Putnam VT Multi-Asset Absolute Return Fund
The fund's portfolio
9/30/22 (Unaudited)


U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (12.4%)(a)
        Principal amount Value
U.S. Government Agency Mortgage Obligations (12.4%)
Uniform Mortgage-Backed Securities
5.00%, TBA, 10/1/52 $2,000,000 $1,945,937
4.50%, TBA, 10/1/52 1,000,000 951,406
2,897,343
Total U.S. government and agency mortgage obligations (cost $3,020,644) $2,897,343








COMMON STOCKS (8.6%)(a)
        Shares Value
Basic materials (1.0%)
Anglo American Platinum, Ltd. (South Africa) 219 $15,378
Asian Paints, Ltd. (India) 1,051 43,109
Coromandel International, Ltd. (India) 1,567 19,002
Fertiglobe PLC (United Arab Emirates) 4,559 7,082
Inner Mongolia ERDOS Resources Co., Ltd. Class B (China) 20,100 38,049
Northam Platinum Holdings, Ltd. (South Africa)(NON) 988 8,527
United Tractors Tbk PT (Indonesia) 10,300 22,123
Vale SA ADR (Brazil) 4,393 58,515
Vedanta, Ltd. (India) 5,883 19,272
231,057
Capital goods (0.1%)
Haitian International Holdings, Ltd. (China) 5,000 9,409
Schaeffler India, Ltd. (India) 343 13,410
22,819
Communication services (0.1%)
Hellenic Telecommunications Organization SA (Greece) 907 13,174
KT Corp. (South Korea) 236 5,947
19,121
Consumer cyclicals (1.2%)
Astra International Tbk PT (Indonesia) 89,800 38,741
Cheil Worldwide, Inc. (South Korea) 729 11,490
China Yongda Automobiles Services Holdings, Ltd. (China) 12,000 6,415
Haier Smart Home Co., Ltd. Class H (China) 14,000 42,652
Kia Corp. (South Korea) 762 38,029
KOC Holding A/S (Turkey) 14,248 34,871
Maruti Suzuki India, Ltd. (India) 146 15,814
MultiChoice Group (South Africa) 1,684 10,717
Page Industries, Ltd. (India) 64 39,771
WalMart de Mexico (Walmex) SAB de CV (Mexico) 3,030 10,641
Zhongsheng Group Holdings, Ltd. (China) 6,500 25,557
274,698
Consumer staples (0.6%)
Ambev SA (Brazil) 2,100 6,050
Arca Continental SAB de CV (Mexico) 5,595 40,286
Cencosud SA (Chile) 26,148 33,090
Coca-Cola Icecek AS (Turkey) 771 5,611
Grupo Bimbo SAB de CV Class A (Mexico) 1,966 6,909
Indofood Sukses Makmur Tbk PT (Indonesia) 13,000 5,125
JD.com, Inc. Class A (China) 1,885 47,599
144,670
Energy (0.3%)
China Shenhua Energy Co., Ltd. (China) 13,000 38,574
Indo Tambangraya Megah Tbk PT (Indonesia) 11,200 30,385
68,959
Financials (1.6%)
Agricultural Bank of China, Ltd. Class H (China) 128,000 38,173
Banco Bradesco SA (Preference) (Brazil) 9,317 34,267
Banco de Chile (Chile) 222,509 19,577
Cathay Financial Holding Co., Ltd. (Taiwan) 15,000 18,777
China Construction Bank Corp. Class H (China) 16,000 9,207
China Development Financial Holding Corp. (Taiwan) 72,000 27,011
China International Capital Corp., Ltd. Class H (China) 16,800 24,320
China Minsheng Banking Corp., Ltd. Class H (China) 43,500 12,453
CTBC Financial Holding Co., Ltd. (Taiwan) 56,000 34,835
FirstRand, Ltd. (South Africa) 567 1,887
Hana Financial Group, Inc. (South Korea) 1,204 29,571
Hong Leong Bank Bhd (Malaysia) 7,800 34,430
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea) 396 8,072
Itausa SA (Brazil) 22,200 40,043
KB Financial Group, Inc. (South Korea) 1,050 31,805
Ping An Insurance Group Co. of China, Ltd. Class H (China) 500 2,486
Shin Kong Financial Holding Co., Ltd. (Taiwan) 18,000 4,635
Tisco Financial Group PCL (Thailand) 2,400 5,901
377,450
Health care (0.4%)
Bangkok Dusit Medical Services PCL (Thailand) 4,600 3,567
Cipla, Ltd./India (India) 656 8,954
CSPC Pharmaceutical Group, Ltd. (China) 38,000 37,314
Sun Pharmaceutical Industries, Ltd. (India) 2,942 34,266
84,101
Technology (2.8%)
Alibaba Group Holding, Ltd. (China)(NON) 9,028 90,559
Baidu, Inc. Class A (China)(NON) 2,050 30,251
Hon Hai Precision Industry Co., Ltd. (Taiwan) 14,000 44,695
Infosys, Ltd. (India) 3,061 52,452
Lenovo Group, Ltd. (China) 46,000 31,601
LG Innotek Co., Ltd. (South Korea) 160 30,179
NetEase, Inc. (China) 2,800 42,520
Samsung Electronics Co., Ltd. (South Korea) 2,533 93,071
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (Taiwan) 1,957 134,169
Tata Consultancy Services, Ltd. (India) 1,336 48,851
Tencent Holdings, Ltd. (China) 1,500 50,658
United Microelectronics Corp. (Taiwan) 11,000 12,353
661,359
Transportation (0.3%)
COSCO SHIPPING Holdings Co., Ltd. Class H (China) 13,350 15,601
Evergreen Marine Corp. Taiwan, Ltd. (Taiwan) 5,200 23,707
Hyundai Glovis Co., Ltd. (South Korea) 303 34,112
International Container Terminal Services, Inc. (Philippines) 530 1,417
74,837
Utilities and power (0.2%)
CPFL Energia SA (Brazil) 5,800 36,299
Glow Energy PCL (Thailand)(NON)(F) 700 —
36,299
Total common stocks (cost $2,233,575) $1,995,370








INVESTMENT COMPANIES (7.9%)(a)
        Shares Value
Consumer Staples Select Sector SPDR Fund(S) 4,810 $320,971
Energy Select Sector SPDR Fund 8,797 633,560
Materials Select Sector SPDR Fund 4,237 288,158
Real Estate Select Sector SPDR Fund 8,164 293,986
Utility Select Sector SPDR Fund(S) 4,823 315,955
Total investment companies (cost $2,013,254) $1,852,630








COMMODITY LINKED NOTES (6.3%)(a)(CLN)
        Principal amount Value
BofA Finance LLC 144A sr. unsec. unsub. notes, compound SOFR less 0.05%, 3/7/23 (Indexed to the BofA Merrill Lynch Commodity MLBX4SX6 Excess Return Strategy multiplied by 3) $380,000 $381,422
Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, compound SOFR, 3/27/23 (Indexed to the Citi Commodities F3 vs F0 - 4x Leveraged Index multiplied by 3) 419,000 440,739
Citigroup Global Markets Holdings, Inc. 144A sr. notes, zero %, 11/28/22 (Indexed to the Citi Cross-Asset Trend 10% Vol Index multiplied by 3) 122,000 198,660
Goldman Sachs International 144A notes zero %, 3/31/23 (Indexed to the S&P GSCI Excess Return Index multiplied by 3) 195,000 154,404
Citigroup Global Markets Holdings, Inc. sr. notes Ser. N, zero %, 3/7/23 (Indexed to the S&P GSCI Light Energy Excess Return Index multiplied by 3) 310,000 297,702
Total commodity Linked Notes (cost $1,426,000) $1,472,927








MORTGAGE-BACKED SECURITIES (2.5%)(a)
        Principal amount Value
Agency collateralized mortgage obligations (1.6%)
Federal Home Loan Mortgage Corporation
REMICs Ser. 4964, Class IA, IO, 4.50%, 3/25/50 $55,988 $14,532
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 13,589 1,875
REMICs IFB Ser. 4752, Class PS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 3.382%, 11/15/47 22,758 2,624
REMICs Ser. 5082, Class IQ, IO, 3.00%, 3/25/51 158,349 24,544
REMICs Ser. 4801, Class IG, IO, 3.00%, 6/15/48 14,284 2,105
REMICs Ser. 4206, Class IP, IO, 3.00%, 12/15/41 13,817 1,523
Federal National Mortgage Association
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 24,997 4,543
REMICs Ser. 15-30, IO, 5.50%, 5/25/45 83,186 14,080
REMICs Ser. 17-32, Class IP, IO, 4.50%, 5/25/47 41,832 8,289
REMICs Ser. 20-47, Class ID, IO, 4.00%, 7/25/50 83,920 15,962
REMICs IFB Ser. 13-130, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.60%), 3.516%, 1/25/44 27,478 3,311
REMICs Ser. 12-136, Class PI, IO, 3.50%, 11/25/42 6,573 350
REMICs IFB Ser. 17-108, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.066%, 1/25/48 44,105 5,223
REMICs IFB Ser. 17-8, Class SB, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.016%, 2/25/47 61,803 5,371
REMICs IFB Ser. 16-65, Class CS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.016%, 9/25/46 38,409 3,064
REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 17,518 2,236
REMICs Ser. 13-35, Class PI, IO, 3.00%, 2/25/42 23,993 691
REMICs Ser. 13-31, Class NI, IO, 3.00%, 6/25/41 3,765 35
REMICs IFB Ser. 20-16, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 2.966%, 3/25/50 42,291 4,481
REMICs IFB Ser. 16-88, Class SK, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.00%), 2.916%, 12/25/46 57,293 5,335
REMICs IFB Ser. 17-74, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 5.75%), 2.666%, 10/25/47 161,083 11,723
Government National Mortgage Association
Ser. 14-184, Class DI, IO, 5.50%, 12/16/44 77,243 15,265
Ser. 16-150, Class I, IO, 5.00%, 11/20/46 45,738 9,138
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 18,045 2,701
Ser. 14-146, Class EI, IO, 5.00%, 10/20/44 21,526 4,521
Ser. 14-163, Class NI, IO, 5.00%, 2/20/44 14,660 2,338
Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 74 6
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 14,459 3,012
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 20,713 4,421
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 15,108 3,173
Ser. 15-105, Class LI, IO, 5.00%, 10/20/39 21,796 4,299
Ser. 18-153, Class AI, IO, 4.50%, 9/16/45 106,430 19,956
Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 28,866 5,600
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 24,656 4,843
Ser. 13-20, Class QI, IO, 4.50%, 12/16/42 25,272 2,977
Ser. 10-35, Class QI, IO, 4.50%, 3/20/40 5,332 1,026
Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 3,791 422
Ser. 15-53, Class MI, IO, 4.00%, 4/16/45 31,520 5,998
Ser. 15-187, Class JI, IO, 4.00%, 3/20/45 29,693 4,763
Ser. 13-24, Class PI, IO, 4.00%, 11/20/42 11,151 1,451
IFB Ser. 10-125, Class SD, ((-1 x ICE LIBOR USD 1 Month) + 6.68%), 3.741%, 1/16/40 90,342 6,902
Ser. 16-75, Class EI, IO, 3.50%, 8/20/45 12,425 1,514
Ser. 15-24, Class IA, IO, 3.50%, 2/20/45 16,755 1,977
Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 4,346 341
Ser. 13-79, Class XI, IO, 3.50%, 11/20/39 10,150 462
Ser. 13-6, Class AI, IO, 3.50%, 8/20/39 39,635 2,497
IFB Ser. 18-91, Class SJ, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.25%), 3.236%, 7/20/48 47,923 4,291
IFB Ser. 18-104, Class SD, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.20%), 3.186%, 8/20/48 29,976 2,582
IFB Ser. 13-129, Class SN, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 3.136%, 9/20/43 9,432 711
IFB Ser. 20-33, Class SA, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 3/20/50 93,038 10,300
IFB Ser. 19-121, Class DS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.10%), 3.086%, 8/20/49 29,066 2,465
IFB Ser. 11-17, Class S, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 3.036%, 2/20/41 20,369 1,890
Ser. 20-173, Class MI, IO, 2.50%, 11/20/50 193,926 25,635
Ser. 17-H02, Class BI, IO, 2.432%, 1/20/67(WAC) 84,959 2,975
Ser. 17-H06, Class BI, IO, 2.362%, 2/20/67(WAC) 63,457 3,504
Ser. 15-H20, Class CI, IO, 2.123%, 8/20/65(WAC) 101,787 5,486
FRB Ser. 15-H16, Class XI, IO, 2.115%, 7/20/65(WAC) 56,162 2,510
Ser. 15-H24, Class HI, IO, 2.092%, 9/20/65(WAC) 80,089 1,519
Ser. 15-H15, Class JI, IO, 1.812%, 6/20/65(WAC) 164,905 8,410
Ser. 18-H05, Class AI, IO, 1.796%, 2/20/68(WAC) 75,889 5,265
Ser. 15-H19, Class NI, IO, 1.743%, 7/20/65(WAC) 106,659 4,778
Ser. 15-H10, Class CI, IO, 1.652%, 4/20/65(WAC) 96,529 4,826
Ser. 15-H09, Class BI, IO, 1.505%, 3/20/65(WAC) 120,360 4,398
Ser. 15-H25, Class AI, IO, 1.447%, 9/20/65(WAC) 169,723 6,399
FRB Ser. 16-H16, Class DI, IO, 1.425%, 6/20/66(WAC) 53,073 2,439
Ser. 15-H25, Class BI, IO, 0.592%, 10/20/65(WAC) 142,422 5,512
Ser. 15-H09, Class AI, IO, 0.334%, 4/20/65(WAC) 117,641 2,899
Ser. 16-H02, Class BI, IO, 0.239%, 11/20/65(WAC) 175,188 9,600
Ser. 14-H21, Class AI, IO, 0.203%, 10/20/64(WAC) 113,534 3,910
Ser. 16-H03, Class AI, IO, 0.125%, 1/20/66(WAC) 77,883 2,342
Ser. 16-H04, Class KI, IO, 0.043%, 2/20/66(WAC) 57,761 1,146
367,292
Commercial mortgage-backed securities (0.2%)
GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, 4.665%, 9/10/47(WAC) 27,000 18,984
JPMBB Commercial Mortgage Securities Trust 144A FRB Ser. 13-C14, Class E, 4.699%, 8/15/46(WAC) 16,000 12,693
JPMorgan Chase Commercial Mortgage Securities Trust Ser. 06-LDP9, Class AMS, 5.337%, 5/15/47 8,403 7,587
UBS-Barclays Commercial Mortgage Trust 144A Ser. 12-C2, Class F, 5.00%, 5/10/63(WAC) 17,000 —
WF-RBS Commercial Mortgage Trust 144A
Ser. 11-C3, Class E, 5.00%, 3/15/44(WAC) 30,000 1,074
Ser. 12-C7, Class F, 4.50%, 6/15/45 (In default)(NON)(WAC) 99,439 1
40,339
Residential mortgage-backed securities (non-agency) (0.8%)
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR5, Class 1A1A, 3.027%, 4/25/37(WAC) 18,129 15,778
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, (ICE LIBOR USD 1 Month + 0.62%), 3.704%, 4/25/35 4,517 3,876
Federal Home Loan Mortgage Corporation 144A
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA2, Class M2, (ICE LIBOR USD 1 Month + 3.10%), 6.184%, 3/25/50 7,489 7,590
Seasoned Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59(WAC) 29,000 24,998
Federal National Mortgage Association
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (ICE LIBOR USD 1 Month + 12.25%), 15.334%, 9/25/28 59,558 66,435
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 8.784%, 4/25/28 8,190 8,480
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (ICE LIBOR USD 1 Month + 5.50%), 8.584%, 9/25/29 10,000 10,579
Federal National Mortgage Association 144A
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (ICE LIBOR USD 1 Month + 3.25%), 6.334%, 1/25/40 10,000 9,414
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 5.281%, 1/25/42 22,000 20,084
WaMu Mortgage Pass-Through Certificates Trust FRB Ser. 04-AR12, Class A2B, (ICE LIBOR USD 1 Month + 0.92%), 4.004%, 10/25/44 9,321 8,675
175,909
Total mortgage-backed securities (cost $797,046) $583,540








WARRANTS (0.7%)(a)(NON)
    Expiration date Strike Price Warrants Value
Bank of Jiangsu Co., Ltd. 144A (China) 11/28/23 $0.00 37,344 $39,056
Chongqing Zhifei Biological Products Co., Ltd. 144A (China) 6/30/23 0.00 2,400 29,159
ENN Natural Gas Co., Ltd. 144A (China) 9/22/23 0.00 12,296 32,080
Inner Mongolia Yuan Xing Energy Co., Ltd. 144A (China) 6/30/23 0.00 9,700 10,131
Shaanxi Coal Industry Co., Ltd. 144A (China) 8/21/23 0.00 3,800 12,163
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. 144A (China) 1/27/23 0.00 700 29,421
Total warrants (cost $173,834) $152,010








FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)(a)
        Principal amount Value
Mexico (Government of) sr. unsec. bonds 5.55%, 1/21/45 (Mexico) $35,000 $29,949
Uruguay (Oriental Republic of) sr. unsec. unsub. notes 4.375%, 10/27/27 (Uruguay) $70,000 68,950
Total foreign government and agency bonds and notes (cost $108,896) $98,899








CORPORATE BONDS AND NOTES (0.3%)(a)
        Principal amount Value
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) $20,000 $19,039
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 21,000 21,105
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 30,000 21,049
Total corporate bonds and notes (cost $69,542) $61,193








ASSET-BACKED SECURITIES (0.2%)(a)
        Principal amount Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 $21,920 $21,865
Station Place Securitization Trust 144A FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 4.314%, 5/29/23 15,000 15,000
Total asset-backed securities (cost $36,920) $36,865








UNITS (0.0%)(a)
        Units Value
Banco BTG Pactual SA (Brazil) 1,800 $8,279
Total units (cost $9,061) $8,279








SHORT-TERM INVESTMENTS (74.8%)(a)
        Principal amount/shares Value
Interest in $416,200,000 joint tri-party repurchase agreement dated 9/30/2022 with Citigroup Global Markets, Inc. due 10/3/2022 - maturity value of $6,731,711 for an effective yield of 3.050% (collateralized by Agency Mortgage-Backed Securities with coupon rates ranging from 2.000% to 6.500% and due dates ranging from 6/20/2052 to 7/20/2052, valued at $424,524,000) $6,730,000 $6,730,000
Putnam Cash Collateral Pool, LLC 3.06%(AFF) Shares 591,852 591,852
Putnam Short Term Investment Fund Class P 3.11%(AFF) Shares 9,500,000 9,500,000
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.94%(P) Shares 210,000 210,000
U.S. Treasury Bills 2.800%, 11/8/22(SEG)(SEGSF)(SEGCCS) $300,000 299,187
U.S. Treasury Bills 2.890%, 11/15/22(SEGSF) 100,000 99,662
Total short-term investments (cost $17,430,626) $17,430,701
TOTAL INVESTMENTS
Total investments (cost $27,319,398) $26,589,757








FUTURES CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
    Number of contracts Notional
amount		 Value Expiration date Unrealized
appreciation/
(depreciation)
S&P 500 Index E-Mini (Short) 6 $1,075,686 $1,080,450 Dec-22 $145,392
U.S. Treasury Note 2 yr (Short) 10 2,053,906 2,053,906 Dec-22 31,618
U.S. Treasury Note 10 yr (Long) 53 5,939,313 5,939,313 Dec-22 (265,947)
Unrealized appreciation 177,010
Unrealized (depreciation) (265,947)
Total $(88,937)








FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
  Counterparty Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date Expiration date/strike   Notional/
Contract amount		 Premium receivable/
(payable)		 Unrealized
appreciation/
(depreciation)
Bank of America N.A.
(1.275)/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 $4,900 $(638) $663
1.275/3 month USD-LIBOR-ICE/Mar-50 (Purchased) Mar-30/1.275 4,900 (638) (362)
Citibank, N.A.
(2.795)/US SOFR/Oct-32 (Purchased) Oct-22/2.795 441,000 (8,996) 18,977
2.795/US SOFR/Oct-32 (Purchased) Oct-22/2.795 441,000 (8,996) (8,873)
Goldman Sachs International
(2.8175)/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 1,700 (215) 29
2.8175/3 month USD-LIBOR-ICE/Mar-47 (Purchased) Mar-27/2.8175 1,700 (215) (70)
Unrealized appreciation 19,669
Unrealized (depreciation) (9,305)
Total $10,364








TBA SALE COMMITMENTS OUTSTANDING at 9/30/22 (proceeds receivable $1,740,898) (Unaudited)
  Agency Principal amount Settlement date Value
Uniform Mortgage-Backed Securities, 2.50%, 10/1/52 $1,000,000 10/13/22 $839,141
Uniform Mortgage-Backed Securities, 2.00%, 10/1/52 1,000,000 10/13/22 809,156
Total $1,648,297










CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
  Notional amount Value   Upfront premium received (paid)   Termi-
nation
date		 Payments made
by fund		   Payments received by fund Unrealized
appreciation/
(depreciation)
$31,000 $5,516 $4 12/23/31 1.285% — Annually US SOFR — Annually $5,420
5,000 539 — 12/24/26 US SOFR — Annually 1.096% — Annually (525)
4,000 712 (2) 12/24/31 1.285% — Annually US SOFR — Annually 697
6,000 1,845 1 12/24/51 US SOFR — Annually 1.435% — Annually (1,816)
9,400 2,146 — 2/24/52 US SOFR — Annually 1.86% — Annually (2,088)
3,700 726 (464) 6/22/52 2.3075% — Semiannually 3 month USD-LIBOR-ICE — Quarterly 242
489,000 11,359 (E) (3,034) 12/21/32 US SOFR — Annually 3.265% — Annually (14,393)
590,000 478 (E) 654 12/21/24 US SOFR — Annually 4.20% — Annually 176
417,000 217 (E) 881 12/21/27 3.80% — Annually US SOFR — Annually 1,098
325,000 3,923 (E) (1,527) 12/21/32 3.40% — Annually US SOFR — Annually 2,396
332,000 3,147 (E) (2,770) 12/21/52 US SOFR — Annually 3.00% — Annually (5,918)
210,000 1,775 (3) 9/26/32 US SOFR — Annually 3.449% — Annually (1,712)
19,000 15 (1) 9/29/52 3.0575% — Annually US SOFR — Annually 11
20,000 4 (1) 9/29/52 3.0605% — Annually US SOFR — Annually —
74,500 435 (1) 9/30/27 US SOFR — Annually 3.6865% — Annually (428)
74,500 442 (1) 9/30/27 US SOFR — Annually 3.6845% — Annually (435)
65,000 233 (1) 10/4/27 3.7375% — Annually US SOFR — Annually 232
AUD 125,000 1,731 (E) (540) 12/21/32 4.21% — Semiannually 6 month AUD-BBR-BBSW — Semiannually 1,191
CAD 239,000 251 (E) 887 12/21/32 3.69% — Semiannually 3 month CAD-BA-CDOR — Semiannually 636
CHF 211,000 1,230 (E) 1 12/21/32 Swiss Average Rate Overnight — Annually 2.01% — Annually (1,229)
EUR 222,000 10,100 (E) (225) 12/21/32 2.624% — Annually 6 month EUR-EURIBOR — Semiannually 9,876
GBP 45,000 4,393 (E) (175) 12/21/32 Sterling Overnight Index Average — Annually 3.34% — Annually (4,569)
NOK 1,362,000 465 (E) 139 12/21/32 3.48% — Annually 6 month NOK-NIBOR-NIBR — Semiannually 604
NZD 354,000 4,396 (E) (472) 12/21/32 3 month NZD-BBR-FRA — Quarterly 4.175% — Semiannually (4,868)
SEK 2,272,000 4,424 (E) (501) 12/21/32 2.925% — Annually 3 month SEK-STIBOR-SIDE — Quarterly 3,922
Total $(7,151) $(11,480)
(E) Extended effective date.








OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 9/30/22 (Unaudited)
  Swap counterparty/
notional amount		 Value   Upfront premium received (paid)   Termi-
nation
date		 Payments received
(paid) by fund		   Total return received by or paid by fund Unrealized
appreciation/
(depreciation)
Bank of America N.A.
$5,433,642 $5,068,225 $— 9/20/23 (Secured Overnight Financing Rate plus 0.22%) — Monthly A basket (MLFCF15) of common stocks — Monthly* $(367,268)
5,875 5,626 — 6/20/23 (Secured Overnight Financing Rate plus 1.00%) — Monthly Al Rajhi Bank — Monthly (249)
13,528 13,247 — 6/20/23 (Secured Overnight Financing Rate plus 1.00%) — Monthly Etihad Etisalat Co. — Monthly (294)
5,415,177 5,042,820 — 9/20/23 Secured Overnight Financing Rate plus 0.05% — Monthly Russell 1000 Total Return Index — Monthly 375,802
36,026 32,994 — 6/20/23 (Secured Overnight Financing Rate plus 1.00%) — Monthly Sahara International Petrochemical Co. — Monthly (3,052)
8,273 8,202 — 6/20/23 (Secured Overnight Financing Rate plus 1.00%) — Monthly Saudi Tadawul Group Holding — Monthly (79)
Barclays Bank PLC
2,095,447 2,090,043 — 5/26/23 0.10% — Monthly Buraschi Barclays Adaptive Trend Strategy - Ex-Commodities — Monthly (5,421)
Citibank, N.A.
30,681 27,672 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Advance Auto Parts — Monthly 2,764
26,772 24,257 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly AKAMI Technologies Inc — Monthly 2,533
28,918 25,060 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Align Technology Inc. — Monthly 3,877
78,407 62,590 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Array Technologies Inc. — Monthly 15,869
6,365 5,293 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly B&G Foods Inc. — Monthly 907
12,230 11,094 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Banc First Corp. — Monthly 1,094
20,515 21,779 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Bausch Health Cos Inc. — Monthly (1,251)
21,478 22,389 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Beauty Health Co. — Monthly (897)
10,910 10,330 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Big Commerce Holdings Ser 1 — Monthly 587
12,291 11,141 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Blackline Inc. — Monthly 1,155
20,645 17,407 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Digital Turbine Inc. — Monthly 3,251
18,343 17,225 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Doximity Inc Class A — Monthly 1,129
2,482 2,049 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Ebix Inc. — Monthly 427
26,347 23,380 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Energizer Holdings Inc. — Monthly 2,705
11,626 10,855 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly F5 Inc. — Monthly 779
9,555 11,671 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly FreshPet Inc. — Monthly (2,109)
30,149 31,107 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Gibraltar Industries Inc. — Monthly (938)
19,038 16,974 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Healthcare Services Group — Monthly 1,776
42,464 38,998 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly INSULET Corp — Monthly 3,494
16,422 15,716 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly iRobot Corp. — Monthly 717
11,626 11,336 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Kornit Digital Ltd. — Monthly 297
82,947 75,027 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly L3Harris Technologies Inc. — Monthly 7,571
10,248 8,995 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Lending Club Corp. — Monthly 1,258
19,901 14,982 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Lumen Technologies Inc. — Monthly 4,417
32,097 31,281 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly MACOM Technology Solutions — Monthly 837
9,017 7,876 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Mercury Systems Inc. — Monthly 1,147
11,729 12,689 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly NCINO Inc. — Monthly (954)
9,941 8,084 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Newell Brands Inc. — Monthly 1,729
9,034 10,089 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Palantir Technologies Inc - A — Monthly (1,049)
48,454 55,932 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Penumbra Inc. — Monthly (7,446)
33,507 32,243 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Premier Inc. Class A — Monthly 1,086
64,351 61,065 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Ralph Lauren Corp. — Monthly 2,789
17,680 17,326 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Sanmina-Sci Corp. — Monthly 365
20,312 20,347 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Signify Health Inc. Class A — Monthly (25)
26,958 21,359 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Syneaos Health Inc. — Monthly 5,617
74,093 71,618 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Tesla Inc. — Monthly 2,525
22,333 20,097 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Universal Display Corp. — Monthly 2,189
25,587 17,186 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Wayfair Inc. Class A — Monthly 8,243
7,380 7,030 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly WD-40 Corp. — Monthly 355
22,046 19,682 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Whirlpool Corp. — Monthly 2,123
24,207 19,508 — 7/5/24 Secured Overnight Financing Rate minus 0.28% — Monthly Yeti Holdings Inc. — Monthly 4,715
3,802 3,927 — 7/5/24 Secured Overnight Financing Rate minus 3.75% — Monthly Zynex Inc. — Monthly (131)
Credit Suisse International
1,254,986 1,127,358 — 11/2/22 Secured Overnight Financing Rate minus 0.05% — Monthly MSCI Daily TR Net Emerging Markets USD — Monthly 129,614
Goldman Sachs International
5,836,035 5,802,193 — 12/15/25 (Secured Overnight Financing Rate plus 0.40%) — Monthly A basket (GSGLPWDL) of common stocks — Monthly* (23,203)
5,656,592 5,594,094 — 12/15/25 Secured Overnight Financing Rate minus 0.25% — Monthly A basket (GSGLPWDS) of common stocks — Monthly* 52,938
5,200 3,769 — 12/15/25 Secured Overnight Financing Rate minus 0.28% — Monthly Beyond Meat Inc. — Monthly 1,390
17,229 13,313 — 12/15/25 Secured Overnight Financing Rate minus 0.28% — Monthly Bloom Energy Corp. - A — Monthly 3,917
2,018 1,961 — 12/15/25 (Secured Overnight Financing Rate plus 0.40%) — Monthly Evraz PLC — Monthly (58)
219,330 219,030 — 12/15/25 (0.45%) — Monthly Goldman Sachs Volatility Carry US Enhanced 3x Excess Return Strategy — Monthly†† (300)
747,153 740,367 — 12/15/25 (0.45%) — Monthly Goldman Sachs Volatility Carry US Series 85 Excess Return Strategy — Monthly†† (6,786)
259,929 268,082 — 12/15/25 (0.30%) — Monthly Goldman Sachs Volatility of Volatility Carry Excess Return Strategy — Monthly† 8,153
614,724 625,384 — 12/15/25 (0.30%) — Monthly Goldman Sachs Volatility of Volatility Carry Series 69 Excess Return Strategy — Monthly† 10,660
4,003 3,899 — 12/15/25 Secured Overnight Financing Rate minus 18.00% — Monthly Sillajen Inc. — Monthly 83
JPMorgan Chase Bank N.A.
1,001,837 929,059 — 7/21/23 (Secured Overnight Financing Rate plus 0.41%) — Monthly A basket (JPCMPTFL) of common stocks — Monthly* (73,044)
UBS AG
8,560,804 8,372,804 — 5/22/23 (Secured Overnight Financing Rate plus 0.35%) — Monthly A basket (UBSPUSER) of common stocks — Monthly* (187,533)
1,240,753 1,114,572 — 11/2/22 Secured Overnight Financing Rate minus 0.07% — Monthly MSCI Daily TR Net Emerging Markets USD — Monthly 128,128
8,555,480 8,371,057 — 5/22/23 Secured Overnight Financing Rate plus 0.20% — Monthly S&P 500 Total Return 4 Jan 1988 Index — Monthly 184,423
Upfront premium received — Unrealized appreciation 985,435
Upfront premium (paid) — Unrealized (depreciation) (682,087)
Total $— Total $303,348
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below.








A BASKET (MLFCF15) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Apple, Inc. Technology 2,570 $355,118 7.01%
Microsoft Corp. Technology 929 216,376 4.27%
Alphabet, Inc. Class A Technology 2,153 205,976 4.06%
Amazon.com, Inc. Consumer cyclicals 1,405 158,821 3.13%
Procter & Gamble Co. (The) Consumer staples 816 103,033 2.03%
Merck & Co., Inc. Health care 1,081 93,096 1.84%
Coca-Cola Co. (The) Consumer staples 1,634 91,543 1.81%
JPMorgan Chase & Co. Financials 852 89,014 1.76%
CVS Health Corp. Health care 870 82,970 1.64%
Eli Lilly and Co. Health care 254 82,158 1.62%
Tesla, Inc. Consumer cyclicals 285 75,672 1.49%
Accenture PLC Class A Technology 290 74,597 1.47%
Philip Morris International, Inc. Consumer staples 863 71,675 1.41%
Vertex Pharmaceuticals, Inc. Health care 246 71,243 1.41%
Qualcomm, Inc. Technology 629 71,031 1.40%
Booking Holdings, Inc. Consumer cyclicals 41 67,999 1.34%
Abbott Laboratories Health care 695 67,296 1.33%
AbbVie, Inc. Health care 499 66,968 1.32%
Exxon Mobil Corp. Energy 699 60,991 1.20%
Cadence Design Systems, Inc. Technology 372 60,719 1.20%
NVIDIA Corp. Technology 498 60,397 1.19%
General Dynamics Corp. Capital goods 271 57,450 1.13%
Lockheed Martin Corp. Capital goods 148 57,143 1.13%
Synopsys, Inc. Technology 184 56,318 1.11%
Citigroup, Inc. Financials 1,262 52,580 1.04%
Bristol-Myers Squibb Co. Health care 735 52,231 1.03%
AutoZone, Inc. Consumer cyclicals 24 52,000 1.03%
Intuit, Inc. Technology 131 50,755 1.00%
Goldman Sachs Group, Inc. (The) Financials 169 49,413 0.97%
Cisco Systems, Inc./Delaware Technology 1,221 48,847 0.96%
Marathon Petroleum Corp. Energy 467 46,355 0.91%
Pfizer, Inc. Health care 1,041 45,552 0.90%
MetLife, Inc. Financials 749 45,518 0.90%
eBay, Inc. Technology 1,206 44,407 0.88%
Meta Platforms, Inc. Class A Technology 306 41,534 0.82%
Cheniere Energy, Inc. Energy 250 41,478 0.82%
CSX Corp. Transportation 1,538 40,978 0.81%
Adobe, Inc. Technology 147 40,489 0.80%
Ulta Beauty, Inc. Consumer staples 99 39,557 0.78%
Wells Fargo & Co. Financials 983 39,522 0.78%
AT&T, Inc. Communication services 2,545 39,035 0.77%
Corteva, Inc. Basic materials 654 37,363 0.74%
American Electric Power Co., Inc. Utilities and power 421 36,390 0.72%
CF Industries Holdings, Inc. Basic materials 361 34,761 0.69%
Targa Resources Corp. Energy 575 34,690 0.68%
Uber Technologies, Inc. Consumer staples 1,233 32,687 0.64%
Atlassian Corp. Technology 154 32,424 0.64%
Fortive Corp. Capital goods 540 31,503 0.62%
Verizon Communications, Inc. Communication services 828 31,423 0.62%
Marathon Oil Corp. Energy 1,389 31,360 0.62%








A BASKET (GSGLPWDL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Shell PLC (London Exchange) (United Kingdom) Energy 1,487 $37,280 0.64%
Exxon Mobil Corp. Energy 417 36,382 0.63%
FactSet Research Systems, Inc. Consumer cyclicals 91 36,320 0.63%
Weyerhaeuser Co. Basic materials 1,261 36,022 0.62%
Vinci SA (France) Capital goods 441 35,934 0.62%
GoDaddy, Inc. Class A Technology 506 35,860 0.62%
Keysight Technologies, Inc. Technology 228 35,829 0.62%
Chevron Corp. Energy 248 35,610 0.61%
Merck & Co., Inc. Health care 411 35,438 0.61%
Secom Co., Ltd. (Japan) Consumer cyclicals 618 35,362 0.61%
Kirin Holdings Co., Ltd. (Japan) Consumer staples 2,293 35,278 0.61%
Cummins, Inc. Capital goods 173 35,258 0.61%
MSCI, Inc. Technology 84 35,243 0.61%
Aristocrat Leisure, Ltd. (Australia) Consumer cyclicals 1,652 34,974 0.60%
ConocoPhillips Energy 340 34,770 0.60%
Energias de Portugal (EDP) SA (Portugal) Utilities and power 7,940 34,538 0.60%
PepsiCo, Inc. Consumer staples 210 34,304 0.59%
Diageo PLC (United Kingdom) Consumer staples 806 34,178 0.59%
SEI Investments Co. Financials 696 34,144 0.59%
Hershey Co. (The) Consumer staples 153 33,819 0.58%
Fortive Corp. Capital goods 577 33,630 0.58%
Eiffage SA (France) Basic materials 403 32,575 0.56%
Nitto Denko Corp. (Japan) Basic materials 578 31,270 0.54%
Avery Dennison Corp. Basic materials 190 30,898 0.53%
Moncler SpA (Italy) Consumer cyclicals 731 30,356 0.52%
Hartford Financial Services Group, Inc. (The) Financials 483 29,927 0.52%
Gilead Sciences, Inc. Health care 483 29,819 0.51%
Lockheed Martin Corp. Capital goods 76 29,318 0.51%
Leidos Holdings, Inc. Technology 331 28,932 0.50%
AT&T, Inc. Communication services 1,883 28,893 0.50%
Ferrari NV (Italy) Consumer cyclicals 152 28,631 0.49%
Textron, Inc. Capital goods 489 28,494 0.49%
Garmin, Ltd. Technology 354 28,437 0.49%
Agilent Technologies, Inc. Technology 232 28,155 0.49%
Dropbox, Inc. Class A Technology 1,344 27,847 0.48%
EXOR N.V. Financials 432 27,727 0.48%
Airbnb, Inc. Class A Consumer staples 259 27,252 0.47%
Camden Property Trust Financials 227 27,084 0.47%
W.R. Berkley Corp. Financials 417 26,929 0.46%
Colgate-Palmolive Co. Consumer staples 383 26,874 0.46%
Panasonic Corp. (Japan) Consumer cyclicals 3,720 26,075 0.45%
Chubb, Ltd. Financials 143 26,057 0.45%
NetApp, Inc. Technology 418 25,847 0.45%
Trimble Inc. Technology 474 25,735 0.44%
Philip Morris International, Inc. Consumer staples 309 25,663 0.44%
Valeo (France) Consumer cyclicals 1,657 25,373 0.44%
Power Assets Holdings, Ltd. (Hong Kong) Utilities and power 5,010 25,146 0.43%
Anglo American PLC (London Exchange) (United Kingdom) Basic materials 821 25,081 0.43%
Marubeni Corp. (Japan) Conglomerates 2,818 24,683 0.43%
Sealed Air Corp. Basic materials 551 24,537 0.42%








A BASKET (GSGLPWDS) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
LVMH Moet Hennessy Louis Vuitton SA (France) Consumer cyclicals 59 $35,259 0.63%
Air Liquide SA (France) Basic materials 306 35,253 0.63%
Rollins, Inc. Consumer cyclicals 989 34,300 0.61%
CGI Group, Inc. Class A (Canada) Technology 456 34,295 0.61%
International Paper Co. Basic materials 1,079 34,201 0.61%
Allianz SE (Germany) Financials 216 34,174 0.61%
STERIS PLC Health care 205 34,045 0.61%
Ingersoll Rand, Inc. Capital goods 783 33,878 0.61%
Equifax, Inc. Consumer cyclicals 197 33,759 0.60%
Reed Elsevier (United Kingdom) Consumer cyclicals 1,371 33,720 0.60%
Visa, Inc. Class A Financials 189 33,532 0.60%
AXA SA (France) Financials 1,521 33,499 0.60%
SoftBank Corp. (Japan) Communication services 3,341 33,388 0.60%
Waste Connections, Inc. Capital goods 245 33,170 0.59%
Toyota Motor Corp. (Japan) Consumer cyclicals 2,531 32,801 0.59%
Enel SpA (Italy) Utilities and power 7,864 32,556 0.58%
Alexandria Real Estate Equities, Inc. Financials 231 32,380 0.58%
Broadridge Financial Solutions, Inc. Financials 224 32,303 0.58%
Moody's Corp. Consumer cyclicals 133 32,272 0.58%
Masco Corp. Consumer cyclicals 688 32,117 0.57%
Orange SA (France) Communication services 3,494 31,667 0.57%
Sumitomo Mitsui Financial Group, Inc. (Japan) Financials 1,127 31,348 0.56%
Imperial Brands PLC (United Kingdom) Consumer staples 1,511 31,287 0.56%
NICE, Ltd. (Israel) Communication services 164 31,205 0.56%
Monster Beverage Corp. Consumer staples 355 30,846 0.55%
BlackRock, Inc. Financials 55 30,539 0.55%
Realty Income Corp. Financials 524 30,500 0.55%
Cooper Cos., Inc. (The) Health care 114 30,169 0.54%
Enbridge, Inc. (Canada) Utilities and power 806 29,892 0.53%
BNP Paribas SA (France) Financials 697 29,766 0.53%
Prudential Financial, Inc. Financials 335 28,698 0.51%
Aeon Co., Ltd. (Japan) Consumer cyclicals 1,518 28,362 0.51%
Solvay SA (France) Basic materials 362 28,256 0.51%
Heineken NV (Netherlands) Consumer staples 320 28,202 0.50%
Mizuho Financial Group, Inc. (Japan) Financials 2,547 27,498 0.49%
Bridgestone Corp. (Japan) Consumer cyclicals 810 26,130 0.47%
S&P Global, Inc. Consumer cyclicals 85 26,103 0.47%
Kubota Corp. (Japan) Capital goods 1,885 26,097 0.47%
Swisscom AG (Switzerland) Communication services 56 26,089 0.47%
Catalent, Inc. Health care 359 25,992 0.46%
D.R. Horton, Inc. Consumer cyclicals 382 25,752 0.46%
Hess Corp. Energy 234 25,546 0.46%
Berkshire Hathaway, Inc. Class B Financials 96 25,511 0.46%
Welltower, Inc. Financials 384 24,670 0.44%
TransUnion Consumer cyclicals 412 24,512 0.44%
Texas Pacific Land Corp. Energy 14 24,472 0.44%
ORIX Corp. (Japan) Financials 1,725 24,179 0.43%
Walt Disney Co. (The) Consumer cyclicals 255 24,054 0.43%
Pioneer Natural Resources Co. Energy 111 24,047 0.43%
Fastenal Co. Consumer staples 522 24,031 0.43%








A BASKET (JPCMPTFL) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Cardinal Health, Inc. Health care 293 $19,516 2.10%
Trade Desk, Inc. (The) Class A Consumer cyclicals 324 19,362 2.08%
Etsy, Inc. Consumer staples 174 17,414 1.87%
DoubleVerify Holdings, Inc. Technology 558 15,266 1.64%
Crowdstrike Holdings, Inc. Class A Technology 88 14,547 1.57%
PulteGroup, Inc. Consumer cyclicals 369 13,846 1.49%
Thor Industries, Inc. Consumer cyclicals 191 13,351 1.44%
AZEK Co., Inc. (The) Basic materials 803 13,340 1.44%
Carter's, Inc. Consumer cyclicals 201 13,154 1.42%
Clorox Co. (The) Consumer cyclicals 102 13,116 1.41%
UMW Holdings Corp. Financials 4,382 12,839 1.38%
Driven Brands Holdings, Inc. Consumer cyclicals 454 12,710 1.37%
Amedisys, Inc. Health care 128 12,391 1.33%
DexCom, Inc. Health care 153 12,307 1.32%
Enhabit, Inc. Health care 873 12,254 1.32%
ChargePoint Holdings, Inc. Capital goods 794 11,721 1.26%
Columbia Sportswear Co. Consumer cyclicals 167 11,213 1.21%
Block, Inc. Class A Consumer cyclicals 198 10,913 1.17%
AT&T, Inc. Communication services 681 10,445 1.12%
Victoria's Secret & Co. Consumer cyclicals 356 10,377 1.12%
Peloton Interactive, Inc. Class A Consumer cyclicals 1,470 10,188 1.10%
Change Healthcare, Inc. Health care 370 10,167 1.09%
Coty, Inc. Class A Consumer staples 1,590 10,047 1.08%
Hayward Holdings, Inc. Basic materials 1,124 9,970 1.07%
Tandem Diabetes Care, Inc. Health care 203 9,710 1.05%
Gentex Corp. Capital goods 390 9,290 1.00%
BWX Technologies, Inc. Capital goods 180 9,090 0.98%
Timken Co. (The) Basic materials 152 8,961 0.96%
Enphase Energy, Inc. Energy 32 8,921 0.96%
Quanta Services, Inc. Capital goods 69 8,800 0.95%
Advanced Micro Devices, Inc. Technology 137 8,656 0.93%
Leggett & Platt, Inc. Capital goods 260 8,646 0.93%
arista Networks, Inc. Technology 76 8,534 0.92%
Boston Beer Co., Inc. Class A Consumer staples 25 8,208 0.88%
Zoetis, Inc. Health care 55 8,188 0.88%
Boston Scientific Corp. Health care 207 8,025 0.86%
Lululemon Athletica, Inc. (Canada) Consumer cyclicals 28 7,779 0.84%
Certara, Inc. Health care 571 7,583 0.82%
Olaplex Holdings, Inc. Consumer staples 781 7,461 0.80%
Darling Ingredients, Inc. Consumer staples 113 7,451 0.80%
Ford Motor Co. Consumer cyclicals 653 7,316 0.79%
Carvana Co. Consumer cyclicals 360 7,302 0.79%
Deckers Outdoor Corp. Consumer cyclicals 23 7,195 0.77%
Definitive Healthcare Corp. Health care 457 7,103 0.76%
Monolithic Power Systems, Inc. Technology 19 7,080 0.76%
Masimo Corp. Health care 50 7,054 0.76%
Lockheed Martin Corp. Capital goods 18 7,039 0.76%
Axon Enterprise, Inc. Capital goods 60 6,958 0.75%
United Rentals, Inc. Consumer cyclicals 26 6,919 0.74%
TopBuild Corp. Basic materials 41 6,789 0.73%








A BASKET (UBSPUSER) OF COMMON STOCKS
  Common stocks Sector Shares Value Percentage value
Microsoft Corp. Technology 2,893 $673,690 8.05%
Apple, Inc. Technology 3,447 476,438 5.69%
Amazon.com, Inc. Consumer cyclicals 2,641 298,411 3.56%
Alphabet, Inc. Class C Technology 2,446 235,226 2.81%
Tesla, Inc. Consumer cyclicals 694 184,058 2.20%
Union Pacific Corp. Transportation 766 149,254 1.78%
Charles Schwab Corp. (The) Financials 2,040 146,649 1.75%
UnitedHealth Group, Inc. Health care 290 146,390 1.75%
Walmart, Inc. Consumer cyclicals 1,120 145,227 1.73%
Danaher Corp. Health care 557 143,869 1.72%
Bank of America Corp. Financials 4,152 125,376 1.50%
Northrop Grumman Corp. Capital goods 257 121,018 1.45%
Mastercard, Inc. Class A Consumer cyclicals 421 119,565 1.43%
McKesson Corp. Health care 337 114,506 1.37%
Regeneron Pharmaceuticals, Inc. Health care 165 113,563 1.36%
O'Reilly Automotive, Inc. Consumer cyclicals 158 111,288 1.33%
Merck & Co., Inc. Health care 1,284 110,602 1.32%
American Tower Corp. Communication services 503 107,891 1.29%
Visa, Inc. Class A Financials 589 104,632 1.25%
Goldman Sachs Group, Inc. (The) Financials 328 96,101 1.15%
Exxon Mobil Corp. Energy 1,093 95,424 1.14%
Johnson Controls International PLC Capital goods 1,884 92,718 1.11%
Thermo Fisher Scientific, Inc. Health care 179 90,864 1.09%
Procter & Gamble Co. (The) Consumer staples 708 89,401 1.07%
NVIDIA Corp. Technology 735 89,195 1.07%
ConocoPhillips Energy 859 87,923 1.05%
Cadence Design Systems, Inc. Technology 531 86,773 1.04%
Meta Platforms, Inc. Class A Technology 636 86,252 1.03%
JPMorgan Chase & Co. Financials 792 82,791 0.99%
Elevance Health, Inc. Health care 181 82,416 0.98%
Citigroup, Inc. Financials 1,924 80,191 0.96%
Honeywell International, Inc. Capital goods 470 78,535 0.94%
Corteva, Inc. Basic materials 1,282 73,292 0.88%
Costco Wholesale Corp. Consumer staples 155 73,235 0.87%
AbbVie, Inc. Health care 528 70,834 0.85%
NRG Energy, Inc. Utilities and power 1,841 70,465 0.84%
Qualcomm, Inc. Technology 621 70,160 0.84%
Intuit, Inc. Technology 181 70,049 0.84%
Home Depot, Inc. (The) Consumer cyclicals 231 63,641 0.76%
Johnson & Johnson Health care 382 62,411 0.75%
Accenture PLC Class A Technology 237 61,049 0.73%
Texas Instruments, Inc. Technology 371 57,450 0.69%
IQVIA Holdings, Inc. Health care 303 54,944 0.66%
Chipotle Mexican Grill, Inc. Consumer staples 35 52,901 0.63%
PNC Financial Services Group, Inc. (The) Financials 350 52,311 0.62%
Nike, Inc. Class B Consumer cyclicals 627 52,083 0.62%
Hilton Worldwide Holdings, Inc. Consumer cyclicals 430 51,840 0.62%
Raytheon Technologies Corp. Capital goods 631 51,628 0.62%
Valero Energy Corp. Energy 473 50,562 0.60%
Deere & Co. Capital goods 150 50,186 0.60%








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 9/30/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Rating*** Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments received
by fund		 Unrealized
appreciation/
(depreciation)
Barclays Bank PLC
CMBX NA BBB-.7 Index BB-/P $141 $25,000 $5,068 1/17/47 300 bp — Monthly $(4,914)
Citigroup Global Markets, Inc.
CMBX NA BB.6 Index CCC+/P 2,439 12,916 5,182 5/11/63 500 bp — Monthly (2,732)
CMBX NA BB.7 Index B-/P 459 9,000 3,001 1/17/47 500 bp — Monthly (2,534)
Credit Suisse International
CMBX NA A.6 Index A-/P (32) 18,231 1,860 5/11/63 200 bp — Monthly (1,885)
CMBX NA BBB-.7 Index BB-/P 3,952 50,000 10,135 1/17/47 300 bp — Monthly (6,158)
CMBX NA BBB-.7 Index BB-/P 7,909 107,000 21,689 1/17/47 300 bp — Monthly (13,727)
Goldman Sachs International
CMBX NA A.6 Index A-/P 309 3,772 385 5/11/63 200 bp — Monthly (74)
CMBX NA A.6 Index A-/P 419 5,029 513 5/11/63 200 bp — Monthly (92)
CMBX NA A.6 Index A-/P 1,018 12,573 1,282 5/11/63 200 bp — Monthly (260)
CMBX NA A.6 Index A-/P 3,977 38,976 3,976 5/11/63 200 bp — Monthly 14
CMBX NA BBB-.6 Index B+/P 259 2,154 484 5/11/63 300 bp — Monthly (224)
CMBX NA BBB-.6 Index B+/P 260 2,154 484 5/11/63 300 bp — Monthly (223)
CMBX NA BBB-.6 Index B+/P 422 3,590 807 5/11/63 300 bp — Monthly (383)
CMBX NA BBB-.6 Index B+/P 591 5,026 1,129 5/11/63 300 bp — Monthly (536)
CMBX NA BBB-.6 Index B+/P 633 5,744 1,291 5/11/63 300 bp — Monthly (655)
CMBX NA BBB-.6 Index B+/P 990 6,462 1,452 5/11/63 300 bp — Monthly (458)
CMBX NA BBB-.6 Index B+/P 435 6,462 1,452 5/11/63 300 bp — Monthly (1,013)
CMBX NA BBB-.6 Index B+/P 1,218 7,180 1,613 5/11/63 300 bp — Monthly (392)
CMBX NA BBB-.6 Index B+/P 1,160 10,053 2,259 5/11/63 300 bp — Monthly (1,093)
CMBX NA BBB-.6 Index B+/P 1,671 10,771 2,420 5/11/63 300 bp — Monthly (743)
CMBX NA BBB-.6 Index B+/P 2,221 11,489 2,581 5/11/63 300 bp — Monthly (354)
CMBX NA BBB-.6 Index B+/P 878 12,925 2,904 5/11/63 300 bp — Monthly (2,020)
CMBX NA BBB-.7 Index BB-/P 695 8,000 1,622 1/17/47 300 bp — Monthly (923)
CMBX NA BBB-.7 Index BB-/P 1,448 17,000 3,446 1/17/47 300 bp — Monthly (1,989)
CMBX NA BBB-.7 Index BB-/P 1,481 20,000 4,054 1/17/47 300 bp — Monthly (2,566)
Upfront premium received 34,985 Unrealized appreciation 14
Upfront premium (paid) (32) Unrealized (depreciation) (45,948)
Total $34,953 Total $(45,934)
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at September 30, 2022. Securities rated by Fitch are indicated by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard & Poor’s classifications.








OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 9/30/22 (Unaudited)
  Swap counterparty/
referenced debt*		 Upfront premium received (paid)**   Notional
amount		 Value   Termi-
nation
date		   Payments (paid) by fund Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA BB.10 Index $(329) $3,000 $998 11/17/59 (500 bp) — Monthly $667
CMBX NA BB.10 Index (313) 3,000 998 11/17/59 (500 bp) — Monthly 683
CMBX NA BB.11 Index (1,166) 9,000 2,002 11/18/54 (500 bp) — Monthly 828
CMBX NA BB.11 Index (283) 3,000 667 11/18/54 (500 bp) — Monthly 382
CMBX NA BB.8 Index (176) 966 363 10/17/57 (500 bp) — Monthly 186
CMBX NA BB.9 Index (3,716) 36,000 11,747 9/17/58 (500 bp) — Monthly 8,001
CMBX NA BBB-.6 Index (21,916) 84,010 18,877 5/11/63 300 bp — Monthly (3,082)
Credit Suisse International
CMBX NA BB.10 Index (801) 6,000 1,997 11/17/59 (500 bp) — Monthly 1,191
CMBX NA BB.10 Index (714) 6,000 1,997 11/17/59 (500 bp) — Monthly 1,278
CMBX NA BB.7 Index (300) 12,916 5,182 5/11/63 (500 bp) — Monthly 4,871
CMBX NA BB.8 Index (175) 966 363 10/17/57 (500 bp) — Monthly 187
CMBX NA BB.9 Index (1,504) 15,000 4,895 9/17/58 (500 bp) — Monthly 3,378
Goldman Sachs International
CMBX NA BB.7 Index (7,439) 44,000 14,670 1/17/47 (500 bp) — Monthly 7,194
CMBX NA BB.9 Index (361) 3,000 979 9/17/58 (500 bp) — Monthly 615
CMBX NA BB.9 Index (357) 3,000 979 9/17/58 (500 bp) — Monthly 619
JPMorgan Securities LLC
CMBX NA BBB-.7 Index (44,370) 189,000 38,310 1/17/47 (300 bp) — Monthly (6,154)
Merrill Lynch International
CMBX NA BB.10 Index (341) 6,000 1,997 11/17/59 (500 bp) — Monthly 1,650
CMBX NA BB.11 Index (3,460) 7,000 1,557 11/18/54 (500 bp) — Monthly (1,909)
CMBX NA BB.9 Index (351) 9,000 2,937 9/17/58 (500 bp) — Monthly 2,579
Morgan Stanley & Co. International PLC
CMBX NA BB.10 Index (315) 3,000 998 11/17/59 (500 bp) — Monthly 681
CMBX NA BB.9 Index (728) 6,000 1,958 9/17/58 (500 bp) — Monthly 1,225
CMBX NA BB.9 Index (364) 3,000 979 9/17/58 (500 bp) — Monthly 613
CMBX NA BBB-.7 Index (3,872) 38,000 7,703 1/17/47 (300 bp) — Monthly 3,812
Upfront premium received — Unrealized appreciation 40,640
Upfront premium (paid) (93,351) Unrealized (depreciation) (11,145)
Total $(93,351) Total $29,495
* Payments related to the referenced debt are made upon a credit default event.
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.










Key to holding's currency abbreviations
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
Key to holding's abbreviations
ADR American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank.
FRB Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFB Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
IO Interest Only
LIBOR London Interbank Offered Rate
SOFR Secured Overnight Financing Rate
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
Notes to the fund's portfolio
Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from July 1, 2022 through September 30, 2022 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, references to "ASC 820" represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures and references to "OTC", if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $23,304,551.
(CLN) The value of the commodity linked notes, which are marked to market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(NON) This security is non-income-producing.
(AFF) Affiliated company. For investments in Putnam Cash Collateral Pool, LLC and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company which is under common ownership or control were as follows:
Name of affiliate Fair value
as of
6/30/22		 Purchase
cost		 Sale
proceeds		 Investment
income		 Shares outstanding
and fair
value as of
9/30/22
Short-term investments
Putnam Cash Collateral Pool, LLC*# $942,055 $21,359,562 $21,709,765 $5,879 $591,852
Putnam Short Term Investment Fund** 9,968,560 9,500,000 9,968,560 71,090 9,500,000
Total Short-term investments $10,910,615 $30,859,562 $31,678,325 $76,969 $10,091,852
* The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the fair value of the securities loaned. The fair value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The remaining maturities of the securities lending transactions are considered overnight and continuous. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. The fund receives cash collateral, which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Management. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged to Putnam Cash Collateral Pool, LLC and there were no realized or unrealized gains or losses during the period.
# At the close of the reporting period, the fund received cash collateral of $591,852 for securities loaned. The rate quoted in the security description is the annualized 7-day yield at the close of the reporting period. At the close of the reporting period, the value of securities loaned amounted to $568,632.
** Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $170,521.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $120,601.
(SEGCCS) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $35,899.
(F) This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.
(P) This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(S) This security is on loan, in part or in entirety, at the close of the reporting period.
(WAC) The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
Security valuation: Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities and total return swap contracts taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Stripped securities: The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Repurchase agreements: The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements, which totaled $6,864,600 at the end of the reporting period, is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Options contracts: The fund used options contracts tto hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance returns on securities owned, to enhance the return on a security owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
For the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.
TBA commitments: The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund's portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $83,520 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund at period end for these agreements totaled $120,601 and may include amounts related to unsettled agreements.








ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund's investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:
  Valuation inputs
Investments in securities: Level 1 Level 2 Level 3
Common stocks*:
Basic materials $96,564 $134,493 $—
Capital goods — 22,819 —
Communication services — 19,121 —
Consumer cyclicals 10,641 264,057 —
Consumer staples 86,335 58,335 —
Energy — 68,959 —
Financials 99,788 277,662 —
Health care 3,567 80,534 —
Technology 134,169 527,190 —
Transportation — 74,837 —
Utilities and power 36,299 — —
Total common stocks 467,363 1,528,007 —
Asset-backed securities — 36,865 —
Commodity linked notes — 1,472,927 —
Corporate bonds and notes — 61,193 —
Foreign government and agency bonds and notes — 98,899 —
Investment companies 1,852,630 — —
Mortgage-backed securities — 583,540 —
U.S. government and agency mortgage obligations — 2,897,343 —
Units 8,279 — —
Warrants — 152,010 —
Short-term investments 210,000 17,220,701 —
Totals by level $2,538,272 $24,051,485 $—
  Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Futures contracts $(88,937) $— $—
Forward premium swap option contracts — 10,364 —
TBA sale commitments — (1,648,297) —
Interest rate swap contracts — (4,329) —
Total return swap contracts — 303,348 —
Credit default contracts — 41,959 —
Totals by level $(88,937) $(1,296,955) $—
* Common stock classifications are presented at the sector level, which may differ from the fund's portfolio presentation.
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund's net assets and were not considered a significant portion of the fund's portfolio.
The volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:
Futures contracts (number of contracts) 90
Centrally cleared interest rate swap contracts (notional) $5,100,000
OTC total return swap contracts (notional) $46,900,000
Centrally cleared total return swap contracts (notional) $1,100,000
OTC credit default contracts (notional) $2,500,000
Centrally cleared credit default contracts (notional) $390,000
Warrants (number of warrants) 94,000
For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com