Limited (Hong Kong) 36,624 0.71


SharesValue

USD% of

FundReal Estate (5.09%) cont.

47,634 DAMAC Properties Dubai Company PJSC (United Arab Emirates) USD 39,945 0.77

41,350 Emlak Konut Gayrimenkul Yatirim Ortakligi AS (Turkey) 42,583 0.83

1,386,800 Kawasan Industri Jababeka Tbk PT (Indonesia) 27,148 0.53

40,000 KWG Property Holding Limited (China) 33,696 0.6519,200 Mexico Real Estate Management SA de

CV (Mexico) 26,423 0.51 262,769 5.09Semiconductors (8.43%)

32,000 Advanced Semiconductor Engineering Incorporated (Taiwan) 43,300 0.84

219 Samsung Electronics Company Limited (South Korea) 248,951 4.82

31,464 Taiwan Semiconductor Manufacturing Company Limited (Taiwan) 142,766 2.77

435,017 8.43Software (1.61%)

2,431 HCL Technologies Limited (India) 35,129 0.68332 NetEase Incorporated (China) 48,070 0.93


9,500 China Mobile Limited (Hong Kong) 121,576 2.3613,540 Idea Cellular Limited (India) 37,475 0.73

26,000 TCL Communication Technology Holdings Limited (China) 24,251 0.46

183,302 3.55Total Non-U.S. Equities USD 4,636,722 89.87 WARRANTS (5.09%)

Number ofWarrants

ValueUSD

% ofFund

1,262 Al Tayyar Travel Group Holding Company (Curaçao)† USD 33,259 0.64

2,880 Arab National Bank (Curaçao)† 25,372 0.4926,800 China State Construction Engineering

Corporation Limited (Switzerland)† 35,915 0.706 Daqin Railway Company Limited

(Switzerland)† 14 -3,600 Gree Electric Appliances Incorporated of

Zhuhai (Switzerland)† 37,097 0.722,319 Kuwait Food Company Americana SAK

(Curaçao)† 20,709 0.408,500 UBS AG London Branch (Switzerland)† 43,453 0.848,000 UBS AG London Branch (Switzerland)† 39,129 0.768,700 UBS AG London Warrants (China) 28,075 0.54

Total Warrants USD 263,023 5.09Total Value of Investments excluding financial derivative instruments USD 4,899,745 94.96

† Single broker sourced priced securities. (F) is valued at fair value following procedures approved by the Investment Advisor. Securities may be classified as Level 2 or Level 3 for Financial Reporting Standard 29 ("FRS 29"), “Improving Disclosures about Financial Instruments” based on the securities' valuation inputs. .






Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund

Unrealised Depreciation

USD% of

FundUBS AG


plus 55 bp)A basket (UBSPUTNH) of

common stocks USD (3,948) (0.08)Unrealised Depreciation on OTC Total Return Swap Contracts Outstanding USD (3,948) (0.08) FORWARD FOREIGN EXCHANGE CURRENCY CONTRACTS (0.40%)


typeDelivery

dateValue

USD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Bank of America, N.A. British Pound Sell 16/09/2015 62,734 64,620 USD 1,886 0.04 Citibank, N.A British Pound Sell 16/09/2015 66,136 68,141 2,005 0.04 Euro Sell 16/09/2015 131,061 133,329 2,268 0.04 Credit Suisse AG British Pound Sell 16/09/2015 63,835 65,763 1,928 0.04 Euro Sell 16/09/2015 65,930 67,005 1,075 0.02 Deutsche Bank AG British Pound Buy 16/09/2015 35,519 36,584 (1,065) (0.02) Euro Buy 16/09/2015 99,594 101,242 (1,648) (0.03) Euro Buy 16/09/2015 17,781 17,600 181 -Goldman Sachs International British Pound Sell 16/09/2015 80,344 82,777 2,433 0.05 Euro Buy 16/09/2015 7,592 7,719 (127) -HSBC Bank USA, National Association British Pound Sell 16/09/2015 82,545 85,053 2,508 0.05 Euro Buy 16/09/2015 115,577 117,543 (1,966) (0.04)JPMorgan Chase Bank, N.A. British Pound Sell 16/09/2015 27,315 28,127 812 0.02 Euro Sell 16/09/2015 68,128 69,214 1,086 0.02 Royal Bank of Scotland PLC Euro Buy 16/09/2015 11,588 11,774 (186) -State Street Bank & Trust Company British Pound Sell 16/09/2015 30,917 31,852 935 0.02 Euro Sell 16/09/2015 60,935 61,968 1,033 0.02 UBS AG British Pound Buy 16/09/2015 16,909 16,859 50 - British Pound Sell 16/09/2015 23,313 24,022 709 0.01 Euro Sell 16/09/2015 41,955 42,670 715 0.01 Westpac Banking Corporation British Pound Sell 16/09/2015 69,838 71,938 2,100 0.04 Euro Sell 16/09/2015 228,058 231,780 3,722 0.07 Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 25,446 0.49 Unrealised Depreciation on Forward Foreign Exchange Currency Contracts USD (4,992) (0.09)Net Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 20,454 0.40 Total Financial Assets at Fair Value through Profit or Loss USD 4,925,191 95.45Total Financial Liabilities at Fair Value through Profit or Loss USD (8,940) (0.17) Analysis of Total Assets (unaudited)

% ofTotal Assets

(a) Transferable securities admitted to official stock exchange listing 86.62(b) Transferable securities other than those admitted to official stock exchange listing or dealt in on another regulated market 0.61(c) Investment Companies 0.48(d) OTC financial derivative instruments 5.46(e) Other assets 6.83Total Assets 100.00

Putnam Global Core Equity Fund





Shares

ValueUSD

% ofFund

Aerospace and Defense (0.36%) 95 BAE Systems PLC (United Kingdom) USD 674 0.01

15,205 Bombardier Incorporated (Canada) 27,269 0.35 27,943 0.36

Agriculture (2.69%) 1,446 Imperial Tobacco Group PLC (United

Kingdom) 69,660 0.903,900 Japan Tobacco Incorporated (Japan) 138,731 1.79

208,391 2.69Airlines (0.99%)

15,223 Aer Lingus Group PLC (Ireland) 40,901 0.534,549 International Consolidated Airlines Group

SA (United Kingdom) 35,345 0.46 76,246 0.99

Banking (4.17%) 279,326 Bank of Ireland (Ireland) 113,352 1.47

2,809 ING Groep NV (Netherlands) 46,379 0.601,022 Metro Bank PLC (United Kingdom) (F) 24,228 0.318,891 Natixis SA (France) 63,983 0.83

14,348 Permanent TSB Group Holdings PLC (Ireland) 74,381 0.96 322,323 4.17

Beverages (1.14%) 402 Anheuser-Busch InBev NV (Belgium) 48,513 0.63

3,532 Britvic PLC (United Kingdom) 39,791 0.51 88,304 1.14

Building Materials (0.44%) 1,700 LIXIL Group Corporation (Japan) 33,740 0.44

33,740 0.44Chemicals (0.91%)

448 Akzo Nobel NV (Netherlands) 32,599 0.42611 Symrise AG (Germany) 37,989 0.49


55,160 Ezion Holdings Limited (Singapore) 41,979 0.54 41,979 0.54

Diversified Financial Services (0.39%) 4,545 Dewan Housing Finance Corporation

Limited (India) 29,962 0.39 29,962 0.39

Electrical Components &Equipment (0.55%) 1,491 Canadian Solar Incorporated (Canada) 42,643 0.55

42,643 0.55Electronics (1.20%)

67 Kaba Holding AG (Switzerland) 39,844 0.52300 Murata Manufacturing Company Limited

(Japan) 52,237 0.68 92,081 1.20

Engineering and Construction (0.77%) 572 Aena SA (Spain) 59,771 0.77

59,771 0.77Food (1.83%)

1,063 Associated British Foods PLC (United Kingdom) 47,953 0.62

554 Kerry Group PLC (Ireland) 40,955 0.53723 Nestle SA (Switzerland) 52,198 0.68

141,106 1.83Food Service (0.47%)

2,210 Compass Group PLC (United Kingdom) 36,565 0.47 36,565 0.47

Hand/Machine Tools (0.53%) 12,500 Techtronic Industries Company Limited

(Hong Kong) 41,121 0.53 41,121 0.53


Shares

ValueUSD

% ofFund

Home Furnishings (0.50%) 474 Coway Company Limited

(South Korea) USD 38,755 0.50 38,755 0.50

Insurance (4.12%) 2,043 Admiral Group PLC (United Kingdom) 44,491 0.582,841 Assured Guaranty Limited (Bermuda) 68,156 0.88

20,442 Challenger Limited (Australia) 105,988 1.372,685 St James's Place PLC (United Kingdom) 38,201 0.492,582 Prudential PLC (United Kingdom) 62,173 0.80

319,009 4.12Internet (0.59%)

4,900 Com Hem Holding AB (Sweden) 45,395 0.59 45,395 0.59

Leisure Time (2.30%) 38,130 Thomas Cook Group PLC (United Kingdom) 81,899 1.064,400 Yamaha Motor Company Limited (Japan) 96,208 1.24

178,107 2.30Lodging (1.36%)

592 Accor SA (France) 29,874 0.397,527 Dalata Hotel Group PLC (Ireland) 29,798 0.397,759 NH Hotel Group SA (Spain) 44,548 0.58

104,220 1.36Media (3.30%)

4,206 Atresmedia Corporation de Medios de Comunicacion SA (Spain) 65,131 0.84

284,600 Global Mediacom Tbk PT (Indonesia) 24,762 0.321,047 Liberty Global PLC (United Kingdom) 56,601 0.73

10,363 Mediaset SpA (Italy) 49,817 0.641,122 Numericable-SFR SAS (France) 59,428 0.77


4,845 Assa Abloy AB (Sweden) 91,233 1.18 91,233 1.18

Oil and Natural Gas Utilities (1.11%) 3,185 BG Group PLC (United Kingdom) 52,997 0.69

4,093 Genel Energy PLC (United Kingdom) 32,606 0.42 85,603 1.11

Pharmaceuticals (5.66%) 6,200 Astellas Pharma Incorporated (Japan) 88,275 1.141,236 AstraZeneca PLC (United Kingdom) 78,052 1.01

268 Jazz Pharmaceuticals PLC (Ireland) 47,187 0.611,167 Novartis AG (Switzerland) 115,021 1.49557 Sanofi (France) 54,794 0.71

1,400 Shionogi & Company Limited (Japan) 54,165 0.70 437,494 5.66

Private Equity (0.62%) 719 Eurazeo SA (France) 47,550 0.62

47,550 0.62Real Estate (2.15%)

1,205 Altisource Residential Corporation (Virgin Islands) 20,304 0.26

54,057 Hibernia REIT PLC (Ireland) 75,573 0.988,694 Regus PLC (Luxembourg) 35,667 0.461,000 Sumitomo Realty & Development Company

Limited (Japan) 35,053 0.45 166,597 2.15

Retail (1.12%) 735 Luxottica Group SpA (Italy) 48,878 0.631,131 Zalando SE (Germany) 37,739 0.49

86,617 1.12






Shares

ValueUSD

% ofFund

Semiconductors (1.69%) 38 Samsung Electronics Company Limited

(South Korea) USD 43,197 0.561,039 SK Hynix Incorporated (South Korea) 39,354 0.51

3,800 Sumco Corporation (Japan) 47,568 0.62 130,119 1.69

Telecommunications (3.08%) 8,631 Bharti Infratel Limited (India) 60,829 0.79

13,479 Koninklijke KPN NV (Netherlands) 51,543 0.6741,581 Telecom Italia SpA (Italy) 42,277 0.552,268 Vodafone Group PLC (United Kingdom) 82,646 1.07

237,295 3.08Water (0.68%)

2,571 Veolia Environnement SA (France) 52,410 0.68 52,410 0.68

Toys/Games/Hobbies (0.65%) 300 Nintendo Company Limited (Japan) 50,080 0.65

50,080 0.65Total Non-U.S. Equities USD 3,638,986 47.09

U.S. EQUITIES (49.73%) Number of

Shares

ValueUSD

% ofFund

Aerospace and Defense (1.25%) 321 L-3 Communications Holdings Incorporated USD 36,395 0.47

382 Northrop Grumman Corporation 60,593 0.78 96,988 1.25

Agriculture (0.58%) 561 Philip Morris International Incorporated 44,959 0.58

44,959 0.58Airlines (1.39%)

1,296 American Airlines Group Incorporated 51,749 0.67892 Spirit Airlines Incorporated 55,384 0.72

107,133 1.39Banking (1.47%)

2,230 Bank of America Corporation 37,955 0.491,959 Morgan Stanley 75,970 0.98

113,925 1.47Biotechnology (2.61%)

567 AMAG Pharmaceuticals Incorporated 39,151 0.51194 Biogen Incorporated 78,364 1.01381 Celgene Corporation 44,093 0.57835 PTC Therapeutics Incorporated 40,164 0.52


1,180 Fortune Brands Home & Security Incorporated 54,044 0.70 54,044 0.70

Chemicals (2.42%) 1,033 Axiall Corporation 37,198 0.481,827 Huntsman Corporation 40,304 0.52668 Monsanto Company 71,202 0.92140 Sherwin-Williams Company 38,508 0.50


1,198 Live Nation Entertainment Incorporated 32,933 0.431,231 Service Corporation International 36,228 0.47

69,161 0.90Computers (0.52%)

618 Computer Sciences Corporation 40,566 0.52 40,566 0.52

Cosmetics/Personal Care (1.02%) 2,471 Coty Incorporated 79,023 1.02

79,023 1.02

U.S. EQUITIES (49.73%) cont. Number of

Shares

ValueUSD

% ofFund

Diversified Financial Services (2.95%) 1,507 Charles Schwab Corporation USD 49,143 0.643,135 E*TRADE Financial Corporation 93,831 1.211,266 Visa Incorporated 84,974 1.10

227,948 2.95Electric Utilities (2.96%)

5,102 Calpine Corporation 91,734 1.192,680 Exelon Corporation 84,179 1.092,308 NRG Energy Incorporated 52,784 0.68

228,697 2.96Energy-Alternate Sources (0.54%)

1,400 SunEdison Incorporated 41,860 0.54 41,860 0.54

Food (2.18%) 676 JM Smucker Company 73,258 0.95

1,318 Pinnacle Foods Incorporated 60,022 0.78405 Kraft Foods Group Incorporated 34,486 0.45


1,715 Capital Senior Living Corporation 42,000 0.54449 Universal Health Services Incorporated 63,803 0.83

105,803 1.37Home Builders (1.35%)

3,485 PulteGroup Incorporated 70,223 0.913,808 Standard Pacific Corporation 33,891 0.44


3,665 TiVo Incorporated 37,163 0.48 37,163 0.48

Insurance (4.62%) 2,136 American International Group Incorporated 132,048 1.71

7,023 Genworth Financial Incorporated 53,164 0.693,109 Hartford Financial Services Group

Incorporated 129,179 1.672,249 Radian Group Incorporated 42,169 0.55

356,560 4.62Internet (3.42%)

146 Amazon.com Incorporated 63,370 0.82574 Facebook Incorporated 49,226 0.64192 Google Incorporated 99,930 1.29

1,325 Yahoo! Incorporated 52,059 0.67 264,585 3.42

Leisure Time (0.58%) 878 Brunswick Corporation 44,655 0.58

44,655 0.58Lodging (0.50%)

1,400 Hilton Worldwide Holdings Incorporated 38,556 0.50 38,556 0.50

Media (1.19%) 291 Charter Communications Incorporated 49,796 0.64627 DISH Network Corporation 42,454 0.55


225 Cooper Companies Incorporated 40,041 0.52 40,041 0.52

Oil and Natural Gas Utilities (3.08%) 884 Anadarko Petroleum Corporation 68,996 0.89

1,450 Cabot Oil & Gas Corporation 45,733 0.59923 Exxon Mobil Corporation 76,757 0.99

1,089 Halliburton Company 46,892 0.61 238,378 3.08






Shares

ValueUSD

% ofFund

Packaging and Containers (0.97%) 1,465 Sealed Air Corporation USD 75,286 0.97


712 Bristol-Myers Squibb Company 47,348 0.61632 Cardinal Health Incorporated 52,860 0.68

1,009 Impax Laboratories Incorporated 46,323 0.60708 Mylan NV 48,045 0.62130 Valeant Pharmaceuticals International

Incorporated 28,882 0.37 223,458 2.88

Real Estate (1.97%) 293 Howard Hughes Corporation 42,031 0.54

2,138 Kennedy-Wilson Holdings Incorporated 52,573 0.681,628 RE/MAX Holdings Incorporated 57,713 0.75

152,317 1.97Retail (2.43%)

312 Advance Auto Parts Incorporated 49,689 0.64489 Home Depot Incorporated 54,318 0.70745 Lowe's Companies Incorporated 49,878 0.63

2,532 Tile Shop Holdings Incorporated 35,929 0.46 189,814 2.43

Semiconductors (1.30%) 527 Lam Research Corporation 42,871 0.55

3,065 Micron Technology Incorporated 57,745 0.75 100,616 1.30


Shares

ValueUSD

% ofFund

Software (0.45%) 1,453 Activision Blizzard Incorporated USD 35,177 0.45


7,421 Frontier Communications Corporation 36,734 0.48 36,734 0.48

Transportation (0.65%) 525 Union Pacific Corporation 50,059 0.65

50,059 0.65Total U.S. Equities USD 3,846,620 49.73 PREFERRED STOCK (0.35%)

Number ofShares

ValueUSD

% ofFund

Technology (0.35%) 906 Uber Technology Incorporated P/P (F) USD 27,167 0.35

Total Preferred Stock USD 27,167 0.35Total Value of Investments excluding financial derivative instruments USD 7,512,773 97.17 (F) is valued at fair value following procedures approved by the Investment Advisor. Securities may be classified as Level 2 or Level 3 for Financial Reporting Standard 29 ("FRS 29"), “Improving Disclosures about Financial Instruments” based on the securities’ valuation inputs.

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING (0.04%)

Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund

Unrealised Appreciation

USD% of

FundJPMorgan Chase Bank N.A.


plus 30 bp) A basket (JPCMPTMD) of

common stocks USD 3,196 0.04Unrealised Appreciation on OTC Total Return Swap Contracts Outstanding USD 3,196 0.04 FORWARD FOREIGN EXCHANGE CURRENCY CONTRACTS (0.27%)


typeDelivery

dateValue

USD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Bank of America, N.A. British Pound Sell 16/09/2015 108,159 111,410 USD 3,251 0.04 Euro Sell 16/09/2015 28,459 28,003 (456) (0.01) Japanese Yen Buy 19/08/2015 46,285 45,900 385 -Barclays Bank PLC Canadian Dollar Buy 15/07/2015 21,774 21,484 290 - Euro Sell 16/09/2015 55,690 54,760 (930) (0.01) Hong Kong Dollar Buy 19/08/2015 54,051 54,061 (10) - Japanese Yen Sell 19/08/2015 9,359 9,558 199 - Singapore Dollar Sell 19/08/2015 2,671 2,709 38 - Swiss Franc Sell 16/09/2015 31,109 30,795 (314) -Citibank, N.A. Australian Dollar Buy 15/07/2015 24,286 23,892 394 0.01 British Pound Sell 16/09/2015 2,001 2,062 61 - Canadian Dollar Buy 15/07/2015 40,906 40,361 545 0.01





FORWARD FOREIGN EXCHANGE CURRENCY CONTRACTS (0.27%) cont.


typeDelivery

dateValue

USD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Citibank, N.A. cont. Danish Krone Buy 16/09/2015 34,147 34,124 USD 23 - Euro Sell 16/09/2015 98,769 97,089 (1,680) (0.02) Japanese Yen Buy 19/08/2015 46,976 47,970 (994) (0.01)Credit Suisse AG Australian Dollar Buy 15/07/2015 33,461 32,919 542 0.01 British Pound Buy 16/09/2015 111,027 107,771 3,256 0.04 British Pound Sell 16/09/2015 169,092 174,200 5,108 0.07 Canadian Dollar Buy 15/07/2015 147,613 146,870 743 0.01 Canadian Dollar Sell 15/07/2015 35,142 34,669 (473) (0.01) Euro Buy 16/09/2015 106,470 104,761 1,709 0.02 Euro Sell 16/09/2015 108,485 110,254 1,769 0.02 Japanese Yen Sell 19/08/2015 22,087 22,524 437 0.01 New Zealand Dollar Buy 15/07/2015 2,437 2,663 (226) - Swiss Franc Buy 16/09/2015 84,210 83,348 862 0.01Deutsche Bank AG Australian Dollar Buy 15/07/2015 46,722 46,386 336 - British Pound Sell 16/09/2015 29,837 28,969 (868) (0.01) British Pound Sell 16/09/2015 59,833 61,626 1,793 0.02 Canadian Dollar Buy 15/07/2015 29,218 28,815 403 0.01 Euro Buy 16/09/2015 31,361 31,683 (322) - Euro Buy 16/09/2015 5,469 5,380 89 - Euro Buy 16/09/2015 21,877 21,654 223 - Euro Sell 16/09/2015 15,983 16,247 264 -Goldman Sachs International British Pound Sell 16/09/2015 50,428 51,955 1,527 0.02 Euro Sell 16/09/2015 59,537 60,531 994 0.01HSBC Bank USA, National Association Australian Dollar Buy 15/07/2015 23,438 23,041 397 0.01 British Pound Sell 16/09/2015 63,915 62,030 (1,885) (0.02) British Pound Sell 16/09/2015 7,904 8,144 240 - Canadian Dollar Sell 15/07/2015 29,619 30,584 965 0.01 Euro Sell 16/09/2015 184,703 181,615 (3,088) (0.05)JPMorgan Chase Bank, N.A. British Pound Sell 16/09/2015 78,048 75,796 (2,252) (0.03) British Pound Sell 16/09/2015 95,552 98,392 2,840 0.04 Euro Buy 16/09/2015 21,539 21,134 405 0.01 Euro Sell 16/09/2015 29,128 28,671 (457) (0.01) Euro Sell 16/09/2015 227,559 231,186 3,627 0.05 Japanese Yen Buy 19/08/2015 726 741 (15) - Norwegian Krone Buy 16/09/2015 17,672 17,759 (87) - Singapore Dollar Buy 19/08/2015 1,039 1,053 (14) - Swedish Krona Sell 16/09/2015 26,097 25,620 (477) (0.01)State Street Bank & Trust Company Canadian Dollar Sell 15/07/2015 79,810 78,709 (1,101) (0.02) Euro Buy 16/09/2015 24,999 25,294 (295) - Euro Sell 16/09/2015 183,587 180,528 (3,059) (0.04) Euro Sell 16/09/2015 21,316 21,494 178 - Euro Sell 16/09/2015 89,305 90,819 1,514 0.02 Israeli Shekel Buy 15/07/2015 44,941 43,170 1,771 0.02 Israeli Shekel Sell 15/07/2015 25,571 24,347 (1,224) (0.02) Japanese Yen Buy 19/08/2015 45,501 46,469 (968) (0.02) Japanese Yen Buy 19/08/2015 100,609 102,704 (2,095) (0.03) Swedish Krona Sell 16/09/2015 17,555 17,289 (266) - Swiss Franc Sell 16/09/2015 68,762 68,066 (696) (0.01)UBS AG British Pound Buy 16/09/2015 20,711 20,885 (174) - British Pound Sell 16/09/2015 64,386 62,484 (1,902) (0.02)







typeDelivery

dateValue

USD

Aggregateface value

USD


(Depreciation)USD

% ofFund

UBS AG cont. British Pound Sell 16/09/2015 45,227 44,851 USD (376) - British Pound Sell 16/09/2015 57,531 59,282 1,751 0.02 Canadian Dollar Buy 15/07/2015 31,060 30,639 421 0.01 Euro Buy 16/09/2015 14,285 14,528 (243) - Euro Sell 16/09/2015 19,531 19,495 (36) - Swiss Franc Buy 16/09/2015 90,539 89,635 904 0.01Westpac Banking Corporation British Pound Sell 16/09/2015 143,779 148,101 4,322 0.06 Canadian Dollar Buy 15/07/2015 62,279 61,440 839 0.01 Euro Buy 16/09/2015 46,092 45,352 740 0.01 Euro Sell 16/09/2015 68,228 69,341 1,113 0.02 Japanese Yen Sell 19/08/2015 105,773 108,013 2,240 0.03Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 49,508 0.62Unrealised Depreciation on Forward Foreign Exchange Currency Contracts USD (26,983) (0.35)Net Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 22,525 0.27Total Financial Assets at Fair Value through Profit or Loss USD 7,565,477 97.83Total Financial Liabilities at Fair Value through Profit or Loss USD (26,983) (0.35) Analysis of Total Assets (unaudited)

% ofTotal Assets

(a) Transferable securities admitted to official stock exchange listing 95.40(b) OTC financial derivative instruments 0.63(c) Other assets 3.97Total Assets 100.00

Putnam Global Fixed Income Alpha Fund S2




U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (44.02%) PrincipalAmount

CouponRate

MaturityDates

ValueGBP

% ofFund

U.S. Government Agency Mortgage Obligations (13.87%) USD 43,000,000 Federal National Mortgage Association Pass-Through Certificates TBA 2.50 14/07/2045 GBP 26,259,249 9.95

6,000,000 Federal National Mortgage Association Pass-Through Certificates TBA 6.00 14/07/2045 4,341,289 1.655,000,000 Federal National Mortgage Association Pass-Through Certificates TBA 5.50 14/07/2045 3,574,483 1.35

3,552,851 Federal National Mortgage Association Pass-Through Certificates TBA 4.00 01/07/2042 2,410,346 0.913,047 Federal National Mortgage Association Pass-Through Certificates TBA 5.00 01/12/2038 2,146 -11,731 Federal National Mortgage Association Pass-Through Certificates TBA 5.00 01/06/2038 8,263 -

23,704 Federal National Mortgage Association Pass-Through Certificates TBA 5.00 01/03/2038 16,696 0.013,144 Federal National Mortgage Association Pass-Through Certificates TBA 5.00 01/02/2038 2,215 -

GBP 36,614,687 13.87U.S. Government Guaranteed Mortgage Obligations (30.15%)

USD 18,000,000 Government National Mortgage Association Pass-Through Certificates TBA 3.50 20/07/2045 GBP 11,889,917 4.5026,000,000 Government National Mortgage Association Pass-Through Certificates TBA 4.00 20/07/2045 17,613,863 6.6739,000,000 Government National Mortgage Association Pass-Through Certificates TBA 3.00 20/07/2045 25,067,276 9.4939,000,000 Government National Mortgage Association Pass-Through Certificates TBA 3.00 20/07/2045 25,059,519 9.49

GBP 79,630,575 30.15Total U.S. Government and Agency Mortgage Obligations GBP 116,245,262 44.02 MORTGAGE-BACKED SECURITIES (30.90%)

PrincipalAmount

CouponRate

MaturityDates

ValueGBP

% ofFund

Agency Collateralised Mortgage Obligations (7.59%) USD 4,047,729 Federal National Mortgage Association (Class C24) 4.00 25/08/2043 GBP 564,492 0.21

1,804,612 Federal National Mortgage Association (Class C16)† 4.00 25/11/2040 231,228 0.09 54,629 Federal National Mortgage Association 379 (Class 2)† 5.50 25/05/2037 6,662 -

224,574 Federal National Mortgage Association 377 (Class 2)† 5.00 25/10/2036 28,600 0.01 60,003 Federal National Mortgage Association 371 (Class 2)† 6.50 25/07/2036 7,370 -

67,176 Federal National Mortgage Association 370 (Class 2)† 6.00 25/06/2036 10,207 - 7,723,027 Federal National Mortgage Association (Class C19)† 3.50 25/02/2033 795,822 0.30

895,271 Federal National Mortgage Association (Class 1)† 0.90 25/06/2043 12,175 - 8,424,450 Federal Home Loan Mortgage Corporation (Class KI)† 4.00 15/01/2045 1,026,054 0.40 3,830,656 Federal Home Loan Mortgage Corporation 314 (Class S2) 5.70 15/09/2043 586,096 0.22

4,121,273 Federal Home Loan Mortgage Corporation (Class PI)† 4.00 15/03/2043 442,616 0.17 3,807,325 Federal Home Loan Mortgage Corporation (Class C18) 3.50 15/01/2043 531,648 0.20 6,890,470 Federal Home Loan Mortgage Corporation (Class GI) 3.00 15/01/2043 519,229 0.20 11,139,682 Federal Home Loan Mortgage Corporation (Class TI)† 3.00 15/12/2042 872,741 0.33

3,206,945 Federal Home Loan Mortgage Corporation (Class C22)† 3.50 15/12/2042 514,073 0.19 2,773,323 Federal Home Loan Mortgage Corporation (Class ES)† 6.06 15/11/2042 328,104 0.12 3,997,998 Federal Home Loan Mortgage Corporation (Class FO)† - 15/04/2041 2,175,089 0.83 2,638,359 Federal Home Loan Mortgage Corporation (Class PI)† 3.50 15/11/2040 272,134 0.10 1,845,269 Federal Home Loan Mortgage Corporation (Class KS)† 6.11 15/10/2036 169,186 0.06

854,614 Federal Home Loan Mortgage Corporation (Class SP)† 27.85 15/04/2032 773,880 0.29 5,701,305 Federal National Mortgage Association (Class IP)† 4.00 25/03/2044 598,712 0.23 3,743,823 Federal National Mortgage Association (Class SH)† 5.71 25/10/2043 575,328 0.22 2,365,769 Federal National Mortgage Association (Class SK) 5.73 25/10/2043 376,775 0.14 1,886,024 Federal National Mortgage Association (Class SE)† 5.71 25/10/2043 299,351 0.11 1,332,574 Federal National Mortgage Association 2013-92 (Class SA)† 5.76 25/09/2043 207,275 0.08 1,547,920 Federal National Mortgage Association (Class UI)† 4.00 25/11/2042 205,306 0.08 2,994,892 Federal National Mortgage Association (Class IP)† 3.00 25/06/2042 209,368 0.08

3,461,127 Federal National Mortgage Association (Class JI)† 3.00 25/12/2041 278,608 0.11 964,020 Federal National Mortgage Association (Class HI)† 4.50 25/12/2040 104,498 0.04 889,034 Federal National Mortgage Association 2010-46 (Class SB)† 6.26 25/05/2040 94,796 0.04

6,549,310 Federal National Mortgage Association (Class TI)† 4.00 25/05/2039 674,834 0.26 7,041,630 Federal National Mortgage Association (Class MI)† 3.00 25/12/2032 552,664 0.21 3,338,823 Federal National Mortgage Association (Class KI) 3.50 25/07/2027 306,643 0.12

122,013 FHLMC Structured Pass Through Securities (Class A)† 0.52 25/05/2043 1,307 - 108,498 FHLMC Structured Pass Through Securities (Class 2)† - 25/05/2043 - -

10,823,000 Government National Mortgage Association (Class BI)† 1.59 20/05/2065 551,052 0.21





MORTGAGE-BACKED SECURITIES (30.90%) cont. PrincipalAmount

CouponRate

MaturityDates

ValueGBP

% ofFund

Agency Collateralised Mortgage Obligations (7.59%) cont. USD 4,510,197 Government National Mortgage Association (Class XI)† 3.50 20/05/2045 GBP 507,180 0.19

7,255,267 Government National Mortgage Association (Class XI)† 3.50 20/04/2045 959,796 0.36 1,895,581 Government National Mortgage Association (Class IT)† 5.00 20/01/2043 264,794 0.10

5,259,396 Government National Mortgage Association (Class IE)† 4.00 16/01/2043 724,215 0.27 1,192,935 Government National Mortgage Association (Class CI) 4.00 20/03/2042 150,775 0.06 2,016,610 Government National Mortgage Association (Class SN)† 5.71 16/05/2041 223,730 0.08 5,132,741 Government National Mortgage Association (Class IA)† 3.50 20/04/2040 462,494 0.18

6,593,051 Government National Mortgage Association (Class HI)† 3.50 20/04/2040 322,593 0.12 1,384,259 Government National Mortgage Association (Class QI)† 4.50 20/01/2040 171,243 0.06

3,390,506 Government National Mortgage Association 2009-121 (Class UI)† 5.00 20/12/2039 438,581 0.17 2,957,272 Government National Mortgage Association (Class IA)† 4.50 20/10/2039 218,175 0.08 3,628,178 Government National Mortgage Association (Class EI)† 4.00 20/06/2038 239,154 0.09

4,080,180 Government National Mortgage Association (Class IK)† 3.50 20/03/2038 424,988 0.16 7,003 Government National Mortgage Association (Class OD)† - 16/07/2036 3,889 -

53,043 Government National Mortgage Association (Class PO)† - 16/04/2034 33,416 0.01 GBP 20,048,946 7.59

Commercial Mortgage-Backed Securities (17.11%) USD 18,126 Banc of America Commercial Mortgage Trust 2007-2 (Class A2)† 5.62 04/10/2049 GBP 11,572 -

93,590 Banc of America Commercial Mortgage Trust 2006-6 (Class A2) 5.31 10/10/2045 59,700 0.02636,000 Banc of America Merrill Lynch Commercial Mortgage Incorporated (Class F)† 5.16 09/10/2047 407,809 0.15

1,750,000 Banc of America Merrill Lynch Commercial Mortgage Incorporated 2005-5 (Class B)† 5.32 10/10/2045 1,117,995 0.424,414,000 Banc of America Merrill Lynch Commercial Mortgage Incorporated 2005-4 (Class B)† 5.12 07/10/2045 2,837,321 1.071,501,000 Banc of America Merrill Lynch Commercial Mortgage Incorporated (Class C)† 5.15 07/10/2045 964,843 0.37390,000 Banc of America Merrill Lynch Commercial Mortgage Incorporated (Class AJ) 4.77 07/10/2043 229,083 0.09968,000 Bear Stearns Commercial Mortgage Securities Trust (Class D)† 5.13 13/02/2042 628,009 0.24851,000 Bear Stearns Commercial Mortgage Securities Trust (Class AJ)† 5.43 03/11/2039 549,900 0.21

24,192,598 Bear Stearns Commercial Mortgage Securities Trust (Class XW)† 0.64 12/11/2038 69,133 0.031,200,000 Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16 (Class AJ)† 5.71 06/11/2040 779,800 0.30

722,000 CFCRE Commercial Mortgage Trust 2011-C2 (Class E)† 5.57 15/12/2047 487,385 0.181,303,000 CFCRE Commercial Mortgage Trust 2011-C1 (Class E) (F) 5.54 15/04/2044 869,433 0.33

796,000 Citigroup Commercial Mortgage Trust 2013-GC11 (Class D) 4.46 04/10/2046 481,180 0.182,921,000 COMM Mortgage Trust (Class AJ) 5.38 12/10/2046 1,879,461 0.71

186,000 COMM Mortgage Trust 2012-LC4 (Class D)† 5.65 12/10/2044 125,042 0.058,940,250 COMM Mortgage Trust 2013-LC13 (Class XA)† 1.42 08/10/2046 379,858 0.147,287,996 COMM Mortgage Trust (Class XA)† 1.26 04/10/2047 322,211 0.12

122,227 Commercial Mortgage Trust (Class ASB)† 5.28 12/11/2049 77,790 0.03745,000 Commercial Mortgage Trust (Class D) 4.99 08/10/2042 475,898 0.18917,000 Credit Suisse Commercial Mortgage Trust Series (Class AJ)† 5.97 15/02/2041 589,506 0.22

28,583,945 Credit Suisse Commercial Mortgage Trust (Class AX) 0.72 15/12/2039 142,284 0.05249,832 Credit Suisse First Boston Mortgage Securities Corporation (Class F)† 6.00 17/05/2040 172,119 0.07528,000 CSAIL 2015-C1 Commercial Mortgage Trust (Class D)† 3.80 15/04/2050 292,576 0.11

2,000,000 GE Capital Commercial Mortgage Corporation (Class K)† 5.07 01/10/2038 1,275,087 0.487,461,004 GMAC Commercial Mortgage Securities Incorporated (Class X1) 0.86 12/10/2041 133,684 0.05

718,000 GS Mortgage Securities Corporation II 2013-GC10 (Class D)† 4.41 02/10/2046 435,923 0.17257,189 GS Mortgage Securities Corporation II (Class B)† 4.84 07/10/2039 163,483 0.06

548,000 GS Mortgage Securities Trust 2006-GG8 (Class AJ) 5.62 11/10/2039 354,051 0.131,762,000 GS Mortgage Securities Trust (Class E) 5.00 01/10/2045 1,019,653 0.396,197,529 GS Mortgage Securities Trust (Class XA)† 1.75 06/10/2046 338,322 0.131,150,000 JP Morgan Mortgage Acquisition Trust 2007-CH1 (Class MV6) 0.73 25/11/2036 531,381 0.20

2,037,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class D) 4.16 15/12/2047 1,203,552 0.461,362,000 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 (Class E)† 3.50 15/12/2047 698,922 0.26459,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class F) 3.87 15/07/2046 272,269 0.10787,000 JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 (Class E) 5.20 15/05/2045 506,378 0.19106,863 JP Morgan Chase Commercial Mortgage Securities Trust (Class A2)† 5.12 15/07/2041 68,154 0.03

1,212,000 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6 (Class B)† 5.56 15/04/2043 772,870 0.29397,000 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6 (Class AJ)† 5.57 15/04/2043 255,353 0.10488,000 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 (Class AJ)† 5.48 15/05/2045 315,118 0.12375,000 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 (Class B)† 5.52 15/05/2045 239,346 0.09






CouponRate

MaturityDates

ValueGBP

% ofFund

Commercial Mortgage-Backed Securities (17.11%) cont. USD 797,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class C)† 6.18 02/12/2051 GBP 487,102 0.18

633,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class AJ)† 6.08 02/12/2051 418,233 0.163,233,000 JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 (Class D) 4.06 15/01/2046 1,921,355 0.7343,419,015 JP Morgan Chase Commercial Mortgage Securities Trust (Class XA)† 1.56 15/04/2046 2,212,885 0.84

912,000 JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 (Class E)† 3.25 15/04/2046 447,569 0.17528,000 JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 (Class D) 4.24 15/04/2046 314,404 0.12

1,900,000 JPMBB Commercial Mortgage Securities Trust 2014-C25 (Class D) 3.95 15/11/2047 1,036,447 0.395,785,139 JPMBB Commercial Mortgage Securities Trust (Class XA) 1.01 15/11/2047 244,888 0.09

2,000,000 LB-UBS Commercial Mortgage Trust (Class F)† 5.01 15/12/2039 1,286,619 0.494,540,239 LB-UBS Commercial Mortgage Trust 2005-C2 (Class XCL) 0.20 15/04/2040 170 -

687,000 LB-UBS Commercial Mortgage Trust 2006-C1 (Class AJ)† 5.28 15/02/2041 442,282 0.17804,000 LB-UBS Commercial Mortgage Trust (Class C)† 5.48 15/09/2039 499,700 0.19

25,472,148 LB-UBS Commercial Mortgage Trust 2006-C6 (Class XCL) 0.67 15/09/2039 114,858 0.04646,000 Merrill Lynch Mortgage Trust 2005-CIP1 (Class C)† 5.34 07/12/2038 389,631 0.15

1,067,000 ML-CFC Commercial Mortgage Trust 2006-3 (Class AJ)† 5.49 07/12/2046 690,126 0.26491,000 ML-CFC Commercial Mortgage Trust 2006-4 (Class AJ)† 5.24 12/12/2049 317,084 0.12312,000 Morgan Stanley Bank of America Merrill Lynch Trust (Class D)† 4.42 15/08/2046 186,932 0.07

1,972,000 Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 (Class E)† 4.08 15/07/2046 1,022,867 0.39883,000 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 (Class F)† 4.00 15/04/2047 430,010 0.163,801,162 Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 (Class XA)† 1.28 15/08/2047 177,787 0.07

218,255 Morgan Stanley Capital I Trust (Class A2)† 5.68 04/12/2049 139,183 0.05649,000 Morgan Stanley Capital I Trust 2007-HQ11 (Class B)† 5.54 02/12/2044 418,786 0.16586,000 Morgan Stanley Capital I Trust 2007-HQ11 (Class C)† 5.56 02/12/2044 373,019 0.14

2,458,632 Morgan Stanley Re-REMIC Trust (Class A3B)† 5.25 17/12/2043 1,571,021 0.59820,694 Structured Asset Securities Corporation Mortgage Loan Trust (Class M3) (F) 0.77 25/07/2035 395,657 0.15743,000 Wachovia Bank Commercial Mortgage Trust Series 2006-C23 (Class F)† 5.54 15/01/2045 469,543 0.18559,000 Wachovia Bank Commercial Mortgage Trust Series 2006-C24 (Class AJ)† 5.66 15/03/2045 359,325 0.14

2,720,000 Wachovia Bank Commercial Mortgage Trust Series (Class AJ)† 6.00 15/06/2045 1,738,152 0.661,050,000 Wells Fargo Commercial Mortgage Trust (Class D)† 4.30 15/07/2046 629,950 0.241,072,000 WFRBS Commercial Mortgage Trust 2013-C12 (Class D)† 4.35 15/03/2048 651,715 0.25

827,000 WFRBS Commercial Mortgage Trust (Class E) 3.50 15/03/2048 417,441 0.1613,253,684 WFRBS Commercial Mortgage Trust 2013-C14 (Class XA)† 0.90 15/06/2046 421,756 0.161,508,000 WFRBS Commercial Mortgage Trust 2013-UBS1 (Class D)† 4.63 15/03/2046 916,096 0.351,176,000 WFRBS Commercial Mortgage Trust (Class F)† 4.50 15/06/2045 670,835 0.25

1,467,000 WFRBS Commercial Mortgage Trust 2014-C19 (Class D) 4.23 15/03/2047 840,816 0.32 GBP 45,187,698 17.11

Residential Mortgage-Backed securities (non-agency) (6.20%) USD 2,639,110 Alternative Loan Trust 2005-27 (Class 2A3) 1.72 25/08/2035 GBP 1,469,233 0.56

731,698 Alternative Loan Trust (Class A3)† 0.54 25/09/2035 403,371 0.152,020,209 Alternative Loan Trust 2005-51 (Class 3A3A)† 0.51 20/11/2035 1,067,159 0.40

1,927,719 Alternative Loan Trust 2005-59 (Class 1A1)† 0.52 20/11/2035 996,832 0.382,518,604 Alternative Loan Trust 2005-62 (Class 1A1)† 0.49 25/12/2035 1,325,623 0.50

897,937 Alternative Loan Trust 2006-OC2 (Class 2A3)† 0.48 25/02/2036 499,873 0.19280,000 BCAP LLC Trust (Class 9A2)† 2.71 26/10/2035 169,292 0.061,224,237 BCAP LLC Trust (Class 9A4)† 5.72 26/03/2036 788,109 0.30340,000 Countrywide Asset-Backed Certificates (Class 3AV3) (F) 0.43 25/01/2037 161,209 0.06

2,980,000 CWABS Asset-Backed Certificates Trust 4 (Class M3) (F) 0.68 25/04/2036 1,327,606 0.501,380,000 CSMC Trust (Class 1A6) (F)† 0.45 27/02/2036 711,408 0.271,939,000 Fannie Mae Connecticut Avenue Securities (Class 1M2) 4.19 25/05/2025 1,198,984 0.45

511,000 Fannie Mae Connecticut Avenue Securities (Class 2M2) 4.19 25/05/2025 315,980 0.12430,000 Freddie Mac Structured Agency Credit Risk Debt Notes (Class B)† 7.74 25/12/2027 278,074 0.11750,000 Freddie Mac Structured Agency Credit Risk Debt Notes (Class B) 11.69 25/01/2025 572,745 0.22

1,850,000 Morgan Stanley ABS Capital I Inc Trust 2005-HE6 (Class M2)† 0.61 25/11/2035 946,341 0.363,000,000 Nomura Home Equity Loan Incorporated (Class M2)† 0.48 25/03/2036 1,455,847 0.554,789,779 WaMu Mortgage Pass-Through Certificates Trust (Class A1C3)† 0.68 25/10/2045 2,682,581 1.02

GBP 16,370,267 6.20Total Mortgage-Backed Securities GBP 81,606,911 30.90





REPURCHASE AGREEMENTS (3.83%) PrincipalAmount

EffectiveYield

MaturityDates

ValueGBP

% ofFund

USD 2,697,000 Repurchase Agreement - Barclays Capital, Incorporated * 0.10 01/07/2015 GBP 1,716,468 0.6513,195,000 Repurchase Agreement - Merrill Lynch, Pierce, Fenner and Smith Incorporated ** 0.09 01/07/2015 8,397,773 3.18

Total Repurchase Agreements GBP 10,114,241 3.83 * Interest in USD25,000,000 joint repurchase agreement dated 30 June 2015 with Barclays Capital, Inc. due 1 July 2015 - maturity value of USD2,697,007 for an effective yield of 0.10% (collateralised by U.S. Treasury Bill with coupon rate of 1.625% and due date of 30 June 2020 valued at USD25,518,167). ** Interest in USD13,195,000 repurchase agreement dated 30 June 2015 with Merrill Lynch, Pierce, Fenner and Smith Inc. due 1 July 2015 - maturity value of USD13,195,033 for an effective yield of 0.09% (collateralised by U.S. Treasury Bill with coupon rate of 1.625% and due date of 31 March 2019 valued at USD13,549,383). U.S. CORPORATE BONDS AND NOTES (25.42%)

PrincipalAmount

CouponRate

MaturityDates

ValueGBP

% ofFund

Agriculture (0.49%) USD 1,835,000 Archer-Daniels-Midland Company 5.45 15/03/2018 GBP 1,286,608 0.49

1,286,608 0.49Auto Parts and Equipment (0.50%) 359,000 American Axle & Manufacturing Incorporated 7.75 15/11/2019 258,183 0.10 265,000 Delphi Corporation 5.00 15/02/2023 179,618 0.07 671,000 Pittsburgh Glass Works LLC 8.00 15/11/2018 449,469 0.17 190,000 ZF North America Capital Incorporated 4.50 29/04/2022 118,450 0.04 500,000 ZF North America Capital Incorporated 4.00 29/04/2020 317,820 0.12

1,323,540 0.50Automotive (1.30%) 149,000 Ford Motor Company 7.70 15/05/2097 115,335 0.04 2,250,000 Ford Motor Company 9.98 15/02/2047 2,177,165 0.82 760,000 General Motors Company 6.25 02/10/2043 539,584 0.20 15,000 General Motors Financial Company Incorporated 4.00 15/01/2025 9,367 - 89,000 Navistar International Corporation 8.25 01/11/2021 54,094 0.02 915,000 Toyota Motor Credit Corporation 1.25 05/10/2017 583,823 0.22

3,479,368 1.30Banking (5.11%) 1,117,000 Bank of America Corporation 6.10 29/12/2049 700,236 0.27 275,000 Bank of America Corporation 6.11 29/01/2037 196,154 0.07 1,835,000 Bank of America Corporation 2.00 11/01/2018 1,171,687 0.44 39,000 Citigroup Incorporated 5.90 29/12/2049 24,449 0.01 6,000 Citigroup Incorporated 5.88 29/12/2049 3,857 - 1,835,000 Citigroup Incorporated 4.45 10/01/2017 1,220,133 0.46 250,000 Commonwealth Bank of Australia 1.63 12/03/2018 159,562 0.06 2,257,000 Commonwealth Bank of Australia 1.13 13/03/2017 1,437,516 0.54 420,000 Dresdner Funding Trust I (F) 8.15 30/06/2031 333,795 0.13 304,000 Fifth Third Bancorp 5.10 29/12/2049 181,384 0.07 910,000 Goldman Sachs Group Incorporated 2.38 22/01/2018 587,966 0.22 227,000 JPMorgan Chase & Company 7.90 29/12/2049 152,814 0.06 1,835,000 JPMorgan Chase & Company 2.00 15/08/2017 1,179,705 0.45 1,794,000 Key Corporation 2.30 13/12/2018 1,151,862 0.44 1,804,000 Morgan Stanley 4.75 22/03/2017 1,211,216 0.46 1,235,000 National Australia Bank Limited 2.30 25/07/2018 798,440 0.30 1,840,000 PNC Bank NA 1.13 27/01/2017 1,171,134 0.44 1,000,000 State Street Capital Trust IV 1.29 15/06/2037 551,313 0.21 160,000 Wells Fargo & Company 5.88 29/12/2049 103,866 0.04 1,805,000 Wells Fargo & Company 2.10 08/05/2017 1,168,251 0.44

13,505,340 5.11Beverages (0.66%) 1,835,000 Anheuser-Busch InBev Finance Incorporated 1.25 17/01/2018 1,164,069 0.44 914,000 PepsiCo Incorporated 1.25 13/08/2017 582,668 0.22

1,746,737 0.66Biotechnology (0.45%) 1,835,000 Amgen Incorporated 2.13 15/05/2017 1,186,274 0.45

1,186,274 0.45Building Materials (0.24%) USD 105,000 Boise Cascade Company 6.38 01/11/2020 70,334 0.03





U.S. CORPORATE BONDS AND NOTES (25.42%) cont. Principal Amount

CouponRate

MaturityDates

ValueGBP

% ofFund

Building Materials (0.24%) cont. USD 593,000 Owens Corning 9.00 15/06/2019 GBP 450,153 0.17 150,000 Vulcan Materials Company 4.50 01/04/2025 95,585 0.04

616,072 0.24Chemicals (0.28%) 525,000 Celanese US Holdings LLC 5.88 15/06/2021 357,518 0.14 292,000 Huntsman International LLC 5.13 15/11/2022 183,052 0.07 125,000 Rockwood Specialties Group Incorporated 4.63 15/10/2020 82,836 0.03 155,000 WR Grace & Company 5.63 01/10/2024 99,881 0.04

723,287 0.28Commercial Services (0.30%) 555,000 Ashtead Capital Incorporated 6.50 15/07/2022 374,415 0.14 535,000 Avis Budget Car Rental LLC 5.50 01/04/2023 336,237 0.13 130,000 Service Corporation International 5.38 15/05/2024 86,460 0.03

797,112 0.30Computers (0.38%) 1,563,000 Hewlett-Packard Company 2.60 15/09/2017 1,012,738 0.38

1,012,738 0.38Cosmetics/Personal Care (0.11%) 545,000 Elizabeth Arden Incorporated 7.38 15/03/2021 280,955 0.11

280,955 0.11Diversified Financial Services (1.89%) 200,000 Air Lease Corporation 3.75 01/02/2022 127,211 0.05 130,000 Ally Financial Incorporated 8.00 01/11/2031 99,077 0.04 335,000 American Express Company 4.90 29/12/2049 206,679 0.08 1,145,000 American Express Company 7.00 19/03/2018 826,443 0.31 700,000 American Express Company 6.15 28/08/2017 487,516 0.18 380,000 Credit Acceptance Corporation 6.13 15/02/2021 242,450 0.09 2,720,000 General Electric Capital Corporation 5.40 15/02/2017 1,849,870 0.70 1,055,000 Icahn Enterprises LP 6.00 01/08/2020 693,262 0.26 195,000 Neuberger Berman Group LLC 4.88 15/04/2045 111,695 0.04 575,000 Tiers Trust† (F) - 15/03/2046 382,418 0.14

5,026,621 1.89Electric Utilities (0.88%) 350,000 AES Corporation 8.00 01/06/2020 257,279 0.10 1,166,000 Consolidated Edison Company of New York Incorporated 7.13 01/12/2018 870,829 0.33 285,000 Dynegy Incorporated 6.75 01/11/2019 188,730 0.07 1,497,000 FirstEnergy Corporation 4.25 15/03/2023 958,692 0.36 75,000 Puget Sound Energy Incorporated 6.97 01/06/2067 43,795 0.02

2,319,325 0.88Electrical Components & Equipment (0.01%) 27,000 Belden Incorporated 5.25 15/07/2024 16,668 0.01

16,668 0.01Electronics (0.05%) 173,000 Jabil Circuit Incorporated 8.25 15/03/2018 124,692 0.05

124,692 0.05Entertainment (0.21%) 210,000 GLP Capital LP 4.88 01/11/2020 135,990 0.05 455,000 GLP Capital LP 4.38 01/11/2018 297,180 0.11 190,000 Regal Entertainment Group 5.75 15/03/2022 122,277 0.05

555,447 0.21Health-Care Services (0.41%) 461,000 HCA Incorporated 6.50 15/02/2020 327,871 0.12 285,000 Tenet Healthcare Corporation 6.25 01/11/2018 197,709 0.07 821,000 UnitedHealth Group Incorporated 6.00 15/02/2018 580,924 0.22

1,106,504 0.41Home Builders (0.32%) 555,000 Lennar Corporation 4.75 15/11/2022 347,041 0.13 365,000 Standard Pacific Corporation 5.88 15/11/2024 239,268 0.09 130,000 Taylor Morrison Communities Incorporated 5.25 15/04/2021 81,496 0.03 295,000 TRI Pointe Holdings Incorporated 5.88 15/06/2024 183,994 0.07

851,799 0.32





U.S. CORPORATE BONDS AND NOTES (25.42%) cont. PrincipalAmount

CouponRate

MaturityDates

ValueGBP

% ofFund

Industrial Conglomerates (0.12%) USD 510,000 Amsted Industries Incorporated 5.00 15/03/2022 GBP 324,177 0.12

324,177 0.12Insurance (1.35%) 420,000 American International Group Incorporated 8.18 15/05/2058 353,909 0.13 300,000 CNO Financial Group Incorporated 5.25 30/05/2025 194,024 0.07 1,685,000 Liberty Mutual Group Incorporated 7.80 15/03/2037 1,270,788 0.49 1,835,000 MetLife Incorporated 6.75 01/06/2016 1,228,597 0.47 275,000 Nationwide Mutual Insurance Company 9.38 15/08/2039 261,083 0.10 57,000 Primerica Incorporated 4.75 15/07/2022 38,768 0.01 331,000 Progressive Corporation 6.70 15/06/2037 219,613 0.08

3,566,782 1.35Internet (0.36%) 915,000 eBay Incorporated 1.35 15/07/2017 581,473 0.22 505,000 Expedia Incorporated 5.95 15/08/2020 358,238 0.14

939,711 0.36Iron/Steel (0.43%) 640,000 Glencore Funding LLC 4.00 16/04/2025 378,890 0.15 293,000 Glencore Funding LLC 4.63 29/04/2024 183,966 0.07 332,000 Glencore Funding LLC 2.88 16/04/2020 207,107 0.08 225,000 Steel Dynamics Incorporated 5.50 01/10/2024 143,198 0.05 338,000 Steel Dynamics Incorporated 5.25 15/04/2023 213,502 0.08

1,126,663 0.43Lodging (0.16%) 46,000 Boyd Gaming Corporation 6.88 15/05/2023 30,008 0.01 627,000 MGM Resorts International 5.25 31/03/2020 402,038 0.15

432,046 0.16Machinery-Construction and Mining (0.28%) 5,000 Compass Minerals International Incorporated 4.88 15/07/2024 3,126 - 974,000 Oshkosh Corporation 5.38 01/03/2022 633,836 0.24 177,000 Terex Corporation 6.00 15/05/2021 113,212 0.04

750,174 0.28Media (1.80%) 2,970,000 CBS Corporation 7.88 30/07/2030 2,457,816 0.94 1,840,000 Comcast Corporation 6.50 15/01/2017 1,266,693 0.48 621,000 DISH DBS Corporation 4.25 01/04/2018 402,143 0.15 260,000 Sinclair Television Group Incorporated 5.63 01/08/2024 161,750 0.06 610,000 Tribune Media Company 5.88 15/07/2022 391,138 0.15 106,000 Univision Communications Incorporated 5.13 15/02/2025 65,115 0.02

4,744,655 1.80Medical Technology (0.12%) 65,000 Halyard Health Incorporated 6.25 15/10/2022 43,333 0.02 400,000 Kinetic Concepts Incorporated 10.50 01/11/2018 271,122 0.10

314,455 0.12Oil and Natural Gas Utilities (1.02%) 1,290,000 California Resources Corporation 6.00 15/11/2024 706,062 0.27 130,000 California Resources Corporation 5.00 15/01/2020 72,808 0.03 579,000 Chesapeake Energy Corporation 6.13 15/02/2021 346,387 0.13 400,000 EP Energy LLC 7.75 01/09/2022 267,303 0.10 33,000 Freeport-McMoran Oil & Gas LLC 6.88 15/02/2023 22,525 0.01 132,000 Freeport-McMoran Oil & Gas LLC 6.75 01/02/2022 89,050 0.03 1,835,000 Phillips 66 2.95 01/05/2017 1,200,414 0.45

2,704,549 1.02Packaging and Containers (0.12%) 300,000 Crown Americas LLC 4.50 15/01/2023 180,311 0.07 200,000 Sealed Air Corporation 5.50 15/09/2025 128,242 0.05

308,553 0.12Pharmaceuticals (0.96%) 1,646,000 AbbVie Incorporated 1.75 06/11/2017 1,050,319 0.40 125,000 Endo Finance LLC 5.75 15/01/2022 80,549 0.03 574,000 Johnson & Johnson 5.15 15/07/2018 405,911 0.15






CouponRate

MaturityDates

ValueGBP

% ofFund

Pharmaceuticals (0.96%) cont. USD 1,580,000 Merck & Company Incorporated 1.30 18/05/2018 GBP 1,001,599 0.38

2,538,378 0.96Pipelines (0.39%) 195,000 DCP Midstream Operating LP 2.70 01/04/2019 116,918 0.04 121,000 Kinder Morgan Energy Partners LP 5.40 01/09/2044 69,956 0.03 425,000 Kinder Morgan Incorporated 7.00 15/06/2017 294,143 0.11 295,000 Regency Energy Partners LP 5.88 01/03/2022 199,861 0.08 540,000 Williams Companies Incorporated 4.55 24/06/2024 333,050 0.13

1,013,928 0.39Real Estate (2.56%) 845,000 ARC Properties Operating Partnership LP 4.60 06/02/2024 523,784 0.20 2,213,000 CBL & Associates LP 5.25 01/12/2023 1,448,253 0.55 963,000 Corrections Corporation of America 4.63 01/05/2023 600,630 0.23 825,000 EPR Properties 5.25 15/07/2023 550,494 0.21 85,000 Hospitality Properties Trust 4.50 15/03/2025 53,212 0.02 415,000 iStar Financial Incorporated 4.88 01/07/2018 259,829 0.10 810,000 Omega Healthcare Investors Incorporated 4.95 01/04/2024 527,280 0.20 325,000 Realogy Group LLC 5.25 01/12/2021 209,427 0.08 4,000,000 Ventas Realty LP 3.13 30/11/2015 2,565,937 0.97

6,738,846 2.56Retail (1.02%) 1,470,000 Bed Bath & Beyond Incorporated 5.17 01/08/2044 928,783 0.35 1,825,000 CVS Health Corporation 2.25 05/12/2018 1,175,836 0.45 125,000 Dollar General Corporation 3.25 15/04/2023 75,796 0.03 35,000 Macy's Retail Holdings Incorporated 5.13 15/01/2042 22,669 0.01 615,000 Macy's Retail Holdings Incorporated 6.90 01/04/2029 478,623 0.18

2,681,707 1.02Semiconductors (0.05%) 205,000 Micron Technology Incorporated 5.88 15/02/2022 132,753 0.05

132,753 0.05Software (0.06%) 222,000 Fidelity National Information Services Incorporated 5.00 15/03/2022 149,140 0.06

149,140 0.06Telecommunications (1.03%) 1,835,000 AT&T Incorporated 1.70 01/06/2017 1,172,335 0.44 130,000 Qwest Corporation 6.75 01/12/2021 91,321 0.03 250,000 Sprint Corporation 7.25 15/09/2021 155,131 0.06 155,000 T-Mobile USA Incorporated 6.00 01/03/2023 100,990 0.04 1,153,000 Verizon Communications Incorporated 2.63 21/02/2020 732,161 0.28 442,000 Verizon Communications Incorporated 6.35 01/04/2019 321,459 0.12 223,000 Windstream Corporation 7.88 01/11/2017 150,796 0.06

2,724,193 1.03Total U.S. Corporate Bonds and Notes GBP 67,149,797 25.42 NON-U.S. CORPORATE BONDS AND NOTES (18.88%)

Principal Amount

CouponRate

MaturityDates

ValueGBP

% ofFund

Banking (10.54%) USD 1,969,000 Abbey National Treasury Services PLC (United Kingdom) 1.38 13/03/2017 GBP 1,255,308 0.48 400,000 Banco Bilbao Vizcaya Argentaria SA (Spain) 9.00 29/05/2049 274,940 0.10 1,835,000 Bank of Montreal (Canada) 2.50 11/01/2017 1,193,987 0.45 1,835,000 Bank of Nova Scotia (Canada) 1.38 18/12/2017 1,163,389 0.44 1,851,000 Bank of Tokyo-Mitsubishi UFJ Limited (Japan) 1.20 10/03/2017 1,174,323 0.44 1,364,000 Barclays PLC (United Kingdom) 6.63 29/06/2049 850,737 0.32 155,000 BBVA International Preferred SAU (Spain) 5.92 29/04/2049 101,114 0.04 1,969,000 BNP Paribas SA (France) 1.38 17/03/2017 1,254,693 0.48 1,410,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands) 11.00 29/12/2049 1,137,423 0.43 1,640,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands) 3.38 19/01/2017 1,078,126 0.41 225,000 Credit Agricole SA (France) 7.88 29/01/2049 147,210 0.06 200,000 Credit Agricole SA (France) 4.38 17/03/2025 122,329 0.05 583,000 Credit Suisse Group AG (Switzerland) 7.50 29/12/2049 387,739 0.15





NON-U.S. CORPORATE BONDS AND NOTES (18.88%) cont. PrincipalAmount

CouponRate

MaturityDates

ValueGBP

% ofFund

Banking (10.54%) cont. USD 200,000 Credit Suisse Group AG (Switzerland) 6.25 29/12/2049 GBP 121,559 0.05 865,000 Deutsche Bank AG (Germany) 4.50 01/04/2025 524,431 0.20 1,835,000 Deutsche Bank AG (United Kingdom) 6.00 01/09/2017 1,270,694 0.48 1,540,000 HSBC Capital Funding LP (Jersey) 10.18 29/12/2049 1,494,670 0.57 2,730,000 ING Groep NV (Netherlands) 6.00 29/12/2049 1,720,096 0.64 550,000 Intesa Sanpaolo SpA (Italy) 5.02 26/06/2024 340,079 0.13 375,000 Lloyds Banking Group PLC (United Kingdom) 6.66 31/12/2049 267,601 0.10 1,983,000 Lloyds Banking Group PLC (United Kingdom) 7.50 30/04/2049 1,299,914 0.49 1,840,000 Royal Bank of Canada (Canada) 2.20 27/07/2018 1,191,016 0.45 1,660,000 Royal Bank of Scotland Group PLC (United Kingdom) 5.13 28/05/2024 1,055,198 0.40 370,000 Royal Bank of Scotland Group PLC (United Kingdom) 4.70 03/07/2018 243,333 0.09 900,000 Santander Issuances SAU (Spain) 5.91 20/06/2016 594,936 0.23 360,000 Societe Generale SA (France) 7.88 29/12/2049 231,408 0.09 750,000 Societe Generale SA (France) 2.75 12/10/2017 489,241 0.19 2,720,000 Standard Chartered PLC (United Kingdom) 5.70 25/01/2022 1,873,714 0.70 949,000 Svenska Handelsbanken AB (Sweden) 2.88 04/04/2017 621,796 0.24 6,434,000 VTB Bank OJSC Via VTB Capital SA (Luxembourg) 6.88 29/05/2018 4,140,978 1.56 336,000 Westpac Banking Corporation (Australia) 1.55 25/05/2018 213,358 0.08

27,835,340 10.54Beverages (0.21%) 863,000 Diageo Capital PLC (United Kingdom) 1.50 11/05/2017 549,294 0.21

549,294 0.21Biotechnology (0.14%) 585,000 Concordia Healthcare Corporation (Canada) 7.00 15/04/2023 372,315 0.14

372,315 0.14Electric Utilities (1.50%) 545,000 EDP Finance BV (Netherlands) 5.25 14/01/2021 362,717 0.14 3,540,000 Electricite de France SA (France) 5.63 29/12/2049 2,281,596 0.86 2,105,000 Electricite de France SA (France) 5.25 29/01/2049 1,332,999 0.50

3,977,312 1.50Food (0.19%) 400,000 Grupo Bimbo SAB de CV (Mexico) 4.88 27/06/2044 239,547 0.09 405,000 Grupo Bimbo SAB de CV (Mexico) 3.88 27/06/2024 254,618 0.10

494,165 0.19Iron/Steel (0.07%) 241,000 ArcelorMittal (Luxembourg) 10.60 01/06/2019 183,290 0.07

183,290 0.07Machinery-Construction and Mining (0.84%) 913,000 First Quantum Minerals Limited (Canada) 7.00 15/02/2021 554,918 0.21 735,000 HudBay Minerals Incorporated (Canada) 9.50 01/10/2020 499,356 0.19 1,835,000 Rio Tinto Finance USA PLC (United Kingdom) 1.63 21/08/2017 1,168,682 0.44

2,222,956 0.84Media (0.36%) 690,000 Grupo Televisa SAB (Mexico) 6.63 15/01/2040 506,913 0.19 200,000 Numericable-SFR SAS (France) 6.25 15/05/2024 124,741 0.05 520,000 Quebecor Media Incorporated (Canada) 5.75 15/01/2023 330,119 0.12

961,773 0.36Medical Technology (0.49%) 1,835,000 Covidien International Finance SA (Luxembourg) 6.00 15/10/2017 1,287,023 0.49

1,287,023 0.49Oil and Natural Gas Utilities (2.67%) 1,835,000 BP Capital Markets PLC (United Kingdom) 1.85 05/05/2017 1,182,136 0.45 1,835,000 Canadian Natural Resources Limited (Canada) 5.70 15/05/2017 1,256,637 0.48 747,000 CHC Helicopter SA (Canada) 9.25 15/10/2020 345,866 0.13 175,000 Ecopetrol SA (Colombia) 4.13 16/01/2025 102,778 0.04 625,000 Pertamina Persero PT (Indonesia) 6.00 03/05/2042 369,014 0.14 300,000 Pertamina Persero PT (Indonesia) 4.30 20/05/2023 182,816 0.07 1,185,000 Petroleos de Venezuela SA (Venezuela) 6.00 15/11/2026 265,847 0.10 923,000 Petroleos de Venezuela SA (Venezuela) 8.50 02/11/2017 402,390 0.15 80,000 Petroleos de Venezuela SA (Venezuela) 8.50 02/11/2017 34,877 0.01





NON-U.S. CORPORATE BONDS AND NOTES (18.88%) cont. Principal Amount

CouponRate

MaturityDates

ValueGBP

% ofFund

Oil and Natural Gas Utilities (2.67%) cont. USD 755,000 Petroleos de Venezuela SA (Venezuela) 5.25 12/04/2017 GBP 240,255 0.09 135,000 Petroleos Mexicanos (Mexico) 3.50 23/07/2020 86,950 0.03 1,970,000 Shell International Finance BV (Netherlands) 5.20 22/03/2017 1,342,246 0.51 900,000 Total Capital International SA (France) 1.55 28/06/2017 578,105 0.22 900,000 Weatherford International Limited (Bermuda) 9.88 01/03/2039 659,317 0.25

7,049,234 2.67Pharmaceuticals (0.53%) 118,000 Actavis Funding SCS (Luxembourg) 4.75 15/03/2045 71,499 0.03 59,000 Actavis Funding SCS (Luxembourg) 3.45 15/03/2022 37,194 0.01 1,835,000 AstraZeneca PLC (United Kingdom) 5.90 15/09/2017 1,282,881 0.49

1,391,574 0.53Telecommunications (1.34%) 215,000 America Movil SAB de CV (Mexico) 6.13 30/03/2040 158,444 0.06 300,000 America Movil SAB de CV (Mexico) 2.38 08/09/2016 193,397 0.07 1,080,000 SoftBank Corporation (Japan) 4.50 15/04/2020 689,928 0.26 95,000 Telefonica Emisiones SAU (Spain) 7.05 20/06/2036 74,642 0.03 647,000 Telefonica Emisiones SAU (Spain) 4.57 27/04/2023 432,393 0.16 3,174,000 Vodafone Group PLC (United Kingdom) 1.25 26/09/2017 1,997,474 0.76

3,546,278 1.34Total Non-U.S. Corporate Bonds and Notes GBP 49,870,554 18.88 FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (4.93%)

PrincipalAmount

CouponRate

MaturityDates

ValueGBP

% ofFund

USD 958,000 Argentina (Republic of) 7.00 03/10/2015 GBP 617,620 0.232,640,000 Argentina (Republic of) 8.75 05/07/2024 1,623,065 0.613,560,000 Argentina (Republic of) 7.00 17/04/2017 2,211,335 0.85

792,151 Argentina (Republic of) 8.28 31/12/2033 475,165 0.18441,642 Argentina (Republic of) 8.28 31/12/2033 238,353 0.0954,679 Argentina (Republic of) 8.28 31/12/2033 33,460 0.01

827,874 Argentina (Republic of) 9.95 06/09/2021 515,034 0.20 125,000 Argentina (Republic of) 10.88 26/01/2021 79,555 0.03

1,050,000 Brazil (Federal Republic of) 4.88 22/01/2021 698,201 0.26BRL 10,821 Brazil (Federal Republic of) (F) 10.00 01/01/2021 1,991,846 0.75

USD 400,000 Colombia (Republic of) 5.00 15/06/2045 236,118 0.09EUR 259,456 Hellenic (Republic of Greece) 3.00 24/02/2038 68,970 0.03

40,775 Hellenic (Republic of Greece) 3.00 24/02/2037 10,878 -321,570 Hellenic (Republic of Greece) 3.00 24/02/2036 85,406 0.03233,241 Hellenic (Republic of Greece) 3.00 24/02/2035 61,695 0.02

205,737 Hellenic (Republic of Greece) 3.00 24/02/2034 54,346 0.02188,287 Hellenic (Republic of Greece) 3.00 24/02/2033 49,720 0.02173,525 Hellenic (Republic of Greece) 3.00 24/02/2032 46,047 0.02159,629 Hellenic (Republic of Greece) 3.00 24/02/2031 42,757 0.02692,925 Hellenic (Republic of Greece) 3.00 24/02/2030 186,488 0.07169,200 Hellenic (Republic of Greece) 3.00 24/02/2029 46,172 0.02622,876 Hellenic (Republic of Greece) 3.00 24/02/2028 171,812 0.07317,032 Hellenic (Republic of Greece) 3.00 24/02/2027 88,628 0.03

675,929 Hellenic (Republic of Greece) 3.00 24/02/2026 191,535 0.07773,582 Hellenic (Republic of Greece) 3.00 24/02/2025 228,104 0.09219,483 Hellenic (Republic of Greece) 3.00 24/02/2024 65,821 0.02525,112 Hellenic (Republic of Greece) 3.00 24/02/2023 162,446 0.06

1,508,000 Hellenic (Republic of Greece) 4.75 17/04/2019 587,201 0.221,189,000 Hellenic (Republic of Greece) 3.38 17/07/2017 472,189 0.18

USD 745,000 Indonesia (Republic of) 3.38 15/04/2023 445,696 0.171,200,000 South Africa (Republic of) 4.67 17/01/2024 780,907 0.30

880,000 Venezuela (Republic of) 5.75 26/02/2016 457,852 0.17Total Foreign Government and Agency Bonds and Notes GBP 13,024,422 4.93





COMMERCIAL PAPER (5.76%) PrincipalAmount

EffectiveYield

MaturityDates

ValueGBP

% ofFund

USD 2,000,000 Airgas Incorporated 0.53 06/07/2015 GBP 1,272,775 0.482,000,000 Bacardi USA Incorporated 0.47 15/07/2015 1,272,634 0.482,000,000 Canadian Pacific 0.43 17/07/2015 1,272,623 0.482,100,000 Fairway Finance Corporation 0.16 10/08/2015 1,336,278 0.512,100,000 Gotham Funding Corporation 0.16 02/07/2015 1,336,510 0.512,100,000 Jupiter Securitization Company LLC 0.15 05/08/2015 1,336,321 0.512,100,000 Manhattan Asset Funding 0.19 21/07/2015 1,336,375 0.51

2,000,000 Mondelez International Incorporated 0.54 20/08/2015 1,271,917 0.482,000,000 Monsanto Company 0.53 24/08/2015 1,271,822 0.482,100,000 Old Line Funding LLC 0.14 17/07/2015 1,336,432 0.511,300,000 Regency Markets No.1 LLC 0.16 15/07/2015 827,315 0.302,100,000 Victory Receivables 0.16 06/07/2015 1,336,485 0.51

Total Commercial Paper GBP 15,207,487 5.76 U.S. GOVERNMENT AGENCY OBLIGATIONS (2.77%)

PrincipalAmount

Effective Yield

MaturityDates

ValueGBP

% ofFund

USD 3,500,000 Fannie Mae Discount Notes 0.06 19/08/2015 GBP 2,227,344 0.845,000,000 Federal Farm Credit Discount Notes 0.03 04/08/2015 3,182,090 1.213,000,000 Federal Home Loan Bank Discount Notes 0.06 21/08/2015 1,909,132 0.72

Total U.S. Government Agency Obligations GBP 7,318,566 2.77 PREFERRED STOCK (0.30%)

Number of Shares

ValueGBP

% ofFund

Banking (0.30%) 35,920 Citigroup Incorporated GBP 609,468 0.2312,390 HSBC USA Incorporated 176,634 0.07

Total Preferred Stock GBP 786,102 0.30 U.S. TREASURY BILLS (2.94%)

PrincipalAmount

EffectiveYield

MaturityDates

ValueGBP

% ofFund

USD 310,000 U.S. Treasury Bill1 0.02 08/10/2015 GBP 197,286 0.072,415,000 U.S. Treasury Bill2 0.01-0.02 01/10/2015 1,536,947 0.58

3,020,000 U.S. Treasury Bill3 0.02 23/07/2015 1,922,010 0.733,100,000 U.S. Treasury Bill3 0.01 09/07/2015 1,972,947 0.753,355,000 U.S. Treasury Bill4 0.02 02/07/2015 2,135,242 0.81

Total U.S. Treasury Bills GBP 7,764,432 2.94 1 Security is fully held as collateral by Barclays, Merrill Lynch and Westpac. 2 Security is partly held as collateral by Barclays and JP Morgan. 3 Security is partly held as collateral by Barclays and Merrill Lynch. 4 Security is partly held as collateral by Barclays. † Single broker sourced priced securities. (F) is valued at fair value following procedures approved by the Investment Advisor. Securities may be classified as Level 2 or Level 3 for Financial Reporting Standard 29 ("FRS 29"), "Improving Disclosures about Financial Instruments" based on the securities' valuation inputs. PURCHASED SWAP OPTIONS OUTSTANDING (0.60%)

ContractAmount

Counterparty

Fixed right % to receive or (pay)/floating rate index/maturity date

Expirationdate/strike price

ValueGBP

% ofFund

USD 3,045,000 Bank of America N.A. (2.0875)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/ USD 2.0875 GBP 66,006 0.0211,761,200 Bank of America N.A. 2.474/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.474 55,391 0.02

58,806,000 Bank of America N.A. (1.548)/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.548 50,151 0.0211,761,200 Bank of America N.A. 2.434/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.434 41,768 0.02

23,522,400 Bank of America N.A. 2.391/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.391 40,121 0.026,108,100 Bank of America N.A. (2.685)/3 month USD-LIBOR-BBA/Sep-25 Sep-15/2.685 36,425 0.01

11,252,000 Bank of America N.A. 2.2575/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.2575 10,599 -11,252,000 Bank of America N.A. 2.1325/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.1325 2,793 -

23,522,400 Bank of America N.A. 2.151/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.151 15 -12,814,100 Citibank, N.A. 2.493/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.493 86,202 0.0312,814,100 Citibank, N.A. 2.403/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.403 54,641 0.02

24,492,600 Citibank, N.A. (2.087)/3 month USD-LIBOR-BBA/May-18 May-16/2.087 37,723 0.0111,761,200 Citibank, N.A. 2.368/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.368 15,345 0.0111,761,200 Citibank, N.A. 2.268/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.268 3,817 -





PURCHASED SWAP OPTIONS OUTSTANDING (0.60%) cont. ContractAmount

Counterparty

Fixed right % to receive or (pay)/floating rate index/maturity date


ValueGBP

% ofFund

3,140,400 Credit Suisse International (2.915)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/USD 2.915 GBP 214,497 0.0925,628,200 Credit Suisse International 2.44375/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.44375 152,505 0.06

3,140,400 Credit Suisse International (3.315)/3 month USD-LIBOR-BBA/Apr-47 Apr-17/3.315 136,019 0.0525,628,200 Credit Suisse International 2.43375/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.43375 128,691 0.0525,628,200 Credit Suisse International (2.70125)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.70125 41,103 0.0225,628,200 Goldman Sachs International 2.4575/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.4575 153,484 0.06

2,653,175 Goldman Sachs International (2.82)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/2.82 124,701 0.0525,628,200 Goldman Sachs International (2.7475)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.7475 39,472 0.0124,492,600 Goldman Sachs International (2.18625)/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.18625 32,267 0.0123,522,400 Goldman Sachs International (2.5705)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.5705 20,060 0.0123,420,000 Goldman Sachs International 2.06625/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.06625 894 -

31,031,500 JPMorgan Chase Bank N.A. 0.98/3 month USD-LIBOR-BBA/Sep-17 Sep-15/0.98 28,439 0.01Total Purchased Swap Options Outstanding GBP 1,573,129 0.60 PURCHASED EQUITY OPTIONS OUTSTANDING (0.05%)

ContractAmount


ValueGBP

% ofFund

USD 4,800,000 Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Aug-15/USD 99.02 GBP 29,241 0.016,000,000 Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Jul-15/101.86 137 -6,000,000 Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Jul-15/103.42 4 -

13,000,000 Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-15/99.13 90,208 0.04Total Purchased Equity Options Outstanding GBP 119,590 0.05Total Value of Investments* GBP 370,780,493 140.40 *Excluding financial derivative instruments with the exception of Purchased Swap Options and Purchased Equity Options. OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING (-0.23%)

SwapCounterparty

NotionalAmount

UpfrontPremium

received/(paid)

TerminationDate

Paymentsmade by

Fund per annum

Paymentsreceived by

Fund per annum


(Depreciation)GBP

% ofFund

Deutsche Bank AG BRL 32,673,649 (E) GBP - 02/01/2017 Brazil Cetip Interbank Deposit Rate Over 0.00% GBP (64,476) (0.02)

ILS 763,000 (E) - 26/06/2025 2.39% 3 month TELBOR03 329 -763,000 (E) - 29/06/2025 2.404% 3 month TELBOR03 211 -

2,289,000 (E) - 01/07/2025 2.4517% 3 month TELBOR03 (959) -3,052,000 (E) - 02/07/2025 2.45625% 3 month TELBOR03 1,443 -

PLN 6,428,000 (E) - 17/03/2024 4.1072% 6 month PLN-WIBOR-WIBO (108,169) (0.04)3,205,000 (E) - 18/03/2024 4.12875% 6 month PLN-WIBOR-WIBO (54,837) (0.02)2,751,000 (E) - 27/03/2024 4.045% 6 month PLN-WIBOR-WIBO (45,009) (0.02)820,000 (E) - 26/06/2025 6 month PLN-WIBOR-WIBO 2.89% (1,102) -820,000 (E) - 29/06/2025 6 month PLN-WIBOR-WIBO 2.88% (1,241) -

2,460,000 (E) - 30/06/2025 6 month PLN-WIBOR-WIBO 2.87% (4,093) -2,460,000 (E) - 01/07/2025 6 month PLN-WIBOR-WIBO 3.0266% 1,520 -2,460,000 (E) - 02/07/2025 6 month PLN-WIBOR-WIBO 3.00% 541 -

ZAR 12,113,000 (E) - 26/01/2025 3 month ZAR-JIBAR-SAFEX 7.09% (48,230) (0.02)8,075,000 (E) - 23/01/2025 3 month ZAR-JIBAR-SAFEX 7.08% (32,323) (0.01)

Goldman Sachs International KRW 796,000,000 (E) - 06/11/2019 3 month KRW-CD-KSDA-BLOOMBERG 2.17% 4,637 -

JPMorgan Chase Bank N.A. BRL 33,002,601 (E) - 02/01/2017 Brazil Cetip Interbank Deposit Rate Over 0.00% (119,981) (0.05)

25,189,035 (E) - 02/01/2017 0.00%Brazil Cetip Interbank Deposit

Rate Over 2,991 -PLN 1,201,000 (E) - 12/03/2025 2.42% 6 month PLN-WIBOR-WIBO 8,906 -

ZAR 8,378,000 (E) - 22/01/2025 3 month ZAR-JIBAR-SAFEX 7.14% (31,723) (0.01)25,134,000 (E) - 23/01/2025 3 month ZAR-JIBAR-SAFEX 7.0633% (102,098) (0.04)6,684,000 (E) - 10/03/2025 3 month ZAR-JIBAR-SAFEX 7.91% (8,558) -

Unrealised Appreciation on OTC Interest Rate Swap Contracts Outstanding GBP 20,578 -Unrealised Depreciation on OTC Interest Rate Swap Contracts Outstanding GBP (622,799) (0.23)Net Unrealised Depreciation on OTC Interest Rate Swap Contracts Outstanding GBP (602,221) (0.23) (E) See Note 2 to the Financial Statements regarding extended effective dates.





CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING (-0.05%)

NotionalAmount

UpfrontPremium

received/(paid)Termination

Date

Paymentsmade by

Fund per annum

Paymentsreceived by

Fund per annum


(Depreciation)GBP

% ofFund

USD 7,782,000 (E) GBP (38) 16/12/2018 2.3795% 3 month USD-LIBOR-BBA GBP (120,306) (0.06)2,594,000 (E) (13) 16/12/2018 2.337% 3 month USD-LIBOR-BBA (38,035) (0.01)4,699,000 (E) (24) 16/12/2018 2.0025% 3 month USD-LIBOR-BBA (39,431) (0.01)

10,829,000 (E) (3,873) 16/12/2018 1.9525% 3 month USD-LIBOR-BBA (84,544) (0.03)13,944,000 (E) (74) 16/12/2018 1.813% 3 month USD-LIBOR-BBA (67,476) (0.03)25,650,000 72,276 17/06/2020 1.80% 3 month USD-LIBOR-BBA 32,632 0.0113,390,000 (E) (73) 16/12/2018 3 month USD-LIBOR-BBA 1.41% (36,512) (0.01)8,642,300 (E) 23,257 20/04/2019 3 month USD-LIBOR-BBA 1.85% (2,797) -2,163,500 (E) (46,469) 20/04/2027 2.415% 3 month USD-LIBOR-BBA 14,812 0.01

15,652,100 (73,678) 01/07/2025 2.2125% 3 month USD-LIBOR-BBA 135,804 0.0615,652,100 (45,076) 01/07/2025 2.325% 3 month USD-LIBOR-BBA 62,180 0.0315,652,100 118,013 01/07/2025 3 month USD-LIBOR-BBA 2.10% (193,694) (0.08)2,086,850 (E) 9,775 16/09/2025 2.60% 3 month USD-LIBOR-BBA (1,137) -

84,984,000 (E) 133,868 16/09/2020 2.00% 3 month USD-LIBOR-BBA (189,571) (0.08)7,369,000 (62) 30/06/2025 3 month USD-LIBOR-BBA 2.54249% 43,342 0.02

227,653,000 (E) 163,310 16/09/2017 1.25% 3 month USD-LIBOR-BBA (411,455) (0.16)4,733,200 (E) (122,900) 16/09/2045 3 month USD-LIBOR-BBA 3.10% (29,233) (0.01)

86,080,000 60,991 18/06/2017 0.955% 3 month USD-LIBOR-BBA (23,647) (0.01)31,454,000 (75) 30/06/2017 0.93813% 3 month USD-LIBOR-BBA (18,076) (0.01)

7,369,123 (62) 30/06/2025 3 month USD-LIBOR-BBA 2.54563% 44,689 0.0231,454,000 (75) 30/06/2017 0.93999% 3 month USD-LIBOR-BBA (18,818) (0.01)6,963,000 (E) (58) 02/07/2025 2.46033% 3 month USD-LIBOR-BBA (5,828) -

AUD 1,225,000 (8) 23/03/2025 6 month AUD-BBR-BBSW 2.765% (28,511) (0.01)1,622,000 (11) 30/03/2025 2.77% 6 month AUD-BBR-BBSW 37,406 0.011,246,000 (8) 19/05/2025 6 month AUD-BBR-BBSW 3.1575% (9,254) -

797,000 (5) 22/05/2025 3.215% 6 month AUD-BBR-BBSW 4,009 -978,000 (6) 01/06/2025 3.045% 6 month AUD-BBR-BBSW 12,263 -920,000 (6) 05/06/2025 3.325% 6 month AUD-BBR-BBSW 585 -

1,013,000 (7) 11/06/2025 3.385% 6 month AUD-BBR-BBSW (1,763) -1,878,000 (12) 16/06/2025 3.373% 6 month AUD-BBR-BBSW (2,110) -976,000 (6) 19/06/2025 3.26% 6 month AUD-BBR-BBSW 3,663 -

1,018,000 (7) 01/07/2025 3.305% 6 month AUD-BBR-BBSW 1,976 -CAD 1,439,000 (10) 20/03/2025 1.7775% 3 month CAD-BA-CDOR 22,332 0.01

6,659,000 (47) 26/03/2025 3 month CAD-BA-CDOR 1.865% (76,977) (0.03)841,000 (6) 01/04/2025 3 month CAD-BA-CDOR 1.77% (13,697) (0.01)993,000 (7) 08/04/2025 1.83% 3 month CAD-BA-CDOR 13,528 0.01

14,236,000 (29) 17/06/2017 0.92% 3 month CAD-BA-CDOR (1,543) -15,866,000 (81) 17/06/2020 3 month CAD-BA-CDOR 1.24% (37,959) (0.01)

601,000 (4) 17/04/2025 1.89% 3 month CAD-BA-CDOR 6,635 -2,402,000 (18) 17/04/2025 1.91875% 3 month CAD-BA-CDOR 23,224 0.012,132,000 (15) 17/04/2025 1.89375% 3 month CAD-BA-CDOR 23,154 0.015,361,000 (41) 17/06/2025 2.253% 3 month CAD-BA-CDOR (22,757) (0.01)1,055,000 (7) 19/05/2025 3 month CAD-BA-CDOR 2.195% 2,536 -2,568,000 (18) 21/05/2025 3 month CAD-BA-CDOR 2.1875% 5,128 -

1,011,000 (7) 09/06/2025 2.3075% 3 month CAD-BA-CDOR (7,176) -902,000 (6) 26/05/2025 2.1925% 3 month CAD-BA-CDOR (1,880) -995,000 (7) 28/05/2025 2.093% 3 month CAD-BA-CDOR 2,689 -

1,025,000 (7) 01/06/2025 2.03% 3 month CAD-BA-CDOR 5,988 -1,060,000 (7) 12/06/2025 2.28625% 3 month CAD-BA-CDOR (6,346) -1,036,000 (7) 15/06/2025 2.21375% 3 month CAD-BA-CDOR (2,520) -

937,000 (6) 24/06/2025 3 month CAD-BA-CDOR 2.247% 3,483 -1,593,000 (11) 29/06/2025 3 month CAD-BA-CDOR 2.255% 6,262 -974,000 (7) 29/06/2025 3 month CAD-BA-CDOR 2.27% 4,522 -

CHF 741,000 (7) 20/03/2025 6 month CHF-LIBOR-BBA 0.1775% (8,519) -544,000 (5) 23/03/2025 6 month CHF-LIBOR-BBA 0.1675% (6,723) -427,000 (4) 26/03/2025 6 month CHF-LIBOR-BBA 0.1525% (5,756) -

2,363,000 (22) 02/04/2025 6 month CHF-LIBOR-BBA 0.182% (27,510) (0.01)835,000 (8) 10/04/2025 0.16875% 6 month CHF-LIBOR-BBA 10,715 -





CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING (-0.05%) cont.

NotionalAmount

UpfrontPremium


Date

Paymentsmade by

Fund per annum

Paymentsreceived by

Fund per annum


(Depreciation)GBP

% ofFund

CHF 9,260,000 GBP (24) 05/05/2017 6 month CHF-LIBOR-BBA 0.60875% GBP (20,877) (0.01)1,830,000 (17) 05/05/2025 6 month CHF-LIBOR-BBA 0.22% (18,950) (0.01)1,830,000 (17) 19/05/2025 0.29% 6 month CHF-LIBOR-BBA 11,148 -

9,260,000 (24) 19/05/2017 0.63% 6 month CHF-LIBOR-BBA 17,594 0.01941,000 (9) 26/05/2025 0.28% 6 month CHF-LIBOR-BBA 6,642 -914,000 (8) 26/05/2025 0.2725% 6 month CHF-LIBOR-BBA 6,920 -453,000 (4) 28/05/2025 6 month CHF-LIBOR-BBA 0.2425% (4,387) -544,000 (5) 02/06/2025 6 month CHF-LIBOR-BBA 0.2475% (5,176) -535,000 (5) 11/06/2025 6 month CHF-LIBOR-BBA 0.46% 2,482 -496,000 (5) 17/06/2025 0.40% 6 month CHF-LIBOR-BBA (175) -464,000 (4) 24/06/2025 6 month CHF-LIBOR-BBA 0.45% 1,646 -534,000 (5) 26/06/2025 6 month CHF-LIBOR-BBA 0.39% (349) -461,000 (E) (4) 02/07/2025 0.40875% 6 month CHF-LIBOR-BBA (199) -

EUR 1,635,000 (E) 4,055 16/09/2045 6 month EUR-EURIBOR-Telerate 1.75% 14,450 0.0116,202,000 (E) 94,858 16/09/2020 6 month EUR-EURIBOR-Telerate 0.50% 63,233 0.0313,305,000 (E) (28,447) 16/09/2025 1.25% 6 month EUR-EURIBOR-Telerate (71,551) (0.03)

6,513,000 (E) (2,129) 16/09/2035 1.75% 6 month EUR-EURIBOR-Telerate (68,808) (0.03)GBP 2,000 (E) 146 16/09/2045 2.75% 6 month GBP-LIBOR-BBA (26) -

5,000 (E) 55 16/09/2020 2.00% 6 month GBP-LIBOR-BBA 2 -1,455,000 (E) 9,058 16/09/2025 2.25% 6 month GBP-LIBOR-BBA 1,244 -

JPY 21,005,000 (4) 24/03/2044 6 month JPY-LIBOR-BBA 1.80% 9,461 -41,131,000 (8) 24/03/2044 6 month JPY-LIBOR-BBA 1.79625% 18,324 0.01

1,148,200,000 (27) 14/03/2019 6 month JPY-LIBOR-BBA 0.3175% 26,802 0.01251,200,000 (26) 14/03/2044 1.795% 6 month JPY-LIBOR-BBA (112,159) (0.04)20,364,000 (2) 24/03/2044 6 month JPY-LIBOR-BBA 1.80125% 9,208 -23,000,000 (4) 07/11/2044 6 month JPY-LIBOR-BBA 1.5025% 913 -

138,000,000 (26) 07/11/2044 6 month JPY-LIBOR-BBA 1.495% 4,101 -722,000,000 (32) 07/11/2019 0.2475% 6 month JPY-LIBOR-BBA (545) -426,200,000 (19) 07/11/2019 0.25% 6 month JPY-LIBOR-BBA (569) -

7,700,000 (1) 07/11/2044 6 month JPY-LIBOR-BBA 1.4975% 254 -25,563,000 (2) 01/05/2025 0.51% 6 month JPY-LIBOR-BBA 1,410 -

800,154,000 (31) 20/05/2025 0.583% 6 month JPY-LIBOR-BBA 16,684 0.01653,111,000 (25) 26/05/2025 6 month JPY-LIBOR-BBA 0.595% (10,473) -

243,436,000 (17) 26/05/2025 0.614% 6 month JPY-LIBOR-BBA 1,504 -210,942,000 (8) 04/06/2025 6 month JPY-LIBOR-BBA 0.619% (1,051) -207,435,000 (14) 08/06/2025 0.6725% 6 month JPY-LIBOR-BBA (4,515) -225,290,000 (16) 10/06/2025 0.674% 6 month JPY-LIBOR-BBA (5,022) -225,453,000 (16) 12/06/2025 0.6775% 6 month JPY-LIBOR-BBA (5,355) -633,576,000 (24) 17/06/2025 6 month JPY-LIBOR-BBA 0.689% 18,174 0.01189,872,000 (7) 25/06/2025 0.622% 6 month JPY-LIBOR-BBA 1,336 -653,110,000 (24) 02/07/2025 6 month JPY-LIBOR-BBA 0.6325% (518) -

NOK 4,325,000 (5) 25/06/2025 2.3775% 6 month NOK-NIBOR-NIBR 304 -4,127,000 (4) 29/06/2025 6 month NOK-NIBOR-NIBR 2.37% (580) -4,146,000 (E) (4) 02/07/2025 6 month NOK-NIBOR-NIBR 2.375% (433) -

NZD 3,057,000 (21) 23/04/2025 3 month NZD-BBR-FRA 3.7275% (17,668) (0.01)1,089,000 (7) 08/04/2025 3 month NZD-BBR-FRA 3.675% (8,232) -6,852,000 (46) 09/04/2025 3.675% 3 month NZD-BBR-FRA 51,704 0.031,077,000 (7) 10/04/2025 3.7275% 3 month NZD-BBR-FRA 6,082 -3,100,000 (22) 22/04/2025 3 month NZD-BBR-FRA 3.705% (20,408) (0.01)

606,000 (4) 22/05/2025 3 month NZD-BBR-FRA 4.0075% 2,506 -2,461,000 (15) 25/05/2025 3.985% 3 month NZD-BBR-FRA (8,065) -

835,000 (5) 12/06/2025 4.1425% 3 month NZD-BBR-FRA (7,435) -680,000 (4) 26/06/2025 3 month NZD-BBR-FRA 3.975% 1,847 -809,000 (5) 02/07/2025 3.9025% 3 month NZD-BBR-FRA (77) -642,000 (4) 29/05/2025 3 month NZD-BBR-FRA 3.99% 2,196 -723,000 (4) 16/06/2025 3 month NZD-BBR-FRA 4.045% 3,858 -

1,010,000 (6) 17/06/2025 3 month NZD-BBR-FRA 4.025% 4,657 -1,661,000 (10) 17/06/2025 3 month NZD-BBR-FRA 4.02% 7,361 -875,000 (5) 22/06/2025 3 month NZD-BBR-FRA 3.895% (84) -





CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING (-0.05%) cont.

NotionalAmount

UpfrontPremium


Date

Paymentsmade by

Fund per annum

Paymentsreceived by

Fund per annum


(Depreciation)GBP

% ofFund

NZD 653,000 GBP (4) 25/06/2025 3.955% 3 month NZD-BBR-FRA GBP (1,313) -711,000 (4) 02/07/2025 3.905% 3 month NZD-BBR-FRA (132) -

1,618,000 (9) 02/07/2025 3.9525% 3 month NZD-BBR-FRA (3,062) -SEK 8,062,000 (8) 19/05/2025 3 month SEK-STIBOR-SIDE 1.3225% (14,894) (0.01)

12,507,000 (13) 23/06/2025 1.5525% 3 month SEK-STIBOR-SIDE 4,871 -Unrealised Appreciation on Centrally Cleared Interest Rate Swap Contracts Outstanding GBP 842,475 0.32Unrealised Depreciation on Centrally Cleared Interest Rate Swap Contracts Outstanding GBP (1,954,649) (0.74)Net Unrealised Depreciation on Centrally Cleared Interest Rate Swap Contracts Outstanding GBP (1,112,174) (0.42)Variation Margin Settlement to Date GBP 991,545 0.37Cumulative Unrealised Depreciation less Variation Margin Settlement to Date GBP (120,629) (0.05) (E) See Note 2 to the Financial Statements regarding extended effective dates. WRITTEN SWAP OPTIONS OUTSTANDING (-0.86%)

ContractAmount

Counterparty

Fixed Obligation % to receive or (pay)/ Floating rate index/Maturity date


ValueGBP

% ofFund

USD 11,761,200 Bank of America N.A. (2.281)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/USD 2.281 GBP (299) -58,806,000 Bank of America N.A. 1.798/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.798 (22,081) (0.01)

12,216,200 Bank of America N.A. 2.955/3 month USD-LIBOR-BBA/Sep-25 Sep-15/2.955 (27,212) (0.01)14,701,500 Bank of America N.A. 1.278/3 month USD-LIBOR-BBA/Dec-17 Dec-15/1.278 (27,695) (0.01)6,090,000 Bank of America N.A. 1.66/3 month USD-LIBOR-BBA/Jul-20 Jul-15/1.66 (29,573) (0.01)11,252,000 Bank of America N.A. (2.3825)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.3825 (30,936) (0.01)11,761,200 Bank of America N.A. (2.541)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.541 (75,601) (0.03)11,761,200 Bank of America N.A. (2.604)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.604 (115,497) (0.04)

24,492,600 Citibank, N.A. 2.587/3 month USD-LIBOR-BBA/May-18 May-16/2.587 (14,653) (0.01)24,492,600 Citibank, N.A. 2.387/3 month USD-LIBOR-BBA/May-18 May-16/2.387 (21,511) (0.01)

11,761,200 Citibank, N.A. (2.468)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.468 (43,190) (0.02)12,814,100 Citibank, N.A. (2.583)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.583 (127,060) (0.05)12,814,100 Credit Suisse International 2.5675/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.5675 (46,241) (0.02)12,814,100 Credit Suisse International (2.5675)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.5675 (119,394) (0.05)12,814,100 Credit Suisse International (2.60)/3 month USD-LIBOR-BBA/Aug-25 Aug-15/2.60 (141,332) (0.05)3,140,400 Credit Suisse International 2.515/3 month USD-LIBOR-BBA/Apr-47 Apr-17/2.515 (310,340) (0.12)2,653,175 Goldman Sachs International (1.885)/3 month USD-LIBOR-BBA/Jan-46 Jan-16/1.885 (5,150) -

48,985,200 Goldman Sachs International 2.58625/3 month USD-LIBOR-BBA/Jun-18 Jun-16/2.58625 (30,241) (0.01)12,814,100 Goldman Sachs International 2.6025/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.6025 (45,018) (0.02)12,814,100 Goldman Sachs International (2.6025)/3 month USD-LIBOR-BBA/Jul-25 Jul-15/2.6025 (139,538) (0.05)

31,031,500 JPMorgan Chase Bank N.A. (0.83)/3 month USD-LIBOR-BBA/Sep-17 Sep-15/0.83 (9,480) -31,031,500 JPMorgan Chase Bank N.A. (0.905)/3 month USD-LIBOR-BBA/Sep-17 Sep-15/0.905 (17,380) (0.01)9,641,000 JPMorgan Chase Bank N.A. (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 (830,000) (0.32)

Total Written Swap Options Outstanding GBP (2,229,422) (0.86) WRITTEN EQUITY OPTIONS OUTSTANDING (-0.04%)

ContractAmount

Counterparty


ValueGBP

% ofFund

USD 12,000,000 Federal National Mortgage Association 30 yr 3.0s TBA commitments (Call) Jul-15/USD 102.64 GBP (8) -

26,000,000 Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-15/97.13 (58,578) (0.02)

13,000,000 Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Sep-15/96.13 (17,052) (0.01)

3,000,000 Federal National Mortgage Association 30 yr 3.0s TBA commitments (Put) Jul-15/99.86 (10,925) -

6,000,000 Federal National Mortgage Association 30 yr 3.5s TBA commitments (Call) Aug-15/102.48 (29,484) (0.01)

Total Written Equity Options Outstanding GBP (116,047) (0.04)





OTC CREDIT DEFAULT CONTRACTS OUTSTANDING (0.01%)

Swap counterparty/ Referenced debt*

Upfront Premium received/(paid)**

Notionalamount

Terminationdate

Payments

received/(paid) by Fund per annum


(Depreciation)GBP

% ofFund

Bank of America N.A. CMBX NA BBB- Index GBP 3,324 USD 73,000 11/05/2063 300 bp GBP 3,027 -CMBX NA BBB- Index 6,630 167,000 11/05/2063 300 bp 5,949 -CMBX NA BBB- Index 13,624 335,000 11/05/2063 300 bp 12,259 0.01CMBX NA BBB- Index 13,046 346,000 11/05/2063 300 bp 11,637 -Barclays Bank PLC CMBX NA BBB- Index 20,413 286,000 11/05/2063 300 bp 19,248 0.01CMBX NA BBB- Index (430) 63,000 17/01/2047 (300 bp) 677 -Credit Suisse International CMBX NA BBB- Index (666) 80,000 11/05/2063 300 bp (992) -CMBX NA BBB- Index 1,150 91,000 11/05/2063 300 bp 779 -CMBX NA BBB- Index (1,185) 115,000 11/05/2063 300 bp (1,654) -CMBX NA BBB- Index 909 180,000 11/05/2063 300 bp 176 -CMBX NA BBB- Index 12,239 240,000 11/05/2063 300 bp 11,261 -CMBX NA BBB- Index 13,129 263,000 11/05/2063 300 bp 12,058 0.01CMBX NA BBB- Index 21,918 300,000 11/05/2063 300 bp 20,696 0.01CMBX NA BBB- Index 15,260 300,000 11/05/2063 300 bp 14,038 0.01CMBX NA BBB- Index 15,013 301,000 11/05/2063 300 bp 13,786 0.01CMBX NA BBB- Index 12,865 301,000 11/05/2063 300 bp 11,639 -CMBX NA BBB- Index 6,169 305,000 11/05/2063 300 bp 4,926 -CMBX NA BBB- Index 2,374 314,000 11/05/2063 300 bp 1,095 -CMBX NA BBB- Index 3,242 323,000 11/05/2063 300 bp 1,926 -CMBX NA BBB- Index 16,989 353,000 11/05/2063 300 bp 15,551 0.01CMBX NA BBB- Index 2,245 476,000 11/05/2063 300 bp 306 -CMBX NA BBB- Index 2,138 555,000 11/05/2063 300 bp (123) -CMBX NA BBB- Index 16,498 615,000 11/05/2063 300 bp 13,993 0.01CMBX NA BBB- Index 1,930 662,000 11/05/2063 300 bp (767) -CMBX NA BBB- Index 3,053 750,000 11/05/2063 300 bp (2) -CMBX NA BBB- Index 1,170 1,372,000 11/05/2063 300 bp (4,419) -CMBX NA BBB- Index 654 42,000 17/01/2047 300 bp (83) -CMBX NA BBB- Index 302 52,000 17/01/2047 300 bp (611) -CMBX NA BBB- Index 223 105,000 17/01/2047 300 bp (1,621) -CMBX NA BBB- Index 149 105,000 17/01/2047 300 bp (1,695) -CMBX NA BBB- Index 125 105,000 17/01/2047 300 bp (1,720) -CMBX NA BBB- Index 242 115,000 17/01/2047 300 bp (1,778) -CMBX NA BBB- Index 242 115,000 17/01/2047 300 bp (1,778) -CMBX NA BBB- Index 517 124,000 17/01/2047 300 bp (1,661) -CMBX NA BBB- Index 403 124,000 17/01/2047 300 bp (1,776) -CMBX NA BBB- Index 232 137,000 17/01/2047 300 bp (2,175) -CMBX NA BBB- Index 271 139,000 17/01/2047 300 bp (2,171) -CMBX NA BBB- Index 305 139,000 17/01/2047 300 bp (2,137) -CMBX NA BBB- Index 2,536 216,000 17/01/2047 300 bp (1,259) -CMBX NA BBB- Index 269 230,000 17/01/2047 300 bp (3,771) -CMBX NA BBB- Index 1,450 275,000 17/01/2047 300 bp (3,381) -CMBX NA BBB- Index 1,319 275,000 17/01/2047 300 bp (3,512) -CMBX NA BBB- Index 1,004 296,000 17/01/2047 300 bp (4,195) -CMBX NA BBB- Index 1,004 296,000 17/01/2047 300 bp (4,195) -CMBX NA BBB- Index 2,748 398,000 17/01/2047 300 bp (4,243) -CMBX NA BBB- Index 3 410,000 17/01/2047 300 bp (7,199) (0.01)CMBX NA BBB- Index 3,666 412,000 17/01/2047 300 bp (3,572) -CMBX NA BBB- Index 1,196 421,000 17/01/2047 300 bp (6,199) (0.01)CMBX NA BBB- Index 1,030 423,000 17/01/2047 300 bp (6,400) (0.01)CMBX NA BBB- Index 7,487 461,000 17/01/2047 300 bp (611) -CMBX NA BBB- Index 9,388 574,000 17/01/2047 300 bp (695) -CMBX NA BBB- Index 17,305 1,110,000 17/01/2047 300 bp (2,194) -CMBX NA BB Index (1,166) 374,000 11/05/2063 (500 bp) 183 -CMBX NA BB Index (2,900) 277,000 11/05/2063 (500 bp) (1,901) -CMBX NA BB Index 886 251,000 11/05/2063 (500 bp) 1,791 -CMBX NA BB Index 1,452 237,000 11/05/2063 (500 bp) 2,307 -





OTC CREDIT DEFAULT CONTRACTS OUTSTANDING (0.01%) cont.


Upfront Premiumreceived/(paid)**

Notionalamount

Terminationdate

Paymentsreceived/(paid) by

Fund per annum


(Depreciation)GBP

% ofFund

Credit Suisse International cont. CMBX NA BB Index GBP (559) USD 233,000 11/05/2063 (500 bp) GBP 281 -CMBX NA BB Index 2,063 224,000 11/05/2063 (500 bp) 2,871 -CMBX NA BB Index 3,470 223,000 11/05/2063 (500 bp) 4,274 -CMBX NA BB Index (680) 125,000 11/05/2063 (500 bp) (229) -CMBX NA BB Index (564) 124,000 11/05/2063 (500 bp) (116) -CMBX NA BB Index (705) 124,000 11/05/2063 (500 bp) (258) -CMBX NA BB Index (597) 117,000 11/05/2063 (500 bp) (113) -CMBX NA BB Index (464) 116,000 11/05/2063 (500 bp) (5) -CMBX NA BB Index 1,334 112,000 11/05/2063 (500 bp) 1,738 -CMBX NA BB Index 41 4,000 11/05/2063 (500 bp) 55 -CMBX NA BB Index (3,207) 275,000 11/05/2063 (500 bp) (2,215) -CMBX NA BBB- Index 1,291 90,000 11/05/2063 300 bp 925 -CMBX NA BBB- Index (368) 99,000 11/05/2063 300 bp (771) -CMBX NA BBB- Index (576) 102,000 11/05/2063 300 bp (991) -CMBX NA BBB- Index 8,503 124,000 11/05/2063 300 bp 7,998 -CMBX NA BBB- Index (290) 145,000 11/05/2063 300 bp (881) -CMBX NA BBB- Index 62 150,000 11/05/2063 300 bp (549) -CMBX NA BBB- Index 658 183,000 11/05/2063 300 bp (87) -CMBX NA BBB- Index (1,004) 194,000 11/05/2063 300 bp (1,795) -CMBX NA BBB- Index 1,467 196,000 11/05/2063 300 bp 669 -CMBX NA BBB- Index 1,224 196,000 11/05/2063 300 bp 426 -CMBX NA BBB- Index (1,202) 196,000 11/05/2063 300 bp (2,001) -CMBX NA BBB- Index (403) 196,000 11/05/2063 300 bp (1,202) -CMBX NA BBB- Index (406) 197,000 11/05/2063 300 bp (1,208) -CMBX NA BBB- Index (1,134) 198,000 11/05/2063 300 bp (1,940) -CMBX NA BBB- Index 328 205,000 11/05/2063 300 bp (507) -CMBX NA BBB- Index 6,530 223,000 11/05/2063 300 bp 5,622 -CMBX NA BBB- Index 676 237,000 11/05/2063 300 bp (289) -CMBX NA BBB- Index 1,133 242,000 11/05/2063 300 bp 71 -CMBX NA BBB- Index (2,980) 277,000 11/05/2063 300 bp (4,108) -CMBX NA BBB- Index 114 277,000 11/05/2063 300 bp (1,014) -CMBX NA BBB- Index 568 277,000 11/05/2063 300 bp (561) -CMBX NA BBB- Index (1,809) 294,000 11/05/2063 300 bp (3,007) -CMBX NA BBB- Index 843 295,000 11/05/2063 300 bp (358) -CMBX NA BBB- Index 940 345,000 11/05/2063 300 bp (538) -CMBX NA BBB- Index 400 487,000 11/05/2063 300 bp (1,584) -CMBX NA BBB- Index (6,331) 555,000 11/05/2063 300 bp (8,592) (0.01)CMBX NA BBB- Index 3,903 3,161,000 11/05/2063 300 bp (8,973) (0.01)CMBX NA BBB- Index 1,200 268,000 17/01/2047 300 bp (3,507) -CMBX NA BBB- Index 1,030 318,000 17/01/2047 300 bp (4,556) -CMBX NA BBB- Index 5,694 693,000 17/01/2047 300 bp (6,479) (0.01)Goldman Sachs International CMBX NA BBB- Index (661) 150,000 11/05/2063 300 bp (1,272) -CMBX NA BBB- Index 1,104 662,000 11/05/2063 300 bp (1,593) -CMBX NA BBB- Index (2,044) 689,000 11/05/2063 300 bp (4,850) -CMBX NA BBB- Index 163 67,000 17/01/2047 300 bp (1,014) -CMBX NA BBB- Index 164 68,000 17/01/2047 300 bp (1,030) -CMBX NA BBB- Index 686 135,000 17/01/2047 300 bp (1,686) -CMBX NA BBB- Index 412 141,000 17/01/2047 300 bp (2,065) -CMBX NA BBB- Index 343 141,000 17/01/2047 300 bp (2,133) -CMBX NA BBB- Index 343 141,000 17/01/2047 300 bp (2,133) -CMBX NA BBB- Index 1,101 170,000 17/01/2047 300 bp (1,885) -CMBX NA BBB- Index 1,463 262,000 17/01/2047 300 bp (3,139) -CMBX NA BBB- Index 723 270,000 17/01/2047 300 bp (4,019) -CMBX NA BBB- Index 201 275,000 17/01/2047 300 bp (4,629) -CMBX NA BB Index (1,454) 231,000 11/05/2063 (500 bp) (621) -CMBX NA BB Index 1,618 143,000 11/05/2063 (500 bp) 2,134 -CMBX NA BB Index 852 128,000 11/05/2063 (500 bp) 1,313 -





OTC CREDIT DEFAULT CONTRACTS OUTSTANDING (0.01%) cont.


Upfront Premium received/(paid)**

Notionalamount

Terminationdate

Payments



(Depreciation)GBP

% ofFund

Goldman Sachs International cont. CMBX NA BB Index GBP (718) USD 124,000 11/05/2063 (500 bp) GBP (271) -CMBX NA BB Index 99 123,000 11/05/2063 (500 bp) 543 -CMBX NA BB Index 1,508 112,000 11/05/2063 (500 bp) 1,912 -CMBX NA BB Index (157) 116,000 17/01/2047 (500 bp) 1,635 -CMBX NA BBB- Index (658) 102,000 11/05/2063 300 bp (1,074) -CMBX NA BBB- Index 622 168,000 11/05/2063 300 bp (63) -CMBX NA BBB- Index 1,309 193,000 11/05/2063 300 bp 523 -CMBX NA BBB- Index (964) 194,000 11/05/2063 300 bp (1,754) -CMBX NA BBB- Index (1,121) 196,000 11/05/2063 300 bp (1,919) -CMBX NA BBB- Index (1,201) 196,000 11/05/2063 300 bp (2,000) -CMBX NA BBB- Index (1,201) 196,000 11/05/2063 300 bp (2,000) -CMBX NA BBB- Index (487) 197,000 11/05/2063 300 bp (1,290) -CMBX NA BBB- Index (2,748) 277,000 11/05/2063 300 bp (3,877) -CMBX NA BBB- Index 304 62,000 17/01/2047 300 bp (785) -CMBX NA BBB- Index 4,607 242,000 17/01/2047 300 bp 279 -CMBX NA BBB- Index 4,078 833,000 17/01/2047 300 bp (10,554) (0.01)Unrealised Appreciation on OTC Credit Default Contracts Outstanding GBP 212,577 0.08Unrealised Depreciation on OTC Credit Default Contracts Outstanding GBP (196,580) (0.07)Net Unrealised Appreciation on OTC Credit Default Contracts Outstanding GBP 15,997 0.01 * 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. For information on the credit risks associated with Credit Default Contracts, please refer to Note 5(f) of the financial statements. OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING (-0.06%)

Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund

Unrealised Appreciation/

(Depreciation)GBP

% ofFund

Barclays Bank PLC

USD 162,000 GBP - 12/01/2040 5.00%

(1 month USD-LIBOR) Synthetic MBX Index 5.00%

30 year Fannie Mae pools GBP (1,238) -

76,992 - 12/01/2041 5.00%

(1 month USD-LIBOR) Synthetic MBX Index 5.00% 30 year Ginnie Mae II pools (589) -

2,047,829 - 12/01/2040 4.50%


30 year Fannie Mae pools (15,805) (0.01)

861,604 - 12/01/2042 4.00%

(1 month USD-LIBOR) Synthetic TRS Index 4.00%

30 year Fannie Mae pools (1,216) -

3,986,100 - 12/01/2038 (6.50%)

1 month USD-LIBOR Synthetic MBX Index 6.50%

30 year Fannie Mae pools 24,550 0.01

3,664,925 - 12/01/2040 5.00%



3,391,714 - 12/01/2041 5.00%



126,341 - 12/01/2041 4.00%


30 year Fannie Mae pools (186) -

518,564 - 12/01/2041 4.00%



10,375,456 - 12/01/2038 (6.50%)



13,793,876 - 12/01/2041 5.00%



182,954 - 12/01/2040 4.00%



795,814 - 12/01/2039 6.00%



8,918,296 - 12/01/2038 (6.50%)


30 year Fannie Mae pools 54,927 0.03 11,163,887 - 12/01/2041 5.00%

(1 month USD-LIBOR)Synthetic MBX Index 5.00%

30 year Fannie Mae pools (83,295) (0.04)3,396,015 - 12/01/2040 4.00%

(1 month USD-LIBOR)Synthetic MBX Index 4.00%






OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING (-0.06%) cont.

Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund


(Depreciation)GBP

% ofFund

Barclays Bank PLC cont.

USD 2,633,201 GBP - 12/01/2041 5.00%


30 year Fannie Mae pools GBP (19,647) (0.01)

1,092,991 - 12/01/2038 (6.50%)


30 year Fannie Mae pools 6,732 -

1,808,865 - 12/01/2040 4.00%



6,425,053 - 12/01/2041 5.00%



3,764,141 - 12/01/2038 (6.50%)



3,259,219 - 12/01/2041 4.00%



429,455 - 12/01/2040 5.00%



54,670 - 12/01/2040 4.50%



141,720 - 12/01/2040 5.00%



459,995 - 12/01/2040 5.00%



333,544 - 12/01/2040 5.00%



7,428,493 - 12/01/2038 (6.50%)



3,048,976 - 12/01/2039 (6.00%)



1,104,050 - 12/01/2039 (5.50%)



552,025 - 12/01/2039 (5.50%)



552,025 - 12/01/2039 (5.50%)



1,107,856 - 12/01/2039 (5.50%)



2,877,299 - 12/01/2039 (5.50%)



1,107,856 - 12/01/2039 (5.50%)



805,249 - 12/01/2041 5.00%

(1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (819) -

510,613 - 12/01/2041 5.00%

(1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (520) -

13,291 - 12/01/2038 6.50%



2,211,906 - 12/01/2039 (5.50%)



825,619 - 12/01/2041 (5.00%)

1 month USD-LIBOR Synthetic TRS Index 5.00%


2,007,960 - 12/01/2038 (6.50%)



783,857 - 12/01/2041 5.00%



6,208,798 - 12/01/2043 3.50%



5,329,078 - 12/01/2038 (6.50%)



1,155,616 - 12/01/2043 3.50%


30 year Fannie Mae pools (502) -Citibank, N.A.

1,882,541 - 12/01/2041 5.00%



4,532,518 - 12/01/2041 5.00%








Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund


(Depreciation)GBP

% ofFund

Credit Suisse International

USD 6,511,633 GBP - 12/01/2041 4.50%

(1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Ginnie Mae II pools GBP (48,068) (0.02)

964,140 - 12/01/2038 (6.50%)



1,671,492 - 12/01/2041 5.00%

(1 month USD-LIBOR) Synthetic TRS Index 5.00% 30 year Ginnie Mae II pools (1,701) -

1,704,067 - 12/01/2041 (5.00%)



906,289 - 12/01/2041 (5.00%)



150,101 - 12/01/2041 4.00%



3,691,486 - 12/01/2038 6.50%



1,240,774 - 12/01/2043 3.50%



2,329,199 - 12/01/2041 4.00%


30 year Fannie Mae pools (3,422) -Deutsche Bank AG

964,140 - 12/01/2038 (6.50%)


30 year Fannie Mae pools 5,938 -Goldman Sachs International

2,290,453 - 12/01/2038 6.50%



1,766,856 - 12/01/2038 6.50%



5,654,798 - 12/01/2039 6.00%



2,219,313 - 12/01/2038 6.50%



2,137,667 - 12/01/2042 4.00%



2,137,667 - 12/01/2042 4.00%



3,104,462 - 12/01/2038 (6.50%)



1,166,265 - 12/01/2038 (6.50%)



1,815,325 - 12/01/2040 4.00%



152,004 - 12/01/2039 6.00%



2,344,281 - 12/01/2039 6.00%



4,252,753 - 12/01/2038 (6.50%)



166,521 - 12/01/2038 (6.50%)



444,055 - 12/01/2038 (6.50%)



499,218 - 12/01/2038 6.50%



2,510,139 - 12/01/2038 6.50%



1,846,361 - 12/01/2042 4.00%



3,175,949 - 12/01/2042 4.00%



3,968,853 - 12/01/2039 6.00%



1,106,520 - 12/01/2041 4.00%








Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund


(Depreciation)GBP

% ofFund

Goldman Sachs International cont.

USD 1,083,692 GBP - 12/01/2041 (5.00%)


30 year Fannie Mae pools GBP 3,190 -

2,276,747 - 12/01/2043 3.50%



1,784,000 - 24/02/2025 (2.01%)

USA Non Revised Consumer

Price Index- Urban (CPI-U) 2,659 -

957,000 - 12/03/2025 (1.925%)



GBP 1,033,000 - 20/02/2025 (2.895%)

GBP Non-revised UK Retail

Price Index (21,476) (0.01)

554,000 - 10/03/2025 (2.8675%)

GBP Non-revised UK Retail

Price Index (15,806) (0.01)JPMorgan Chase Bank N.A.

USD 1,023,550 - 12/01/2041 4.00%



1,106,520 - 12/01/2041 4.00%



1,083,692 - 12/01/2041 (5.00%)



EUR 3,728,000 - 25/05/2020 (1.115%)

Eurostat Eurozone HICP

excluding tobacco 19,471 0.01

3,670,000 - 25/05/2025 1.445%

Eurostat Eurozone HICP

excluding tobacco (27,269) (0.01)Unrealised Appreciation on OTC Total Return Swap Contracts Outstanding GBP 476,383 0.18Unrealised Depreciation on OTC Total Return Swap Contracts Outstanding GBP (626,854) (0.24)Net Unrealised Depreciation on OTC Total Return Swap Contracts Outstanding GBP (150,471) (0.06) FUTURES CONTRACTS OUTSTANDING (-%)

Number of contracts Broker


(Depreciation)GBP

% ofFund

10 Euro-Bobl 5 yr Sep-15 (long) Merrill Lynch, Pierce, Fenner & Smith Incorporated GBP 3,125 -46 Euro-Bund 10 yr Sep-15 (long) Merrill Lynch, Pierce, Fenner & Smith Incorporated 32,316 0.0244 U.S. Treasury Bond 30 yr Sep-15 (long) Merrill Lynch, Pierce, Fenner & Smith Incorporated 30,732 0.016 U.S. Treasury Bond Ultra 30 yr Sep-15 (long) Merrill Lynch, Pierce, Fenner & Smith Incorporated (17,200) (0.01)(73) U.S. Treasury Note 2 yr Sep-15 (short) Merrill Lynch, Pierce, Fenner & Smith Incorporated (17,515) (0.01)(60) U.S. Treasury Note 5 yr Sep-15 (short) Merrill Lynch, Pierce, Fenner & Smith Incorporated 222 -(86) U.S. Treasury Note 10 yr Sep-15 (short) Merrill Lynch, Pierce, Fenner & Smith Incorporated 6,071 -Unrealised Appreciation on Futures Contracts GBP 72,466 0.03Unrealised Depreciation on Futures Contracts GBP (34,715) (0.02)Net Unrealised Appreciation on Futures Contracts GBP 37,751 0.01Variation margin settlement to date GBP (25,607) (0.01)Cumulative unrealised appreciation less variation margin settlement to date GBP 12,144 - TBA SALES COMMITMENTS OUTSTANDING (-41.92%)

PrincipalAmount Agency

CouponRate

Settlementdate

ValueGBP

% ofFund

USD 3,000,000 Federal National Mortgage Association 4.50 01/07/2045 GBP (2,064,290) (0.78)8,000,000 Federal National Mortgage Association 4.00 01/07/2045 (5,393,795) (2.04)5,000,000 Federal National Mortgage Association 3.50 01/07/2045 (3,278,888) (1.24)

52,000,000 Federal National Mortgage Association 3.00 01/07/2045 (32,960,225) (12.48)26,000,000 Government National Mortgage Association 4.00 01/07/2045 (17,536,297) (6.64)39,000,000 Government National Mortgage Association 3.00 01/07/2045 (25,067,276) (9.49)38,000,000 Government National Mortgage Association 3.00 01/07/2045 (24,416,967) (9.25)

Total TBA Sales Commitments Outstanding GBP (110,717,738) (41.92)





FORWARD PREMIUM SWAP OPTIONS CONTRACTS OUTSTANDING (-0.01%)

ContractAmount Counterparty

Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date



(Depreciation)GBP

% ofFund

USD 25,628,200 Bank of America N.A. (2.594)/3 month USD-LIBOR-BBA/Jul-25 (Purchased) Jul-15/USD 2.594 GBP 12,396 -12,814,100 Bank of America N.A. 2.454/3 month USD-LIBOR-BBA/Jul-25 (Written) Jul-15/2.454 (13,619) (0.01)1,527,025 JPMorgan Chase Bank N.A. (3.035)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.035 7,075 -1,527,025 JPMorgan Chase Bank N.A. (3.117)/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/3.117 2,614 -1,527,025 JPMorgan Chase Bank N.A. 2.117/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.117 (10,234) -1,527,025 JPMorgan Chase Bank N.A. 2.035/3 month USD-LIBOR-BBA/Feb-27 (Purchased) Feb-17/2.035 (12,634) -

5,976,700 JPMorgan Chase Bank N.A. 1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 (16,927) (0.01)11,761,200 JPMorgan Chase Bank N.A. 2.2325/3 month USD-LIBOR-BBA/Aug-25 (Purchased) Aug-15/2.2325 (19,911) (0.01)11,761,200 JPMorgan Chase Bank N.A. 2.3675/3 month USD-LIBOR-BBA/Aug-25 (Purchased) Aug-15/2.3675 (27,995) (0.01)11,710,000 JPMorgan Chase Bank N.A. 1.963/3 month USD-LIBOR-BBA/Jul-25 (Purchased) Jul-15/1.963 (32,792) (0.01)11,953,500 JPMorgan Chase Bank N.A. 1.00/3 month USD-LIBOR-BBA/Apr-27 (Purchased) Apr-17/1.00 (36,441) (0.01)11,710,000 JPMorgan Chase Bank N.A. 2.079/3 month USD-LIBOR-BBA/Jul-25 (Purchased) Jul-15/2.079 (55,150) (0.02)11,710,000 JPMorgan Chase Bank N.A. (2.195)/3 month USD-LIBOR-BBA/Jul-25 (Written) Jul-15/2.195 86,824 0.04 11,761,200 JPMorgan Chase Bank N.A. (2.5025)/3 month USD-LIBOR-BBA/Aug-25 (Written) Aug-15/2.5025 27,920 0.02

23,906,900 JPMorgan Chase Bank N.A. (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 22,610 0.01 11,953,500 JPMorgan Chase Bank N.A. (1.00)/3 month USD-LIBOR-BBA/Apr-19 (Written) Apr-17/1.00 10,422 -6,688,400 JPMorgan Chase Bank N.A. 2.655/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.655 8,837 -6,688,400 JPMorgan Chase Bank N.A. 2.56/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/2.56 5,593 -6,688,400 JPMorgan Chase Bank N.A. (1.56)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.56 4,512 -6,688,400 JPMorgan Chase Bank N.A. (1.655)/3 month USD-LIBOR-BBA/Feb-19 (Written) Feb-17/1.655 1,234 -

Unrealised Appreciation on Forward Premium Swap Option Contracts Outstanding GBP 190,037 0.07 Unrealised Depreciation on Forward Premium Swap Option Contracts Outstanding GBP (225,703) (0.08)Net Unrealised Depreciation on Forward Premium Swap Option Contracts Outstanding GBP (35,666) (0.01) FORWARD FOREIGN EXCHANGE CURRENCY CONTRACTS (2.82%)

Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

Bank of America, N.A. Australian Dollar Buy 15/07/2015 320,496 335,333 GBP (14,837) (0.01) Canadian Dollar Buy 15/07/2015 322,371 333,189 (10,818) - Canadian Dollar Buy 15/07/2015 328,180 335,325 (7,145) - Canadian Dollar Buy 15/07/2015 318,754 321,322 (2,568) - Canadian Dollar Sell 15/07/2015 936,645 977,695 41,050 0.02 Euro Buy 16/09/2015 711,524 719,457 (7,933) - Mexican Peso Buy 15/07/2015 614,399 649,474 (35,075) (0.01) New Zealand Dollar Sell 15/07/2015 310,626 338,158 27,532 0.01 New Zealand Dollar Sell 15/07/2015 307,481 319,740 12,259 - Norwegian Krone Buy 16/09/2015 49,821 50,803 (982) - Swedish Krona Sell 16/09/2015 322,194 327,602 5,408 - Swedish Krona Sell 16/09/2015 338,273 342,757 4,484 - US Dollar Buy 15/07/2015 923,115 977,695 (54,580) (0.03) US Dollar Buy 15/07/2015 327,018 338,158 (11,140) - US Dollar Buy 15/07/2015 316,208 319,740 (3,532) - US Dollar Buy 16/09/2015 325,549 327,602 (2,053) - US Dollar Buy 16/09/2015 331,616 342,757 (11,141) - US Dollar Sell 15/07/2015 631,933 649,474 17,541 0.01 US Dollar Sell 15/07/2015 328,244 333,189 4,945 - US Dollar Sell 15/07/2015 315,603 335,333 19,730 0.01 US Dollar Sell 15/07/2015 328,464 335,325 6,861 - US Dollar Sell 15/07/2015 324,137 321,322 (2,815) - US Dollar Sell 16/09/2015 50,100 50,803 703 - US Dollar Sell 16/09/2015 700,117 719,457 19,340 0.02 US Dollar Sell 16/09/2015 358,912 369,700 10,788 -Barclays Bank PLC Australian Dollar Buy 15/07/2015 309,160 324,835 (15,675) (0.01) Australian Dollar Buy 15/07/2015 311,270 329,052 (17,782) (0.01) Australian Dollar Sell 15/07/2015 23,899 24,892 993 - Australian Dollar Sell 15/07/2015 331,341 334,517 3,176 -






Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

Barclays Bank PLC cont. Canadian Dollar Buy 15/07/2015 306,627 318,816 GBP (12,189) - Canadian Dollar Buy 15/07/2015 316,665 333,374 (16,709) (0.01) Canadian Dollar Buy 15/07/2015 315,136 333,569 (18,433) (0.01) Canadian Dollar Sell 15/07/2015 911,526 952,594 41,068 0.03 Euro Buy 16/09/2015 324,564 331,464 (6,900) - Euro Buy 16/09/2015 319,518 321,333 (1,815) - Euro Buy 16/09/2015 640 639 1 - Euro Sell 16/09/2015 14,071 14,585 514 - Euro Sell 16/09/2015 653,747 677,239 23,492 0.02 Euro Sell 16/09/2015 161,038 162,700 1,662 - Japanese Yen Buy 19/08/2015 332,251 333,755 (1,504) - Japanese Yen Buy 19/08/2015 664,502 667,509 (3,007) - Japanese Yen Sell 19/08/2015 302,373 315,972 13,599 0.01 Japanese Yen Sell 19/08/2015 660,068 665,695 5,627 - Mexican Peso Buy 15/07/2015 611,895 668,404 (56,509) (0.02) New Zealand Dollar Buy 15/07/2015 287,921 344,176 (56,255) (0.02) New Zealand Dollar Sell 15/07/2015 281,071 326,367 45,296 0.03 New Zealand Dollar Sell 15/07/2015 282,407 326,827 44,420 0.03 New Zealand Dollar Sell 15/07/2015 298,347 323,298 24,951 0.02 New Zealand Dollar Sell 15/07/2015 319,544 321,127 1,583 - New Zealand Dollar Sell 15/07/2015 276,763 327,177 50,414 0.03 Norwegian Krone Buy 16/09/2015 618,212 630,398 (12,186) - Singapore Dollar Sell 19/08/2015 664,554 689,714 25,160 0.02 Swedish Krona Sell 16/09/2015 1,029,123 1,043,989 14,866 0.01 Swedish Krona Sell 16/09/2015 322,655 329,833 7,178 - Swiss Franc Buy 16/09/2015 390,869 398,339 (7,470) - US Dollar Buy 15/07/2015 308,582 326,827 (18,245) (0.02) US Dollar Buy 15/07/2015 322,072 323,298 (1,226) - US Dollar Buy 15/07/2015 321,657 321,127 530 - US Dollar Buy 15/07/2015 23,502 24,892 (1,390) - US Dollar Buy 15/07/2015 310,891 327,177 (16,286) (0.01) US Dollar Buy 15/07/2015 327,117 334,517 (7,400) - US Dollar Buy 15/07/2015 899,416 952,594 (53,178) (0.03) US Dollar Buy 15/07/2015 312,832 326,367 (13,535) (0.01) US Dollar Buy 19/08/2015 650,513 665,695 (15,182) (0.01) US Dollar Buy 19/08/2015 674,028 689,714 (15,686) (0.01) US Dollar Buy 19/08/2015 308,786 315,972 (7,186) - US Dollar Buy 16/09/2015 1,010,057 1,043,989 (33,932) (0.02) US Dollar Buy 16/09/2015 14,240 14,585 (345) - US Dollar Buy 16/09/2015 663,334 677,239 (13,905) (0.01) US Dollar Buy 16/09/2015 158,350 162,700 (4,350) - US Dollar Buy 16/09/2015 326,821 329,833 (3,012) - US Dollar Buy 16/09/2015 328,111 324,700 3,411 - US Dollar Sell 15/07/2015 318,978 318,816 (162) - US Dollar Sell 15/07/2015 313,453 333,374 19,921 0.02 US Dollar Sell 15/07/2015 313,817 333,569 19,752 0.02 US Dollar Sell 15/07/2015 319,569 324,835 5,266 - US Dollar Sell 15/07/2015 633,082 668,404 35,322 0.02 US Dollar Sell 15/07/2015 319,276 329,052 9,776 - US Dollar Sell 15/07/2015 313,837 344,176 30,339 0.02 US Dollar Sell 19/08/2015 331,558 333,755 2,197 - US Dollar Sell 19/08/2015 662,921 667,509 4,588 - US Dollar Sell 16/09/2015 642 639 (3) - US Dollar Sell 16/09/2015 328,144 331,464 3,320 - US Dollar Sell 16/09/2015 620,484 630,398 9,914 - US Dollar Sell 16/09/2015 326,646 321,333 (5,313) - US Dollar Sell 16/09/2015 386,920 398,339 11,419 -





FORWARD FOREIGN EXCHANGE CURRENCY CONTRACTS (2.82%)

Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

Barclays Bank PLC cont. US Dollar Sell 16/09/2015 322,401 332,200 GBP 9,799 - Citibank, N.A. Australian Dollar Buy 15/07/2015 259,056 271,050 (11,994) - Australian Dollar Sell 15/07/2015 322,115 340,167 18,052 0.01 Brazilian Real Buy 02/07/2015 1,262,576 1,273,843 (11,267) - Brazilian Real Sell 02/07/2015 1,262,576 1,264,911 2,335 - Brazilian Real Sell 02/07/2015 1,222,640 1,231,147 8,507 - Canadian Dollar Buy 15/07/2015 321,709 331,160 (9,451) - Canadian Dollar Buy 15/07/2015 323,696 326,458 (2,762) - Canadian Dollar Buy 15/07/2015 320,639 330,859 (10,220) - Canadian Dollar Sell 15/07/2015 653,761 683,190 29,429 0.01 Chilean Peso Buy 15/07/2015 622,162 683,326 (61,164) (0.02) Chilean Peso Sell 15/07/2015 603,087 657,092 54,005 0.02 Danish Krone Buy 16/09/2015 13,533 13,676 (143) - Euro Buy 16/09/2015 323,071 328,697 (5,626) - Euro Buy 16/09/2015 782 796 (14) - Euro Buy 16/09/2015 856,359 854,984 1,375 - Euro Sell 16/09/2015 659,787 671,720 11,933 - Euro Sell 16/09/2015 71,422 72,137 715 - Japanese Yen Sell 19/08/2015 132,253 138,196 5,943 - Mexican Peso Buy 15/07/2015 634,710 693,325 (58,615) (0.03) New Zealand Dollar Buy 15/07/2015 1,465 1,725 (260) - New Zealand Dollar Sell 15/07/2015 510,917 591,266 80,349 0.04 Norwegian Krone Buy 16/09/2015 429,851 438,324 (8,473) - Philippine Peso Buy 19/08/2015 312,416 328,856 (16,440) (0.01) Swedish Krona Sell 16/09/2015 328,926 333,907 4,981 - Swiss Franc Buy 16/09/2015 457,676 466,422 (8,746) - US Dollar Buy 02/07/2015 1,191,089 1,264,911 (73,822) (0.04) US Dollar Buy 02/10/2015 1,241,498 1,231,147 10,351 - US Dollar Buy 15/07/2015 317,799 340,167 (22,368) (0.01) US Dollar Buy 15/07/2015 645,051 683,190 (38,139) (0.02) US Dollar Buy 15/07/2015 558,258 591,266 (33,008) (0.02) US Dollar Buy 15/07/2015 621,748 657,092 (35,344) (0.02) US Dollar Buy 19/08/2015 135,053 138,196 (3,143) - US Dollar Buy 16/09/2015 323,054 333,907 (10,853) - US Dollar Buy 16/09/2015 664,602 671,720 (7,118) - US Dollar Buy 16/09/2015 70,208 72,137 (1,929) - US Dollar Sell 02/07/2015 1,281,578 1,273,843 (7,735) - US Dollar Sell 15/07/2015 641,817 683,326 41,509 0.03 US Dollar Sell 15/07/2015 326,567 331,160 4,593 - US Dollar Sell 15/07/2015 327,405 326,458 (947) - US Dollar Sell 15/07/2015 322,306 330,859 8,553 - US Dollar Sell 15/07/2015 254,847 271,050 16,203 0.01 US Dollar Sell 15/07/2015 656,730 693,325 36,595 0.01 US Dollar Sell 15/07/2015 1,614 1,725 111 - US Dollar Sell 19/08/2015 315,503 328,856 13,353 0.01 US Dollar Sell 16/09/2015 32,215,162 33,191,900 976,738 0.37 US Dollar Sell 16/09/2015 13,524 13,676 152 - US Dollar Sell 16/09/2015 325,643 328,697 3,054 - US Dollar Sell 16/09/2015 431,812 438,324 6,512 - US Dollar Sell 16/09/2015 453,131 466,422 13,291 0.01 US Dollar Sell 16/09/2015 791 796 5 - US Dollar Sell 16/09/2015 856,503 854,984 (1,519) - US Dollar Sell 16/09/2015 132,184 132,200 16 - US Dollar Sell 16/09/2015 129,280 133,200 3,920 -






Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

Credit Suisse AG Australian Dollar Buy 15/07/2015 624,846 656,528 GBP (31,682) (0.01) Australian Dollar Buy 15/07/2015 323,244 327,778 (4,534) - Australian Dollar Sell 15/07/2015 312,448 325,562 13,114 - Canadian Dollar Buy 15/07/2015 322,218 326,031 (3,813) - Canadian Dollar Buy 15/07/2015 637,762 685,122 (47,360) (0.03) Canadian Dollar Buy 15/07/2015 320,180 324,331 (4,151) - Canadian Dollar Sell 15/07/2015 898,176 938,473 40,297 0.02 Euro Buy 16/09/2015 324,350 334,552 (10,202) - Euro Buy 16/09/2015 333,945 337,808 (3,863) - Euro Buy 16/09/2015 782 788 (6) - Euro Sell 16/09/2015 177,881 179,835 1,954 - Euro Sell 16/09/2015 368,625 369,908 1,283 - Indian Rupee Buy 19/08/2015 686,826 711,263 (24,437) (0.01) Japanese Yen Sell 19/08/2015 22 23 1 - New Zealand Dollar Buy 15/07/2015 598,375 699,974 (101,599) (0.04) New Zealand Dollar Sell 15/07/2015 316,657 329,601 12,944 - New Zealand Dollar Sell 15/07/2015 312,435 335,573 23,138 0.01 New Zealand Dollar Sell 15/07/2015 568,475 661,480 93,005 0.04 Norwegian Krone Buy 16/09/2015 320,886 319,657 1,229 - Norwegian Krone Sell 16/09/2015 489,149 509,220 20,071 0.01 Singapore Dollar Sell 19/08/2015 645,046 669,462 24,416 0.01 Swedish Krona Sell 16/09/2015 332,696 339,464 6,768 - Swedish Krona Sell 16/09/2015 330,026 336,572 6,546 - Swedish Krona Sell 16/09/2015 321,524 325,818 4,294 - Swedish Krona Sell 16/09/2015 352,014 358,276 6,262 - Swedish Krona Sell 16/09/2015 328,964 338,990 10,026 - Swiss Franc Buy 16/09/2015 576,467 587,483 (11,016) - US Dollar Buy 15/07/2015 307,387 325,562 (18,175) (0.01) US Dollar Buy 15/07/2015 325,791 329,601 (3,810) - US Dollar Buy 15/07/2015 327,732 335,573 (7,841) - US Dollar Buy 15/07/2015 641,163 661,480 (20,317) (0.01) US Dollar Buy 15/07/2015 886,083 938,473 (52,390) (0.02) US Dollar Buy 19/08/2015 22 23 (1) - US Dollar Buy 19/08/2015 654,237 669,462 (15,225) (0.01) US Dollar Buy 16/09/2015 328,858 336,572 (7,714) - US Dollar Buy 16/09/2015 324,533 325,818 (1,285) - US Dollar Buy 16/09/2015 346,632 358,276 (11,644) - US Dollar Buy 16/09/2015 370,451 369,908 543 - US Dollar Buy 16/09/2015 330,962 338,990 (8,028) - US Dollar Buy 16/09/2015 492,669 509,220 (16,551) (0.01) US Dollar Buy 16/09/2015 51,201 52,300 (1,099) - US Dollar Buy 16/09/2015 1,208 1,200 8 - US Dollar Buy 16/09/2015 326,931 326,300 631 - US Dollar Buy 16/09/2015 22,226 22,200 26 - US Dollar Buy 16/09/2015 175,027 179,835 (4,808) - US Dollar Buy 16/09/2015 330,149 339,464 (9,315) - US Dollar Sell 15/07/2015 327,855 324,331 (3,524) - US Dollar Sell 15/07/2015 643,186 656,528 13,342 0.01 US Dollar Sell 15/07/2015 324,678 327,778 3,100 - US Dollar Sell 15/07/2015 324,555 326,031 1,476 - US Dollar Sell 15/07/2015 654,051 699,974 45,923 0.02 US Dollar Sell 15/07/2015 651,474 685,122 33,648 0.01 US Dollar Sell 19/08/2015 677,590 711,263 33,673 0.01 US Dollar Sell 16/09/2015 33,380,357 34,388,700 1,008,343 0.38 US Dollar Sell 16/09/2015 322,607 319,657 (2,950) - US Dollar Sell 16/09/2015 328,914 334,552 5,638 - US Dollar Sell 16/09/2015 333,484 337,808 4,324 - US Dollar Sell 16/09/2015 783 788 5 -






Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

Credit Suisse AG cont. US Dollar Sell 16/09/2015 570,568 587,483 GBP 16,915 0.01 US Dollar Sell 16/09/2015 324,323 335,100 10,777 - US Dollar Sell 16/09/2015 378,662 390,100 11,438 - US Dollar Sell 16/09/2015 652,551 651,600 (951) -Deutsche Bank AG Australian Dollar Buy 15/07/2015 260,283 272,333 (12,050) - Australian Dollar Buy 15/07/2015 312,448 328,290 (15,842) (0.01) Australian Dollar Sell 15/07/2015 633,778 667,917 34,139 0.01 Canadian Dollar Buy 15/07/2015 643,367 662,267 (18,900) (0.01) Canadian Dollar Sell 15/07/2015 1,331,724 1,390,975 59,251 0.02 Euro Sell 16/09/2015 1,398,673 1,413,712 15,039 0.01 New Zealand Dollar Buy 15/07/2015 882,332 1,032,145 (149,813) (0.06) New Zealand Dollar Sell 15/07/2015 633,358 658,234 24,876 0.01 Norwegian Krone Sell 16/09/2015 201,163 208,983 7,820 - Polish Zloty Sell 16/09/2015 344,248 361,776 17,528 0.01 Swedish Krona Buy 16/09/2015 144,771 144,289 482 - Turkish Lira Buy 16/09/2015 126,992 133,983 (6,991) - US Dollar Buy 15/07/2015 650,627 658,234 (7,607) - US Dollar Buy 15/07/2015 1,313,323 1,390,975 (77,652) (0.03) US Dollar Buy 15/07/2015 625,040 667,917 (42,877) (0.02) US Dollar Buy 16/09/2015 2,226,977 2,212,300 14,677 0.01 US Dollar Buy 16/09/2015 202,190 208,983 (6,793) - US Dollar Buy 16/09/2015 350,018 361,776 (11,758) - US Dollar Buy 16/09/2015 1,375,910 1,413,712 (37,802) (0.01) US Dollar Buy 16/09/2015 188,123 190,500 (2,377) - US Dollar Sell 15/07/2015 964,391 1,032,145 67,754 0.03 US Dollar Sell 15/07/2015 256,011 272,333 16,322 0.01 US Dollar Sell 15/07/2015 653,468 662,267 8,799 - US Dollar Sell 15/07/2015 320,695 328,290 7,595 - US Dollar Sell 16/09/2015 34,339,602 35,368,800 1,029,198 0.39 US Dollar Sell 16/09/2015 142,122 144,289 2,167 - US Dollar Sell 16/09/2015 126,179 133,983 7,804 - US Dollar Sell 16/09/2015 603,318 621,400 18,082 0.01 US Dollar Sell 16/09/2015 9,420 9,500 80 -Goldman Sachs International Australian Dollar Buy 15/07/2015 422,715 442,285 (19,570) (0.01) Canadian Dollar Buy 15/07/2015 321,556 328,387 (6,831) - Canadian Dollar Sell 15/07/2015 854,358 892,308 37,950 0.01 Euro Sell 16/09/2015 1,075,886 1,087,290 11,404 - Japanese Yen Buy 19/08/2015 3,016 3,161 (145) - New Zealand Dollar Buy 15/07/2015 303,474 355,002 (51,528) (0.02) New Zealand Dollar Sell 15/07/2015 633,358 657,165 23,807 0.01 New Zealand Dollar Sell 15/07/2015 22,920 26,600 3,680 - Norwegian Krone Buy 16/09/2015 15,242 15,348 (106) - Norwegian Krone Sell 16/09/2015 4,905 5,095 190 - South African Rand Buy 15/07/2015 1,587 1,588 (1) - South African Rand Buy 15/07/2015 1,112 1,176 (64) - South African Rand Buy 15/07/2015 1,576 1,644 (68) - South African Rand Buy 15/07/2015 4,103 4,340 (237) - Swedish Krona Sell 16/09/2015 301,329 306,021 4,692 - US Dollar Buy 15/07/2015 649,569 657,165 (7,596) - US Dollar Buy 15/07/2015 842,495 892,308 (49,813) (0.02) US Dollar Buy 15/07/2015 25,207 26,600 (1,393) - US Dollar Buy 16/09/2015 4,930 5,095 (165) - US Dollar Buy 16/09/2015 296,075 306,021 (9,946) - US Dollar Buy 16/09/2015 1,058,216 1,087,290 (29,074) (0.01) US Dollar Sell 15/07/2015 325,579 328,387 2,808 - US Dollar Sell 15/07/2015 1,546 1,588 42 -






Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

Goldman Sachs International cont. US Dollar Sell 15/07/2015 1,102 1,176 GBP 74 - US Dollar Sell 15/07/2015 331,731 355,002 23,271 0.01 US Dollar Sell 15/07/2015 1,583 1,644 61 - US Dollar Sell 15/07/2015 4,042 4,340 298 - US Dollar Sell 15/07/2015 415,609 442,285 26,676 0.01 US Dollar Sell 19/08/2015 3,080 3,161 81 - US Dollar Sell 16/09/2015 30,833,787 31,767,600 933,813 0.35 US Dollar Sell 16/09/2015 2,404,418 2,401,500 (2,918) - US Dollar Sell 16/09/2015 15,233 15,348 115 - US Dollar Sell 16/09/2015 335,635 345,800 10,165 -HSBC Bank USA, National Association Australian Dollar Buy 15/07/2015 114,291 119,582 (5,291) - Canadian Dollar Buy 15/07/2015 309,582 332,181 (22,599) (0.01) Canadian Dollar Sell 15/07/2015 1,578,178 1,649,862 71,684 0.03 Euro Buy 16/09/2015 646,498 657,755 (11,257) - Euro Sell 16/09/2015 273,680 276,496 2,816 - Japanese Yen Sell 19/08/2015 658,827 657,176 (1,651) - New Zealand Dollar Buy 15/07/2015 288,826 337,866 (49,040) (0.02) New Zealand Dollar Sell 15/07/2015 284,862 320,235 35,373 0.01 Swedish Krona Sell 16/09/2015 210,913 214,122 3,209 - US Dollar Buy 15/07/2015 1,557,758 1,649,862 (92,104) (0.03) US Dollar Buy 15/07/2015 310,868 320,235 (9,367) - US Dollar Buy 19/08/2015 652,919 657,176 (4,257) - US Dollar Buy 16/09/2015 207,163 214,122 (6,959) - US Dollar Buy 16/09/2015 269,103 276,496 (7,393) - US Dollar Sell 15/07/2015 112,355 119,582 7,227 - US Dollar Sell 15/07/2015 315,583 337,866 22,283 0.01 US Dollar Sell 15/07/2015 317,432 332,181 14,749 0.01 US Dollar Sell 16/09/2015 31,075,525 32,019,600 944,075 0.36 US Dollar Sell 16/09/2015 653,381 657,755 4,374 - US Dollar Sell 16/09/2015 322,502 332,300 9,798 -JPMorgan Chase Bank, N.A. Australian Dollar Buy 15/07/2015 325,697 326,406 (709) - Australian Dollar Buy 15/07/2015 337,524 353,150 (15,626) (0.01) Australian Dollar Buy 15/07/2015 309,013 324,634 (15,621) (0.01) Australian Dollar Buy 15/07/2015 312,399 328,879 (16,480) (0.01) Australian Dollar Sell 15/07/2015 637,556 649,264 11,708 - Canadian Dollar Buy 15/07/2015 307,901 326,705 (18,804) (0.01) Canadian Dollar Buy 15/07/2015 306,627 325,821 (19,194) (0.01) Canadian Dollar Buy 15/07/2015 309,175 330,964 (21,789) (0.01) Canadian Dollar Buy 15/07/2015 321,352 323,601 (2,249) - Canadian Dollar Sell 15/07/2015 378,367 386,283 7,916 - Canadian Dollar Sell 15/07/2015 842,079 880,105 38,026 0.01 Canadian Dollar Sell 15/07/2015 302,755 317,635 14,880 0.01 Euro Sell 16/09/2015 785,790 794,710 8,920 - Indian Rupee Buy 19/08/2015 64,501 66,796 (2,295) - Japanese Yen Buy 19/08/2015 124,623 130,639 (6,016) - Japanese Yen Sell 19/08/2015 319,420 325,183 5,763 - Mexican Peso Buy 15/07/2015 608,468 664,660 (56,192) (0.02) New Zealand Dollar Buy 15/07/2015 599,193 651,097 (51,904) (0.02) New Zealand Dollar Buy 15/07/2015 284,733 334,751 (50,018) (0.02) New Zealand Dollar Sell 15/07/2015 537,757 622,601 84,844 0.03 New Zealand Dollar Sell 15/07/2015 281,071 318,433 37,362 0.01 New Zealand Dollar Sell 15/07/2015 315,192 326,310 11,118 - New Zealand Dollar Sell 15/07/2015 295,331 325,367 30,036 0.01 New Zealand Dollar Sell 15/07/2015 318,251 319,801 1,550 - New Zealand Dollar Sell 15/07/2015 281,028 326,323 45,295 0.02 Norwegian Krone Buy 16/09/2015 934,591 953,013 (18,422) (0.01)






Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

JPMorgan Chase Bank, N.A. cont. Philippine Peso Buy 19/08/2015 312,416 328,856 GBP (16,440) (0.01) Singapore Dollar Sell 19/08/2015 2,551 2,647 96 - Singapore Dollar Sell 19/08/2015 625,774 654,938 29,164 0.01 South African Rand Buy 15/07/2015 167,582 178,428 (10,846) - South Korean Won Sell 19/08/2015 30,067 32,073 2,006 - Swedish Krona Sell 16/09/2015 318,509 320,783 2,274 - Swedish Krona Sell 16/09/2015 547,140 555,175 8,035 - Swiss Franc Sell 16/09/2015 168,042 170,890 2,848 - US Dollar Buy 15/07/2015 587,844 622,601 (34,757) (0.01) US Dollar Buy 15/07/2015 378,143 386,283 (8,140) - US Dollar Buy 15/07/2015 311,115 318,433 (7,318) - US Dollar Buy 15/07/2015 324,117 326,310 (2,193) - US Dollar Buy 15/07/2015 325,946 325,367 579 - US Dollar Buy 15/07/2015 830,973 880,105 (49,132) (0.02) US Dollar Buy 15/07/2015 311,912 317,635 (5,723) - US Dollar Buy 15/07/2015 647,360 649,264 (1,904) - US Dollar Buy 15/07/2015 323,066 319,801 3,265 - US Dollar Buy 15/07/2015 312,790 326,323 (13,533) (0.01) US Dollar Buy 19/08/2015 324,030 325,183 (1,153) - US Dollar Buy 19/08/2015 630,557 654,938 (24,381) (0.01) US Dollar Buy 19/08/2015 30,933 32,073 (1,140) - US Dollar Buy 19/08/2015 2,586 2,647 (61) - US Dollar Buy 16/09/2015 537,131 555,175 (18,044) (0.01) US Dollar Buy 16/09/2015 166,321 170,890 (4,569) - US Dollar Buy 16/09/2015 773,460 794,710 (21,250) (0.01) US Dollar Buy 16/09/2015 324,770 321,300 3,470 - US Dollar Buy 16/09/2015 324,523 320,783 3,740 - US Dollar Sell 15/07/2015 312,832 324,634 11,802 - US Dollar Sell 15/07/2015 315,641 328,879 13,238 0.01 US Dollar Sell 15/07/2015 167,928 178,428 10,500 - US Dollar Sell 15/07/2015 316,688 326,705 10,017 - US Dollar Sell 15/07/2015 324,502 326,406 1,904 - US Dollar Sell 15/07/2015 629,380 664,660 35,280 0.01 US Dollar Sell 15/07/2015 646,133 651,097 4,964 - US Dollar Sell 15/07/2015 316,275 325,821 9,546 - US Dollar Sell 15/07/2015 314,891 330,964 16,073 0.01 US Dollar Sell 15/07/2015 332,063 353,150 21,087 0.01 US Dollar Sell 15/07/2015 317,416 334,751 17,335 0.01 US Dollar Sell 15/07/2015 321,507 323,601 2,094 - US Dollar Sell 19/08/2015 127,268 130,639 3,371 - US Dollar Sell 19/08/2015 314,484 328,856 14,372 0.01 US Dollar Sell 19/08/2015 63,805 66,796 2,991 - US Dollar Sell 16/09/2015 32,886,137 33,863,400 977,263 0.37 US Dollar Sell 16/09/2015 939,202 953,013 13,811 0.01 US Dollar Sell 16/09/2015 539,372 555,400 16,028 0.01Royal Bank of Scotland PLC Australian Dollar Buy 15/07/2015 314,509 327,486 (12,977) - Australian Dollar Buy 15/07/2015 317,699 332,172 (14,473) (0.01) Australian Dollar Buy 15/07/2015 462,562 483,977 (21,415) (0.01) Australian Dollar Buy 15/07/2015 326,483 325,339 1,144 - Australian Dollar Sell 15/07/2015 649,236 661,490 12,254 - Canadian Dollar Buy 15/07/2015 327,263 337,266 (10,003) - Canadian Dollar Buy 15/07/2015 312,792 325,938 (13,146) - Canadian Dollar Buy 15/07/2015 306,322 328,682 (22,360) (0.01) Canadian Dollar Sell 15/07/2015 952,847 995,979 43,132 0.02 Euro Buy 16/09/2015 328,686 336,541 (7,855) - Euro Sell 16/09/2015 318,878 317,579 (1,299) - Euro Sell 16/09/2015 97,078 100,603 3,525 -






Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

Royal Bank of Scotland PLC cont. Euro Sell 16/09/2015 365,712 369,812 GBP 4,100 - Japanese Yen Sell 19/08/2015 610,092 645,412 35,320 0.01 New Zealand Dollar Buy 15/07/2015 607,637 662,604 (54,967) (0.02) New Zealand Dollar Buy 15/07/2015 280,296 330,096 (49,800) (0.02) New Zealand Dollar Sell 15/07/2015 291,540 317,563 26,023 0.01 New Zealand Dollar Sell 15/07/2015 317,691 325,051 7,360 - New Zealand Dollar Sell 15/07/2015 284,216 327,480 43,264 0.02 New Zealand Dollar Sell 15/07/2015 301,880 326,344 24,464 0.01 New Zealand Dollar Sell 15/07/2015 305,197 329,054 23,857 0.01 New Zealand Dollar Sell 15/07/2015 288,481 333,897 45,416 0.02 Norwegian Krone Buy 16/09/2015 513,634 523,758 (10,124) - Singapore Dollar Sell 19/08/2015 658,649 671,345 12,696 - Singapore Dollar Sell 19/08/2015 5,338 5,543 205 - Swedish Krona Sell 16/09/2015 957,187 971,222 14,035 0.01 Swedish Krona Sell 16/09/2015 326,079 331,799 5,720 - US Dollar Buy 15/07/2015 323,622 325,051 (1,429) - US Dollar Buy 15/07/2015 647,551 661,490 (13,939) (0.01) US Dollar Buy 15/07/2015 315,212 327,480 (12,268) - US Dollar Buy 15/07/2015 940,378 995,979 (55,601) (0.02) US Dollar Buy 15/07/2015 321,751 326,344 (4,593) - US Dollar Buy 15/07/2015 321,470 329,054 (7,584) - US Dollar Buy 15/07/2015 315,257 333,897 (18,640) (0.01) US Dollar Buy 15/07/2015 315,085 317,563 (2,478) - US Dollar Buy 19/08/2015 626,686 645,412 (18,726) (0.01) US Dollar Buy 19/08/2015 5,416 5,543 (127) - US Dollar Buy 19/08/2015 655,820 671,345 (15,525) (0.01) US Dollar Buy 16/09/2015 939,655 971,222 (31,567) (0.01) US Dollar Buy 16/09/2015 319,866 317,579 2,287 - US Dollar Buy 16/09/2015 98,537 100,603 (2,066) - US Dollar Buy 16/09/2015 328,283 331,799 (3,516) - US Dollar Buy 16/09/2015 359,924 369,812 (9,888) - US Dollar Buy 16/09/2015 482,488 488,700 (6,212) - US Dollar Buy 16/09/2015 326,111 326,000 111 - US Dollar Buy 16/09/2015 37,327 38,300 (973) - US Dollar Sell 15/07/2015 314,096 328,682 14,586 0.01 US Dollar Sell 15/07/2015 330,995 325,339 (5,656) - US Dollar Sell 15/07/2015 646,448 662,604 16,156 0.01 US Dollar Sell 15/07/2015 325,704 327,486 1,782 - US Dollar Sell 15/07/2015 328,338 337,266 8,928 - US Dollar Sell 15/07/2015 308,656 330,096 21,440 0.01 US Dollar Sell 15/07/2015 325,062 332,172 7,110 - US Dollar Sell 15/07/2015 326,408 325,938 (470) - US Dollar Sell 15/07/2015 455,033 483,977 28,944 0.01 US Dollar Sell 16/09/2015 330,437 336,541 6,104 - US Dollar Sell 16/09/2015 514,654 523,758 9,104 - US Dollar Sell 16/09/2015 713,268 734,400 21,132 0.01 US Dollar Sell 16/09/2015 358,817 358,600 (217) -State Street Bank & Trust Company Australian Dollar Buy 15/07/2015 662,436 674,276 (11,840) - Australian Dollar Sell 15/07/2015 129,945 135,286 5,341 - Brazilian Real Buy 02/07/2015 110,825 111,814 (989) - Brazilian Real Buy 02/07/2015 627,798 675,153 (47,355) (0.02) Brazilian Real Sell 02/07/2015 738,623 739,473 850 - Brazilian Real Sell 02/10/2015 107,320 108,152 832 - Canadian Dollar Buy 15/07/2015 8,509 9,036 (527) - Canadian Dollar Buy 15/07/2015 637,966 678,302 (40,336) (0.02) Canadian Dollar Sell 15/07/2015 943,523 985,518 41,995 0.02 Chilean Peso Buy 15/07/2015 644,685 662,129 (17,444) (0.01)






Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

State Street Bank & Trust Company cont. Chilean Peso Buy 15/07/2015 777 853 GBP (76) - Euro Buy 16/09/2015 470,962 476,213 (5,251) - Euro Sell 16/09/2015 497 500 3 - Hungarian Forint Buy 16/09/2015 621,967 644,458 (22,491) (0.01) Japanese Yen Sell 19/08/2015 610,008 645,407 35,399 0.01 Japanese Yen Sell 19/08/2015 124,944 130,574 5,630 - Mexican Peso Buy 15/07/2015 1,902 2,077 (175) - New Zealand Dollar Buy 15/07/2015 105,208 123,071 (17,863) (0.01) New Zealand Dollar Sell 15/07/2015 639,389 669,759 30,370 0.01 Norwegian Krone Buy 16/09/2015 1,727 1,761 (34) - Singapore Dollar Sell 19/08/2015 24,326 25,247 921 - Singapore Dollar Sell 19/08/2015 658,602 670,727 12,125 - Singapore Dollar Sell 19/08/2015 625,774 654,899 29,125 0.01 Swedish Krona Buy 16/09/2015 332,549 331,442 1,107 - Swedish Krona Buy 16/09/2015 93,655 94,347 (692) - Swedish Krona Sell 16/09/2015 651,081 650,365 (716) - Swiss Franc Buy 16/09/2015 356,851 363,670 (6,819) - Turkish Lira Sell 16/09/2015 80,995 83,170 2,175 - US Dollar Buy 02/07/2015 696,317 739,473 (43,156) (0.02) US Dollar Buy 02/10/2015 109,061 108,152 909 - US Dollar Buy 15/07/2015 127,734 135,286 (7,552) - US Dollar Buy 15/07/2015 662,360 669,759 (7,399) - US Dollar Buy 15/07/2015 930,502 985,518 (55,016) (0.03) US Dollar Buy 19/08/2015 626,681 645,407 (18,726) (0.01) US Dollar Buy 19/08/2015 655,216 670,727 (15,511) (0.01) US Dollar Buy 19/08/2015 630,519 654,899 (24,380) (0.01) US Dollar Buy 19/08/2015 127,604 130,574 (2,970) - US Dollar Buy 19/08/2015 24,673 25,247 (574) - US Dollar Buy 16/09/2015 500 500 - - US Dollar Buy 16/09/2015 651,735 650,365 1,370 - US Dollar Buy 16/09/2015 80,467 83,170 (2,703) - US Dollar Buy 16/09/2015 4,004 4,000 4 - US Dollar Sell 02/07/2015 112,530 111,814 (716) - US Dollar Sell 02/07/2015 624,903 675,153 50,250 0.02 US Dollar Sell 15/07/2015 647,814 678,302 30,488 0.01 US Dollar Sell 15/07/2015 652,898 662,129 9,231 - US Dollar Sell 15/07/2015 663,111 674,276 11,165 - US Dollar Sell 15/07/2015 1,967 2,077 110 - US Dollar Sell 15/07/2015 115,001 123,071 8,070 - US Dollar Sell 15/07/2015 803 853 50 - US Dollar Sell 15/07/2015 8,429 9,036 607 - US Dollar Sell 16/09/2015 1,978,642 2,029,400 50,758 0.02 US Dollar Sell 16/09/2015 30,819,806 31,751,800 931,994 0.35 US Dollar Sell 16/09/2015 95,652 94,347 (1,305) - US Dollar Sell 16/09/2015 463,114 476,213 13,099 - US Dollar Sell 16/09/2015 353,236 363,670 10,434 - US Dollar Sell 16/09/2015 327,514 331,442 3,928 - US Dollar Sell 16/09/2015 1,740 1,761 21 - US Dollar Sell 16/09/2015 629,120 644,458 15,338 0.01 US Dollar Sell 16/09/2015 26,887 27,700 813 -UBS AG Australian Dollar Buy 15/07/2015 312,448 328,290 (15,842) (0.01) Australian Dollar Buy 15/07/2015 661,897 673,727 (11,830) - Australian Dollar Buy 15/07/2015 85,534 89,494 (3,960) - Australian Dollar Sell 15/07/2015 170,823 176,736 5,913 - Canadian Dollar Buy 15/07/2015 46,162 49,476 (3,314) - Canadian Dollar Sell 15/07/2015 1,022,804 1,068,598 45,794 0.02 Chilean Peso Buy 15/07/2015 777 856 (79) -






Counterparty

Currency

Contracttype

Deliverydate

ValueGBP

Aggregateface value

GBP


(Depreciation)GBP

% offund

UBS AG cont. Euro Sell 16/09/2015 460,870 475,485 GBP 14,615 0.01 Israeli Shekel Buy 15/07/2015 666,817 654,467 12,350 - Israeli Shekel Sell 15/07/2015 651,553 658,505 6,952 - Japanese Yen Buy 19/08/2015 206,752 216,732 (9,980) - New Zealand Dollar Buy 15/07/2015 845,712 989,307 (143,595) (0.05) New Zealand Dollar Sell 15/07/2015 638,355 669,218 30,863 0.01 Norwegian Krone Buy 16/09/2015 6,697 6,829 (132) - Swedish Krona Buy 16/09/2015 5,955 5,935 20 - US Dollar Buy 15/07/2015 1,008,943 1,068,598 (59,655) (0.03) US Dollar Buy 15/07/2015 172,674 176,736 (4,062) - US Dollar Buy 15/07/2015 661,825 669,218 (7,393) - US Dollar Buy 15/07/2015 633,836 658,505 (24,669) (0.02) US Dollar Buy 16/09/2015 2,395,675 2,394,900 775 - US Dollar Buy 16/09/2015 460,031 475,485 (15,454) (0.01) US Dollar Sell 15/07/2015 924,281 989,307 65,026 0.02 US Dollar Sell 15/07/2015 47,701 49,476 1,775 - US Dollar Sell 15/07/2015 321,136 328,290 7,154 - US Dollar Sell 15/07/2015 659,160 654,467 (4,693) - US Dollar Sell 15/07/2015 662,567 673,727 11,160 - US Dollar Sell 15/07/2015 810 856 46 - US Dollar Sell 15/07/2015 84,149 89,494 5,345 - US Dollar Sell 19/08/2015 211,152 216,732 5,580 - US Dollar Sell 16/09/2015 31,059,628 32,004,900 945,272 0.36 US Dollar Sell 16/09/2015 5,840 5,935 95 - US Dollar Sell 16/09/2015 6,725 6,829 104 - US Dollar Sell 16/09/2015 200,401 206,500 6,099 -Westpac Banking Corporation Australian Dollar Buy 15/07/2015 312,497 328,342 (15,845) (0.02) Australian Dollar Sell 15/07/2015 374,427 390,126 15,699 0.01 Canadian Dollar Buy 15/07/2015 116,323 121,514 (5,191) - Euro Sell 16/09/2015 1,662,758 1,681,005 18,247 0.02 New Zealand Dollar Buy 15/07/2015 816,760 955,440 (138,680) (0.05) South Korean Won Buy 19/08/2015 33,025 35,669 (2,644) - US Dollar Buy 15/07/2015 368,347 390,126 (21,779) (0.01) US Dollar Buy 16/09/2015 1,636,055 1,681,005 (44,950) (0.02) US Dollar Sell 15/07/2015 892,672 955,440 62,768 0.03 US Dollar Sell 15/07/2015 320,891 328,342 7,451 - US Dollar Sell 15/07/2015 114,755 121,514 6,759 - US Dollar Sell 19/08/2015 34,036 35,669 1,633 -Unrealised Appreciation On Forward Foreign Exchange Currency Contracts GBP 11,531,038 4.37Unrealised Depreciation On Forward Foreign Exchange Currency Contracts GBP (4,082,775) (1.55)Net Unrealised Appreciation On Forward Foreign Exchange Currency Contracts GBP 7,448,263 2.82Total Financial Assets at Fair Value through Profit or Loss GBP 383,223,250 145.10Total Financial Liabilities at Fair Value through Profit or Loss GBP (118,938,547) (45.04)

Analysis of Total Assets (unaudited)

% ofTotal

Assets(a) Transferable securities admitted to official stock exchange listing 63.31(b) Transferable securities other than those admitted to official stock exchange listing or dealt in on another regulated market 4.09(c) OTC financial derivative instruments 2.58(d) Exchange Traded financial derivative instruments 0.00(e) Other assets 30.02Total Assets 100.00

Putnam Global High Yield Bond Fund




U.S. CORPORATE BONDS AND NOTES (64.34%) PrincipalAmounts

CouponRate %

MaturityDates

ValueUSD

% ofFund

Advertising (4.30%) USD 735,000 Cablevision Systems Corporation 8.00 15/04/2020 USD 797,475 0.25 1,250,000 CCO Holdings LLC 5.13 15/02/2023 1,214,063 0.38 GBP 850,000 CCO Holdings LLC 5.25 30/09/2022 837,250 0.26 410,000 CCO Holdings LLC 6.63 31/01/2022 427,425 0.13 710,000 CCO Holdings LLC 6.50 30/04/2021 741,950 0.23 960,000 Clear Channel Worldwide Holdings Incorporated 6.50 15/11/2022 999,600 0.31 129,000 Clear Channel Worldwide Holdings Incorporated 7.63 15/03/2020 134,483 0.04 300,000 CSC Holdings LLC 6.75 15/11/2021 316,500 0.10 373,000 Cumulus Media Holdings Incorporated 7.75 05/01/2019 342,228 0.11 895,000 DISH DBS Corporation 5.88 15/11/2024 859,759 0.27 210,000 DISH DBS Corporation 7.88 09/01/2019 232,890 0.07 465,000 Entercom Radio LLC 10.50 12/01/2019 498,713 0.16 925,000 Gray Television Incorporated 7.50 10/01/2020 980,500 0.31 605,000 iHeartCommunications Incorporated 9.00 03/01/2021 547,525 0.17 2,080,000 iHeartCommunications Incorporated 9.00 15/12/2019 1,982,240 0.62 430,000 Lamar Media Corporation 5.88 02/01/2022 445,050 0.14 315,000 Lamar Media Corporation 5.38 15/01/2024 318,544 0.10 145,000 LIN Television Corporation 5.88 15/11/2022 146,813 0.05 380,000 LIN Television Corporation 6.38 15/01/2021 388,550 0.12 110,000 Nielsen Finance LLC 4.50 10/01/2020 109,450 0.03 715,000 Outfront Media Capital LLC 5.63 15/02/2024 734,663 0.23 305,000 Outfront Media Capital LLC 5.63 15/02/2024 311,863 0.10 360,000 Outfront Media Capital LLC 5.88 15/03/2025 372,600 0.12

13,740,134 4.30Aerospace and Defense (0.48%) 565,000 Bombardier Incorporated 7.50 15/03/2025 512,738 0.16 440,000 TransDigm Incorporated 6.50 15/07/2024 434,500 0.14 580,000 TransDigm Incorporated 5.50 15/10/2020 576,375 0.18

1,523,613 0.48Auto Parts and Equipment (1.60%) 500,000 American Axle & Manufacturing Incorporated 6.63 15/10/2022 525,000 0.17 85,000 American Axle & Manufacturing Incorporated 6.25 15/03/2021 89,250 0.03 1,002,000 American Axle & Manufacturing Incorporated 7.75 15/11/2019 1,132,260 0.36 485,000 Dana Holding Corporation 5.50 15/12/2024 478,938 0.15 710,000 Dana Holding Corporation 6.00 15/09/2023 740,619 0.23 545,000 Omega US Sub LLC 8.75 15/07/2023 543,638 0.17 100,000 Pittsburgh Glass Works LLC 8.00 15/11/2018 105,250 0.03 775,000 ZF North America Capital Incorporated 4.75 29/04/2025 750,301 0.24 EUR 200,000 ZF North America Capital Incorporated 2.75 27/04/2023 211,532 0.07 USD 475,000 ZF North America Capital Incorporated 4.50 29/04/2022 465,286 0.15

5,042,074 1.60Automotive (0.63%) 1,580,000 FCA US LLC 8.25 15/06/2021 1,722,200 0.54 285,000 Navistar International Corporation 8.25 11/01/2021 272,175 0.09

1,994,375 0.63Banking (1.32%) 260,000 Bank of America Corporation 6.10 29/12/2049 256,100 0.08 260,000 Bank of America Corporation 6.50 29/10/2049 269,100 0.08 170,000 CIT Group Incorporated 5.00 08/01/2023 169,575 0.05 1,870,000 CIT Group Incorporated 5.00 15/08/2022 1,851,300 0.58 1,000 CIT Group Incorporated 5.38 15/05/2020 1,043 - 145,000 CIT Group Incorporated 3.88 19/02/2019 143,913 0.05 115,000 Citigroup Incorporated 5.90 29/12/2049 113,275 0.04 950,000 Dresdner Funding Trust I 8.15 30/06/2031 1,186,313 0.37 235,000 Provident Funding Associates LP 6.75 15/06/2021 223,250 0.07

4,213,869 1.32

Beverages (0.44%) 1,270,000 Constellation Brands Incorporated 6.00 05/01/2022 1,384,579 0.44

1,384,579 0.44





U.S. CORPORATE BONDS AND NOTES (64.34%) cont. PrincipalAmounts

CouponRate %

MaturityDates

ValueUSD

% ofFund

Building Materials (0.81%) USD 565,000 Boise Cascade Company 6.38 11/01/2020 USD 594,663 0.19 495,000 Cemex Finance LLC 9.38 10/12/2022 550,688 0.17 60,000 CPG Merger Sub LLC 8.00 10/01/2021 62,010 0.02 655,000 Louisiana-Pacific Corporation 7.50 06/01/2020 697,575 0.22 260,000 Masonite International Corporation 5.63 15/03/2023 264,225 0.08 305,000 Nortek Incorporated 8.50 15/04/2021 325,588 0.10 95,000 USG Corporation 5.50 03/01/2025 94,644 0.03

2,589,393 0.81Chemicals (1.31%) 960,000 A Schulman Incorporated 6.88 06/01/2023 979,200 0.31 760,000 Celanese US Holdings LLC 5.88 15/06/2021 813,200 0.26 215,000 Chemours Company 7.00 15/05/2025 208,550 0.07 380,000 Chemours Company 6.63 15/05/2023 368,125 0.12 145,000 Huntsman International LLC 5.13 15/11/2022 142,825 0.04 1,095,000 Huntsman International LLC 4.88 15/11/2020 1,092,263 0.34 605,000 Momentive Performance Materials Incorporated 3.88 24/10/2021 542,988 0.17

4,147,151 1.31Coal (0.17%) 635,000 CONSOL Energy Incorporated 5.88 15/04/2022 539,750 0.17

539,750 0.17Commercial Services (2.72%) 455,000 Ashtead Capital Incorporated 5.63 10/01/2024 453,863 0.14 1,225,000 Ashtead Capital Incorporated 6.50 15/07/2022 1,298,500 0.41 30,000 Avis Budget Car Rental LLC 5.13 06/01/2022 29,250 0.01 935,000 Ceridian HCM Holding Incorporated 11.00 15/03/2021 988,763 0.31 320,000 Igloo Holdings Corporation 8.25 15/12/2017 324,000 0.10 105,000 Jaguar Holding Company II 9.50 12/01/2019 111,825 0.04 705,000 Lender Processing Services Incorporated 5.75 15/04/2023 747,300 0.23 820,000 Service Corporation International 5.38 15/05/2024 856,900 0.27 1,245,000 Service Corporation International 5.38 15/01/2022 1,307,250 0.41 570,000 TMS International Corporation 7.63 15/10/2021 555,750 0.17 460,000 United Rentals North America Incorporated 5.50 15/07/2025 445,625 0.14 580,000 United Rentals North America Incorporated 5.75 15/11/2024 571,300 0.18 715,000 United Rentals North America Incorporated 6.13 15/06/2023 730,194 0.23 250,000 United Rentals North America Incorporated 7.38 15/05/2020 267,813 0.08

8,688,333 2.72Computers (0.08%) 245,000 SunGard Data Systems Incorporated 6.63 11/01/2019 252,963 0.08

252,963 0.08Cosmetics/Personal Care (0.56%) 910,000 Elizabeth Arden Incorporated 7.38 15/03/2021 737,100 0.23 1,085,000 Revlon Consumer Products Corporation 5.75 15/02/2021 1,063,300 0.33

1,800,400 0.56Distribution/Wholesale (0.78%) 650,000 American Tire Distributors Incorporated 10.25 03/01/2022 693,875 0.22 1,125,000 HD Supply Incorporated 7.50 15/07/2020 1,189,688 0.37 365,000 HD Supply Incorporated 11.50 15/07/2020 421,575 0.13 180,000 Univar USA Incorporated 6.75 15/07/2023 181,800 0.06

2,486,938 0.78Diversified Financial Services (3.98%) 560,000 Alliance Data Systems Corporation 5.38 08/01/2022 551,600 0.17 1,860,000 Ally Financial Incorporated 8.00 11/01/2031 2,227,350 0.70 250,000 CNG Holdings Incorporated 9.38 15/05/2020 181,250 0.06 280,000 Community Choice Financial Incorporated 10.75 05/01/2019 143,150 0.04 285,000 Credit Acceptance Corporation 7.38 15/03/2023 294,263 0.09 635,000 Credit Acceptance Corporation 6.13 15/02/2021 636,588 0.20 555,000 DFC Finance Corporation 10.50 15/06/2020 420,413 0.13 595,000 E*TRADE Financial Corporation 4.63 15/09/2023 587,563 0.18 670,000 E*TRADE Financial Corporation 5.38 15/11/2022 686,750 0.22 975,000 Icahn Enterprises LP 5.88 02/01/2022 993,281 0.31 425,000 Icahn Enterprises LP 6.00 08/01/2020 438,813 0.14






CouponRate %

MaturityDates

ValueUSD

% ofFund

Diversified Financial Services (3.98%) cont. USD 410,000 Nationstar Mortgage LLC 6.50 07/01/2021 USD 381,813 0.12 500,000 Nationstar Mortgage LLC 7.88 10/01/2020 498,750 0.16 500,000 Ocwen Financial Corporation 7.13 15/05/2019 467,500 0.15 335,000 OneMain Financial Holdings Incorporated 7.25 15/12/2021 347,563 0.11 580,000 PHH Corporation 6.38 15/08/2021 569,125 0.18 935,000 ROC Finance LLC 12.13 09/01/2018 998,113 0.31 960,000 Springleaf Finance Corporation 6.00 06/01/2020 970,752 0.31 520,000 Springleaf Finance Corporation 5.25 15/12/2019 512,850 0.16 110,000 Springleaf Finance Corporation 6.90 15/12/2017 116,600 0.04 215,000 TMX Finance LLC 8.50 15/09/2018 176,300 0.06 470,000 Walter Investment Management Corporation 7.88 15/12/2021 435,925 0.14

12,636,312 3.98Electric Utilities (2.91%) 1,435,000 AES Corporation 5.50 15/04/2025 1,391,950 0.44 400,000 AES Corporation 4.88 15/05/2023 381,000 0.12 770,000 AES Corporation 7.38 07/01/2021 844,113 0.27 463,000 AES Corporation 8.00 06/01/2020 534,765 0.17 1,435,000 Calpine Corporation 5.75 15/01/2025 1,395,538 0.44 400,000 Dynegy Incorporated 7.63 11/01/2024 423,000 0.13 55,000 Dynegy Incorporated 7.38 11/01/2022 57,613 0.02 1,185,000 Dynegy Incorporated 6.75 11/01/2019 1,232,993 0.39 175,000 GenOn Americas Generation LLC 9.13 05/01/2031 162,750 0.05 780,000 GenOn Americas Generation LLC 8.50 10/01/2021 741,000 0.23 87,000 GenOn Energy Incorporated 9.88 15/10/2020 88,523 0.03 365,000 NRG Energy Incorporated 6.25 15/07/2022 370,475 0.12 405,000 NRG Energy Incorporated 7.88 15/05/2021 431,325 0.14 625,000 NRG Energy Incorporated 7.63 15/01/2018 685,156 0.22 450,000 NRG Yield Operating LLC 5.38 15/08/2024 453,375 0.14

9,193,576 2.91Engineering and Construction (0.80%) 1,195,000 MasTec Incorporated 4.88 15/03/2023 1,090,438 0.34 1,045,000 SBA Communications Corporation 4.88 15/07/2022 1,017,569 0.32 475,000 Weekley Homes LLC 6.00 02/01/2023 448,875 0.14

2,556,882 0.80Entertainment (2.77%) 350,000 AMC Entertainment Incorporated 5.75 15/06/2025 343,000 0.11 240,000 AMC Entertainment Incorporated 5.88 15/02/2022 243,600 0.08 305,000 Cedar Fair LP 5.38 06/01/2024 308,416 0.10 240,000 Cedar Fair LP 5.25 15/03/2021 246,600 0.08 450,000 Cinemark USA Incorporated 4.88 06/01/2023 432,563 0.14 405,000 Cinemark USA Incorporated 5.13 15/12/2022 401,456 0.13 20,000 Cinemark USA Incorporated 7.38 15/06/2021 21,150 0.01 725,000 GLP Capital LP 4.88 11/01/2020 737,688 0.23 130,000 GLP Capital LP 4.38 11/01/2018 133,413 0.04 385,000 Isle of Capri Casinos Incorporated 5.88 15/03/2021 395,588 0.12 1,125,000 Penn National Gaming Incorporated 5.88 11/01/2021 1,133,438 0.35 155,000 Regal Entertainment Group 5.75 02/01/2025 151,513 0.05 630,000 Regal Entertainment Group 5.75 15/06/2023 623,700 0.20 835,000 Regal Entertainment Group 5.75 15/03/2022 844,352 0.27 175,000 Scientific Games Corporation 8.13 15/09/2018 165,375 0.05 2,060,000 Scientific Games International Incorporated 10.00 12/01/2022 1,972,450 0.61 480,000 Scientific Games International Incorporated 7.00 01/01/2022 495,600 0.16 165,000 Scientific Games International Incorporated 6.25 09/01/2020 128,288 0.04

8,778,190 2.77Environmental Control (0.57%) 1,745,000 ADS Waste Holdings Incorporated 8.25 10/01/2020 1,806,075 0.57

1,806,075 0.57Food (0.19%) 115,000 JBS USA LLC 7.25 06/01/2021 121,181 0.04 10,000 JBS USA LLC 8.25 02/01/2020 10,600 -






CouponRate %

MaturityDates

ValueUSD

% ofFund

Food (0.19%) cont. USD 460,000 WhiteWave Foods Company 5.38 10/01/2022 USD 485,300 0.15

617,081 0.19Health-Care Services (3.32%) 465,000 Acadia Healthcare Company Incorporated 5.13 07/01/2022 461,513 0.15 560,000 Centene Corporation 4.75 15/05/2022 576,800 0.18 80,000 CHS/Community Health Systems Incorporated 6.88 02/01/2022 84,400 0.03 1,180,000 CHS/Community Health Systems Incorporated 5.13 08/01/2021 1,202,125 0.38 180,000 CHS/Community Health Systems Incorporated 5.13 15/08/2018 184,500 0.06 235,000 DaVita HealthCare Partners Incorporated 5.00 05/01/2025 226,188 0.07 380,000 DaVita HealthCare Partners Incorporated 5.13 15/07/2024 373,588 0.12 175,000 HCA Incorporated 5.38 02/01/2025 177,853 0.06 160,000 HCA Incorporated 5.88 15/03/2022 174,000 0.05 1,171,000 HCA Incorporated 6.50 15/02/2020 1,308,593 0.41 1,550,000 HCA Incorporated 3.75 15/03/2019 1,561,625 0.49 135,000 Tenet Healthcare Corporation 4.38 10/01/2021 131,963 0.04 415,000 Tenet Healthcare Corporation 4.50 04/01/2021 410,850 0.13 665,000 Tenet Healthcare Corporation 6.00 10/01/2020 709,056 0.22 570,000 Tenet Healthcare Corporation 3.79 15/06/2020 574,988 0.18 535,000 Tenet Healthcare Corporation 4.75 06/01/2020 543,359 0.17 820,000 Tenet Healthcare Corporation 6.25 11/01/2018 893,800 0.28 930,000 WellCare Health Plans Incorporated 5.75 15/11/2020 967,200 0.30

10,562,401 3.32Home Builders (1.27%) 920,000 Lennar Corporation 4.75 15/11/2022 903,900 0.28 235,000 M/I Homes Incorporated 8.63 15/11/2018 243,225 0.08 685,000 PulteGroup Incorporated 6.00 15/02/2035 666,163 0.21 220,000 PulteGroup Incorporated 7.88 15/06/2032 253,000 0.08 270,000 Standard Pacific Corporation 5.88 15/11/2024 278,100 0.09 415,000 Standard Pacific Corporation 6.25 15/12/2021 439,900 0.14 160,000 Taylor Morrison Communities Incorporated 5.63 03/01/2024 154,000 0.05 1,095,000 TRI Pointe Holdings Incorporated 5.88 15/06/2024 1,073,100 0.34

4,011,388 1.27Household Products/Wares (0.42%) 350,000 Spectrum Brands Incorporated 5.75 15/07/2025 355,250 0.11 300,000 Spectrum Brands Incorporated 6.13 15/12/2024 314,250 0.10 105,000 Spectrum Brands Incorporated 6.38 15/11/2020 111,038 0.03 535,000 Spectrum Brands Incorporated 6.75 15/03/2020 563,355 0.18

1,343,893 0.42Industrial Conglomerates (0.07%) 200,000 Horizon Pharma Financing Incorporated 6.63 05/01/2023 208,500 0.07 605,000 MPM Escrow LLC (F) 8.88 15/10/2020 6 -

208,506 0.07Insurance (0.76%) 497,000 American International Group Incorporated 8.18 15/05/2058 658,028 0.21 300,000 A-S Co-Issuer Subsidiary Incorporated 7.88 15/12/2020 315,750 0.10 450,000 CNO Financial Group Incorporated 5.25 30/05/2025 457,290 0.14 335,000 CNO Financial Group Incorporated 4.50 30/05/2020 340,025 0.11 210,000 Genworth Holdings Incorporated 6.15 15/11/2066 128,100 0.04 215,000 Hub Holdings LLC 8.13 15/07/2019 213,925 0.07 295,000 HUB International Limited 7.88 10/01/2021 300,900 0.09

2,414,018 0.76Iron/Steel (0.52%) 770,000 Ryerson Incorporated 9.00 15/10/2017 775,775 0.24 340,000 Steel Dynamics Incorporated 5.50 10/01/2024 340,000 0.11 140,000 Steel Dynamics Incorporated 5.25 15/04/2023 138,950 0.04 290,000 Steel Dynamics Incorporated 6.38 15/08/2022 303,413 0.10 100,000 Steel Dynamics Incorporated 5.13 10/01/2021 100,200 0.03

1,658,338 0.52Lodging (1.32%) 680,000 Boyd Gaming Corporation 6.88 15/05/2023 697,000 0.22 475,000 MGM Resorts International 6.63 15/12/2021 496,375 0.16






CouponRate %

MaturityDates

ValueUSD

% ofFund

Lodging (1.32%) cont. USD 710,000 MGM Resorts International 6.75 10/01/2020 USD 752,600 0.24 560,000 MGM Resorts International 5.25 31/03/2020 564,200 0.18 230,000 MGM Resorts International 8.63 02/01/2019 259,900 0.08 1,170,000 MTR Gaming Group Incorporated 11.50 08/01/2019 1,244,588 0.39 175,000 Sugarhouse HSP Gaming Finance Corporation 6.38 06/01/2021 166,250 0.05

4,180,913 1.32Machinery (0.88%) 501,000 Briggs & Stratton Corporation 6.88 15/12/2020 543,585 0.17 1,085,000 Manitowoc Company Incorporated 5.88 15/10/2022 1,169,088 0.37 985,000 Zebra Technologies Corporation 7.25 15/10/2022 1,066,263 0.34

2,778,936 0.88Machinery-Construction and Mining (1.02%) 480,000 Compass Minerals International Incorporated 4.88 15/07/2024 471,600 0.15 660,000 Oshkosh Corporation 5.38 03/01/2025 660,000 0.21 865,000 Oshkosh Corporation 5.38 03/01/2022 884,463 0.28 595,000 Terex Corporation 6.00 15/05/2021 597,975 0.19 600,000 Vander Intermediate Holding II Corporation 9.75 02/01/2019 591,000 0.19

3,205,038 1.02Manufacturing (0.43%) 380,000 Gates Global LLC 6.00 15/07/2022 343,425 0.11 EUR 1,000,000 Gates Global LLC 5.75 15/07/2022 1,003,476 0.32

1,346,901 0.43Media (1.09%) USD 625,000 Sinclair Television Group Incorporated 5.63 08/01/2024 610,938 0.19 65,000 Sinclair Television Group Incorporated 6.13 10/01/2022 66,788 0.02 305,000 Sinclair Television Group Incorporated 6.38 11/01/2021 314,913 0.10 325,000 Sinclair Television Group Incorporated 5.38 04/01/2021 327,438 0.10 635,000 Tribune Media Company 5.88 15/07/2022 639,763 0.20 1,440,000 WideOpenWest Finance LLC 10.25 15/07/2019 1,537,200 0.48

3,947,040 1.09Medical Technology (1.05%) 735,000 Crimson Merger Sub Incorporated 6.63 15/05/2022 644,963 0.20 975,000 Halyard Health Incorporated 6.25 15/10/2022 1,021,313 0.32 365,000 Hologic Incorporated 5.25 15/07/2022 372,756 0.12 780,000 Kinetic Concepts Incorporated 10.50 11/01/2018 830,700 0.26 85,000 Sterigenics-Nordion Holdings LLC 6.50 15/05/2023 86,275 0.03 380,000 Teleflex Incorporated 5.25 15/06/2024 384,826 0.12

3,340,833 1.05Metal Fabricate/Hardware (0.08%) 295,000 JMC Steel Group Incorporated 8.25 15/03/2018 269,925 0.08

269,925 0.08Oil and Natural Gas Utilities (7.37%) 710,000 Antero Resources Corporation 5.63 06/01/2023 686,038 0.22 380,000 Antero Resources Corporation 5.13 12/01/2022 359,100 0.11 800,000 Antero Resources Corporation 5.38 11/01/2021 768,000 0.24 1,185,000 California Resources Corporation 6.00 15/11/2024 1,019,100 0.32 355,000 California Resources Corporation 5.00 15/01/2020 312,400 0.10 150,000 Chaparral Energy Incorporated 8.25 09/01/2021 111,000 0.03 420,000 Chesapeake Energy Corporation 5.75 15/03/2023 380,100 0.12 270,000 Chesapeake Energy Corporation 4.88 15/04/2022 234,225 0.07 725,000 Chesapeake Energy Corporation 6.13 15/02/2021 681,500 0.21 255,000 Chesapeake Energy Corporation 6.88 15/11/2020 248,625 0.08 290,000 Chesapeake Energy Corporation 3.54 15/04/2019 265,350 0.08 480,000 Concho Resources Incorporated 5.50 04/01/2023 480,000 0.15 165,000 Concho Resources Incorporated 5.50 10/01/2022 164,175 0.05 880,000 Concho Resources Incorporated 6.50 15/01/2022 917,400 0.29 750,000 Denbury Resources Incorporated 5.50 05/01/2022 671,250 0.21 265,000 EP Energy LLC 6.38 15/06/2023 265,663 0.08 820,000 EP Energy LLC 7.75 09/01/2022 861,000 0.27 585,000 EP Energy LLC 9.38 05/01/2020 626,681 0.20 1,130,000 Exterran Partners LP 6.00 10/01/2022 1,073,500 0.34






CouponRate %

MaturityDates

ValueUSD

% ofFund

Oil and Natural Gas Utilities (7.37%) cont. USD 80,000 Freeport-McMoran Oil & Gas LLC 6.88 15/02/2023 USD 85,800 0.03 320,000 Freeport-McMoran Oil & Gas LLC 6.75 02/01/2022 339,200 0.11 270,000 FTS International Incorporated 7.78 15/06/2020 268,674 0.08 360,000 Gulfport Energy Corporation 6.63 05/01/2023 364,500 0.11 810,000 Gulfport Energy Corporation 7.75 11/01/2020 848,475 0.27 1,200,000 Halcon Resources Corporation 8.88 15/05/2021 789,000 0.25 95,000 Halcon Resources Corporation 8.63 02/01/2020 93,813 0.03 500,000 Key Energy Services Incorporated 6.75 03/01/2021 295,000 0.09 440,000 Linn Energy LLC 6.50 15/09/2021 330,000 0.10 170,000 Linn Energy LLC 6.25 11/01/2019 133,025 0.04 1,415,000 Linn Energy LLC 6.50 15/05/2019 1,142,613 0.36 1,190,000 Milagro Oil & Gas Incorporated 10.50 15/05/2016 238,000 0.07 540,000 Newfield Exploration Company 5.38 01/01/2026 534,600 0.17 900,000 Newfield Exploration Company 5.63 07/01/2024 909,000 0.29 225,000 Newfield Exploration Company 5.75 30/01/2022 229,500 0.07 710,000 Oasis Petroleum Incorporated 6.88 15/01/2023 708,225 0.22 1,040,000 Oasis Petroleum Incorporated 6.88 15/03/2022 1,055,600 0.33 1,140,000 Paragon Offshore PLC 7.25 15/08/2024 370,500 0.12 280,000 Paragon Offshore PLC 6.75 15/07/2022 92,400 0.03 490,000 Samson Investment Company 9.75 15/02/2020 28,175 0.01 340,000 SandRidge Energy Incorporated 8.75 06/01/2020 308,550 0.10 615,000 Seventy Seven Energy Incorporated 6.50 15/07/2022 387,450 0.12 205,000 SM Energy Company 6.50 15/11/2021 213,713 0.07 235,000 Southern Star Central Corporation 5.13 15/07/2022 238,525 0.07 95,000 Triangle USA Petroleum Corporation 6.75 15/07/2022 73,625 0.02 810,000 Unit Corporation 6.63 15/05/2021 785,700 0.25 1,605,000 Whiting Petroleum Corporation 5.75 15/03/2021 1,576,913 0.50 943,000 WPX Energy Incorporated 6.00 15/01/2022 931,213 0.29

23,496,896 7.37Packaging and Containers (1.20%) 670,000 Berry Plastics Corporation 5.13 15/07/2023 653,250 0.20 335,000 Crown Cork & Seal Company Incorporated 7.38 15/12/2026 376,038 0.12 EUR 405,000 Kloeckner Pentaplast of America Incorporated 7.13 11/01/2020 451,523 0.14 USD 940,000 Novelis Incorporated 8.75 15/12/2020 994,050 0.30 490,000 Owens-Brockway Glass Container Incorporated 5.38 15/01/2025 478,975 0.15 200,000 Reynolds Group Issuer Incorporated 8.25 15/02/2021 207,500 0.07 261,000 Reynolds Group Issuer Incorporated 9.88 15/08/2019 274,050 0.09 155,000 Sealed Air Corporation 5.50 15/09/2025 156,163 0.05 245,000 Sealed Air Corporation 5.13 12/01/2024 241,631 0.08

3,833,180 1.20Pharmaceuticals (1.40%) 1,270,000 Endo Finance LLC 5.38 15/01/2023 1,254,125 0.39 280,000 Omnicare Incorporated 4.75 12/01/2022 299,600 0.09 550,000 Valeant Pharmaceuticals International Incorporated 6.13 15/04/2025 566,500 0.18 615,000 Valeant Pharmaceuticals International Incorporated 5.88 15/05/2023 630,375 0.20 285,000 Valeant Pharmaceuticals International Incorporated 5.50 03/01/2023 287,138 0.09 815,000 Valeant Pharmaceuticals International Incorporated 5.63 12/01/2021 833,338 0.26 585,000 Valeant Pharmaceuticals International Incorporated 5.38 15/03/2020 601,088 0.19

4,472,164 1.40Pipelines (2.23%) 380,000 Energy Transfer Equity LP 7.50 15/10/2020 428,450 0.13 350,000 Kinder Morgan Incorporated 7.75 15/01/2032 401,118 0.13 420,000 Kinder Morgan Incorporated 7.80 08/01/2031 480,536 0.15 155,000 Regency Energy Partners LP 4.50 11/01/2023 149,575 0.05 275,000 Regency Energy Partners LP 5.00 10/01/2022 279,344 0.09 770,000 Regency Energy Partners LP 5.88 03/01/2022 819,676 0.26 350,000 Rose Rock Midstream LP 5.63 15/11/2023 338,625 0.11 290,000 Rose Rock Midstream LP 5.63 15/07/2022 283,475 0.09 615,000 Sabine Pass Liquefaction LLC 5.75 15/05/2024 612,694 0.19 870,000 Sabine Pass Liquefaction LLC 5.63 15/04/2023 867,007 0.27






CouponRate %

MaturityDates

ValueUSD

% ofFund

Pipelines (2.23%) cont. USD 190,000 Sabine Pass Liquefaction LLC 6.25 15/03/2022 USD 197,600 0.06 655,000 Sabine Pass LNG LP 6.50 11/01/2020 677,925 0.21 190,000 Sabine Pass LNG LP 7.50 30/11/2016 199,977 0.06 69,000 Williams Companies Incorporated 7.75 15/06/2031 77,014 0.02 795,000 Williams Partners LP 4.88 15/05/2023 784,069 0.25 485,000 Williams Partners LP 6.13 15/07/2022 515,313 0.16

7,112,398 2.23Real Estate (1.89%) 250,000 CBRE Services Incorporated 5.25 15/03/2025 258,750 0.08 470,000 CBRE Services Incorporated 5.00 15/03/2023 474,700 0.15 180,000 Communications Sales & Leasing Incorporated 8.25 15/10/2023 176,850 0.06 1,065,000 Corrections Corporation of America 4.63 05/01/2023 1,043,700 0.33 155,000 Corrections Corporation of America 4.13 04/01/2020 154,225 0.05 1,082,000 Crown Castle International Corporation 5.25 15/01/2023 1,089,845 0.34 365,000 Iron Mountain Incorporated 6.00 15/08/2023 381,425 0.12 180,000 iStar Financial Incorporated 5.00 07/01/2019 177,525 0.06 315,000 iStar Financial Incorporated 4.88 07/01/2018 309,881 0.10 408,000 iStar Financial Incorporated 3.00 15/11/2016 491,640 0.15 430,000 MPT Operating Partnership LP 6.38 15/02/2022 459,563 0.14 225,000 MPT Operating Partnership LP 6.88 05/01/2021 237,656 0.07

745,000 Omega Healthcare Investors Incorporated 4.95 04/01/2024 762,005 0.24 6,017,765 1.89

Retail (3.05%) 355,000 AutoNation Incorporated 5.50 02/01/2020 385,619 0.12 665,000 Bon-Ton Department Stores Incorporated 8.00 15/06/2021 508,725 0.16 21,000 Bon-Ton Department Stores Incorporated 10.63 15/07/2017 20,843 0.01 370,000 CEC Entertainment Incorporated 8.00 15/02/2022 367,225 0.12 230,000 Dollar Tree Incorporated 5.75 03/01/2023 240,350 0.08 160,000 Dollar Tree Incorporated 5.25 03/01/2020 167,400 0.05 795,000 First Cash Financial Services Incorporated 6.75 04/01/2021 836,738 0.26 235,000 JC Penney Corporation Incorporated 5.65 06/01/2020 212,088 0.07 90,000 JC Penney Corporation Incorporated 8.13 10/01/2019 89,100 0.03 160,000 JC Penney Corporation Incorporated 5.75 15/02/2018 156,600 0.05 330,000 Jo-Ann Stores Holdings Incorporated 9.75 15/10/2019 295,350 0.09 635,000 Jo-Ann Stores LLC 8.13 15/03/2019 597,694 0.19 675,000 L Brands Incorporated 5.63 15/02/2022 710,438 0.22 375,000 L Brands Incorporated 6.63 04/01/2021 414,844 0.13 680,000 Neiman Marcus Group LLC 8.75 15/10/2021 730,150 0.23 90,000 Neiman Marcus Group LLC 8.00 15/10/2021 94,725 0.03 895,000 Neiman Marcus Group LLC 7.13 06/01/2028 899,475 0.28 460,000 Penske Automotive Group Incorporated 5.38 12/01/2024 465,750 0.15 975,000 Penske Automotive Group Incorporated 5.75 10/01/2022 1,014,000 0.32 435,000 Petco Holdings Incorporated 8.50 15/10/2017 446,963 0.14 995,000 Rite Aid Corporation 6.13 04/01/2023 1,024,850 0.32

9,678,927 3.05Semiconductors (0.59%) 125,000 Freescale Semiconductor Incorporated 10.75 08/01/2020 132,188 0.04 259,000 Jazz Technologies Incorporated † 8.00 31/12/2018 429,454 0.13 765,000 Micron Technology Incorporated 5.25 08/01/2023 733,444 0.23 295,000 Micron Technology Incorporated 5.88 15/02/2022 300,163 0.09 318,000 ON Semiconductor Corporation 1.00 12/01/2020 314,621 0.10

1,909,870 0.59Software (1.20%) 1,840,000 First Data Corporation 11.75 15/08/2021 2,070,000 0.65 347,000 First Data Corporation 11.25 15/01/2021 385,170 0.12 1,330,000 Infor US Incorporated 6.50 15/05/2022 1,353,275 0.43

3,808,445 1.20Telecommunications (6.53%) 225,000 Avaya Incorporated 10.50 03/01/2021 185,625 0.06 765,000 Avaya Incorporated 7.00 04/01/2019 747,788 0.24






CouponRate %

MaturityDates

ValueUSD

% ofFund

Telecommunications (6.53%) cont. USD 969,000 CenturyLink Incorporated 6.75 12/01/2023 USD 972,028 0.31 265,000 CommScope Technologies Finance LLC 6.00 15/06/2025 264,006 0.08 90,000 Frontier Communications Corporation 7.63 15/04/2024 79,875 0.03 810,000 Frontier Communications Corporation 6.25 15/09/2021 737,100 0.23 350,000 Level 3 Communications Incorporated 5.75 12/01/2022 347,375 0.11 755,000 Level 3 Financing Incorporated 5.38 15/08/2022 762,550 0.24 750,000 Level 3 Financing Incorporated 6.13 15/01/2021 786,525 0.25 290,000 Level 3 Financing Incorporated 7.00 06/01/2020 307,763 0.10 320,000 Plantronics Incorporated 5.50 31/05/2023 324,000 0.10 85,000 Qwest Corporation 7.25 15/09/2025 97,039 0.03 250,000 Qwest Corporation 6.75 12/01/2021 275,938 0.09 1,170,000 Sprint Capital Corporation 6.88 15/11/2028 1,006,200 0.32 4,000,000 Sprint Communications Incorporated 6.00 15/11/2022 3,655,000 1.14 965,000 Sprint Communications Incorporated 7.00 15/08/2020 955,350 0.30 1,000,000 Sprint Corporation 7.88 15/09/2023 975,300 0.31 540,000 Syniverse Holdings Incorporated 9.13 15/01/2019 475,200 0.15 310,000 T-Mobile USA Incorporated 6.38 03/01/2025 316,975 0.10 340,000 T-Mobile USA Incorporated 6.84 28/04/2023 354,450 0.11 1,535,000 T-Mobile USA Incorporated 6.63 04/01/2023 1,592,563 0.50 350,000 T-Mobile USA Incorporated 6.00 03/01/2023 358,313 0.11 1,635,000 T-Mobile USA Incorporated 6.13 15/01/2022 1,679,963 0.52 45,000 T-Mobile USA Incorporated 6.63 28/04/2021 46,800 0.01 895,000 T-Mobile USA Incorporated 6.25 04/01/2021 917,375 0.29 150,000 T-Mobile USA Incorporated 6.46 28/04/2019 154,500 0.05 440,000 West Corporation 5.38 15/07/2022 412,500 0.13 540,000 Windstream Services LLC 6.38 08/01/2023 439,425 0.14 1,700,000 Windstream Services LLC 7.75 10/01/2021 1,555,500 0.48

20,783,026 6.53Transportation (0.23%) 685,000 Air Medical Merger Sub Corporation 6.38 15/05/2023 649,038 0.20 100,000 Watco Companies LLC 6.38 04/01/2023 101,250 0.03

750,288 0.23Total U.S. Corporate Bonds and Notes USD 204,672,777 64.34 NON-U.S. CORPORATE BONDS AND NOTES (24.66%)

Principal Amounts

CouponRate %

MaturityDates

ValueUSD

% ofFund

Auto Parts and Equipment (0.17%) USD 200,000 Schaeffler Holding Finance BV (Netherlands) 6.75 15/11/2022 USD 216,000 0.07

295,000 Schaeffler Holding Finance BV (Netherlands) 6.88 15/08/2018 305,685 0.10 521,685 0.17

Automotive (0.28%) EUR 290,000 Fiat Chrysler Finance Europe (Luxembourg) 6.75 14/10/2019 366,019 0.12

455,000 Volkswagen International Finance NV (Netherlands) 3.75 29/03/2049 524,341 0.16 890,360 0.28

Banking (4.52%) 600,000 Banco Bilbao Vizcaya Argentaria SA (Spain) 6.75 29/12/2049 663,893 0.21

USD 400,000 Banco Bilbao Vizcaya Argentaria SA (Spain) 9.00 29/05/2049 432,000 0.14EUR 600,000 Banco Santander SA (Spain) 6.25 12/03/2049 648,842 0.20

330,000 Barclays PLC (United Kingdom) 6.50 29/12/2049 366,061 0.12GBP 638,000 Barclays PLC (United Kingdom) 7.00 15/06/2049 977,396 0.31USD 200,000 Commerzbank AG (Germany) 8.13 19/09/2023 233,268 0.07

445,000 Credit Agricole SA (France) 6.63 29/09/2049 433,875 0.14EUR 700,000 Credit Agricole SA (France) 6.50 29/04/2049 782,346 0.25GBP 800,000 Credit Agricole SA (France) 7.59 29/01/2049 1,382,436 0.43USD 560,000 Credit Suisse Group AG (Switzerland) 6.25 29/12/2049 534,800 0.17

200,000 Credit Suisse Group AG (Switzerland) 6.25 29/12/2049 191,000 0.06





NON-U.S. CORPORATE BONDS AND NOTES (24.66%) cont. PrincipalAmounts

CouponRate %

MaturityDates

ValueUSD

% ofFund

Banking (4.52%) cont. USD 250,000 ING Groep NV (Netherlands) 6.00 29/12/2049 USD 247,500 0.08GBP 850,000 Lloyds Bank PLC (United Kingdom) 13.00 31/12/2049 2,317,201 0.73

USD 1,200,000 Royal Bank of Scotland Group PLC (United Kingdom) 7.64 31/12/2049 1,287,000 0.40585,000 Royal Bank of Scotland Group PLC (United Kingdom) 7.65 31/12/2049 735,638 0.23

EUR 550,000 Royal Bank of Scotland Group PLC (United Kingdom) 7.09 29/10/2049 656,089 0.21USD 300,000 Societe Generale SA (France) 7.88 31/12/2049 301,500 0.09EUR 595,000 Societe Generale SA (France) 6.75 07/04/2049 659,190 0.21GBP 860,000 Societe Generale SA (France) 8.88 29/06/2049 1,508,428 0.47

14,358,463 4.52Biotechnology (0.10%) USD 325,000 Concordia Healthcare Corporation (Canada) 7.00 15/04/2023 325,000 0.10

325,000 0.10Building Materials (0.89%) 365,000 Cemex SAB de CV (Mexico) 5.70 01/11/2025 347,663 0.11 1,385,000 Cemex SAB de CV (Mexico) 7.25 15/01/2021 1,461,452 0.46 510,000 Cemex SAB de CV (Mexico) 6.50 12/10/2019 535,347 0.17 465,000 Norbord Incorporated (Canada) 6.25 15/04/2023 469,694 0.15

2,814,156 0.89Chemicals (0.70%) EUR 680,000 Ineos Finance PLC (United Kingdom) 4.00 05/01/2023 720,966 0.23 USD 625,000 INEOS Group Holdings SA (Luxembourg) 6.13 15/08/2018 634,375 0.20 815,000 Perstorp Holding AB (Sweden) 8.75 15/05/2017 847,600 0.27

2,202,941 0.70Commercial Services (0.34%) EUR 355,000 Cerved Group SpA (Italy) 8.00 15/01/2021 423,476 0.13 135,000 Europcar Groupe SA (France) 5.75 15/06/2022 153,521 0.05 USD 515,000 Garda World Security Corporation (Canada) 7.25 15/11/2021 503,361 0.16

1,080,358 0.34Electrical Components & Equipment (0.23%) 545,000 Legrand France SA (France) 8.50 15/02/2025 737,287 0.23

737,287 0.23Electronics (0.50%) EUR 775,000 Techem Energy Metering Service GmbH & Company KG (Germany) 7.88 10/01/2020 936,844 0.29 565,000 Trionista TopCo GmbH (Germany) 6.88 30/04/2021 663,923 0.21

1,600,767 0.50Environmental Control (0.08%) CAD 250,000 Tervita Corporation (Canada) 9.00 15/11/2018 178,143 0.06 USD 90,000 Tervita Corporation (Canada) 10.88 15/02/2018 62,910 0.02

241,053 0.08Food (0.57%) GBP 115,000 Bakkavor Finance 2 PLC (United Kingdom) 8.75 15/06/2020 197,880 0.06 USD 570,000 ESAL GmbH (Austria) 6.25 02/05/2023 562,163 0.18 EUR 250,860 Findus PIK SCA (Luxembourg) 8.25 08/01/2019 285,804 0.09 GBP 485,000 Moy Park Bondco PLC (United Kingdom) 6.25 29/05/2021 774,965 0.24

1,820,812 0.57Food Service (0.13%) 265,000 Brakes Capital (United Kingdom) 7.13 15/12/2018 426,791 0.13

426,791 0.13Forest Products & Paper (0.74%) USD 600,000 Mercer International Incorporated (Canada) 7.75 12/01/2022 645,000 0.20 315,000 Mercer International Incorporated (Canada) 7.00 12/01/2019 331,538 0.10 1,145,000 Smurfit Kappa Treasury Funding Limited (Ireland) 7.50 20/11/2025 1,414,075 0.44

2,390,613 0.74Health-Care Services (0.38%) EUR 360,000 Holding Medi-Partenaires SAS (France) 7.00 15/05/2020 425,218 0.13 GBP 489,762 Priory Group No 3 PLC (United Kingdom) 7.00 15/02/2018 796,473 0.25

1,221,691 0.38Home Builders (0.14%) USD 450,000 Brookfield Residential Properties Incorporated (Canada) 6.13 07/01/2022 446,580 0.14

446,580 0.14





NON-U.S. CORPORATE BONDS AND NOTES (24.66%) cont. Principal Amounts

CouponRate %

MaturityDates

ValueUSD

% ofFund

Insurance (0.05%) GBP 100,000 Hastings Insurance Group Finance PLC (Jersey) 8.00 21/10/2020 USD 165,767 0.05

165,767 0.05Iron/Steel (0.97%) USD 495,000 ArcelorMittal (Luxembourg) 7.75 15/10/2039 492,525 0.15 300,000 ArcelorMittal (Luxembourg) 6.13 06/01/2025 300,000 0.09 1,950,000 ArcelorMittal (Luxembourg) 10.60 06/01/2019 2,330,250 0.73

3,122,775 0.97Leisure Time (1.10%) EUR 1,500,000 Cirsa Funding Luxembourg SA (Luxembourg) 5.88 15/05/2023 1,609,564 0.51 720,000 Thomas Cook Finance PLC (United Kingdom) 6.75 15/06/2021 830,120 0.26 895,000 Thomas Cook Finance PLC (United Kingdom) 7.75 15/06/2020 1,058,905 0.33

3,498,589 1.10Machinery (0.11%) USD 350,000 ATS Automation Tooling Systems Incorporated (Canada) 6.50 15/06/2023 357,000 0.11

357,000 0.11Machinery-Construction and Mining (1.31%) EUR 700,000 Areva SA (France) 4.88 23/09/2024 810,331 0.25 150,000 Constellium NV (Netherlands) 4.63 15/05/2021 152,595 0.05 USD 1,060,000 First Quantum Minerals Limited (Canada) 7.25 15/05/2022 1,013,625 0.32 845,000 First Quantum Minerals Limited (Canada) 7.00 15/02/2021 806,975 0.25 1,315,000 HudBay Minerals Incorporated (Canada) 9.50 10/01/2020 1,403,763 0.44

4,187,289 1.31Media (2.80%) EUR 1,020,000 LGE HoldCo VI BV (Netherlands) 7.13 15/05/2024 1,263,654 0.40 695,000 Numericable-SFR SAS (France) 5.63 15/05/2024 782,569 0.25 USD 310,000 Numericable-SFR SAS (France) 6.25 15/05/2024 303,800 0.10 1,675,000 Numericable-SFR SAS (France) 6.00 15/05/2022 1,645,688 0.52 760,000 Quebecor Media Incorporated (Canada) 5.75 15/01/2023 758,100 0.24 EUR 1,745,000 Unitymedia GmbH (Germany) 3.75 15/01/2027 1,877,323 0.59 180,000 Unitymedia Hessen GmbH & Company KG (Germany) 5.50 15/09/2022 213,215 0.07 745,000 Unitymedia Hessen GmbH & Company KG (Germany) 6.25 15/01/2029 932,307 0.29 USD 855,000 Videotron Limited (Canada) 5.00 15/07/2022 852,863 0.27 EUR 215,000 Ziggo Bond Finance BV (Netherlands) 4.63 15/01/2025 237,128 0.07

8,866,647 2.80Medical Technology (0.22%) 310,000 3AB Optique Developpement SAS (France) 5.63 15/04/2019 327,179 0.10 230,000 Auris Luxembourg II SA (Luxembourg) 8.00 15/01/2023 275,647 0.09 110,000 Lion/Seneca France 2 (France) 7.88 15/04/2019 105,007 0.03

707,833 0.22Oil and Natural Gas Utilities (0.61%) USD 345,000 Baytex Energy Corporation (Canada) 5.63 06/01/2024 319,988 0.10 55,000 Baytex Energy Corporation (Canada) 5.13 06/01/2021 51,700 0.02 576,000 CHC Helicopter SA (Canada) 9.25 15/10/2020 419,040 0.13 515,000 Lone Pine Resources (Canada) (F) 10.38 15/02/2017 28 - 740,000 Offshore Group Investment Limited (Cayman Islands) 7.13 04/01/2023 451,400 0.14 255,000 Offshore Group Investment Limited (Cayman Islands) 7.50 11/01/2019 155,392 0.05 325,000 Seven Generations Energy Limited (Canada) 6.75 05/01/2023 325,000 0.10 200,000 Seven Generations Energy Limited (Canada) 8.25 15/05/2020 212,500 0.07

1,935,048 0.61Packaging and Containers (0.19%) 600,000 Coveris Holdings SA (Luxembourg) 7.88 11/01/2019 600,000 0.19

600,000 0.19Pharmaceuticals (0.71%) 95,000 Capsugel SA (Luxembourg) 7.00 15/05/2019 96,673 0.03 465,000 DPx Holdings BV (Netherlands) 7.50 02/01/2022 484,763 0.15 1,210,000 Endo Limited (Ireland) 6.00 02/01/2025 1,229,663 0.39 435,000 JLL/Delta Dutch Pledgeco BV (Netherlands) 8.75 05/01/2020 441,525 0.14

2,252,624 0.71Retail (1.06%) GBP 250,000 New Red Finance Incorporated (Canada) 4.63 15/01/2022 246,563 0.08 795,000 Enterprise Inns PLC (United Kingdom) 6.50 12/06/2018 1,317,847 0.41





NON-U.S. CORPORATE BONDS AND NOTES (24.66%) cont. PrincipalAmounts

CouponRate %

MaturityDates

ValueUSD

% ofFund

Retail (1.06%) cont. GBP 900,000 Phosphorus Holdco PLC (United Kingdom) 10.00 04/01/2019 USD 35,353 0.01 320,000 Pizzaexpress Financing 1 PLC (United Kingdom) 8.63 08/01/2022 530,087 0.17 390,000 Pizzaexpress Financing 2 PLC (United Kingdom) 6.63 08/01/2021 632,047 0.20 125,000 Pizzaexpress Financing 2 PLC (United Kingdom) 6.63 08/01/2021 203,280 0.06 255,000 Stonegate Pub Company Financing PLC (United Kingdom) 5.75 15/04/2019 402,904 0.13

3,368,081 1.06Telecommunications (5.65%) USD 200,000 Altice Financing SA (Luxembourg) 6.63 15/02/2023 198,500 0.06 EUR 255,000 Altice Financing SA (Luxembourg) 6.50 15/01/2022 302,810 0.10 USD 635,000 Altice Financing SA (Luxembourg) 7.88 15/12/2019 668,338 0.21 400,000 Altice FIncorporatedo SA (Luxembourg) 7.63 15/02/2025 394,500 0.12 EUR 120,000 Altice FIncorporatedo SA (Luxembourg) 9.00 15/06/2023 152,177 0.05 USD 2,085,000 Altice SA (Luxembourg) 7.75 15/05/2022 2,019,844 0.63 EUR 1,300,000 Altice SA (Luxembourg) 7.25 15/05/2022 1,467,435 0.46 USD 400,000 Digicel Limited (Jamaica) 6.75 03/01/2023 391,000 0.12 330,000 Intelsat Jackson Holdings SA (Luxembourg) 7.50 04/01/2021 326,288 0.10 615,000 Intelsat Luxembourg SA (Luxembourg) 8.13 06/01/2023 510,450 0.16 1,075,000 Intelsat Luxembourg SA (Luxembourg) 7.75 06/01/2021 897,625 0.28 EUR 1,155,000 Koninklijke KPN NV (Netherlands) 6.13 29/03/2049 1,366,430 0.43 410,000 Matterhorn Telecom SA (Luxembourg) 3.88 05/01/2022 432,767 0.14 280,000 OTE PLC (United Kingdom) 7.88 02/07/2018 286,052 0.09 310,000 Play Finance 1 SA (Luxembourg) 6.50 08/01/2019 360,053 0.11 460,000 Play Topco SA (Luxembourg) 7.75 28/02/2020 529,498 0.17 USD 790,000 SoftBank Group Corporation (Japan) 4.50 15/04/2020 792,963 0.25 EUR 900,000 Telefonica Europe BV (Netherlands) 6.50 29/09/2049 1,098,684 0.35 1,000,000 Telenet Finance V Luxembourg SCA (Luxembourg) 6.75 15/08/2024 1,215,054 0.38 1,035,000 UPC Holding BV (Netherlands) 6.75 15/03/2023 1,249,064 0.39 135,000 Virgin Media Finance PLC (United Kingdom) 4.50 15/01/2025 149,450 0.05 GBP 430,000 Virgin Media Finance PLC (United Kingdom) 7.00 15/04/2023 721,243 0.23 100,000 Virgin Media Secured Finance PLC (United Kingdom) 6.25 28/03/2029 162,232 0.05 373,500 Virgin Media Secured Finance PLC (United Kingdom) 6.00 15/04/2021 610,471 0.19 USD 580,000 Wind Acquisition Finance SA (Luxembourg) 7.38 23/04/2021 586,525 0.18 EUR 390,000 Wind Acquisition Finance SA (Luxembourg) 7.00 23/04/2021 450,009 0.14 600,000 Wind Acquisition Finance SA (Luxembourg) 4.00 15/07/2020 668,549 0.21

18,008,011 5.65Transportation (0.11%) GBP 210,000 Moto Finance PLC (United Kingdom) 6.38 09/01/2020 336,822 0.11

336,822 0.11Total Non-U.S. Corporate Bonds and Notes USD 78,485,043 24.66 U.S. EQUITIES (1.10%)

Number ofShares

ValueUSD

% ofFund

Automotive (0.09%) 8,635 General Motors Company USD 287,891 0.09

287,891 0.09Banking (0.08%)

5,462 CIT Group Incorporated 253,819 0.08 253,819 0.08

Chemicals (0.10%) 15,125 Huntsman Corporation 333,658 0.10


6,230 Live Nation Entertainment Incorporated 171,263 0.05 171,263 0.05

Diversified Financial Services (0.12%) 16,430 Ally Financial Incorporated 368,361 0.12

368,361 0.12


Shares

ValueUSD

% ofFund

Entertainment (0.18%) 31,075 Penn National Gaming Incorporated USD 570,226 0.18

570,226 0.18Household Products/Wares (0.11%)

3,470 Spectrum Brands Holdings Incorporated 353,940 0.11 353,940 0.11

Lodging (0.10%) 11,475 Hilton Worldwide Holdings Incorporated 316,022 0.10

316,022 0.10Media (0.15%)

7,015 DISH Network Corporation 474,986 0.15 474,986 0.15






Shares

ValueUSD

% ofFund

Oil and Natural Gas Utilities (0.12%) 21,920 EP Energy Corporation USD 279,042 0.0964,237 Lone Pine Resources (F) 2,569 -13,425 Seventy Seven Energy Incorporated 57,325 0.02

150,642 Vantage Drilling Company 28,622 0.01 367,558 0.12

Private Placement (-%) 14 Ion Media Networks Incorporated (F) 2,520 -

2,520 -Total U.S. Equities USD 3,500,244 1.10 NON-U.S. EQUITIES (0.01%)

Number ofShares

ValueUSD

% ofFund

Oil and Natural Gas Utilities (0.01%) 8,854 Connacher Oil and Gas Limited (Canada) 14,629 0.01

64,237 Lone Pine Resources Canada Limited (Canada) (F) 2,569 - 17,198 0.01

Total Non-U.S. Equities USD 17,198 0.01

PREFERRED STOCKS (1.69%) Number of

Shares

ValueUSD

% ofFund

Banking (0.04%) 5,200 Citigroup Incorporated USD 138,944 0.04

138,944 0.04Diversified Financial Services (0.13%)

422 Ally Financial Incorporated 426,418 0.13 426,418 0.13

Food (0.12%) 7,148 Tyson Foods Incorporated 368,193 0.12

368,193 0.12Home Builders (0.24%)

29,307 M/I Homes Incorporated † 776,049 0.24 776,049 0.24

Pharmaceuticals (0.22%) 682 Allergan PLC (F) 711,040 0.22

711,040 0.22Real Estate (0.61%)

6,195 American Tower Corporation 617,951 0.196,500 Crown Castle International Corporation (F) 670,800 0.22

28,062 EPR Properties 644,550 0.20 1,933,301 0.61

Telecommunications (0.33%) 3,272 Frontier Communications Corporation 325,368 0.10

10,065 T-Mobile US Incorporated 688,245 0.23 1,013,613 0.33

Total Preferred Stocks USD 5,367,558 1.69 REPURCHASE AGREEMENTS (3.77%)

PrincipalAmount

EffectiveYield

MaturityDates

ValueUSD

% ofFund

USD 11,986,000 Repurchase Agreement - Barclays Capital, Inc. * 0.10 01/07/2015 USD 11,986,000 3.77Total Repurchase Agreements USD 11,986,000 3.77 * Interest in USD25,000,000 joint repurchase agreement dated 30 June 2015 with Barclays Capital, Inc. due 1 July 2015 - maturity value of USD11,986,033 for an effective yield of 0.10% (collateralised by U.S. Treasury Bill with coupon rate of 1.625% and due date of 30 June 2020 valued at USD25,518,167). U.S. TREASURY BILLS (0.84%)

PrincipalAmounts

EffectiveYield

MaturityDates

ValueUSD

% ofFund

USD 945,000 U.S. Treasury Bill1 0.01 - 0.02 20/08/2015 USD 944,984 0.30360,000 U.S. Treasury Bill2 0.01 08/10/2015 359,983 0.11

1,365,000 U.S. Treasury Bill2 0.01 01/10/2015 1,364,964 0.43Total U.S. Treasury Bills USD 2,669,931 0.84Total Value of Investments USD 306,698,751 96.41 1 Security is partly held as collateral by Royal Bank of Scotland. 2 Security is partly held as collateral by Barclays Bank. † Single broker sourced priced securities. (F) is valued at fair value following procedures approved by the Investment Advisor. Securities may be classified as Level 2 or Level 3 for Financial Reporting Standard 29 ("FRS 29"), "Improving Disclosures about Financial Instruments" based on the securities' valuation inputs. CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING (-0.02%)

Swap counterparty / Referenced debt*

Upfrontpremiumreceived(paid)**

NotionalAmount

TerminationDate

Fixed paymentsreceived

(paid) by Fundper annum


(Depreciation)USD

% ofFund

Barclays Bank PLC NA HY Series 22 Index USD 969,723 USD 12,879,900 20/06/2020 500 bp USD 149,338 0.05Unrealised Appreciation on Centrally Cleared Credit Default Swap Contracts Outstanding USD 149,338 0.05Variation Margin Settlement to Date USD (214,495) (0.07)Cumulative Unrealised less Variation Margin Settlement to Date USD (65,157) (0.02) * 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. For information on the credit risks associated with Credit Default Swaps, please refer to Note 5(f) of the financial statements.






Counterparty Currency

Contracttype

Deliverydate

ValueUSD

Aggregate face value

USD


(Depreciation)USD

% ofFund

Bank of America N.A. British Pound Buy 16/09/2015 225,979 219,385 USD 6,594 - Euro Sell 16/09/2015 1,342,364 1,320,843 (21,521) (0.01) Euro Sell 16/09/2015 747,107 759,281 12,174 -Barclays Bank PLC Euro Sell 16/09/2015 8,250,719 8,112,968 (137,751) (0.04)Citibank, N.A. British Pound Buy 16/09/2015 3,394,554 3,360,692 33,862 0.01 British Pound Sell 16/09/2015 2,474,466 2,401,650 (72,816) (0.03) British Pound Sell 16/09/2015 33,025,836 34,027,153 1,001,317 0.32 Euro Buy 16/09/2015 30,914 30,388 526 -Credit Suisse AG British Pound Sell 16/09/2015 2,129,765 2,067,317 (62,448) (0.02) British Pound Sell 16/09/2015 31,223,452 32,166,639 943,187 0.30 Euro Sell 16/09/2015 4,319,159 4,249,850 (69,309) (0.02) Euro Sell 16/09/2015 562,903 572,083 9,180 -Deutche Bank AG British Pound Buy 16/09/2015 387,259 382,181 5,078 - British Pound Sell 16/09/2015 2,044,650 1,985,153 (59,497) (0.02) British Pound Sell 16/09/2015 30,580,501 31,497,034 916,533 0.29 Euro Buy 16/09/2015 712,922 721,310 (8,388) - Euro Buy 16/09/2015 200,287 198,250 2,037 - Euro Sell 16/09/2015 2,561,853 2,520,161 (41,692) (0.01) Euro Sell 16/09/2015 757,796 770,333 12,537 -Goldman Sachs International British Pound Sell 16/09/2015 31,000,830 31,939,703 938,873 0.30 Euro Sell 16/09/2015 2,811,733 2,765,555 (46,178) (0.01)Goldman Sachs International Euro Sell 16/09/2015 592,571 602,466 9,895 -HSBC Bank USA, National Association British Pound Buy 16/09/2015 384,589 373,250 11,339 - British Pound Sell 16/09/2015 2,829,445 2,802,448 (26,997) (0.01) British Pound Sell 16/09/2015 26,598,626 27,406,693 808,067 0.25 Canadian Dollar Buy 15/07/2015 34,582 34,134 448 - Euro Sell 16/09/2015 2,391,435 2,351,444 (39,991) (0.01) Euro Sell 16/09/2015 1,029,508 1,047,016 17,508 0.01JPMorgan Chase Bank, N.A. British Pound Sell 16/09/2015 2,484,360 2,412,664 (71,696) (0.02) British Pound Sell 16/09/2015 29,223,660 30,092,087 868,427 0.27 Canadian Dollar Sell 15/07/2015 251,998 248,676 (3,322) - Euro Buy 16/09/2015 353,025 358,653 (5,628) - Euro Sell 16/09/2015 2,350,923 2,314,034 (36,889) (0.01)Royal Bank of Scotland PLC British Pound Sell 16/09/2015 1,868,452 1,814,689 (53,763) (0.02) Euro Sell 16/09/2015 1,847,927 1,818,681 (29,246) (0.01)State Street Bank & Trust Company British Pound Sell 16/09/2015 2,310,989 2,243,155 (67,834) (0.02) British Pound Sell 16/09/2015 28,684,265 29,551,680 867,415 0.28 Euro Buy 16/09/2015 1,510,885 1,528,678 (17,793) (0.01) Euro Buy 16/09/2015 576,888 586,664 (9,776) - Euro Sell 16/09/2015 3,172,547 3,119,678 (52,869) (0.02)UBS AG British Pound Buy 16/09/2015 5,035,350 5,077,645 (42,295) (0.02) British Pound Sell 16/09/2015 671,814 651,971 (19,843) (0.01) British Pound Sell 16/09/2015 271,992 263,082 (8,910) - British Pound Sell 16/09/2015 211,061 206,342 (4,719) - British Pound Sell 16/09/2015 34,426,401 35,474,138 1,047,737 0.33







Contracttype

Deliverydate

ValueUSD

Aggregateface value

USD


(Depreciation)USD

% ofFund

UBS AG cont. Euro Buy 16/09/2015 236,249 240,272 USD (4,023) - Euro Sell 16/09/2015 3,383,700 3,377,537 (6,163) -Westpac Banking Corporation British Pound Sell 16/09/2015 32,117,140 33,082,658 965,518 0.31 Euro Buy 16/09/2015 789,482 776,803 12,679 - Euro Sell 16/09/2015 790,162 803,058 12,896 -Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 8,503,827 2.67Unrealised Depreciation on Forward Foreign Exchange Currency Contracts USD (1,021,357) (0.32)Net Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 7,482,470 2.35Total Financial Assets at Fair Value Through Profit or Loss USD 315,202,578 99.08Total Financial Liabilities at Fair Value Through Profit or Loss USD (1,086,514) (0.34) Analysis of Total Assets (unaudited)

% ofTotal

Assets(a) Transferable securities admitted to official stock exchange listing 92.59(b) Transferable securities other than those admitted to official stock exchange listing or dealt in on another regulated market 0.86(c) OTC financial derivative instruments 2.59(d) Other assets 3.96Total Assets 100.00

Putnam Total Return Fund





Shares

ValueUSD

% ofFund

Advertising (0.22%) 12,253 Interpublic Group of Companies

Incorporated USD 235,870 0.085,725 Omnicom Group Incorporated 397,830 0.14

633,700 0.22Aerospace and Defense (1.31%)

657 Cubic Corporation 31,267 0.017,391 General Dynamics Corporation 1,047,009 0.37

2,607 L-3 Communications Holdings Incorporated 295,582 0.105,141 Lockheed Martin Corporation 955,455 0.34

101 Orbital ATK Incorporated 7,405 -7,132 Raytheon Company 682,247 0.24

3,908 Rockwell Collins Incorporated 360,904 0.131,424 TransDigm Group Incorporated 319,674 0.11390Triumph Group Incorporated 25,728 0.01

3,725,271 1.31Agriculture (0.85%)

22,677 Altria Group Incorporated 1,108,225 0.39380 Andersons Incorporated 14,820 0.01

3,703 Bunge Limited 325,123 0.124,895 Philip Morris International Incorporated 392,285 0.147,066 Reynolds American Incorporated 527,336 0.19

2,367,789 0.85Airlines (0.01%)

768 JetBlue Airways Corporation 15,944 0.01 15,944 0.01

Apparel (0.35%) 304 Deckers Outdoor Corporation 21,885 0.01265 G-III Apparel Group Limited 18,637 0.01806 Iconix Brand Group Incorporated 20,126 0.01428 NIKE Incorporated 46,228 0.02391 Oxford Industries Incorporated 34,146 0.01

1,727 Ralph Lauren Corporation 228,534 0.081,151 Sequential Brands Group Incorporated 17,610 0.01291 Steven Madden Limited 12,440 -

7,531 VF Corporation 525,061 0.19488 Vince Holding Corporation 5,846 -812 Wolverine World Wide Incorporated 23,126 0.01


433 American Axle & Manufacturing Holdings Incorporated 9,058 -

823 Cooper Tire & Rubber Company 27,842 0.01391 Cooper-Standard Holding Incorporated 24,054 0.01

936 Dana Holding Corporation 19,254 0.01345 Douglas Dynamics Incorporated 7,400 -502 Lear Corporation 56,350 0.02

1,820 Meritor Incorporated 23,897 0.01605 Miller Industries Incorporated 12,046 -481 Remy International Incorporated 10,635 -842 Standard Motor Products Incorporated 29,588 0.01250 Tenneco Incorporated 14,358 0.01604 Tower International Incorporated 15,734 0.01274 Visteon Corporation 28,743 0.01

278,959 0.10Automotive (0.01%)

2,386 Wabash National Corporation 29,873 0.01 29,873 0.01

Banking (1.88%) 471 Access National Corporation 9,156 -

16,845 BB&T Corporation 679,022 0.2413,078 Capital One Financial Corporation 1,150,079 0.41

861 Cardinal Financial Corporation 18,761 0.01


Shares

ValueUSD

% ofFund

Banking (1.88%) cont. 546 Citizens & Northern Corporation USD 11,215 -

1,595 Cullen/Frost Bankers Incorporated 125,335 0.041,212 Customers Bancorp Incorporated 32,579 0.01326 East West Bancorp Incorporated 14,611 0.01418 Farmers Capital Bank Corporation 11,834 -

894 FCB Financial Holdings Incorporated 28,456 0.01579 Financial Institutions Incorporated 14,371 0.01597 First Community Bancshares Incorporated 10,877 -650 First NBC Bank Holding Company 23,355 0.01725 FirstMerit Corporation 15,095 0.01

1,195 Hanmi Financial Corporation 29,684 0.01373 Heartland Financial USA Incorporated 13,879 -855 MainSource Financial Group Incorporated 18,733 0.01

4,286 Northern Trust Corporation 327,665 0.12523 Opus Bank 18,922 0.01234 PacWest Bancorp 10,937 -546 Peoples Bancorp Incorporated 12,727 -

9,718 PNC Financial Services Group Incorporated 929,527 0.33373 Republic Bancorp Incorporated 9,579 -969 Talmer Bancorp Incorporated 16,221 0.01593 United Community Banks Incorporated 12,376 -

31,426 Wells Fargo & Company 1,768,027 0.63 5,313,023 1.88

Beverages (0.14%) 5,371 Dr Pepper Snapple Group Incorporated 391,385 0.14302 Farmer Bros Company 7,082 -

398,467 0.14Biotechnology (2.42%)

19,764 Abbott Laboratories 970,017 0.35458 ACADIA Pharmaceuticals Incorporated 19,167 0.01174 Akorn Incorporated 7,595 -

1,734 Alimera Sciences Incorporated 7,976 -1,494 AMAG Pharmaceuticals Incorporated 103,161 0.046,659 AmerisourceBergen Corporation 708,185 0.26

433 Applied Genetic Technologies Corporation 6,638 -1,120 Ardelyx Incorporated 17,886 0.014,811 ARIAD Pharmaceuticals Incorporated 39,739 0.01

361 aTyr Pharma Incorporated 6,675 -1,092 BioDelivery Sciences International

Incorporated 8,692 -242 BioSpecifics Technologies Corporation 12,519 -979 Cambrex Corporation 42,998 0.02760 Carbylan Therapeutics Incorporated 5,434 -

3,144 Cardinal Health Incorporated 262,964 0.10573 Depomed Incorporated 12,297 -303 DexCom Incorporated 24,231 0.01418 Dyax Corporation 11,077 -795 Dynavax Technologies Corporation 18,611 0.01

15,601 Eli Lilly & Company 1,301,903 0.47742 Emergent BioSolutions Incorporated 24,449 0.01303 Enanta Pharmaceuticals Incorporated 13,629 -

211 Exact Sciences Corporation 6,271 -362 Immune Design Corporation 7,472 -244 Impax Laboratories Incorporated 11,202 -528 Infinity Pharmaceuticals Incorporated 5,782 -560 Insys Therapeutics Incorporated 20,115 0.01

17,298 Johnson & Johnson 1,684,998 0.61107 Ligand Pharmaceuticals Incorporated 10,795 -173 Medicines Company 4,948 -

23,357 Merck & Company Incorporated 1,329,013 0.48






Shares

ValueUSD

% ofFund

Biotechnology (2.42%) cont. 1,345 Merrimack Pharmaceuticals Incorporated USD 16,624 0.01240 Myriad Genetics Incorporated 8,160 -286 Neurocrine Biosciences Incorporated 13,657 -384 Nutraceutical International Corporation 9,481 -270 OncoMed Pharmaceuticals Incorporated 6,075 -270 PTC Therapeutics Incorporated 12,987 -786 Repligen Corporation 32,407 0.01341 Retrophin Incorporated 11,304 -139 Sage Therapeutics Incorporated 10,137 -

6,827,271 2.42Building Materials (0.04%)

399 Boise Cascade Company 14,635 0.011,522 Continental Building Products Incorporated 32,236 0.01

2,548 PGT Incorporated 36,971 0.01510 US Concrete Incorporated 19,324 0.01

103,166 0.04Chemicals (0.42%)

415 Aceto Corporation 10,209 -1,559 Airgas Incorporated 164,864 0.061,738 Axalta Coating Systems Limited 57,510 0.02280 Cabot Corporation 10,441 -333 Innophos Holdings Incorporated 17,529 0.01459 Innospec Incorporated 20,660 0.01

1,862 International Flavors & Fragrances Incorporated 203,442 0.07

1,303 Koppers Holdings Incorporated 32,158 0.01442 Kraton Performance Polymers Incorporated 10,559 -150 Minerals Technologies Incorporated 10,221 -370 PolyOne Corporation 14,482 0.01

2,399 Sherwin-Williams Company 659,869 0.23 1,211,944 0.42

Commercial Services (0.47%) 8,034 Automatic Data Processing Incorporated 644,407 0.23

170 Barrett Business Services Incorporated 6,174 -227 Bright Horizons Family Solutions

Incorporated 13,121 -638 Capella Education Company 34,241 0.01596 Cardtronics Incorporated 22,076 0.01854 Carmike Cinemas Incorporated 22,657 0.01159 CEB Incorporated 13,841 -851 Deluxe Corporation 52,771 0.02714 Ennis Incorporated 13,273 -

506 Eros International PLC 12,711 -1,621 Global Cash Access Holdings Incorporated 12,547 -656 Grand Canyon Education Incorporated 27,814 0.01547 HealthEquity Incorporated 17,526 0.01367 ITT Educational Services Incorporated 1,457 -845 KAR Auction Services Incorporated 31,611 0.01

1,043 Kforce Incorporated 23,853 0.01552 Korn/Ferry International 19,182 0.01628 Landauer Incorporated 22,363 0.01739 LifeLock Incorporated 12,120 -

1,279 Lions Gate Entertainment Corporation 47,361 0.02895 Live Nation Entertainment Incorporated 24,604 0.01

5,135 Monster Worldwide Incorporated 33,583 0.011,615 On Assignment Incorporated 63,486 0.02432 Sotheby's 19,535 0.01

1,030 TrueBlue Incorporated 30,776 0.013,764 Vantiv Incorporated 143,672 0.05

1,366,762 0.47


Shares

ValueUSD

% ofFund

Computers (1.11%) 9,727 Apple Incorporated USD 1,219,960 0.43

358 Barracuda Networks Incorporated 14,166 0.013,870 Brocade Communications Systems

Incorporated 45,976 0.02150 CACI International Incorporated 12,132 -

4,242 Computer Sciences Corporation 278,445 0.1040,728 EMC Corporation 1,074,812 0.38

849 Engility Holdings Incorporated 21,361 0.01294 Lexmark International Incorporated 12,989 -369 Manhattan Associates Incorporated 22,011 0.01219 MAXIMUS Incorporated 14,395 0.01

1,543 Mentor Graphics Corporation 40,781 0.01154 MTS Systems Corporation 10,618 -

9,259 NetApp Incorporated 292,121 0.10132 NetScout Systems Incorporated 4,840 -

384 Nimble Storage Incorporated 10,775 -185 Qualys Incorporated 7,465 -

7,095 Quantum Corporation 11,920 -705 Synaptics Incorporated 61,145 0.02539 VeriFone Systems Incorporated 18,304 0.01

3,174,216 1.11Cosmetics/Personal Care (0.29%)

1,122 Avon Products Incorporated 7,013 -11,911 Colgate Palmolive Company 778,741 0.281,073 Coty Incorporated 34,315 0.01

820,069 0.29Distribution/Wholesale (0.01%)

702 Beacon Roofing Supply Incorporated 23,313 0.01 23,313 0.01

Diversified Financial Services (0.54%) 313 Arlington Asset Investment Corporation 6,122 -20 Ashford Incorporated 1,699 -50 Credit Acceptance Corporation 12,300 -671 Encore Capital Group Incorporated 28,679 0.01417 Federal Agricultural Mortgage Corporation 12,118 -

1,568 GAIN Capital Holdings Incorporated 14,990 0.011,550 KCG Holdings Incorporated 19,096 0.01900 NASDAQ OMX Group Incorporated 43,920 0.02664 Nelnet Incorporated 28,758 0.01602 Oppenheimer Holdings Incorporated 15,796 0.01345 PRA Group Incorporated 21,497 0.01

3,761 Synchrony Financial 123,737 0.0417,784 Visa Incorporated 1,193,662 0.42

190 World Acceptance Corporation 11,687 - 1,534,061 0.54

Electric Utilities (0.57%) 1,349 Alliant Energy Corporation 77,837 0.039,856 American Electric Power Company

Incorporated 521,974 0.183,289 Pinnacle West Capital Corporation 187,078 0.0719,512 Southern Company 817,358 0.29

1,604,247 0.57Electrical Components & Equipment (0.03%)

1,108 Advanced Energy Industries Incorporated 30,459 0.01619 EnerSys 43,510 0.02

73,969 0.03Electronics (0.09%)

8,641 Gentex Corporation/MI 141,885 0.05679 Plexus Corporation 29,795 0.01639 Sanmina Corporation 12,882 -

1,352 Stoneridge Incorporated 15,832 0.01






Shares

ValueUSD

% ofFund

Electronics (0.09%) cont. 257 Tech Data Corporation USD 14,793 0.01758 Woodward Incorporated 41,682 0.01

256,869 0.09Energy-Alternate Sources (0.04%)

815 Green Plains Incorporated 22,453 0.011,520 Pacific Ethanol Incorporated 15,656 0.01

369 REX American Resources Corporation 23,461 0.01418 TerraForm Power Incorporated 15,871 0.01

77,441 0.04Engineering and Construction (0.16%)

1,544 MasTec Incorporated 30,679 0.013,800 SBA Communications Corporation 436,848 0.15

467,527 0.16Entertainment (0.21%)

6,909 Discovery Communications Incorporated 214,594 0.08935 FactSet Research Systems Incorporated 151,956 0.05

1,852 Madison Square Garden Company 154,623 0.05302 Marriott Vacations Worldwide Corporation 27,690 0.01

1,526 National CineMedia Incorporated 24,355 0.011,284 SeaWorld Entertainment Incorporated 23,651 0.01

121 Vail Resorts Incorporated 13,213 - 610,082 0.21

Environmental Control (0.20%) 230 MSA Safety Incorporated 11,157 -

1,491 Stericycle Incorporated 199,615 0.071,374 Tetra Tech Incorporated 35,229 0.017,222 Waste Management Incorporated 334,595 0.12

580,596 0.20Food (0.08%)

562 Cal-Maine Foods Incorporated 29,286 0.01900 John B Sanfilippo & Son Incorporated 46,710 0.02

2,436 Pinnacle Foods Incorporated 110,935 0.04828 SpartanNash Company 26,943 0.01


386 Amsurg Corporation 27,005 0.01253 Centene Corporation 20,334 0.01463 Chemed Corporation 60,704 0.02

4,984 DaVita HealthCare Partners Incorporated 395,979 0.14563 Health Net Incorporated 36,083 0.01738 HealthSouth Corporation 33,992 0.01743 Kindred Healthcare Incorporated 15,075 0.01

2,364 MEDNAX Incorporated 175,196 0.06440 Providence Service Corporation 19,439 0.01

1,727 RadNet Incorporated 11,571 -1,914 Select Medical Holdings Corporation 31,007 0.01

812 Surgical Care Affiliates Incorporated 31,165 0.01368 WellCare Health Plans Incorporated 31,214 0.01


1,205 Ethan Allen Interiors Incorporated 31,740 0.01 31,740 0.01

Household Products/Wares (0.20%) 2,826 Avery Dennison Corporation 172,188 0.062,296 Church & Dwight Company Incorporated 186,274 0.071,954 Clorox Company 203,236 0.07

561,698 0.20Housewares (0.03%)

1,463 Tupperware Brands Corporation 94,393 0.03 94,393 0.03


Shares

ValueUSD

% ofFund

Insurance (0.92%) 1,120 American Equity Investment Life Holding

Company USD 30,229 0.01575 AmTrust Financial Services Incorporated 37,668 0.01

10,130 Berkshire Hathaway Incorporated 1,378,997 0.491,895 Chubb Corporation 180,215 0.061,193 CNO Financial Group Incorporated 21,892 0.01

1,462 Employers Holdings Incorporated 33,304 0.011,407 Federated National Holding Company 33,937 0.012,205 Genworth Financial Incorporated 16,692 0.01

622 HCI Group Incorporated 27,505 0.011,426 Heritage Insurance Holdings Incorporated 32,769 0.01944 Symetra Financial Corporation 22,826 0.01

7,822 Travelers Companies Incorporated 755,996 0.272,062 United Insurance Holdings Corporation 32,043 0.01

2,604,073 0.92Internet (0.47%)

20,680 eBay Incorporated 1,245,556 0.44456 NIC Incorporated 8,336 -755 Perficient Incorporated 14,511 0.01

1,324 RetailMeNot Incorporated 23,607 0.01118 Shutterfly Incorporated 5,640 -

484 TubeMogul Incorporated 6,912 -1,001 Web.com Group Incorporated 24,244 0.01

1,328,806 0.47Investment Companies (0.02%)

971 Hercules Technology Growth Capital Incorporated 11,225 -

1,994 Medley Capital Corporation 17,786 0.01816 Solar Capital Limited 14,688 0.01

43,699 0.02Leisure Time (0.15%)

458 Brunswick Corporation 23,294 0.016,294 Harley-Davidson Incorporated 354,541 0.13

1,761 Smith & Wesson Holding Corporation 29,215 0.01 407,050 0.15

Lodging (0.01%) 1,151 Marcus Corporation 22,065 0.01

22,065 0.01Machinery (0.03%)

702 Altra Industrial Motion Corporation 19,080 0.01527 Kadant Incorporated 24,874 0.01888 Trinity Industries Incorporated 23,470 0.01

67,424 0.03Machinery/Construction and Mining (0.23%)

2,836American Water Works Company Incorporated 137,943 0.06

2,280 Horsehead Holding Corporation 26,722 0.01137 Hyster-Yale Materials Handling

Incorporated 9,498 -485 Kaiser Aluminum Corporation 40,260 0.01

13,272 Newmont Mining Corporation 309,768 0.112,044 Royal Gold Incorporated 125,890 0.04

650,081 0.23Manufacturing (0.03%)

271 AZZ Incorporated 14,032 -213 Chase Corporation 8,499 -

1,109 LSB Industries Incorporated 45,314 0.02252 Standex International Corporation 20,142 0.01

87,987 0.03






Shares

ValueUSD

% ofFund

Media (0.45%) 3,120 Scripps Networks Interactive Incorporated USD 203,986 0.07

9,450 Walt Disney Company 1,078,151 0.38 1,282,137 0.45

Medical Technology (0.76%) 1,262 Accuray Incorporated 8,481 -1,099 Alere Incorporated 57,950 0.02

539 AtriCure Incorporated 13,281 -138 Cepheid 8,439 -

459 Conmed Corporation 26,741 0.011,915 CR Bard Incorporated 326,871 0.12

11,305 Danaher Corporation 967,030 0.353,146 Edwards Lifesciences Corporation 448,242 0.17340 Entellus Medical Incorporated 8,779 -587 Globus Medical Incorporated 15,062 0.01697 Greatbatch Incorporated 37,582 0.01602 Hill-Rom Holdings Incorporated 32,689 0.01509 ICU Medical Incorporated 48,681 0.02

1,224 MiMedx Group Incorporated 14,186 0.012,143 OraSure Technologies Incorporated 11,551 -2,212 Rockwell Medical Incorporated 35,657 0.01587 Spectranetics Corporation 13,501 -977 STAAR Surgical Company 9,438 -166 Steris Corporation 10,694 -

609 West Pharmaceutical Services Incorporated 35,346 0.01535 Zeltiq Aesthetics Incorporated 15,766 0.01

2,145,967 0.76Metal Fabricate/Hardware (0.01%)

230 LB Foster Company 7,949 -1,176 NN Incorporated 30,000 0.01

37,949 0.01Office/Business Equipment (0.01%)

736 Pitney Bowes Incorporated 15,316 0.01 15,316 0.01

Oil and Natural Gas Utilities (1.04%) 3,776 Callon Petroleum Company 31,454 0.01

603 Delek US Holdings Incorporated 22,196 0.0198 Diamondback Energy Incorporated 7,383 -

1,375 EP Energy Corporation 17,504 0.0123,265 Exxon Mobil Corporation 1,934,717 0.68

358 Gulfport Energy Corporation 14,406 0.015,804 HollyFrontier Corporation 247,773 0.09

1,157 Matrix Service Company 21,150 0.0110,857 National Oilwell Varco Incorporated 524,067 0.19

Oil and Natural Gas Utilities (1.04%) cont. 4,370 Northern Oil and Gas Incorporated 29,498 0.01

343 SM Energy Company 15,819 0.01537 Stone Energy Corporation 6,750 -

2,531 Triangle Petroleum Corporation 12,706 -240 Unit Corporation 6,504 -522 Whiting Petroleum Corporation 17,550 0.01

2,909,477 1.04Packaging and Containers (0.15%)

3,961 Ball Corporation 277,943 0.103,054 Bemis Company Incorporated 137,522 0.05


304 Ophthotech Corporation 15,805 0.01244 Pacira Pharmaceuticals Incorporated 17,253 0.01

2,155 Pernix Therapeutics Holdings Incorporated 12,736 -44,852 Pfizer Incorporated 1,502,991 0.53

3,291 POZEN Incorporated 33,897 0.01


Shares

ValueUSD

% ofFund

Pharmaceuticals (0.61%) cont. 363 Prestige Brands Holdings Incorporated USD 16,785 0.01174 Receptos Incorporated 33,065 0.01

904 Sucampo Pharmaceuticals Incorporated 14,844 0.01343 TESARO Incorporated 20,148 0.01

1,442 Threshold Pharmaceuticals Incorporated 5,826 -732 Trevena Incorporated 4,575 -114 USANA Health Sciences Incorporated 15,552 0.01

2,173 XenoPort Incorporated 13,299 - 1,706,776 0.61

Pipelines (0.59%) 26,634 Kinder Morgan Incorporated 1,022,213 0.3619,749 Spectra Energy Corporation 643,620 0.23

1,665,833 0.59Real Estate (5.23%)

272 AG Mortgage Investment Trust Incorporated 4,700 -

451 Agree Realty Corporation 13,142 -5,056 Alexandria Real Estate Equities

Incorporated 441,996 0.163,143 American Campus Communities

Incorporated 118,428 0.0410,497 American Capital Agency Corporation 192,830 0.077,267 American Realty Capital Properties

Incorporated 59,008 0.026,392 Apartment Investment & Management

Company 235,929 0.08701 Apollo Commercial Real Estate Finance

Incorporated 11,524 -1,161 Apollo Residential Mortgage Incorporated 17,055 0.01

2,793 Arbor Realty Trust Incorporated 18,825 0.011,496 ARMOUR Residential REIT Incorporated 4,204 -1,705 Ashford Hospitality Trust Incorporated 14,407 0.013,674 AvalonBay Communities Incorporated 586,664 0.214,595 Boston Properties Incorporated 555,949 0.2011,754 Brixmor Property Group Incorporated 271,517 0.104,012 Camden Property Trust 297,931 0.112,155 Campus Crest Communities Incorporated 11,939 -630 CBL & Associates Properties Incorporated 10,193 -

8,493 Corporate Office Properties Trust 199,925 0.07941 CYS Investments Incorporated 7,283 -

1,135 DDR Corporation 17,547 0.0117,671 DiamondRock Hospitality Company 226,012 0.08

988 Digital Realty Trust Incorporated 65,860 0.0214,125 Duke Realty Corporation 262,160 0.09

11,111 DuPont Fabros Technology Incorporated 327,219 0.12262 EPR Properties 14,345 0.01

8,922 Equity Residential 625,789 0.22780 Essex Property Trust Incorporated 165,633 0.06617 Extra Space Storage Incorporated 40,228 0.01

600 Federal Realty Investment Trust 76,830 0.03583 First Industrial Realty Trust Incorporated 10,920 -

18,750 General Growth Properties Incorporated 480,938 0.175,214 GEO Group Incorporated 178,058 0.06

18,872 HCP Incorporated 688,073 0.2411,184 Health Care REIT Incorporated 733,670 0.267,798 Healthcare Realty Trust Incorporated 181,226 0.06

467 Hersha Hospitality Trust 11,967 -6,131 Highwoods Properties Incorporated 244,872 0.09

10,195 Host Hotels & Resorts Incorporated 201,963 0.07440 Invesco Mortgage Capital Incorporated 6,301 -

1,305 Investors Real Estate Trust 9,292 -7,722 Iron Mountain Incorporated 239,305 0.08






Shares

ValueUSD

% ofFund

Real Estate (5.23%) cont. 15,873 Kimco Realty Corporation USD 357,619 0.132,485 Lexington Realty Trust 21,023 0.016,737 Liberty Property Trust 216,999 0.08

634 LTC Properties Incorporated 26,368 0.011,557 Macerich Company 116,105 0.04

21,581 Medical Properties Trust Incorporated 282,279 0.101,456 MFA Financial Incorporated 10,760 -

280 Mid-America Apartment Communities Incorporated 20,378 0.01

3,426 National Health Investors Incorporated 213,406 0.08319 Omega Healthcare Investors Incorporated 10,951 -

596 One Liberty Properties Incorporated 12,695 -3,647 Post Properties Incorporated 198,178 0.0714,179 Prologis Incorporated 525,899 0.195,854 Public Storage 1,078,717 0.38

694 Ramco-Gershenson Properties Trust 11,312 -777 RE/MAX Holdings Incorporated 27,545 0.01

2,558 Realty Income Corporation 113,498 0.04272 Regency Centers Corporation 16,037 0.01

4,695 Ryman Hospitality Properties Incorporated 249,117 0.09476 Select Income REIT 9,829 -

7,397 Simon Property Group Incorporated 1,279,163 0.461,151 SL Green Realty Corporation 126,460 0.04

19,228 Spirit Realty Capital Incorporated 186,127 0.076,575 Starwood Property Trust Incorporated 141,823 0.051,634 Summit Hotel Properties Incorporated 21,242 0.01

16,273 Sunstone Hotel Investors Incorporated 244,095 0.095,237 Taubman Centers Incorporated 364,181 0.131,782 UDR Incorporated 57,060 0.02

142 Universal Health Realty Income Trust 6,589 -4,809 Ventas Incorporated 298,447 0.112,439 Vornado Realty Trust 231,412 0.085,989 Washington Real Estate Investment Trust 155,415 0.057,810 Weingarten Realty Investors 255,231 0.09

397 WP Carey Incorporated 23,395 0.01 14,791,012 5.23

Retail (2.13%) 1,554 Ascena Retail Group Incorporated 25,874 0.01 968 AutoZone Incorporated 645,056 0.23 606 Big Lots Incorporated 27,270 0.01 653 Bloomin' Brands Incorporated 13,935 -

76 Buffalo Wild Wings Incorporated 11,905 -838 Caleres Incorporated 26,657 0.01 302 Children's Place Incorporated 19,733 0.01 133 Chipotle Mexican Grill Incorporated 80,371 0.03 612 Conn's Incorporated 24,284 0.01

7,807 Costco Wholesale Corporation 1,054,413 0.37 284 Dillard's Incorporated 29,874 0.01

9,115 Dollar General Corporation 708,327 0.25 6,115 Dollar Tree Incorporated 483,024 0.17 1,287 Express Incorporated 23,308 0.01 306 Five Below Incorporated 12,096 -

1,934 Kohl's Corporation 121,030 0.04 12,594 McDonald's Corporation 1,197,060 0.42

576 Men's Wearhouse Incorporated 36,904 0.01 259 Papa John's International Incorporated 19,575 0.01 765 Sally Beauty Holdings Incorporated 24,151 0.01817 Sonic Corporation 23,521 0.01

14,004 Target Corporation 1,142,866 0.40


Shares

ValueUSD

% ofFund

Retail (2.13%) cont. 203 Vista Outdoor Incorporated USD 9,117 -

4,326 Wal-Mart Stores Incorporated 306,757 0.11 6,067,108 2.13

Savings & Loans (0.02%) 321 BofI Holding Incorporated 33,933 0.01573 Flushing Financial Corporation 12,039 -572 Heritage Financial Group Incorporated 17,263 0.01328 Meta Financial Group Incorporated 14,055 -583 Pacific Premier Bancorp Incorporated 9,882 -

87,172 0.02Semiconductors (0.69%)

5,603 Analog Devices Incorporated 359,601 0.132,671 Applied Micro Circuits Corporation 17,976 0.01

15,748 Broadcom Corporation 810,707 0.30162 Cavium Incorporated 11,147 -

942 CEVA Incorporated 18,265 0.01419 Cirrus Logic Incorporated 14,259 0.01

2,124 DSP Group Incorporated 21,920 0.01599 Fairchild Semiconductor International Incorporated 10,411 -359 Integrated Device Technology Incorporated 7,787 -

1,155 Intersil Corporation 14,438 0.013,688 Lattice Semiconductor Corporation 21,722 0.013,358 Linear Technology Corporation 148,491 0.058,408 Maxim Integrated Products Incorporated 290,665 0.10

391 Microsemi Corporation 13,658 -211 Monolithic Power Systems Incorporated 10,700 -

2,656 ON Semiconductor Corporation 31,049 0.01256 Power Integrations Incorporated 11,566 -

3,818 QLogic Corporation 54,177 0.02403 Qorvo Incorporated 32,341 0.01734 Rovi Corporation 11,707 -381 Semtech Corporation 7,563 -138 Silicon Laboratories Incorporated 7,453 -

3,306 Xcerra Corporation 25,026 0.01 1,952,629 0.69

Software (0.76%) 712 Apigee Corporation 7,027 -

356 Aspen Technology Incorporated 16,212 0.01314 Blackbaud Incorporated 17,882 0.01

1,321 Castlight Health Incorporated 10,740 -337 Constant Contact Incorporated 9,689 -340 Cornerstone OnDemand Incorporated 11,832 -

3,780 Fidelity National Information Services Incorporated 233,604 0.08

4,709 Fiserv Incorporated 390,046 0.143,556 Glu Mobile Incorporated 22,083 0.016,743 Intuit Incorporated 679,425 0.242,367 Microsoft Corporation 104,503 0.041,079 MobileIron Incorporated 6,377 -

9,644 Paychex Incorporated 451,918 0.16247 Proofpoint Incorporated 15,719 0.01386 PROS Holdings Incorporated 8,148 -691 QAD Incorporated 18,256 0.01255 SS&C Technologies Holdings Incorporated 15,935 0.01322 Synchronoss Technologies Incorporated 14,722 0.01286 SYNNEX Corporation 20,932 0.01162 Tyler Technologies Incorporated 20,960 0.01

444 Veeva Systems Incorporated 12,450 -335 Verint Systems Incorporated 20,345 0.01

2,108,805 0.76






Shares

ValueUSD

% ofFund

Textiles (0.01%) 315 G&K Services Incorporated USD 21,770 0.01


2,591 A10 Networks Incorporated 16,660 0.011,324 CalAmp Corporation 24,176 0.016,174 CIncorporatedinnati Bell Incorporated 23,585 0.01

48,632 Cisco Systems Incorporated 1,334,948 0.481,035 Comtech Telecommunications Corporation 30,067 0.01

771 EchoStar Corporation 37,525 0.013,823 Frontier Communications Corporation 18,924 0.01

556 IDT Corporation 10,052 -818 Inteliquent Incorporated 15,051 0.01

1,375 Iridium Communications Incorporated 12,499 -2,473 Ixia 30,764 0.011,062 Motorola Solutions Incorporated 60,863 0.02

564 NeuStar Incorporated 16,474 0.011,471 ShoreTel Incorporated 9,973 -653 Spok Holdings Incorporated 10,997 -

19,694 Verizon Communications Incorporated 918,134 0.32 2,570,692 0.91

Transportation (0.53%) 697 ArcBest Corporation 22,165 0.01

4,376 CH Robinson Worldwide Incorporated 273,019 0.101,521 Expeditors International of Washington

Incorporated 70,118 0.02232 Matson Incorporated 9,746 -

2,101 Swift Transportation Company 47,630 0.0211,203 United Parcel Service Incorporated 1,085,347 0.38

75 Universal Truckload Services Incorporated 1,643 - 1,509,668 0.53

Total U.S. Equities USD 78,737,628 27.86

NON-U.S. EQUITIES (11.14%)

Number ofShares

ValueUSD

% ofFund

Advertising (0.05%) 1,939 Publicis Groupe SA (France) 143,364 0.05

143,364 0.05Aerospace and Defense (0.19%)

855 Airbus Group NV (Netherlands) 55,476 0.0226,004 BAE Systems PLC (United Kingdom) 184,355 0.07

4,101 Safran SA (France) 277,932 0.10 517,763 0.19

Agriculture (0.19%) 3,500 British American Tobacco PLC (United

Kingdom) 187,776 0.074,241 Imperial Tobacco Group PLC (United

Kingdom) 204,308 0.074,884 Swedish Match AB (Sweden) 138,923 0.05

531,007 0.19Airlines (0.09%)

92,000 ANA Holdings Incorporated (Japan) 249,348 0.09 249,348 0.09

Apparel (0.03%) 1,095 adidas AG (Germany) 83,952 0.03


1,460 Continental AG (Germany) 345,882 0.122,200 Denso Corporation (Japan) 109,384 0.04


Shares

ValueUSD

% ofFund

Auto Parts and Equipment (0.24%) cont. 1,391 Valeo SA (France) USD 219,199 0.08

674,465 0.24Automotive (0.37%)

1,418 Bayerische Motoren Werke AG (Germany) 155,746 0.068,000 Fuji Heavy Industries Limited (Japan) 293,892 0.108,079 Peugeot SA (France) 166,087 0.066,400 Toyota Motor Corporation (Japan) 428,288 0.15

1,044,013 0.37Banking (1.51%)

4,980 Australia & New Zealand Banking Group Limited (Australia) 123,646 0.04

11,884 Banco Bilbao Vizcaya Argentaria SA (Spain) 116,471 0.0422,485 Banco Santander SA (Spain) 157,022 0.06

24,000 Bank of Yokohama Limited (Japan) 146,998 0.0575,080 Bankia SA (Spain) 95,254 0.0313,739 Barclays PLC (United Kingdom) 56,235 0.022,356 BNP Paribas SA (France) 142,230 0.052,772 Commonwealth Bank of Australia

(Australia) 182,071 0.0616,389 Credit Agricole SA (France) 243,647 0.09

3,105 Credit Suisse Group AG (Switzerland) 85,351 0.0311,300 DBS Group Holdings Limited (Singapore) 173,504 0.063,741 Deutsche Bank AG (Germany) 112,837 0.04

12,600 Hang Seng Bank Limited (Hong Kong) 245,448 0.0939,534 HSBC Holdings PLC (United Kingdom) 354,134 0.1340,219 Intesa Sanpaolo SpA (Italy) 145,814 0.05

23,000 Joyo Bank Limited (Japan) 128,357 0.05282,417 Lloyds Banking Group PLC (United

Kingdom) 378,206 0.13

32,200Mitsubishi UFJ Financial Group Incorporated (Japan) 231,479 0.08

5,288 National Australia Bank Limited (Australia) 135,863 0.05470 Popular Incorporated (Puerto Rico) 13,560 -

47,700 Resona Holdings Incorporated (Japan) 260,433 0.09

13,276Skandinaviska Enskilda Banken AB (Sweden) 169,757 0.06

6,400 Swedbank AB (Sweden) 149,156 0.059,389 UBS Group AG (Switzerland) 199,037 0.07

16,835 UniCredit SpA (Italy) 113,080 0.045,583 Westpac Banking Corporation (Australia) 138,445 0.05

4,298,035 1.51Beverages (0.17%)

2,012 Anheuser-Busch InBev NV (Belgium) 241,131 0.094,395 Diageo PLC (United Kingdom) 127,133 0.042,136 SABMiller PLC (United Kingdom) 110,889 0.04

479,153 0.17Biotechnology (0.01%)

590 Prothena Corporation PLC (Ireland) 31,075 0.01 31,075 0.01

Building Materials (0.05%) 454 Geberit AG (Switzerland) 151,358 0.05

151,358 0.05Chemicals (0.30%)

2,107 BASF SE (Germany) 185,453 0.07269 EMS-Chemie Holding AG (Switzerland) 113,648 0.04

3,200 Nitto Denko Corporation (Japan) 263,039 0.09998 Orion Engineered Carbons SA

(Luxembourg) 18,383 0.01472 Syngenta AG (Switzerland) 191,839 0.07

1,615 Trinseo SA (Luxembourg) 43,347 0.02 815,709 0.30






Shares

ValueUSD

% ofFund

Commercial Services (0.27%) 2,701 Adecco SA (Switzerland) USD 219,269 0.08

7,380 Babcock International Group PLC (United Kingdom) 125,235 0.04

5,622 Bunzl PLC (United Kingdom) 153,527 0.056,438 Experian PLC (Ireland) 117,241 0.04

12,634 Securitas AB (Sweden) 167,034 0.06 782,306 0.27

Computers (0.45%) 11,131 Accenture PLC (Ireland) 1,077,036 0.38

20,000 Fujitsu Limited (Japan) 111,615 0.041,900 NTT Data Corporation (Japan) 82,747 0.032,072 Sophos Group PLC (United Kingdom) 7,618 -


5,100 Kao Corporation (Japan) 236,946 0.08919 L'Oreal SA (France) 163,927 0.06

3,582 Unilever NV (United Kingdom) 149,173 0.05 550,046 0.19

Diversified Financial Services (0.06%) 32,400 Mitsubishi UFJ Lease & Finance Co Limited

(Japan) 176,845 0.06 176,845 0.06

Electric Utilities (0.29%) 34,854 Enel SpA (Italy) 157,915 0.0615,000 Power Assets Holdings Limited (Hong Kong) 136,618 0.053,530 Red Electrica Corporation SA (Spain) 282,878 0.10

39,600 Tokyo Electric Power Company Incorporated (Japan) 215,821 0.08 793,232 0.29

Electrical Components & Equipment (0.12%) 1,036 Canadian Solar Incorporated (Canada) 29,630 0.01

2,006 OSRAM Licht AG (Germany) 95,885 0.034,679 Vestas Wind Systems A/S (Denmark) 233,534 0.08

359,049 0.12Electronics (0.20%)

7,800 Hoya Corporation (Japan) 312,484 0.111,400 Murata Manufacturing Company Limited

(Japan) 243,772 0.09 556,256 0.20

Engineering and Construction (0.06%) 2,611 Boskalis Westminster NV (Netherlands) 127,773 0.05553 Chicago Bridge & Iron Company NV

(Netherlands) 27,667 0.01 155,440 0.06

Entertainment (0.04%) 1,800 Oriental Land Company Limited (Japan) 114,867 0.04

114,867 0.04Food (0.48%)

3,300 Calbee Incorporated (Japan) 139,135 0.054,768 Carrefour SA (France) 152,638 0.05

12,790Distribuidora Internacional de Alimentacion SA (Spain) 97,674 0.03

13,711 Koninklijke Ahold NV (Netherlands) 256,800 0.098,035 Nestle SA (Switzerland) 580,098 0.212,643 Unilever PLC (United Kingdom) 113,330 0.042,002 Woolworths Limited (Australia) 41,628 0.01

1,381,303 0.48Food Service (0.08%)

12,869 Compass Group PLC (United Kingdom) 212,921 0.08 212,921 0.08


Shares

ValueUSD

% ofFund

Forest Products&Paper (0.07%) 403 Domtar Corporation (Canada) USD 16,680 0.01

8,954 UPM-Kymmene OYJ (Finland) 158,420 0.06 175,100 0.07

Hand/Machine Tools (0.11%) 18,795 Sandvik AB (Sweden) 207,678 0.075,300 THK Co Limited (Japan) 114,241 0.04


2,839 Ramsay Health Care Limited (Australia) 134,602 0.05505 Triple-S Management Corporation

(Puerto Rico) 12,953 - 147,555 0.05

Home Furnishings (0.09%) 18,000 Panasonic Corporation (Japan) 246,942 0.09

246,942 0.09Household Products/Wares (0.05%)

1,573Reckitt Benckiser Group PLC (United Kingdom) 135,591 0.05 135,591 0.05

Industrial Conglomerates (0.05%) 1,152 Wendel SA (France) 141,210 0.05

141,210 0.05Insurance (0.99%)

4,775 Ageas (Belgium) 183,924 0.0742,400 AIA Group Limited (Hong Kong) 276,502 0.10

1,612 Allianz SE (Germany) 251,689 0.09536 Allied World Assurance Company Holdings

AG (Switzerland) 23,161 0.0110,495 Assicurazioni Generali SpA (Italy) 189,078 0.07

5,827 AXA SA (France) 146,977 0.052,555 Axis Capital Holdings Limited (Bermuda) 136,411 0.05

13,062 CNP Assurances (France) 218,068 0.081,070 Everest Re Group Limited (Bermuda) 194,537 0.07

45,625 Legal & General Group PLC (United Kingdom) 178,360 0.06

1,004 Maiden Holdings Limited (Bermuda) 15,833 0.01550 Muenchener Rueckversicherungs-

Gesellschaft AG in Muenchen (Germany) 97,770 0.031,342 PartnerRe Limited (Bermuda) 172,460 0.065,585 Prudential PLC (United Kingdom) 134,483 0.051,209 RenaissanceRe Holdings Limited (Bermuda) 122,762 0.04

565 Swiss Life Holding AG (Switzerland) 129,322 0.058,130 XL Group PLC (Ireland) 302,436 0.10

2,773,773 0.99Internet (0.06%)

1,985 magicJack VocalTec Limited (Israel) 14,749 0.0110,400 SBI Holdings Incorporated/Japan (Japan) 142,933 0.05

157,682 0.06Iron/Steel (0.11%)

9,712 ArcelorMittal (Luxembourg) 94,556 0.039,188 ThyssenKrupp AG (Germany) 240,153 0.08

334,709 0.11Investment Companies (0.04%)

2,311 EXOR SpA (Italy) 110,322 0.04 110,322 0.04

Leisure Time (0.05%) 1,100 Shimano Incorporated (Japan) 150,100 0.05

150,100 0.05Lodging (0.03%)

43,600 MGM China Holdings Limited (Marshall Islands) 71,321 0.03 71,321 0.03






Shares

ValueUSD

% ofFund

Machinery (0.12%) 1,600 FANUC Corporation (Japan) USD 327,883 0.12

327,883 0.12 Machinery-Construction and Mining (0.38%)

8,348 ABB Limited (Switzerland) 174,826 0.067,684 Antofagasta PLC (Chile) 83,186 0.03

6,115 BHP Billiton Limited (Australia) 127,528 0.054,554 BHP Billiton PLC (United Kingdom) 89,372 0.03

22,446 Glencore PLC (Switzerland) 90,040 0.0321,000 Mitsubishi Electric Corporation (Japan) 270,768 0.10

2,366 Rio Tinto PLC (United Kingdom) 97,177 0.035,654 South32 Limited (Australia) 7,809 -4,554 South32 Limited (Australia) 6,154 -9,000 Sumitomo Metal Mining Company Limited

(Japan) 136,965 0.05 1,083,825 0.38

Manufacturing (0.13%) 7,100 FUJIFILM Holdings Corporation (Japan) 252,969 0.091,253 Siemens AG (Germany) 126,518 0.04

379,487 0.13Media (0.10%)

68,412 ITV PLC (United Kingdom) 283,027 0.10 283,027 0.10

Medical Technology (-%) 365 Trinity Biotech PLC (Ireland) 6,592 -

6,592 -Multi-National (0.01%)

1,102 Banco Latinoamericano de Comercio Exterior SA (Panama) 35,462 0.01 35,462 0.01

Office/Business Equipment (0.10%) 8,500 Canon Incorporated (Japan) 276,423 0.10


8,404 AMEC PLC (United Kingdom) 107,883 0.046,496 BG Group PLC (United Kingdom) 108,090 0.04

49,370 BP PLC (United Kingdom) 325,883 0.1229,971 Centrica PLC (United Kingdom) 124,229 0.048,016 Eni SpA (Italy) 142,271 0.058,353 Royal Dutch Shell PLC (Netherlands) 234,472 0.087,611 Royal Dutch Shell PLC (Netherlands) 216,095 0.08

10,081 Statoil ASA (Norway) 180,136 0.065,477 TOTAL SA (France) 266,040 0.093,627 Woodside Petroleum Limited (Australia) 95,762 0.03

1,800,861 0.63Packaging and Containers (0.07%)

18,175 Amcor Limited (Australia) 192,254 0.07 192,254 0.07

Pharmaceuticals (1.07%) 125 Alkermes PLC (Ireland) 8,040 -

11,800 Astellas Pharma Incorporated (Japan) 168,007 0.064,478 AstraZeneca PLC (United Kingdom) 282,779 0.102,355 Bayer AG (Germany) 330,678 0.124,477 Cardiome Pharma Corporation (Canada) 42,129 0.0112,517 GlaxoSmithKline PLC (United Kingdom) 260,101 0.09

632 Jazz Pharmaceuticals PLC (Ireland) 111,276 0.041,073 Merck KGaA (Germany) 107,039 0.043,527 Novartis AG (Switzerland) 347,626 0.124,931 Novo Nordisk A/S (Denmark) 268,660 0.101,483 Roche Holding AG (Switzerland) 415,579 0.15

2,620 Sanofi (France) 257,741 0.094,200 Shionogi & Company Limited (Japan) 162,495 0.06


Shares

ValueUSD

% ofFund

Pharmaceuticals (1.07%) cont. 1,481 Shire PLC (Ireland) USD 118,562 0.04

2,243 Teva Pharmaceutical Industries Limited (Israel) 132,584 0.05

370 uniQure NV (Netherlands) 9,990 - 3,023,286 1.07

Real Estate (0.34%) 23,101 Dexus Property Group (Australia) 130,112 0.05

10,385 Hammerson PLC (United Kingdom) 100,352 0.0452,759 Scentre Group (Australia) 152,648 0.0512,000 Tokyo Tatemono Co Limited (Japan) 166,491 0.0619,046 Westfield Corporation (Australia) 133,871 0.05

48,000 Wheelock & Co Limited (Hong Kong) 244,287 0.09 927,761 0.34

Retail (0.22%) 1,196 Cie Financiere Richemont SA (Switzerland) 97,220 0.03

4,282 Industria de Diseno Textil SA (Spain) 139,180 0.058,200 Isetan Mitsukoshi Holdings Limited (Japan) 146,131 0.0518,569 Marks & Spencer Group PLC

(United Kingdom) 156,386 0.06215 Swatch Group AG (Switzerland) 83,728 0.03

622,645 0.22Semiconductors (0.07%)

14,197 Infineon Technologies AG (Germany) 176,873 0.06314 Mellanox Technologies Limited (Israel) 15,257 0.01

192,130 0.07Software (0.03%)

815 AVG Technologies NV (Netherlands) 22,152 0.01773 SAP SE (Germany) 54,059 0.02


37,524 BT Group PLC (United Kingdom) 265,407 0.0911,821 Deutsche Telekom AG (Germany) 204,401 0.07

9,700 NTT DOCOMO Incorporated (Japan) 185,741 0.0710,074 Orange SA (France) 155,100 0.053,500 SoftBank Group Corporation (Japan) 205,908 0.079,246 Telefonica SA (Spain) 131,374 0.056,021 Telenor ASA (Norway) 131,855 0.05

39,950 Telstra Corporation Limited (Australia) 188,948 0.0726,822 Vodafone Group PLC (United Kingdom) 96,868 0.03

1,565,602 0.55Transportation (0.12%)

2,260 Aegean Marine Petroleum Network Incorporated (Greece) 27,911 0.01

77,300 ComfortDelGro Corporation Limited (Singapore) 178,493 0.06

4,331 Deutsche Post AG (Germany) 126,891 0.041,745 Scorpio Tankers Incorporated (Marshall Islands) 17,572 0.01

350,867 0.12Water (0.06%)

12,699 United Utilities Group PLC (United Kingdom) 177,983 0.06 177,983 0.06

Total Non-U.S. Equities USD 31,469,046 11.14 INVESTMENT COMPANIES (0.03%)

Number ofShares

ValueUSD

% ofFund

904 iShares Russell 2000 Value ETF USD 92,172 0.03Total Investment Companies USD 92,172 0.03





U.S. CORPORATE BONDS AND NOTES (15.52%) Principal Amount

CouponRate

MaturityDates

ValueUSD

% ofFund

Advertising (0.71%) USD 30,000 21st Century Fox America Incorporated 3.00 15/09/2022 USD 29,311 0.01 123,000 21st Century Fox America Incorporated 7.75 12/01/2045 167,473 0.06 5,000 Cablevision Systems Corporation 8.00 15/04/2020 5,425 - 10,000 Cablevision Systems Corporation 7.75 15/04/2018 10,800 - 30,000 Cablevision Systems Corporation 8.63 15/09/2017 32,700 0.01 213,000 CBS Corporation 7.88 30/07/2030 276,961 0.10 130,000 CCO Holdings LLC 5.13 15/02/2023 126,263 0.04 240,000 CCO Holdings LLC 5.25 30/09/2022 236,400 0.08 15,000 CCO Holdings LLC 6.63 31/01/2022 15,638 0.01 5,000 CCO Holdings LLC 6.50 30/04/2021 5,225 - 15,000 CCO Holdings LLC 7.00 15/01/2019 15,563 0.01 60,000 Clear Channel Worldwide Holdings Incorporated 6.50 15/11/2022 62,475 0.02 75,000 Clear Channel Worldwide Holdings Incorporated 7.63 15/03/2020 78,188 0.03 26,000 Comcast Corporation 6.95 15/08/2037 33,803 0.01 60,000 Comcast Corporation 6.45 15/03/2037 74,148 0.03 13,000 Comcast Corporation 6.50 15/11/2035 16,273 0.01 60,000 CSC Holdings LLC 5.25 06/01/2024 57,600 0.02 330,000 CSC Holdings LLC 6.75 15/11/2021 348,150 0.13 90,000 DISH DBS Corporation 5.88 15/11/2024 86,456 0.03 40,000 DISH DBS Corporation 7.88 09/01/2019 44,360 0.02 35,000 Lamar Media Corporation 5.38 15/01/2024 35,394 0.01 65,000 Lamar Media Corporation 5.88 02/01/2022 67,275 0.02 20,000 LIN Television Corporation 5.88 15/11/2022 20,250 0.01 50,000 Outfront Media Capital LLC 5.88 15/03/2025 51,750 0.02 95,000 Outfront Media Capital LLC 5.63 15/02/2024 97,613 0.03 5,000 Outfront Media Capital LLC 5.63 15/02/2024 5,113 -

2,000,607 0.71Aerospace and Defense (0.04%) 5,000 Boeing Capital Corporation 4.70 27/10/2019 5,535 - 20,000 General Dynamics Corporation 3.60 15/11/2042 18,017 - 10,000 General Dynamics Corporation 2.25 15/11/2022 9,468 - 30,000 KLX Incorporated 5.88 12/01/2022 30,297 0.02 35,000 Moog Incorporated 5.25 12/01/2022 35,613 0.02 5,000 Raytheon Company 4.88 15/10/2040 5,333 - 5,000 United Technologies Corporation 4.50 06/01/2042 5,079 - 8,000 United Technologies Corporation 5.38 15/12/2017 8,781 -

118,123 0.04Agriculture (0.11%) 49,000 Altria Group Incorporated 4.00 31/01/2024 49,872 0.02 30,000 Altria Group Incorporated 2.85 08/09/2022 28,833 0.01 202,000 Archer-Daniels-Midland Company 5.45 15/03/2018 222,539 0.08 5,000 Bunge Limited Finance Corporation 4.10 15/03/2016 5,098 -

306,342 0.11Airlines (0.01%) 5,176 Delta Air Lines Class A Pass Through Trust 7.75 17/12/2019 5,914 - 35,000 United Airlines Class A Pass Through Trust 3.75 09/03/2026 34,650 0.01

40,564 0.01Auto Parts and Equipment (0.60%) 60,000 American Axle & Manufacturing Incorporated 7.75 15/11/2019 67,800 0.02 15,000 Dana Holding Corporation 5.38 15/09/2021 15,375 0.01 50,000 Dana Holding Corporation 5.50 15/12/2024 49,375 0.02 95,000 Dana Holding Corporation 6.00 15/09/2023 99,097 0.04 95,000 Delphi Corporation 5.00 15/02/2023 101,175 0.04 6,000 Ford Motor Company 7.70 15/05/2097 7,297 - 145,000 Ford Motor Company 7.45 16/07/2031 185,282 0.07 205,000 Ford Motor Company 7.40 11/01/2046 271,453 0.10 100,000 Ford Motor Credit Company LLC 8.13 15/01/2020 122,097 0.04 30,000 General Motors Company 5.20 04/01/2045 29,714 0.01 10,000 General Motors Financial Company Incorporated 4.00 15/01/2025 9,812 -






CouponRate

MaturityDates

ValueUSD

% ofFund

Auto Parts and Equipment (0.60%) cont. USD 62,000 General Motors Financial Company Incorporated 3.25 15/05/2018 USD 63,410 0.02 88,000 General Motors Financial Company Incorporated 2.75 15/05/2016 89,051 0.03 110,000 General Motors Financial Company Incorporated 3.45 04/10/2022 107,784 0.04 40,000 Johnson Controls Incorporated 4.95 07/02/2064 38,006 0.01 109,000 Pittsburgh Glass Works LLC 8.00 15/11/2018 114,723 0.04 85,000 Tenneco Incorporated 5.38 15/12/2024 87,338 0.03 205,000 Toyota Motor Credit Corporation 1.25 10/05/2017 205,523 0.07 25,000 TRW Automotive Incorporated 4.50 03/01/2021 25,250 0.01

1,689,562 0.60Banking (1.42%) 279,000 Bank of America Corporation 6.10 29/12/2049 274,815 0.10 40,000 Bank of America Corporation 6.50 29/10/2049 41,400 0.01 145,000 Bank of America Corporation 6.11 29/01/2037 162,509 0.06 202,000 Bank of America Corporation 2.00 01/11/2018 202,662 0.07 135,000 Bank of America Corporation 1.70 25/08/2017 135,155 0.05 20,000 Bank of New York Mellon Corporation 1.97 20/06/2017 20,275 0.01 55,000 CIT Group Incorporated 5.00 08/01/2023 54,863 0.02 250,000 CIT Group Incorporated 5.00 15/08/2022 247,500 0.09 20,000 CIT Group Incorporated 5.38 15/05/2020 20,850 0.01 35,000 CIT Group Incorporated 3.88 19/02/2019 34,738 0.01 130,000 CIT Group Incorporated 5.50 15/02/2019 135,525 0.05 25,000 CIT Group Incorporated 5.50 15/02/2019 26,063 0.01 20,000 CIT Group Incorporated 6.63 04/01/2018 21,225 0.01 25,000 CIT Group Incorporated 5.25 15/03/2018 25,844 0.01 52,000 Citigroup Incorporated 5.95 29/12/2049 50,190 0.02 7,000 Citigroup Incorporated 5.88 29/12/2049 7,070 - 3,000 Citigroup Incorporated 5.90 29/12/2049 2,955 - 205,000 Citigroup Incorporated 4.45 01/10/2017 214,176 0.08 328,000 Commonwealth Bank of Australia 1.63 03/12/2018 328,935 0.12 41,000 Fifth Third Bancorp 5.10 29/12/2049 38,438 0.01 3,000 Goldman Sachs Group Incorporated 6.75 10/01/2037 3,519 - 70,000 Goldman Sachs Group Incorporated 7.50 15/02/2019 82,290 0.03 5,000 Goldman Sachs Group Incorporated 3.63 02/07/2016 5,081 - 84,000 JPMorgan Chase & Company 7.90 29/04/2049 88,851 0.03 204,000 JPMorgan Chase & Company 2.00 15/08/2017 206,069 0.07 245,000 KeyCorp 2.30 13/12/2018 247,166 0.09 202,000 Morgan Stanley 4.75 22/03/2017 213,099 0.08 250,000 National Australia Bank Limited 2.30 25/07/2018 253,957 0.09 250,000 PNC Bank NA 1.13 27/01/2017 250,020 0.09 80,000 Provident Funding Associates LP 6.75 15/06/2021 76,000 0.03 3,000 Santander Holdings USA Incorporated 4.63 19/04/2016 3,078 - 10,000 State Street Capital Trust IV 1.29 15/06/2037 8,663 - 250,000 US Bank NA 1.10 30/01/2017 250,571 0.09 25,000 Wells Fargo & Company 5.88 29/04/2049 25,500 0.01 202,000 Wells Fargo & Company 2.10 05/08/2017 205,426 0.07

3,964,478 1.42Beverages (0.37%) 55,000 Anheuser-Busch Companies LLC 5.60 03/01/2017 59,213 0.02 205,000 Anheuser-Busch InBev Finance Incorporated 1.25 17/01/2018 204,335 0.07 138,000 Anheuser-Busch InBev Worldwide Incorporated 8.20 15/01/2039 205,440 0.08 5,000 Anheuser-Busch InBev Worldwide Incorporated 5.38 15/01/2020 5,640 - 40,000 Coca-Cola Company 3.20 11/01/2023 40,403 0.01 25,000 Constellation Brands Incorporated 4.25 05/01/2023 24,625 0.01 175,000 Constellation Brands Incorporated 6.00 05/01/2022 190,789 0.07 5,000 Constellation Brands Incorporated 7.25 09/01/2016 5,288 - 13,000 Diageo Investment Corporation 8.00 15/09/2022 16,939 0.01 37,000 Molson Coors Brewing Company 5.00 05/01/2042 36,020 0.01 60,000 PepsiCo Incorporated 4.25 22/10/2044 58,389 0.02 2,000 PepsiCo Incorporated 7.90 11/01/2018 2,388 - 204,000 PepsiCo Incorporated 1.25 13/08/2017 204,339 0.07

1,053,808 0.37






CouponRate

MaturityDates

ValueUSD

% ofFund

Biotechnology (0.08%) USD 10,000 Amgen Incorporated 3.45 10/01/2020 USD 10,350 - 205,000 Amgen Incorporated 2.13 15/05/2017 208,232 0.08

218,582 0.08Building Materials (0.19%) 100,000 Boise Cascade Company 6.38 11/01/2020 105,250 0.04 140,000 Building Materials Corporation of America 5.38 15/11/2024 137,459 0.06 40,000 Building Materials Corporation of America 6.75 05/01/2021 41,700 0.01 85,000 Louisiana-Pacific Corporation 7.50 06/01/2020 90,525 0.03 35,000 Masonite International Corporation 5.63 15/03/2023 35,569 0.01 9,000 Owens Corning 9.00 15/06/2019 10,735 - 65,000 USG Corporation 5.50 03/01/2025 64,756 0.02 20,000 USG Corporation 5.88 11/01/2021 21,025 0.01 20,000 Vulcan Materials Company 4.50 04/01/2025 20,025 0.01

527,044 0.19Chemicals (0.48%) 105,000 A Schulman Incorporated 6.88 06/01/2023 107,100 0.04 40,000 Celanese US Holdings LLC 4.63 15/11/2022 39,600 0.01 100,000 Celanese US Holdings LLC 5.88 15/06/2021 107,000 0.04 18,000 CF Industries Incorporated 5.38 15/03/2044 17,871 0.01 13,000 CF Industries Incorporated 5.15 15/03/2034 12,839 - 15,000 CF Industries Incorporated 7.13 05/01/2020 17,819 0.01 30,000 Chemours Company 7.00 15/05/2025 29,100 0.01 50,000 Chemours Company 6.63 15/05/2023 48,438 0.02 45,000 Cytec Industries Incorporated 3.50 04/01/2023 43,359 0.02 100,000 Dow Chemical Company 3.50 10/01/2024 98,125 0.03 30,000 Eastman Chemical Company 3.80 15/03/2025 29,870 0.01 5,000 EI du Pont de Nemours & Company 3.63 15/01/2021 5,238 - 20,000 Huntsman International LLC 5.13 15/11/2022 19,700 0.01 160,000 Huntsman International LLC 4.88 15/11/2020 159,601 0.06 5,000 Lubrizol Corporation 8.88 02/01/2019 6,144 - 30,000 LyondellBasell Industries NV 4.63 26/02/2055 26,419 0.01 85,000 Monsanto Company 5.50 15/08/2025 96,561 0.03 3,000 Mosaic Company 5.63 15/11/2043 3,214 - 2,000 Mosaic Company 5.45 15/11/2033 2,131 - 75,000 Platform Specialty Products Corporation 6.50 02/01/2022 77,813 0.03 160,000 Rockwood Specialties Group Incorporated 4.63 15/10/2020 166,600 0.06 70,000 TPC Group Incorporated 8.75 15/12/2020 64,750 0.02 120,000 WR Grace & Company 5.63 10/01/2024 121,500 0.04 55,000 WR Grace & Company 5.13 10/01/2021 55,413 0.02

1,356,205 0.48Coal (0.02%) 55,000 CONSOL Energy Incorporated 5.88 15/04/2022 46,750 0.02

46,750 0.02Commercial Services (0.48%) 110,000 Ashtead Capital Incorporated 6.50 15/07/2022 116,600 0.04 140,000 Avis Budget Car Rental LLC 5.50 04/01/2023 138,250 0.05 15,000 Avis Budget Car Rental LLC 5.13 06/01/2022 14,625 0.01 95,000 ERAC USA Finance LLC 4.50 15/02/2045 87,307 0.03 20,000 ERAC USA Finance LLC 5.63 15/03/2042 21,434 0.01 63,000 ERAC USA Finance LLC 7.00 15/10/2037 77,008 0.03 8,000 ERAC USA Finance LLC 3.85 15/11/2024 8,030 - 5,000 Hertz Corporation 6.75 15/04/2019 5,160 - 49,000 Lender Processing Services Incorporated 5.75 15/04/2023 51,940 0.02 345,000 Service Corporation International 5.38 15/05/2024 360,525 0.12 90,000 Service Corporation International 5.38 15/01/2022 94,500 0.03 55,000 Service Corporation International 6.75 04/01/2016 56,650 0.02 110,000 TMS International Corporation 7.63 15/10/2021 107,250 0.04 60,000 United Rentals North America Incorporated 5.50 15/07/2025 58,125 0.02 35,000 United Rentals North America Incorporated 5.75 15/11/2024 34,475 0.01 100,000 United Rentals North America Incorporated 6.13 15/06/2023 102,125 0.04






CouponRate

MaturityDates

ValueUSD

% ofFund

Commercial Services (0.48%) cont. USD 20,000 United Rentals North America Incorporated 7.63 15/04/2022 USD 21,650 0.01

1,355,654 0.48Computers (0.16%) 49,000 Apple Incorporated 4.38 13/05/2045 48,287 0.02 108,000 Apple Incorporated 3.85 05/04/2043 97,810 0.03 30,000 Apple Incorporated 3.45 05/06/2024 30,658 0.01 100,000 Hewlett-Packard Company 5.50 03/01/2018 109,415 0.04 175,000 Hewlett-Packard Company 2.60 15/09/2017 178,165 0.06

464,335 0.16Cosmetics/Personal Care (0.06%) 85,000 Elizabeth Arden Incorporated 7.38 15/03/2021 68,850 0.02 100,000 Revlon Consumer Products Corporation 5.75 15/02/2021 98,000 0.04

166,850 0.06Distribution/Wholesale (0.03%) 95,000 HD Supply Incorporated 5.25 15/12/2021 96,306 0.03

96,306 0.03Diversified Financial Services (1.23%) 20,000 Air Lease Corporation 3.75 02/01/2022 19,988 0.01 85,000 Alliance Data Systems Corporation 5.38 08/01/2022 83,725 0.03 135,000 Ally Financial Incorporated 8.00 11/01/2031 161,663 0.06 275,000 Ally Financial Incorporated 7.50 15/09/2020 320,375 0.12 5,000 Ally Financial Incorporated 8.00 15/03/2020 5,888 - 10,000 Ally Financial Incorporated 8.00 31/12/2018 11,163 - 215,000 Ally Financial Incorporated 6.25 12/01/2017 229,513 0.08 50,000 American Express Company 4.90 29/12/2049 48,469 0.02 127,000 American Express Company 7.00 19/03/2018 144,031 0.05 78,000 American Express Company 6.15 28/08/2017 85,355 0.03 10,000 Associates Corporation of North America 6.95 11/01/2018 11,505 - 4,000 Bear Stearns Companies LLC 7.25 02/01/2018 4,531 - 125,000 Cantor Fitzgerald LP 6.50 17/06/2022 128,913 0.05 20,000 Community Choice Financial Incorporated 10.75 05/01/2019 10,225 - 35,000 Credit Acceptance Corporation 7.38 15/03/2023 36,138 0.01 75,000 Credit Acceptance Corporation 6.13 15/02/2021 75,188 0.03 90,000 DFC Finance Corporation 10.50 15/06/2020 68,175 0.02 75,000 E*TRADE Financial Corporation 4.63 15/09/2023 74,063 0.03 65,000 E*TRADE Financial Corporation 5.38 15/11/2022 66,625 0.02 10,000 GE Capital Trust I 6.38 15/11/2067 10,680 - 252,000 General Electric Capital Corporation 6.75 15/03/2032 327,159 0.12 203,000 General Electric Capital Corporation 5.40 15/02/2017 216,927 0.08 173,000 HSBC Finance Corporation 6.68 15/01/2021 200,144 0.07 95,000 Icahn Enterprises LP 5.88 02/01/2022 96,781 0.03 170,000 Icahn Enterprises LP 6.00 08/01/2020 175,525 0.06 40,000 International Lease Finance Corporation 5.88 15/08/2022 43,100 0.02 5,000 International Lease Finance Corporation 6.25 15/05/2019 5,419 - 40,000 Nationstar Mortgage LLC 6.50 07/01/2021 37,250 0.01 75,000 Nationstar Mortgage LLC 7.88 10/01/2020 74,813 0.03 60,000 Neuberger Berman Group LLC 4.88 15/04/2045 54,000 0.02 47,000 Neuberger Berman Group LLC 5.88 15/03/2022 50,232 0.02 50,000 OneMain Financial Holdings Incorporated 7.25 15/12/2021 51,875 0.02 75,000 OneMain Financial Holdings Incorporated 6.75 15/12/2019 78,188 0.03 115,000 Peachtree Corners Funding Trust 3.98 15/02/2025 114,042 0.04 115,000 PHH Corporation 6.38 15/08/2021 112,844 0.04 10,000 PHH Corporation 7.38 09/01/2019 10,575 - 35,000 Springleaf Finance Corporation 5.25 15/12/2019 34,519 0.01 110,000 Tiers Trust (F)† - 15/03/2046 114,950 0.04 30,000 TMX Finance LLC 8.50 15/09/2018 24,600 0.01 75,000 Walter Investment Management Corporation 7.88 15/12/2021 69,563 0.02

3,488,719 1.23






CouponRate

MaturityDates

ValueUSD

% ofFund

Electric Utilities (0.76%) USD 185,000 AES Corporation 5.50 15/04/2025 USD 179,450 0.06 35,000 AES Corporation 4.88 15/05/2023 33,338 0.01 15,000 AES Corporation 7.38 07/01/2021 16,444 0.01 335,000 AES Corporation 8.00 06/01/2020 386,925 0.14 5,000 Appalachian Power Company 4.60 30/03/2021 5,436 - 1,000 Beaver Valley II Funding Corporation 9.00 06/01/2017 1,080 - 12,000 Berkshire Hathaway Energy Company 6.13 04/01/2036 14,137 0.01 170,000 Calpine Corporation 5.75 15/01/2025 165,325 0.06 20,000 Calpine Corporation 5.88 15/01/2024 21,200 0.01 80,000 Calpine Corporation 6.00 15/01/2022 84,600 0.03 8,000 Commonwealth Edison Company 5.90 15/03/2036 9,529 - 10,000 Consolidated Edison Company of New York Incorporated 4.20 15/03/2042 9,501 - 130,000 Consolidated Edison Company of New York Incorporated 7.13 12/01/2018 152,554 0.05 7,000 DPL Incorporated 6.50 15/10/2016 7,280 - 15,000 Duke Energy Corporation 2.15 15/11/2016 15,260 0.01 5,000 Dynegy Incorporated 7.63 11/01/2024 5,288 - 10,000 Dynegy Incorporated 7.38 11/01/2022 10,475 - 120,000 Dynegy Incorporated 6.75 11/01/2019 124,860 0.04 415,000 FirstEnergy Corporation 4.25 15/03/2023 417,590 0.16 10,000 GenOn Energy Incorporated 9.88 15/10/2020 10,175 - 5,000 GenOn Energy Incorporated 9.50 15/10/2018 5,100 - 34,000 Midamerican Funding LLC 6.93 03/01/2029 44,137 0.02 5,000 NiSource Finance Corporation 6.13 03/01/2022 5,776 - 180,000 NRG Energy Incorporated 7.88 15/05/2021 191,700 0.07 45,000 NRG Yield Operating LLC 5.38 15/08/2024 45,338 0.02 25,000 NSTAR Electric Company 2.38 15/10/2022 24,012 0.01 110,000 Oncor Electric Delivery Company LLC 3.75 04/01/2045 98,309 0.03 5,000 Pacific Gas & Electric Company 6.05 03/01/2034 6,011 - 20,000 PPL Capital Funding Incorporated 3.40 06/01/2023 19,929 0.01 10,000 PPL Capital Funding Incorporated 4.20 15/06/2022 10,520 - 18,000 Puget Sound Energy Incorporated 6.97 06/01/2067 16,515 0.01 5,000 Union Electric Company 6.40 15/06/2017 5,479 -

2,143,273 0.76Electrical Components & Equipment (0.02%) 40,000 Belden Incorporated 5.25 15/07/2024 38,800 0.01 20,000 Belden Incorporated 5.50 09/01/2022 19,850 0.01

58,650 0.02Electronics (0.01%) 5,000 Honeywell International Incorporated 5.38 03/01/2041 5,896 - 5,000 Honeywell International Incorporated 4.25 03/01/2021 5,523 - 20,000 Jabil Circuit Incorporated 8.25 15/03/2018 22,650 0.01

34,069 0.01Engineering and Construction (0.09%) 50,000 MasTec Incorporated 4.88 15/03/2023 45,625 0.02 60,000 SBA Communications Corporation 4.88 15/07/2022 58,425 0.02 160,000 Weekley Homes LLC 6.00 02/01/2023 151,200 0.05

255,250 0.09Entertainment (0.37%) 45,000 AMC Entertainment Incorporated 5.75 15/06/2025 44,100 0.02 55,000 AMC Entertainment Incorporated 5.88 15/02/2022 55,825 0.02 20,000 Cedar Fair LP 5.38 06/01/2024 20,224 0.01 60,000 Cedar Fair LP 5.25 15/03/2021 61,650 0.02 35,000 Cinemark USA Incorporated 4.88 06/01/2023 33,644 0.01 20,000 Cinemark USA Incorporated 5.13 15/12/2022 19,825 0.01 5,000 Cinemark USA Incorporated 7.38 15/06/2021 5,288 - 75,000 Gibson Brands Incorporated 8.88 08/01/2018 76,406 0.03 90,000 GLP Capital LP 4.88 11/01/2020 91,575 0.03 90,000 GLP Capital LP 4.38 11/01/2018 92,363 0.03 70,000 Isle of Capri Casinos Incorporated 5.88 15/03/2021 71,925 0.03 115,000 Penn National Gaming Incorporated 5.88 11/01/2021 115,863 0.04 95,000 Regal Entertainment Group 5.75 15/06/2023 94,050 0.03






CouponRate

MaturityDates

ValueUSD

% ofFund

Entertainment (0.37%) cont. USD 35,000 Regal Entertainment Group 5.75 15/03/2022 USD 35,392 0.01 20,000 Rivers Pittsburgh Borrower LP 9.50 15/06/2019 20,975 0.01 70,000 Scientific Games International Incorporated 7.00 01/01/2022 72,275 0.03 145,000 Six Flags Entertainment Corporation 5.25 15/01/2021 148,263 0.04

1,059,643 0.37Food (0.24%) 124,000 ConAgra Foods Incorporated 7.00 15/04/2019 141,622 0.06 65,000 Dean Foods Company 6.50 15/03/2023 66,056 0.02 30,000 JBS USA LLC 7.25 06/01/2021 31,613 0.01 10,000 JBS USA LLC 8.25 02/01/2020 10,600 - 10,000 Kraft Foods Group Incorporated 6.50 02/09/2040 11,770 - 110,000 Kraft Foods Group Incorporated 6.88 26/01/2039 134,795 0.06 70,000 Kroger Company 6.90 15/04/2038 86,815 0.03 40,000 Pilgrim's Pride Corporation 5.75 15/03/2025 40,400 0.01 35,000 Tyson Foods Incorporated 6.60 04/01/2016 36,338 0.01 100,000 WhiteWave Foods Company 5.38 10/01/2022 105,500 0.04

665,509 0.24Forest Products&Paper (0.02%) 9,000 Westvaco Corporation 7.95 15/02/2031 11,574 - 40,000 Westvaco Corporation 8.20 15/01/2030 53,947 0.02

65,521 0.02Health-Care Services (0.57%) 55,000 Acadia Healthcare Company Incorporated 5.13 07/01/2022 54,588 0.02 5,000 Aetna Incorporated 6.75 15/12/2037 6,292 - 80,000 Centene Corporation 4.75 15/05/2022 82,400 0.03 20,000 CHS/Community Health Systems Incorporated 6.88 02/01/2022 21,100 0.01 90,000 CHS/Community Health Systems Incorporated 5.13 08/01/2021 91,688 0.03 5,000 CHS/Community Health Systems Incorporated 5.13 15/08/2018 5,125 - 10,000 Cigna Corporation 4.50 15/03/2021 10,872 - 30,000 DaVita HealthCare Partners Incorporated 5.00 05/01/2025 28,875 0.01 30,000 DaVita HealthCare Partners Incorporated 5.13 15/07/2024 29,494 0.01 30,000 Fresenius Medical Care US Finance Incorporated 5.75 15/02/2021 31,950 0.01 25,000 HCA Incorporated 5.38 02/01/2025 25,408 0.01 55,000 HCA Incorporated 5.00 15/03/2024 55,963 0.02 5,000 HCA Incorporated 7.50 15/02/2022 5,744 - 260,000 HCA Incorporated 6.50 15/02/2020 290,550 0.10 105,000 HCA Incorporated 3.75 15/03/2019 105,788 0.04 50,000 Tenet Healthcare Corporation 4.38 10/01/2021 48,875 0.02 25,000 Tenet Healthcare Corporation 4.50 04/01/2021 24,750 0.01 100,000 Tenet Healthcare Corporation 6.00 10/01/2020 106,625 0.04 75,000 Tenet Healthcare Corporation 3.79 15/06/2020 75,656 0.03 15,000 Tenet Healthcare Corporation 4.75 06/01/2020 15,234 0.01 90,000 Tenet Healthcare Corporation 6.25 11/01/2018 98,100 0.03 45,000 UnitedHealth Group Incorporated 3.95 15/10/2042 40,778 0.01 10,000 UnitedHealth Group Incorporated 4.63 15/11/2041 9,986 - 45,000 UnitedHealth Group Incorporated 2.75 15/02/2023 43,014 0.02 53,000 UnitedHealth Group Incorporated 4.70 15/02/2021 58,774 0.02 92,000 UnitedHealth Group Incorporated 6.00 15/02/2018 102,284 0.04 130,000 WellCare Health Plans Incorporated 5.75 15/11/2020 135,200 0.05

1,605,113 0.57Home Builders (0.22%) 105,000 Lennar Corporation 4.75 15/11/2022 103,163 0.04 40,000 Lennar Corporation 4.50 15/06/2019 40,800 0.01 20,000 M/I Homes Incorporated 8.63 15/11/2018 20,700 0.01 75,000 PulteGroup Incorporated 6.00 15/02/2035 72,938 0.03 15,000 PulteGroup Incorporated 7.88 15/06/2032 17,250 0.01 40,000 Standard Pacific Corporation 5.88 15/11/2024 41,200 0.01 80,000 Standard Pacific Corporation 6.25 15/12/2021 84,800 0.03 35,000 Taylor Morrison Communities Incorporated 5.63 03/01/2024 33,688 0.01 75,000 Taylor Morrison Communities Incorporated 5.25 15/04/2021 73,875 0.03






CouponRate

MaturityDates

ValueUSD

% ofFund

Home Builders (0.22%) cont. USD 130,000 TRI Pointe Holdings Incorporated 5.88 15/06/2024 USD 127,400 0.04

615,814 0.22Household Products/Wares (0.04%) 45,000 Spectrum Brands Incorporated 5.75 15/07/2025 45,675 0.02 45,000 Spectrum Brands Incorporated 6.13 15/12/2024 47,138 0.02 5,000 Spectrum Brands Incorporated 6.63 15/11/2022 5,325 - 5,000 Spectrum Brands Incorporated 6.38 15/11/2020 5,288 -

103,426 0.04Insurance (0.52%) 28,000 Aflac Incorporated 6.90 17/12/2039 35,486 0.01 116,000 American International Group Incorporated 8.18 15/05/2058 153,584 0.05 15,000 American International Group Incorporated 5.85 16/01/2018 16,515 0.01 14,000 Berkshire Hathaway Finance Corporation 4.30 15/05/2043 13,506 - 80,000 CNO Financial Group Incorporated 5.25 30/05/2025 81,296 0.03 45,000 CNO Financial Group Incorporated 4.50 30/05/2020 45,675 0.02 56,000 Genworth Holdings Incorporated 6.15 15/11/2066 34,160 0.01 10,000 Hartford Financial Services Group Incorporated 5.13 15/04/2022 11,078 - 283,000 Liberty Mutual Group Incorporated 7.80 15/03/2037 335,355 0.12 205,000 MetLife Incorporated 6.75 06/01/2016 215,661 0.08 35,000 Nationwide Mutual Insurance Company 9.38 15/08/2039 52,211 0.02 18,000 Primerica Incorporated 4.75 15/07/2022 19,236 0.01 62,000 Progressive Corporation 6.70 15/06/2037 64,636 0.02 110,000 Prudential Financial Incorporated 5.20 15/03/2044 108,763 0.04 107,000 Prudential Financial Incorporated 5.63 15/06/2043 110,611 0.04 90,000 Prudential Financial Incorporated 8.88 15/06/2038 104,963 0.04 35,000 Swiss Re Treasury US Corporation 4.25 12/06/2042 33,771 0.01 24,000 Travelers Property Casualty Corporation 7.75 15/04/2026 31,612 0.01

1,468,119 0.52Internet (0.17%) 202,000 Amazon.com Incorporated 1.20 29/11/2017 201,075 0.07 205,000 eBay Incorporated 1.35 15/07/2017 204,695 0.07 25,000 Expedia Incorporated 5.95 15/08/2020 27,865 0.01 50,000 Priceline Group Incorporated 3.65 15/03/2025 48,676 0.02

482,311 0.17Iron/Steel (0.16%) 190,000 Glencore Funding LLC 4.00 16/04/2025 176,739 0.06 92,000 Glencore Funding LLC 4.63 29/04/2024 90,762 0.03 57,000 Glencore Funding LLC 2.88 16/04/2020 55,870 0.02 50,000 Steel Dynamics Incorporated 5.50 10/01/2024 50,000 0.02 48,000 Steel Dynamics Incorporated 5.25 15/04/2023 47,640 0.02 5,000 Steel Dynamics Incorporated 6.38 15/08/2022 5,231 - 15,000 Steel Dynamics Incorporated 5.13 10/01/2021 15,030 0.01 10,000 Steel Dynamics Incorporated 6.13 15/08/2019 10,525 -

451,797 0.16Leisure Time (0.02%) 70,000 Sabre GLBL Incorporated 5.38 15/04/2023 68,950 0.02

68,950 0.02Lodging (0.14%) 10,000 Hyatt Hotels Corporation 3.38 15/07/2023 9,720 - 45,000 MGM Resorts International 6.63 15/12/2021 47,025 0.02 70,000 MGM Resorts International 6.75 10/01/2020 74,200 0.03 90,000 MGM Resorts International 5.25 31/03/2020 90,675 0.03 145,000 MGM Resorts International 8.63 02/01/2019 163,850 0.06

385,470 0.14Machinery (0.10%) 125,000 Briggs & Stratton Corporation 6.88 15/12/2020 135,625 0.05 20,000 Deere & Company 2.60 06/08/2022 19,680 0.01 55,000 Manitowoc Company Incorporated 5.88 15/10/2022 59,263 0.02 50,000 Zebra Technologies Corporation 7.25 15/10/2022 54,125 0.02

268,693 0.10






CouponRate

MaturityDates

ValueUSD

% ofFund

Machinery-Construction and Mining (0.23%) USD 15,000 Alcoa Incorporated 5.13 10/01/2024 USD 15,188 0.01 20,000 Alcoa Incorporated 5.40 15/04/2021 20,962 0.01 100,000 BlueLine Rental Finance Corporation 7.00 02/01/2019 102,750 0.04 75,000 Compass Minerals International Incorporated 4.88 15/07/2024 73,688 0.03 120,000 JM Huber Corporation 9.88 11/01/2019 128,100 0.05 40,000 Oshkosh Corporation 5.38 03/01/2025 40,000 0.01 60,000 Oshkosh Corporation 5.38 03/01/2022 61,350 0.02 210,000 Terex Corporation 6.00 15/05/2021 211,050 0.06

653,088 0.23Media (0.30%) 20,000 Sinclair Television Group Incorporated 5.63 08/01/2024 19,550 0.01 15,000 Sinclair Television Group Incorporated 6.13 10/01/2022 15,413 0.01 80,000 Sinclair Television Group Incorporated 6.38 11/01/2021 82,600 0.03 30,000 Sinclair Television Group Incorporated 5.38 04/01/2021 30,225 0.01 95,000 Sirius XM Radio Incorporated 6.00 15/07/2024 95,713 0.03 10,000 Sirius XM Radio Incorporated 5.25 15/08/2022 10,450 - 85,000 Sirius XM Radio Incorporated 5.88 10/01/2020 87,550 0.03 80,000 TCI Communications Incorporated 7.13 15/02/2028 104,323 0.04 115,000 TCI Communications Incorporated 7.88 15/02/2026 155,096 0.06 50,000 TEGNA Incorporated 4.88 15/09/2021 49,626 0.02 55,000 TEGNA Incorporated 5.13 15/07/2020 56,306 0.02 40,000 TEGNA Incorporated 5.13 15/10/2019 41,200 0.01 5,000 Time Warner Incorporated 3.15 15/07/2015 5,005 - 65,000 Tribune Media Company 5.88 15/07/2022 65,488 0.02 20,000 Univision Communications Incorporated 5.13 15/02/2025 19,304 0.01 5,000 Viacom Incorporated 4.50 03/01/2021 5,302 - 5,000 Walt Disney Company 2.75 16/08/2021 5,091 -

848,242 0.30Medical Technology (0.11%) 65,000 Halyard Health Incorporated 6.25 15/10/2022 68,088 0.02 50,000 Hologic Incorporated 5.25 15/07/2022 51,063 0.02 125,000 Kinetic Concepts Incorporated 10.50 11/01/2018 133,125 0.04 23,000 Medtronic Incorporated 4.38 15/03/2035 22,823 0.01 22,000 Medtronic Incorporated 3.50 15/03/2025 21,925 0.01 25,000 Teleflex Incorporated 5.25 15/06/2024 25,318 0.01

322,342 0.11Miscellaneous Manufacturer (0.05%) 85,000 Amsted Industries Incorporated 5.00 15/03/2022 84,894 0.03 65,000 Amsted Industries Incorporated 5.38 15/09/2024 64,513 0.02

149,407 0.05Office/Business Equipment (-%) 1,000 Xerox Corporation 5.63 15/12/2019 1,120 -

1,120 -Oil and Natural Gas Utilities (1.11%) 115,000 Anadarko Petroleum Corporation 6.45 15/09/2036 132,696 0.05 5,000 Anadarko Petroleum Corporation 6.95 15/06/2019 5,808 - 5,000 Anadarko Petroleum Corporation 5.95 15/09/2016 5,275 - 45,000 Antero Resources Corporation 5.63 06/01/2023 43,481 0.02 65,000 Antero Resources Corporation 5.13 12/01/2022 61,425 0.02 80,000 Antero Resources Corporation 5.38 11/01/2021 76,800 0.03 10,000 Apache Corporation 5.10 09/01/2040 9,731 - 11,000 Apache Corporation 3.25 15/04/2022 10,818 0.01 50,000 Calfrac Holdings LP 7.50 12/01/2020 46,170 0.02 160,000 California Resources Corporation 6.00 15/11/2024 137,600 0.05 75,000 California Resources Corporation 5.00 15/01/2020 66,000 0.02 40,000 Chaparral Energy Incorporated 8.25 09/01/2021 29,600 0.01 55,000 Chesapeake Energy Corporation 5.75 15/03/2023 49,775 0.02 40,000 Chesapeake Energy Corporation 4.88 15/04/2022 34,700 0.01 115,000 Chesapeake Energy Corporation 6.13 15/02/2021 108,100 0.04 202,000 Chevron Corporation 1.10 12/05/2017 201,135 0.07 95,000 Concho Resources Incorporated 5.50 04/01/2023 95,000 0.03






CouponRate

MaturityDates

ValueUSD

% ofFund

Oil and Natural Gas Utilities (1.11%) cont. USD 10,000 Concho Resources Incorporated 5.50 10/01/2022 USD 9,950 - 20,000 Concho Resources Incorporated 6.50 15/01/2022 20,850 0.01 205,000 ConocoPhillips Company 1.05 15/12/2017 203,456 0.07 55,000 Continental Resources Incorporated 5.00 15/09/2022 53,935 0.02 100,000 Denbury Resources Incorporated 5.50 05/01/2022 89,500 0.03 5,000 Denbury Resources Incorporated 6.38 15/08/2021 4,800 - 35,000 EP Energy LLC 6.38 15/06/2023 35,088 0.01 10,000 EP Energy LLC 7.75 09/01/2022 10,500 0.01 50,000 EP Energy LLC 9.38 05/01/2020 53,563 0.02 95,000 Exterran Partners LP 6.00 10/01/2022 90,250 0.03 15,000 Freeport-McMoran Oil & Gas LLC 6.88 15/02/2023 16,088 0.01 60,000 Freeport-McMoran Oil & Gas LLC 6.75 02/01/2022 63,600 0.02 50,000 Gulfport Energy Corporation 6.63 05/01/2023 50,625 0.02 40,000 Gulfport Energy Corporation 7.75 11/01/2020 41,900 0.01 10,000 Hess Corporation 7.30 15/08/2031 11,609 0.01 35,000 Hilcorp Energy I LP 5.00 12/01/2024 32,820 0.01 5,000 Kerr-McGee Corporation 7.88 15/09/2031 6,404 - 45,000 Linn Energy LLC 6.50 15/09/2021 33,750 0.01 165,000 Linn Energy LLC 6.25 11/01/2019 129,113 0.05 35,000 Linn Energy LLC 6.50 15/05/2019 28,263 0.01 45,000 Newfield Exploration Company 5.38 01/01/2026 44,550 0.02 95,000 Newfield Exploration Company 5.75 30/01/2022 96,900 0.03 15,000 Oasis Petroleum Incorporated 6.88 15/01/2023 14,963 0.01 180,000 Oasis Petroleum Incorporated 6.88 15/03/2022 182,700 0.06 205,000 Phillips 66 2.95 05/01/2017 210,714 0.07 90,000 SandRidge Energy Incorporated 8.75 06/01/2020 81,675 0.03 25,000 Seventy Seven Operating LLC 6.63 15/11/2019 19,750 0.01 5,000 SM Energy Company 6.50 01/01/2023 5,125 - 10,000 SM Energy Company 6.50 15/11/2021 10,425 - 95,000 Southern Star Central Corporation 5.13 15/07/2022 96,425 0.03 55,000 Unit Corporation 6.63 15/05/2021 53,350 0.02 210,000 Whiting Petroleum Corporation 5.75 15/03/2021 206,325 0.07 15,000 WPX Energy Incorporated 6.00 15/01/2022 14,813 0.01

3,137,893 1.11Packaging and Containers (0.21%) 35,000 Berry Plastics Corporation 5.13 15/07/2023 34,125 0.01 135,000 Crown Americas LLC 4.50 15/01/2023 127,491 0.04 30,000 Crown Cork & Seal Company Incorporated 7.38 15/12/2026 33,675 0.01 55,000 Novelis Incorporated 8.75 15/12/2020 58,163 0.02 75,000 Owens-Brockway Glass Container Incorporated 5.38 15/01/2025 73,313 0.03 25,000 Packaging Corporation of America 4.50 11/01/2023 25,781 0.01 20,000 Sealed Air Corporation 6.88 15/07/2033 20,200 0.01 20,000 Sealed Air Corporation 5.50 15/09/2025 20,150 0.01 35,000 Sealed Air Corporation 5.13 12/01/2024 34,519 0.01 80,000 Sealed Air Corporation 5.25 04/01/2023 80,300 0.03 25,000 Sealed Air Corporation 4.88 12/01/2022 24,625 0.01 60,000 Sealed Air Corporation 6.50 12/01/2020 66,150 0.02

598,492 0.21Pharmaceuticals (0.36%) 4,000 AbbVie Incorporated 3.60 14/05/2025 3,954 - 50,000 AbbVie Incorporated 2.90 11/06/2022 48,378 0.02 184,000 AbbVie Incorporated 1.75 11/06/2017 184,482 0.07 80,000 Endo Finance LLC 5.75 15/01/2022 81,000 0.03 65,000 Endo Finance LLC 5.38 15/01/2023 64,188 0.02 128,000 Johnson & Johnson 5.15 15/07/2018 142,225 0.05 177,000 Merck & Company Incorporated 1.30 18/05/2018 176,301 0.06 25,000 Omnicare Incorporated 4.75 12/01/2022 26,750 0.01 10,000 Valeant Pharmaceuticals International 6.38 15/10/2020 10,525 -






CouponRate

MaturityDates

ValueUSD

% ofFund

Pharmaceuticals (0.36%) cont. USD 70,000 Valeant Pharmaceuticals International Incorporated 6.13 15/04/2025 USD 72,100 0.03 80,000 Valeant Pharmaceuticals International Incorporated 5.88 15/05/2023 82,000 0.03 40,000 Valeant Pharmaceuticals International Incorporated 5.50 03/01/2023 40,300 0.01 5,000 Valeant Pharmaceuticals International Incorporated 5.63 12/01/2021 5,113 - 75,000 Valeant Pharmaceuticals International Incorporated 5.38 15/03/2020 77,063 0.03

1,014,379 0.36Pipelines (0.46%) 30,000 DCP Midstream Operating LP 2.70 04/01/2019 28,263 0.01 30,000 Energy Transfer Equity LP 7.50 15/10/2020 33,825 0.01 5,000 Energy Transfer Partners LP 6.50 02/01/2042 5,178 - 5,000 Energy Transfer Partners LP 5.20 02/01/2022 5,237 - 37,000 Enterprise Products Operating LLC 4.85 15/08/2042 35,161 0.01 5,000 EQT Midstream Partners LP 4.00 08/01/2024 4,733 - 20,000 Hiland Partners LP 5.50 15/05/2022 20,850 0.01 65,000 Hiland Partners LP 7.25 10/01/2020 70,200 0.02 32,000 Kinder Morgan Energy Partners LP 5.40 09/01/2044 29,069 0.01 30,000 Kinder Morgan Energy Partners LP 3.45 15/02/2023 28,254 0.01 55,000 Kinder Morgan Energy Partners LP 3.50 03/01/2021 54,222 0.02 50,000 Regency Energy Partners LP 4.50 11/01/2023 48,250 0.02 45,000 Regency Energy Partners LP 5.50 15/04/2023 45,801 0.02 40,000 Regency Energy Partners LP 5.00 10/01/2022 40,632 0.01 80,000 Regency Energy Partners LP 5.88 03/01/2022 85,161 0.03 45,000 Rose Rock Midstream LP 5.63 15/11/2023 43,538 0.02 45,000 Rose Rock Midstream LP 5.63 15/07/2022 43,988 0.02 260,000 Sabine Pass Liquefaction LLC 5.63 15/04/2023 259,106 0.10 25,000 Sabine Pass LNG LP 6.50 11/01/2020 25,875 0.01 32,000 Williams Companies Incorporated 8.75 15/03/2032 38,806 0.01 3,000 Williams Companies Incorporated 7.75 15/06/2031 3,348 - 95,000 Williams Companies Incorporated 4.55 24/06/2024 92,063 0.03 4,000 Williams Companies Incorporated 7.88 09/01/2021 4,696 - 30,000 Williams Partners LP 5.40 03/04/2044 27,765 0.01 30,000 Williams Partners LP 4.30 03/04/2024 29,820 0.01 195,000 Williams Partners LP 4.88 15/05/2023 192,319 0.07 10,000 Williams Partners LP 6.13 15/07/2022 10,625 -

1,306,785 0.46Private Equity 35,000 KKR Group Finance Company III LLC 5.13 01/06/2044 33,556 0.01 33,556 0.01 Real Estate (0.94%) 90,000 American Tower Corporation 4.00 06/01/2025 87,966 0.03 20,000 American Tower Corporation 3.40 15/02/2019 20,466 0.01 100,000 ARC Properties Operating Partnership LP 4.60 02/06/2024 97,396 0.03 10,000 Camden Property Trust 4.88 15/06/2023 10,745 - 357,000 CBL & Associates LP 5.25 12/01/2023 367,093 0.11 35,000 CBRE Services Incorporated 5.25 15/03/2025 36,225 0.01 70,000 CBRE Services Incorporated 5.00 15/03/2023 70,700 0.03 25,000 Communications Sales & Leasing Incorporated 8.25 15/10/2023 24,563 0.01 160,000 Corrections Corporation of America 4.63 05/01/2023 156,800 0.06 20,000 Corrections Corporation of America 4.13 04/01/2020 19,900 0.01 175,000 Crown Castle International Corporation 5.25 15/01/2023 176,269 0.06 40,000 Crown Castle International Corporation 4.88 15/04/2022 40,200 0.01 30,000 DDR Corporation 7.88 09/01/2020 36,724 0.01 18,000 Duke Realty LP 4.38 15/06/2022 18,808 0.01 176,000 EPR Properties 5.25 15/07/2023 184,526 0.07 10,000 HCP Incorporated 4.25 15/11/2023 10,081 - 35,000 Healthcare Realty Trust Incorporated 3.88 05/01/2025 33,758 0.01 15,000 Hospitality Properties Trust 4.50 15/03/2025 14,755 0.01 92,000 Host Hotels & Resorts LP 5.25 15/03/2022 99,928 0.04 14,000 Host Hotels & Resorts LP 6.00 10/01/2021 15,891 0.01 105,000 Howard Hughes Corporation 6.88 10/01/2021 111,300 0.04






CouponRate

MaturityDates

ValueUSD

% ofFund

Real Estate (0.94%) cont. USD 95,000 Iron Mountain Incorporated 6.00 15/08/2023 USD 99,275 0.04 25,000 iStar Financial Incorporated 5.00 07/01/2019 24,656 0.01 45,000 iStar Financial Incorporated 7.13 15/02/2018 47,138 0.02 45,000 iStar Financial Incorporated 3.00 15/11/2016 54,225 0.02 100,000 Mid-America Apartments LP 4.30 15/10/2023 103,710 0.04 70,000 MPT Operating Partnership LP 6.38 15/02/2022 74,813 0.03 10,000 MPT Operating Partnership LP 6.88 05/01/2021 10,563 - 80,000 Omega Healthcare Investors Incorporated 4.50 04/01/2027 76,300 0.03 148,000 Omega Healthcare Investors Incorporated 4.95 04/01/2024 151,378 0.05 15,000 Realty Income Corporation 4.65 08/01/2023 15,769 0.01 10,000 Select Income REIT 3.60 02/01/2020 10,224 - 10,000 Select Income REIT 2.85 02/01/2018 10,135 - 5,000 Simon Property Group LP 3.38 15/03/2022 5,075 - 186,000 Simon Property Group LP 1.50 02/01/2018 185,645 0.07 100,000 Weyerhaeuser Company 7.38 15/03/2032 125,047 0.04 15,000 WP Carey Incorporated 4.60 04/01/2024 15,038 0.01

2,643,085 0.94Retail (0.57%) 152,000 AutoNation Incorporated 5.50 02/01/2020 165,110 0.06 105,000 Bed Bath & Beyond Incorporated 5.17 08/01/2044 104,240 0.04 205,000 CVS Health Corporation 2.25 12/05/2018 207,531 0.07 26,456 CVS Pass-Through Trust 6.04 12/10/2028 29,877 0.01 55,000 Dollar General Corporation 3.25 15/04/2023 52,401 0.02 30,000 Dollar Tree Incorporated 5.75 03/01/2023 31,350 0.01 20,000 Dollar Tree Incorporated 5.25 03/01/2020 20,925 0.01 45,000 First Cash Financial Services Incorporated 6.75 04/01/2021 47,363 0.02 10,000 Home Depot Incorporated 5.95 04/01/2041 12,173 - 4,000 Home Depot Incorporated 5.40 03/01/2016 4,126 - 10,000 L Brands Incorporated 5.63 15/02/2022 10,525 - 55,000 L Brands Incorporated 6.63 04/01/2021 60,844 0.02 66,000 Macy's Retail Holdings Incorporated 4.30 15/02/2043 59,454 0.02 85,000 Macy's Retail Holdings Incorporated 5.13 15/01/2042 86,502 0.03 87,000 Macy's Retail Holdings Incorporated 6.90 04/01/2029 106,386 0.04 16,000 Macy's Retail Holdings Incorporated 7.00 15/02/2028 19,848 0.01 1,000 Macy's Retail Holdings Incorporated 3.63 06/01/2024 999 - 5,000 McDonald's Corporation 5.70 02/01/2039 5,583 - 110,000 Neiman Marcus Group LLC 7.13 06/01/2028 110,550 0.04 25,000 Nordstrom Incorporated 5.00 15/01/2044 26,349 0.01 105,000 Nordstrom Incorporated 6.95 15/03/2028 133,515 0.05 10,000 O'Reilly Automotive Incorporated 3.85 15/06/2023 10,141 - 70,000 Penske Automotive Group Incorporated 5.38 12/01/2024 70,875 0.03 65,000 Penske Automotive Group Incorporated 5.75 10/01/2022 67,600 0.02 45,000 QVC Incorporated 4.85 04/01/2024 45,072 0.02 50,000 Walgreens Boots Alliance Incorporated 3.30 18/11/2021 49,680 0.02 5,000 Wal-Mart Stores Incorporated 5.00 25/10/2040 5,468 - 5,000 Wal-Mart Stores Incorporated 4.88 07/08/2040 5,332 - 50,000 Wal-Mart Stores Incorporated 6.50 15/08/2037 64,256 0.02

1,614,075 0.57Semiconductors (0.17%) 100,000 Freescale Semiconductor Incorporated 6.00 15/01/2022 106,000 0.04 205,000 Intel Corporation 1.35 15/12/2017 204,927 0.07 105,000 Micron Technology Incorporated 5.25 08/01/2023 100,669 0.04 65,000 Micron Technology Incorporated 5.88 15/02/2022 66,138 0.02

477,734 0.17Shipbuilding (0.01%) 40,000 Huntington Ingalls Industries Incorporated 5.00 15/12/2021 40,700 0.01

40,700 0.01Software (0.11%) 70,000 ACI Worldwide Incorporated 6.38 15/08/2020 73,675 0.03 29,000 Fidelity National Information Services Incorporated 5.00 15/03/2022 30,612 0.01 5,000 First Data Corporation 7.38 15/06/2019 5,198 -






CouponRate

MaturityDates

ValueUSD

% ofFund

Software (0.11%) cont. USD 120,000 Infor US Incorporated 6.50 15/05/2022 USD 122,100 0.04 5,000 Microsoft Corporation 5.30 02/08/2041 5,650 - 5,000 Microsoft Corporation 4.20 06/01/2019 5,457 - 45,000 Oracle Corporation 2.50 15/10/2022 43,357 0.02

324,996 0.11Telecommunications (1.41%) 85,000 AT&T Incorporated 4.75 15/05/2046 77,348 0.03 85,000 AT&T Incorporated 3.40 15/05/2025 81,065 0.03 205,000 AT&T Incorporated 1.70 06/01/2017 205,786 0.07 380,000 Avaya Incorporated 7.00 04/01/2019 371,450 0.13 90,000 CenturyLink Incorporated 6.75 12/01/2023 90,281 0.03 20,000 CenturyLink Incorporated 5.63 04/01/2020 20,025 0.01 20,000 Cisco Systems Incorporated 3.15 14/03/2017 20,771 0.01 93,000 Cisco Systems Incorporated 1.10 03/03/2017 93,329 0.03 55,000 CommScope Technologies Finance LLC 6.00 15/06/2025 54,794 0.02 25,000 Frontier Communications Corporation 7.63 15/04/2024 22,188 0.01 10,000 Frontier Communications Corporation 6.25 15/09/2021 9,100 - 65,000 Level 3 Financing Incorporated 5.38 15/08/2022 65,650 0.02 240,000 Level 3 Financing Incorporated 6.13 15/01/2021 251,688 0.09 80,000 Plantronics Incorporated 5.50 31/05/2023 81,000 0.03 25,000 Qwest Corporation 6.75 12/01/2021 27,595 0.01 10,000 SBA Telecommunications Incorporated 5.75 15/07/2020 10,375 - 365,000 Sprint Communications Incorporated 7.00 15/08/2020 361,350 0.13 10,000 Sprint Communications Incorporated 9.00 15/11/2018 11,293 - 80,000 Sprint Communications Incorporated 8.38 15/08/2017 86,600 0.03 210,000 Sprint Corporation 7.88 15/09/2023 204,813 0.07 395,000 Sprint Corporation 7.25 15/09/2021 385,125 0.14 45,000 T-Mobile USA Incorporated 6.38 03/01/2025 46,013 0.02 15,000 T-Mobile USA Incorporated 6.84 28/04/2023 15,638 0.01 110,000 T-Mobile USA Incorporated 6.63 04/01/2023 114,125 0.04 30,000 T-Mobile USA Incorporated 6.00 03/01/2023 30,713 0.01 95,000 T-Mobile USA Incorporated 6.13 15/01/2022 97,613 0.03 40,000 T-Mobile USA Incorporated 6.63 28/04/2021 41,600 0.01 100,000 T-Mobile USA Incorporated 6.25 04/01/2021 102,500 0.04 40,000 T-Mobile USA Incorporated 6.46 28/04/2019 41,200 0.01 398,000 Verizon Communications Incorporated 4.52 15/09/2048 349,650 0.12 55,000 Verizon Communications Incorporated 4.40 11/01/2034 50,917 0.02 50,000 Verizon Communications Incorporated 6.40 15/09/2033 57,297 0.02 50,000 Verizon Communications Incorporated 4.50 15/09/2020 53,798 0.02 130,000 Verizon Communications Incorporated 2.63 21/02/2020 129,708 0.05 49,000 Verizon Communications Incorporated 6.35 04/01/2019 55,994 0.02 40,000 Verizon New York Incorporated 7.38 04/01/2032 47,578 0.02 65,000 West Corporation 5.38 15/07/2022 60,938 0.02 55,000 Windstream Services LLC 6.38 08/01/2023 44,756 0.02 85,000 Windstream Services LLC 7.75 10/01/2021 77,775 0.03 35,000 Windstream Services LLC 7.88 11/01/2017 37,188 0.01

3,986,627 1.41Transportation (0.03%) 15,000 Burlington Northern Santa Fe LLC 5.40 06/01/2041 16,506 0.01 16,000 Burlington Northern Santa Fe LLC 5.75 05/01/2040 18,358 0.01 40,000 CSX Corporation 4.10 15/03/2044 36,630 0.01 5,000 FedEx Corporation 2.63 08/01/2022 4,846 -

76,340 0.03Total U.S. Corporate Bonds and Notes USD 43,854,398 15.52





U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (7.42%) PrincipalAmount

CouponRate

MaturityDates

ValueUSD

% ofFund

U.S. Government Agency Mortgage Obligations (5.58%) USD 7,000,000 Federal National Mortgage Association Pass-Through Certificates TBA 4.00 14/07/2045 USD 7,415,625 2.62

3,000,000 Federal National Mortgage Association Pass-Through Certificates TBA 3.00 16/07/2030 3,107,109 1.103,000,000 Federal National Mortgage Association Pass-Through Certificates TBA 3.00 14/07/2045 2,987,813 1.062,000,000 Federal National Mortgage Association Pass-Through Certificates TBA 6.00 14/07/2045 2,273,750 0.80

USD 15,784,297 5.58U.S. Government Guaranteed Mortgage Obligations (1.84%)

USD 5,000,000 Government National Mortgage Association Pass-Through Certificates TBA 3.50 20/07/2045 USD 5,189,453 1.84 USD 5,189,453 1.84

Total U.S. Government and Agency Mortgage Obligations USD 20,973,750 7.42 U.S. GOVERNMENT AGENCY OBLIGATIONS (17.51%)

PrincipalAmount

EffectiveYield

MaturityDates

ValueUSD

% ofFund

USD 1,500,000 Federal Farm Credit Discount Notes 0.07 15/07/2015 USD 1,499,957 0.535,000,000 Federal Farm Credit Discount Notes 0.07 17/07/2015 4,999,845 1.775,000,000 Federal Home Loan Bank Discount Notes 0.07 16/07/2015 4,999,845 1.775,000,000 Federal Home Loan Bank Discount Notes 0.08 22/07/2015 4,999,767 1.775,000,000 Federal Home Loan Bank Discount Notes 0.06 07/08/2015 4,999,693 1.774,000,000 Federal Home Loan Bank Discount Notes 0.08 12/08/2015 3,999,604 1.415,000,000 Federal Home Loan Bank Discount Notes 0.06 21/08/2015 4,999,538 1.775,000,000 Federal Home Loan Mortgage Corporation 0.07 06/08/2015 4,999,651 1.775,000,000 Federal National Mortgage Association 0.06 19/08/2015 4,999,593 1.774,000,000 Federal National Mortgage Association 0.06 08/07/2015 3,999,949 1.415,000,000 Federal National Mortgage Association 0.06 15/07/2015 4,999,873 1.77

Total U.S. Government Agency Obligations USD 49,497,315 17.51 MORTGAGE-BACKED SECURITIES (5.77%)

PrincipalAmount

CouponRate

MaturityDates

ValueUSD

% ofFund

Agency Collateralised Mortgage Obligations (0.21%) USD 409,204 Federal Home Loan Mortgage Corporation (Class AS) 5.70 15/09/2043 USD 98,374 0.04

251,595 Federal Home Loan Mortgage Corporation (Class S4)† 5.76 15/09/2043 61,721 0.021,232,481 Federal Home Loan Mortgage Corporation (Class PI)† 3.00 15/11/2042 170,095 0.07

17,973 Federal National Mortgage Association (Class SE)† 22.45 25/11/2035 25,969 0.01229,800 Federal National Mortgage Association (Class AI)† 4.50 25/07/2027 28,585 0.01287,456 Government National Mortgage Association (Class IC)† 5.00 16/01/2044 67,449 0.02345,243 Government National Mortgage Association (Class CS)† 5.96 20/10/2042 50,126 0.02338,750 Government National Mortgage Association (Class UI)† 5.00 20/01/2040 69,949 0.0266,644 Government National Mortgage Association (Class QI)† 4.50 20/01/2040 12,954 -

USD 585,222 0.21Commercial Mortgage-Backed Securities (2.94%)

USD 2,245 Banc of America Commercial Mortgage Trust (Class A2)† 5.62 04/10/2049 USD 2,252 -5,657 Banc of America Commercial Mortgage Trust (Class A2) 5.31 10/10/2045 5,670 -

100,000 Banc of America Commercial Mortgage Trust (Class A3)† 5.39 09/10/2047 100,000 0.04160,000 Bear Stearns Commercial Mortgage Securities Trust (Class AJ)† 4.99 09/11/2042 159,822 0.06100,000 CFCRE Commercial Mortgage Trust (Class D)† 5.57 15/12/2047 101,250 0.04105,000 CFCRE Commercial Mortgage Trust (Class E) (F) 5.54 15/04/2044 110,085 0.0459,000 Citigroup Commercial Mortgage Trust (Class C)† 5.11 11/10/2046 62,761 0.0271,000 Citigroup Commercial Mortgage Trust (Class AS)† 4.03 05/10/2047 73,278 0.03

212,593 COMM Mortgage Trust (Class D) 4.78 05/10/2043 212,657 0.081,540,951 COMM Mortgage Trust (Class XA)† 1.42 08/10/2046 102,874 0.041,771,881 COMM Mortgage Trust (Class XA)† 1.36 05/10/2047 122,378 0.04218,000 COMM Mortgage Trust (Class C)† 4.74 15/07/2047 228,978 0.08171,000 COMM Mortgage Trust (Class C) 4.47 12/10/2047 166,320 0.06

1,560,908 COMM Mortgage Trust (Class XA)† 1.08 12/10/2047 105,471 0.042,504,410 COMM Mortgage Trust (Class XA)† 0.88 02/10/2047 112,373 0.04

292,503 COMM Mortgage Trust (Class XA) 2.15 15/10/2045 30,147 -50,000 Credit Suisse First Boston Mortgage Securities Corporation (Class E)† 5.74 15/05/2036 51,972 0.0273,967 DBRR Trust (Class A)† 1.64 18/12/2049 74,314 0.03

103,000 GS Mortgage Securities Corporation II (Class D)† 4.41 02/10/2046 98,258 0.03






CouponRate

MaturityDates

ValueUSD

% ofFund

Commercial Mortgage-Backed Securities (2.94%) cont. USD 1,929,502 GS Mortgage Securities Trust (Class XA) 2.34 11/10/2045 USD 208,517 0.07

283,000 GS Mortgage Securities Trust (Class D)† 5.63 01/10/2045 302,012 0.11304,000 GS Mortgage Securities Trust (Class D)† 4.48 06/10/2046 297,142 0.11

14,661 JPMorgan Chase Commercial Mortgage Securities Trust (Class A3) 5.94 15/02/2051 14,683 -289,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class C) 4.16 15/12/2047 289,527 0.10295,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class E) 5.20 15/05/2045 298,241 0.111,364,801 JPMorgan Chase Commercial Mortgage Securities Corporation (Class IO) 1.88 15/05/2045 113,261 0.04207,000 JPMorgan Chase Commercial Mortgage Securities Trust (Class D)† 6.21 15/06/2043 230,840 0.08

9,266 JPMorgan Chase Commercial Mortgage Securities Trust (Class A2)† 5.12 15/07/2041 9,285 -1,389 JPMorgan Chase Commercial Mortgage Securities Corporation (Class D)† 5.19 01/12/2037 1,382 -

5,705 JPMorgan Chase Commercial Mortgage Securities Corporation (Class E)† 5.76 12/12/2034 5,705 -149,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class E) 5.57 15/02/2046 158,778 0.06123,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class D) 5.57 15/02/2046 134,080 0.05

242,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class D) 4.67 15/10/2045 245,735 0.09112,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class C)† 4.06 15/01/2046 112,523 0.0486,000 JP Morgan Chase Commercial Mortgage Securities Trust (Class D) 4.24 15/04/2046 80,463 0.0368,733 LB-UBS Commercial Mortgage Trust (Class A4)† 5.86 15/07/2040 71,793 0.0375,535 LB-UBS Commercial Mortgage Trust (Class A2)† 5.30 15/11/2038 75,664 0.03

400,000 LB-UBS Commercial Mortgage Trust (Class F) 5.00 15/01/2036 403,352 0.13144,000 LSTAR Commercial Mortgage Trust (Class B)† 3.45 20/04/2048 131,916 0.0552,000 Merrill Lynch Mortgage Trust (Class AJ)† 6.27 02/12/2051 56,343 0.02

150,000 Merrill Lynch Mortgage Trust (Class D)† 5.42 01/12/2044 153,282 0.0556,000 Merrill Lynch/Countrywide Commercial Mortgage Trust (Class AM)† 5.46 07/12/2046 58,387 0.0262,000 ML-CFC Commercial Mortgage Trust (Class AJ) 5.88 06/12/2046 63,943 0.02

176,000 Morgan Stanley Bank of America Merrill Lynch Trust (Class C)† 4.42 15/08/2046 180,041 0.06928,036 Morgan Stanley Bank of America Merrill Lynch Trust (Class XA)† 1.68 15/02/2046 77,677 0.031,439,217 Morgan Stanley Bank of America Merrill Lynch Trust (Class XA)† 1.28 15/08/2047 105,768 0.04

5,646 Morgan Stanley Capital I Trust (Class A2) 5.61 15/04/2049 5,699 -44,408 Morgan Stanley Capital I Trust (Class A2)† 5.68 04/12/2049 44,297 0.0248,000 Morgan Stanley Capital I Trust (Class E)† 5.18 15/07/2049 49,701 0.02

5,598,993 UBS-Barclays Commercial Mortgage Trust (Class XA) 1.73 05/10/2063 397,489 0.1380,000 UBS-Barclays Commercial Mortgage Trust (Class C)† 4.96 08/10/2049 85,435 0.0354,000 UBS-Barclays Commercial Mortgage Trust (Class D)† 4.35 04/10/2046 50,490 0.02351,067 WF-RBS Commercial Mortgage Trust (Class XA) 1.48 15/03/2048 26,215 -

1,259,456 WF-RBS Commercial Mortgage Trust (Class XA) 1.57 15/12/2046 97,210 0.03200,000 WF-RBS Commercial Mortgage Trust (Class D)† 4.63 15/03/2046 190,904 0.07155,000 WF-RBS Commercial Mortgage Trust (Class D)† 5.27 15/06/2044 163,474 0.06118,000 WF-RBS Commercial Mortgage Trust (Class E) 5.27 15/06/2044 123,189 0.04

348,000 WF-RBS Commercial Mortgage Trust (Class D)† 5.46 15/02/2044 374,559 0.13969,927 WF-RBS Commercial Mortgage Trust (Class XA)† 1.77 15/12/2045 89,573 0.03

61,000 WF-RBS Commercial Mortgage Trust (Class D)† 4.46 15/12/2045 57,988 0.02270,000 WF-RBS Commercial Mortgage Trust (Class D)† 4.84 15/06/2045 277,644 0.10

79,000 WF-RBS Commercial Mortgage Trust (Class C)† 4.84 15/06/2045 84,123 0.03132,000 WF-RBS Commercial Mortgage Trust (Class D)† 4.98 15/09/2046 129,943 0.05257,000 WF-RBS Commercial Mortgage Trust (Class C)† 4.65 15/03/2047 271,598 0.10

USD 8,320,731 2.94Residential Mortgage-Backed Securities (non-agency) (2.62%)

200,000 BCAP LLC Trust (Class 3A3)† 5.15 20/12/2035 193,920 0.07589,596 MortgageIT Trust (Class 1 M) 0.91 25/02/2035 557,260 0.20

460,000 Nomura Resecuritization Trust (Class S A2)† 0.43 26/05/2047 397,900 0.142,413,000 Station Place Securitization (Class A)† 1.06 25/07/2016 2,413,000 0.85

2,505,000 Station Place Securitization (Class A) (F)† 1.00 08/06/2016 2,505,000 0.89532,000 Station Place Securitization (Class 1)† 1.23 15/05/2017 532,000 0.19251,396 WaMu Mortgage Pass-Through Certificates Series Trust (Class 2A1A) 0.48 25/07/2045 234,939 0.08

454,402 Wells Fargo Mortgage Backed Securities Trust (Class 2A)† 2.65 25/06/2035 446,087 0.16125,558 Wells Fargo Mortgage Backed Securities Trust (Class 2A) 2.65 25/06/2035 124,415 0.04

USD 7,404,521 2.62Total Mortgage-Backed Securities USD 16,310,474 5.77





NON-U.S. CORPORATE BONDS AND NOTES (4.74%) Principal Amount

CouponRate

MaturityDates

ValueUSD

% ofFund

Banking (2.21%) USD 220,000 Abbey National Treasury Services PLC (United Kingdom) 1.38 13/03/2017 USD 220,380 0.08 202,000 Bank of Montreal (Canada) 2.50 01/11/2017 206,519 0.07 205,000 Bank of Nova Scotia (Canada) 1.38 18/12/2017 204,215 0.07 250,000 Bank of Tokyo-Mitsubishi UFJ Limited (Japan) 1.20 03/10/2017 249,211 0.09 155,000 Barclays Bank PLC (United Kingdom) 10.18 06/12/2021 204,190 0.07 130,000 BBVA International Preferred SAU (Spain) 5.92 29/04/2049 133,250 0.05 15,000 BNP Paribas SA (France) 2.38 14/09/2017 15,236 0.01 220,000 BNP Paribas SA (France) 1.38 17/03/2017 220,272 0.08 200,000 BPCE SA (France) 5.15 21/07/2024 203,711 0.07 210,000 Commerzbank AG (Germany) 8.13 19/09/2023 244,931 0.09 183,000 Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands) 3.38 19/01/2017 189,026 0.07 200,000 Credit Suisse Group AG (Switzerland) 7.50 29/12/2049 209,000 0.07 200,000 Deutsche Bank AG (Germany) 4.50 04/01/2025 190,523 0.07 202,000 Deutsche Bank AG (United Kingdom) 6.00 09/01/2017 219,787 0.08 140,000 HBOS PLC (United Kingdom) 6.00 11/01/2033 150,833 0.05 265,000 HSBC Capital Funding LP (Jersey) 10.18 29/12/2049 404,125 0.14 655,000 ING Bank NV (Netherlands) 5.80 25/09/2023 713,700 0.25 45,000 Lloyds Banking Group PLC (United Kingdom) 6.66 31/12/2049 50,456 0.02 205,000 Royal Bank of Canada (Canada) 2.20 27/07/2018 208,496 0.07 235,000 Royal Bank of Scotland Group PLC (United Kingdom) 5.13 28/05/2024 234,714 0.08 55,000 Royal Bank of Scotland Group PLC (United Kingdom) 6.00 19/12/2023 58,241 0.02 65,000 Royal Bank of Scotland Group PLC (United Kingdom) 4.70 07/03/2018 67,167 0.02 250,000 Societe Generale SA (France) 2.75 10/12/2017 256,240 0.09 120,000 Standard Chartered Bank (United Kingdom) 8.00 30/05/2031 155,751 0.06 200,000 Standard Chartered PLC (United Kingdom) 5.70 25/01/2022 216,476 0.08 250,000 Svenska Handelsbanken AB (Sweden) 2.88 04/04/2017 257,376 0.09 800,000 VTB Bank OJSC Via VTB Capital SA (Luxembourg) 6.95 17/10/2022 719,184 0.26 5,000 Westpac Banking Corporation (Australia) 4.88 19/11/2019 5,546 - 37,000 Westpac Banking Corporation (Australia) 1.55 25/05/2018 36,916 0.01 5,000 Westpac Banking Corporation (Australia) 3.00 12/09/2015 5,053 -

6,250,525 2.21Beverages (0.03%) 97,000 Diageo Capital PLC (United Kingdom) 1.50 05/11/2017 97,009 0.03

97,009 0.03Building Materials (0.02%) 65,000 Norbord Incorporated (Canada) 6.25 15/04/2023 65,656 0.02

65,656 0.02Chemicals (0.04%) 15,000 Agrium Incorporated (Canada) 5.25 15/01/2045 15,149 0.01 55,000 Agrium Incorporated (Canada) 3.38 15/03/2025 52,671 0.02 35,000 Methanex Corporation (Canada) 5.65 12/01/2044 33,673 0.01 3,000 Methanex Corporation (Canada) 3.25 15/12/2019 3,011 -

104,504 0.04Electric Utilities (0.25%) 290,000 Electricite de France SA (France) 5.25 29/01/2049 288,550 0.10 420,000 Electricite de France SA (France) 5.63 29/12/2049 425,334 0.15

713,884 0.25Electrical Components & Equipment (0.02%) 40,000 Legrand France SA (France) 8.50 15/02/2025 54,113 0.02

54,113 0.02Entertainment (0.01%) CAD 50,000 Great Canadian Gaming Corporation (Canada) 6.63 25/07/2022 41,533 0.01

41,533 0.01Food (0.08%) USD 215,000 Grupo Bimbo SAB de CV (Mexico) 3.88 27/06/2024 212,382 0.08

212,382 0.08





NON-U.S. CORPORATE BONDS AND NOTES (4.74%) cont. PrincipalAmount

CouponRate

MaturityDates

ValueUSD

% ofFund

Forest Products & Paper (0.05%) USD 75,000 Mercer International Incorporated (Canada) 7.75 12/01/2022 USD 80,625 0.03 55,000 Smurfit Kappa Treasury Funding Limited (Ireland) 7.50 20/11/2025 67,925 0.02

148,550 0.05Home Builders (0.09%) 109,000 Brookfield Residential Properties Incorporated (Canada) 6.50 15/12/2020 108,501 0.04 55,000 Brookfield Residential Properties Incorporated (Canada) 6.13 07/01/2022 54,582 0.02 100,000 Mattamy Group Corporation (Canada) 6.50 15/11/2020 96,500 0.03

259,583 0.09Industrial Conglomerates (0.05%) 140,000 Nielsen Company SARL (Luxembourg) 5.50 10/01/2021 140,875 0.05

140,875 0.05Insurance (0.06%) 170,000 AXA SA (France) 6.38 29/12/2049 177,757 0.06

177,757 0.06Iron/Steel (0.08%) 20,000 ArcelorMittal (Luxembourg) 7.75 15/10/2039 19,900 0.01 45,000 ArcelorMittal (Luxembourg) 6.13 06/01/2025 45,000 0.02 120,000 ArcelorMittal (Luxembourg) 10.60 06/01/2019 143,400 0.05

208,300 0.08Machinery (0.02%) 50,000 ATS Automation Tooling Systems Incorporated (Canada) 6.50 15/06/2023 51,000 0.02

51,000 0.02Machinery-Construction and Mining (0.20%) 20,000 Eldorado Gold Corporation (Canada) 6.13 15/12/2020 19,798 0.01 50,000 Bombardier Incorporated (Canada) 7.50 15/03/2025 45,375 0.02 65,000 First Quantum Minerals Limited (Canada) 7.00 15/02/2021 62,075 0.02 170,000 HudBay Minerals Incorporated (Canada) 9.50 10/01/2020 181,475 0.06 50,000 New Gold Incorporated (Canada) 6.25 15/11/2022 49,250 0.02 205,000 Rio Tinto Finance USA PLC (United Kingdom) 1.63 21/08/2017 205,144 0.07

563,117 0.20Media (0.25%) 100,000 Grupo Televisa SAB (Mexico) 6.63 15/01/2040 115,433 0.04 200,000 Numericable-SFR SAS (France) 6.00 15/05/2022 196,500 0.07 CAD 105,000 Quebecor Media Incorporated (Canada) 5.75 15/01/2023 104,738 0.04 280,000 Quebecor Media Incorporated (Canada) 7.38 15/01/2021 236,509 0.09 USD 40,000 Videotron Limited (Canada) 5.00 15/07/2022 39,900 0.01

693,080 0.25Medical Technology (0.10%) 205,000 Covidien International Finance SA (Luxembourg) 6.00 15/10/2017 225,917 0.08 55,000 Mallinckrodt International Finance SA (Luxembourg) 5.50 15/04/2025 53,488 0.02

279,405 0.10Oil and Natural Gas Utilities (0.67%) 65,000 Baytex Energy Corporation (Canada) 5.63 06/01/2024 60,288 0.02 10,000 Baytex Energy Corporation (Canada) 5.13 06/01/2021 9,400 - 135,000 BP Capital Markets PLC (United Kingdom) 2.32 13/02/2020 134,330 0.05 205,000 BP Capital Markets PLC (United Kingdom) 1.85 05/05/2017 207,506 0.07 15,000 BP Capital Markets PLC (United Kingdom) 3.20 03/11/2016 15,247 0.01 250,000 Canadian Natural Resources Limited (Canada) 5.70 15/05/2017 269,004 0.10 90,000 CHC Helicopter SA (Canada) 9.25 15/10/2020 65,475 0.02 60,000 Ecopetrol SA (Colombia) 4.13 16/01/2025 55,368 0.02 34,000 Noble Holding International Limited (Cayman Islands) 6.05 03/01/2041 28,435 0.01 200,000 Pertamina Persero PT (Indonesia) 5.25 23/05/2021 207,260 0.07 230,000 Petrobras Global Finance BV (Netherlands) 6.25 17/03/2024 223,388 0.08 70,000 Petroleos Mexicanos (Mexico) 5.63 23/01/2046 65,648 0.02 10,000 Petroleos Mexicanos (Mexico) 4.50 23/01/2026 9,792 - 60,000 Shelf Drilling Holdings Limited (United Arab Emirates) 8.63 11/01/2018 53,400 0.02 220,000 Shell International Finance BV (Netherlands) 5.20 22/03/2017 235,523 0.09 5,000 Statoil ASA (Norway) 5.10 17/08/2040 5,391 - 202,000 Total Capital International SA (France) 1.55 28/06/2017 203,874 0.07 50,000 Weatherford International Limited (Bermuda) 9.88 03/01/2039 57,553 0.02

1,906,882 0.67





NON-U.S. CORPORATE BONDS AND NOTES (4.74%) cont. Principal Amount

CouponRate

MaturityDates

ValueUSD

% ofFund

Pharmaceuticals (0.12%) USD 58,000 Actavis Funding SCS (Luxembourg) 4.75 15/03/2045 USD 55,219 0.02 29,000 Actavis Funding SCS (Luxembourg) 3.45 15/03/2022 28,725 0.01 25,000 AstraZeneca PLC (United Kingdom) 6.45 15/09/2037 31,818 0.01 205,000 AstraZeneca PLC (United Kingdom) 5.90 15/09/2017 225,190 0.08

340,952 0.12Retail (0.01%) 35,000 New Red Finance Incorporated (Canada) 4.63 15/01/2022 34,519 0.01

34,519 0.01Telecommunications (0.38%) 27,000 Deutsche Telekom International Finance BV (Netherlands) 8.75 15/06/2030 37,987 0.01 455,000 Intelsat Jackson Holdings SA (Luxembourg) 7.50 04/01/2021 449,881 0.18 5,000 Koninklijke KPN NV (Netherlands) 8.38 10/01/2030 6,809 - 7,000 Orange SA (France) 4.13 14/09/2021 7,404 - 35,000 Rogers Communications Incorporated (Canada) 4.50 15/03/2043 32,366 0.01 60,000 SES SA (Luxembourg) 3.60 04/04/2023 60,307 0.02 85,000 Telefonica Emisiones SAU (Spain) 7.05 20/06/2036 104,936 0.04 354,000 Vodafone Group PLC (United Kingdom) 1.25 26/09/2017 350,044 0.12

1,049,734 0.38Total Non-U.S. Corporate Bonds and Notes USD 13,393,360 4.74 FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.02%)

PrincipalAmount

CouponRate

MaturityDates

ValueUSD

% ofFund

USD 40,000 Poland Government International Bond (Poland) 5.00 23/03/2022 USD 44,344 0.02Total Foreign Government and Agency Bonds and Notes USD 44,344 0.02 COMMERCIAL PAPER (6.00%)

PrincipalAmount

EffectiveYield

MaturityDates

ValueUSD

% ofFund

USD 1,500,000 Coca-Cola Company 0.10 23/07/2015 USD 1,499,910 0.531,450,000 Fairway Finance Corporation 0.16 10/08/2015 1,449,743 0.511,500,000 Gotham Funding Corporation 0.16 02/07/2015 1,499,993 0.53

5,000,000 Her Majesty RGT Canada 0.14 08/07/2015 4,999,864 1.781,500,000 Jupiter Securitization Company LLC 0.15 05/08/2015 1,499,782 0.531,500,000 Manhattan Asset Funding 0.19 21/07/2015 1,499,841 0.531,500,000 Old Line Funding LLC 0.14 17/07/2015 1,499,906 0.531,500,000 Regency Markets No.1 LLC 0.16 15/07/2015 1,499,907 0.531,500,000 Victory Receivables 0.16 06/07/2015 1,499,966 0.53

Total Commercial Paper USD 16,948,912 6.00 PREFERRED STOCK (0.06%)

Number ofShares

ValueUSD

% ofFund

Banking (0.04%) 3,680 Citigroup Incorporated USD 98,330 0.031,260 GMAC Capital Trust I 32,747 0.01

230 HSBC USA Incorporated 5,138 - 136,215 0.04

Real Estate (0.02%) 2,205 EPR Properties 50,646 0.02

50,646 0.02Total Preferred Stock USD 186,861 0.06 REPURCHASE AGREEMENTS (3.65%)

PrincipalAmount

EffectiveYield

MaturityDates

ValueUSD

% ofFund

USD 10,317,000 Repurchase Agreement - Barclays Capital, Incorporated* 0.10 01/07/2015 USD 10,317,000 3.65Total Repurchase Agreements USD 10,317,000 3.65 * Interest in USD 25,000,000 repurchase agreement dated 30 June 2015 with Barclays Capital, Inc. due 1 July 2015 - maturity value of USD 10,317,029 for an effective yield of 0.10% (collateralised by U.S. Treasury Bills with coupon rate of 1.625% and due date of 30 June 2020 valued at USD 25,518,167).





U.S. TREASURY BILLS (9.63%) PrincipalAmount

EffectiveYield

MaturityDates

ValueUSD

% ofFund

USD 1,580,000 U.S. Treasury Bill1 0.01 01/10/2015 USD 1,579,960 0.56991,000 U.S. Treasury Bill2 0.01 27/08/2015 990,965 0.35

12,350,000 U.S. Treasury Bill3 0.01 20/08/2015 12,349,778 4.374,726,000 U.S. Treasury Bill4 0.01 13/08/2015 4,725,902 1.671,375,000 U.S. Treasury Bill5 0.01 23/07/2015 1,374,981 0.491,785,000 U.S. Treasury Bill6 0.01 02/07/2015 1,784,999 0.63

4,400,000 U.S. Treasury Bill7 0.01 09/07/2015 4,399,990 1.56Total U.S. Treasury Bills USD 27,206,575 9.63 PURCHASED EQUITY OPTIONS OUTSTANDING (0.57%)

ContractAmount


ValueUSD

% ofFund

USD 48,982 SPDR S&P 500 ETF Trust (Put) Jun-16/USD 185.00 USD 384,337 0.1448,184 SPDR S&P 500 ETF Trust (Put) May-16/183.00 323,348 0.1150,116 SPDR S&P 500 ETF Trust (Put) Apr-16/180.00 276,400 0.1048,781 SPDR S&P 500 ETF Trust (Put) Mar-16/183.00 267,922 0.09

50,246 SPDR S&P 500 ETF Trust (Put) Feb-16/183.00 241,873 0.0950,239 SPDR S&P 500 ETF Trust (Put) Jan-16/170.00 117,562 0.04

Total Purchased Equity Options Outstanding USD 1,611,442 0.57Total Value of Investments* USD 310,643,277 109.92 1 Security is fully held as collateral by Barclays Capital. 2 Security is fully held as collateral by Barclays Capital, Credit Suisse, Goldman Sachs and Merrill Lynch. 3 Security is partly held as collateral by Bank of America, Barclays Capital, Credit Suisse, Deutsche Bank, Goldman Sachs and Merrill Lynch. 4 Security is fully held as collateral by Barclays Capital and Merrill Lynch. 5 Security is partly held as collateral by Merrill Lynch. 6 Security is partly held as collateral by Barclays Capital. 7 Security is partly held as collateral by Bank of America, Barclays Capital, Credit Suisse and Goldman Sachs. † Single broker sourced priced securities. *Excluding financial derivative instruments with the exception of Purchased Equity Options. WRITTEN EQUITY OPTIONS OUTSTANDING (-0.02%)

Contractamount


ValueUSD

% ofFund

USD 119,269 SPDR S&P 500 ETF Trust (Call) Jul-15/USD 214.50 USD (42,937) (0.02)44,578 SPDR S&P 500 ETF Trust (Call) Jul-15/215.50 (5,796) -44,482 SPDR S&P 500 ETF Trust (Call) Jul-15/217.00 (2,023) -44,396 SPDR S&P 500 ETF Trust (Call) Jul-15/215.00 (1,804) -44,461 SPDR S&P 500 ETF Trust (Call) Jul-15/215.50 - -

Total Written Equity Options Outstanding USD (52,560) (0.02) WRITTEN SWAP OPTIONS OUTSTANDING (-0.02%)

Contractamount

Counterparty

Fixed Obligation % to receive or (pay)/ Floating rate index/Maturity date


ValueUSD

% ofFund

USD 444,000 JPMorgan Chase Bank N.A. (6.00 Floor)/3 month USD-LIBOR-BBA/Mar-18 Mar-18/6.00 USD (60,060) (0.02)Total Written Swap Options Outstanding USD (60,060) (0.02) CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING (0.09%) Referenced debt*

Upfrontpremiumreceived(paid)**

Notionalamount

Terminationdate

Paymentsreceived/

(paid) by Fundper annum

UnrealisedDepreciation

% ofFund

NA HY Series 24 Index USD (3,468,060) USD 48,650,580 20/06/2020 500 bp USD (369,262) (0.13)NA IG Series 24 Index (226,144) 11,600,000 20/06/2020 100 bp (58,083) (0.02)Net Unrealised Depreciation on Centrally Cleared Credit Default Contracts Outstanding USD (427,345) (0.15)Variation Margin Settlement to Date USD 684,541 0.24Cumulative Unrealised less Variation Margin Settlement to Date USD 257,196 0.09 * 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 INTEREST RATE SWAP CONTRACTS OUTSTANDING (-0.02%)

NotionalAmount

UpfrontPremium


Date

Paymentsmade by

Fund per annum

Paymentsreceived by

Fund per annum


(Depreciation)USD

% ofFund

USD 76,609,000 (E) USD (879,409) 16/09/2025 3 month USD-LIBOR-BBA 2.60% USD (250,066) (0.09)7,403,000 (E) 36,338 16/09/2025 2.60% 3 month USD-LIBOR-BBA (24,478) (0.01)8,074,000 (E) (44,855) 16/09/2020 3 month USD-LIBOR-BBA 2.00% 3,427 -6,376,000 (E) 18,380 16/09/2020 2.00% 3 month USD-LIBOR-BBA (19,748) (0.01)11,528,000 (E) (14,067) 16/09/2017 3 month USD-LIBOR-BBA 1.25% 31,665 0.0118,213,000 (E) 21,208 16/09/2017 1.25% 3 month USD-LIBOR-BBA (51,044) (0.02)1,932,200 (E) (67,502) 16/09/2045 3 month USD-LIBOR-BBA 3.10% (7,422) -

196,800 (E) 8,239 16/09/2045 3.10% 3 month USD-LIBOR-BBA 2,119 -Unrealised Appreciation on Centrally Cleared Interest Rate Swap Contracts Outstanding USD 37,211 0.01Unrealised Depreciation on Centrally Cleared Interest Rate Swap Contracts Outstanding USD (352,758) (0.13)Net Unrealised Depreciation on Centrally Cleared Interest Rate Swap Contracts Outstanding USD (315,547) (0.12)Variation Margin Settlement to Date USD 260,241 0.10Cumulative Unrealised less Variation Margin Settlement to Date USD (55,306) (0.02) (E) See Note 2 to the Financial Statements regarding extended effective dates. OTC CREDIT DEFAULT CONTRACTS OUTSTANDING (0.08%) Swap counterparty/ Referenced debt*

Upfront Premiumreceived/(paid)** Notional amount Termination date

Payments



(Depreciation)USD

% ofFund

Bank of America N.A. CMBX NA BBB- Index USD 478 USD 7,000 11/05/2063 300 bp USD 434 -CMBX NA BBB- Index 1,085 18,000 11/05/2063 300 bp 970 -CMBX NA BBB- Index 2,161 35,000 11/05/2063 300 bp 1,937 -CMBX NA BBB- Index 2,052 36,000 11/05/2063 300 bp 1,822 -Barclays Bank PLC CMBX NA BBB- Index 3,548 32,000 11/05/2063 300 bp 3,343 -CMBX NA BBB- Index (230) 22,000 17/01/2047 (300 bp) 377 -EM Series 23 Index 37,560 400,000 20/06/2020 100 bp 864 -EM Series 23 Index 1,958,950 19,300,000 20/06/2020 100 bp 188,368 0.08Credit Suisse International CMBX NA BBB- Index 307 28,000 11/05/2063 (300 bp) 486 -CMBX NA BBB- Index 329 5,000 11/05/2063 300 bp 297 -CMBX NA BBB- Index 978 8,000 11/05/2063 300 bp 927 -CMBX NA BBB- Index 155 20,000 11/05/2063 300 bp 27 -CMBX NA BBB- Index 267 23,000 11/05/2063 300 bp 120 -CMBX NA BBB- Index 2,149 27,000 11/05/2063 300 bp 1,976 -CMBX NA BBB- Index 1,004 33,000 11/05/2063 300 bp 793 -CMBX NA BBB- Index 3,842 34,000 11/05/2063 300 bp 3,624 -CMBX NA BBB- Index 2,712 34,000 11/05/2063 300 bp 2,496 -CMBX NA BBB- Index 2,710 35,000 11/05/2063 300 bp 2,486 -CMBX NA BBB- Index 553 36,000 11/05/2063 300 bp 323 -CMBX NA BBB- Index 2,914 71,000 11/05/2063 300 bp 2,459 -CMBX NA BBB- Index 1,005 21,000 11/05/2063 300 bp 871 -CMBX NA BBB- Index 2,557 24,000 11/05/2063 300 bp 2,404 -CMBX NA BBB- Index (2,034) 36,000 17/01/2047 (300 bp) (1,040) -CMBX NA BBB- Index (2,191) 36,000 17/01/2047 (300 bp) (1,197) -CMBX NA BBB- Index (1,643) 35,000 17/01/2047 (300 bp) (677) -CMBX NA BBB- Index (2,050) 35,000 17/01/2047 (300 bp) (1,084) -Goldman Sachs International CMBX NA BBB- Index (230) 22,000 17/01/2047 (300 bp) 377 -CMBX NA BBB- Index 539 18,000 17/01/2047 300 bp 33 -Unrealised Appreciation on OTC Credit Default Contracts Outstanding USD 217,814 0.08Unrealised Depreciation on OTC Credit Default Contracts Outstanding USD (3,998) -Net Unrealised Appreciation on OTC Credit Default Contracts Outstanding USD 213,816 0.08 * 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. For information on the credit risks associated with Credit Default Contracts, please refer to Note 5(f) of the financial statements.






Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund


(Depreciation)USD

% ofFund

Bank of America N.A.

USD 12,000,000 USD - 19/07/2023 (2.585%)


Price Index- Urban (CPI-U) USD (977,280) (0.35)

baskets 254,906 - 31/05/2016 (3 month USD-LIBOR-

BBAplus 10bp) A basket (MLTRFCF5) of

common stocks (961,442) (0.34)

units 6,562 - 31/05/2016 3 month USD-LIBOR-BBA

minus 7 bp Russell 1000 Total Return

Index 824,101 0.29Barclays Bank PLC

USD 42,630 - 12/01/2042 4.00%


30 year Fannie Mae pools 22 -

121,438 - 12/01/2041 4.00%



1,071 - 12/01/2041 5.00%



3,102 - 12/01/2040 5.00%



23,550 - 12/01/2040 4.50%



59,610 - 12/01/2041 5.00%



31,054 - 12/01/2041 5.00%



5,249 - 12/01/2040 5.00%



16,940 - 12/01/2040 5.00%



12,406 - 12/01/2040 5.00%



12,258 - 12/01/2038 (6.50%)



2,107 - 12/01/2039 (5.50%)


30 year Fannie Mae pools - -

1,087 - 12/01/2039 (5.50%)



1,087 - 12/01/2039 (5.50%)



2,107 - 12/01/2039 (5.50%)



5,573 - 12/01/2039 (5.50%)



2,107 - 12/01/2039 (5.50%)



394,485 - 12/01/2041 4.00%



7,400,000 - 08/05/2023 (2.59%)


Price Index- Urban (CPI-U) (659,458) (0.23)

2,142 - 12/01/2041 5.00%



4,282 - 12/01/2039 (5.50%)



4,800,000 - 19/07/2023 (2.569%)



55,684 - 12/01/2041 (5.00%)



1,000,000 - 07/08/2023 (2.555%)



1,785 - 12/01/2041 5.00%



1,446 - 12/01/2038 (6.50%)



122,459 - 12/01/2043 3.50%



units 40,675 - 21/12/2015 (0.18%)

S&P GSCI 3M Forward ER

Index 144,480 0.05






Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund


(Depreciation)USD

% ofFund

Citibank, N.A.

USD 5,000,000 USD - 07/08/2022 2.515%


Price Index- Urban (CPI-U) USD 422,755 0.15

baskets 92 - 17/12/2015 (3 month USD-LIBOR-BBA

plus 42 bp) A basket (CGPUTQL2) of


units 2,002 - 17/12/2015 3 month USD-LIBOR-BBA

plus 15 bp Russell 1000 Total Return

Index 216,953 0.08Credit Suisse International

USD 228,762 - 12/01/2041 4.50%

(1 month USD-LIBOR) Synthetic MBX Index 4.50% 30 year Ginnie Mae II pools 304 -

1,600,000 - 09/01/2023 (2.76%)



6,200,000 - 07/08/2022 (2.515%)



1,400,000 - 08/08/2022 (2.5325%)



13,500,000 - 31/08/2022 (2.575%)


Price Index- Urban (CPI-U) (1,191,969) (0.42)

5,000,000 - 08/02/2023 (2.81%)



5,000,000 - 19/07/2023 (2.57%)



257,962 - 12/01/2041 4.00%



shares 44,100 - 26/05/2016 (3 month USD-LIBOR-BBA

plus 0.15%) Common stock of Vanguard FTSE Emerging Markets ETF (90,899) (0.03)


plus 0.275%) Common stock of Vanguard FTSE Emerging Markets ETF (1,844) -

units

48,538 - 10/06/2016 (0.15%)

S&P GSCI Light Energy Excess Return Index (CPW

4) 56,116 0.02Deutsche Bank AG

USD 600,000 - 07/11/2021 (2.43%)



2,900,000 - 06/05/2021 (2.875%)




plus 0.30%) Common stock of Vanguard FTSE Emerging Markets ETF (130,410) (0.05)

Goldman Sachs International

USD 20,680,000 - 20/07/2020 (2.31%)


Price Index- Urban (CPI-U) (1,228,640) (0.43)

18,857 - 12/01/2041 4.00%



105,628 - 12/01/2042 4.00%



105,628 - 12/01/2042 4.00%



103,713 - 12/01/2041 4.00%



2,400,000 - 05/10/2022 (2.73%)



144,821 - 12/01/2041 4.00%



520,953 - 12/01/2040 4.00%



173,106 - 12/01/2041 4.00%



3,600,000 - 05/04/2023 (2.7475%)



5,800,000 - 19/07/2023 (2.58%)



1,700,000 - 09/04/2025 (2.055%)



baskets 4,826 - 15/12/2015 (1 month USD-LIBOR-BBA

plus 90 bp) A basket (GSCBSAUD) of







Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund


(Depreciation)USD

% ofFund

JPMorgan Chase Bank N.A.

USD 3,000,000 USD - 07/08/2022 2.515%


Price Index- Urban (CPI-U) USD 253,653 0.09


plus 0.28%) Vanguard FTSE Emerging

Markets ETF (88,019) (0.03)UBS AG


plus 0.20%) Vanguard FTSE Emerging

Markets ETF (134,729) (0.05)Unrealised Appreciation on OTC Total Return Swap Contracts Outstanding USD 1,931,674 0.68Unrealised Depreciation on OTC Total Return Swap Contracts Outstanding USD (9,799,437) (3.47)Net Unrealised Depreciation on OTC Total Return Swap Contracts Outstanding USD (7,867,763) (2.79) FUTURES CONTRACTS OUTSTANDING (0.13%) Number of contracts

Broker


(Depreciation)USD

% ofFund

184 Euro STOXX 50 Index (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated USD (80,771) (0.03)67 Euro-Bobl 5 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated 32,891 0.0159 Euro-Bund 10 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated 65,121 0.0230 Euro-Buxl 30 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated (85,704) (0.03)13 Euro-Schatz 2 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated 1,123 -(37) FTSE 100 Index (Short) Merrill Lynch, Pierce, Fenner & Smith Incorporated 98,149 0.03102 Goldman Sachs Index (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated 76,068 0.0327 Japanese Government Bond 10 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated 66,085 0.02(27) Russell 2000 Index Mini (Short) Merrill Lynch, Pierce, Fenner & Smith Incorporated 29,376 0.0119 S&P 500 Index E-Mini (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated (42,456) (0.02)(175) S&P 500 Index E-Mini (Short) Merrill Lynch, Pierce, Fenner & Smith Incorporated 441,822 0.17(5) S&P Mid Cap 400 Index E-Mini (Short) Merrill Lynch, Pierce, Fenner & Smith Incorporated 13,965 -(19) SPI 200 Index (Short) Merrill Lynch, Pierce, Fenner & Smith Incorporated 31,085 0.0145 Tokyo Price Index (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated (73,050) (0.03)45 U.K. Gilt 10 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated (90,617) (0.03)16 U.S. Treasury Bond 30 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated (56,649) (0.02)25 U.S. Treasury Bond Ultra 30 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated (112,609) (0.03)53 U.S. Treasury Note 2 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated 20,082 0.0194 U.S. Treasury Note 5 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated (328) -22 U.S. Treasury Note 10 yr (Long) Merrill Lynch, Pierce, Fenner & Smith Incorporated (24,278) ( 0.01)(38) U.S. Treasury Note 10 yr (Short) Merrill Lynch, Pierce, Fenner & Smith Incorporated 41,784 0.01Unrealised Appreciation on Futures Contracts USD 917,551 0.32Unrealised Depreciation on Futures Contracts USD (566,462) (0.20)Net Unrealised Appreciation on Futures Contracts USD 351,089 0.12Variation margin settlement to date USD 18,338 0.01Cumulative Unrealised less variation margin settlement to date USD 369,427 0.13 FORWARD FOREIGN EXCHANGE CURRENCY CONTRACTS (1.09%)

Counterparty

Currency

Contracttype

Deliverydate

ValueUSD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Bank of America, N.A. Australian Dollar Buy 15/07/2015 206,394 203,243 USD 3,151 - British Pound Buy 16/09/2015 217,656 211,305 6,351 - Canadian Dollar Buy 15/07/2015 212,694 216,287 (3,593) - Canadian Dollar Sell 15/07/2015 405,855 399,994 (5,861) - Euro Sell 16/09/2015 6,250 6,150 (100) - Euro Sell 16/09/2015 4,653,662 4,729,488 75,826 0.03 Mexican Peso Buy 15/07/2015 406,395 417,992 (11,597) - New Zealand Dollar Sell 15/07/2015 202,250 207,991 5,741 -







Contracttype

Deliverydate

ValueUSD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Bank of America, N.A. cont. New Zealand Dollar Sell 15/07/2015 195,346 205,655 USD 10,309 - Norwegian Krone Buy 16/09/2015 4,609 4,635 (26) - Swedish Krona Sell 16/09/2015 211,194 213,393 2,199 - Swedish Krona Sell 16/09/2015 212,631 208,447 (4,184) - Swiss Franc Sell 16/09/2015 3,647 3,610 (37) -Barclays Bank PLC Australian Dollar Buy 15/07/2015 203,619 208,259 (4,640) - Australian Dollar Buy 15/07/2015 104,623 102,888 1,735 - Australian Dollar Buy 15/07/2015 201,845 209,161 (7,316) - Australian Dollar Buy 15/07/2015 204,467 211,351 (6,884) - Australian Dollar Sell 15/07/2015 217,959 215,180 (2,779) - Australian Dollar Sell 15/07/2015 607,541 597,462 (10,079) - British Pound Buy 16/09/2015 211,689 206,437 5,252 - British Pound Buy 16/09/2015 208,077 201,939 6,138 - British Pound Sell 16/09/2015 215,458 217,721 2,263 - Canadian Dollar Buy 15/07/2015 205,649 204,789 860 - Canadian Dollar Buy 15/07/2015 206,049 203,960 2,089 - Canadian Dollar Sell 15/07/2015 575,802 568,154 (7,648) - Euro Buy 16/09/2015 211,935 213,584 (1,649) - Euro Buy 16/09/2015 211,711 213,756 (2,045) - Euro Buy 16/09/2015 6,250 6,145 105 - Euro Sell 16/09/2015 426,771 433,030 6,259 - Hong Kong Dollar Sell 19/08/2015 878,385 878,544 159 - Japanese Yen Buy 19/08/2015 216,996 216,543 453 - Japanese Yen Buy 19/08/2015 433,935 432,903 1,032 - Japanese Yen Sell 19/08/2015 208,272 205,257 (3,015) - Japanese Yen Sell 19/08/2015 203,490 207,806 4,316 - Japanese Yen Sell 19/08/2015 207,134 209,324 2,190 - Mexican Peso Buy 15/07/2015 388,031 401,467 (13,436) - New Zealand Dollar Buy 15/07/2015 289,838 316,701 (26,863) (0.02) New Zealand Dollar Sell 15/07/2015 193,586 208,980 15,394 0.01 New Zealand Dollar Sell 15/07/2015 180,658 202,935 22,277 0.01 New Zealand Dollar Sell 15/07/2015 185,260 206,195 20,935 0.01 New Zealand Dollar Sell 15/07/2015 211,388 212,489 1,101 - Norwegian Krone Buy 16/09/2015 404,519 406,005 (1,486) - Norwegian Krone Buy 16/09/2015 215,119 215,540 (421) - Norwegian Krone Sell 16/09/2015 213,655 212,908 (747) - Singapore Dollar Sell 19/08/2015 417,413 423,364 5,951 - Singapore Dollar Sell 19/08/2015 70,039 71,037 998 - Swedish Krona Sell 16/09/2015 848,749 833,025 (15,724) (0.02) Swedish Krona Sell 16/09/2015 211,169 213,896 2,727 - Swiss Franc Sell 16/09/2015 77,988 77,200 (788) -Citibank, N.A. Australian Dollar Buy 15/07/2015 413,559 406,839 6,720 - Australian Dollar Buy 15/07/2015 213,487 211,474 2,013 - Australian Dollar Sell 15/07/2015 207,396 204,617 (2,779) - British Pound Buy 16/09/2015 213,416 207,136 6,280 - British Pound Sell 16/09/2015 3,912,637 4,031,265 118,628 0.04 Canadian Dollar Buy 15/07/2015 204,849 208,922 (4,073) - Canadian Dollar Buy 15/07/2015 205,729 206,022 (293) - Canadian Dollar Buy 15/07/2015 213,414 215,860 (2,446) - Canadian Dollar Sell 15/07/2015 485,425 478,959 (6,466) - Canadian Dollar Sell 15/07/2015 205,809 205,755 (54) - Chilean Peso Buy 15/07/2015 407,164 420,027 (12,863) - Chilean Peso Sell 15/07/2015 389,675 401,733 12,058 - Danish Krone Buy 16/09/2015 8,447 8,441 6 - Danish Krone Sell 16/09/2015 357,550 357,315 (235) - Euro Sell 16/09/2015 433,579 436,743 3,164 -







Contracttype

Deliverydate

ValueUSD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Citibank, N.A. cont. Euro Sell 16/09/2015 242,960 238,828 USD (4,132) - Euro Sell 16/09/2015 9,973,318 10,145,892 172,574 0.07 Euro Sell 16/09/2015 4,602,616 4,682,258 79,642 0.03 Japanese Yen Buy 19/08/2015 962,919 948,745 14,174 0.01 Japanese Yen Sell 19/08/2015 374,919 382,855 7,936 - Japanese Yen Sell 19/08/2015 737,063 728,130 (8,933) - Mexican Peso Buy 15/07/2015 120,201 120,660 (459) - Mexican Peso Buy 15/07/2015 409,274 423,473 (14,199) (0.01) New Zealand Dollar Buy 15/07/2015 185,125 204,702 (19,577) (0.02) New Zealand Dollar Sell 15/07/2015 21,051 23,001 1,950 - Norwegian Krone Buy 16/09/2015 278,384 279,654 (1,270) - Philippine Peso Buy 19/08/2015 204,474 206,501 (2,027) - Swedish Krona Sell 16/09/2015 214,613 210,782 (3,831) - Swiss Franc Sell 16/09/2015 33,469 33,137 (332) -Credit Suisse AG Australian Dollar Buy 15/07/2015 407,777 419,745 (11,968) - Australian Dollar Buy 15/07/2015 212,022 212,963 (941) - Australian Dollar Buy 15/07/2015 296,909 292,468 4,441 - Australian Dollar Sell 15/07/2015 203,696 200,396 (3,300) - Australian Dollar Sell 15/07/2015 337,077 331,617 (5,460) - British Pound Buy 16/09/2015 244,353 237,188 7,165 - British Pound Buy 16/09/2015 428,089 428,713 (624) - British Pound Buy 16/09/2015 845,656 820,860 24,796 0.01 British Pound Sell 16/09/2015 212,631 213,042 411 - British Pound Sell 16/09/2015 2,892,179 2,979,545 87,366 0.03 Canadian Dollar Buy 15/07/2015 212,534 217,629 (5,095) - Canadian Dollar Buy 15/07/2015 211,013 214,120 (3,107) - Canadian Dollar Buy 15/07/2015 411,459 420,307 (8,848) - Canadian Dollar Buy 15/07/2015 213,014 215,731 (2,717) - Canadian Dollar Buy 15/07/2015 210,532 213,110 (2,578) - Canadian Dollar Sell 15/07/2015 1,040,094 1,026,093 (14,001) - Euro Buy 16/09/2015 211,823 214,803 (2,980) - Euro Buy 16/09/2015 204,569 207,081 (2,512) - Euro Buy 16/09/2015 542,824 540,148 2,676 - Euro Sell 16/09/2015 406,794 400,266 (6,528) - Euro Sell 16/09/2015 43,525 42,827 (698) - Euro Sell 16/09/2015 9,923,471 10,085,309 161,838 0.07 Euro Sell 16/09/2015 3,818,149 3,880,418 62,269 0.02 Euro Sell 16/09/2015 222,963 221,755 (1,208) - Indian Rupee Buy 19/08/2015 448,700 442,666 6,034 - Japanese Yen Buy 19/08/2015 2,116,308 2,160,738 (44,430) (0.03) New Zealand Dollar Buy 15/07/2015 278,060 303,932 (25,872) (0.02) New Zealand Dollar Sell 15/07/2015 208,207 214,212 6,005 - New Zealand Dollar Sell 15/07/2015 204,484 214,495 10,011 - New Zealand Dollar Sell 15/07/2015 370,995 418,432 47,437 0.02 Norwegian Krone Buy 16/09/2015 8,148 8,207 (59) - Singapore Dollar Sell 19/08/2015 415,188 421,103 5,915 - Swedish Krona Sell 16/09/2015 2,610 2,570 (40) - Swedish Krona Sell 16/09/2015 213,900 218,536 4,636 - Swedish Krona Sell 16/09/2015 207,484 208,744 1,260 - Swedish Krona Sell 16/09/2015 218,588 216,915 (1,673) - Swedish Krona Sell 16/09/2015 212,631 217,246 4,615 - Swiss Franc Buy 16/09/2015 375,564 371,720 3,844 -Deutsche Bank AG Australian Dollar Buy 15/07/2015 203,927 209,309 (5,382) - Australian Dollar Sell 15/07/2015 8,327 8,190 (137) - Australian Dollar Sell 15/07/2015 409,550 403,903 (5,647) - British Pound Buy 16/09/2015 568,010 580,786 (12,776) -







Contracttype

Deliverydate

ValueUSD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Deutsche Bank AG cont. British Pound Sell 16/09/2015 157 152 USD (5) - British Pound Sell 16/09/2015 2,540,688 2,616,835 76,147 0.03 Canadian Dollar Buy 15/07/2015 422,986 429,628 (6,642) - Canadian Dollar Sell 15/07/2015 594,774 586,557 (8,217) - Euro Buy 16/09/2015 435,588 428,499 7,089 - Euro Buy 16/09/2015 5,552,263 5,461,903 90,360 0.03 Euro Buy 16/09/2015 2,833,094 2,804,280 28,814 0.01 Euro Buy 16/09/2015 1,150,979 1,139,273 11,706 - Euro Sell 16/09/2015 12,390,853 12,595,844 204,991 0.08 Euro Sell 16/09/2015 4,569,951 4,645,555 75,604 0.03 New Zealand Dollar Buy 15/07/2015 89,483 97,805 (8,322) - New Zealand Dollar Sell 15/07/2015 416,413 427,767 11,354 - Norwegian Krone Sell 16/09/2015 455,116 457,440 2,324 - Polish Zloty Sell 16/09/2015 410,258 417,133 6,875 - Swedish Krona Sell 16/09/2015 217,972 213,983 (3,989) - Swiss Franc Sell 16/09/2015 16,413 16,255 (158) - Turkish Lira Sell 16/09/2015 13,618 13,534 (84) -Goldman Sachs International Australian Dollar Buy 15/07/2015 404,924 398,117 6,807 - British Pound Buy 16/09/2015 217,499 211,106 6,393 - British Pound Buy 16/09/2015 516,182 515,555 627 - British Pound Sell 16/09/2015 398,880 387,154 (11,726) - British Pound Sell 16/09/2015 3,534,530 3,641,575 107,045 0.04 Canadian Dollar Sell 15/07/2015 120,956 119,277 (1,679) - Euro Buy 16/09/2015 398,647 392,100 6,547 - Euro Sell 16/09/2015 12,383,860 12,590,640 206,780 0.08 Euro Sell 16/09/2015 5,313,462 5,402,184 88,722 0.03 Euro Sell 16/09/2015 4,395 4,469 74 - Japanese Yen Buy 19/08/2015 2,663,437 2,719,856 (56,419) (0.03) Japanese Yen Sell 19/08/2015 87,112 88,957 1,845 - New Zealand Dollar Buy 15/07/2015 198,121 216,569 (18,448) (0.02) New Zealand Dollar Sell 15/07/2015 416,413 427,072 10,659 -HSBC Bank USA, National Association Australian Dollar Sell 15/07/2015 192,054 188,800 (3,254) - British Pound Buy 16/09/2015 219,384 212,915 6,469 - British Pound Buy 16/09/2015 845,656 820,722 24,934 0.01 British Pound Sell 16/09/2015 4,305,852 4,436,663 130,811 0.05 British Pound Sell 16/09/2015 685,074 678,538 (6,536) - Canadian Dollar Sell 15/07/2015 614,946 606,992 (7,954) - Euro Buy 16/09/2015 422,642 427,141 (4,499) - Euro Sell 16/09/2015 217,850 214,207 (3,643) - Euro Sell 16/09/2015 9,519,799 9,681,702 161,903 0.07 Euro Sell 16/09/2015 5,185,098 5,273,281 88,183 0.03 Euro Sell 16/09/2015 8,091 8,229 138 - Japanese Yen Buy 19/08/2015 1,852,659 1,892,069 (39,410) (0.02) Japanese Yen Sell 19/08/2015 430,833 426,970 (3,863) - New Zealand Dollar Buy 15/07/2015 190,202 207,822 (17,620) (0.02) New Zealand Dollar Sell 15/07/2015 186,073 205,763 19,690 0.01 Swedish Krona Sell 16/09/2015 70,281 69,031 (1,250) -JPMorgan Chase Bank, N.A. Australian Dollar Buy 15/07/2015 205,932 208,069 (2,137) - Australian Dollar Buy 15/07/2015 611,241 601,350 9,891 - Australian Dollar Buy 15/07/2015 512,863 509,908 2,955 - Australian Dollar Sell 15/07/2015 411,015 417,335 6,320 - Australian Dollar Sell 15/07/2015 54,046 53,172 (874) - British Pound Buy 16/09/2015 215,929 209,697 6,232 - British Pound Sell 16/09/2015 214,044 216,356 2,312 - British Pound Sell 16/09/2015 1,341,429 1,302,717 (38,712) (0.02)







Contracttype

Deliverydate

ValueUSD

Aggregateface value

USD


(Depreciation)USD

% ofFund

JPMorgan Chase Bank, N.A. cont. British Pound Sell 16/09/2015 2,401,712 2,473,082 USD 71,370 0.03 Canadian Dollar Buy 15/07/2015 203,168 209,900 (6,732) - Canadian Dollar Buy 15/07/2015 203,008 209,396 (6,388) - Canadian Dollar Buy 15/07/2015 213,414 216,089 (2,675) - Canadian Dollar Buy 15/07/2015 210,452 210,554 (102) - Canadian Dollar Buy 15/07/2015 909,692 911,747 (2,055) - Canadian Dollar Sell 15/07/2015 598,696 590,803 (7,893) - Canadian Dollar Sell 15/07/2015 265,847 262,342 (3,505) - Euro Buy 16/09/2015 2,686,179 2,644,030 42,149 0.01 Euro Sell 16/09/2015 34,932 34,384 (548) - Euro Sell 16/09/2015 11,296,414 11,476,494 180,080 0.07 Euro Sell 16/09/2015 1,195,232 1,176,571 (18,661) (0.02) Euro Sell 16/09/2015 4,679,934 4,754,539 74,605 0.03 Euro Sell 16/09/2015 477,893 485,511 7,618 - Indian Rupee Buy 19/08/2015 13,970 13,820 150 - Japanese Yen Buy 19/08/2015 351,290 358,747 (7,457) - Mexican Peso Buy 15/07/2015 395,824 409,428 (13,604) - New Zealand Dollar Buy 15/07/2015 184,719 205,922 (21,203) (0.02) New Zealand Dollar Buy 15/07/2015 386,292 416,554 (30,262) (0.02) New Zealand Dollar Sell 15/07/2015 185,193 206,123 20,930 0.01 New Zealand Dollar Sell 15/07/2015 206,717 212,571 5,854 - New Zealand Dollar Sell 15/07/2015 186,682 206,636 19,954 0.01 New Zealand Dollar Sell 15/07/2015 74,050 80,947 6,897 - New Zealand Dollar Sell 15/07/2015 212,335 215,548 3,213 - New Zealand Dollar Sell 15/07/2015 190,202 209,918 19,716 0.01 Norwegian Krone Buy 16/09/2015 388,719 390,637 (1,918) - Norwegian Krone Sell 16/09/2015 31,142 31,296 154 - Philippine Peso Buy 19/08/2015 204,472 205,832 (1,360) - Singapore Dollar Sell 19/08/2015 26,265 26,633 368 - Singapore Dollar Sell 19/08/2015 411,997 415,147 3,150 - Singapore Dollar Sell 19/08/2015 69,965 70,946 981 - Swedish Krona Sell 16/09/2015 206,868 203,084 (3,784) - Swiss Franc Sell 16/09/2015 125,295 124,011 (1,284) - Swiss Franc Sell 16/09/2015 653,938 647,238 (6,700) -Royal Bank of Scotland PLC Australian Dollar Buy 15/07/2015 202,616 208,954 (6,338) - Australian Dollar Buy 15/07/2015 216,803 219,799 (2,996) - Australian Dollar Buy 15/07/2015 382,643 376,414 6,229 - Australian Dollar Buy 15/07/2015 206,009 208,782 (2,773) - Australian Dollar Sell 15/07/2015 408,240 407,180 (1,060) - British Pound Buy 16/09/2015 522,469 507,436 15,033 0.01 British Pound Sell 16/09/2015 215,615 215,688 73 - British Pound Sell 16/09/2015 4,097,938 4,219,347 121,409 0.04 Canadian Dollar Buy 15/07/2015 201,407 210,175 (8,768) - Canadian Dollar Buy 15/07/2015 205,809 206,486 (677) - Canadian Dollar Buy 15/07/2015 205,329 208,621 (3,292) - Canadian Dollar Buy 15/07/2015 201,887 207,011 (5,124) - Canadian Dollar Sell 15/07/2015 620,870 612,747 (8,123) - Euro Buy 16/09/2015 215,952 217,103 (1,151) - Euro Buy 16/09/2015 17,299 17,025 274 - Euro Sell 16/09/2015 3,097,314 3,147,122 49,808 0.02 Japanese Yen Sell 19/08/2015 405,167 416,187 11,020 - Japanese Yen Sell 19/08/2015 208,468 205,683 (2,785) - New Zealand Dollar Buy 15/07/2015 14,147 15,460 (1,313) - New Zealand Dollar Buy 15/07/2015 183,636 202,216 (18,580) (0.02) New Zealand Dollar Buy 15/07/2015 382,096 406,500 (24,404) (0.02) New Zealand Dollar Sell 15/07/2015 192,368 205,030 12,662 - New Zealand Dollar Sell 15/07/2015 192,638 202,910 10,272 -







Contracttype

Deliverydate

ValueUSD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Royal Bank of Scotland PLC cont. New Zealand Dollar Sell 15/07/2015 209,019 212,921 USD 3,902 - New Zealand Dollar Sell 15/07/2015 187,156 207,567 20,411 0.01 New Zealand Dollar Sell 15/07/2015 191,285 206,733 15,448 0.01 Norwegian Krone Buy 16/09/2015 417,175 418,003 (828) - Singapore Dollar Sell 19/08/2015 31,829 32,299 470 - Singapore Dollar Sell 19/08/2015 430,991 429,139 (1,852) - Swedish Krona Sell 16/09/2015 214,371 215,820 1,449 - Swedish Krona Sell 16/09/2015 214,577 215,606 1,029 - Swedish Krona Sell 16/09/2015 826,965 811,818 (15,147) (0.01)State Street Bank & Trust Company Australian Dollar Buy 15/07/2015 435,687 436,130 (443) - Australian Dollar Buy 15/07/2015 296,909 292,197 4,712 - Australian Dollar Sell 15/07/2015 693,121 681,324 (11,797) - Australian Dollar Sell 15/07/2015 54,046 53,127 (919) - Brazilian Real Buy 02/07/2015 408,511 406,627 1,884 - Brazilian Real Buy 02/10/2015 395,325 401,740 (6,415) - Brazilian Real Sell 02/07/2015 408,511 414,794 6,283 - British Pound Buy 16/09/2015 4,240 4,116 124 - British Pound Sell 16/09/2015 2,976,426 3,066,433 90,007 0.03 Canadian Dollar Buy 15/07/2015 411,539 417,893 (6,354) - Canadian Dollar Sell 15/07/2015 962,845 949,560 (13,285) - Chilean Peso Buy 15/07/2015 549 567 (18) - Chilean Peso Buy 15/07/2015 423,882 429,281 (5,399) - Euro Buy 16/09/2015 1,250,068 1,229,237 20,831 0.01 Euro Buy 16/09/2015 1,358,559 1,342,746 15,813 0.01 Euro Sell 16/09/2015 8,821,940 8,971,442 149,502 0.06 Euro Sell 16/09/2015 3,933,626 4,000,288 66,662 0.02 Euro Sell 16/09/2015 10,589 10,768 179 - Euro Sell 16/09/2015 382,594 376,265 (6,329) - Hungarian Forint Buy 16/09/2015 401,938 406,560 (4,622) - Israeli Shekel Buy 15/07/2015 185 177 8 - Japanese Yen Sell 19/08/2015 201,254 205,538 4,284 - Japanese Yen Sell 19/08/2015 404,962 416,031 11,069 - Japanese Yen Sell 19/08/2015 501,538 512,215 10,677 - New Zealand Dollar Buy 15/07/2015 85,151 93,077 (7,926) - New Zealand Dollar Sell 15/07/2015 420,542 435,651 15,109 0.01 Norwegian Krone Buy 16/09/2015 3,616 3,643 (27) - Singapore Dollar Sell 19/08/2015 15,655 15,878 223 - Singapore Dollar Sell 19/08/2015 411,997 415,122 3,125 - Singapore Dollar Sell 19/08/2015 430,917 428,701 (2,216) - Swedish Krona Buy 16/09/2015 215,543 212,279 3,264 - Swedish Krona Sell 16/09/2015 427,727 428,157 430 - Swedish Krona Sell 16/09/2015 180,082 177,355 (2,727) - Swiss Franc Sell 16/09/2015 129,479 128,167 (1,312) - Turkish Lira Sell 16/09/2015 25,154 24,997 (157) -UBS AG Australian Dollar Buy 15/07/2015 435,301 435,741 (440) - Australian Dollar Buy 15/07/2015 203,927 209,597 (5,670) - Australian Dollar Sell 15/07/2015 54,046 53,171 (875) - British Pound Buy 16/09/2015 218,284 211,837 6,447 - British Pound Buy 16/09/2015 13,505 13,106 399 - British Pound Buy 16/09/2015 513,681 517,995 (4,314) - British Pound Sell 16/09/2015 2,664,255 2,745,339 81,084 0.03 Canadian Dollar Sell 15/07/2015 443,158 437,154 (6,004) - Chilean Peso Buy 15/07/2015 549 572 (23) - Euro Buy 16/09/2015 16,071 16,042 29 - Euro Buy 16/09/2015 3,556,797 3,550,318 6,479 - Euro Buy 16/09/2015 826,123 826,836 (713) -







Contracttype

Deliverydate

ValueUSD

Aggregateface value

USD


(Depreciation)USD

% ofFund

UBS AG cont. Euro Buy 16/09/2015 9,490 9,652 USD (162) - Euro Sell 16/09/2015 7,686,644 7,817,513 130,869 0.06 Euro Sell 16/09/2015 2,733,300 2,779,836 46,536 0.02 Euro Sell 16/09/2015 12,640,788 12,651,692 10,904 - Israeli Shekel Buy 15/07/2015 430,175 425,235 4,940 - Israeli Shekel Sell 15/07/2015 429,089 417,421 (11,668) - Japanese Yen Sell 19/08/2015 145,214 148,305 3,091 - New Zealand Dollar Buy 15/07/2015 9,341 10,209 (868) - New Zealand Dollar Sell 15/07/2015 419,797 435,232 15,435 0.01 Norwegian Krone Buy 16/09/2015 203,495 204,350 (855) - Swedish Krona Buy 16/09/2015 3,407 3,341 66 - Swedish Krona Sell 16/09/2015 90,035 88,299 (1,736) - Swiss Franc Sell 16/09/2015 668,957 662,277 (6,680) -Westpac Banking Corporation Australian Dollar Buy 15/07/2015 203,927 209,405 (5,478) - Australian Dollar Sell 15/07/2015 249,107 245,062 (4,045) - British Pound Sell 16/09/2015 2,744,099 2,826,593 82,494 0.03 Canadian Dollar Sell 15/07/2015 340,134 335,550 (4,584) - Euro Buy 16/09/2015 8,091 8,223 (132) - Euro Sell 16/09/2015 656,227 645,689 (10,538) - Euro Sell 16/09/2015 9,141,301 9,290,501 149,200 0.06 Euro Sell 16/09/2015 1,834,553 1,864,496 29,943 0.01 Euro Sell 16/09/2015 495,974 491,168 (4,806) - Japanese Yen Buy 19/08/2015 1,852,657 1,891,886 (39,229) (0.02) New Zealand Dollar Buy 15/07/2015 473,541 517,554 (44,013) (0.03)Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 4,181,056 1.48Unrealised Depreciation on Forward Foreign Exchange Currency Contracts USD (1,093,030) (0.39)Net Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 3,088,026 1.09Total Financial Assets at Fair Value through Profit or Loss USD 317,600,444 112.38Total Financial Liabilities at Fair Value through Profit or Loss USD (11,064,391) (3.92) Analysis of Total Assets (unaudited)

% ofTotal

Assets(a) Transferable securities admitted to official stock exchange listing 95.31(b) Transferable securities other than those admitted to official stock exchange listing or dealt in on another regulated market 0.05(c) OTC financial derivative instruments 1.75(d) Other assets 2.89Total Assets 100.00

Putnam U.S. Large Cap Growth Fund





Shares

ValueUSD

% ofFund

Aerospace and Defense (3.62%) 3,437 General Dynamics Corporation USD 486,885 0.885,389 Northrop Grumman Corporation 854,803 1.551,285 Raytheon Company 122,923 0.224,751 United Technologies Corporation 526,838 0.97

1,991,449 3.62Airlines (1.05%)

4,647 American Airlines Group Incorporated 185,555 0.346,287 Spirit Airlines Incorporated 390,360 0.71

575,915 1.05Apparel (1.28%)

6,519 NIKE Incorporated 704,117 1.28 704,117 1.28

Banking (2.26%) 24,645 Bank of America Corporation 419,458 0.76

2,169 Goldman Sachs Group Incorporated 452,952 0.828,015 PacWest Bancorp 374,621 0.68

1,247,031 2.26Beverages (1.07%)

843 Keurig Green Mountain Incorporated 64,565 0.125,649 PepsiCo Incorporated 527,278 0.95

591,843 1.07Biotechnology (11.06%)

3,801 Allergan PLC 1,153,984 2.102,352 Biogen Incorporated 950,067 1.738,719 Bristol-Myers Squibb Company 579,814 1.05

10,442 Celgene Corporation 1,208,453 2.1912,597 Gilead Sciences Incorporated 1,474,983 2.688,504 Mylan NV 577,081 1.0432,431 Neuralstem Incorporated (F) 63,565 0.12

664 Vertex Pharmaceuticals Incorporated 81,991 0.15 6,089,938 11.06

Building Materials (0.55%) 6,639 Fortune Brands Home & Security

Incorporated 304,066 0.55 304,066 0.55

Chemicals (2.47%) 7,592 Axiall Corporation 273,388 0.507,353 Dow Chemical Company 376,106 0.683,585 EI du Pont de Nemours & Company 229,153 0.4210,146 Huntsman Corporation 223,821 0.412,428 Monsanto Company 258,801 0.46

1,361,269 2.47Commercial Services (1.35%)

7,521 Lions Gate Entertainment Corporation 278,503 0.5116,925 Live Nation Entertainment Incorporated 465,268 0.84

743,771 1.35Computers (5.72%)

21,246 Apple Incorporated 2,664,673 4.845,094 SanDisk Corporation 296,522 0.542,423 Western Digital Corporation 190,012 0.34


7,122 Coty Incorporated 227,762 0.41550 Edgewell Personal Care Company 53,680 0.10

5,308 Estee Lauder Companies Incorporated 459,938 0.84 741,380 1.35

Diversified Financial Services (4.40%) 3,102 American Express Company 241,087 0.44

15,280 Capitol Acquisition Corporation Ii 161,204 0.2916,372 Charles Schwab Corporation 533,891 0.9722,180 Visa Incorporated 1,488,722 2.70

2,424,904 4.40


Shares

ValueUSD

% ofFund

Electric Utilities (0.33%) 10,257 Calpine Corporation USD 184,421 0.33

184,421 0.33Electronics (3.84%)

8,728 Agilent Technologies Incorporated 336,552 0.6111,860 Corning Incorporated 233,879 0.4210,732 Honeywell International Incorporated 1,094,127 1.99

11,731 Tyco International PLC 451,292 0.82 2,115,850 3.84

Home Builders (0.64%) 17,375 PulteGroup Incorporated 350,106 0.64


27,256 TiVo Incorporated 276,376 0.50 276,376 0.50

Insurance (0.87%) 4,127 American International Group Incorporated 255,131 0.46

5,370 Hartford Financial Services Group Incorporated 223,124 0.41 478,255 0.87

Internet (12.71%) 2,584 Amazon.com Incorporated 1,121,559 2.042,664 DISH Network Corporation 180,379 0.333,259 Expedia Incorporated 356,339 0.65

21,222 Facebook Incorporated 1,819,999 3.301,974 Google Incorporated 1,066,019 1.942,597 Google Incorporated 1,351,661 2.452,069 GrubHub Incorporated 70,512 0.1310,128 Pandora Media Incorporated 157,389 0.29

528 Priceline Group Incorporated 607,443 1.102,681 Twitter Incorporated 97,133 0.18

4,334 Yahoo! Incorporated 170,283 0.30 6,998,716 12.71

Lodging (2.15%) 32,584 Hilton Worldwide Holdings Incorporated 897,363 1.63

3,531 Wyndham Worldwide Corporation 289,224 0.52 1,186,587 2.15

Media (1.45%) 2,457 Time Warner Cable Incorporated 436,461 0.794,132 Time Warner Incorporated 360,972 0.66


2,426 Becton Dickinson and Company 343,667 0.6233,897 Boston Scientific Corporation 599,638 1.09

1,744 Cooper Companies Incorporated 310,362 0.562,846 CR Bard Incorporated 485,784 0.885,445 Danaher Corporation 465,765 0.8511,018 GenMark Diagnostics Incorporated 99,823 0.19

2,305,039 4.19Oil and Natural Gas Utilities (3.60%)

1,283 Anadarko Petroleum Corporation 100,138 0.184,734 Baker Hughes Incorporated 291,946 0.537,852 Cabot Oil & Gas Corporation 247,652 0.454,183 EOG Resources Incorporated 366,096 0.66

6,340 Gulfport Energy Corporation 255,122 0.468,687 QEP Resources Incorporated 160,623 0.295,133 Schlumberger Limited 442,259 0.8

3,453 Whiting Petroleum Corporation 116,090 0.23 1,979,926 3.60

Packaging and Containers (0.29%) 2,593 Packaging Corporation of America 162,037 0.29

162,037 0.29






Shares

ValueUSD

% ofFund

Real Estate (1.14%) 4,346 American Tower Corporation USD 405,438 0.746,307 RE/MAX Holdings Incorporated 223,583 0.40

629,021 1.14Retail (7.44%)

2,042 Advance Auto Parts Incorporated 325,209 0.593,610 Costco Wholesale Corporation 487,567 0.898,250 CVS Health Corporation 865,013 1.574,380 Dollar General Corporation 340,370 0.624,553 Home Depot Incorporated 505,747 0.927,312 Starbucks Corporation 391,996 0.71

2,365 Tiffany & Company 217,107 0.395,462 TJX Companies Incorporated 361,366 0.667,126 Walgreens Boots Alliance Incorporated 601,719 1.09

4,096,094 7.44Semiconductors (3.42%)

10,407 Applied Micro Circuits Corporation 70,039 0.133,118 Freescale Semiconductor Limited 124,533 0.235,371 Intel Corporation 163,332 0.302,713 Lam Research Corporation 220,703 0.40

4,058 Maxim Integrated Products Incorporated 140,285 0.2518,982 Micron Technology Incorporated 357,621 0.65

23,466 ON Semiconductor Corporation 274,318 0.502,452 Qualcomm Incorporated 153,569 0.283,618 Skyworks Solutions Incorporated 376,525 0.68

1,880,925 3.42Software (4.49%)

14,510 Activision Blizzard Incorporated 351,287 0.654,075 Autodesk Incorporated 204,035 0.37

12,036 Microsoft Corporation 531,389 0.9611,869 Oracle Corporation 478,321 0.873,914 Red Hat Incorporated 297,151 0.548,736 salesforce.com Incorporated 608,200 1.10

2,470,383 4.49Telecommunications (0.80%)

3,106 Anixter International Incorporated 202,356 0.374,562 Level 3 Communications Incorporated 240,189 0.43


1,746 Genesee & Wyoming Incorporated 132,993 0.2410,839 Union Pacific Corporation 1,033,499 1.88

1,166,492 2.12Total U.S. Equities USD 47,447,096 86.16 NON-U.S. EQUITIES (10.79%)

Number ofShares

ValueUSD

% ofFund

Aerospace and Defense (0.25%) 77,021 Bombardier Incorporated (Canada) USD 138,132 0.25


4,013 Mobileye NV (Israel) 213,371 0.392,800 Toyota Industries Corporation (Japan) 159,464 0.29

372,835 0.68Chemicals (0.70%)

6,209 Symrise AG (Germany) 386,046 0.70 386,046 0.70

Consumer Services (0.19%)

1,036 Bigfoot Gmbh (Germany) (F) 26,921 0.0511 Delivery Hero Holdings Gmbh (Germany) (F) 75,535 0.14

102,456 0.19


Shares

ValueUSD

% ofFund

Energy (0.32%) 6,222 Canadian Solar Incorporated (Canada) USD 177,949 0.32


24,200 Panasonic Corporation (Japan) 332,000 0.60 332,000 0.60

Insurance (0.35%) 7,929 Prudential PLC (United Kingdom) 190,926 0.35

190,926 0.35Internet (1.16%)

4,143 Alibaba Group Holding Limited (China) 340,886 0.621,489 Baidu Incorporated (China) 296,430 0.54

637,316 1.16Leisure Time (0.37%)

9,200 Yamaha Motor Co Limited (Japan) 201,162 0.37 201,162 0.37

Lodging (0.66%) 18,414 Melco Crown Entertainment Limited (Hong

Kong) 361,467 0.66 361,467 0.66

Machinery (0.22%) 1,805 Jungheinrich AG (Germany) 122,167 0.22

122,167 0.22Manufacturing (0.38%)

2,047 Siemens AG (Germany) 206,690 0.38 206,690 0.38

Media (0.53%) 5,429 Liberty Global PLC (United Kingdom) 293,492 0.53


4,349 Medtronic PLC (Ireland) 322,174 0.59 322,174 0.59

Metal Fabricate/Hardware (0.47%) 13,803 Assa Abloy AB (Sweden) 259,914 0.47


8,906 Suncor Energy Incorporated (Canada) 245,004 0.446,565 Weatherford International PLC

(Switzerland) 80,553 0.15 325,557 0.59

Pharmaceuticals (1.63%) 2,651 Alkermes PLC (Ireland) 170,512 0.31

736 Jazz Pharmaceuticals PLC (Ireland) 129,588 0.241,561 Perrigo Company PLC (Ireland) 288,239 0.52

5,229 Teva Pharmaceutical Industries Limited (Israel) 309,086 0.56 897,425 1.63

Private Placement (-%) 1 Bigfoot Gmbh (Germany) (F) 1 -1 Bigfoot Gmbh (Germany) (F) 1 -1 Bigfoot Gmbh (Germany) (F) 1 -

3 -Retail (0.39%)

5,662 Restaurant Brands International Incorporated (Canada) 216,401 0.39 216,401 0.39

Semiconductors (0.40%) 1,672 Avago Technologies Limited (Singapore) 222,258 0.40


17,453 Scorpio Tankers Incorporated (Marshall Islands) 175,751 0.31 175,751 0.31

Total Non-U.S. Equities USD 5,942,121 10.79





PREFERRED STOCK (0.24%) Number of

Shares

ValueUSD

% ofFund

Pharmaceuticals (0.24%) 126 Allergan PLC (F) USD 131,365 0.24

Total Preferred Stock USD 131,365 0.24 WARRANTS (0.03%)

Number ofWarrants

ExpirationDate

StrikePrice

ValueUSD

% ofFund

20,029 Citigroup Incorporated 01/04/2019 USD 106.10 USD 14,821 0.0311,098 Neuralstem Incorporated 01/03/2019 2.00 - -

Total Warrants USD 14,821 0.03 U.S. TREASURY BILLS (0.96%)

PrincipalAmount

EffectiveYield

MaturityDates

ValueUSD

% ofFund

USD 200,000 U.S. Treasury Bill 0.01 09/07/2015 USD 200,000 0.36200,000 U.S. Treasury Bill 0.01 20/08/2015 199,997 0.36130,000 U.S. Treasury Bill 0.03 23/07/2015 129,998 0.24

Total U.S. Treasury Bills USD 529,995 0.96 PURCHASED EQUITY OPTIONS OUTSTANDING (-%) Contract amount

Expiration Date/strike price

ValueUSD

% of Fund

USD 34,739 Coca-Cola Company (Call) Aug – 15/USD 50.00 USD 107 -Total Purchased Equity Options Outstanding USD 107 -Total Value of Investments* USD 54,065,505 98.18 *Excluding financial derivative instruments with the exception of Purchased Equity Options. WHEN-ISSUED SECURITIES SOLD COMMON STOCKS (-0.02%)

Number ofShares

ValueUSD

% ofFund

Chemicals (712) Chemours Company (WIS) USD (11,221) (0.02)

Total When-Issued Securities Sold Common Stocks USD (11,221) (0.02) (F) is valued at fair value following procedures approved by the Investment Advisor. Securities may be classified as Level 2 or Level 3 for Financial Reporting Standard 29 ("FRS 29"), "Improving Disclosures about Financial Instruments" based on the securities' valuation inputs. (WIS) When Issued Security (Note 2) OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING (-%)

Swap Counterparty

NotionalAmount

Upfrontpremium


Date


Fund per annum


or (paid) by Fund


(Depreciation)USD

% ofFund

JPMorgan Chase Bank, N.A.

baskets 1,546 USD - 16/7/2015(3 month USD-LIBOR-BBA

plus 30 bp) A basket (JPCMPTMD) of

common stocks USD 16,525 0.03

baskets 4,634 - 15/4/2016(3 month USD-LIBOR-BBA

plus 0.38%) A basket (JPCMPNET) of

common stocks (15,138) (0.03)Unrealised Appreciation on OTC Total Return Swap Contracts Outstanding USD 16,525 0.03Unrealised Depreciation on OTC Total Return Swap Contracts Outstanding USD (15,138) (0.03)Net Unrealised Appreciation on OTC Total Return Swap Contracts Outstanding USD 1,387 - WRITTEN EQUITY OPTIONS OUTSTANDING (-%) Contract amount

Expiration Date/strike price

ValueUSD

% of Fund

USD 34,739 Coca-Cola Company (Call) Aug – 15/USD 55.00 USD (11) -Total Written Equity Options Outstanding USD (11) - FORWARD FOREIGN EXCHANGE CURRENCY CONTRACTS (1.69%)


typeDelivery

dateValue

USD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Bank of America, N.A. Euro Sell 16/09/2015 3,597,982 3,656,607 USD 58,625 0.11







typeDelivery

dateValue

USD

Aggregateface value

USD


(Depreciation)USD

% ofFund

Barclays Bank PLC cont. Euro Sell 16/09/2015 3,637,840 3,699,607 USD 61,767 0.11 Japanese Yen Sell 19/08/2015 74,752 74,147 (605) - Japanese Yen Sell 19/08/2015 250,832 256,152 5,320 0.01Citibank, N.A. Euro Buy 16/09/2015 1,804,685 1,804,383 302 - Euro Sell 16/09/2015 7,287,168 7,413,262 126,094 0.23Credit Suisse International Euro Sell 16/09/2015 6,552,847 6,659,715 106,868 0.19Deutsche Bank AG Euro Sell 16/09/2015 6,145,779 6,247,453 101,674 0.18Goldman Sachs International Euro Sell 16/09/2015 9,218,019 9,371,937 153,918 0.28HSBC Bank USA, National Association Euro Buy 16/09/2015 2,072,201 2,107,443 (35,242) (0.06)JPMorgan Chase Bank, N.A. Euro Sell 16/09/2015 73,323 74,486 1,163 - Euro Sell 16/09/2015 559,244 550,469 (8,775) (0.02) Euro Sell 16/09/2015 11,069,455 11,245,917 176,462 0.32State Street Bank & Trust Company Euro Sell 16/09/2015 1,384,731 1,408,197 23,466 0.04 Japanese Yen Sell 19/08/2015 344,498 351,832 7,334 0.01 Japanese Yen Sell 19/08/2015 14,039 13,968 (71) -UBS AG Euro Sell 16/09/2015 2,518,428 2,561,305 42,877 0.08Westpac Banking Corporation Euro Sell 16/09/2015 6,755,432 6,865,692 110,260 0.21Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 976,130 1.77Unrealised Depreciation on Forward Foreign Exchange Currency Contracts USD (44,693) (0.08)Net Unrealised Appreciation on Forward Foreign Exchange Currency Contracts USD 931,437 1.69Total Financial Assets at Fair Value through Profit or Loss USD 55,058,160 99.98Total Financial Liabilities at Fair Value through Profit or Loss USD (71,063) (0.13)

Analysis of Total Assets (unaudited)

% ofTotal Assets

(a) Transferable securities admitted to official stock exchange listing 93.32(b) Transferable securities other than those admitted to official stock exchange listing or dealt in on another regulated market 2.19(c) Investment Companies 0.03(d) OTC financial derivative instruments 2.46(e) Exchange Traded financial derivative instruments 0.11(f) Centrally Cleared financial derivative instruments 0.08(g) Other assets 1.81Total Assets 100.00

Profit and Loss Account




Year ended30 June 2015

USD


USD

Operating Income/(Loss)

Dividend Income $ 147,471 $ 141,823

Other Income 3,427 4,999

Net Realised (Losses)/Gains on Financial Assets and Liabilities at Fair Value through

Profit or Loss 52,698 202,202

Net Unrealised (Losses)/Gains on Financial Assets and Liabilities at Fair Value

through Profit or Loss (556,689) 645,835

$ (353,093) $ 994,859

Operating Expenses

Management Fees (Note 10) 49,881 48,309

Custody and Trustee Fees (Note 7) 23,796 12,787

Administrator Fees (Note 7) 46,674 20,374

Auditors’ Fees 24,548 29,019

Professional Fees (Note 10) 4,676 3,176

Other Expenses 22,458 22,384

Expense Waiver (Note 10) (102,342) (67,308)

$ 69,691 $ 68,741

Operating (Loss)/Profit $ (422,784) $ 926,118

Finance Costs

Distributions to redeemable participating Unitholders - -

(Loss)/Profit for the Financial Year $ (422,784) $ 926,118

Non-reclaimable withholding tax (12,025) (11,190)

Adjustment from bid market price to last traded market price (Note 3) 4,824 (1,941)

(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders $ (429,985) $ 912,987 There are no recognised gains or losses arising in the year other than the increase/(decrease) in Net Assets attributable to redeemable participating Unitholders. In arriving at the results for the financial year, all amounts above relate to continuing operations. On behalf of the Manager: Director: Director: 14 October 2015

Profit and Loss Account cont.





USD


USD





Profit or Loss (11,790) 172,289



$ (283,989) $ 1,005,497

Operating Expenses








$ 71,332 $ 70,908

Operating (Loss)/Profit $ (355,321) $ 934,589

Finance Costs


(Loss)/Profit for the Financial Year $ (355,321) $ 934,589


Capital gains tax (11,324) -

Adjustment from bid market price to last traded market price (Note 3) 13,173 (39,866)

(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders $ (367,678) $ 881,618 There are no recognised gains or losses arising in the year other than the increase/(decrease) in Net Assets attributable to redeemable participating Unitholders. In arriving at the results for the financial year, all amounts above relate to continuing operations. On behalf of the Manager: Director: Director: 14 October 2015






USD


USD




Net Realised Gains on Financial Assets and Liabilities at Fair Value through Profit or

Loss 282,899 908,317



$ (49,890) $ 1,647,154

Operating Expenses








$ 100,748 $ 97,339

Operating (Loss)/Profit $ (150,638) $ 1,549,815

Finance Costs


(Loss)/Profit for the Financial Year $ (150,638) $ 1,549,815


Adjustment from bid market price to last traded market price (Note 3) (1,002) 4,236

(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders $ (170,473) $ 1,535,670 There are no recognised gains or losses arising in the year other than the increase/(decrease) in Net Assets attributable to redeemable participating Unitholders. In arriving at the results for the financial year, all amounts above relate to continuing operations. On behalf of the Manager: Director: Director: 14 October 2015






GBP


GBP


Interest Income £ 10,642,755 £ 13,583,521

Dividend Income 46,154 17,760



Profit or Loss (15,952,495) 8,986,016

Net Unrealised Gains/(Losses) on Financial Assets and Liabilities at Fair Value

through Profit or Loss 8,060,150 (6,095,234)

£ 2,807,558 £ 16,567,252

Operating Expenses


Performance Fees (Note 10) 312,001 1,868,343







£ 1,387,310 £ 3,170,017

Operating Profit £ 1,420,248 £ 13,397,235

Finance Costs


Profit for the Financial Year £ 1,420,248 £ 13,397,235


Increase in Net Assets attributable to redeemable participating Unitholders £ 1,406,666 £ 13,391,887 There are no recognised gains or losses arising in the year other than the increase/(decrease) in Net Assets attributable to redeemable participating Unitholders. In arriving at the results for the financial year, all amounts above relate to continuing operations. On behalf of the Manager: Director: Director: 14 October 2015






USD


USD


Interest Income $ 18,057,709 $ 15,460,348

Dividend Income 333,180 285,511



Profit or Loss (19,974,277) 17,897,196


through Profit or Loss (22,255,661) 16,429,866

$ (23,832,849) $ 50,204,970

Operating Expenses

Management Fees (Note 10) 2,342,644 1,813,828






$ 3,244,192 $ 2,470,532

Operating (Loss)/Profit $ (27,077,041) $ 47,734,438

Finance Costs

Distributions to redeemable participating Unitholders (17,705,425) (15,304,074)

(Loss)/Profit for the Financial Year $ (44,782,466) $ 32,430,364


Adjustment from bid market price to last traded market price (Note 3) (12,806) (1,627)

(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders $ (44,873,573) $ 32,389,336 There are no recognised gains or losses arising in the year other than the increase/(decrease) in Net Assets attributable to redeemable participating Unitholders. In arriving at the results for the financial year, all amounts above relate to continuing operations. On behalf of the Manager: Director: Director: 14 October 2015






USD


USD


Interest Income $ 3,194,426 $ 2,430,061

Dividend Income 3,286,616 3,618,932



Profit or Loss (17,997,025) 19,227,178



$ (34,767,927) $ 56,725,740

Operating Expenses

Management Fees (Note 10) 3,580,044 4,347,467






Expense Waiver (Note 10) (115,537) -

$ 4,479,975 $ 5,398,925


Finance Costs

Distributions to redeemable participating Unitholders (1,739,238) (1,927,046)



Adjustment from bid market price to last traded market price (Note 3) 145 3,996







USD


USD





Profit or Loss (4,505,995) 9,656,329



$ (7,552,486) $ 18,397,982

Operating Expenses







$ 1,123,526 $ 1,072,104


Finance Costs




Adjustment from bid market price to last traded market price (Note 3) (6,675) (76)


Balance Sheet




30 June 2015

USD30 June 2014

USD

Current Assets

Financial Assets at Fair Value through Profit or Loss $ 4,939,871 $ 5,360,220

Cash at Bank (Note 2) 220,498 249,600

Receivable for Expense Reimbursement from Manager (Note 10) 55,523 17,145

Sales of Investments Awaiting Settlement 110,593 32,137

Dividend Income Receivable 30,748 17,218

Total Assets $ 5,357,233 $ 5,676,320

Creditors

(amounts falling due within one year)

Purchase of Investments Awaiting Settlement 142,843 31,270

Financial Liabilities at Fair Value through Profit or Loss 9,278 2,368

Expenses Payable 79,388 61,391

Total Current Liabilities $ 231,509 $ 95,029

Net Assets attributable to redeemable participating Unitholders at bid value $ 5,125,724 $ 5,581,291

Adjustments from bid market value to last traded market value $ 13,501 $ 8,677

Net Assets attributable to redeemable participating Unitholders $ 5,139,225 $ 5,589,968

Class A

Units in Issue 2,434 3,290

Net Assets 55,137 79,154

Net Asset Value per Unit $ 22.65 $ 24.06

Class B

Units in Issue 728 728

Net Assets 15,924 16,997

Net Asset Value per Unit $ 21.88* $ 23.36*

Class C


Net Assets 2,242 2,384


Class I


Net Assets 4,204,128 4,434,322


Class M


Net Assets 405,209 530,752

Net Asset Value per Unit € 21.30 € 22.72

Class T


Net Assets 456,585 526,359

Net Asset Value per Unit £ 20.58 £ 21.78 * Net asset value per unit may not recalculate due to rounding of fractional shares. On behalf of the Manager: Director: Director: 14 October 2015

Balance Sheet cont.




30 June 2015

USD30 June 2014

USD

Current Assets


Cash at Bank (Note 2) 207,596 73,108



Subscription of Units Awaiting Settlement 217 217


Total Assets $ 5,286,069 $ 5,610,103

Creditors









Class A


Net Assets 78,983 83,310


Class B


Net Assets 20,499 29,637


Class C




Class I


Net Assets 4,241,640 4,431,736


Class M


Net Assets 347,903 451,997


Class T


Net Assets 468,758 536,767

Net Asset Value per Unit £ 17.11 £ 18.00 On behalf of the Manager: Director: Director: 14 October 2015

Balance Sheet cont.




30 June 2015

USD30 June 2014

USD

Current Assets


Cash at Bank (Note 2) 157,667 59,188




Total Assets $ 7,878,134 $ 8,000,232

Creditors









Class A


Net Assets 336,880 313,678


Class B


Net Assets 237,636 249,768


Class C




Class I


Net Assets 5,939,441 5,917,493


Class M


Net Assets 533,719 659,741


Class T


Net Assets 681,778 744,083


Balance Sheet cont.




30 June 2015

GBP30 June 2014

GBP

Current Assets

Financial Assets at Fair Value through Profit or Loss £ 383,223,250 £ 474,937,193

Cash at Bank (Note 2) 971,031 -

Receivable for Expense Reimbursement from Manager (Note 10) 40,125 -

Broker Cash Held as Collateral for Financial Derivative Instruments 2,940,334 537,572

Sales of Investments Awaiting Settlement 157,319,247 303,453,551

Subscription of Units Awaiting Settlement 12,964 -

Premium Paid on Swap Contracts 43,040 59,160

Dividend Income Receivable 1,499 -

Interest Income Receivable 1,443,684 2,214,259

Total Assets £ 545,995,174 £ 781,201,735

Creditors


Purchase of Investments Awaiting Settlement 159,076,636 282,760,086

Financial Liabilities at Fair Value through Profit or Loss 118,938,547 158,088,303

Broker Cash due to Counterparties for Financial Derivative Instruments 2,940,334 537,572

Premium Received on Swap Contracts 326,908 256,170

Redemption of Units Awaiting Settlement 12,952 34,670,000

Expenses Payable 418,213 1,011,037

Due to Broker for Margin - 56,611

Bank Overdraft (Note 2) - 174,379

Interest Payable 171,647 214,777

Total Current Liabilities £ 281,885,237 £ 477,768,935

Net Assets attributable to redeemable participating Unitholders £ 264,109,937 £ 303,432,800

Class S

Units in Issue 36,281,366 41,924,037

Net Assets 264,109,937 303,432,800


Balance Sheet cont.




30 June 2015

USD30 June 2014

USD

Current Assets


Cash at Bank (Note 2) 420,273 460,468

Broker Cash Held as Collateral for Financial Derivative Instruments 4,590,000 1,110,000

Sales of Investments Awaiting Settlement 1,696,503 1,628,129

Subscription of Units Awaiting Settlement 1,622,527 327,108

Interest Income Receivable 4,669,512 4,599,229

Total Assets $ 328,201,393 $ 330,955,408

Creditors



Financial Liabilities at Fair Value through Profit or Loss 1,086,514 631,498

Broker Cash due to Counterparties for Financial Derivative Instruments 4,590,000 1,110,000

Redemption of Units Awaiting Settlement 2,022,661 98,755

Expenses Payable 1,010,526 1,022,875

Total Current Liabilities $ 10,066,439 $ 9,827,079 Net Assets attributable to redeemable participating Unitholders at bid value $ 318,134,954 $ 321,128,329 Adjustments from bid market value to last traded market value $ (8,628) $ 4,178 Net Assets attributable to redeemable participating Unitholders $ 318,126,326 $ 321,132,507 Class A

Units in Issue 3,152,852 3,311,525

Net Assets 21,031,264 23,584,015


Class B


Net Assets 3,067,029 3,376,118


Class C


Net Assets 5,502,358 8,181,418


Class E


Net Assets 3,144,703 8,863,307


Class I

Units in Issue 2,238,958 2,233,867

Net Assets 5,719,270 6,100,225


Balance Sheet cont.



Putnam Global High Yield Bond Fund cont.

30 June 2015

USD30 June 2014

USD

Class S

Units in Issue 36,501,939 30,478,004

Net Assets 279,661,702 271,027,424


Balance Sheet cont.




30 June 2015

USD30 June 2014

USD

Current Assets


Cash at Bank (Note 2) 809,870 410,753

Receivable for Expense Reimbursement from Manager (Note 10) 48,949 -

Broker Cash Held as Collateral for Financial Derivative Instruments 3,360,000 930,000


Subscription of Units Awaiting Settlement 58,785 166,646

Premium Paid for Swap Contracts 8,378 1,808,632


Interest Income Receivable 831,468 756,385

Total Assets $ 323,494,183 $ 353,664,212

Creditors



Financial Liabilities at Fair Value through Profit or Loss 11,064,391 3,871,899

Broker Cash due to Counterparties for Financial Derivative Instruments 3,360,000 930,000

Premium Received on Swap Contracts 2,027,855 43,922

Redemption of Units Awaiting Settlement 1,170,403 927,499

Due to Broker for Margin 169,517 350,914

Expenses Payable 1,495,395 1,774,724

Distributions payable 1,646 -

Total Current Liabilities $ 40,920,317 $ 22,121,858




Class A

Units in Issue 4,734,900 6,963,082

Net Assets 66,503,473 100,413,272


Class B


Net Assets 547,399 508,855


Class C

Units in Issue 2,294,413 2,760,298

Net Assets 28,716,102 35,561,128


Class E

Units in Issue 7,213,899 7,103,608

Net Assets 88,423,445 111,083,215


Class E2*

Units in Issue 1,214,390 -

Net Assets 13,612,073 -

Net Asset Value per Unit € 10.06 € - * Class E2 of Putnam Total Return Fund launched on 16 March 2015.

Balance Sheet cont.



Putnam Total Return Fund cont.

30 June 2015

USD30 June 2014

USD

Class I


Net Assets 8,866,581 6,014,269


Class M

Units in Issue 3,846,808 3,619,418

Net Assets 43,925,163 52,357,612


Class S

Units in Issue 5,664,032 4,021,582

Net Assets 32,011,189 25,635,417

Net Asset Value per Unit £ 3.60 £ 3.72

On behalf of the Manager: Director: Director: 14 October 2015

Balance Sheet cont.




30 June 2015

USD30 June 2014

USD

Current Assets


Cash at Bank (Note 2) 685,563 -

Broker Cash Held as Collateral for Financial Derivative Instruments 860,000 20,000

Sales of Investments Awaiting Settlement 54,638 2,105,169


Other Debtors - 1,025

Total Assets $ 56,694,734 $ 66,953,914

Creditors



Financial Liabilities at Fair Value through Profit or Loss 71,063 -

Broker Cash due to Counterparties for Financial Derivative Instruments 860,000 20,000

Redemption of Units Awaiting Settlement 56,891 92,630


Bank Overdraft (Note 2) - 1,772,301

Total Current Liabilities $ 1,634,609 $ 2,536,403




Class A


Net Assets 88,368 83,970


Class M

Units in Issue 3,434,310 3,465,072

Net Assets 54,981,849 64,350,308


On behalf of the Manager: Director: Director: 14 October 2015

Statement of Changes in Net Assets Attributable to Redeemable Participating Unitholders





USD


USD

Net Assets attributable to redeemable participating Unitholders at beginning of year $ 5,589,968 $ 4,660,781(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders from operations (429,985) 912,987

Net (Decrease)/Increase in Net Assets resulting from Unit Transactions (20,758) 16,200

(Decrease)/Increase in Net Assets (450,743) 929,187

Net Assets attributable to redeemable participating Unitholders at end of year $ 5,139,225 $ 5,589,968 Putnam Emerging Markets Equity Fund


USD


USD

Net Assets attributable to redeemable participating Unitholders at beginning of year $ 5,535,378 $ 4,698,089(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders from operations (367,678) 881,618

Net Decrease in Net Assets resulting from Unit Transactions (8,087) (44,329)

(Decrease)/Increase in Net Assets (375,765) 837,289

Net Assets attributable to redeemable participating Unitholders at end of year $ 5,159,613 $ 5,535,378 Putnam Global Core Equity Fund


USD


USD

Net Assets attributable to redeemable participating Unitholders at beginning of year $ 7,886,745 $ 6,279,029(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders from operations (170,473) 1,535,670

Net Increase in Net Assets resulting from Unit Transactions 15,154 72,046

(Decrease)/Increase in Net Assets (155,319) 1,607,716

Net Assets attributable to redeemable participating Unitholders at end of year $ 7,731,426 $ 7,886,745

Statement of Changes in Net Assets Attributable to Redeemable Participating Unitholders cont.





GBP


GBP

Net Assets attributable to redeemable participating Unitholders at beginning of year £ 303,432,800 £ 324,600,000

Increase in Net Assets attributable to redeemable participating Unitholders from operations 1,406,666 13,391,887

Net Decrease in Net Assets resulting from Unit Transactions (40,729,529) (34,559,087)

Decrease in Net Assets (39,322,863) (21,167,200)

Net Assets attributable to redeemable participating Unitholders at end of year £ 264,109,937 £ 303,432,800 Putnam Global High Yield Bond Fund


USD


USDNet Assets attributable to redeemable participating Unitholders at beginning of year $ 321,132,507 $ 268,427,537(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders from operations (44,873,573) 32,389,336

Net Increase in Net Assets resulting from Unit Transactions 31,027, 089 10,126,314

Dividends Reinvested 10,840,303 10,189,320

(Decrease)/Increase in Net Assets (3,006,181) 52,704,970 Net Assets attributable to redeemable participating Unitholders at end of year $ 318,126,326 $ 321,132,507 Putnam Total Return Fund


USD


USD

Net Assets attributable to redeemable participating Unitholders at beginning of year $ 331,573,768 $ 364,051,360

(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders from operations (41,709,397) 48,695,735

Net Decrease in Net Assets resulting from Unit Transactions (8,492,175) (82,928,043)

Dividends Reinvested 1,233,229 1,754,716

Decrease in Net Assets (48,968,343) (32,477,592)


Statement of Changes in Net Assets Attributable to Redeemable Participating Unitholders cont.





USD


USD

Net Assets attributable to redeemable participating Unitholders at beginning of year $ 64,434,278 $ 47,250,388

(Decrease)/Increase in Net Assets attributable to redeemable participating Unitholders from operations (8,851,043) 17,160,540

Net (Decrease)/Increase in Net Assets resulting from Unit Transactions (513,018) 23,350

(Decrease)/Increase in Net Assets (9,364,061) 17,183,890


Notes to the Financial Statements as at 30 June 2015


1. Basis of Presentation

i) Basis of accounting The financial statements have been prepared under the historical cost convention as modified to include investments at fair value by the revaluation of financial assets and financial liabilities held at fair value through profit or loss. These policies have been applied consistently to all years presented unless otherwise stated.

The financial statements have been prepared in accordance with accounting standards generally accepted in Ireland and in accordance with the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended). Accounting standards generally accepted in Ireland in preparing financial statements giving a true and fair view are those issued by the Financial Reporting Council ("FRC") and promulgated by the Institute of Chartered Accountants in Ireland.

The Trust has availed of the exemption available to open-ended investment funds under Financial Reporting Standard No. 1 (Revised) “Cash Flow Statement” not to prepare a cash flow statement.

ii) Critical accounting estimates and assumptions

Management makes estimates and assumptions concerning the future. The resulting accounting estimates will, by definition, seldom equal the related actual results. The estimates and assumptions that have a significant risk of causing a material adjustment to the carrying amounts of assets and liabilities within the next financial year are outlined below.

Fair value of financial instruments The Trust may, from time to time, hold financial instruments that are not quoted in active markets, such as securities which are valued using prices sourced from a broker, and over-the-counter (“OTC”) derivatives. The fair value of such instruments is determined using valuation techniques. Where valuation techniques are used to determine fair value they are validated and periodically reviewed by experienced personnel at Putnam Investments (Ireland) Limited (the “Manager”) or its affiliates, independent of the party that created them. The prices used at the year end which have been sourced from a single broker source are the best estimates of fair value as at the year end date. However, there is a degree of uncertainty in respect of these prices. It may not always be possible to close out the positions at the stated mark with the given counterparty. The Directors believe that the values arrived at are reasonable and prudent, however actual results may differ from these estimates and the differences could be material.

Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Investment Manager. 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.

All the Trust’s financial assets and financial liabilities are held for the purpose of being traded.

Functional currency The Board of Directors of the Manager considers U.S. Dollars as the currency that most faithfully represents the economic effects of the underlying transactions, events and conditions for all Funds other than Putnam Global Fixed Income Alpha Fund S2. The U.S. Dollar is the currency in which each Fund (other than Putnam Global Fixed Income Alpha Fund S2) measures its performance and reports its results, as well as the currency in which it receives subscriptions from its investors. For Putnam Global Fixed Income Alpha Fund S2 the functional currency is Sterling. All of the investors in Putnam Global Fixed Income Alpha Fund S2 are residents of the United Kingdom, therefore the Board of Directors of the Manager considers Sterling as the currency that most faithfully represents this Fund.

2. Accounting Policies

Significant accounting policies adopted by the Trust are as follows:

A) Investments i) Valuation of Investments

Investments are reported at fair value. The fair value of financial instruments traded in active markets (such as publicly traded derivatives and trading securities) is based on bid prices for long positions and offer prices for short positions at the Balance Sheet date. Where any of the investments are not listed on Recognised Stock Exchanges or traded on regulated markets and a quotation from an independent pricing service is not available, such securities shall be valued at their probable realisation value as determined by the Manager or its delegate, each of them being approved by the Trustee as a competent person for such purpose. Securities valued following procedures approved by the Investment Advisor are indicated by “F” in each Fund's Schedule of Investments. The total fair value of securities valued following procedures approved by the Investment Advisor for each Fund is listed below. Securities purchased or sold on a when-issued basis may be settled at a future date beyond customary settlement date.

Fund Number of Positions Fair Value % of Fund

Putnam Asia Pacific (Ex-Japan) Equity Fund USD 1 51,426 1.00% Putnam Emerging Markets Equity Fund USD 1 48,212 0.93% Putnam Global Core Equity Fund USD 2 51,395 0.66% Putnam Global Fixed Income Alpha Fund S2 GBP 8 6,173,372 2.34% Putnam Global High Yield Bond Fund USD 7 1,389,532 0.44% Putnam Total Return Fund USD 3 2,730,035 0.97% Putnam U.S. Large Cap Growth Fund USD 6 233,824 0.42%

Notes to the Financial Statements as at 30 June 2015 cont.


2. Accounting Policies cont.

A) Investments cont. i) Valuation of Investments cont.

Classification The Trust classifies its investments in debt and equity securities, and related derivatives, as financial assets or financial liabilities at fair value through profit or loss. These financial assets and financial liabilities are classified as held for trading or designated by the Trust’s Manager at fair value through profit or loss at inception.

Financial assets and financial liabilities designated at fair value through profit or loss at inception are those that are managed and their performance evaluated on a fair value basis in accordance with the Trust’s documented investment strategy. The Trust’s policy is for the Investment Advisor to evaluate the information about these financial assets on a fair value basis together with other related financial information.

Fair value estimation The fair value of financial instruments traded in active markets is based upon market prices at the Balance Sheet date. When the Trust holds derivatives with offsetting market risks, it uses mid-market prices as a basis for establishing fair values for the offsetting risk positions and applies this mid-price to the net open position, as appropriate.

The fair value of financial instruments that are not traded in an active market is determined using valuation techniques. The Trust uses a variety of methods and makes assumptions that are based on market conditions existing at each Balance Sheet date. Valuation techniques used include the use of comparable recent arm’s length transactions, discounted cash flow analysis, option pricing models and other valuation techniques commonly used by market participants.

Certain securities may be valued on the basis of a price provided by a single broker. Single broker priced securities are highlighted in the Schedule of Investments by the † symbol. Some Funds may invest in securities with contractual cash flows, such as asset-backed securities, collateralised mortgage obligations and commercial mortgage backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate values, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.

Rights and Warrants Rights and warrants contracts are options to purchase additional securities from the issuer at a specified price during a specified year. Rights and warrants are sometimes used to gain exposure to emerging market equities where custody, liquidity, or other issues make ownership of local shares sub-optimal.

The valuation of the rights and warrants depends on the level of trading. If the rights and warrants are actively traded in the market then the market price is used. If the rights and warrants are not actively traded in the market then either the intrinsic value of the right/warrant based on underlying equity price and right/warrant strike price or modified Black-Scholes derived value, adjusted for liquidity or other risks deemed appropriate are used. Premiums paid on rights which expired or were unexercised are recognised on the expiry date as realised gains or losses in the Profit and Loss Account. If a right is exercised, the premium paid is included with the cost of the transaction to determine whether the Fund has realised a gain or loss on the related investment transaction.

Futures Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The Funds and the broker agree to exchange an amount of cash based on the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”. For open futures, changes in the value of the contract are recognised as unrealised profits or losses by “marking-to-market” the value of the contract at the Balance Sheet date. Unrealised gains or losses on open futures contracts are shown in the Schedules of Investments of each relevant Fund and as appropriate, on the Balance Sheet as part of financial assets and liabilities at fair value through profit or loss.

Options Contracts The potential risk to the Funds 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. Realised gains and losses on purchased options are included on the Funds’ Balance Sheet. 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 Contracts cont. 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.

Total Return Swap Contracts The Funds may enter into OTC total return swap contracts, which are arrangements between two parties to exchange a market linked return for a periodic payment, both based on a notional principal amount to help enhance the Funds’ return and manage the Funds’ exposure to risk. To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Funds will receive a payment from or make a payment to the counterparty. OTC total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealised gain or loss. Payments received or made are recorded as realised gains or losses. Certain OTC total return swap contracts may include extended effective dates, and are indicated by “E” in the Schedule of Investments. Payments related to these swap contracts are accrued based on the terms of the contract.

The Funds could be exposed to credit or market risk due to unfavourable 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 Funds’ maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the Funds and the counterparty. Risk of loss may exceed amounts recognised on the Balance Sheet.

Interest Rate Swap Contracts The Funds may enter 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 manage the Funds’ exposure to interest rates. 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 paid/(received) by the Funds is recorded as an asset/(liability) on the Funds’ 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 unrealised gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as part of financial assets and liabilities at fair value through profit or loss in the Balance Sheet and recorded as unrealised gain or loss. Payments, including upfront premiums, received or made are recorded as realised 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, and are indicated by "E" in the Schedule of Investments. Payments related to these swap contracts are accrued based on the terms of the contract.

The Funds could be exposed to credit or market risk due to unfavourable 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 Funds’ maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the Funds 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 recognised on the Balance Sheet.

Credit Default Contracts The Funds may enter into OTC and/or centrally cleared credit default contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In OTC and centrally cleared credit default contract, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by a Fund is recorded as a liability on the Funds' books. An upfront payment made by a Fund is recorded as an asset on the Funds’ books. Upfront and periodic payments received or paid by the Funds for OTC and centrally cleared credit default contracts are recorded as realised gains or losses at the reset date or close of the contract. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties are settled through a central clearing agent through variation margin payments. 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 unrealised gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Balance Sheet and recorded as unrealised gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realised gain or loss.





Credit Default Contracts cont. In addition to bearing the risk that the credit event will occur, the Funds 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 a Fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the Funds may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risk of loss may exceed amounts recognised on the Balance Sheet. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for the OTC credit default contracts by having a master netting arrangement between that Fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default contracts due to the clearing house guarantee fund and other resources that are available in the event of a clearing member default. Where a Fund is a seller of protection, the maximum potential amount of future payments the Funds may be required to make is equal to the notional amount.

When-Issued Securities (“WIS”) The Funds may purchase or sell securities on a when-issued or delayed-delivery basis for the purposes of hedging and investment purposes. In this instance payment for and delivery of securities take place in the future at a stated price in order to secure what is considered to be an advantageous price and yield to the Fund at the time of entering into the transaction. Securities are considered “delayed delivery” securities when traded in the secondary market, or “when-issued” securities if they are an initial issuance of securities. Delayed delivery securities (which will not begin to accrue interest until the settlement date) and when-issued securities will be recorded as assets of the Fund and will be subject to risks of market value fluctuations. The purchase price of delayed delivery and when-issued securities will be recorded as a liability of the Fund until settlement date and, when issued or delivered as the case may be, such securities will be taken into account when calculating the investment restrictions limits. To Be Announced (“TBA”) Commitments The Funds may enter into TBA 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 Funds hold, and maintain until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the Funds 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 Funds may also enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the Funds realise a gain or loss. If the Funds deliver securities under the commitment, the Funds realise 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. Counterparty risk is mitigated by having a master agreement between the Funds and the counterparty.

Unsettled TBA commitments are valued at their fair value. The contract is marked to market daily and the change in fair value is recorded by the Funds as an unrealised gain or loss. Based on market circumstances, the Manager will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.

Repurchase Agreements Securities purchased under agreements to resell are valued at notional value plus accrued interest. Interest rates vary for each repurchase agreement and are set at the initiation of the agreement. Interest earned under such agreements is accounted for on an accruals basis.

Investments in Investment Companies Investments in Investment Companies are valued using the latest fair value at the latest available unaudited Net Asset Value for the shares obtained from the relevant administrator unless, in the Manager’s reasonable opinion, there are reasons to justify departing temporarily or permanently from that price. Such reasons may, without limitation include those associated with the liquidity and/or the pricing methodology being employed by such investment companies. The changes in the daily Net Asset Value of these shares is recognised as part of “Net realised and Net unrealised gains or losses on financial assets and liabilities at fair value through profit or loss” as part of the Profit and Loss Account.

Cash and Other Liquid Assets Cash comprises current deposits with banks. Cash equivalents are short-term highly liquid investments that are readily convertible to known amounts of cash, are subject to an insignificant risk of changes in value, and are held for the purpose of meeting short-term cash commitments rather than for investment or other purposes. All Cash at Bank is held with State Street Bank and Trust Company.

Cash and other liquid assets will be valued at their face value with interest accrued, where applicable.



2. Accounting Policies cont. A) Investments cont.

i) Valuation of Investments cont.

Accounting for Investments Recognition/derecognition Purchases and sales of investments are recognised on the day the transaction takes place (the trade date). Investments are derecognised when the rights to receive cash flows from the investments have expired or the Trust has transferred substantially all risks and rewards of ownership.

Measurement Financial assets and financial liabilities at fair value through profit or loss are initially recognised at fair value. Transaction costs are expensed in the Profit and Loss Account. Subsequent to initial recognition, all financial assets and financial liabilities at fair value through profit or loss are measured at fair value in accordance with the policies above. Gains and losses arising from changes in the fair value of the financial assets and financial liabilities at fair value through profit or loss category are presented in the Profit and Loss Account in the year in which they arise.

Classification The Funds classify their investments as financial assets or financial liabilities at fair value through profit or loss under FRS 26.

Net Gains/(Losses) on Investment Activities In respect of each instrument type classified as financial assets or financial liabilities at fair value through profit or loss, the movement in unrealised gains/(losses) since the prior year end and realised gains/(losses) are included in net realised and unrealised gains/ (losses) on financial assets and liabilities at fair value through profit or loss.

Realised gains and losses on investment transactions are calculated using the average cost method.

Collateral The Funds’ assets may be pledged as collateral to, and held by the counterparty and brokers for open futures and swap contracts. The Funds may also receive securities pledged as collateral from counterparties and brokers for open futures and swap contracts. As at 30 June 2015, the fair value of securities received by the Funds as collateral are as follows: Putnam Global Fixed Income Alpha Fund S2 GBP 2,783,571 (30 June 2014 GBP 2,176,987), Putnam Global High Yield Bond Fund USD 2,606,193 (30 June 2014 USD 1,382,205), Putnam Total Return Fund USD 252,213 (30 June 2014 USD 2,467,447) and Putnam U.S. Large Cap Growth Fund USD 465,346 (30 June 2014: USD Nil). Collateral is recognised on the date the relevant Fund becomes a party to the contractual provisions.

Cash collateral provided by a Fund is identified in the Balance Sheet as due to/from broker for margin and is not included as a component of cash and cash equivalents. Cash collateral received by a Fund is identified in the Balance Sheet as broker cash held as collateral for financial derivative instruments. The obligation to return the cash collateral is identified in the Balance Sheet as broker cash due to counterparties for financial derivative instruments transactions. For collateral other than cash, if the party to whom the collateral is provided has the right by contract or custom to sell or re-pledge the collateral, the Fund classifies that asset in its Balance Sheet separately from other assets and identifies the asset as pledged collateral. Where the party to whom the collateral is provided does not have the right to sell or re-pledge, a disclosure of the collateral provided is made in the notes to the financial statements.

B) Income and Expenses i) Dividend Income

Dividend income arising on the underlying equity investments of the Trust is credited to the Profit and Loss Account on the date on which the relevant securities are listed as “ex-dividend”. Income is accounted for gross of any non reclaimable/irrecoverable withholding taxes and net of any tax credits. The withholding tax is shown separately in the Profit and Loss Account.

ii) Bond Interest Bond interest is recognised as income of the Trust on an effective interest basis. The effective interest method is a method of calculating the amortised cost of a financial asset or financial liability and of allocating the interest income or interest expense over the relevant year. The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts throughout the expected life of the financial instrument, or a shorter period where appropriate, to the net carrying amount of the financial asset or financial liability. When calculating the effective interest rate, the Trust estimates cash flows considering all contractual terms of the financial instrument but does not consider future credit losses.

iii) Interest Income Bank interest is recognised on an accruals basis.

iv) Capital Gains Tax The Trust currently incurs taxes imposed by certain countries on capital gains. Such gains are recorded gross of capital gains tax in the Profit and Loss Account. Capital gains tax, where it occurs, is shown as a separate item in the Profit and Loss Account. As at 30 June 2015, Putnam Emerging Markets Equity Fund was the only Fund to incur capital gains tax during the year.

v) Expenses Each Fund shall pay all of its expenses and such proportion of the Trust’s expenses which are allocated to that Fund based on the average Net Asset Value of the Fund when the expense is accrued. The costs and gains or (losses) of any currency hedging transactions will be attributable to the relevant Class in their entirety. To the extent that expenses are attributable entirely to a specific Class of a Fund, that Class shall bear such expenses. All expenses are accrued on a daily basis.




B) Income and Expenses cont. vi) Transaction Costs

Transaction costs are defined as the incremental costs that are directly attributable to the acquisition, issue or disposal of a financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not acquired, issued or disposed of the financial instrument. When a financial asset or financial liability is recognised initially, an entity shall measure it at its fair value through profit or loss plus, transaction costs that are directly attributable to the acquisition or issue of the financial asset or financial liability.

Transaction costs on the purchase and sale of bonds, forwards, repurchase agreements, swaps and swaptions, are included in the purchase and sale price of the investment. They cannot be practically or reliably gathered as they are embedded in the cost of the investment and cannot be separately verified or disclosed.

Transaction costs on purchases and sales of equities, futures and options are included in net gains/(losses) on investments in the Profit and Loss Account for each Fund.

C) Foreign Exchange Translation i) Functional and Presentation Currency

Items included in each Fund’s financial statements are measured and reported using the currency of the primary economic environment in which it operates (the “functional currency”). As stated in Note 1 (i), U.S. Dollars is the functional currency for each Fund of the Trust, other than Putnam Global Fixed Income Alpha Fund S2, whose functional currency is Sterling.

Assets and liabilities, including net assets attributable to redeemable participating unitholders, are translated at the closing rate at each Balance Sheet date. Exchange differences arising between the rate of translation of subscriptions and redemptions are also attributed to the redeemable participating Unitholders.

Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation at year-end exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the Profit and Loss Account.

ii) Forward Foreign Exchange Currency Contracts The Trust may enter into various types of forward foreign exchange currency contracts including Euro and Sterling Class level hedging, foreign security hedging and security transaction level hedging. The unrealised gain or loss on open forward foreign exchange currency contracts is calculated by reference to the difference between the contracted rate and the rate to close out the contract. Realised gains or losses include net gains on contracts, which have been settled or offset by other contracts. For foreign security hedges and security transaction level hedges, realised and unrealised gains and losses are allocated at the Fund level. For Euro and Sterling Class level hedges, these realised and unrealised gains and losses are allocated solely to the Euro and Sterling Unit Classes. While the Trust will attempt to hedge against the U.S. Dollar to Euro and Sterling currency exposure, there can be no guarantee that the value of the Euro and Sterling Classes will not be affected by the value of the Euro and Sterling relative to the U.S. Dollar.

D) Redeemable Participating Units and Distributions Redeemable participating units are redeemable at the Unitholder’s option and are classified as financial liabilities. Distributions to redeemable participating unitholders are recognised as a finance cost in the Profit and Loss Account and are recognised on ex- date. The participating unit can be put back to the Trust at any time for cash equal to a proportionate share of the Trust’s Net Asset Value. The participating unit is carried at the redemption amount that is payable at the Balance Sheet date if the Unitholder exercised his/her right to put the unit back to the Trust.

Redeemable participating units are issued and redeemed at the unitholder’s option at prices based on a Fund’s Net Asset Value per unit at the time of issue or redemption. The Fund’s Net Asset Value per unit is calculated by dividing the net assets attributable to redeemable participating unitholders of each class of shares with the total number of outstanding shares for each respective class. In accordance with the provisions of the Trust’s Trust Deed, investment positions are valued based on the last traded market price (for listed equities), bid price (for fixed income securities), or settlement price for exchange traded and OTC derivatives, for the purpose of determining the Net Asset Value per unit for subscriptions and redemptions.

E) Other Receivables and Payables i) Receivables

Receivables are non-derivative financial assets with fixed or determinable payments that are not quoted in an active market. Receivables are recognised at fair value plus transaction costs that are directly attributable to their acquisition origination.

ii) Payables Payables are recognised at fair value.

iii) Offsetting Financial Instruments Financial assets and liabilities are offset and the net amount reported in the Balance Sheet when there is a legally enforceable right to offset the recognised amounts and there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously.

F) Bank overdrafts Under the Trust Deed between the Manager and State Street Custodial Services (Ireland) Limited, the custodian bank has a lien on the securities of each Fund to the extent permitted by that Fund’s investment restrictions to cover any advances made by the custodian bank for the settlement of securities purchased by the Fund. At the close of the reporting year, the payable to the custodian bank represents the amount due for cash advanced for the settlement of securities purchased.



3. Number of Units in Issue and Net Assets attributable to redeemable Participating Unitholders

Each of the units entitles the holder to participate equally on a pro rata basis in the profits and dividends of the Funds attributable to such Class of units and to attend and vote at meetings of the Fund represented by those units. No class of units confers on the holder thereof any preferential or pre-emptive rights or any rights to participate in the profits and dividends of any other class of units or any voting rights in relation to matters relating solely to any other class of units. Each unit represents an undivided beneficial interest in the relevant Fund.

The return on an investment in the Funds will depend solely upon the investment performance of the assets and liabilities in that Fund and the increase or decrease (as the case may be) in the Net Asset Value of the units. The amount payable to a unitholder in respect of each unit upon liquidation of the relevant Funds will equal the Net Asset Value per unit of that Fund.

In accordance with the provisions of the Trust’s Trust Deed, listed investments and investments with prices quoted in over-the-counter markets or by market makers are generally stated at the last traded price (for listed equities) or bid price (for fixed income securities) on the valuation day for the purpose of determining Net Asset Value per unit for subscriptions and redemptions and for various fee calculations.

However, as stated in note 2A(i), the accounting policy of the Funds for the purpose of compliance with FRS 26 is to value its investments at the relevant bid or offer market prices on the Balance Sheet date.

As at 30 June 2015, the difference between the valuation stated in the financial statements of investments and the valuation methodology indicated in the Trust’s Trust Deed is reflected as “adjustments from bid market value to last traded market value” in the Funds' respective Balance Sheets. Net assets attributable to Unitholders represent a liability on the Balance Sheet, carried at the redemption amount that would be payable at the Balance Sheet date if the Unitholder exercised the right to redeem his/her Units to the Trust. Consequently, the differences described above adjust the carrying amount of the net assets attributable to redeemable participating Unitholders and are recognised in the Profit and Loss Account.

If the number of Units in a Fund falling to be redeemed on any Dealing Day is equal to 10% or more of the total number of Units in issue or deemed to be in issue in that Fund on such Dealing Day, the Manager may in its discretion refuse to redeem any Units in that Fund in excess of 10% of the total number of Units in issue or deemed to be in issue in that Fund as aforesaid and, if the Manager so refuses, upon notification to the relevant Unitholders, the requests for redemption of Units in that Fund on such Dealing Day shall be reduced rateably and the Units in that Fund to which each request relates which are not redeemed by reason of such refusal shall be treated as if a request for redemption had been made in respect of each subsequent Dealing Day until all the Units in that Fund to which the original request related have been redeemed provided, however, that the Manager may at its discretion, redeem in full the Units of smaller redemption requests (that represent 1% or less of Units in issue or deemed to be in issue) rather than including them in the pro rata calculation with the larger redemption requests received on such Dealing Day. Redemption requests will be dealt with fairly in accordance with the above.

The Manager may also apply a provision for market spreads and duties and charges in any other case where it considers such a provision to be in the best interests of a Fund. Any such sum will be paid into the account of the relevant Fund. Notwithstanding the foregoing, the levy with respect to Putnam Global High Yield Bond Fund will not exceed 1% of the Net Asset Value of that Fund under normal market conditions.

Distributions Payable to Redeemable Participating Unitholders Proposed distributions to holders of redeemable units are recognised in the Profit and Loss Account when the Trust incurs a legal or constructive obligation to pay such a distribution. The distribution on these redeemable units is recognised in the Profit and Loss Account as a finance cost. Certain classes of the Funds were certified as reporting funds by HM Revenue & Customs in the UK for the year ending 30 June 2015. The Trust has been approved for the UK reporting regime for the year ended 30 June 2015. There was no change in the nature of the Trust’s business during the year.

During the year ended 30 June 2015, distributions of USD 17,705,425 were declared and paid from Putnam Global High Yield Bond Fund (year ended 30 June 2014: USD 15,304,074) and USD 1,739,238 from Putnam Total Return Fund (year ended 30 June 2014: USD 1,927,046). There were no distributions paid from any of the other Funds for the years ended 30 June 2015 and 30 June 2014.

4. Current and Prior Year NAV Details


30 June 2015

USD 30 June 2014

USD30 June 2013

USDTotal Net Asset Value $ 5,139,225 $ 5,589,968 $ 4,660,781Class A Units in Issue 2,434 3,290 2,434Net Asset Value per Unit $ 22.65 $ 24.06 $ 20.55Class B Units in Issue 728 728 859Net Asset Value per Unit $ 21.88 $ 23.36 $ 20.04Class C Units in Issue 100 100 100Net Asset Value per Unit $ 22.42 $ 23.84 $ 20.37



4. Current and Prior Year NAV Details cont.

Putnam Asia Pacific (Ex-Japan) Equity Fund cont.

30 June 2015

USD30 June 2014

USD 30 June 2013

USDClass I Units in Issue 176,922 176,922 176,922Net Asset Value per Unit $ 23.76 $ 25.06 $ 21.25Class M Units in Issue 17,061 17,061 17,061Net Asset Value per Unit € 21.30 € 22.72 € 19.44Class T Units in Issue 14,120 14,120 14,120Net Asset Value per Unit £ 20.58 £ 21.78 £ 18.61 Putnam Emerging Markets Equity Fund

30 June 2015USD

30 June 2014 USD

30 June 2013USD

Total Net Asset Value $ 5,159,613 $ 5,535,378 $ 4,698,089Class A Units in Issue 4,271 4,271 6,316Net Asset Value per Unit $ 18.49 $ 19.51 $ 16.79Class B Units in Issue 1,147 1,565 1,848Net Asset Value per Unit $ 17.87 $ 18.94 $ 16.39Class C Units in Issue 100 100 100Net Asset Value per Unit $ 18.30 $ 19.31 $ 16.64Class I Units in Issue 214,935 214,935 214,935Net Asset Value per Unit $ 19.73 $ 20.62 $ 17.58Class M Units in Issue 18,146 18,146 18,146Net Asset Value per Unit € 17.20 € 18.19 € 15.71Class T Units in Issue 17,430 17,430 17,430Net Asset Value per Unit £ 17.11 £ 18.00 £ 15.48


30 June 2015USD

30 June 2014 USD

30 June 2013USD

Total Net Asset Value $ 7,731,426 $ 7,886,745 $ 6,279,029

Class A Units in Issue 16,832 15,620 11,538

Net Asset Value per Unit $ 20.01 $ 20.08 $ 16.46

Class B Units in Issue 12,278 12,796 13,165


Class C Units in Issue 100 100 100


Class I Units in Issue 283,083 283,083 283,083


Class M Units in Issue 26,123 26,123 26,123

Net Asset Value per Unit € 18.33 € 18.44 € 15.16

Class T Units in Issue 23,806 23,806 23,806

Net Asset Value per Unit £ 18.23 £ 18.27 £ 14.98





30 June 2015 GBP

30 June 2014GBP

30 June 2013GBP

Total Net Asset Value £ 264,109,937 £ 303,432,800 £ 324,600,000

Class S Units in Issue 36,281,366 41,924,037 46,697,028

Net Asset Value per Unit £ 7.28 £ 7.24 £ 6.95 Putnam Global High Yield Bond Fund

30 June 2015 USD

30 June 2014USD

30 June 2013USD


Class A Units in Issue 3,152,852 3,311,525 2,433,825




Class C Units in Issue 651,074 907,461 881,405


Class E Units in Issue 379,225 806,170 653,127


Class I Units in Issue 2,238,958 2,233,867 38,304,877



Net Asset Value per Unit £ 4.88 £ 5.19 £ 4.94 Putnam Total Return Fund

30 June 2015 USD

30 June 2014USD

30 June 2013USD


Class A Units in Issue 4,734,900 6,963,082 11,543,960




Class C Units in Issue 2,294,413 2,760,298 3,882,754


Class E Units in Issue 7,213,899 7,103,608 6,966,294


Class E2* Units in Issue 1,214,390 - -

Net Asset Value per Unit € 10.06 $ - $ -

Class I Units in Issue 810,967 539,532 201,422


Class M Units in Issue 3,846,808 3,619,418 4,849,513



Net Asset Value per Unit £ 3.60 £ 3.72 £ 3.32 * Class E2 of Putnam Total Return Fund launched on 16 March 2015.





30 June 2015

USD30 June 2014

USD 30 June 2013

USD


Class A Units in Issue 6,042 6,090 100


Class M Units in Issue 3,434,310 3,465,072 3,457,465

Net Asset Value per Unit € 14.36 € 13.56 € 10.50 5. Risks Associated with Financial Instruments

As defined in FRS 29 Financial Instruments, risk can be separated into the following components: market risk (which includes market price risk, foreign currency risk and interest rate risk), liquidity risk and credit or default risk. The Trust’s risk management process consists of a multi-layered and cross functional review that provides a system of checks and balances. The Investment Advisor performs reviews at least monthly and agrees on policies for managing each of these risks which are summarised below. The Board of Directors of the Manager of the Trust receives monthly reporting on risk matters and reviews the risk management process on an annual basis. These policies have remained substantially unchanged since the beginning of the year to which these financial statements relate.

A) Market Price Risk

Market price risk arises mainly from uncertainty about future prices of financial instruments held. It represents the potential loss the Trust might suffer through holding market positions in the face of price movements caused by factors specific to the individual investment or factors affecting all instruments traded in the market. The Investment Advisor considers the asset allocation of the portfolios in order to minimise the risk associated with particular countries or industry sectors whilst continuing to follow the Trust’s investment objectives.

The Investment Advisor measures both the Fund’s total risk as well as its risk of underperformance versus its stated benchmark (also referred to as active risk or tracking error “TE”).

The market risk exposure for each Fund as at 30 June 2015 is equivalent to the fair values of investments held, as reflected in each Fund’s Schedule of Investments.

Aggregate Value at Risk The Funds use relative Value at Risk (“VaR”) as a risk measurement technique to measure, monitor and manage risks.

The VaR measure estimates the potential loss in pre-taxation profit over a given holding year for a specified confidence level. The VaR methodology is a statistically defined, probability-based approach that takes into account market volatilities as well as risk diversification by recognising offsetting positions and correlations between products and markets. Risks can be measured consistently across all markets and products, and risk measures can be aggregated to arrive at a single risk number.

Given the interdependencies between market variables, the Trust also estimates the VaR or threshold loss that is not expected to be exceeded at the 99th percentile confidence level over a 1-day horizon. The Investment Advisor uses a proprietary multi-factor model to estimate the total risk from which VaR estimates can be analytically derived. The VaR estimates presented below are point-in-time and vary over time as a function of market and portfolio composition changes.

Given its reliance on historical data, VaR is most effective in estimating risk exposures in markets in which there are no sudden fundamental changes or sudden shifts in market conditions. An inherent limitation of VaR is that the distribution of past changes in market risk factors may not produce accurate predictions of future risk. Different VaR methodologies and distributional assumptions could produce a materially different VaR. Moreover, VaR calculated for a one-day time horizon does not fully capture the market risk of positions that cannot be liquidated or offset with hedges within one day. Changes in VaR between reporting years are generally due to changes in levels of exposure, volatilities and/or correlations among asset classes.



5. Risks Associated with Financial Instruments cont.

A) Market Price Risk cont.

The tables below show the VaR of each Fund, its stated benchmark (if applicable) as well as the ratio between the two measures (also referred to as relative VaR) for Funds in issue as of 30 June 2015 and 30 June 2014:

Portfolio VaR

Fund 1 Day % Min % Average % Max %

Putnam Asia Pacific (Ex-Japan) Equity Fund 30-Jun-15 1.93 1.34 1.71 2.05

30-Jun-14 1.63 1.63 2.05 2.54

Putnam Emerging Markets Equity Fund 30-Jun-15 1.84 1.42 1.77 2.03

30-Jun-14 1.69 1.69 2.06 2.55

Putnam Global Core Equity Fund 30-Jun-15 1.64 1.45 1.76 2.00

30-Jun-14 1.75 1.75 2.06 2.37

Putnam Global Fixed Income Alpha Fund S2* 30-Jun-15 0.47 0.41 0.52 0.68

30-Jun-14 0.63 0.41 0.50 0.63

Putnam Global High Yield Bond Fund 30-Jun-15 1.05 0.91 1.05 1.18

30-Jun-14 0.96 0.88 1.20 1.41

Putnam Total Return Fund 30-Jun-15 1.06 0.70 1.14 1.36

30-Jun-14 1.04 0.83 1.10 1.33

Putnam U.S. Large Cap Growth Fund 30-Jun-15 1.69 1.53 1.88 2.12

30-Jun-14 2.08 1.78 2.06 2.30 Benchmark VaR

Fund 1 Day % Min % Average % Max % Reference Benchmark

Putnam Asia Pacific (Ex-Japan) Equity Fund 30-Jun-15 1.94 1.45 1.76 2.01 MSCI AC Pacific ex Japan Index

30-Jun-14 1.61 1.61 2.04 2.45

Putnam Emerging Markets Equity Fund 30-Jun-15 1.99 1.55 1.90 2.17 MSCI Daily TR EM USD

30-Jun-14 1.73 1.73 2.15 2.52

Putnam Global Core Equity Fund 30-Jun-15 1.66 1.37 1.73 2.05 MSCI World Index

30-Jun-14 1.55 1.55 1.91 2.21 Putnam Global Fixed Income Alpha Fund S2* 30-Jun-15 0.02 0.02 0.02 0.02 BBA Libor GBP 6 Month

30-Jun-14 0.02 0.02 0.02 0.02

Putnam Global High Yield Bond Fund 30-Jun-15 0.93 0.82 0.91 0.99 USD Hgd Index

30-Jun-14 0.82 0.82 1.05 1.25

Putnam Total Return Fund 30-Jun-15 1.12 0.63 1.12 1.26 Custom Dynamic Risk Allocation Index

30-Jun-14 1.04 1.04 1.25 1.56

Putnam U.S. Large Cap Growth Fund 30-Jun-15 1.61 1.43 1.78 2.04 Russell 1000 Growth Index

30-Jun-14 1.89 1.69 1.92 2.16 * Effective 1 September 2015, the Fund's name changed to Putnam Fixed Income Global Alpha Fund.

Relative VaR (ratio of Fund VaR / Benchmark VaR)

Fund 1 Day %

Putnam Asia Pacific (Ex-Japan) Equity Fund 30-Jun-15 0.99

30-Jun-14 1.01

Putnam Emerging Markets Equity Fund 30-Jun-15 0.92

30-Jun-14 0.98

Putnam Global Core Equity Fund 30-Jun-15 0.99

30-Jun-14 1.13

Putnam Global High Yield Bond Fund 30-Jun-15 1.13

30-Jun-14 1.17

Putnam Total Return Fund 30-Jun-15 0.95

30-Jun-14 1.00

Putnam U.S. Large Cap Growth Fund 30-Jun-15 1.05

30-Jun-14 1.10




A) Market Price Risk cont.

The below table details the daily VaR utilisation for the years ending 30 June 2015 and 30 June 2014. Daily VaR Utilisation*

Fund 1 Day % Min %Average

% Max %

Putnam Asia Pacific (Ex-Japan) Equity Fund 2015 50% 42% 48% 52%

2014 50% 46% 50% 53%

Putnam Emerging Markets Equity Fund 2015 46% 41% 47% 50%

2014 49% 45% 48% 51%

Putnam Global Core Equity Fund 2015 49% 48% 51% 58%

2014 57% 52% 54% 57%

Putnam Global Fixed Income Alpha Fund S2** 2015 n/a n/a n/a n/a

2014 n/a n/a n/a n/a

Putnam Global High Yield Bond Fund 2015 57% 54% 58% 62%

2014 58% 46% 57% 62%

Putnam Total Return Fund 2015 48% 46% 51% 58%

2014 50% 35% 44% 51%

Putnam U.S. Large Cap Growth Fund 2015 52% 47% 53% 57%

2014 55% 51% 54% 58% * VaR Utilisation = Portfolio VaR / Benchmark VaR / 2. Relative VaR utilisation measures the ratio of the Fund VaR and benchmark VaR to the relative VaR limit of 200%. Utilisation > 100% equates to breaking the limit. ** Putnam Global Fixed Income Alpha Fund S2 only reports its portfolio VaR. For this Fund VaR is tracked against a limit of 5% and uses a cash equivalent benchmark so the VaR ratio is not relevant. Leverage In accordance with ESMA Guidelines (CESR/10-788), each Fund's leverage during the year is calculated as the gross sum of the notionals of all the derivative instruments used by a Fund, with the sum expressed as a percentage of a Fund’s net assets. As a result of this calculation methodology, each Fund’s level of leverage as depicted by the figures below may be overstated and not representative of the actual exposure represented by the derivative positions in the Fund. The leverage figure calculated takes the absolute sum of long and short derivative positions and sums them. There is no reduction for offsetting or partial offsetting positions or even exposures to positions that have been closed or partially closed. For example, if a Fund opened a long Australian Dollar currency forward position against the British Pound for $1 million notional exposure (i.e., buying Australian Dollar, selling Pounds) and then later closed that position by executing the same trade in the offsetting direction (i.e., selling Australian Dollar, buying Pounds), these trades would count $2 million notional toward the sum despite that these positions have an economic exposure of 0. Another example of how this figure may overstate leverage is in interest rate hedging. If a Fund opens an interest rate swap position to pay on USD rates fixed versus floating for $1 million notional and then re-hedges that interest rate position by receiving on USD rates fixed versus floating for a $1 million notional, these trades would count $2 million notional toward the sum despite the fact that these positions have an economic exposure of 0.

The figures provided below are an average across the year and will vary from time to time. Fund Average % Average %

Putnam Asia Pacific (Ex-Japan) Equity Fund 30-Jun-15 46 30-Jun-14 11

Putnam Emerging Markets Equity Fund 30-Jun-15 44 30-Jun-14 18

Putnam Global Core Equity Fund 30-Jun-15 28 30-Jun-14 34

Putnam Global Fixed Income Alpha Fund S2 30-Jun-15 752 30-Jun-14 779

Putnam Global High Yield Bond Fund 30-Jun-15 18 30-Jun-14 21

Putnam Total Return Fund 30-Jun-15 315 30-Jun-14 316

Putnam U.S. Large Cap Growth Fund 30-Jun-15 7 30-Jun-14 1 B) Foreign Currency Risk

Currency 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. The risk arises on financial instruments that are denominated in a currency other than the functional currency in which these are measured. A substantial proportion of each Fund’s assets are held in currencies other than the base currency with the result that the Funds’ Balance Sheets can be significantly affected by currency movements.

Certain Class level hedges as included in the analysis of the Portfolio of Investments are entered into in order to hedge the value of the Euro and Pound Sterling Hedge Classes, in the U.S. Dollar Funds.




B) Foreign Currency Risk cont.


2015

Foreign Currency

MonetaryAssets/(Liabilities)

USD

Non-MonetaryAssets

USD

Gross ForeignCurrency Exposure

USD

Forwards Currency Contracts at Portfolio Level

USD

Net ForeignCurrency Exposure

USD

Australian Dollar (34,218) 952,747 918,529 972 919,501

British Pound - - - 13,879 13,879

Chinese Yuan 3,337 - 3,337 - 3,337

Euro 20 - 20 7,289 7,309

Hong Kong Dollar 94,929 1,543,572 1,638,501 - 1,638,501

Indonesian Rupee - 68,245 68,245 - 68,245

Malaysian Ringgit 461 26,902 27,363 - 27,363

New Zealand Dollar - 17,787 17,787 - 17,787

Philippine Peso (7,079) 167,974 160,895 - 160,895

Singapore Dollar - 170,742 170,742 - 170,742

South Korean Wan 1,083 769,631 770,714 - 770,714

Taiwan Dollar 78,289 580,313 658,602 - 658,602

Thailand Baht - 39,567 39,567 - 39,567

Total 136,822 4,337,480 4,474,302 22,140 4,496,442 2014

Foreign Currency


USD

Non-MonetaryAssets

USD


USD


USD


USD

Australian Dollar (8,023) 1,253,457 1,245,434 2,008 1,247,442

British Pound - - - 10,784 10,784

Euro 1 - 1 3,031 3,032

Hong Kong Dollar (7,033) 1,423,885 1,416,852 - 1,416,852

Indonesian Rupiah - 168,529 168,529 - 168,529

Malaysian Ringgit - 75,993 75,993 - 75,993

New Zealand Dollar - 18,452 18,452 - 18,452

Philippine Peso - 189,501 189,501 - 189,501

Singapore Dollar 481 326,953 327,434 - 327,434

South Korean Won - 819,136 819,136 - 819,136

Taiwan Dollar 33,264 612,098 645,362 - 645,362

Thailand Baht - 82,438 82,438 - 82,438

South African Rand - 26,405 26,405 - 26,405

Total 18,690 4,996,847 5,015,537 15,823 5,031,360






Foreign Currency

Monetary Assets/(Liabilities)

USD

Non-MonetaryAssets

USD


USD


USD


USD

Brazilian Real - 126,396 126,396 - 126,396

British Pound 9 37,983 37,992 14,301 52,293

Chinese Yuan 2,951 - 2,951 - 2,951

Euro 504 45,985 46,489 6,153 52,642

Hong Kong Dollar 64,199 1,091,326 1,155,525 - 1,155,525

Indian Rupee 33,818 532,579 566,397 - 566,397

Indonesian Rupee - 71,073 71,073 - 71,073

Malaysian Ringgit 456 26,623 27,079 - 27,079

Mexican Peso - 168,934 168,934 - 168,934

Philippine Peso (7,683) 125,842 118,159 - 118,159


South African Rand 273 246,685 246,958 - 246,958

South Korean Wan 574 660,349 660,923 - 660,923

Taiwan Dollar 28,722 512,607 541,329 - 541,329

Thailand Baht - 33,480 33,480 - 33,480

Turkish Lira - 79,486 79,486 - 79,486

United Arab Emirates Dirham - 163,303 163,303 - 163,303

Total 123,823 3,945,847 4,069,670 20,454 4,090,124 2014

Foreign Currency


USD

Non-MonetaryAssets

USD


USD


USD


USD

Brazilian Real 572 257,912 258,484 - 258,484

British Pound 8 - 8 11,017 11,025

Colombian Peso 11,784 39,260 51,044 - 51,044

Egyptian Pound 25 - 25 - 25

Euro 100 120,323 120,423 2,622 123,045

Hong Kong Dollar (9,905) 946,772 936,867 - 936,867

Indian Rupee - 317,513 317,513 - 317,513


Malaysian Ringgit - 67,297 67,297 - 67,297

Mexican Peso - 164,333 164,333 - 164,333

Philippine Peso - 160,503 160,503 - 160,503

Qatari Rial - 32,655 32,655 - 32,655

Russian Ruble 348 - 348 - 348

Polish Zloty - 53,112 53,112 - 53,112


South African Rand 312 344,636 344,948 - 344,948

South Korean Won - 733,106 733,106 - 733,106

Swiss Franc - 42,368 42,368 - 42,368

Taiwan Dollar 37,511 548,064 585,575 - 585,575

Thailand Baht - 69,496 69,496 - 69,496

Turkish Lira - 27,640 27,640 - 27,640

United Arab Emirates Dirham (29,255) 87,366 58,111 - 58,111

Total 11,500 4,193,465 4,204,965 13,639 4,218,604






Foreign Currency


USD

Non-MonetaryAssets

USD


USD

Forwards CurrencyContracts at Portfolio Level

USD


USD

Australian Dollar 10 105,988 105,998 1,669 107,667

British Pound 1,288 680,302 681,590 16,692 698,282

Canadian Dollar - 27,269 27,269 2,632 29,901

Danish Krone - - - 23 23

Euro 5,948 1,199,671 1,205,619 2,059 1,207,678

Hong Kong Dollar - 41,121 41,121 (10) 41,111

Indian Rupee - 90,791 90,791 - 90,791


Israeli Shekel - - - 547 547

Japanese Yen (15,404) 596,057 580,653 (811) 579,842

New Zealand Dollar - - - (226) (226)

Norwegian Krone - - - (87) (87)

Singapore Dollar - 41,979 41,979 24 42,003

South Korean Won - 121,306 121,306 - 121,306

Swedish Krona - 136,628 136,628 (743) 135,885

Swiss Franc - 207,063 207,063 756 207,819

Total (8,158) 3,272,937 3,264,779 22,525 3,287,304 2014

Foreign Currency


USD

Non-MonetaryAssets

USD


USD


USD


USD

Australian Dollar - 85,652 85,652 2,277 87,929

Brazilian Real 8,570 18,277 26,847 - 26,847

British Pound 30,040 753,184 783,224 10,458 793,682

Canadian Dollar (164) 29,261 29,097 4,307 33,404

Danish Krone - - - 340 340

Euro 6,497 1,419,979 1,426,476 1,572 1,428,048

Hong Kong Dollar 142 68,344 68,486 (18) 68,468

Indonesian Rupiah 69 54,751 54,820 - 54,820


Japanese Yen 878 794,194 795,072 (2,464) 792,608

Mexican Peso - 44,995 44,995 - 44,995

New Zealand Dollar - - - 89 89

Norwegian Krone (16,750) 16,649 (101) (449) (550)

Singapore Dollar (312) 77,693 77,381 126 77,507

South Korean Won - 154,833 154,833 - 154,833

Swedish Krona - 36,129 36,129 - 36,129

Swiss Franc - 42,351 42,351 3,020 45,371

Taiwan Dollar 400 78,056 78,456 (312) 78,144

Total 29,370 3,674,348 3,703,718 19,151 3,722,869





Putnam Global Fixed Income Alpha Fund S2 2015

Foreign Currency


GBP

Non-MonetaryAssets

GBP


GBP

Forwards Currency Contracts at Portfolio

Level GBP


GBP

Australian Dollar 18,271 - 18,271 (184,342) (166,071)

Brazilian Real 1,810,380 - 1,810,380 (47,087) 1,763,293

Canadian Dollar (52,328) - (52,328) 161,610 109,282

Chilean Peso - - - (24,758) (24,758)

Danish Krone - - - (143) (143)

Euro 2,665,307 - 2,665,307 59,577 2,724,884

Hungarian Forint - - - (22,491) (22,491)

Indian Rupee - - - (26,732) (26,732)

Israeli Shekel 1,024 - 1,024 19,302 20,326

Japanese Yen (31,980) - (31,980) 84,979 52,999

Malaysian Ringgit (91) - (91) - (91)

Mexican Peso 14 - 14 (206,566) (206,552)

New Zealand Dollar 13,719 - 13,719 30,127 43,846

Norwegian Krone (709) - (709) (21,149) (21,858)

Philippine Peso - - - (32,880) (32,880)

Polish Zloty (202,459) - (202,459) 17,528 (184,931)

Singapore Dollar - - - 133,908 133,908

South African Rand (223,030) - (223,030) (11,216) (234,246)

South Korean Won 4,598 - 4,598 (638) 3,960

Swedish Krona (10,033) - (10,033) 108,979 98,946

Swiss Franc (41,537) - (41,537) (31,203) (72,740)

Turkish Lira - - - (4,816) (4,816)

US Dollar 252,685,708 786,102 253,471,810 7,446,274 260,918,084

Total 256,636,854 786,102 257,422,956 7,448,263 264,871,219





Putnam Global Fixed Income Alpha Fund S2 cont. 2014

Foreign Currency


GBP

Non-MonetaryAssets

GBP


GBP


Level GBP


GBP

Australian Dollar 80 - 80 (16,287) (16,207)

Brazilian Real 22,095 2,615,128 2,637,223 (208,282) 2,428,941

Canadian Dollar 12,505 - 12,505 (51,084) (38,579)

Chilean Peso - - - (32,865) (32,865)

Colombian Peso - - - 1,256 1,256

Czech Koruna - - - 6,939 6,939

Euro 5,345,010 - 5,345,010 155,189 5,500,199

Hungarian Forint (117,013) - (117,013) 15,302 (101,711)

Indian Rupee - - - (95,913) (95,913)

Indonesian Rupiah - - - (22,819) (22,819)

Japanese Yen 31 - 31 (11,950) (11,919)

Malaysian Ringgit 2,044 - 2,044 - 2,044

Mexican Peso 73,036 - 73,036 (26,350) 46,686

New Zealand Dollar (18,155) - (18,155) (194,075) (212,230)

Norwegian Krone - - - (371,421) (371,421)

Polish Zloty (158,594) - (158,594) (13,818) (172,412)

Singapore Dollar - - - 9,756 9,756

South African Rand 34 - 34 (5,777) (5,743)

South Korean Won - - - (7,473) (7,473)

Swedish Krona - - - 122,555 122,555

Taiwan Dollar - - - 13,338 13,338

Thailand Baht - - - (734) (734)

US Dollar 324,058,003 733,539 324,791,542 7,388,615 332,180,157

Total 329,219,076 3,348,667 332,567,743 6,654,102 339,221,845






Foreign Currency


USD

Non-MonetaryAssets

USD


USD


USD


USD

British Pound 13,726,861 - 13,726,861 7,923,129 21,649,990

Canadian Dollar 180,445 - 180,445 (2,874) 177,571

Euro 30,736,621 - 30,736,621 (437,785) 30,298,836

Total 44,643,927 - 44,643,927 7,482,470 52,126,397 2014

Foreign Currency


USD

Non-MonetaryAssets

USD


USD


USD


USD

British Pound 19,882,997 - 19,882,997 5,213,107 25,096,104

Canadian Dollar 292,797 - 292,797 (10,723) 282,074

Euro 29,719,117 - 29,719,117 (131,779) 29,587,338

Swiss Franc 619,751 - 619,751 (3,871) 615,880 Total 50,514,662 - 50,514,662 5,066,734 55,581,396


Foreign Currency


USD

Non-MonetaryAssets

USD


USD


USD


USD

Australian Dollar 43,857 1,785,187 1,829,044 (61,437) 1,767,607

Brazillian Real - - - 1,752 1,752

Canadian Dollar 279,907 - 279,907 (173,884) 106,023

Chilean Peso - - - (6,245) (6,245)

Danish Krone 688 502,194 502,882 (229) 502,653

Euro (2,443) 8,535,572 8,533,129 2,443,711 10,976,840

Hong Kong Dollar - 974,176 974,176 159 974,335

Hungarian Forint - - - (4,622) (4,622)

Indian Rupee - - - 6,184 6,184

Israeli Shekel - - - (6,720) (6,720)

Japanese Yen 3,189 6,699,447 6,702,636 (133,454) 6,569,182

Mexican New Peso - - - (53,295) (53,295)

New Turkish Lira - - - (241) (241)

New Zealand Dollar - - - 87,395 87,395

Norwegian Krona - 311,991 311,991 (5,159) 306,832

Philippine Peso - - - (3,387) (3,387)

Polish Zloty - - - 6,875 6,875

Pound Sterling 27,927 6,005,388 6,033,315 1,019,367 7,052,682

Singapore Dollar - 351,997 351,997 17,113 369,110

Swedish Krone 9,082 832,548 841,630 (32,410) 809,220

Swiss Franc - 2,788,901 2,788,901 (13,447) 2,775,454

Total 362,207 28,787,401 29,149,608 3,088,026 32,237,634





Putnam Total Return Fund cont. 2014

Foreign Currency


USD

Non-MonetaryAssets

USD


USD


USD


USD

Australian Dollar (96,434) 2,791,751 2,695,317 (86,211) 2,609,106

Brazilian Real - - - 63,020 63,020

British Pound (45,656) 8,022,879 7,977,223 474,858 8,452,081

Canadian Dollar 326,405 - 326,405 (91,699) 234,706

Chilean Peso - - - (19,856) (19,856)

Colombian Peso - - - 7,596 7,596

Czech Koruna - - - (1,260) (1,260)

Danish Krone 350 619,678 620,028 (3,561) 616,467

Euro (188,865) 11,576,641 11,387,776 914,720 12,302,496

Hong Kong Dollar 1 963,644 963,645 300 963,945

Hungarian Forint - - - 3,220 3,220

Indian Rupee - - - (9,113) (9,113)

Indonesian Rupiah - - - (7,188) (7,188)


Japanese Yen (23,777) 7,590,371 7,566,594 (31,312) 7,535,282

Mexican Peso - - - 24,253 24,253

New Zealand Dollar - - - 75,338 75,338

Norwegian Krone - 514,050 514,050 (89,578) 424,472

Polish Zloty - - - 1,438 1,438

Singapore Dollar (1) 524,188 524,187 (7,269) 516,918

South African Rand - - - (9,310) (9,310)

South Korean Won - - - 23,842 23,842

Swedish Krona 3,752 953,183 956,935 (16,223) 940,712

Swiss Franc (1) 3,150,125 3,150,124 (32,034) 3,118,090

Taiwan Dollar - - - (4,905) (4,905)

Thailand Baht - - - (1,254) (1,254)

Total (24,226) 36,706,510 36,682,284 1,177,815 37,860,099






Foreign Currency


USD

Non-MonetaryAssets

USD


USD


Level USD


USD

British Pound - 190,926 190,926 - 190,926

Canadian Dollar 5 383,136 383,141 - 383,141

Euro (17,388) 948,724 931,336 919,459 1,850,795

Hong Kong Dollar - - - - -

Japanese Yen 1,406 692,626 694,032 11,978 706,010

Norwegian Krone - - - - -

Swedish Krona - 259,914 259,914 - 259,914

Taiwan Dollar 110,976 - 110,976 - 110,976

Total 94,999 2,475,326 2,570,325 931,437 3,501,762 2014

Foreign Currency


USD

Non-MonetaryAssets

USD


USD


Level USD


USD

British Pound - 165,743 165,743 - 165,743

Canadian Dollar - 335,386 335,386 - 335,386

Euro 1,383 1,145,733 1,147,116 363,257 1,510,373

Hong Kong Dollar (45,249) 44,798 (451) - (451)

Japanese Yen - 482,108 482,108 - 482,108

Norwegian Krone (29,604) 88,720 59,116 - 59,116

Swedish Krona - 128,539 128,539 - 128,539

Taiwan Dollar 282 104,531 104,813 - 104,813

Total (73,188) 2,495,558 2,422,370 363,257 2,785,627

C) Fair Valuation Hierarchy

FRS 29 requires the Trust to classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements.

The fair value hierarchy of inputs is summarised in the three broad levels listed below:

• Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities that the entity can access at measurement date.

• Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices).

• Level 3: Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).

As at 30 June 2015, the Funds held five level 3 corporate bonds (CSMC Trust, Lone Pine Resources (Canada), MPM Escrow LLC, Station Place Securitization and Tiers Trust); ten level 3 equities (Global Fashion Company Gmbh (and three related positions), Delivery Hero Holdings Gmbh, Ion Media Networks Incorporated, Lone Pine Resources (two separate positions), Metro Bank PLC and Sound Global Limited); one level 3 preferred stock (Uber Technology Incorporated); and one level 3 warrant (Neuralstem Incorporated).

Putnam Asia Pacific (Ex-Japan) Equity Fund and Putnam Emerging Markets Equity Fund both held positions in Sound Global Limited, which has been valued at year end using a methodology approved by the Investment Adviser. This security halted trading on 17 March 2015 after announcing a delay in its earnings. The security was valued in line with the movement of its underlying Bond which continued to trade. The Bond was down 4.95% since the equity halted. The equity was valued at last closing price less 4.95% (HKD 7.00 less 4.95%, amounting to HKD 6.65 per share). It is anticipated that the security will be valued using this method as long it remains halted. The Investment Adviser will review regularly the appropriateness of this method.




C) Fair Valuation Hierarchy cont.

Putnam Global Core Equity Fund held positions in Metro Bank PLC (“Metro”) and Uber Technology Incorporated (“Uber”). Metro was valued using a 15% liquidity discount on the intrinsic value of GBP 17.75 per share. Based on an anticipated Initial Public Offering (“IPO”) in mid-2016 and other factors, Metro’s liquidity discount was reduced from 20% to 15%, resulting in a valuation of GBP 15.09 per share (GBP 17.75 Intrinsic Value less 15% liquidity discount). For Uber, the Investment Advisor approved a price of USD 29.9858 per share. This price represents purchase price (USD 33.3176) less a 10% liquidity discount.

Putnam U.S. Large Cap Growth Fund held positions in Global Fashion Company Gmbh (and three related spin-offs), Delivery Hero Holdings Gmbh and Neuralstem Incorporated. On 29 May 2015, the Investment Advisor recommended a fair valuation price of EUR 23.308 per share for Global Fashion Company, which represented an increase of 12.20% from the previous price of EUR 20.774. The liquidity discount recommendation remained at 25% due in part to the consent needed amongst all shareholders to sell the security and the length of time before it is anticipated the security may go public. The three other Global Fashion Company-related positions have been stale priced at year end and a nominal value of EUR 1.00 per share has been applied to all three positions, less a 25% liquidity discount. The Investment Adviser approved a price of EUR 6,159.411 for Delivery Hero. This price represents a 10% liquidity discount on the purchase price of EUR 6,843.79. The discount was added due to the anticipated length of time before the security may go public. From 6 January 2014, the Investment Adviser began fair valuing Neuralstem Incorporated warrants. These warrants are not traded on an exchange and are valued by the Investment Adviser at an intrinsic value using the current Bloomberg price of the underlying common stock less the strike price of USD 3.64 per share. Because the stock of the Company is trading at less than USD 3.64 per share, this has effectively meant that the warrant position has been valued at zero since 11 March 2015, the last time the Bloomberg price exceeded the strike price.

Putnam Global High Yield Bond Fund held positions in three Lone Pine Resources positions (one corporate bond and two equities), Ion Media Networks Incorporated and MPM Escrow LLC. The two Lone Pine Resources equity positions were valued at USD 0.04 per share to reflect the trade price of a sale of these positions on 25 July 2014. Ion Media Networks Incorporated was received as part of the exercise of Ion Media Warrants and was valued using a methodology approved by the Investment Adviser, and a 50% liquidity discount, at USD 180.00 per share. MPM Escrow LLC has been stale priced since 31 October 2014 and has been valued at a nominal price of USD 0.001 per share.

Putnam Global Fixed Income Alpha Fund S2 and Putnam Total Return Fund both held positions in the Tiers Trust corporate bond at 30 June 2015, which was classified at level 3 as the Investment Adviser could only establish a single price source at that date. The Investment Adviser expects this position to transfer back to level 2 once a second or subsequent price sources are established.

Putnam Global Fixed Income Alpha Fund S2 held a position in the CSMC Trust corporate bond at 30 June 2015, which was classified at level 3 as the Investment Adviser could only establish a single price source at that date. The Investment Adviser expects this position to transfer back to level 2 once a second or subsequent price sources are established.

Putnam Total Return Fund held a position in the Station Place Securitization corporate bond at 30 June 2015, which was classified at level 3 as the Investment Adviser could only establish a single price source at that date. The Investment Adviser expects this position to transfer back to level 2 once a second or subsequent price sources are established.

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3 measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires judgement, considering factors specific to the asset or liability.

The determination of what constitutes “observable” requires significant judgement by the Investment Advisor. The Investment Advisor considers observable data to be that market data that is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

Transfers between levels during the years ended 30 June 2015 and 30 June 2014 are outlined for each Fund, where applicable, underneath the relevant Fund's fair value hierarchy table. The following tables analyse within the fair value hierarchy each Fund's financial assets and financial liabilities (by security type) measured at fair value at 30 June 2015 and 30 June 2014.


2015

Level 1 USD

Level 2USD

Level 3USD

Assets

Non-U.S. Equities 4,651,719 - 51,426

Warrants - 210,252 -

Unrealised Appreciation on Forward Foreign Exchange Currency Contracts - 26,474 -

4,651,719 236,726 51,426 Liabilities

Unrealised Depreciation on Forward Foreign Exchange Currency Contracts - (4,334) -

Unrealised Depreciation on OTC Total Return Swap Contracts Outstanding - (4,944) - - (9,278) -





Putnam Asia Pacific (Ex-Japan) Equity Fund cont.

2014

Level 1USD

Level 2 USD

Level 3USD

Assets

Equities 5,270,368 6,142 -

Investment Companies 65,519 - -


5,335,887 24,333 - Liabilities

Unrealised Depreciation on Forward Foreign Exchange Currency Contracts - (2,368) - - (2,368) -

Transfers from Level 2 to Level 1*

Financial Assets at Fair Value through Profit or Loss

Equities 2,740,406 2,740,406


Level 1

USDLevel 2

USD Level 3

USD

Assets

Equities 4,588,510 - 48,212Warrants - 263,023 -


4,588,510 288,469 48,212Liabilities


Unrealised Depreciation on Total Return Swap Contracts - (3,948) -

- (8,940) - 2014

Level 1

USDLevel 2

USD Level 3

USD

Assets

Equities 5,225,375 5,419 -


Rights - - 2,241

Warrants - 151,381 -


5,280,621 171,611 2,241 Liabilities


- (1,172) - Transfers from Level 2 to Level 1*


Equities 1,721,105

1,721,105






Level 1

USD Level 2

USDLevel 3

USD

Assets

U.S. Equities 3,846,620 - -

Non-U.S. Equities 3,614,758 - 24,228

Preferred stocks - - 27,167

Unrealised Appreciation on OTC Total Return Swap Contracts - 3,196 -


7,461,378 52,704 51,395 Liabilities


- (26,983) - 2014

Level 1

USD Level 2

USDLevel 3

USD

Assets

Equities 7,763,505 29,648 21,833

Rights - - 2,734


7,763,505 69,305 24,567Liabilities


- (20,506) - Transfers from Level 2 to Level 1*


Equities 2,210,840

2,210,840 Putnam Global Fixed Income Alpha Fund S2 2015

Level 1

GBP Level 2

GBPLevel 3

GBP

Assets

U.S. Corporate Bonds & Notes - 66,767,379 382,418

U.S. Government & Agency Mortgage Obligations - 116,245,262 -

U.S. Government Agency Obligation - 7,318,566 -

Mortgage-Backed Securities - 80,895,503 711,408

U.S. Treasury Bills - 7,764,432 -

Commercial Paper - 15,207,487 -

Non-U.S. Corporate Bonds & Notes - 49,870,554 -

Foreign Government Bonds & Notes - 13,024,422 -

Preferred Stock 786,102 - -

Repurchase Agreements - 10,114,241 -

Purchased Equity Options Outstanding - 119,590 -

Purchased Swap Options Outstanding - 1,573,129 -

Unrealised Appreciation on OTC Interest Rate Swap Contracts - 20,578 -


Unrealised Appreciation on OTC Credit Default Contracts - 212,577 -

Unrealised Appreciation on Forward Foreign Exchange Currency Contracts - 11,531,038 -

Unrealised Appreciation on Forward Premium Swap Option Contracts - 190,037 -

Futures Contracts 12,144 - -

798,246 381,331,178 1,093,826





Putnam Global Fixed Income Alpha Fund S2 cont. 2015 cont.

Level 1

GBPLevel 2

GBP Level 3

GBP

Liabilities

Unrealised Depreciation on Forward Foreign Exchange Currency Contracts - (4,082,775) -

Unrealised Depreciation on Centrally Cleared Interest Rate Swap Contracts - (120,629) -

Unrealised Depreciation on OTC Interest Rate Swap Contracts - (622,799) -

Unrealised Depreciation on OTC Total Return Swap Contracts - (626,854) -

Unrealised Depreciation on OTC Credit Default Contracts - (196,580) -

TBA Sales Commitments - (110,717,738) -

Unrealised Depreciation on Forward Premium Swap Option Contracts - (225,703) -

Written Equity Options outstanding (116,047) - -

Written Swap Options outstanding - (2,229,422) -

(116,047) (118,822,500) - Putnam Global Fixed Income Alpha Fund S2 cont. 2014

Level 1

GBPLevel 2

GBP Level 3

GBP

Assets

U.S. Corporate Bonds & Notes - 79,862,867 -


U.S. Government Agency Obligation - 15,369,993 -

Mortgage-Backed Securities - 111,559,296 -


Non- U.S. Corporate Bonds & Notes - 52,859,256 -

Foreign Government Bonds & Notes - 19,330,191 -

Preferred Stock 733,539 - -



Purchased Options Outstanding - 862,170 -

Purchased Swap Options Outstanding - 136,713 -

Unrealised Appreciation on Centrally Cleared Interest Rate Swap Contracts - 232,463 -

Unrealised Appreciation on OTC Interest Rate Swap Contracts - 135,639 -




Unrealised Appreciation on Forward Premium Swap Option Contracts - 151,470 -

Futures Contracts 322 - -

733,861 474,203,332 - Liabilities


Unrealised Depreciation on OTC Interest Rate Swap Contracts - (537,719) -

Unrealised Depreciation on OTC Total Return Swap Contracts - (1,051,661) -

Unrealised Depreciation on OTC Credit Default Contracts - (54,221) -

TBA Sale Commitments - (151,124,480) -

Unrealised Depreciation on Forward Premium Swap Option Contracts - (207,583) -

Written Options Outstanding - (721,305) -

Written Swaps Options Outstanding - (1,322,104) -

- (158,088,303) -






Level 1 USD

Level 2USD

Level 3USD

Assets

U.S. Equities 3,495,155 - 5,089

Non U.S. Equities 14,629 - 2,569

U.S. Corporate Bonds & Notes - 204,672,743 34

Non U.S. Corporate Bonds & Notes - 78,485,043 -

Preferred Stocks 827,189 4,540,369 -



Unrealised Appreciation on Forward Foreign Exchange Currency Contracts - 8,503,827 - 4,336,973 310,857,913 7,692 Liabilities

Unrealised Depreciation on Forward Foreign Exchange Currency Contracts - (1,021,357) - Unrealised Depreciation on Credit Default Swap Contracts - (65,157) - - (1,086,514) -

2014

Level 1 USD

Level 2USD

Level 3USD

Assets

Equities 5,822,089 421,025 12,848

Corporate Bonds & Notes - 202,817,198 28 U.S Government Agency Obligations - 3,299,979 -

Non U.S. Corporate Bonds & Notes - 86,944,331 -

Convertible Bonds & Notes - 1,522,255 -

Preferred Stocks 755,543 2,798,776 -



Warrants - - 2,170


Unrealised Appreciation on Credit Default Contracts - 13,716 - 6,577,632 316,237,796 15,046Liabilities

Unrealised Depreciation on Forward Foreign Exchange Currency Contracts - (631,498) - - (631,498) -



Equities 614,571 614,571






Level 1USD

Level 2 USD

Level 3USD

Assets

U.S. Equities 78,737,628 - -

Non-U.S. Equities 31,469,046 - -

U.S. Corporate Bonds & Notes - 43,739,448 114,950



U.S. Government Agency Obligations 49,497,315 - -

Mortgage-Backed Securities - 13,805,474 2,505,000



Foreign Government Bonds & Notes - 44,344 -


Preferred Stocks 136,215 50,646 -


Purchased Equity Options Outstanding 1,611,442 - -

Unrealised Appreciation on OTC Total Return Swap Contracts - 1,931,674 -


Unrealised Appreciation on Centrally Cleared Credit Default Contracts - 257,196 -


Futures Contracts 369,427 - - 161,913,245 153,067,249 2,619,950

Liabilities


Unrealised Depreciation on Centrally Cleared Interest Rate Swap Contracts - (55,306) -

Unrealised Depreciation on OTC Total Return Swap Contracts - (9,799,437) -

Unrealised Depreciation on OTC Credit Default Swap Contracts - (3,998) -

Written Equity Options Outstanding (52,560) - -

Written Swap Options Outstanding - (60,060) - (52,560) (11,011,831) -



Equities 10,997

2014

Level 1USD

Level 2 USD

Level 3USD

Assets

Equities 136,256,999 62,832 258

U.S. Corporate Bonds & Notes - 41,609,902 -


U.S. Government Agency Obligations - 18,478,917 -

Mortgage-Backed Securities - 10,457,520 -

Convertible Bonds & Notes - 63,759 -


Foreign Government Bonds & Notes - 508,296 -


Preferred Stocks 165,433 - -


Purchased Options Outstanding - 1,076,777 -

Unrealised Appreciation on Centrally Cleared Interest Rate Swap Contracts - 157,613 -

Unrealised Appreciation on OTC Total Return Swap Contracts - 1,413,132 -





Putnam Total Return Fund cont. 2014

Level 1 USD

Level 2USD

Level 3USD

Unrealised Appreciation on OTC Credit Default Contracts - 477,402 - Unrealised Appreciation on Forward Foreign Exchange Currency Contracts - 2,206,896 - Futures Contracts 148,976 - - 136,571,408 212,340,323 258 Liabilities

Unrealised Depreciation on Forward Foreign Exchange Currency Contracts - (1,029,081) - Unrealised Depreciation on OTC Total Return Swap Contracts - (2,652,538) - Unrealised Depreciation on Centrally Cleared Interest Rate Swap Contracts - (94,385) - Unrealised Depreciation on OTC Credit Default Contracts - (8,116) - Written Options Outstanding - (8,081) - Written Swap Options Outstanding - (79,698) - - (3,871,899) -



Equities 27,858,425 27,858,425


Level 1 USD

Level 2USD

Level 3USD

Assets

Equities 53,286,758 - 102,459

Preferred Stocks - 131,365 -

U.S. Treasury Bills - 529,995 -

Purchased equity options 107 - -

Warrants 14,821 - -

Unrealised Appreciation on Total Return Swap Contracts - 16,525 -


53,301,686 1,654,015 102,459Liabilities When-Issued Securities (11,221) - -

Written Equity options (11) - -

Unrealised Depreciation on Total Return Swap Contracts - (15,138) -


(11,232) (59,831) -





Putnam U.S. Large Cap Growth Fund cont. 2014

Level 1USD

Level 2 USD

Level 3USD

Assets

Equities 62,278,507 44,798 118,890


U.S. Treasury Bills - 333,949 -

Warrants 12,323 - 6,437

Unrealised Appreciation on Total Return Swap Contracts - 25,825 -


62,290,830 2,372,829 125,327



Equities 165,744 165,744

* Transfers between level 1 and level 2 during the year ended 30 June 2014 were primarily due to ITG valuation techniques used for Asian and European equity securities as discussed further on in this note.

Level 3 Reconciliation

The following table presents the movement in Level 3 instruments for the year ended 30 June 2015 by Fund.

Putnam Asia Pacific (Ex-Japan) Equity Fund Putnam Emerging Markets Equity Fund

TotalUSD Total

USDOpening balance - Opening balance 2,241 Gains and losses recognised in profit and loss* (8,454) Gains and losses recognised in profit and loss* (12,743)Purchases - Purchases - Sales - Sales - Transfers into Level 3 59,880 Transfers into Level 3 58,714 Transfers out of Level 3 - Transfers out of Level 3 - Closing balance 51,426 Closing balance 48,212 Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss (8,454)

Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss (10,502)

Putnam Global Core Equity Fund Putnam Global Fixed Income Alpha Fund S2

TotalUSD Total

USDOpening balance 24,567 Opening balance - Gains and losses recognised in profit and loss* (3,811) Gains and losses recognised in profit and loss* 14,145 Purchases 30,639 Purchases 368,273 Sales - Sales - Transfers into Level 3 - Transfers into Level 3 711,408 Transfers out of Level 3 - Transfers out of Level 3 - Closing balance 51,395 Closing balance 1,093,826 Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss (3,811)

Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss 14,145

* Included in Net Realised and Unrealised Gains/(Losses) on Financial Assets and Liabilities at Fair Value through Profit or Loss in the Profit and Loss Accounts.





Level 3 Reconciliation cont.

Putnam Global High Yield Bond Fund Putnam Total Return Fund

TotalUSD Total

USDOpening balance 15,046 Opening balance 258 Gains and losses recognised in profit and loss* (7,354) Gains and losses recognised in profit and loss* 500 Purchases 400 Purchases 2,619,400 Sales (400) Sales (208)Transfers into Level 3 - Transfers into Level 3 - Transfers out of Level 3 Transfers out of Level 3 - Closing balance 7,692 Closing balance 2,619,950 Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss (5,584)


Putnam U.S Large Cap Growth Fund

TotalUSD

Opening balance 125,327 Gains and losses recognised in profit and loss* (27,022)Purchases 165,808 Sales (161,654)Transfers into Level 3 - Transfers out of Level 3 - Closing balance 102,459 Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss (26,146)


The following table presents the movement in Level 3 instruments for the year ended 30 June 2014 by Fund.

Putnam Emerging Markets Equity Fund Putnam Global Core Equity Fund

TotalUSD Total

USDOpening balance - Opening balance -

Gains and losses recognised in profit and loss* 2,241 Gains and losses recognised in profit and loss* 2,812

Purchases - Purchases 21,755

Sales - Sales -

Transfers into Level 3 - Transfers into Level 3 -

Transfers out of Level 3 - Transfers out of Level 3 -

Closing balance 2,241 Closing balance 24,567Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss 2,241







Level 3 Reconciliation cont.

Putnam Global High Yield Bond Fund Putnam Total Return Fund

TotalUSD Total

USDOpening balance - Opening balance 258

Gains and losses recognised in profit and loss* (501,139) Gains and losses recognised in profit and loss* -

Purchases 514,015 Purchases -

Sales - Sales -

Transfers into Level 3 2,170 Transfers into Level 3 -

Transfers out of Level 3 - Transfers out of Level 3 -

Closing balance 15,046 Closing balance 258Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss (501,135)

Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss -

Putnam U.S Large Cap Growth Fund

TotalUSD

Opening balance -

Gains and losses recognised in profit and loss* (5,848)

Purchases 540,448

Sales (409,273)

Transfers into Level 3 -

Transfers out of Level 3 -

Closing balance 125,327Change in unrealised gains or losses for Level 3 assets held at year end and included in net realised and unrealised gains/(losses) on financial assets and financial liabilities at fair value through profit or loss (8,314)


Investments whose values are based on quoted market prices in active markets, and therefore classified within Level 1, include active listed equities, collective investment schemes, futures contracts, written equity options, purchased equity options, preferred stock, corporate bonds, purchased equity options, warrants and equities held short. The Funds do not adjust the quoted price for these instruments.

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include bonds, collective investment schemes, preferred stocks, short-term investments such as U.S. Treasury Bills, financial derivative instruments and Investment Technology Group Incorporated ("ITG") fair valued equities (the quoted market prices of Asian and European equities may be adjusted to reflect market movements between the close of the relevant exchange and the valuation point of the Funds, if market movements exceed a predefined threshold. Any such adjustments are based on adjustment factors provided by ITG). As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently. The investments classified as Level 3 are made up of equity investments, corporate bonds and mortgage-backed securities. As observable prices are not available for these securities, the Funds have used valuation techniques to derive the fair value. The Trust uses internally developed models which are based on valuation methods and techniques generally recognised as standard within the industry. Such valuation methods and procedures are reviewed periodically by the Investment Manager.





Level 3 sensitivity analysis

The following tables demonstrates the sensitivity of the Funds level 3 investments for the year to a reasonably possible change in market value of each Fund should the market have moved upwards or downwards by 1% assuming all other variables remain constant.

Change in basis points

30 June 2015 Sensitivity of changes in fair value of investments

Increase/(Decrease)

30 June 2014Sensitivity of changes in fair value of investments

Increase/(Decrease)

Putnam Asia Pacific (Ex-Japan) Equity Fund +100 / -100 USD 514 -

Putnam Emerging Markets Equity Fund +100 / -100 USD 482 USD 22

Putnam Global Core Equity Fund +100 / -100 USD 514 USD 246

Putnam Global Fixed Income Alpha Fund S2 +100 / -100 GBP 10,938 -

Putnam Global High Yield Bond Fund +100 / -100 USD 77 USD 150

Putnam Total Return Fund +100 / -100 USD 26,200 USD 3

Putnam U.S. Large Cap Growth Fund +100 / -100 USD 1,025 USD 1,253

D) Interest Rate Risk

Interest rate risk is defined as the risk that the fair value or future cash flows of a financial instrument will fluctuate because of changes in market interest rates. The risk arises on financial instruments whose fair value or future cash flows are affected by changes in interest rates. Short-term securities are less sensitive to interest rate changes than longer-term securities, but they also usually offer lower yields. The Funds invest in both fixed rate and floating rate securities.

Putnam Asia Pacific (Ex-Japan) Equity Fund 2015 Up to 1 year 1-5 years Over 5 years Non-interest Total Fixed Floating Fixed Floating Fixed Floating bearing USD

Transferable securities - - - - - - 4,913,397 4,913,397

Financial derivative instruments - - - - - - 26,474 26,474

Cash and bank balances - 220,498 - - - - - 220,498

Other assets - - - - - - 196,864 196,864

Total assets - 220,498 - - - - 5,136,735 5,357,233

Financial derivative instruments - - - - - - (9,278) (9,278)

Other liabilities - - - - - - (222,231) (222,231)

Total liabilities - - - - - - (231,509) (231,509)

Total net assets attributable to redeemable participating Unitholders at bid value 5,125,724




D) Interest Rate Risk cont.

Putnam Asia Pacific (Ex-Japan) Equity Fund cont. 2014 Up to 1 year 1-5 years Over 5 years Non-interest Total Fixed Floating Fixed Floating Fixed Floating bearing USD




Other assets - - - - - - 66,500 66,500

Total assets - 249,600 - - - - 5,426,720 5,676,320




Total net assets attributable to redeemable participating Unitholders at bid value 5,581,291 Putnam Emerging Markets Equity Fund 2015 Up to 1 year 1-5 years Over 5 years Non-interest Total Fixed Floating Fixed Floating Fixed Floating bearing USD




Other assets - - - - - - 153,282 153,282

Total assets - 207,596 - - - - 5,078,473 5,286,069




Total net assets attributable to redeemable participating Unitholders at bid value 5,139,403 2014 Up to 1 year 1-5 years Over 5 years Non-interest Total Fixed Floating Fixed Floating Fixed Floating bearing USD




Other assets - - - - - - 82,522 82,522

Total assets - 73,108 - - - - 5,536,995 5,610,103









Putnam Global Core Equity Fund 2015 Up to 1 year 1-5 years Over 5 years Non-interest Total Fixed Floating Fixed Floating Fixed Floating bearing USD




Other assets - - - - - - 154,990 154,990

Total assets - 157,667 - - - - 7,720,467 7,878,134








Other assets - - - - - - 83,667 83,667

Total assets - 59,188 - - - - 7,941,044 8,000,232




Total net assets attributable to redeemable participating Unitholders at bid value 7,882,346 Putnam Global Fixed Income Alpha Fund S2 2015 Up to 1 year 1-5 years Over 5 years Non-interest Total Fixed Floating Fixed Floating Fixed Floating bearing GBP

Transferable securities - 170 - 1,307 132,103,927 202,461,286 34,521,084 369,087,774

Financial derivative instruments - - - - 14,135,476 14,135,476

Cash and bank balances - 971,031 - - - - - 971,031 Broker cash held as collateral for financial derivative instruments - 2,940,334 - - - - - 2,940,334

Other assets - - - - - - 158,860,559 158,860,559

Total assets - 3,911,535 - 1,307 132,103,927 202,461,286 207,517,119 545,995,174

TBA sales commitments outstanding - - - - (110,717,738) - - (110,717,738)

Financial derivative instruments - - (184,457) - (438,342) - (7,598,010) (8,220,809)Broker cash due to counterparties for financial derivative instruments - (2,940,334) - - - - - (2,940,334)

Other liabilities - - - - - - (160,006,356) (160,006,356)

Total liabilities - (2,940,334) (184,457) - (111,156,080) - (167,604,366) (281,885,237)






Putnam Global Fixed Income Alpha Fund S2 cont. 2014 Up to 1 year 1-5 years Over 5 years Non-interest Total Fixed Floating Fixed Floating Fixed Floating bearing GBP

Transferable securities 51,013,571 23,433,449 87,866,404 - 210,311,993 87,395,071 2,493,271 462,513,759

Financial derivative instruments - - 106,892 - 261,210 - 12,055,332 12,423,434 Broker cash held as collateral for financial derivative instruments - 537,572 - - - - - 537,572

Other assets - - - - - - 305,726,970 305,726,970

Total assets 51,013,571 23,971,021 87,973,296 - 210,573,203 87,395,071 320,275,573 781,201,735

TBA sales commitments outstanding - - - - (151,124,480) - - (151,124,480)

Financial derivative instruments - - (361,286) - (176,433) - (6,426,104) (6,963,823)

Bank overdraft - (174,379) - - - - - (174,379)Broker cash due to counterparties for financial derivative instruments - (537,572) - - - - - (537,572)

Margin cash on futures - (56,611) - - - - - (56,611)


Total liabilities - (768,562) (361,286) - (151,300,913) - (325,338,174) (477,768,935)

Total net assets attributable to redeemable participating Unitholders at bid value 303,432,800 Putnam Global High Yield Bond Fund 2015 Up to 1 year 1-5 years Over 5 years Non-interest Total

Fixed Floating Fixed Floating Fixed Floating bearing USD

Transferable securities 28 - 1,043 - 263,783,886 1,109,012 41,804,782 306,698,751

Financial derivative instruments - - - - - - 8,503,827 8,503,827

Cash and bank balances - 420,273 - - - - - 420,273 Broker Cash Held as Collateral for Financial Derivative Instruments - 4,590,000 - - - - - 4,590,000

Other assets - - - - - - 7,988,542 7,988,542

Total assets 28 5,010,273 1,043 - 263,783,886 1,109,012 58,297,151 328,201,393

Financial derivative instruments - - - - - - (1,086,514) (1,086,514)Broker Cash due to Counterparties for Financial Derivative Instruments - (4,590,000) - - - - - (4,590,000)


Total liabilities - (4,590,000) - - - - (5,476,439) (10,066,439)Total net assets attributable to redeemable participating Unitholders at bid value 318,134,954

2014 Up to 1 year 1-5 years Over 5 years Non-interest Total


Transferable securities 9,328,113 7,150,000 52,932,598 - 221,515,192 16,380,172 9,812,451 317,118,526


Cash and bank balances - 460,468 - - - - - 460,468 Broker Cash Held as Collateral for Financial Derivative Instruments - 1,110,000 - - - - - 1,110,000

Other assets - - - - - - 6,554,466 6,554,466

Total assets 9,328,113 8,720,468 52,932,598 - 221,515,192 16,380,172 22,078,865 330,955,408

Financial derivative instruments - - - - - - (631,498) (631,498)Broker Cash due to Counterparties for Financial Derivative Instruments - (1,110,000) - - - - - (1,110,000)


Total liabilities - (1,110,000) - - - - (8,717,079) (9,827,079)Total net assets attributable to redeemable participating Unitholders at bid value 321,128,329




D) Interest Rate Risk cont. Putnam Total Return Fund 2015 Up to 1 year 1-5 years Over 5 years Non-interest Total Fixed Floating Fixed Floating Fixed Floating bearing USD

Transferable securities - - 3,199 1,382 54,812,910 133,503,809 120,710,535 309,031,835


Cash and Bank balances - 809,870 - - - - - 809,870 Broker cash held as collateral for financial derivative instruments - 3,360,000 - - - - - 3,360,000

Other assets - - - - - - 1,723,869 1,723,869

Total assets - 4,169,870 3,199 1,382 54,812,910 133,503,809 131,003,013 323,494,183

Financial derivative instruments - - - - (55,306) - (11,009,085) (11,064,391)Broker cash due to counterparties for financial derivative instruments - (3,360,000) - - - - - (3,360,000)



Total liabilities - (3,529,517) - - (55,306) - (37,335,494) (40,920,317)


Transferable securities 114,345,910 12,501,000 17,995,404 20,444 49,585,141 12,497,772 136,485,522 343,431,193

Financial derivative instruments - - - - 157,613 - 5,323,183 5,480,796

Cash and Bank balances - 410,753 - - - - - 410,753 Broker cash held as collateral for financial derivative instruments - 930,000 - - - - - 930,000

Other assets - - - - - - 3,411,470 3,411,470

Total assets 114,345,910 13,841,753 17,995,404 20,444 49,742,754 12,497,772 145,220,175 353,664,212

Financial derivative instruments - - - - - - (3,871,899) (3,871,899)Broker cash due to counterparties for financial derivative instruments - (930,000) - - - - - (930,000)



Total liabilities - (1,280,914) - - - - (20,840,944) (22,121,858)

Total net assets attributable to redeemable participating Unitholders at bid value 331,542,354 Putnam U.S. Large Cap Growth Fund 2015 Up to 1 year 1-5 years Over 5 years Non-interest Total


Transferable securities - - - - 131,365 - 53,934,033 54,065,398


Cash and bank balances - 685,563 - - - - - 685,563 Broker Cash Held as Collateral for Financial Derivative Instruments - 860,000 - - - - - 860,000

Other assets - - - - - - 91,011 91,011

Total assets - 1,545,563 - - 131,365 - 55,017,806 56,694,734


When-Issued Securities - - - - - - (11,221) (11,221)Broker Cash due to Counterparties for Financial Derivative Instruments - (860,000) - - - - - (860,000)


Total liabilities - (860,000) - - - - (774,609) (1,634,609)





D) Interest Rate Risk cont. Putnam U.S. Large Cap Growth Fund cont. 2014 Up to 1 year 1-5 years Over 5 years Non-interest Total


Transferable securities 333,949 1,605,000 - - - - 62,460,955 64,399,904

Financial derivative instruments - - - - - - 389,082 389,082 Broker Cash Held as Collateral for Financial Derivative Instruments - 20,000 - - - - - 20,000

Other assets - - - - - 2,144,928 2,144,928

Total assets 333,949 1,625,000 - - - - 64,994,965 66,953,914

Bank overdraft - (1,772,301) - - - - - (1,772,301)Broker Cash due to Counterparties for Financial Derivative Instruments - (20,000) - - - - - (20,000)


Total liabilities - (1,792,301) - - - - (744,102) (2,536,403)

Total net assets attributable to redeemable participating Unitholders at bid value 64,417,511 E) Liquidity Risk

This is the risk that the Trust will encounter difficulty in meeting obligations associated with financial liabilities. The Trust’s assets primarily comprise mainly readily realisable securities. The main liability of each Fund is the redemption of any units that investors wish to sell, as well as other liabilities, such as purchases of investments awaiting settlement.

The Trust’s financial instruments may include investments in OTC derivative contracts, which are not traded in an organised public market and may be illiquid. As a result, the Trust may not be able to promptly liquidate some of its investments in these instruments at an amount close to its fair value in order to meet its liquidity requirements or to respond to specific events such as deterioration in the credit worthiness of any particular issuer. Market value amounts are presented in the Schedule of Investments to indicate the extent of the Trust’s involvement in such instruments.

The trading volumes of stocks and fixed income securities held by each Fund are generally sufficient to satisfy liquidity requirements when necessary. However, to minimise or mitigate the effect of liquidity risk where deemed necessary, the Investment Advisor could either reposition the portfolio or adjust the allocation to obtain a higher concentration of more liquid securities. These adjustments could impact the Funds’ returns.

If the number of Units in a Fund falling to be redeemed on any Dealing Day is equal to 10% or more of the total number of Units in issue in that Fund, the Manager may in its discretion refuse to redeem any Units in that Fund in excess of 10% of the total number of Units in that Fund.

Under the Trust Deed between the Manager and the Custodian, and as outlined in Note 2 (f) of the Financial Statements, an overdraft facility is in place for the Funds.


As at 30 June 2015

USD As at 30 June 2014

USD <3 months 3-12 months >12 months <3 months 3-12 months >12 monthsFinancial liabilities at fair value through profit or loss 9,278 - - 2,368 - -

Accrued expenses 79,388 - - 61,391 - -

Other liabilities 142,843 - - 31,270 - -

Redeemable participating Units at bid value 5,125,724 - - 5,581,291 - -

Total financial liabilities 5,357,233 - - 5,676,320 - - Putnam Emerging Markets Equity Fund

As at 30 June 2015






Total financial liabilities 5,286,069 - - 5,610,103 - -




E) Liquidity Risk cont.


As at 30 June 2015






Total financial liabilities 7,878,134 - - 8,000,232 - - Putnam Global Fixed Income Alpha Fund S2

As at 30 June 2015

GBP As at 30 June 2014

GBP <3 months 3-12 months >12 months <3 months 3-12 months >12 monthsFinancial liabilities at fair value through profit or loss 116,016,398 525,287 2,396,862 155,255,672 395,144 2,437,487

Accrued expenses 418,213 - - 1,011,037 - -

Bank overdraft - - - 174,379 - -

Margin cash on futures - - - 56,611 - -

Broker cash due to counterparties 2,940,334 - - 537,572 - -

Other liabilities 120,146,329 - 39,441,814 317,901,033 - -

Redeemable participating Units 264,109,937 - - 303,432,800 - -

Total financial liabilities 503,631,211 525,287 41,838,676 778,369,104 395,144 2,437,487 Putnam Global High Yield Bond Fund

As at 30 June 2015


USD <3 months 3-12 months >12 months <3 months 3-12 months >12 monthsFinancial liabilities at fair value through profit or loss 1,086,514 - - 631,498 - -

Accrued expenses 1,010,526 - - 1,022,875 - -

Broker cash due to counterparties 4,590,000 - - 1,110,000 - -

Other liabilities 3,379,399 - - 7,062,706 - -


Total financial liabilities 328,201,393 - - 330,955,408 - - Putnam Total Return Fund

As at 30 June 2015


USD <3 months 3-12 months >12 months <3 months 3-12 months >12 monthsFinancial liabilities at fair value through profit or loss 1,139,175 827,644 9,097,572 1,036,254 1,095,729 1,739,916

Accrued expenses 1,495,395 - - 1,774,724 - -

Margin cash on futures 169,517 - - 350,914 - -

Broker cash due to counterparties 3,360,000 - - 930,000 - -

Other liabilities 24,831,014 - - 15,194,321 - -


Total financial liabilities 313,568,967 827,644 9,097,572 350,828,567 1,095,729 1,739,916




E) Liquidity Risk cont.


As at 30 June 2015


USD <3 months 3-12 months >12 months <3 months 3-12 months >12 monthsFinancial liabilities at fair value through profit or loss 71,063 - - - - -


Bank overdraft - - - 1,772,301 - -

Broker cash due to counterparties 860,000 - - 20,000 - -



Total financial liabilities 56,694,734 - - 66,953,914 - -

F) Credit Risk

The Trust is exposed to credit risk from parties with whom it trades and also bears the risk of settlement default. The Trust seeks to minimise concentration of credit risk by undertaking transactions with a large number of counterparties on recognised and reputable exchanges and the over-the-counter market.

The Funds’ maximum exposure to credit risk (not taking into account the value of any collateral or other security held) in the event that counterparties fail to perform their obligations as of 30 June 2015 in relation to each class of recognised financial assets, other than derivatives, is the carrying amount of those assets as indicated in the Balance Sheet.

It is the Funds’ policy to take custody of securities purchased under repurchase agreements on a daily basis to protect the Funds in the event the securities are not repurchased by the counterparty. The Funds will generally obtain additional collateral if the market value of the underlying securities is less than the obligation to repurchase plus any accrued interest. In the event of default on the obligation to repurchase, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the agreement, realisation and or retention of the collateral or proceeds may be subject to legal proceedings.

Credit default contracts provide a measure of protection against defaults of debt issuers. The use of credit default contracts does not assure their use will be effective or will have the desired result. The credit events are specified in the contract and are intended to identify the occurrence of a significant deterioration in the creditworthiness of the reference asset. On settlement, credit default products may be cash settled or involve the physical delivery of an obligation of the reference entity following a default. The maximum exposure upon entering into credit default contracts is equal to the notional amount which is disclosed in the Schedule of Investments. Buying credit default protection reduces the buyer's exposure to a reference entity (it is intended to reduce risk when a party owns a security issued by or otherwise has exposure to the reference entity or to create a synthetic short position in the reference entity). As the protection buyer, the buyer may lose its investment and recover nothing if a credit event does not occur and may be required to make periodic payments to the protection seller until the contracts matures.

The Trust holds interest rate swaps and credit default contracts at year end which are centrally cleared, and a party to a cleared derivatives transaction is subject to the credit risk of the clearing broker through which it holds its cleared position, rather than the credit risk of its original counterparty to the derivative transaction. The Trust's exposure to credit risk on swap contracts in which it has a net gain position is reduced by such gains received in cash from the counterparty under the daily mark-to-market mechanism (variation margin). It will also be exposed on any cash collateral pledged to cover contracts in a net loss position. All funds received by a clearing broker are generally held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trust.

The clearing and depository operations for the Trust’s security transactions are mainly concentrated with one custodian, namely State Street Custodial Services (Ireland) Limited (the “Custodian”). The long term credit rating of State Street Custodial Services (Ireland) Limited as at 30 June 2015 was A1 (30 June 2014: A1). At 30 June 2015, all cash and cash equivalents and investments are placed in custody with State Street Custodial Services (Ireland) Limited. The Trust also employs Barclays Bank Plc (credit rating of A2 at 30 June 2015 (30 June 2014: A2)) as a clearing broker for its centrally cleared swap transactions. In addition, there are risks involved in dealing with custodians or brokers who settle trades with regard to the segregation of assets. It is expected that all securities and other assets deposited with custodians or brokers will be clearly identified as being assets of the Fund; the Fund should not therefore be exposed to a credit risk with respect to such parties. However, it may not always be possible to achieve this segregation, so the portfolio of the Fund may experience increased exposure to credit risk associated with the applicable custodians or brokers. Bankruptcy or insolvency of the Custodian may cause the Funds' rights with respect to cash and securities held by the Custodian to be delayed or limited and the Funds would be treated as a general creditor of that entity in respect of their cash balances.




F) Credit Risk cont.

Risks associated with derivative contracts involve the possibility that the counterparty to the contract may default on its obligation to perform. Counterparty exposure is managed in accordance with the investment restrictions specified in the Trust's Prospectus. The Funds 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 or the possibility that there is no liquid market for these agreements. The Funds’ maximum risk of loss from failure of a counterparty is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the Funds and the counterparty. Risk of loss may exceed amounts recognised on the Balance Sheet. Market Value amounts are presented in the Schedule of Investments to indicate the extent of the Trust’s involvement in such instruments.

The table below outlines the credit ratings of each applicable Fund’s bond investments and exposure on derivatives:

30 June 2015

Moody's/S&P/Fitch Credit Rating

Putnam Global Fixed Income

Alpha Fund S2 Putnam Global

High Yield Bond FundPutnam Total Return Fund

AAA 11.75% - 11.93% AA 4.91% - 1.59%

A 12.43% 0.24% 5.94% BAA 21.22% 3.03% 13.39%

BA 13.72% 29.80% 6.95% B 7.24% 44.41% 7.54%

CAA 5.82% 12.78% - CA 1.02% 0.01% -

C 0.75% - - D 0.19% 0.09% -

P-1* 12.89% - 51.75% P-2* 2.41% - -

Not Rated 5.65% 2.47% 0.91% Cash and net other assets - 7.17% -

100.00% 100.00% 100.00% 30 June 2014

Moody's/S&P/Fitch Credit Rating

Putnam Global Fixed Income

Alpha Fund S2 Putnam Global

High Yield Bond FundPutnam Total Return Fund

AAA 10.90% - 7.74% AA 4.99% - 1.74%

A 13.74% 0.25% 5.25% BAA 21.10% 1.83% 8.43%

BA 10.65% 30.59% 6.58% B 6.36% 44.10% 7.94%

CAA 6.09% 16.52% 0.28% CA 3.50% - -

D - 0.52% - P-1* 22.00% - 59.47% P-2* 2.41% - -

Not Rated (1.74)% 3.04% 2.57% Cash and other net assets - 3.15% -

100.00% 100.00% 100.00% * Rated by Moody's. Moody's short-term ratings are opinions of the ability of issuers to honour short-term financial obligations. Ratings may be assigned to issuers, short-term programmes or to individual short-term debt instruments. Such obligations generally have an original maturity date not exceeding thirteen months, unless explicitly noted.

Moody's employs the following designations to indicate the relative repayment ability of rated issuers:

P-1: Issuers (or supporting institutions) rated Prime-1 have a superior ability to repay short-term debt obligations.

P-2: Issuers (or supporting institutions) rated Prime-2 have a strong ability to repay short-term debt obligations.

P-3: Issuers (or supporting institutions) rated Prime-3 have an acceptable ability to repay short-term debt obligations.

NP: Issuers (or supporting institutions) rated Not Prime do not fall within any of the Prime rating categories.




F) Credit Risk cont.

For Putnam Global Fixed Income Alpha Fund S2 and Putnam Total Return Fund, credit qualities are shown as a percentage of the Funds’ Net Asset Value as of 30 June 2015. A bond rated BAA or higher (Prime-3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by Standard & Poor’s (“S&P”) or, if unrated by S&P, by Fitch, and then included in the closest equivalent Moody’s rating. To-be-announced (“TBA”) mortgage commitments, if any, are included based on their issuer ratings. Ratings and portfolio credit quality will vary over time. Derivative instruments, including forward currency contracts, are only included to the extent of any unrealised gain or loss on such instruments and are shown in the not-rated category. Cash is shown in the not-rated category, except for Putnam Global High Yield Bond Fund, where cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Derivative offset values are included in the not-rated category and may result in negative weights. The Funds themselves have not been rated by an independent rating agency.

Global Exposure Under the UCITS Notices issued by the Central Bank, the Investment Advisor is required to employ a risk management process which enables it to accurately monitor and manage the global exposure to the Fund from financial derivative instruments (“FDIs”). FDI exposure including global exposure is controlled through the use of Value at Risk (“VaR”) methodology by the Investment Advisor. In accordance with the UCITS Notices, global exposure for each Fund to FDIs must not exceed 100% of each Fund's Net Asset Value. The maximum VaR permitted for the Fund is that which equates to a portfolio relative VaR of twice that of an appropriate benchmark or reference portfolio that is representative of the investment objective of the Fund but which will not include derivatives. The Fund’s reference portfolio is the MSCI World Index. VaR will be calculated daily using a one-tailed 99% confidence interval, a holding period equivalent to one day and quarterly data set updates (or more frequent when market prices are subject to material changes), and the historical observation period will not be less than one year unless a shorter period is justified by a significant increase in price volatility.

6. Taxation

Under current law and practice Putnam World Trust qualifies as an investment undertaking as defined in Section 739B of the Taxes Consolidation Act, 1997, as amended. On that basis, it is not chargeable to Irish tax on its income or gains.

The Trust will be regarded as resident in Ireland for tax purposes if all of the trustees are resident in lreland and the Trust is not regarded as resident elsewhere. It is the intention of the Manager that the business of the Trust will be conducted in such a manner as to ensure that it is Irish Resident for tax purposes.

Irish tax can arise on the happening of a “chargeable event”. A chargeable event includes any distribution payments to Unitholders or any encashment, redemption, cancellation or transfer of Units and the holding of Units at the end of each eight year period beginning with the acquisition of such Units.

No Irish tax will arise on the Trust in respect of “chargeable events” in respect of:

a) a Unitholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of the chargeable event, provided appropriate valid declarations in accordance with the provisions of the Taxes Consolidation Act, 1997 (of Ireland), as amended, are held by the Trust or the Trust has been authorised by the Irish Revenue to make gross Payments in the absence of appropriate declarations; and

b) certain exempted Irish tax resident Unitholders who have provided the Trust with the necessary signed statutory declarations.

Dividends, interest and capital gains received on investments made by the Trust may be subject to taxes imposed by the country from which the investment income/gains are received and such taxes may not be recoverable by the Trust or its Unitholders.

The Trust intends to comply with any regulations issued by the Irish government to give effect to the Ireland/U.S. Intergovernmental Agreement ("IGA") (signed in December 2012) and to implement the terms of the U.S. Foreign Account Tax Compliance Act ("FATCA").

Under the IGA and any related Irish regulations, Irish financial institutions (as defined under the IGA) will be required to report annually to the Irish Revenue Commissioners (commencing in 2015) details of its U.S. account holders including the name, address and taxpayer identification number (TIN) and certain other details. The Trust was also required to amend its account on-boarding procedures with effect from 1 July 2014 in order to identify new U.S. account holders and report this information to the Irish Revenue. The Trust, in conjunction with assistance from its service providers where necessary, will endeavour to ensure that it satisfies any obligations imposed on it in relation to FATCA.

Unitholders are encouraged to consult with their own tax advisors regarding the possible implications of FATCA on their interest in the Trust.



7. Fees

The fees of the Manager, the Investment Advisor (if applicable), the Administrator and the Trustee are borne individually by each of the Funds.

Trustee, Transfer Agent and Administrator Fee The Administrator, Trustee and Transfer Agent together shall each be entitled to receive out of the assets of each Fund annual fees, and those fees will generally not in total exceed 0.40% of the average Net Asset Value of each Fund calculated on the last Dealing Day of each month (plus VAT if any thereon). Please note that the foregoing fees, along with other operating expenses of certain of the Funds, are currently subject to an overall expense cap, as described in Note 10. The Trustee shall also be entitled to receive out of the assets of each Fund an annual safekeeping (custody) fee not to exceed 0.50% of the average Net Asset Value of each Fund. The Administrator and the Trustee shall also be entitled to be paid any transaction charges and expenses and any sub-custodian fees, which shall be at normal commercial rates. The Administrator shall also be entitled to an annual fee of US$10,000 out of the assets of the Trust for general administration services. This shall be apportioned pro rata among the Funds. The "Average Net Asset Value" shall refer to the average monthly Net Asset Value. Citibank Europe plc, the Transfer Agent, receives its fees out of the assets of the Trust.

8. Soft Commission Arrangements and Transaction Costs

During the year there were soft dollar transactions in the Funds. Soft dollar transactions occurred when the Investment Advisor used certain investment research services which assisted in the management of the Funds’ portfolio investments, which were paid for by certain brokers. These services could include, for example, research and analysis of the relative merits of individual shares or markets. In return, the Investment Advisor placed a proportion of business with these brokers including transactions relating to the Funds’ investments. The Investment Advisor has satisfied itself that it obtained best execution on behalf of the Funds and that these arrangements were to the benefit of the Funds.

For the years ended 30 June 2015 and 30 June 2014, the Funds incurred separately identifiable transaction costs, as defined in note 2(B)(v) as follows:

Fund 2015 2014

Putnam Asia Pacific (Ex-Japan) Equity Fund $ 53,621 34,151

Putnam Emerging Markets Equity Fund $ 67,251 45,538

Putnam Global Core Equity Fund $ 29,264 26,507

Putnam Global Fixed Income Alpha Fund S2 £ 37,016 59,786

Putnam Global High Yield Bond Fund $ 26,969 25,661

Putnam Total Return Fund $ 239,420 256,596

Putnam U.S. Large Cap Growth Fund $ 79,963 94,799

9. Master Agreements

Each Fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements ("Master Agreements") that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery 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. 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 Funds and the applicable counterparty. Collateral requirements are determined based on the Funds’ net position with each counterparty. With respect to ISDA Master Agreements, termination events applicable to the Funds may occur upon a decline in the Funds’ 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 Funds’ counterparties to elect early termination could impact the Funds’ future derivative activity.

As of 30 June 2015, due to a decrease in the net asset value during the year for Putnam Total Return Fund and Putnam U.S. Large Cap Growth Fund, such counterparties were entitled to elect, but had not yet elected, to terminate early, and cause settlement of all outstanding derivative and foreign exchange contracts outstanding under the applicable Master Agreements, including the payments by the funds of any losses and costs resulting from such early termination, as reasonably determined by such counterparty.

Under the terms of the ISDA Master Agreements with certain brokers, the Funds allow certain counterparties the right to hold and re-register collateral in the name of the counterparty or in another name other than the Funds, (i) to pledge, repledge, hypothecate, rehypothecate, sell, lend, or otherwise transfer or use any amount of the collateral, and to use or invest cash collateral at its own risk.



10. Significant Agreements and Related Party Transactions

Transactions with entities who have significant influence The Investment Advisor is paid by the Manager. Fees charged to the Funds by the Manager and the amount due at the year end are shown in the Profit and Loss Account and the Balance Sheet (as part of Expenses Payable), respectively.

Management fees The Manager and the Investment Advisor are related parties under FRS 8 “Related Party Transactions”.

The fees of the Manager, the Investment Advisor (if applicable), the Administrator and the Trustee are borne individually by each of the Funds.

At 30 June 2015 the Manager was entitled to receive a fee out of the assets of each Fund at the annual rate below out of which the Manager will pay the Investment Advisor a fee for the investment advisory services provided by the Investment Advisor. Such fees shall accrue daily and be payable monthly in arrears.

Management fees as of 30 June 2015 (as a % of net assets)

Unit Classes Retail Institutional

Fund A B C M T E E2 I S Y

Putnam Asia Pacific (Ex-Japan) Equity Fund 1.50% 2.00% 1.75% 1.50% 1.50% 0.80% N/A 0.80% 0.80% 0.80%

Putnam Emerging Markets Equity Fund 1.75% 2.25% 2.00% 1.75% 1.75% 0.80% N/A 0.80% 0.80% 0.80%

Putnam Global Core Equity Fund 1.50% 2.00% 1.75% 1.50% 1.50% 0.80% N/A 0.80% 0.80% 0.80%

Putnam Global Fixed Income Alpha Fund S2 N/A N/A N/A N/A N/A 0.55% N/A 0.20%+ 0.20%+ 0.20%+

Putnam Global High Yield Bond Fund 1.35% 1.85% 1.75% 1.35% 1.35% 0.65% N/A 0.65% 0.65% 0.65%

Putnam Total Return Fund 1.50% 2.00% 1.75% 1.50% 1.50% 0.80% 0.80% 0.80% 0.80% 0.80%

Putnam U.S. Large Cap Growth Fund 1.50% N/A N/A 1.50% N/A N/A N/A N/A N/A N/A

* A performance fee is payable out of the Fund’s Units marked with the symbol + above.

The Manager has currently agreed to cap the non-management fee expenses at 0.30% for all Classes of Units of Putnam Asia Pacific (Ex-Japan) Equity Fund, Putnam Emerging Markets Equity Fund, Putnam Global Core Equity Fund and Putnam Total Return Fund and 0.20% for all Classes of Units of Putnam Global Fixed Income Alpha Fund S2. The Manager may terminate these caps at any time. They are currently expected to continue through 30 June 2016 and may be extended at the Manager’s discretion.

During the years ended 30 June 2015 and 30 June 2014 the Manager received the following fees:

Fund 30 June 2015 30 June 2014

Payable to Manager

at 30 June 2015

Payableto Manager

at 30 June 2014

Putnam Asia Pacific (Ex-Japan) Equity Fund $49,881 $48,309 $16,358 $16,966

Putnam Emerging Markets Equity Fund $51,678 $50,591 $16,927 $17,631

Putnam Global Core Equity Fund $74,053 $70,856 $24,880 $25,216

Putnam Global Fixed Income Alpha Fund S2 £531,985 £662,430 £190,848 £237,864

Putnam Global High Yield Bond Fund $2,342,644 $1,813,828 $781,024 $707,096

Putnam Total Return Fund $3,580,044 $4,347,467 $1,108,858 $1,347,605

Putnam U.S. Large Cap Growth Fund $879,789 $869,735 $278,694 $310,283

The Manager or Investment Advisor may from time to time voluntarily undertake to waive fees and/or reimburse certain fund expenses. Any such waiver or reimbursement would be voluntary and may be modified or discontinued by the Manager or Investment Advisor at any time without notice.

During the years ended 30 June 2015 and 30 June 2014 the Manager waived and/or reimbursed the following management fees:


Receivable from Manager

at 30 June 2015

Receivablefrom Manager

at 30 June 2014

Putnam Asia Pacific (Ex-Japan) Equity Fund $102,342 $67,308 $55,523 $17,145

Putnam Emerging Markets Equity Fund $117,213 $86,307 $64,324 $34,427

Putnam Global Core Equity Fund $100,762 $70,269 $59,455 $27,530

Putnam Global Fixed Income Alpha Fund S2 £116,478 £2,923 £40,125 -

Putnam Global High Yield Bond Fund - - - -

Putnam Total Return Fund $115,537 - $48,949 -

Putnam U.S. Large Cap Growth Fund - - - -



10. Significant Agreements and Related Party Transactions cont.

Performance fee The Manager will be entitled to receive a performance fee out of the assets of Putnam Global Fixed Income Alpha Fund S2 allocated to each Class of Unit, except for Class E Units, a portion of which will be payable to the Investment Advisor. The performance fee will be calculated on a Unit-by-Unit basis so that each Unit is charged a performance fee which equates precisely with that Unit’s performance.

The performance fee will be payable to the Manager for each Class of Unit, except for Class E Units, at a rate equal to 20% of the “Excess Return” (as defined in the Prospectus) during the Calculation Period, if any, achieved by that Class. If the respective Class of Unit experiences no Excess Return, following payment of the performance fee in any previous year, the Manager will retain all performance fees previously paid for that Class of Units but no further performance fee will be charged until additional “Excess Return” is achieved by the relevant Class of Units. The calculation of the performance fee, if any, payable to the Manager in any year, shall be subject to the verification of the Trustee. The performance fee shall accrue on each Dealing Day and accordingly the Net Asset Value will be adjusted to reflect such fee. Notwithstanding the foregoing, any accrued performance fee referable to Units repurchased prior to the end of the relevant year shall be retained by the Manager following such repurchase.

During the years ended 30 June 2015 and 30 June 2014 the following performance fees were earned:


Putnam Global Fixed Income Alpha Fund S2 £312,001 £1,868,343 The Benchmark gain of which the Excess Return is calculated is defined for each Class of Units of Putnam Global Fixed Income Alpha Fund S2 as the daily 6 month LIBOR return in the currency of that Class.

Sub-investment advisor The Investment Advisor has entered into a sub-investment advisory agreement with Putnam Investments Limited, an affiliate of The Putnam Advisory Company, LLC. Putnam Investments Limited has its principal office at Cassini House, 57-59 St. James’s Street, London SW1A 1LD and is a company organised under the laws of England and Wales (the “Sub-investment advisor”). The Sub-investment advisor is licensed as an investment manager by the Financial Conduct Authority of the United Kingdom and is registered under the United States Investment Advisers Act of 1940, as amended. The Sub-investment advisor acted as sub-investment advisor for Putnam Global High Yield Bond Fund during the year. The fees of the Sub-investment advisor are being paid out of the fees of the Investment Advisor.

Transactions with Trustee affiliate State Street Bank and Trust Company, an affiliate of the Trustee, is a major U.S. bank that may act as counterparty on securities trades for the Trust, subject to the Investment Advisor’s best execution policy. Any open over-the-counter derivatives transactions with State Street Bank and Trust Company at 30 June 2015 are listed in each Fund’s respective “Schedule of Investments”.

Transactions with key management personnel

Professional fees During the year, the Trust incurred a fee of US$63,036 relating to legal fees provided by Dillon Eustace (30 June 2014: US$47,386). David Dillon as a Director of the Manager had an interest in this fee in his capacity as a partner of Dillon Eustace. The Manager is not aware of any other transactions with connected persons during the year, other than those disclosed in these financial statements.

Transactions with Other Related Parties At 30 June 2015 Putnam Investments (Ireland) Limited has greater than 5% ownership in the following unit classes:

Fund Unit Classes

Putnam Asia Pacific (Ex-Japan) Equity Fund Classes B, C, I, M and TPutnam Emerging Markets Equity Fund Classes B, C, I, M and TPutnam Global Core Equity Fund Classes C, I, M and T

Significant Unitholders The following table details Funds in which Unitholders hold at least 20% of that Fund’s total Units in issue as of 30 June 2015:

Fund Number of Significant Unitholders Value of Holding % of Fund’s Net Assets

Putnam Asia Pacific (Ex-Japan) Equity Fund One $ 5,072,195 98.70%

Putnam Emerging Markets Equity Fund One $ 5,007,683 97.06%

Putnam Global Core Equity Fund One $ 7,091,315 91.72%

Putnam Global Fixed Income Alpha Fund S2 Two £ 233,245,737 88.31%

Putnam Global High Yield Bond Fund One $ 120,386,771 37.84%

Putnam Total Return Fund One $ 88,442,402 31.30%

Putnam U.S. Large Cap Growth Fund One $ 54,983,310 99.84%



10. Significant Agreements and Related Party Transactions cont.

Significant Unitholders cont. The following table details Funds in which Unitholders held at least 20% of that Fund’s total Units in issue as of 30 June 2014:

Fund Number of Significant Unitholders Value of Holding % of Fund’s Net Assets

Putnam Asia Pacific (Ex-Japan) Equity Fund One $ 5,491,389 98.24%

Putnam Emerging Markets Equity Fund One $ 5,348,140 96.62%

Putnam Global Core Equity Fund One $ 7,246,775 91.89%

Putnam Global Fixed Income Alpha Fund S2 Two £ 227,461,895 74.97%

Putnam Global High Yield Bond Fund One $ 150,571,801 46.89%

Putnam Total Return Fund One $ 111,082,026 33.50%

Putnam U.S. Large Cap Growth Fund One $ 64,350,308 99.87% 11. Efficient Portfolio Management

Each Fund utilises Financial Derivative Instruments (“FDI”) for investment purposes and/or for efficient portfolio management purposes. In addition to the investments in FDI set down in the Prospectus and subject to the conditions and within the limits laid down by the Central Bank, each Fund may employ techniques and instruments relating to transferable securities and money market instruments for efficient portfolio management purposes. Transactions for the purposes of efficient portfolio management may be undertaken with a view to achieving a reduction in risk, a reduction in costs or an increase in capital or income returns to a Fund and may not be speculative in nature. These techniques and instruments may include investments in FDI. New techniques and instruments may be developed which may be suitable for use by a Fund and the Manager may employ such techniques and instruments. Techniques and instruments which relate to transferable securities and money market instruments and which are used for the purpose of efficient portfolio management, including FDI which are not used for direct investment purposes, shall be understood as a reference to techniques and instruments which fulfil the following criteria:

(a) they are economically appropriate in that they are realised in a cost-effective way;

(b) they are entered into for one or more of the following specific aims:

(i) reduction of risk;

(ii) reduction of cost;

(iii) generation of additional capital or income for the Fund with a level of risk which is consistent with the risk profile of the Fund and the risk diversification rules set out in the UCITS Notices;

(c) their risks are adequately captured by the risk management process of the Fund; and

(d) they cannot result in a change to the Fund’s declared investment objectives or add supplementary risks in comparison to the general risk policy as described in the sales documents.

Investment in FDI are subject to the conditions and limits laid down by the Central Bank.

The direct and indirect operational costs and fees are not readily identifiable and therefore are not split out separately on the face of the Profit and Loss Accounts.

None of the Trust's Funds track an index.

Set out below are details of the efficient portfolio management techniques and instruments currently used across the following Funds (which may change over time); Putnam Global Fixed Income Alpha Fund S2, Putnam Global High Yield Bond Fund, Putnam Total Return Fund and Putnam U.S. Large Cap Growth Fund.

Repurchase Agreements: The Funds listed above entered into repurchase agreements, which are used as short-term cash management vehicles. The interest income earned on repurchase agreements is disclosed as part of interest income in the Profit and Loss Account. Repurchase agreements are secured by collateral, typically U.S. government or agency securities. It is the Fund’s policy that the Custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. In the event of default by the counterparty, a Fund has the contractual right to liquidate the collateral securities and to apply the proceeds in satisfaction of the obligation.



12. Foreign Exchange

The exchange rates ruling at 30 June 2015 were: The exchange rates ruling at 30 June 2014 were: Currency Vs. USD Rate Vs. GBP Rate Currency Vs. USD Rate Vs. GBP Rate

Australian Dollar 1.29609 2.03648 Australian Dollar 1.06050 1.81494

Brazilian Real 3.10910 4.88517 Brazilian Real 2.20950 3.78134

British Pound 0.63644 1.00000 British Pound 0.58432 1.00000

Canadian Dollar 1.24900 1.96249 Canadian Dollar 1.06705 1.82615

Chilean Peso 639.27500 1,004.46078 Chilean Peso 553.01500 946.42976

Chinese Yuan (offshore) 6.20695 9.75266 Chinese Yuan (offshore) 6.20650 10.62180

Chinese Yuan (onshore) 6.20100 9.74332 Chinese Yuan (onshore) 6.20500 10.61924

Czech Republic Koruna 24.46340 38.43811 Czech Republic Koruna 20.04380 34.30296

Danish Krone 6.69190 10.51465 Danish Krone 5.44485 9.31832

Egyptian Pound 7.63005 11.98872 Egyptian Pound 7.15005 12.23659

Euro 0.89698 1.40938 Euro 0.73030 1.24984

Hong Kong Dollar 7.75155 12.17962 Hong Kong Dollar 7.75040 13.26403

Hungarian Forint 282.92600 444.54745 Hungarian Forint 226.17760 387.08030

Indian Rupee 63.68000 100.05719 Indian Rupee 60.14500 102.93214

Indonesian Rupiah 13,332.50000 20,948.68926 Indonesian Rupiah 11,855.00000 20,288.64469

Israeli Shekel 3.77395 5.92982 Israeli Shekel 3.43150 5.87267

Japanese Yen 122.38500 192.29742 Japanese Yen 101.30500 173.37336

Malaysian Ringgit 3.77300 5.92833 Malaysian Ringgit 3.21100 5.49530

Mexican Peso 15.71750 24.69612 Mexican Peso 12.97350 22.20285

New Zealand Dollar 1.47569 2.31867 New Zealand Dollar 1.14214 1.95466

Norwegian Krone 7.84045 12.31931 Norwegian Krone 6.13385 10.49747

Peruvian Nuevo Sol 3.17950 4.99579 Peruvian Nuevo Sol 2.79850 4.78935

Philippine Peso 45.09000 70.84766 Philippine Peso 43.65000 74.70260

Polish Zloty 3.76000 5.90790 Polish Zloty 3.03690 5.19735

Qatari Rial 3.64125 5.72131 Qatari Rial 3.64060 6.23052

Russian Rouble 55.18500 86.70943 Russian Rouble 33.97500 58.14481

Singapore Dollar 1.34685 2.11624 Singapore Dollar 1.24690 2.13394

South African Rand 12.16600 19.11583 South African Rand 10.63500 18.20074

South Korean Won 1,115.45000 1,752.65070 South Korean Won 1,011.80000 1,731.59432

Swedish Krona 8.28985 13.02543 Swedish Krona 6.68155 11.43480

Swiss Franc 0.93495 1.46904 Swiss Franc 0.88680 1.51767

Taiwan Dollar 30.85450 48.48013 Taiwan Dollar 29.85800 51.09898

Thailand Baht 33.77550 53.06975 Thailand Baht 32.45500 55.54348

Turkish Lira 2.68010 4.21111 Turkish Lira 2.11860 3.62577

United Arab Emirates Dirham 3.67290 5.77104 United Arab Emirates Dirham 3.67280 6.28563

US Dollar 1.00000 1.57125 US Dollar 1.00000 1.71140

13. Significant Events during the Year

Putnam Global Fixed Income Alpha Fund S1 terminated on 10 August 2014. The Fund's annual audited financial statements for the period 1 July 2013 to 10 August 2014 were prepared on a non-going concern basis and were presented separately to the annual financial statements of the Trust for the year ended 30 June 2014.

During the year, the Board of Directors of the Manager resolved to adopt and prepare the financial statements in accordance with Financial Reporting Standard (“FRS”) 102: the Financial Reporting Standard applicable in the UK and Republic of Ireland (“FRS 102”) for all of the Trust’s financial statements for periods beginning on or after 1 July 2015. The first set of financial statements to be prepared under FRS 102 will be the interim unaudited financial statements for the six-month period ended 31 December 2015. FRS 102 will replace Irish GAAP as the basis of preparation for the Trust’s financial statements.

Two new Funds, Putnam Multi-Asset Absolute Return Fund I and Putnam Multi-Asset Absolute Return II, were approved by the Central Bank on 27 February 2015. Neither Fund has launched as at 30 June 2015.

Class E2 Units of Putnam Total Return Fund launched on 16 March 2015.

Mr. Keith Thomas resigned as a Director of the Manager effective 30 June 2015.



14. Subsequent Events

Class E Units of Putnam Global Fixed Income Alpha Fund S2 launched on 17 July 2015.

On 24 August 2015, the deauthorisation of Putnam Global Fixed Income Alpha Fund S1 was granted by the Central Bank.

Effective 1 September 2015, the name of Putnam Global Fixed Income Alpha Fund S2 was changed to Putnam Fixed Income Global Alpha Fund.

Class S2 Units of Putnam Global High Yield Bond Fund became available on 24 August 2015.

15. Availability of Portfolio Information

Unitholders may obtain information about certain Funds’ portfolio holdings from time to time by contacting the Manager. Portfolio holdings information will only be provided for legitimate purposes as determined by the Manager, and will be subject to a reasonable delay intended to protect the Funds. Unitholders may also request information about each Fund's management team and other relevant information relating to the Trust.

16. Approval of the Financial Statements

The Financial Statements were approved by the Directors of the Manager on 14 October 2015.


Putnam Asia Pacific (Ex-Japan) Equity Fund (unaudited) Schedule of Portfolio Changes for the year ended 30 June 2015 Largest Purchases No. of Shares Cost USD14,000 China Mobile Limited 171,467 35,000 Taiwan Semiconductor Manufacturing Company Limited 147,393 98 Samsung Electronics Company Limited 121,775 1,334 Alibaba Group Holding Limited 118,092 173,000 CTBC Financial Holdings Company Limited 117,468 162 LG Household & Health Care, Limited 107,044 89,000 King's Town Bank Company Limited 93,839 2,038 SK Hynix Incorporated 88,433 105,000 China Construction Bank Corporation 82,884 128,000 Skyworth Digital Holdings Company Limited 81,175 364 Baidu Incorporated 77,444 61,000 Advanced Semiconductor Engineering Incorporated 74,331 21,500 BOC Hong Kong (Holdings) Limited 71,460 27,000 Chailease Holding Company Limited 70,472 258 SK Telecom Company Limited 67,692 12,859 Insurance Australia Group Limited 66,986 59,709 Affinity Education Group Limited 65,659 16,256 Western Areas Limited 65,651 636 Cuckoo Electronics Company Limited 65,217 1,000 Hyundai Engineering & Construction Company Limited 62,372 Largest Sales No. of Shares Proceeds USD37,000 Taiwan Semiconductor Manufacturing Company Limited 161,084 5,225 Australia and New Zealand Banking Group Limited 143,004 3,358 SK Hynix Incorporated 138,614 35,000 China Life Insurance Company Limited 122,423 636 Cuckoo Electronics Company Limited 114,377 93,000 Advanced Semiconductor Engineering Incorporated 114,010 1,134 Coway Company Limited 97,085 25,600 Tenaga Nasional Bhd 95,873 21,500 BOC Hong Kong (Holdings) Limited 92,949 94,000 China Railway Group Limited 86,596 1,054 China Biologic Products, Incorporated 81,001 97,000 China Construction Bank Corporation 79,631 6,000 Hutchison Whampoa Limited 77,351 2,961 BHP Billiton Limited 76,211 97,871 Skyworth Digital Holdings Company Limited 75,152 39,000 Pegatron Corporation 74,706 49,027 Cathay Financial Holding Company Limited 72,605 5,000 Sun Hung Kai Properties Limited 71,784 452 Hyundai Motor Company 69,449 9,000 ChinaAMC ETF Series 67,825


Putnam Emerging Markets Equity Fund (unaudited) Schedule of Portfolio Changes for the year ended 30 June 2015 cont. Largest Purchases No. of Shares Cost USD12,500 China Mobile Limited 153,82030,000 Taiwan Semiconductor Manufacturing Company Limited 126,2311,291 Alibaba Group Holding Limited 114,45288 Samsung Electronics Company Limited 111,255146,000 CTBC Financial Holding Company 99,003146 LG Household & Health Care Limited 96,8402,039 SK Hynix Incorporated 88,50812,842 Commercial International Bank Egypt SAE 86,84324,754 Turk Hava Yollari AO 81,74319,383 IRB Infrastructure Developers Limited 81,1534,426 Sao Martinho SA 77,348354 Baidu Incorporated 75,5309,575 Dewan Housing Finance Corporation Limited 75,1816,452 Gruma SAB de CV 73,1032,479 Merrill Lynch International Company 72,5938,586 Tata Motors Limited 72,35465,000 King's Town Bank Company Limited 68,616108,000 Skyworth Digital Holdings Limited 67,97154,000 Advanced Semiconductor Engineering Incorporated 65,66425,000 Chailease Holding Company Limited 65,324 Largest Sales No. of Shares Proceeds USD31,000 Taiwan Semiconductor Manufacturing Company Limited 133,4273,190 SK Hynix Incorporated 131,81235,000 China Life Insurance Company Limited 122,496624 Cuckoo Electronics Company Limited 112,2194,735 MTN Group Limited 100,40979,000 Advanced Semiconductor Engineering Incorporated 96,9847,865 Bb Seguridade Participacoes 94,3531,067 Coway Company Limited 90,9496,989 Glenmark Pharmaceuticals Limited 88,5021,897 Lukoil OAO 83,4462,750 Merrill Lynch International Company 81,31987,000 China Railway Group Limited 79,66420,900 Tenaga Nasional Bhd 78,31013,996 Grupo Financiero Banorte SAB de CV 75,7534,049 Housing Development Finance Corporation Limited 69,7681,624 Cia Brasileira de Distribuicao Grupo Pao de Acucar 68,785412 Hyundai Motor Company 66,82743,635 Cathay Financial Holding Company Limited 64,63283,637 Skyworth Digital Holdings Limited 64,1895,111 Banco Bradesco SA 62,613


Putnam Global Core Equity Fund (unaudited) Schedule of Portfolio Changes for the year ended 30 June 2015 cont. Largest Purchases No. of Shares Cost USD5,102 Calpine Corporation 108,6951,146 Alibaba Group Holding Limited 104,4342,680 Exelon Corporation 93,6054,400 Yamaha Motor Company Limited 92,95313,027 Challenger Limited 82,991923 Exxon Mobil Corporation 81,0231,565 Halliburton Company 78,910676 The JM Smucker Company 78,148194 Biogen Idec Incorporated 78,050785 Novartis AG 76,9371,062 Nestle SA 76,61514,348 Permanent TSB Group Holdings PLC 74,675884 Anadarko Petroleum Corporation 73,601211 Amazon.com Incorporated 69,4111,477 AOL Incorporated 67,830241 SK Telecom Company Limited 66,0372,948 Activision Blizzard Incorporated 64,168379 Charter Communications Incorporated 63,5321,122 Numericable-SFR 62,936744 Philip Morris International Incorporated 62,537 Largest Sales No. of Shares Proceeds USD1,240 CME Group Incorporated 117,4113,159 Royal Dutch Shell PLC 108,67431,000 Toshiba Corporation 105,1101,146 Alibaba Group Holding Limited 103,9951,766 Comcast Corporation 101,3371,182 Philip Morris International Incorporated 95,8581,435 Catamaran Corporation 78,6641,027 Facebook Incorporated 77,8821,000 SoftBank Corporation 76,812543 General Dynamics Corporation 76,277721 Gilead Sciences Incorporated 75,93110,238 UniCredit SpA 74,2302,275 Inditex SA 73,40743,000 Inotera Memories Incorporated 70,924413 Valeant Pharmaceuticals International Incorporated 70,8171,754 Yahoo! Incorporated 70,3521,385 Bristol-Myers Squibb Company 67,781241 SK Telecom Company Limited 61,5781,076 Halliburton Company 60,8844,800 Panasonic Corporation 60,590


Putnam Global Fixed Income Alpha Fund S2 (unaudited) Schedule of Portfolio Changes for the year ended 30 June 2015 cont. Largest Purchases Principal Amount USD Cost GBP 454,000,000 Government National Mortgage Association II (TBA) 3.50% 20/05/2045 314,886,586 414,000,000 Government National Mortgage Association II (TBA) 3.50% 22/04/2045 293,475,323 226,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 148,831,877 204,000,000 Government National Mortgage Association II (TBA) 4.00% 01/12/2099 135,142,989 199,000,000 Federal National Mortgage Association (TBA) 3.50% 01/12/2099 119,877,733 196,000,000 Federal National Mortgage Association (TBA) 3.50% 01/08/2099 117,667,678 170,000,000 Federal National Mortgage Association (TBA) 3.50% 01/12/2099 109,696,065 176,000,000 Federal National Mortgage Association (TBA) 3.00% 01/12/2099 101,880,162 138,000,000 Federal National Mortgage Association (TBA) 3.00% 12/02/2045 92,956,118 136,000,000 Federal National Mortgage Association (TBA) 3.00% 12/03/2045 90,468,392 130,000,000 Federal National Mortgage Association (TBA) 3.00% 14/04/2045 88,873,272 136,000,000 Government National Mortgage Association II (TBA) 3.50% 01/12/2099 87,052,158 128,000,000 Federal National Mortgage Association (TBA) 3.00% 13/05/2045 86,164,109 136,000,000 Federal National Mortgage Association (TBA) 3.50% 01/10/2042 85,381,692 126,000,000 Federal National Mortgage Association (TBA) 3.00% 14/01/2045 83,327,697 108,000,000 Federal National Mortgage Association (TBA) 4.50% 13/05/2045 78,551,965 126,000,000 Federal National Mortgage Association (TBA) 3.00% 01/12/2099 78,239,339 126,000,000 Federal National Mortgage Association (TBA) 3.00% 01/12/2099 78,060,422 126,000,000 Federal National Mortgage Association (TBA) 3.00% 01/12/2099 74,428,010 104,000,000 Federal National Mortgage Association (TBA) 3.00% 11/06/2045 68,708,524 Largest Sales Principal Amount USD Proceeds GBP 454,000,000 Government National Mortgage Association II (TBA) 3.50% 20/05/2045 320,400,025 414,000,000 Government National Mortgage Association II (TBA) 3.50% 22/04/2045 287,929,849 226,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 148,909,191 204,000,000 Government National Mortgage Association II (TBA) 4.00% 01/12/2099 135,203,393 196,000,000 Federal National Mortgage Association (TBA) 3.50% 01/08/2099 117,667,678 170,000,000 Federal National Mortgage Association (TBA) 3.50% 01/12/2099 109,758,985 176,000,000 Federal National Mortgage Association (TBA) 3.00% 01/12/2099 101,880,162 138,000,000 Federal National Mortgage Association (TBA) 3.00% 12/02/2045 92,751,379 136,000,000 Federal National Mortgage Association (TBA) 3.00% 12/03/2045 90,862,833 130,000,000 Federal National Mortgage Association (TBA) 3.00% 14/04/2045 87,818,182 128,000,000 Federal National Mortgage Association (TBA) 3.00% 13/05/2045 86,661,296 136,000,000 Government National Mortgage Association II (TBA) 3.50% 01/12/2099 86,355,673 136,000,000 Federal National Mortgage Association (TBA) 3.50% 01/10/2042 85,347,465 140,000,000 Federal National Mortgage Association (TBA) 3.50% 14/07/2045 84,138,479 126,000,000 Federal National Mortgage Association (TBA) 3.00% 14/01/2045 82,440,550 108,000,000 Federal National Mortgage Association (TBA) 4.50% 13/05/2045 78,473,827 126,000,000 Federal National Mortgage Association (TBA) 3.00% 01/12/2099 78,033,268 126,000,000 Federal National Mortgage Association (TBA) 3.00% 01/12/2099 76,882,525 126,000,000 Federal National Mortgage Association (TBA) 3.00% 01/12/2099 74,428,010 104,000,000 Federal National Mortgage Association (TBA) 3.00% 11/06/2045 68,708,524


Putnam Global High Yield Bond Fund (unaudited) Schedule of Portfolio Changes for the year ended 30 June 2015 cont. Largest Purchases Principal Amount USD Cost USD4,000,000 Sprint Communications Incorporated 6.00% 15/11/2022 3,940,000 1,745,000 Unitymedia Kabel BW GmbH 3.75% 15/01/2027 1,951,260 1,750,000 Cirsa Funding Luxembourg SA 5.88% 45/61/5061 1,905,211 1,880,000 Credit Agricole SA 6.63% 31/12/2049 1,880,000 1,700,000 ZF North America Capital Incorporated 2.75% 27/04/2023 1,809,191 1,580,000 FCA US LLC 8.25% 15/06/2021 1,755,389 1,215,000 Ally Financial Incorporated 8.00% 11/01/2031 1,542,350 1,310,000 First Data Corporation 11.75% 15/08/2021 1,513,013 1,435,000 Calpine Corporation 5.75% 15/01/2025 1,436,075 1,435,000 AES Corporation 5.50% 15/04/2025 1,417,275 1,330,000 Intelsat Jackson Holdings SA 7.75% 06/01/2021 1,365,038 800,000 Priory Group No.3 Plc 7.00% 15/02/2018 1,346,627 1,330,000 Infor US Incorporated 6.50% 15/05/2022 1,339,944 1,020,000 LGE Holdco VI B.V. 7.13% 15/05/2024 1,325,611 1,315,000 Bank of America Corporation 6.10% 31/12/2049 1,315,000 1,035,000 UPC Holding BV 6.75% 15/03/2023 1,289,002 1,220,000 T-Mobile USA Incorporated 6.63% 04/01/2023 1,271,313 1,085,000 Thomas Cook Finance PLC 6.75% 15/06/2021 1,255,290 1,210,000 Endo Finance LLC 6.00% 02/01/2025 1,221,000 810,000 Thomas Cook Finance PLC 7.75% 15/06/2020 1,208,295 Largest Sales Principal Amount USD Proceeds USD2,610,000 Sprint Corporation 7.25% 15/09/2021 2,753,550 1,560,000 First Data Corporation 12.63% 15/01/2021 1,895,056 1,145,000 Cerved Group SpA 8.00% 15/01/2021 1,632,124 1,500,000 ZF North America Capital Incorporated 2.75% 27/04/2023 1,596,667 1,440,000 Reynolds Group Issuer Incorporated 5.75% 15/10/2020 1,481,825 1,435,000 Credit Agricole SA 6.63% 31/12/2049 1,427,619 810,000 AA Bond Company Limited 9.50% 31/07/2043 1,335,262 1,215,000 Catamaran Corporation 4.75% 15/03/2021 1,330,425 1,040,000 ArcelorMittal 10.35% 06/01/2019 1,266,038 1,165,000 Sprint Corporation 7.88% 15/09/2023 1,234,900 1,135,000 New Red Finance Incorporated 6.00% 04/01/2022 1,179,719 940,000 Trionista TopCo GmbH 6.88% 30/04/2021 1,173,309 1,115,000 Tenneco Incorporated 5.38% 15/12/2024 1,171,350 1,000,000 AES Corporation 8.00% 06/01/2020 1,148,750 1,225,000 Intelsat Jackson Holdings SA 7.75% 06/01/2021 1,148,663 695,000 DFS Furniture Holdings PLC 7.63% 15/08/2018 1,133,473 855,000 Thomas Cook Finance PLC 7.75% 15/06/2020 1,098,845 825,000 Schaeffler Holding Finance BV 6.88% 15/08/2018 1,092,800 990,000 Burlington Coat Factory Warehouse Corporation 10.00% 15/02/2019 1,090,485 710,000 Fiat Finance & Trade SA 6.75% 14/10/2019 1,085,207


Putnam Total Return Fund (unaudited) Schedule of Portfolio Changes for the year ended 30 June 2015 cont. Largest Purchases Principal Amount USD Cost USD22,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 23,453,594 18,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 19,194,844 18,000,000 Federal National Mortgage Association (TBA) 4.00% 14/01/2045 19,143,555 16,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 16,927,422 16,000,000 Federal National Mortgage Association (TBA) 4.00% 01/10/2041 16,892,344 16,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 16,855,469 16,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 16,831,250 14,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 14,956,758 14,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 14,955,859 14,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 14,931,563 13,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 13,781,406 10,000,000 Government National Mortgage Association (TBA) 3.50% 01/12/2099 10,484,531 10,000,000 Government National Mortgage Association (TBA) 3.50% 01/12/2099 10,459,375 10,000,000 Government National Mortgage Association (TBA) 3.50% 01/12/2099 10,416,992 8,000,000 Federal National Mortgage Association (TBA) 6.00% 01/12/2099 9,047,031 8,000,000 Federal National Mortgage Association (TBA) 6.00% 01/10/2041 9,031,719 8,000,000 Federal National Mortgage Association (TBA) 6.00% 01/09/2041 9,010,313 8,000,000 Federal National Mortgage Association (TBA) 6.00% 01/12/2099 8,997,578 8,000,000 Government National Mortgage Association (TBA) 3.50% 01/12/2099 8,407,188 6,000,000 Federal National Mortgage Association (TBA) 6.00% 01/12/2099 6,794,375 Largest Sales Principal Amount USD Proceeds USD22,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 23,483,125 18,000,000 Federal National Mortgage Association (TBA) 4.00% 14/01/2045 19,241,602 18,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 19,190,469 16,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 16,953,086 16,000,000 Federal National Mortgage Association (TBA) 4.00% 01/10/2041 16,896,680 16,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 16,874,336 16,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 16,831,211 14,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 14,969,688 14,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 14,948,438 14,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 14,931,563 12,000,000 Federal National Mortgage Association (TBA) 4.00% 01/12/2099 12,647,500 10,000,000 Government National Mortgage Association (TBA) 3.50% 01/12/2099 10,484,531 10,000,000 Government National Mortgage Association (TBA) 3.50% 01/12/2099 10,478,125 10,000,000 Government National Mortgage Association (TBA) 3.50% 01/12/2099 10,416,992 8,000,000 Federal National Mortgage Association (TBA) 6.00% 01/12/2099 9,047,031 8,000,000 Federal National Mortgage Association (TBA) 6.00% 01/10/2041 9,044,688 8,000,000 Federal National Mortgage Association (TBA) 6.00% 01/09/2041 9,010,313 8,000,000 Federal National Mortgage Association (TBA) 6.00% 01/12/2099 8,997,578 8,000,000 Government National Mortgage Association (TBA) 3.50% 01/12/2099 8,406,641 6,000,000 Federal National Mortgage Association (TBA) 6.00% 01/12/2099 6,795,000


Putnam U.S. Large Cap Growth Fund (unaudited) Schedule of Portfolio Changes for the year ended 30 June 2015 cont. Largest Purchases No. of Shares Cost USD6,003 Northrop Grumman Corporation 932,9598,111 Alibaba Group Holding Limited 743,21311,960 Salesforce.com Incorporated 703,9009,231 Estee Lauder Companies Incorporatd 686,0772,634 Actavis PLC 683,7699,979 Medtronic Incorporated 669,7117,126 Walgreens Boots Alliance Incorporated 634,3377,786 Facebook Incorporated 608,26910,773 Agilent Technologies Incorporated 581,91539,789 Boston Scientific Corporation 578,7314,716 Avago Technologies Limited 572,4919,931 Mylan Incorporation 561,1679,069 Symrise AG 555,4407,100 Skyworks Solutions Incorporated 555,1661,603 Biogen Idec Incorporated 544,80612,088 Broadcom Corporation 532,4903,264 Advance Auto Parts Incorporated 503,3886,016 Time Warner Incorporated 503,2602,920 CR Bard Incorporated 497,44021,732 Activision Blizzard Incorporated 491,052 Largest Sales No. of Shares Proceeds USD11,251 Apple Incorporated 1,255,15121,881 Comcast Corporation 1,242,1954,322 Allergan Incorporated 904,7178,546 Gilead Sciences Incorporated 872,490684 Priceline Group Incorporated 794,9507,042 United Technologies Corporation 783,6312,991 Visa Incorporated 704,8833,577 Whirlpool Corporation 693,7407,046 Cubist Pharmaceuticals Incorporated 667,41314,814 Microsoft Corporation 661,8345,641 Monsanto Company 651,58412,088 Broadcom Corporation 643,4522,310 Actavis PLC 625,7275,461 Zimmer Holdings Incorporated 620,9786,926 Philip Morris International Incorporated 589,5366,462 CME Group Incorporated 578,5275,907 CVS Caremark Corporation 577,7745,884 Monster Beverage Corporation 573,7136,044 Mead Johnson Nutrition Company 569,3578,260 Eaton Corporation PLC 550,318

Important Information for Investors in Germany (unaudited)


This Report includes, inter alia, information in relation to Putnam Asia Pacific (Ex-Japan) Equity Fund, Putnam Emerging Markets Equity Fund and Putnam Global Core Equity Fund. These Funds have not been registered for distribution with the German Financial Regulator (the BaFin) pursuant to section 310 of the German Capital Investment Act (nor does their distribution benefit from the transitional rules under section 355 German Capital Investment Act) and units in those Funds will not be marketed to investors within Germany.

1. J.P. Morgan AG, Taunus Turm, Taunustor 1, 60310 Frankfurt am Main, Germany (physical/visiting address) has assumed the function of the Paying and Information Agent in the Federal Republic of Germany (“Paying Agent”).

2. Exchange requests for Units (which may be distributed in Germany) and redemption requests for the Units can be submitted to the Paying Agent. Upon request, the redemption proceeds, distributions or other payments, if any, to the Unitholders are paid via the Paying Agent.

3. The following documents can be obtained free of charge, in electronic format and/or hard copy at the offices of the Paying Agent;

(a) Consolidated Prospectus;

(b) Most recent Key Investor Information Documents;

(c) Semi-Annual and Annual Reports;

(d) Trust Deed pursuant to which the Trustee acts as trustee to the Trust and its Funds;

(e) Investment Advisory Agreement dated 18 February, 2000, as novated and amended and as may be amended and restated from time to time, between the Manager and the Investment Advisor pursuant to which the Investment Advisor will manage the investment, realisation and re-investment of the assets of the Trust on a fully discretionary basis;

(f) Administration Agreement dated 29 June, 2007, and as may be amended and restated from time to time, pursuant to which the Administrator will act as administrator to the Trust;

(g) Transfer Agency Agreement dated 17 October, 2003 as amended and novated and as may be amended and restated from time to time, pursuant to which the Transfer Agent was appointed to act as transfer agent to the Trust; and

(h) Distribution Agreement dated 28 November, 2000 and as may be amended and restated from time to time, between the Manager and Putnam Investments Limited, a corporation registered under the laws of England and Wales pursuant to which Putnam Investments Limited was appointed as Distributor;

Further Unitholder information, if any, is available at the Paying Agent.

4. The Net Asset Value per Unit of each Fund, the purchase and redemption prices as well as the interim profit and the aggregate amount of income deemed to be received by the holder for the foreign investment units are available on any Business Day at the offices of the Paying Agent.

5. The purchase and redemption prices and the interim profit of each Fund shall be published on www.putnam.com/ucits. Further information for investors, if any, shall be sent to Uniholders by way of letters.

In the following cases, in addition to the provision of the information to investors in Germany by way of letters, the information will also be published on www.putnam.com/ucits:

(a) any suspension of the redemption of an investment undertaking’s units;

(b) any termination of an investment undertaking’s management or the liquidation of an investment undertaking;

(c) amendments to the Fund rules that are inconsistent with existing investment principles, affect material investor rights, or relate to remuneration or the reimbursement of expenses that may be taken out of the investment undertaking’s assets, including the reasons for the amendments and the rights of investors, the information must be communicated in an easily understandable form and manner and must indicate where and how further information may be obtained;

(d) the merger of investment undertakings in the form of information on the proposed merger, which must be drawn up in accordance with Article 43 of Directive 2009/65/EC; and

(e) the conversion of an investment undertaking into a feeder fund or any change to a master fund in the form of information, which must be drawn up in accordance with Article 64 of Directive 2009/65/EC.

6. The Funds will not invest in other collective investment schemes unless they qualify as “investment funds” under the German Investment

Tax Act (“GITA”)

Organisation


Manager: Legal Advisors: Putnam Investments (Ireland) Limited® Dillon Eustace 33 Sir John Rogerson's Quay Registered Office of the Manager: Dublin 2Citibank Europe plc Ireland1 North Wall Quay Dublin 1 Representative and Paying Agent in Switzerland*: Ireland BNP Paribas Securities Services, Paris Succursale de Zurich Directors of the Manager: Selnaustrasse 16 David Dillon (Ireland) (Non-Executive Director) CH-8002 Zurich F. Peter Ferrelli (U.S.) SwitzerlandSusan G. Malloy (U.S.) Stephen J. Tate (U.S.) Paying and Information Agent in Austria: Keith E. Thomas (U.K.) (resigned as of 30 June 2015) Erste Bank der Oesterreichischen Sparkassen AGWyndham Williams (Ireland) (Independent non-Executive Director) Graben 21 A-1010 WienInvestment Advisor: Austria The Putnam Advisory Company, LLC One Post Office Square Paying and Information Agent in Germany*: Boston, Massachusetts 02109 J.P. Morgan AGUnited States of America Taunus Turm Taunustor 1Custodian and Trustee: 60310 Frankfurt am Main State Street Custodial Services (Ireland) Limited Germany78 Sir John Rogerson’s Quay Dublin 2 Paying and Information Agent in Sweden: Ireland SKANDINAVISKA ENSKILDA BANKEN AB SEB Merchant Banking Administrator: Securities Services State Street Fund Services (Ireland) Limited Global Funds, RA6 78 Sir John Rogerson’s Quay Rissenleden 110Dublin 2 SE-106 40 Stockholm Ireland Sweden Transfer Agent: Representative in Denmark: Citibank Europe plc Nordea Bank Danmark A/S 1 North Wall Quay Strandgade 3Dublin 1 DK-0900 Copenhagen C Ireland Denmark Independent Auditors: PricewaterhouseCoopers Chartered Accountants and Registered Auditors One Spencer Dock North Wall Quay Dublin 1 Ireland * The management regulations, the Prospectus, the Key Investor Information Documents, the unaudited semi-annual reports, as well as the audited annual reports, can be obtained free of charge from the paying agent and information office in Germany and from the Representative and Paying Agent in Switzerland. A copy of the list of changes in the portfolio during the reference year may be obtained free of charge at the custodian or paying agents, at the paying and information agent in Germany, and at the Representative and Paying Agent in Switzerland.

EU025 6/15 296256

www.putnam.com/ucits

This website is not intended for use by investors in certain jurisdictions. Please refer to the Prospectus.

Putnam Investments (Ireland) Limited®

1 North Wall Quay

Dublin 1

Ireland

Authorised and regulated

by the Central Bank of Ireland.

Putnam Investments Limited®

Cassini House

57-59 St. James’s Street

London SW1A1LD

United Kingdom

Tel: +44 (0)20-7907-8200

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by the Financial Conduct Authority.

Putnam Investments Limited®

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Germany

Tel: +49 (0)6102 56059-0

For activities carried out in Germany,

the German branch of Putnam

Investments Limited is also subject to

limited regulatory supervision by the

German Federal Financial Supervisory

Authority (Bundesanstalt für

Finanzdienstleistungsaufsicht – BaFin).