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Putnam Funds Trust

Filed: 28 Jun 22, 4:54pm



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES




Investment Company Act file number:(811-07513)
Exact name of registrant as specified in charter:Putnam Funds Trust
Address of principal executive offices:100 Federal Street, Boston, Massachusetts 02110
Name and address of agent for service:Stephen Tate, Vice President
100 Federal Street
Boston, Massachusetts 02110
Copy to:        Bryan Chegwidden, Esq.
Ropes & Gray LLP
1211 Avenue of the Americas
New York, New York 10036
Registrant’s telephone number, including area code:(617) 292-1000
Date of fiscal year end:October 31, 2022
Date of reporting period:November 1, 2021 – April 30, 2022



Item 1. Report to Stockholders:

The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940:



 


 

Message from the Trustees

June 8, 2022

Dear Fellow Shareholder:

The year to date has been difficult for investors, with bond and stock prices falling in repeated market downturns. Inflation has climbed to levels not seen in decades, prompting the U.S. Federal Reserve to reverse the stimulus that had helped support financial assets since 2020. Markets globally also have reacted to the Russia-Ukraine War and the worsening Covid-19 pandemic in China. In the underlying economy, we have seen encouraging signs, such as abundant job openings and wage gains in the United States.

History has shown us that markets eventually recover from crises and may reward those focused on long-term goals rather than short-term uncertainties. At Putnam, professional, active investors are working for you. They are monitoring risks while looking for strong potential investments for your fund. Learn more in the interview with your fund manager(s) in the following pages.

Thank you for investing with Putnam.



 


Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. Share price, principal value, and return will fluctuate, and you may have a gain or a loss when you sell your shares. Performance of class A shares assumes reinvestment of distributions and does not account for taxes. Fund returns in the bar chart do not reflect a sales charge of 2.25%; had they, returns would have been lower. See below and pages 9–11 for additional performance information. For a portion of the periods, the fund had expense limitations, without which returns would have been lower. To obtain the most recent month-end performance, visit putnam.com.

Returns for periods of less than one year are not annualized.


This comparison shows your fund’s performance in the context of broad market indexes for the six months ended 4/30/22. See above and pages 9–11 for additional fund performance information. Index descriptions can be found on page 15.

All Bloomberg indices are provided by Bloomberg Index Services Limited.

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Mike, what was the fund’s investment environment like during the six months ended April 30, 2022?

After posting relatively subdued returns during the early months of the reporting period, fixed income markets became volatile during the first quarter of calendar 2022. Hawkish policy pivots from the U.S. Federal Reserve and the European Central Bank in the face of rapidly rising inflation, combined with Russia’s invasion of Ukraine, fueled a flight from risk. A resurgence of Covid-19 in China and accompanying lockdowns added to investor nervousness.

Within this environment, credit spreads widened and interest rates rose. [Spreads are the yield advantage credit-sensitive bonds offer over comparable-maturity U.S. Treasuries. Bond prices rise as yield spreads tighten and decline as spreads widen.] The yield on the benchmark 10-year U.S. Treasury note rose from 1.55% on October 31, 2021, to 2.93% on April 29, 2022. In anticipation of Fed policy changes, short-term yields rose even more, causing the yield curve to flatten materially.

On March 16, 2022, the central bank approved a 0.25% interest-rate hike, its first increase since December 2018. Fed Chair Jerome

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Allocations are shown as a percentage of the fund’s net assets as of 4/30/22. 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. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Allocations may not total 100% because the chart includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities. Holdings and allocations may vary over time.


Powell signaled an aggressive approach going forward, indicating that additional interest-rate hikes could occur at each of the remaining six policy meetings in 2022. Shortly after the period ended, the Fed approved a half-percentage-point increase in the federal funds rate. It also announced plans to shrink its $9 trillion asset portfolio starting in June, with up to $30 billion in U.S. Treasuries allowed to run off in June, July, and August, followed by $60 billion in subsequent months.

Let’s discuss performance during the reporting period and the holdings and strategies that contributed to it.

The fund lagged its benchmark of U.S. Treasury bills. Mortgage credit holdings added the most value, led by an allocation to commercial mortgage-backed securities [CMBS]. Our investments consisted of cash bonds along with synthetic exposure via CMBX. By way of explanation, CMBX is a group of tradeable indexes that each reference a basket of 25 CMBS issued in a particular year. Despite broader market volatility, the continued reopening of the economy and the success of vaccines aided the recovery of many types of property, which, in turn, boosted our CMBS positions.

The fund’s currency positioning also contributed this period. We maintained a basket of currencies that generally tend to benefit from risk-off environments versus other currencies within the Group of Ten country currencies. Our positions included the U.S. dollar, the Japanese yen, and the Swiss franc. Our strategy benefited

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as the U.S. dollar strengthened against other major currencies.

Strategies targeting prepayment risk provided a further modest boost, aided by our mortgage basis positioning. This strategy seeks to capitalize on the difference between longer-term U.S. Treasury yields and the interest rates on 30-year home mortgages. It received a lift following the release of the minutes from the Fed’s December 2021 policy meeting. The minutes indicated that the central bank might begin to sell its holdings of government agency mortgage-backed securities [MBS] more rapidly than investors originally anticipated. Moreover, higher interest rates across the yield curve in 2022 significantly dampened mortgage refinancing activity, creating a supportive backdrop for our prepayment strategies. In addition to the contribution from mortgage basis, our holdings of agency interest-only collateralized mortgage obligations [IO CMOs] generated positive results during the final month of the period.

What were the detractors from performance during the reporting period?

Interest-rate and yield curve strategies were the primary detractors this period. The portfolio had a modestly positive duration, which weighed on performance during March and April when U.S. Treasury yields rose significantly. Relative-value strategies focused on various points along the yield curve also detracted. On the plus side, our interest-rate volatility strategy benefited from significant fluctuations in U.S. Treasury yields during the period. Additionally, the portfolio received a boost as real interest rates rose from historically low levels. [Real interest rates adjust for the


This table shows the fund’s top 10 individual holdings and the percentage of the fund’s net assets that each represented as of 4/30/22. Short-term investments, to-be-announced (TBA) commitments, and derivatives, if any, are excluded. Holdings may vary over time.

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effects of inflation by subtracting the actual or expected rate of inflation from nominal interest rates.] These latter elements of our strategy partially offset the negative outcome of our broader term structure positioning.

Our corporate credit holdings also worked against performance. The Fed’s shift to a more-restrictive policy approach fueled a flight from risk, hampering our positions in convertible securities, as well as investment-grade [IG] and high-yield corporate bonds. Rising interest rates and widening credit spreads weighed on IG and high-yield credit.

Holdings of emerging market [EM] debt moderately dampened the fund’s performance. The turmoil resulting from Russia’s invasion of Ukraine hit EM bonds particularly hard in February. EM debt rebounded a bit in March and April but not enough to fully offset earlier weakness.

What is the team’s near-term outlook?

In light of tightening monetary policy, higher interest rates, and less liquidity in the marketplace, we have a cautious outlook. We anticipate continued bouts of volatility given the conflict in Ukraine, the pace of Fed interest-rate hikes, and potentially negative effects on energy supplies from sanctions on Russia. We’re also concerned about lingering supply-chain disruptions, especially in light of the recent Covid-19 upsurge in China. There is also considerable uncertainty surrounding the Fed’s efforts to contain inflation without pushing the U.S. economy into recession. Moreover, while consumer balance sheets are generally in good shape, in our view, inflation-adjusted wages are beginning to decline.

Investor expectations for multiple 0.50% interest-rate increases at upcoming Fed meetings have pushed U.S. Treasury yields materially higher across the yield curve. With a number of rate hikes already priced into the market, we think it’s possible that U.S. Treasury


This chart shows how the fund’s top weightings have changed over the past six months. Allocations are shown as a percentage of the fund’s net assets. Current period summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time.

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prices could rally intermittently, particularly if concerns about economic growth intensify.

What are your current views on the major sectors in which the fund invests?

Looking first at corporate credit, our view is moderately constructive. We have a positive outlook for market fundamentals and believe valuations have improved for both IG and high-yield credit. However, the supply/demand backdrop is less favorable than it was last year, in our view.

We believe the fundamental environment will continue to improve in the CMBS market as workers return to offices, consumer traffic increases at retailers, and hotels welcome back business and leisure travelers. Moreover, with real assets serving as collateral, along with the potential for rent adjustments, CMBS have historically performed well during periods of rising inflation. Consistent with risk markets generally, CMBS spreads widened during the period. The increased liquidity premium enhanced the appeal of select market segments.

Given that home prices have already risen substantially and mortgage rates have moved up, we are aware that affordability has become a constraint for many prospective buyers. Consequently, we think the pace of home price appreciation is likely to moderate during 2022. Within residential mortgage credit, wider spreads have created better value among mid-tier and lower-rated securities. As of period-end, we were finding attractive investment opportunities in that area of the market, as well as among higher-rated securities.

With the Fed beginning the process of reducing the mortgage assets in its portfolio, we believe many prepayment-sensitive securities may offer attractive risk-adjusted returns from current price levels. Many of these securities may also offer meaningful upside potential if mortgage prepayment speeds continue to slow. We think the fund’s prepayment-related strategies provide an important source of diversification

ABOUT DERIVATIVES

Derivatives are an increasingly common type of investment instrument, the performance of which is derived from an underlying security, index, currency, or other area of the capital markets. Derivatives employed by the fund’s managers generally serve one of two main purposes: to implement a strategy that may be difficult or more expensive to invest in through traditional securities, or to hedge unwanted risk associated with a particular position.

For example, the fund’s managers might use currency forward contracts to capitalize on an anticipated change in exchange rates between two currencies. This approach would require a significantly smaller outlay of capital than purchasing traditional bonds denominated in the underlying currencies. In another example, the managers may identify a bond that they believe is undervalued relative to its risk of default, but may seek to reduce the interest-rate risk of that bond by using interest-rate swaps, a derivative through which two parties “swap” payments based on the movement of certain rates. In other examples, the managers may use options and futures contracts to hedge against a variety of risks.

Like any other investment, derivatives may not appreciate in value and may lose money. Derivatives may amplify traditional investment risks through the creation of leverage and may be less liquid than traditional securities. And because derivatives typically represent contractual agreements between two financial institutions, derivatives entail “counterparty risk,” which is the risk that the other party is unable or unwilling to pay. Putnam monitors the counterparty risks we assume. For example, Putnam often enters into collateral agreements that require the counterparties to post collateral on a regular basis to cover their obligations to the fund. Counterparty risk for exchange-traded futures and centrally cleared swaps is mitigated by the daily exchange of margin and other safeguards against default through their respective clearinghouses.

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in the portfolio. In light of last year’s repricing across the market, we were finding value across a variety of collateral types.

In light of Russia’s invasion of Ukraine, along with the Fed’s shift to monetary tightening, the near-term outlook for emerging markets has become highly uncertain. Against this backdrop, we will focus on opportunities in countries that are less directly affected by geopolitical turmoil and global policy risk. Our emphasis on investment opportunities in the U.S. may help minimize the fund’s exposure to broader geopolitical risk.

How did you use derivatives during the period?

We used CMBX credit default swaps to hedge the fund’s CMBS credit and market risks, gain access to specific sectors of the market, and gain liquid exposure to individual names. We employed bond futures and interest-rate swaps to take tactical positions at various points along the yield curve and to hedge the risk associated with the fund’s curve positioning. We also used interest-rate swaps to gain exposure to interest rates in various countries. We utilized options to isolate the prepayment risks associated with our holdings of collateralized mortgage obligations and to help manage the downside risk of these positions. We also used options to hedge duration and convexity. Lastly, we used total return swaps to manage the fund’s sector and inflation exposures.

Thanks for your time and for bringing us up to date, Mike.

The views expressed in this report are exclusively those of Putnam Management and are subject to change. They are not meant as investment advice.

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

Of special interest

The fund had no direct exposure to Russian or Ukrainian securities or markets at the end of the period. We are closely monitoring governmental actions, including the issuance of sanctions, and related market developments.

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Your fund’s performance

This section shows your fund’s performance, price, and distribution information for periods ended April 30, 2022, the end of the first half of its current fiscal year. In accordance with regulatory requirements for mutual funds, we also include performance information as of the most recent calendar quarter-end and expense information taken from the fund’s current prospectus. Performance should always be considered in light of a fund’s investment strategy. Data represent past performance. Past performance does not guarantee future results. More recent returns may be less or more than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your shares. Performance information does not reflect any deduction for taxes a shareholder may owe on fund distributions or on the redemption of fund shares. For the most recent month-end performance, please visit the Individual Investors section at putnam.com or call Putnam at 1-800-225-1581. Class P, R, R6, and Y shares are not available to all investors. See the Terms and definitions section in this report for definitions of the share classes offered by your fund.

Annualized fund performance Total return for periods ended 4/30/22

 Life of fund 10 years 5 years 3 years 1 year 6 months 
Class A (12/23/08)       
Before sales charge 2.17% 1.93% 1.58% 0.38% –5.17% –0.90% 
After sales charge 1.99 1.70 1.12 –0.38 –7.30 –3.13 
Class B (12/23/08)       
Before CDSC 2.00 1.77 1.38 0.18 –5.40 –0.91 
After CDSC 2.00 1.77 1.38 0.18 –6.30 –1.87 
Class C (12/23/08)       
Before CDSC 1.71 1.33 0.82 –0.36 –5.90 –1.17 
After CDSC 1.71 1.33 0.82 –0.36 –6.81 –2.13 
Class P (8/31/16)       
Net asset value 2.42 2.19 1.83 0.63 –5.00 –0.77 
Class R (12/23/08)       
Net asset value 1.91 1.68 1.32 0.12 –5.40 –1.04 
Class R6 (7/2/12)       
Net asset value 2.43 2.19 1.83 0.63 –5.00 –0.77 
Class Y (12/23/08)       
Net asset value 2.43 2.19 1.86 0.64 –4.91 –0.66 

 

Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. After-sales-charge returns for class A shares reflect the deduction of the maximum 2.25% sales charge levied at the time of purchase. Class B share returns after contingent deferred sales charge (CDSC) reflect the applicable CDSC, which is 1% in the first year, declining to 0.50% in the second year, and is eliminated thereafter. Class C share returns after CDSC reflect a 1% CDSC for the first year that is eliminated thereafter. Class P, R, R6, and Y shares have no initial sales charge or CDSC. Performance for class P and R6 shares prior to their inception is derived from the historical performance of class Y shares and has not been adjusted for the lower investor servicing fees applicable to class P and R6 shares; had it, returns would have been higher.

Returns for periods of less than one year are not annualized.

For a portion of the periods, the fund had expense limitations, without which returns would have been lower.

The fund has had performance fee adjustments that may have had a positive or negative impact on returns.

Class B and C share performance reflects conversion to class A shares after eight years.

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Comparative annualized index returns For periods ended 4/30/22

 Life of fund 10 years 5 years 3 years 1 year 6 months 
ICE BofA U.S. Treasury       
Bill Index 0.54% 0.65% 1.13% 0.76% 0.01% 0.00% 

 

Index results should be compared with fund performance before sales charge, before CDSC, or at net asset value.

Returns for periods of less than one year are not annualized.

Fund price and distribution information For the six-month period ended 4/30/22

Distributions Class A Class B Class C Class P Class R Class R6 Class Y 
Number 
Income $0.259 $0.249 $0.226 $0.271 $0.246 $0.271 $0.271 
Capital gains — — — — — — — 
Total $0.259 $0.249 $0.226 $0.271 $0.246 $0.271 $0.271 
 Before After Net Net Net Net Net Net 
 sales sales asset asset asset asset asset asset 
Share value charge charge value value value value value value 
10/31/21 $9.04 $9.25 $9.01 $9.00 $9.07 $9.09 $9.07 $9.04 
4/30/22 8.70 8.90 8.68 8.67 8.73 8.75 8.73 8.71 
 Before After Net Net Net Net Net Net 
Current rate sales sales asset asset asset asset asset asset 
(end of period) charge charge value value value value value value 
Current dividend rate1 3.45% 3.37% 3.32% 2.77% 3.71% 3.15% 3.71% 3.72% 
Current 30-day         
SEC yield2 N/A 4.03 3.87 3.32 4.33 3.83 4.33 4.33 

 

The classification of distributions, if any, is an estimate. Before-sales-charge share value and current dividend rate for class A shares, if applicable, do not take into account any sales charge levied at the time of purchase. After-sales-charge share value, current dividend rate, and current 30-day SEC yield, if applicable, are calculated assuming that the maximum sales charge (2.25% for class A shares) was levied at the time of purchase. Final distribution information will appear on your year-end tax forms.

1 Most recent distribution, including any return of capital and excluding capital gains, annualized and divided by share price before or after sales charge at period-end.

2 Based only on investment income and calculated using the maximum offering price for each share class, in accordance with SEC guidelines.

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Annualized fund performance as of most recent calendar quarter
Total return for periods ended 3/31/22

 Life of fund 10 years 5 years 3 years 1 year 6 months 
Class A (12/23/08)       
Before sales charge 2.20% 1.93% 1.74% 0.72% –5.14% –1.97% 
After sales charge 2.03 1.70 1.28 –0.04 –7.27 –4.18 
Class B (12/23/08)       
Before CDSC 2.04 1.76 1.54 0.52 –5.28 –2.10 
After CDSC 2.04 1.76 1.54 0.52 –6.19 –3.05 
Class C (12/23/08)       
Before CDSC 1.74 1.32 0.99 –0.02 –5.78 –2.35 
After CDSC 1.74 1.32 0.99 –0.02 –6.69 –3.30 
Class P (8/31/16)       
Net asset value 2.46 2.19 2.01 0.97 –4.88 –1.83 
Class R (12/23/08)       
Net asset value 1.94 1.68 1.49 0.46 –5.37 –2.10 
Class R6 (7/2/12)       
Net asset value 2.46 2.20 2.01 0.97 –4.88 –1.83 
Class Y (12/23/08)       
Net asset value 2.45 2.19 1.99 0.94 –4.89 –1.84 

 

See the discussion following the fund performance table on page 9 for information about the calculation of fund performance.

Returns for periods of less than one year are not annualized.


Your fund’s expenses

As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.

Expense ratios

 Class A Class B Class C Class P Class R Class R6 Class Y 
Total annual operating expenses for the        
fiscal year ended 10/31/21 0.77% 0.97% 1.52% 0.52% 1.02% 0.52% 0.52% 
Annualized expense ratio for the        
six-month period ended 4/30/22* 0.71% 0.91% 1.46% 0.46% 0.96% 0.46% 0.46% 

 

Fiscal year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.

Expenses are shown as a percentage of average net assets.

* Includes a decrease of 0.14% from annualizing the performance fee adjustment for the six months ended 4/30/22.

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Expenses per $1,000

The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 11/1/21 to 4/30/22. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.

 Class A Class B Class C Class P Class R Class R6 Class Y 
Expenses paid per $1,000*† $3.50 $4.49 $7.20 $2.27 $4.74 $2.27 $2.27 
Ending value (after expenses) $991.00 $990.90 $988.30 $992.30 $989.60 $992.30 $993.40 

 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/22. The expense ratio may differ for each share class.

Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period (181); and then dividing that result by the number of days in the year (365).

Estimate the expenses you paid

To estimate the ongoing expenses you paid for the six months ended 4/30/22, use the following calculation method. To find the value of your investment on 11/1/21, call Putnam at 1-800-225-1581.


Compare expenses using the SEC’s method

The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.

 Class A Class B Class C Class P Class R Class R6 Class Y 
Expenses paid per $1,000*† $3.56 $4.56 $7.30 $2.31 $4.81 $2.31 $2.31 
Ending value (after expenses) $1,021.27 $1,020.28 $1,017.55 $1,022.51 $1,020.03 $1,022.51 $1,022.51 

 

* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 4/30/22. The expense ratio may differ for each share class.

Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period (181); and then dividing that result by the number of days in the year (365).

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Consider these risks before investing

Allocation of assets among fixed-income strategies and sectors may hurt performance. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political, or financial market conditions; investor sentiment and market perceptions; government actions; geopolitical events or changes; and factors related to a specific issuer, geography, industry, or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings.

Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed investments, unlike traditional debt investments, are subject to prepayment risk, which means that they may increase in value less when interest rates decline and decline in value more when interest rates rise. The fund’s investments in mortgage-backed securities and asset-backed securities, and in certain other securities and derivatives, may be or become illiquid. The fund currently has significant investment exposure to mortgage-backed securities, which may make the fund’s net asset value more susceptible to economic, market, political, and other developments affecting the housing or real estate markets and the servicing of mortgage loans secured by real estate properties. International investing involves currency, economic, and political risks. Emerging market securities have illiquidity and volatility risks. The fund may not achieve its goal, and it is not intended to be a complete investment program. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund’s efforts to produce lower-volatility returns may not be successful and may make it more difficult at times for the fund to achieve its targeted return. Under certain market conditions, the fund may accept greater-than-typical volatility to seek its targeted return. The fund is not intended to outperform stocks and bonds during strong market rallies. The fund’s prospectus lists additional risks.

Our investment techniques, analyses, and judgments may not produce the intended outcome, and the investments we select for the fund may not perform as well as other securities that were not selected for the fund. We, or the fund’s other service providers, may experience disruptions or operating errors that could negatively impact the fund. You can lose money by investing in the fund.

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Terms and definitions

Important terms

Total return shows how the value of the fund’s shares changed over time, assuming you held the shares through the entire period and reinvested all distributions in the fund.

Before sales charge, or net asset value, is the price, or value, of one share of a mutual fund, without a sales charge. Before-sales-charge figures fluctuate with market conditions. They are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.

After sales charge is the price of a mutual fund share plus the maximum sales charge levied at the time of purchase. After-sales-charge performance figures shown here assume the 2.25% maximum sales charge for class A shares.

Contingent deferred sales charge (CDSC) is generally a charge applied at the time of the redemption of class B or C shares and assumes redemption at the end of the period. Your fund’s class B CDSC declines over time from a 1.00% maximum during the first year to 0.50% during the second year. After the second year, the CDSC no longer applies. The CDSC for class C shares is 1.00% for one year after purchase.

Share classes

Class A shares are generally subject to an initial sales charge and no CDSC (except on certain redemptions of shares bought without an initial sales charge).

Class B shares are closed to new investments and are only available by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. They are not subject to an initial sales charge and may be subject to a CDSC.

Class C shares are not subject to an initial sales charge and are subject to a CDSC only if the shares are redeemed during the first year.

Class P shares require no minimum initial investment amount and no minimum subsequent investment amount. There is no initial or deferred sales charge. They are only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates

Class R shares are not subject to an initial sales charge or CDSC and are only available to employer-sponsored retirement plans.

Class R6 shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to employer-sponsored retirement plans, corporate and institutional clients, and clients in other approved programs.

Class Y shares are not subject to an initial sales charge or CDSC and carry no 12b-1 fee. They are generally only available to corporate and institutional clients and clients in other approved programs.

Fixed income terms

Current rate is the annual rate of return earned from dividends or interest of an investment. Current rate is expressed as a percentage of the price of a security, fund share, or principal investment.

Mortgage-backed security (MBS), also known as a mortgage “pass-through,” is a type of asset-backed security that is secured by a mortgage or collection of mortgages. The following are types of MBSs:

Agency credit risk transfer (CRT) security is backed by a reference pool of agency mortgages. Unlike a regular agency pass-through, the principal invested in a CRT is not backed by a U.S. government agency. To compensate investors for this risk, a CRT typically offers a higher yield than conventional pass-through securities. Similar to a CMBS, a CRT is structured into various tranches for investors, offering

14 Fixed Income Absolute Return Fund 

 


 

different levels of risk and yield based on the underlying reference pool.

Agency “pass-through” has its principal and interest backed by a U.S. government agency, such as the Federal National Mortgage Association (Fannie Mae), Government National Mortgage Association (Ginnie Mae), and Federal Home Loan Mortgage Corporation (Freddie Mac).

Collateralized mortgage obligation (CMO) represents claims to specific cash flows from pools of home mortgages. The streams of principal and interest payments on the mortgages are distributed to the different classes of CMO interests in “tranches.” Each tranche may have different principal balances, coupon rates, prepayment risks, and maturity dates. A CMO is highly sensitive to changes in interest rates and any resulting change in the rate at which homeowners sell their properties, refinance, or otherwise prepay loans. CMOs are subject to prepayment, market, and liquidity risks.

°Interest-only (IO) security is a type of CMO in which the underlying asset is the interest portion of mortgage, Treasury, or bond payments.

Non-agency residential mortgage-backed security (RMBS) is an MBS not backed by Fannie Mae, Ginnie Mae, or Freddie Mac. One type of RMBS is an Alt-A mortgage-backed security.

Commercial mortgage-backed security (CMBS) is secured by the loan on a commercial property.

Yield curve is a graph that plots the yields of bonds with equal credit quality against their differing maturity dates, ranging from shortest to longest. It is used as a benchmark for other debt, such as mortgage or bank lending rates.

Comparative indexes

Bloomberg U.S. Aggregate Bond Index is an unmanaged index of U.S. investment-grade fixed-income securities.

CMBX Index is an unmanaged index that tracks the performance of a basket of CMBS issued in a particular year.

ICE BofA (Intercontinental Exchange Bank of America) U.S. Treasury Bill Index is an unmanaged index that tracks the performance of U.S. dollar-denominated U.S. Treasury bills publicly issued in the U.S. domestic market. Qualifying securities must have a remaining term of at least one month to final maturity and a minimum amount outstanding of $1 billion.

S&P 500® Index is an unmanaged index of common stock performance.

Indexes assume reinvestment of all distributions and do not account for fees. Securities and performance of a fund and an index will differ. You cannot invest directly in an index.

BLOOMBERG®  is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom, and to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.

ICE Data Indices, LLC (“ICE BofA”), used with permission. ICE BofA permits use of the ICE BofA indices and related data on an “as is” basis; makes no warranties regarding same; does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofA indices or any data included in, related to, or derived therefrom; assumes no liability in connection with the use of the foregoing; and does not sponsor, endorse, or recommend Putnam Investments, or any of its products or services.

Fixed Income Absolute Return Fund 15 

 


 

Other information for shareholders

Important notice regarding delivery of shareholder documents

In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581, and Putnam will begin sending individual copies within 30 days.

Proxy voting

Putnam is committed to managing our mutual funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2021, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581.

Fund portfolio holdings

The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.

Prior to its use of Form N-PORT, the fund filed its complete schedule of its portfolio holdings with the SEC on Form N-Q, which is available online at www.sec.gov.

Trustee and employee fund ownership

Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam mutual funds. As of April 30, 2022, Putnam employees had approximately $492,000,000 and the Trustees had approximately $72,000,000 invested in Putnam mutual funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.

Liquidity risk management program

Putnam, as the administrator of the fund’s liquidity risk management program (appointed by the Board of Trustees), presented the most recent annual report on the program to the Trustees in April 2022. The report covered the structure of the program, including the program documents and related policies and procedures adopted to comply with Rule 22e-4 under the Investment Company Act of 1940, and reviewed the operation of the program from January 2021 through December 2021. The report included a description of the annual liquidity assessment of the fund that Putnam performed in November 2021. The report noted that there were no material compliance exceptions identified under Rule 22e-4 during the period. The report included a review of the governance of the program and the methodology for classification of the fund’s investments. The report also included a discussion of liquidity monitoring during the period, including during the market liquidity challenges caused by the Covid-19 pandemic, and the impact those challenges had on the liquidity of the fund’s investments. Putnam concluded that the program has been operating effectively and adequately to ensure compliance with Rule 22e-4.

16 Fixed Income Absolute Return Fund 

 


 

Financial statements

These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.

The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.

Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)

Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.

Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal period.

Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.

Fixed Income Absolute Return Fund 17 

 


 

The fund’s portfolio 4/30/22 (Unaudited)

U.S. GOVERNMENT AND AGENCY
MORTGAGE OBLIGATIONS (103.8%)*
Principal
amount
Value
U.S. Government Guaranteed Mortgage Obligations (0.1%)
Government National Mortgage Association Pass-Through Certificates  
5.50%, 5/20/49$56,722$60,288
5.00%, with due dates from 5/20/49 to 3/20/50185,110195,645
4.00%, 1/20/5035,53635,856
3.50%, with due dates from 9/20/49 to 11/20/49227,308223,361
515,150
U.S. Government Agency Mortgage Obligations (103.7%)
Federal National Mortgage Association Pass-Through Certificates  
5.00%, with due dates from 1/1/49 to 8/1/4987,96391,227
4.50%, 5/1/4918,70119,193
Uniform Mortgage-Backed Securities  
4.50%, TBA, 6/1/5261,000,00061,757,766
4.50%, TBA, 5/1/5218,000,00018,312,196
4.00%, TBA, 6/1/5253,000,00052,519,682
4.00%, TBA, 5/1/5280,000,00079,528,120
3.50%, TBA, 6/1/5241,000,00039,653,052
3.50%, TBA, 5/1/5255,000,00053,328,468
3.00%, TBA, 6/1/5221,000,00019,752,287
3.00%, TBA, 5/1/5226,000,00024,511,071
2.50%, TBA, 5/1/5247,000,00042,880,149
2.00%, TBA, 5/1/5239,000,00034,392,220
426,745,431
Total U.S. government and agency mortgage obligations (cost $433,166,840)$427,260,581

U.S. TREASURY OBLIGATIONS (0.3%)*Principal
amount
Value
U.S. Treasury Notes  
1.75%, 9/30/22 i$140,000$140,456
0.50%, 11/30/23 i178,000172,617
0.25%, 6/30/25 i965,000888,418
0.25%, 5/31/25 i154,000142,134
Total U.S. treasury obligations (cost $1,343,625)$1,343,625

MORTGAGE-BACKED SECURITIES (42.7%)*Principal
amount
Value
Agency collateralized mortgage obligations (18.4%)
Federal Home Loan Mortgage Corporation   
REMICs IFB Ser. 2976, Class LC, ((-3.667 x 1 Month US LIBOR) + 24.42%), 22.388%, 5/15/35 $39,137$52,836
REMICs IFB Ser. 3072, Class SM, ((-3.667 x 1 Month US LIBOR) + 23.80%), 21.765%, 11/15/35 88,087133,893
REMICs IFB Ser. 2990, Class LB, ((-2.556 x 1 Month US LIBOR) + 16.95%), 15.529%, 6/15/34 73,95979,875
REMICs IFB Ser. 4727, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.646%, 11/15/47 5,102,110759,017
REMICs IFB Ser. 4698, Class NS, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.596%, 6/15/47 7,555,3601,211,208


18 Fixed Income Absolute Return Fund



MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Agency collateralized mortgage obligations cont.
Federal Home Loan Mortgage Corporation   
REMICs IFB Ser. 5023, Class TS, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.582%, 10/25/50 $6,385,148$1,026,093
REMICs Ser. 4813, IO, 5.50%, 8/15/48 2,220,992469,163
REMICs IFB Ser. 3852, Class NT, ((-1 x 1 Month US LIBOR) + 6.00%), 5.446%, 5/15/41 1,145,1091,056,189
REMICs IFB Ser. 5002, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 7/25/50 8,929,5141,302,487
REMICs Ser. 5117, Class CI, IO, 5.00%, 6/25/51 11,443,4752,050,327
REMICs Ser. 5115, Class IK, IO, 4.50%, 12/25/50 10,011,9492,171,340
REMICs Ser. 4964, Class IA, IO, 4.50%, 3/25/50 5,343,3781,266,007
REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51 9,425,4102,027,530
REMICs Ser. 5010, Class IE, IO, 4.00%, 9/25/50 9,413,9041,728,349
REMICs Ser. 4982, Class DI, IO, 4.00%, 6/25/50 11,108,4762,007,698
REMICs Ser. 4193, Class PI, IO, 4.00%, 3/15/43 1,477,452209,023
REMICs Ser. 4213, Class GI, IO, 4.00%, 11/15/41 410,92116,014
REMICs Ser. 5065, Class DI, IO, 3.50%, 1/25/51 7,096,3611,104,062
REMICs Ser. 4369, Class IA, IO, 3.50%, 7/15/44 867,080142,263
REMICs Ser. 4136, Class IW, IO, 3.50%, 10/15/42 2,163,352260,956
REMICs Ser. 5149, Class BI, IO, 3.00%, 7/25/51 13,058,3751,820,076
REMICs Ser. 4150, Class DI, IO, 3.00%, 1/15/43 2,751,568352,476
REMICs Ser. 4158, Class TI, IO, 3.00%, 12/15/42 1,525,037118,373
REMICs Ser. 4206, Class IP, IO, 3.00%, 12/15/41 843,22991,429
Structured Pass-Through Certificates FRB Ser. 8, Class A9, IO, 0.446%, 11/15/28 W 74,832561
Structured Pass-Through Certificates FRB Ser. 59, Class 1AX, IO, 0.28%, 10/25/43 W 414,4314,388
Structured Pass-Through Certificates Ser. 48, Class A2, IO, 0.212%, 7/25/33 W 649,7424,869
Federal National Mortgage Association   
REMICs IFB Ser. 05-74, Class NK, ((-5 x 1 Month US LIBOR) + 27.50%), 24.161%, 5/25/35 24,86331,270
REMICs IFB Ser. 07-53, Class SP, ((-3.667 x 1 Month US LIBOR) + 24.20%), 21.751%, 6/25/37 66,022104,315
REMICs IFB Ser. 11-4, Class CS, ((-2 x 1 Month US LIBOR) + 12.90%), 11.564%, 5/25/40 351,349407,056
REMICs Ser. 16-3, Class NI, IO, 6.00%, 2/25/46 1,875,292355,066
REMICs IFB Ser. 13-130, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.60%), 5.932%, 1/25/44 3,115,836469,911
REMICs IFB Ser. 20-70, Class SD, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.582%, 10/25/50 9,570,6901,539,158
REMICs IFB Ser. 15-19, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.20%), 5.532%, 4/25/45 4,726,897503,722
REMICs Ser. 18-58, Class IO, IO, 5.50%, 8/25/48 2,261,860409,847
REMICs Ser. 15-28, IO, 5.50%, 5/25/45 3,616,383689,500
REMICs IFB Ser. 18-95, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.482%, 1/25/49 3,097,566396,179
REMICs IFB Ser. 17-108, Class SA, IO, ((-1 x 1 Month US LIBOR) + 6.15%), 5.482%, 1/25/48 3,351,798506,416


Fixed Income Absolute Return Fund 19



MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Agency collateralized mortgage obligations cont.
Federal National Mortgage Association   
REMICs IFB Ser. 17-8, Class SB, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 2/25/47 $11,331,324$1,485,650
REMICs IFB Ser. 16-83, Class BS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 11/25/46 2,370,010301,798
REMICs IFB Ser. 16-60, Class LS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 9/25/46 4,763,864571,415
REMICs IFB Ser. 16-65, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.432%, 9/25/46 3,591,752419,470
REMICs IFB Ser. 20-16, Class SG, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.382%, 3/25/50 4,323,818565,857
REMICs IFB Ser. 19-49, Class ST, IO, ((-1 x 1 Month US LIBOR) + 6.02%), 5.352%, 9/25/49 12,599,7691,981,995
REMICs IFB Ser. 19-66, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.332%, 11/25/49 3,017,815366,374
REMICs IFB Ser. 16-88, Class SK, IO, ((-1 x 1 Month US LIBOR) + 6.00%), 5.332%, 12/25/46 3,519,746474,884
REMICs IFB Ser. 11-53, Class ST, IO, ((-1 x 1 Month US LIBOR) + 5.92%), 5.252%, 6/25/41 6,057,586662,760
REMICs IFB Ser. 17-74, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.75%), 5.082%, 10/25/47 11,909,4351,249,608
Interest Strip Ser. 397, Class 2, IO, 5.00%, 9/25/39 153,72428,287
REMICs Ser. 17-75, Class NI, IO, 5.00%, 11/25/46 4,680,090785,366
REMICs Ser. 21-56, Class QI, IO, 4.50%, 9/25/51 7,370,9101,601,642
REMICs Ser. 21-15, Class JI, IO, 4.50%, 4/25/51 9,672,6892,116,384
REMICs Ser. 21-17, Class KI, IO, 4.50%, 4/25/51 11,964,9992,318,218
REMICs Ser. 17-87, Class IA, IO, 4.50%, 11/25/47 2,563,551461,439
REMICs Ser. 17-32, Class IP, IO, 4.50%, 5/25/47 2,562,008476,166
REMICs Ser. 20-47, Class ID, IO, 4.00%, 7/25/50 11,623,5432,208,036
REMICs Ser. 20-62, Class CI, IO, 4.00%, 6/25/48 7,053,0251,419,536
REMICs Ser. 12-124, Class UI, IO, 4.00%, 11/25/42 950,711166,166
REMICs Ser. 12-22, Class CI, IO, 4.00%, 3/25/41 984,60246,288
REMICs Ser. 12-62, Class MI, IO, 4.00%, 3/25/41 622,18227,998
REMICs Ser. 12-136, Class PI, IO, 3.50%, 11/25/42 777,23941,426
REMICs Ser. 13-21, Class AI, IO, 3.50%, 3/25/33 1,612,396188,095
REMICs Ser. 21-44, Class NI, IO, 3.00%, 7/25/51 7,532,4751,472,652
REMICs Ser. 12-151, Class PI, IO, 3.00%, 1/25/43 2,010,847253,150
REMICs Ser. 6, Class BI, IO, 3.00%, 12/25/42 1,547,63266,113
REMICs Ser. 13-31, Class NI, IO, 3.00%, 6/25/41 675,6559,231
REMICs Trust Ser. 98-W2, Class X, IO, 0.456%, 6/25/28 W 499,12211,222
REMICs Trust Ser. 98-W5, Class X, IO, 0.048%, 7/25/28 W 154,6703,276
Government National Mortgage Association   
IFB Ser. 10-125, Class SD, ((-1 x 1 Month US LIBOR) + 6.68%), 6.086%, 1/16/40 2,995,625313,011
IFB Ser. 20-112, Class MS, IO, ((-1 x 1 Month US LIBOR) + 6.30%), 5.851%, 8/20/50 4,738,939778,987
IFB Ser. 18-91, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.25%), 5.656%, 7/20/48 2,880,564325,211
IFB Ser. 19-121, Class DS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.506%, 8/20/49 2,323,430246,253


20 Fixed Income Absolute Return Fund



MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association   
IFB Ser. 16-121, Class JS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.506%, 9/20/46 $2,938,689$391,668
IFB Ser. 16-77, Class SC, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.506%, 10/20/45 2,092,150269,643
IFB Ser. 13-99, Class VS, IO, ((-1 x 1 Month US LIBOR) + 6.10%), 5.506%, 7/16/43 554,01663,041
IFB Ser. 20-15, Class CS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.456%, 2/20/50 334,45831,987
IFB Ser. 19-99, Class KS, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.456%, 8/20/49 169,40718,419
IFB Ser. 19-78, Class SJ, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.456%, 6/20/49 202,17719,649
IFB Ser. 11-17, Class S, IO, ((-1 x 1 Month US LIBOR) + 6.05%), 5.456%, 2/20/41 795,51597,999
IFB Ser. 10-116, Class SA, IO, ((-1 x 1 Month US LIBOR) + 5.90%), 5.306%, 9/20/40 2,275,286273,268
Ser. 18-127, Class ID, IO, 5.00%, 7/20/45 784,934114,169
Ser. 15-167, Class MI, IO, 5.00%, 6/20/45 1,077,856204,644
Ser. 15-69, IO, 5.00%, 5/20/45 2,007,583404,970
Ser. 14-146, Class EI, IO, 5.00%, 10/20/44 3,243,710659,900
Ser. 14-133, Class IP, IO, 5.00%, 9/16/44 1,334,119253,176
Ser. 13-3, Class IT, IO, 5.00%, 1/20/43 1,435,408301,866
Ser. 11-116, Class IB, IO, 5.00%, 10/20/40 6,131465
Ser. 10-35, Class UI, IO, 5.00%, 3/20/40 290,46856,686
Ser. 10-20, Class UI, IO, 5.00%, 2/20/40 1,810,514348,394
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 5,735,3981,186,539
Ser. 09-121, Class UI, IO, 5.00%, 12/20/39 3,996,053808,561
Ser. 18-153, Class AI, IO, 4.50%, 9/16/45 3,155,535575,159
Ser. 15-80, Class IA, IO, 4.50%, 6/20/45 2,100,807386,340
Ser. 15-167, Class BI, IO, 4.50%, 4/16/45 2,574,593512,396
Ser. 12-129, IO, 4.50%, 11/16/42 1,410,133271,507
Ser. 10-9, Class QI, IO, 4.50%, 1/20/40 1,060,665197,072
Ser. 09-121, Class BI, IO, 4.50%, 12/16/39 1,022,233192,947
Ser. 15-94, IO, 4.00%, 7/20/45 73,16014,142
Ser. 15-99, Class LI, IO, 4.00%, 7/20/45 157,02917,074
Ser. 12-106, Class QI, IO, 4.00%, 7/20/42 1,317,224206,014
Ser. 20-167, Class PI, IO, 3.50%, 11/20/50 5,972,010957,060
Ser. 15-20, Class PI, IO, 3.50%, 2/20/45 2,335,174375,496
Ser. 13-76, IO, 3.50%, 5/20/43 696,08695,280
Ser. 13-79, Class PI, IO, 3.50%, 4/20/43 862,756101,408
Ser. 13-100, Class MI, IO, 3.50%, 2/20/43 632,33346,836
Ser. 13-37, Class JI, IO, 3.50%, 1/20/43 385,61743,968
Ser. 18-127, Class IA, IO, 3.50%, 4/20/42 1,281,72983,402
Ser. 183, Class AI, IO, 3.50%, 10/20/39 96,204256
Ser. 20-186, Class DI, IO, 3.00%, 12/20/50 11,338,5381,717,966
Ser. 20-166, Class IA, IO, 3.00%, 11/20/50 16,718,8472,526,410
Ser. 20-138, Class AI, IO, 3.00%, 9/20/50 5,775,121853,472
Ser. 14-46, Class KI, IO, 3.00%, 6/20/36 37,81983
Ser. 16-H13, Class IK, IO, 2.656%, 6/20/66 W 8,825,110757,029


Fixed Income Absolute Return Fund 21



MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Agency collateralized mortgage obligations cont.
Government National Mortgage Association   
Ser. 20-173, Class MI, IO, 2.50%, 11/20/50 $11,216,877$1,514,278
Ser. 17-H03, Class DI, IO, 2.274%, 12/20/66 W 2,815,884173,353
Ser. 17-H06, Class BI, IO, 2.252%, 2/20/67 W 8,559,823532,283
Ser. 17-H16, Class BI, IO, 2.212%, 8/20/67 W 6,901,554438,896
Ser. 16-H23, Class MI, IO, 2.195%, 10/20/66 W 23,012,5881,021,184
Ser. 18-H13, Class NI, IO, 2.14%, 8/20/68 W 5,171,274257,219
Ser. 16-H22, Class AI, IO, 2.131%, 10/20/66 W 4,187,697197,911
Ser. 18-H02, Class EI, IO, 2.121%, 1/20/68 W 4,696,049328,723
Ser. 17-H02, Class BI, IO, 2.111%, 1/20/67 W 2,097,814110,809
Ser. 16-H11, Class HI, IO, 2.098%, 1/20/66 W 2,116,42089,948
Ser. 16-H23, Class NI, IO, 2.094%, 10/20/66 W 6,197,046280,106
Ser. 18-H02, Class GI, IO, 2.01%, 12/20/67 W 6,171,361398,246
Ser. 15-H15, Class JI, IO, 1.955%, 6/20/65 W 9,194,544536,042
Ser. 15-H19, Class NI, IO, 1.907%, 7/20/65 W 10,825,286551,007
Ser. 15-H25, Class EI, IO, 1.846%, 10/20/65 W 7,377,051382,131
Ser. 16-H08, Class AI, IO, 1.715%, 8/20/65 W 6,067,901199,027
Ser. 15-H09, Class BI, IO, 1.676%, 3/20/65 W 8,624,452368,057
Ser. 16-H02, Class BI, IO, 1.667%, 11/20/65 W 7,307,043428,923
Ser. 18-H05, Class AI, IO, 1.628%, 2/20/68 W 7,893,005547,577
Ser. 15-H25, Class AI, IO, 1.613%, 9/20/65 W 9,089,236452,644
Ser. 15-H28, Class DI, IO, 1.566%, 8/20/65 W 5,463,836223,979
Ser. 14-H14, Class CI, IO, 1.554%, 7/20/64 W 7,420,150200,576
Ser. 20-H14, Class AI, IO, 1.37%, 6/20/70 W 16,847,971722,576
GSMPS Mortgage Loan Trust 144A FRB Ser. 99-2, IO, 0.431%, 9/19/27 W 60,377229
75,714,991
Commercial mortgage-backed securities (13.3%)
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.508%, 1/15/49 W 76,6461
Banc of America Merrill Lynch Commercial Mortgage, Inc. FRB Ser. 05-1, Class B, 5.665%, 11/10/42 (In default) † W 2,019,8201,110,901
BANK   
FRB Ser. 19-BN20, Class XA, IO, 0.956%, 9/15/62 W 10,436,824510,082
FRB Ser. 17-BNK9, Class XA, IO, 0.91%, 11/15/54 W 44,273,9001,509,368
FRB Ser. 18-BN10, Class XA, IO, 0.846%, 2/15/61 W 39,651,4371,335,445
BBCMS Mortgage Trust 144A Ser. 21-C10, Class E, 2.00%, 7/15/54 700,000484,725
Bear Stearns Commercial Mortgage Securities Trust FRB Ser. 07-T26, Class AJ, 5.566%, 1/12/45 W 553,67227,682
Cantor Commercial Real Estate Lending FRB Ser. 19-CF3, Class XA, IO, 0.833%, 1/15/53 W 10,706,217441,057
CD Commercial Mortgage Trust FRB Ser. 17-CD3, Class C, 4.70%, 2/10/50 W 756,000698,143
CFCRE Commercial Mortgage Trust FRB Ser. 16-C4, Class XA, IO, 1.786%, 5/10/58 W 6,137,825308,227
CFCRE Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class D, 5.249%, 12/15/47 W 251,599256,657
Citigroup Commercial Mortgage Trust   
FRB Ser. 14-GC21, Class XA, IO, 1.308%, 5/10/47 W 9,293,577177,045
FRB Ser. 14-GC19, Class XA, IO, 1.285%, 3/10/47 W 14,093,990221,360
FRB Ser. 13-GC17, Class XA, IO, 1.15%, 11/10/46 W 10,889,856126,818


22 Fixed Income Absolute Return Fund



MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Commercial mortgage-backed securities cont.
Citigroup Commercial Mortgage Trust 144A   
FRB Ser. 14-GC19, Class D, 5.26%, 3/10/47 W $561,000$553,817
FRB Ser. 12-GC8, Class XA, IO, 1.819%, 9/10/45 W 2,922,6543,569
COMM Mortgage Trust   
FRB Ser. 14-CR17, Class C, 4.945%, 5/10/47 W 2,166,0002,141,575
FRB Ser. 18-COR3, Class C, 4.712%, 5/10/51 W 810,000773,301
FRB Ser. 15-LC19, Class C, 4.369%, 2/10/48 W 1,031,0001,005,516
FRB Ser. 14-UBS4, Class XA, IO, 1.25%, 8/10/47 W 5,919,552108,629
FRB Ser. 14-LC15, Class XA, IO, 1.224%, 4/10/47 W 8,236,804127,590
FRB Ser. 14-CR20, Class XA, IO, 1.133%, 11/10/47 W 21,620,183419,215
FRB Ser. 14-CR19, Class XA, IO, 1.096%, 8/10/47 W 19,575,896336,357
FRB Ser. 13-CR11, Class XA, IO, 1.071%, 8/10/50 W 49,904,628472,048
FRB Ser. 15-CR23, Class XA, IO, 1.019%, 5/10/48 W 19,896,951405,739
FRB Ser. 14-UBS6, Class XA, IO, 1.002%, 12/10/47 W 19,511,487336,398
FRB Ser. 15-CR22, Class XA, IO, 0.964%, 3/10/48 W 10,360,039228,683
FRB Ser. 15-LC21, Class XA, IO, 0.817%, 7/10/48 W 33,048,868562,839
COMM Mortgage Trust 144A   
FRB Ser. 13-CR13, Class E, 5.042%, 11/10/46 W 523,000444,130
FRB Ser. 14-CR17, Class D, 5.009%, 5/10/47 W 1,498,0001,348,242
Ser. 12-LC4, Class E, 4.25%, 12/10/44 1,361,000351,410
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 08-C1, Class AJ, 6.01%, 2/15/41 W 4,649,2022,290,662
CSAIL Commercial Mortgage Trust Ser. 15-C1, Class XA, IO, 0.963%, 4/15/50 W 18,976,785325,471
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.902%, 4/15/50 W 925,000730,649
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.55%, 8/10/44 W 1,594,1101,585,024
GS Mortgage Securities Trust   
FRB Ser. 14-GC22, Class C, 4.843%, 6/10/47 W 1,251,0001,227,391
FRB Ser. 14-GC18, Class XA, IO, 1.205%, 1/10/47 W 16,403,238231,133
GS Mortgage Securities Trust 144A FRB Ser. 14-GC24, Class D, 4.665%, 9/10/47 W 587,000402,749
JPMBB Commercial Mortgage Securities Trust   
FRB Ser. 13-C12, Class B, 4.228%, 7/15/45 W 1,401,0001,392,898
FRB Ser. 14-C24, Class XA, IO, 1.009%, 11/15/47 W 31,393,309483,545
FRB Ser. 14-C19, Class XA, IO, 0.799%, 4/15/47 W 11,802,843111,856
JPMBB Commercial Mortgage Securities Trust 144A   
FRB Ser. C14, Class D, 4.699%, 8/15/46 W 1,591,000876,420
FRB Ser. 14-C25, Class D, 4.086%, 11/15/47 W 748,000565,151
JPMorgan Chase Commercial Mortgage Securities Trust FRB Ser. 13-C10, Class XA, IO, 1.064%, 12/15/47 W 27,537,902126,652
JPMorgan Chase Commercial Mortgage Securities Trust 144A   
FRB Ser. 12-C8, Class D, 4.973%, 10/15/45 W 922,000899,361
FRB Ser. 12-LC9, Class D, 4.509%, 12/15/47 W 327,000318,812
FRB Ser. 21-1MEM, Class D, 2.742%, 10/9/42 W 1,750,0001,421,967
Morgan Stanley Bank of America Merrill Lynch Trust   
FRB Ser. 14-C14, Class C, 5.219%, 2/15/47 W 613,000620,208
FRB Ser. 14-C17, Class C, 4.637%, 8/15/47 W 946,000899,240


Fixed Income Absolute Return Fund 23



MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Commercial mortgage-backed securities cont.
Morgan Stanley Bank of America Merrill Lynch Trust   
FRB Ser. 15-C26, Class XA, IO, 1.125%, 10/15/48 W $13,483,267$311,841
FRB Ser. 13-C13, Class XA, IO, 1.103%, 11/15/46 W 45,317,472504,089
Morgan Stanley Bank of America Merrill Lynch Trust 144A   
FRB Ser. 14-C15, Class D, 5.06%, 4/15/47 W 580,000566,207
FRB Ser. 13-C12, Class E, 4.921%, 10/15/46 W 537,000373,727
FRB Ser. 12-C5, Class E, 4.843%, 8/15/45 W 1,026,0001,023,794
FRB Ser. 12-C6, Class D, 4.747%, 11/15/45 W 624,000616,618
FRB Ser. 13-C10, Class D, 4.21%, 7/15/46 W 453,000327,355
FRB Ser. 13-C10, Class E, 4.21%, 7/15/46 W 3,310,0001,105,871
FRB Ser. 13-C10, Class F, 4.21%, 7/15/46 W 2,461,000553,725
Morgan Stanley Capital I Trust   
Ser. 06-HQ10, Class B, 5.448%, 11/12/41 W 248,967231,540
FRB Ser. 16-UB12, Class XA, IO, 0.792%, 12/15/49 W 21,596,090537,222
Morgan Stanley Capital I Trust 144A FRB Ser. 12-C4, Class E, 5.425%, 3/15/45 W 603,000428,190
Multifamily Connecticut Avenue Securities Trust 144A   
FRB Ser. 20-01, Class M10, 4.418%, 3/25/50 1,068,0001,022,358
FRB Ser. 19-01, Class M10, 3.918%, 10/15/49 1,674,0001,591,894
Ready Capital Mortgage Financing, LLC 144A FRB Ser. 20-FL4, Class C, 5.418%, 2/25/35 2,333,0002,335,861
UBS Commercial Mortgage Trust   
FRB Ser. 17-C7, Class XA, IO, 1.161%, 12/15/50 W 11,828,515485,484
FRB Ser. 18-C8, Class XA, IO, 1.008%, 2/15/51 W 16,037,996617,181
UBS-Barclays Commercial Mortgage Trust 144A   
FRB Ser. 12-C3, Class C, 5.216%, 8/10/49 W 969,000971,479
FRB Ser. 12-C2, Class XA, IO, 1.378%, 5/10/63 W 2,727,1831,205
FRB Ser. 13-C5, Class XA, IO, 1.017%, 3/10/46 W 34,864,188109,672
UBS-Citigroup Commercial Mortgage Trust 144A FRB Ser. 11-C1, Class D, 6.654%, 1/10/45 W 646,000571,710
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, 0.416%, 11/15/48 W 2,335,2001,030
Wells Fargo Commercial Mortgage Trust   
FRB Ser. 13-LC12, Class C, 4.44%, 7/15/46 W 749,000670,415
FRB Ser. 16-BNK1, Class XA, IO, 1.861%, 8/15/49 W 14,270,779831,759
FRB Ser. 14-LC16, Class XA, IO, 1.248%, 8/15/50 W 18,727,147326,839
Wells Fargo Commercial Mortgage Trust 144A   
FRB Ser. 13-LC12, Class D, 4.44%, 7/15/46 W 1,713,000981,520
Ser. 20-C55, Class D, 2.50%, 2/15/53 2,057,0001,579,173
WF-RBS Commercial Mortgage Trust FRB Ser. 12-C10, Class C, 4.493%, 12/15/45 W 401,000367,210
WF-RBS Commercial Mortgage Trust 144A   
Ser. 11-C4, Class D, 5.026%, 6/15/44 W 771,000685,225
Ser. 11-C4, Class E, 5.026%, 6/15/44 W 377,000276,428
FRB Ser. 12-C7, Class D, 4.787%, 6/15/45 W 1,621,000713,240
FRB Ser. 13-C15, Class D, 4.654%, 8/15/46 W 2,015,0001,192,261
FRB Ser. 12-C10, Class D, 4.558%, 12/15/45 W 1,169,000824,626
FRB Ser. 12-C10, Class E, 4.558%, 12/15/45 W 1,658,000420,760
FRB Ser. 12-C9, Class XB, IO, 0.876%, 11/15/45 W 46,094,00073,743
54,567,010


24 Fixed Income Absolute Return Fund



MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Residential mortgage-backed securities (non-agency) (11.0%)
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (1 Month US LIBOR + 0.19%), 0.858%, 5/25/47 $1,254,740$778,318
Arroyo Mortgage Trust 144A Ser. 19-1, Class A3, 3.995%, 1/25/49 W 289,398282,603
Bellemeade Re, Ltd. 144A FRB Ser. 20-2A, Class B1, (1 Month US LIBOR + 8.50%), 9.168%, 8/26/30 (Bermuda) 421,000450,466
BRAVO Residential Funding Trust 144A Ser. 21-C, Class A1, 1.62%, 3/1/61 424,432398,646
Carrington Mortgage Loan Trust FRB Ser. 06-NC2, Class A4, (1 Month US LIBOR + 0.24%), 0.908%, 6/25/36 1,020,000990,863
Citigroup Mortgage Loan Trust, Inc.   
FRB Ser. 07-AR5, Class 1A1A, 2.926%, 4/25/37 W 360,840351,295
FRB Ser. 07-AMC3, Class A2D, (1 Month US LIBOR + 0.35%), 1.018%, 3/25/37 714,746657,091
Countrywide Alternative Loan Trust   
FRB Ser. 06-OA7, Class 1A1, 2.229%, 6/25/46 W 430,388458,578
FRB Ser. 05-59, Class 1A1, (1 Month US LIBOR + 0.66%), 1.254%, 11/20/35 1,698,4661,644,641
FRB Ser. 06-OA7, Class 1A2, (1 Month US LIBOR + 0.94%), 1.159%, 6/25/46 1,399,6201,284,999
FRB Ser. 06-OA10, Class 2A1, (1 Month US LIBOR + 0.38%), 1.048%, 8/25/46 348,068304,718
FRB Ser. 06-OA10, Class 4A1, (1 Month US LIBOR + 0.38%), 1.048%, 8/25/46 159,133142,367
Countrywide Home Loans Mortgage Pass-Through Trust FRB Ser. 05-3, Class 1A1, (1 Month US LIBOR + 0.62%), 1.288%, 4/25/35 282,184253,502
Federal Home Loan Mortgage Corporation   
Structured Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (1 Month US LIBOR + 10.00%), 10.457%, 7/25/28 648,139695,881
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (1 Month US LIBOR + 9.35%), 10.018%, 4/25/28 1,529,7181,530,727
Structured Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (1 Month US LIBOR + 9.20%), 9.868%, 10/25/27 987,9131,052,127
Structured Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (1 Month US LIBOR + 7.55%), 8.218%, 12/25/27 789,660804,823
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class B1, (1 Month US LIBOR + 5.15%), 5.818%, 10/25/29 300,000321,246
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3, (1 Month US LIBOR + 5.15%), 5.818%, 11/25/28 404,755426,781
Structured Agency Credit Risk Debt FRN Ser. 16-HQA2, Class M3B, (1 Month US LIBOR + 5.15%), 5.818%, 11/25/28 280,000296,100
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (1 Month US LIBOR + 4.70%), 5.368%, 4/25/28 120,601125,260
Structured Agency Credit Risk Debt FRN Ser. 16-DNA2, Class M3, (1 Month US LIBOR + 4.65%), 5.318%, 10/25/28 296,447309,693
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class B1, (1 Month US LIBOR + 4.35%), 5.018%, 9/25/30 268,000275,803
Structured Agency Credit Risk Debt FRN Ser. 16-DNA4, Class M3, (1 Month US LIBOR + 3.80%), 4.468%, 3/25/29 220,636228,836
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (1 Month US LIBOR + 3.55%), 4.218%, 8/25/29 717,288741,048


Fixed Income Absolute Return Fund 25



MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Federal Home Loan Mortgage Corporation   
Structured Agency Credit Risk Debt FRN Ser. 17-DNA2, Class M2, (1 Month US LIBOR + 3.45%), 4.118%, 10/25/29 $705,460$727,274
Structured Agency Credit Risk Debt FRN Ser. 17-DNA3, Class M2B, (1 Month US LIBOR + 2.50%), 3.168%, 3/25/30 361,000365,342
Structured Agency Credit Risk Debt FRN Ser. 18-HQA1, Class M2, (1 Month US LIBOR + 2.30%), 2.968%, 9/25/30 506,225509,404
Federal Home Loan Mortgage Corporation 144A   
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B1, (1 Month US LIBOR + 5.75%), 6.418%, 7/25/50 268,000282,936
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA1, Class M2, (US 30 Day Average SOFR + 5.25%), 5.539%, 3/25/42 1,941,0001,979,820
Seasoned Credit Risk Transfer Trust FRB Ser. 18-3, Class 3, 4.75%, 8/25/57 W 340,000315,488
Structured Agency Credit Risk Trust FRB Ser. 18-DNA2, Class B1, (1 Month US LIBOR + 3.70%), 4.368%, 12/25/30 400,000394,136
Structured Agency Credit Risk Trust FRB Ser. 19-DNA1, Class M2, (1 Month US LIBOR + 2.65%), 3.318%, 1/25/49 189,599190,996
Structured Agency Credit Risk Trust FRB Ser. 19-DNA2, Class M2, (1 Month US LIBOR + 2.45%), 3.118%, 3/25/49 77,18577,668
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (1 Month US LIBOR + 2.40%), 3.068%, 2/25/47 872,000868,637
Structured Agency Credit Risk Trust FRB Ser. 18-HQA2, Class M2, (1 Month US LIBOR + 2.30%), 2.968%, 10/25/48 102,900103,237
Structured Agency Credit Risk Trust FRB Ser. 18-DNA3, Class M2B, (1 Month US LIBOR + 2.10%), 2.768%, 9/25/48 179,000176,098
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 2.139%, 1/25/42 347,000330,588
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (1 Month US LIBOR + 1.00%), 1.668%, 2/25/47 3,411,0003,374,860
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 1.589%, 2/25/42 360,611357,456
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 1.139%, 9/25/41 259,000251,987
Federal National Mortgage Association   
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1B, (1 Month US LIBOR + 12.25%), 12.918%, 9/25/28 1,578,3391,798,427
Connecticut Avenue Securities FRB Ser. 16-C03, Class 1B, (1 Month US LIBOR + 11.75%), 12.418%, 10/25/28 834,612921,282
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1B, (1 Month US LIBOR + 11.75%), 12.418%, 8/25/28 287,823321,965
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (1 Month US LIBOR + 6.75%), 7.418%, 8/25/28 9,0029,520
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (1 Month US LIBOR + 6.00%), 6.668%, 9/25/28 101,665106,984
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (1 Month US LIBOR + 5.90%), 6.568%, 10/25/28 63,72267,466
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (1 Month US LIBOR + 5.70%), 6.368%, 4/25/28 833,110893,841
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (1 Month US LIBOR + 5.55%), 6.218%, 4/25/28 192,772202,194


26 Fixed Income Absolute Return Fund



MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Federal National Mortgage Association   
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2B1, (1 Month US LIBOR + 5.50%), 6.168%, 9/25/29 $1,000,000$1,085,637
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (1 Month US LIBOR + 5.00%), 5.668%, 11/25/24 1,9211,943
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (1 Month US LIBOR + 4.90%), 5.568%, 11/25/24 439,631462,721
Connecticut Avenue Securities FRB Ser. 17-C03, Class 1B1, (1 Month US LIBOR + 4.85%), 5.518%, 10/25/29 400,000424,074
Connecticut Avenue Securities FRB Ser. 18-C04, Class 2B1, (1 Month US LIBOR + 4.50%), 5.168%, 12/25/30 842,700876,513
Connecticut Avenue Securities FRB Ser. 14-C01, Class M2, (1 Month US LIBOR + 4.40%), 5.068%, 1/25/24 906,902938,132
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (1 Month US LIBOR + 4.30%), 4.968%, 2/25/25 57,62158,929
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (1 Month US LIBOR + 4.00%), 4.668%, 5/25/25 4,9784,992
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (1 Month US LIBOR + 3.65%), 4.318%, 9/25/29 135,000138,130
Connecticut Avenue Securities FRB Ser. 17-C05, Class 1B1, (1 Month US LIBOR + 3.60%), 4.268%, 1/25/30 370,000367,669
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (1 Month US LIBOR + 3.55%), 4.218%, 7/25/29 674,587694,647
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2C, (1 Month US LIBOR + 3.55%), 4.218%, 7/25/29 273,000283,375
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (1 Month US LIBOR + 2.90%), 3.568%, 7/25/24 337,532341,074
Connecticut Avenue Securities FRB Ser. 14-C02, Class 2M2, (1 Month US LIBOR + 2.60%), 3.268%, 5/25/24 105,169106,301
Connecticut Avenue Securities FRB Ser. 17-C07, Class 2M2, (1 Month US LIBOR + 2.50%), 3.168%, 5/25/30 466,404471,580
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1ED5, (1 Month US LIBOR + 2.25%), 2.918%, 7/25/30 75,03575,106
Connecticut Avenue Securities FRB Ser. 18-C01, Class 1M2, (1 Month US LIBOR + 2.25%), 2.918%, 7/25/30 145,027146,476
Connecticut Avenue Securities FRB Ser. 18-C06, Class 2M2, (1 Month US LIBOR + 2.10%), 2.768%, 3/25/31 276,710277,137
Connecticut Avenue Securities FRB Ser. 18-C05, Class 1ED1, (1 Month US LIBOR + 0.65%), 1.318%, 1/25/31 199,106194,626
Connecticut Avenue Securities FRB Ser. 17-C04, Class 2ED1, (1 Month US LIBOR + 0.60%), 1.268%, 11/25/29 138,884136,453
Federal National Mortgage Association 144A   
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1B1, (1 Month US LIBOR + 3.25%), 3.918%, 1/25/40 1,249,0001,169,282
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 3.289%, 1/25/42 1,012,000994,923
Connecticut Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (1 Month US LIBOR + 2.45%), 3.118%, 7/25/31 49,72549,880
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (1 Month US LIBOR + 2.15%), 2.818%, 11/25/39 654,771643,950


Fixed Income Absolute Return Fund 27




MORTGAGE-BACKED SECURITIES (42.7%)* cont.Principal
amount
Value
Residential mortgage-backed securities (non-agency) cont.
Federal National Mortgage Association 144A   
Connecticut Avenue Securities Trust FRB Ser. 20-R02, Class 2M2, (1 Month US LIBOR + 2.00%), 2.668%, 1/25/40 $114,738$114,594
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 1.489%, 1/25/42 218,516216,057
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 1.189%, 11/25/41 119,380116,276
GCAT Trust 144A Ser. 20-NQM2, Class A3, 2.935%, 4/25/65 275,088270,596
GSAA Home Equity Trust Ser. 06-15, Class AF3A, 5.882%, 9/25/36 W 756,276295,369
HarborView Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (1 Month US LIBOR + 0.52%), 1.074%, 5/19/35 783,455311,964
Home Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 4.439%, 1/25/34 (Bermuda) 213,000203,765
Homeward Opportunities Fund I Trust 144A Ser. 20-2, Class A3, 3.196%, 5/25/65 W 647,000634,179
JPMorgan Alternative Loan Trust FRB Ser. 07-A2, Class 12A1, IO, (1 Month US LIBOR + 0.20%), 1.068%, 6/25/37 531,615251,684
Legacy Mortgage Asset Trust 144A   
Ser. 21-GS3, Class A2, 3.25%, 7/25/61 403,000378,457
FRB Ser. 19-GS7, Class A1, 3.25%, 11/25/59 447,483444,127
Residential Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (1 Month US LIBOR + 0.43%), 1.098%, 5/25/46 637,115551,104
Residential Mortgage Loan Trust 144A Ser. 20-2, Class A3, 2.911%, 5/25/60 W 381,000374,479
ROC Mortgage Trust 144A Ser. 21-RTL1, Class A1, 2.487%, 8/25/26 W 870,000838,158
Structured Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1A, (1 Month US LIBOR + 0.21%), 1.088%, 8/25/36 320,417293,181
WaMu Mortgage Pass-Through Certificates Trust   
FRB Ser. 05-AR10, Class 1A3, 2.944%, 9/25/35 W 250,696240,780
FRB Ser. 05-AR13, Class A1C3, (1 Month US LIBOR + 0.98%), 1.648%, 10/25/45 495,145486,697
45,399,035
Total mortgage-backed securities (cost $193,819,822)$175,681,036

CORPORATE BONDS AND NOTES (14.2%)*Principal
amount
Value
Basic materials (1.1%)
Axalta Coating Systems, LLC/Axalta Coating Systems Dutch Holding B BV 144A company guaranty sr. unsec. notes 4.75%, 6/15/27 $980,000$931,000
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 430,000376,994
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 1,705,0001,568,140
WR Grace Holdings, LLC 144A company guaranty sr. notes 5.625%, 10/1/24 1,520,0001,523,800
4,399,934


28 Fixed Income Absolute Return Fund



CORPORATE BONDS AND NOTES (14.2%)* cont.Principal
amount
Value
Capital goods (0.6%)
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 $793,000$787,053
Owens-Brockway Glass Container, Inc. 144A company guaranty sr. unsec. notes 5.875%, 8/15/23 1,025,0001,039,294
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. notes 6.25%, 5/15/26 196,000197,960
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 520,000517,400
2,541,707
Communication services (1.7%)
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A company guaranty sr. unsec. bonds 5.50%, 5/1/26 443,000444,108
Charter Communications Operating, LLC/Charter Communications Operating Capital company guaranty sr. notes 3.75%, 2/15/28 1,048,000991,344
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 648,000579,623
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 650,000596,798
IHS Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria) 410,000385,913
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 5.25%, 3/15/26 750,000729,413
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 899,000807,976
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 265,000290,861
Sprint Corp. company guaranty sr. unsec. sub. notes 7.875%, 9/15/23 1,045,0001,097,250
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 526,000536,520
T-Mobile USA, Inc. company guaranty sr. unsec. unsub. bonds 4.75%, 2/1/28 374,000369,005
6,828,811
Consumer cyclicals (1.3%)
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5.125%, 6/16/25 1,000,000997,500
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 410,000354,650
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 4.625%, 5/15/24 483,000482,396
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/15/22 565,000568,443
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 471,000397,764
Sirius XM Radio, Inc. 144A sr. unsec. bonds 5.00%, 8/1/27 680,000656,200
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 837,000778,410
Spectrum Brands, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/30 123,000114,464
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 445,000421,638
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 520,000478,400
5,249,865


Fixed Income Absolute Return Fund 29



CORPORATE BONDS AND NOTES (14.2%)* cont.Principal
amount
Value
Consumer staples (2.0%)
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) $165,000$150,563
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 2,280,0002,135,619
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29 840,000707,616
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 2,128,0002,034,012
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 515,000502,125
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 762,000710,314
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 710,000731,300
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 85,00085,085
Newell Brands, Inc. sr. unsec. unsub. notes 4.45%, 4/1/26 1,093,0001,083,644
8,140,278
Energy (3.3%)
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 1,085,000981,925
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.875%, 3/31/25 1,119,0001,161,696
Cheniere Energy Partners LP company guaranty sr. unsec. notes 4.50%, 10/1/29 605,000579,288
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 215,000219,803
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 645,000532,973
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 975,000977,516
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 970,000970,000
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 867,000824,872
Newfield Exploration Co. sr. unsec. unsub. notes 5.625%, 7/1/24 1,010,0001,049,138
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 758,000784,636
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 1,259,0001,366,015
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) 400,000403,001
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) 488,000508,740
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) 88,00086,372
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil) 78,00080,711
Petroleos Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico) 278,000233,881
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) 1,295,0001,115,876
Southwestern Energy Co. company guaranty sr. unsec. bonds 4.75%, 2/1/32 379,000358,394


30 Fixed Income Absolute Return Fund




CORPORATE BONDS AND NOTES (14.2%)* cont.Principal
amount
Value
Energy cont.
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 $1,225,000$1,209,504
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 368,000343,160
13,787,501
Financials (2.3%)
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 540,000642,392
Ally Financial, Inc. sub. unsec. notes 5.75%, 11/20/25 1,209,0001,242,012
CNO Financial Group, Inc. sr. unsec. unsub. notes 5.25%, 5/30/25 1,883,0001,941,844
Coinbase Global, Inc. 144A company guaranty sr. unsec. unsub. bonds 3.625%, 10/1/31 655,000483,868
Credit Suisse Group AG 144A jr. unsec. sub. FRN 6.25%, perpetual maturity (Switzerland) 1,146,0001,111,070
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 425,000433,563
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 1,095,0001,085,605
iStar, Inc. sr. unsec. notes 4.25%, 8/1/25 R 1,265,0001,205,709
Itau Unibanco Holding SA/Cayman Islands 144A unsec. sub. FRB 3.875%, 4/15/31 (Brazil) 810,000727,514
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 1,000,0001,012,500
9,886,077
Health care (1.3%)
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 930,000895,125
HCA, Inc. company guaranty sr. bonds 5.25%, 6/15/26 950,000979,033
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 140,000120,400
Tenet Healthcare Corp. 144A company guaranty sr. notes 4.875%, 1/1/26 1,655,0001,620,535
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. notes 6.00%, 4/15/24 (Israel) 1,132,0001,132,000
UnitedHealth Group, Inc. sr. unsec. unsub. notes 2.00%, 5/15/30 237,000205,523
Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 340,000300,841
5,253,457
Technology (0.3%)
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 815,000768,708
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 591,000549,630
1,318,338
Utilities and power (0.3%)
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 755,000698,919
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity 501,000433,365
1,132,284
Total corporate bonds and notes (cost $62,641,064)$58,538,252


Fixed Income Absolute Return Fund 31



COLLATERALIZED LOAN OBLIGATIONS (9.0%)*Principal
amount
Value
AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.10%), 2.144%, 4/15/34 (Cayman Islands) $1,245,000$1,226,789
AGL CLO 13, Ltd. 144A FRB Ser. 21-13A, Class A1, (BBA LIBOR USD 3 Month + 1.16%), 2.223%, 10/20/34 (Cayman Islands) 1,177,0001,161,651
AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (BBA LIBOR USD 3 Month + 1.10%), 2.236%, 4/22/34 692,000676,514
Aimco CLO 14, Ltd. 144A FRB Ser. 21-14A, Class A, (BBA LIBOR USD 3 Month + 0.99%), 2.053%, 4/20/34 (Cayman Islands) 556,000544,598
Apidos CLO XII 144A FRB Ser. 18-12A, Class BR, (BBA LIBOR USD 3 Month + 1.40%), 2.444%, 4/15/31 (Cayman Islands) 1,382,0001,359,349
Apidos CLO XXXV 144A FRB Ser. 21-35A, Class A, (BBA LIBOR USD 3 Month + 1.05%), 2.113%, 4/20/34 (Cayman Islands) 250,000246,328
Ares LX CLO, Ltd. 144A FRB Ser. 21-60A, Class A, (BBA LIBOR USD 3 Month + 1.12%), 2.164%, 7/18/34 (Cayman Islands) 543,000536,080
Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (BBA LIBOR USD 3 Month + 1.07%), 2.114%, 4/15/34 (Cayman Islands) 750,000738,647
Benefit Street Partners CLO V-B, Ltd. 144A FRB Ser. 18-5BA, Class A1A, (BBA LIBOR USD 3 Month + 1.09%), 2.153%, 4/20/31 631,000627,268
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (BBA LIBOR USD 3 Month + 1.17%), 2.214%, 10/15/34 (Cayman Islands) 619,000610,293
Carlyle C17 CLO, Ltd. 144A FRB Ser. C17A, Class A1AR, (BBA LIBOR USD 3 Month + 1.03%), 2.316%, 4/30/31 423,000420,555
Carlyle US CLO, Ltd. 144A FRB Ser. 21-8A, Class B, (BBA LIBOR USD 3 Month + 1.65%), 2.694%, 10/15/34 (Cayman Islands) 500,000491,212
Cedar Funding XIV CLO, Ltd. 144A FRB Ser. 21-14A, Class B, (BBA LIBOR USD 3 Month + 1.60%), 2.644%, 7/15/33 (Cayman Islands) 1,047,0001,036,136
Columbia Cent CLO 29, Ltd. 144A FRB Ser. 21-29A, Class AR, (BBA LIBOR USD 3 Month + 1.17%), 2.233%, 10/20/34 506,000498,774
Dryden XXVI Senior Loan Fund 144A FRB Ser. 18-26A, Class BR, (BBA LIBOR USD 3 Month + 1.45%), 2.494%, 4/15/29 (Cayman Islands) 500,000496,144
Elevation CLO, Ltd. 144A FRB Ser. 17-2A, Class A1R, (BBA LIBOR USD 3 Month + 1.23%), 2.274%, 10/15/29 1,295,1231,288,721
Elmwood CLO II, Ltd. 144A FRB Ser. 21-2A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 2.213%, 4/20/34 600,000593,830
Elmwood CLO IV, Ltd. 144A FRB Ser. 20-1A, Class A, (BBA LIBOR USD 3 Month + 1.24%), 2.284%, 4/15/33 (Cayman Islands) 750,000746,032
Elmwood CLO IV, Ltd. 144A FRB Ser. 20-1A, Class B, (BBA LIBOR USD 3 Month + 1.70%), 2.744%, 4/15/33 (Cayman Islands) 500,000494,342
Elmwood CLO V, Ltd. 144A FRB Ser. 21-2A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 2.213%, 10/20/34 (Cayman Islands) 607,000600,217
Elmwood CLO V, Ltd. 144A FRB Ser. 21-2A, Class BR, (BBA LIBOR USD 3 Month + 1.65%), 2.713%, 10/20/34 (Cayman Islands) 253,000250,087
Elmwood CLO VIII, Ltd. 144A FRB Ser. 21-1A, Class B1, (BBA LIBOR USD 3 Month + 1.55%), 2.613%, 1/20/34 (Cayman Islands) 1,208,0001,185,644
Elmwood CLO XII, Ltd. 144A FRB Ser. 21-5A, Class B, (BBA LIBOR USD 3 Month + 1.70%), 2.763%, 1/20/35 (Cayman Islands) 500,000494,008
Galaxy XXII CLO, Ltd. 144A FRB Ser. 21-22A, Class ARR, (BBA LIBOR USD 3 Month + 1.20%), 2.244%, 4/16/34 (Cayman Islands) 882,000869,858
GoldenTree Loan Management US CLO 5, Ltd. 144A FRB Ser. 21-5A, Class BR, (BBA LIBOR USD 3 Month + 1.55%), 2.613%, 10/20/32 750,000739,991
Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (BBA LIBOR USD 3 Month + 1.23%), 2.274%, 10/15/31 (Cayman Islands) 796,970794,148


32 Fixed Income Absolute Return Fund



COLLATERALIZED LOAN OBLIGATIONS (9.0%)* cont.Principal
amount
Value
Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (BBA LIBOR USD 3 Month + 1.20%), 2.244%, 7/15/34 (Cayman Islands) $804,000$793,987
HalseyPoint CLO I, Ltd. 144A FRB Ser. 19-1A, Class A1A1, (BBA LIBOR USD 3 Month + 1.35%), 2.413%, 1/20/33 (Cayman Islands) 786,000780,331
ICG US CLO, Ltd. 144A FRB Ser. 20-2RA, Class A2, (BBA LIBOR USD 3 Month + 1.80%), 2.844%, 1/16/33 (Cayman Islands) 672,000661,656
ICG US CLO, Ltd. 144A FRB Ser. 21-3A, Class B1R, (BBA LIBOR USD 3 Month + 1.45%), 2.634%, 1/24/32 (Cayman Islands) 1,250,0001,220,326
Logan CLO I, Ltd. 144A FRB Ser. 21-1A, Class A, (BBA LIBOR USD 3 Month + 1.16%), 2.223%, 7/20/34 (Cayman Islands) 1,011,000998,190
Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (BBA LIBOR USD 3 Month + 1.32%), 2.364%, 4/15/32 (Cayman Islands) 500,000495,754
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (BBA LIBOR USD 3 Month + 1.29%), 2.334%, 1/15/35 (Cayman Islands) 250,000245,291
Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (BBA LIBOR USD 3 Month + 1.35%), 1.482%, 4/15/31 (Cayman Islands) 379,000375,180
Neuberger Berman Loan Advisers CLO 47, Ltd. 144A FRB Ser. 22-47A, Class A, (CME TERM SOFR 3 Month + 1.30%), 1.548%, 4/14/35 (Cayman Islands) 337,000334,313
Oak Hill Credit Partners XVI 144A FRB Ser. 21-16A, Class A, (BBA LIBOR USD 3 Month + 1.15%), 2.194%, 10/18/34 (Cayman Islands) 500,000494,229
Oaktree CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (BBA LIBOR USD 3 Month + 1.16%), 2.204%, 7/15/34 (Cayman Islands) 624,000615,723
Octagon Investment Partners 48, Ltd. 144A FRB Ser. 21-3A, Class AR, (BBA LIBOR USD 3 Month + 1.15%), 2.213%, 10/20/34 (Cayman Islands) 750,000739,687
Octagon Investment Partners 54, Ltd. 144A FRB Ser. 21-1A, Class A1, (BBA LIBOR USD 3 Month + 1.12%), 2.164%, 7/15/34 (Cayman Islands) 337,000332,689
Palmer Square CLO, Ltd. 144A FRB Ser. 21-1A, Class A1R, (BBA LIBOR USD 3 Month + 1.15%), 1.545%, 11/14/34 (Cayman Islands) 500,000495,149
Palmer Square CLO, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.15%), 2.194%, 7/15/34 (Cayman Islands) 971,000960,184
Palmer Square CLO, Ltd. 144A FRB Ser. 21-3A, Class B, (BBA LIBOR USD 3 Month + 1.65%), 1.882%, 1/15/35 (Cayman Islands) 400,000393,690
Palmer Square Loan Funding, Ltd. 144A FRB Ser. 22-2A, Class A2, (CME TERM SOFR 3 Month + 1.90%), 3.80%, 10/15/30 (Cayman Islands) ## 1,368,0001,366,798
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (BBA LIBOR USD 3 Month + 1.00%), 2.063%, 10/20/31 (Cayman Islands) 500,000495,230
Regatta XVIII Funding, Ltd. 144A FRB Ser. 21-1A, Class A1, (BBA LIBOR USD 3 Month + 1.10%), 2.144%, 1/15/34 750,000739,395
Regatta XX Funding, Ltd. 144A FRB Ser. 21-2A, Class A, (BBA LIBOR USD 3 Month + 1.16%), 2.204%, 10/15/34 (Cayman Islands) 571,000562,612
Regatta XXIII Funding, Ltd. 144A FRB Ser. 21-4A, Class A1, (BBA LIBOR USD 3 Month + 1.15%), 2.213%, 1/20/35 (Cayman Islands) 518,000510,422
RR, Ltd. 144A FRB Ser. 22-7A, Class A2B, (CME TERM SOFR 3 Month + 1.85%), 2.03%, 1/15/37 (Cayman Islands) 1,685,0001,670,497
Sixth Street CLO XVI, Ltd. 144A FRB Ser. 20-16A, Class B, (BBA LIBOR USD 3 Month + 1.85%), 2.913%, 10/20/32 (Cayman Islands) 1,053,0001,053,066


Fixed Income Absolute Return Fund 33




COLLATERALIZED LOAN OBLIGATIONS (9.0%)* cont.Principal
amount
Value
Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (BBA LIBOR USD 3 Month + 1.17%), 2.233%, 7/20/34 (Cayman Islands) $974,000$960,576
Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (BBA LIBOR USD 3 Month + 1.49%), 2.534%, 7/15/32 1,214,0001,207,444
Total collateralized loan obligations (cost $37,637,695)$37,229,635

SENIOR LOANS (6.4%)*cPrincipal
amount
Value
Basic materials (0.6%)
Quikrete Holdings, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.63%), 3.389%, 2/1/27 $1,643,730$1,597,065
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 10/1/25 758,645746,947
2,344,012
Capital goods (1.1%)
Clarios Global LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.014%, 4/30/26 682,996671,331
Gardner Denver, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 2.514%, 2/28/27 703693
GFL Environmental, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 4.239%, 5/31/25 965,289962,576
Titan Acquisition, Ltd. (United Kingdom) bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.00%), 4.006%, 3/28/25 403,091393,453
TransDigm, Inc. bank term loan FRN Ser. F, (BBA LIBOR USD 3 Month + 2.25%), 3.014%, 12/9/25 904,815886,719
TransDigm, Inc. bank term loan FRN Ser. E, (BBA LIBOR USD 3 Month + 2.25%), 3.014%, 5/30/25 244,761240,049
Vertiv Group Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.75%), 3.202%, 3/2/27 1,481,9021,439,712
4,594,533
Communication services (0.8%)
Altice US Finance I Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 2.804%, 1/15/26 967,500948,150
Charter Communications Operating, LLC bank term loan FRN Ser. B2, (BBA LIBOR USD 3 Month + 1.75%), 2.52%, 2/1/27 732,822723,208
CSC Holdings, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 2.804%, 7/17/25 805,101788,395
Zayo Group Holdings, Inc. bank term loan FRN (1 Month US LIBOR + 3.00%), 3.764%, 3/9/27 890,789843,854
3,303,607
Consumer cyclicals (2.0%)
AppleCaramel Buyer, LLC bank term loan FRN (CME TERM SOFR 3 Month PLUS CSA + 0.00%), 4.45%, 10/19/27 513,500500,822
Banijay Group US Holding, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.202%, 3/4/25 985,000978,351
Cornerstone Building Brands, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 3.804%, 4/12/28 787,050736,876
Entercom Media Corp. bank term loan FRN Ser. B1, (BBA LIBOR USD 3 Month + 2.50%), 3.249%, 11/17/24 777,215759,246
Fertitta Entertainment, LLC/NV bank term loan FRN Ser. B, (CME TERM SOFR 3 Month PLUS CSA + 4.00%), 4.70%, 1/12/29 979,065973,886


34 Fixed Income Absolute Return Fund




SENIOR LOANS (6.4%)*c cont.Principal
amount
Value
Consumer cyclicals cont.
Hilton Worldwide Finance, LLC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 2.375%, 6/21/26 $639,438$631,445
Reynolds Consumer Products, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 1.75%), 2.514%, 2/4/27 858,788844,515
Stars Group Holdings BV bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.25%), 3.256%, 7/29/25 762,514758,183
Terrier Media Buyer, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.50%), 4.264%, 12/17/26 1,034,2631,018,377
Univision Communications, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.25%), 4.014%, 3/24/26 635,814629,856
Werner Finco LP bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 4.00%), 5.006%, 7/24/24 476,686470,132
8,301,689
Consumer staples (0.4%)
1011778 BC, ULC bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 2.514%, 11/19/26 873,900856,239
Brand Industrial Services, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 4.25%), 5.294%, 6/21/24 714,375677,356
1,533,595
Energy (0.2%)
Prairie ECI Acquiror LP bank term loan FRN (BBA LIBOR USD 3 Month + 4.75%), 5.514%, 3/11/26 1,000,000978,330
978,330
Health care (0.5%)
Elanco Animal Health, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 1.75%), 2.55%, 2/4/27 944,525924,454
Grifols Worldwide Operations USA, Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 2.00%), 2.764%, 11/15/27 385,648376,451
Ortho-Clinical Diagnostics, Inc. bank term loan FRN (BBA LIBOR USD 3 Month + 3.00%), 3.278%, 6/30/25 623,436621,684
1,922,589
Technology (0.5%)
Boxer Parent Co., Inc. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.75%), 4.514%, 10/2/25 715,992706,419
Epicor Software Corp. bank term loan FRN Ser. B, (BBA LIBOR USD 3 Month + 3.25%), 4.014%, 7/30/27 1,009,6251,002,325
Greeneden US Holdings II, LLC bank term loan FRN (BBA LIBOR USD 3 Month + 4.00%), 4.764%, 12/1/27 478,938477,141
2,185,885
Utilities and power (0.3%)
Calpine Construction Finance Co. LP bank term loan FRN (BBA LIBOR USD 3 Month + 2.00%), 2.764%, 1/15/25 775,575765,074
Vistra Operations Co., LLC bank term loan FRN Ser. B3, (BBA LIBOR USD 3 Month + 1.75%), 2.45%, 12/1/25 240,393237,018
1,002,092
Total senior loans (cost $26,606,744)$26,166,332


Fixed Income Absolute Return Fund 35



FOREIGN GOVERNMENT AND AGENCY
BONDS AND NOTES (4.8%)*
Principal
amount
Value
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) $1,520,000$1,383,732
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d’Ivoire) 2,645,0002,430,094
Cote d’Ivoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 5.75%, 12/31/32 (Cote d’Ivoire) 137,958131,233
Dominican (Republic of) sr. unsec. bonds Ser. REGS, 4.875%, 9/23/32 (Dominican Republic) 572,000481,195
Dominican (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.40%, 6/5/49 (Dominican Republic) 311,000262,406
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.625%, 4/20/27 (Dominican Republic) 118,000127,440
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) 242,000254,100
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) 379,000379,474
Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic) 1,090,000988,774
Egypt (Arab Republic of) sr. unsec. bonds Ser. REGS, 7.30%, 9/30/33 (Egypt) 230,000173,653
Egypt (Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt) 600,000514,498
Ghana (Republic of) sr. unsec. unsub. notes Ser. REGS, 8.125%, 1/18/26 (Ghana) 380,000293,550
Indonesia (Republic of) sr. unsec. unsub. notes 3.85%, 10/15/30 (Indonesia) 1,194,0001,181,690
Indonesia (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.875%, 1/15/24 (Indonesia) 585,000609,860
Indonesia (Republic of) 144A sr. unsec. notes 4.75%, 1/8/26 (Indonesia) 300,000309,376
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) 310,000316,980
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) 1,290,0001,294,832
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan) 690,000788,291
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan) 420,000400,583
Kazakhstan (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.125%, 7/21/25 (Kazakhstan) 560,000584,284
Paraguay (Republic of) sr. unsec. notes Ser. REGS, 4.95%, 4/28/31 (Paraguay) 535,000528,313
Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) 255,000253,345
Romania (Government of) 144A unsec. bonds 3.625%, 3/27/32 (Romania) 1,000,000860,710
Senegal (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.75%, 3/13/48 (Senegal) 635,000505,619
Senegal (Republic of) unsec. bonds Ser. REGS, 6.25%, 5/23/33 (Senegal) 845,000755,219
South Africa (Republic of) sr. unsec. unsub. notes 5.875%, 9/16/25 (South Africa) 255,000262,905


36 Fixed Income Absolute Return Fund




FOREIGN GOVERNMENT AND AGENCY
BONDS AND NOTES (4.8%)*
cont.
Principal
amount
Value
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) $305,000$293,187
Tunisia (Central Bank of) sr. unsec. unsub. notes Ser. REGS, 5.75%, 1/30/25 (Tunisia) 1,090,000743,925
Turkey (Republic of) sr. unsec. unsub. notes 6.35%, 8/10/24 (Turkey) 300,000293,424
United Mexican States sr. unsec. bonds 2.659%, 5/24/31 (Mexico) 2,140,0001,793,149
Vietnam (Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam) 500,000511,875
Total foreign government and agency bonds and notes (cost $21,405,129)$19,707,716

PURCHASED SWAP OPTIONS OUTSTANDING (1.5%)*
Counterparty
Fixed right % to receive or (pay)/
Floating rate index/Maturity date
Expiration
date/strike
Notional/
Contract
amount
Value
Bank of America N.A.
0.485/3 month USD-LIBOR-BBA/Jan-25Jan-24/0.485$28,084,300$14,042
Goldman Sachs International
2.988/3 month USD-LIBOR-BBA/Feb-39Feb-29/2.9884,663,100311,402
(2.988)/3 month USD-LIBOR-BBA/Feb-39Feb-29/2.9884,663,100297,506
JPMorgan Chase Bank N.A.
(2.7575)/3 month USD-LIBOR-BBA/Dec-37Dec-27/2.75754,467,000317,068
(2.795)/3 month USD-LIBOR-BBA/Dec-37Dec-27/2.7954,467,000310,769
2.795/3 month USD-LIBOR-BBA/Dec-37Dec-27/2.7954,467,000256,897
2.7575/3 month USD-LIBOR-BBA/Dec-37Dec-27/2.75754,467,000250,733
Morgan Stanley & Co. International PLC
3.00/3 month USD-LIBOR-BBA/Feb-73Feb-48/3.003,450,300473,174
3.00/3 month USD-LIBOR-BBA/Apr-72Apr-47/3.003,450,300457,199
2.75/3 month USD-LIBOR-BBA/May-73May-48/2.753,450,300409,930
NatWest Markets PLC
(0.52)/6 month GBP-LIBOR-BBA/Sep-23 (United Kingdom)Sep-22/0.52GBP53,602,9001,230,778
UBS AG
(0.153)/6 month EUR-EURIBOR-Reuters/Sep-29Sep-24/0.153EUR8,745,700763,105
(0.925)/6 month EUR-EURIBOR-Reuters/Mar-57Mar-27/0.925EUR3,027,000653,228
0.925/6 month EUR-EURIBOR-Reuters/Mar-57Mar-27/0.925EUR3,027,000326,710
0.153/6 month EUR-EURIBOR-Reuters/Sep-29Sep-24/0.153EUR8,745,70033,400
Total purchased swap options outstanding (cost $4,310,696)$6,105,941

CONVERTIBLE BONDS AND NOTES (1.0%)*Principal
amount
Value
Capital goods (—%)
John Bean Technologies Corp. 144A cv. sr. unsec. notes 0.25%, 5/15/26 $44,000$41,426
41,426
Communication services (0.1%)
Cable One, Inc. company guaranty cv. sr. unsec. notes 1.125%, 3/15/28 37,00030,377
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 104,00089,180
Liberty Media Corp. cv. sr. unsec. bonds 1.375%, 10/15/23 21,00027,300


Fixed Income Absolute Return Fund 37



CONVERTIBLE BONDS AND NOTES (1.0%)* cont.Principal
amount
Value
Communication services cont.
Liberty Media Corp. cv. sr. unsec. unsub. bonds 0.50%, 12/1/50 $50,000$64,825
Liberty Media Corp. 144A cv. sr. unsec. unsub. bonds 2.75%, 12/1/49 175,000167,825
379,507
Consumer cyclicals (0.2%)
Block, Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27 53,00043,222
Block, Inc. cv. sr. unsec. sub. notes zero %, 5/1/26 23,00019,794
Booking Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25 44,00061,160
Burlington Stores, Inc. cv. sr. unsec. notes 2.25%, 4/15/25 27,00032,383
DraftKings, Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28 43,00028,574
Expedia Group, Inc. company guaranty cv. sr. unsec. unsub. notes zero %, 2/15/26 52,00060,970
Ford Motor Co. cv. sr. unsec. notes zero %, 3/15/26 73,00077,490
Liberty TripAdvisor Holdings, Inc. 144A cv. sr. unsec. bonds 0.50%, 6/30/51 51,00040,265
National Vision Holdings, Inc. cv. sr. unsec. sub. notes 2.50%, 5/15/25 20,00027,526
NCL Corp, Ltd. 144A company guaranty cv. sr. unsec. notes 2.50%, 2/15/27 40,00036,320
Royal Caribbean Cruises, Ltd. cv. sr. unsec. notes 2.875%, 11/15/23 69,00079,385
Shift4 Payments, Inc. cv. sr. unsec. sub. notes zero %, 12/15/25 49,00047,138
Vail Resorts, Inc. cv. sr. unsec. sub. notes zero %, 1/1/26 65,00061,141
Winnebago Industries, Inc. cv. sr. unsec. notes 1.50%, 4/1/25 20,00021,370
636,738
Consumer staples (0.1%)
Airbnb, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 75,00068,738
Beauty Health Co. (The) 144A cv. sr. unsec. sub. notes 1.25%, 10/1/26 35,00029,365
Cheesecake Factory, Inc. (The) cv. sr. unsec. sub. notes 0.375%, 6/15/26 36,00030,735
Chegg, Inc. cv. sr. unsec. notes zero %, 9/1/26 51,00039,576
Etsy, Inc. 144A cv. sr. unsec. notes 0.25%, 6/15/28 58,00046,110
Shake Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28 39,00030,050
Uber Technologies, Inc. cv. sr. unsec. notes zero %, 12/15/25 43,00037,131
Upwork, Inc. 144A cv. sr. unsec. notes 0.25%, 8/15/26 39,00030,459
Wayfair, Inc. cv. sr. unsec. notes 0.625%, 10/1/25 35,00026,132
Zillow Group, Inc. cv. sr. unsec. notes 2.75%, 5/15/25 21,00021,651
359,947
Energy (0.1%)
Enphase Energy, Inc. cv. sr. unsec. sub. notes zero %, 3/1/28 49,00046,599
Pioneer Natural Resources Co. cv. sr. unsec. notes 0.25%, 5/15/25 46,000101,246
Sunrun, Inc. cv. sr. unsec. notes zero %, 2/1/26 33,00025,245
Transocean, Inc. company guaranty cv. sr. unsec. sub. notes 0.50%, 1/30/23 54,00050,403
223,493
Financials (—%)
Blackstone Mortgage Trust, Inc. cv. sr. unsec. notes 4.75%, 3/15/23 R 31,00031,016
SoFi Technologies, Inc. 144A cv. sr. unsec. notes zero %, 10/15/26 43,00028,836
59,852


38 Fixed Income Absolute Return Fund



CONVERTIBLE BONDS AND NOTES (1.0%)* cont.Principal
amount
Value
Health care (0.1%)
BioMarin Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27 $36,000$36,990
DexCom, Inc. cv. sr. unsec. unsub. notes 0.25%, 11/15/25 46,00048,099
Exact Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28 70,00056,280
Guardant Health, Inc. cv. sr. unsec. sub. notes zero %, 11/15/27 41,00032,775
Halozyme Therapeutics, Inc. cv. sr. unsec. notes 0.25%, 3/1/27 80,00068,650
Insulet Corp. cv. sr. unsec. notes 0.375%, 9/1/26 31,00038,130
Ironwood Pharmaceuticals, Inc. cv. sr. unsec. notes 1.50%, 6/15/26 38,00043,073
Jazz Investments I, Ltd. company guaranty cv. sr. unsec. sub. notes 1.50%, 8/15/24 (Ireland) 61,00062,029
NeoGenomics, Inc. cv. sr. unsec. notes 0.25%, 1/15/28 48,00033,072
Pacira Pharmaceuticals, Inc. cv. sr. unsec. sub. notes 0.75%, 8/1/25 50,00060,156
Tandem Diabetes Care, Inc. 144A cv. sr. unsec. notes 1.50%, 5/1/25 26,00028,938
Teladoc Health, Inc. cv. sr. unsec. sub. notes 1.25%, 6/1/27 37,00027,436
535,628
Technology (0.4%)
3D Systems Corp. 144A cv. sr. unsec. notes zero %, 11/15/26 42,00031,038
Akamai Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27 111,000122,100
Akamai Technologies, Inc. cv. sr. unsec. notes 0.125%, 5/1/25 39,00048,828
Avalara, Inc. 144A cv. sr. unsec. notes 0.25%, 8/1/26 45,00035,955
Bentley Systems, Inc. 144A cv. sr. unsec. sub. notes 0.375%, 7/1/27 48,00040,680
Bill.com Holdings, Inc. 144A cv. sr. unsec. unsub. notes zero %, 4/1/27 44,00037,070
Blackline, Inc. cv. sr. unsec. notes zero %, 3/15/26 25,00020,575
Box, Inc. cv. sr. unsec. notes zero %, 1/15/26 33,00043,544
Ceridian HCM Holding, Inc. cv. sr. unsec. notes 0.25%, 3/15/26 37,00030,458
Coupa Software, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 74,00060,162
CyberArk Software, Ltd. cv. sr. unsec. notes zero %, 11/15/24, (Israel) 33,00039,105
Datadog, Inc. cv. sr. unsec. notes 0.125%, 6/15/25 18,00026,766
DigitalOcean Holdings, Inc. 144A cv. sr. unsec. notes zero %, 12/1/26 41,00030,277
Everbridge, Inc. cv. sr. unsec. notes zero %, 3/15/26 37,00031,797
Five9, Inc. cv. sr. unsec. notes 0.50%, 6/1/25 26,00027,976
Impinj, Inc. 144A cv. sr. unsec. notes 1.125%, 5/15/27 42,00034,414
Lumentum Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26 58,00060,645
MongoDB, Inc. cv. sr. unsec. notes 0.25%, 1/15/26 17,00030,430
Okta, Inc. cv. sr. unsec. notes 0.375%, 6/15/26 63,00056,782
ON Semiconductor Corp. 144A cv. sr. unsec. notes zero %, 5/1/27 34,00040,380
Palo Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25 35,00067,095
Pegasystems, Inc. 144A cv. sr. unsec. notes 0.75%, 3/1/25 67,00062,042
Perficient, Inc. 144A cv. sr. unsec. notes 0.125%, 11/15/26 42,00036,057
Rapid7, Inc. cv. sr. unsec. notes 0.25%, 3/15/27 34,00037,859
RingCentral, Inc. cv. sr. unsec. notes zero %, 3/1/25 48,00040,224
Silicon Laboratories, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 32,00040,602
Snap, Inc. 144A cv. sr. unsec. notes zero %, 5/1/27 49,00038,882
Splunk, Inc. cv. sr. unsec. notes 1.125%, 6/15/27 78,00069,966
Spotify USA, Inc. company guaranty cv. sr. unsec. notes zero %, 3/15/26 36,00029,313


Fixed Income Absolute Return Fund 39




CONVERTIBLE BONDS AND NOTES (1.0%)* cont.Principal
amount
Value
Technology cont.
Twitter, Inc. cv. sr. unsec. sub. notes zero %, 3/15/26 $44,000$41,558
Unity Software, Inc. 144A cv. sr. unsec. notes zero %, 11/15/26 49,00037,901
Viavi Solutions, Inc. cv. sr. unsec. unsub. notes 1.00%, 3/1/24 27,00032,214
Wolfspeed, Inc. 144A cv. sr. unsec. unsub. notes 0.25%, 2/15/28 42,00042,000
Zendesk, Inc. cv. sr. unsec. notes 0.625%, 6/15/25 34,00043,010
Zscaler, Inc. cv. sr. unsec. notes 0.125%, 7/1/25 20,00029,690
1,497,395
Transportation (—%)
American Airlines Group, Inc. company guaranty cv. notes 6.50%, 7/1/25 22,00030,679
JetBlue Airways Corp. 144A cv. sr. unsec. notes 0.50%, 4/1/26 39,00031,711
Southwest Airlines Co. cv. sr. unsec. notes 1.25%, 5/1/25 62,00084,661
147,051
Utilities and power (—%)
NextEra Energy Partners LP 144A company guaranty cv. sr. unsec. notes zero %, 11/15/25 56,00054,236
NRG Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48 48,00050,789
105,025
Total convertible bonds and notes (cost $4,203,208)$3,986,062

ASSET-BACKED SECURITIES (0.8%)*Principal
amount
Value
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (BBA LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 $1,132,000$1,129,170
Mello Warehouse Securitization Trust 144A   
FRB Ser. 20-2, Class A, (1 Month US LIBOR + 0.80%), 1.468%, 11/25/53 403,200403,200
FRB Ser. 21-1, Class A, (1 Month US LIBOR + 0.70%), 1.157%, 2/25/55 414,000414,000
Mortgage Repurchase Agreement Financing Trust 144A FRB Ser. 21-S1, Class A1, (1 Month US LIBOR + 0.50%), 0.988%, 9/10/22 779,000777,960
Station Place Securitization Trust 144A FRB Ser. 21-14, Class A1, (1 Month US LIBOR + 0.70%), 1.368%, 12/8/22 490,000490,000
Total asset-backed securities (cost $3,215,418)$3,214,330

SHORT-TERM INVESTMENTS (23.0%)*Principal amount/
shares
Value
Interest in $388,280,000 joint tri-party repurchase agreement dated 4/29/2022 with Citigroup Global Markets, Inc. due 5/2/2022 — maturity value of $71,229,840 for an effective yield of 0.310% (collateralized by Agency Mortgage-Backed Securities and U.S. Treasuries (including strips) with coupon rates ranging from 0.125% to 4.500% and due dates ranging from 10/15/2026 to 3/20/2052, valued at $396,045,665)$71,228,000$71,228,000
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.29% PShares3,020,0003,020,000
Sumitomo Mitsui Trust Bank, Ltd./Singapore commercial paper 0.430%, 5/4/22 (Singapore)$2,000,0001,999,894
U.S. Treasury Bills 0.562%, 6/21/22 ∆ §3,900,0003,896,958
U.S. Treasury Bills 0.448%, 6/14/22 §400,000399,786


40 Fixed Income Absolute Return Fund




SHORT-TERM INVESTMENTS (23.0%)* cont.Principal amountValue
U.S. Treasury Bills 0.444%, 6/16/22 # ∆ §$2,800,000$2,798,445
U.S. Treasury Bills 0.404%, 6/7/22 §200,000199,917
U.S. Treasury Bills 0.392%, 6/9/22 # ∆ § Φ4,400,0004,397,983
U.S. Treasury Bills 0.347%, 6/2/22 # ∆ § Φ6,100,0006,098,265
U.S. Treasury Bills 0.054%, 5/19/22 # ∆ Φ800,000799,916
Total short-term investments (cost $94,839,290)$94,839,164

TOTAL INVESTMENTS
Total investments (cost $883,189,531)$854,072,674

Key to holding’s currency abbreviations
AUDAustralian Dollar
CADCanadian Dollar
CHFSwiss Franc
EUREuro
GBPBritish Pound
JPYJapanese Yen
NOKNorwegian Krone
NZDNew Zealand Dollar
SEKSwedish Krona
USD /$United States Dollar

Key to holding’s abbreviations
bpBasis Points
FRBFloating 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.
FRNFloating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.
IFBInverse 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.
IOInterest Only
LIBORLondon Interbank Offered Rate
OTCOver-the-counter
REGSSecurities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.
SOFRSecured Overnight Financing Rate
TBATo 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 November 1, 2021 through April 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 and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures.
*Percentages indicated are based on net assets of $411,699,996.
This security is non-income-producing.


Fixed Income Absolute Return Fund 41




#This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $1,005,601 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
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 $11,590,485 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
ΦThis security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain TBA commitments at the close of the reporting period. Collateral at period end totaled $1,344,562 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
§This security, in part or in entirety, was pledged and segregated with the custodian for collateral on the initial margin on certain centrally cleared derivative contracts at the close of the reporting period. Collateral at period end totaled $2,582,728 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9).
##Forward commitment, in part or in entirety (Note 1).
cSenior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7).
iThis security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1).
PThis 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.
RReal Estate Investment Trust.
WThe rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.
At the close of the reporting period, the fund maintained liquid assets totaling $263,660,580 to cover certain derivative contracts and delayed delivery securities.
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.
See Note 1 to the financial statements regarding TBA commitments.
The dates shown on debt obligations are the original maturity dates.
FORWARD CURRENCY CONTRACTS at 4/30/22 (aggregate face value $44,765,423) (Unaudited)
CounterpartyCurrencyContract
type*
Delivery
date
ValueAggregate
face value
Unrealized
appreciation/
(depreciation)
Bank of America N.A.
British PoundBuy6/15/22$5,281$5,534$(253)
Japanese YenSell5/18/2249255563
Norwegian KroneBuy6/15/229,84210,575(733)
Swedish KronaSell6/15/22233,891243,7969,905
Barclays Bank PLC
British PoundSell6/15/22204,846215,91511,069
EuroSell6/15/2259,61661,4081,792


42 Fixed Income Absolute Return Fund



FORWARD CURRENCY CONTRACTS at 4/30/22 (aggregate face value $44,765,423) (Unaudited) cont.
CounterpartyCurrencyContract
type*
Delivery
date
ValueAggregate
face value
Unrealized
appreciation/
(depreciation)
Barclays Bank PLC cont.
Norwegian KroneBuy6/15/22$1,237$1,292$(55)
Swiss FrancBuy6/15/221,216,8121,289,302(72,490)
Citibank, N.A.
Swedish KronaSell6/15/222,4882,51729
Credit Suisse International
Swiss FrancBuy6/15/22197,290205,513(8,223)
Goldman Sachs International
Norwegian KroneSell6/15/22134,065140,5476,482
Swiss FrancBuy6/15/222,203,9872,334,334(130,347)
HSBC Bank USA, National Association
Australian DollarSell7/20/2229,78630,639853
British PoundSell6/15/222,497,6342,657,808160,174
New Zealand DollarSell7/20/2260,13663,0912,955
Norwegian KroneSell6/15/2225,77227,4871,715
Swedish KronaSell6/15/223,0183,119101
JPMorgan Chase Bank N.A.
British PoundBuy6/15/221,6351,722(87)
EuroSell6/15/22948,999990,45441,455
Norwegian KroneBuy6/15/2225,29227,145(1,853)
Swedish KronaBuy6/15/2219,07620,203(1,127)
Swiss FrancSell6/15/2257,28160,1892,908
Morgan Stanley & Co. International PLC
Australian DollarSell7/20/2275,56278,9133,351
British PoundBuy6/15/2232,19134,398(2,207)
Canadian DollarSell7/20/2259,92159,95332
EuroSell6/15/2278,64384,0085,365
New Zealand DollarSell7/20/221,950,2822,120,021169,739
Norwegian KroneSell6/15/2270,94172,2691,328
Swedish KronaSell6/15/22199,890197,992(1,898)
Swiss FrancBuy6/15/2239,77040,403(633)
NatWest Markets PLC
British PoundBuy6/15/22154,294162,237(7,943)
EuroSell6/15/222,351,1452,475,968124,823
Norwegian KroneBuy6/15/228,5629,119(557)
Swedish KronaBuy6/15/2223,53223,935(403)
Swiss FrancBuy6/15/222,5772,683(106)
State Street Bank and Trust Co.
Australian DollarSell7/20/222,086,0992,255,243169,144
British PoundSell6/15/2258,97664,0675,091
Canadian DollarSell7/20/223,160,7153,250,09189,376
EuroSell6/15/222,516,7822,637,955121,173
Japanese YenSell5/18/222,918,3583,119,224200,866
New Zealand DollarBuy7/20/2223,93825,033(1,095)
Norwegian KroneSell6/15/22426,678450,18423,506


Fixed Income Absolute Return Fund 43




FORWARD CURRENCY CONTRACTS at 4/30/22 (aggregate face value $44,765,423) (Unaudited) cont.
CounterpartyCurrencyContract
type*
Delivery
date
ValueAggregate
face value
Unrealized
appreciation/
(depreciation)
State Street Bank and Trust Co. cont.
Swedish KronaSell6/15/22$1,102,383$1,114,785$12,402
Swiss FrancBuy6/15/223,162,4173,299,823(137,406)
Toronto-Dominion Bank
British PoundBuy6/15/2215,34115,372(31)
Canadian DollarSell7/20/22651,038669,99618,958
EuroSell6/15/2230,33730,39053
Japanese YenBuy5/18/223,186,5683,577,878(391,310)
Norwegian KroneSell6/15/22387,257408,11920,862
Swedish KronaSell6/15/22645,854653,8397,985
UBS AG
British PoundBuy6/15/2214,21014,818(608)
Canadian DollarSell7/20/2234,78535,415630
EuroBuy6/15/228,9859,481(496)
Japanese YenBuy5/18/226,523,0187,412,950(889,932)
Norwegian KroneBuy6/15/22270,999283,870(12,871)
Swedish KronaBuy6/15/22409,567404,9634,604
Swiss FrancSell6/15/22259,725273,26113,536
WestPac Banking Corp.
Australian DollarSell7/20/2219,59819,63133
Japanese YenSell5/18/22930,320961,20730,887
New Zealand DollarBuy7/20/2222,32622,784(458)
Unrealized appreciation1,263,245
Unrealized (depreciation)(1,663,122)
Total$(399,877)
* The exchange currency for all contracts listed is the United States Dollar.

FUTURES CONTRACTS OUTSTANDING at 4/30/22 (Unaudited)
Number of
contracts
Notional
amount
ValueExpiration
date
Unrealized
appreciation/
(depreciation)
U.S. Treasury Note 2 yr (Short)779$164,222,938$164,222,938Jun-22$2,925,583
U.S. Treasury Note Ultra 10 yr (Short)192,451,0002,451,000Jun-22217,418
Unrealized appreciation3,143,001
Unrealized (depreciation)
Total$3,143,001


44 Fixed Income Absolute Return Fund




WRITTEN SWAP OPTIONS OUTSTANDING at 4/30/22 (premiums $9,119,706) (Unaudited)
Counterparty
Fixed Obligation % to receive or (pay)/
Floating rate index/Maturity date
Expiration
date/strike
Notional/Contract
amount
Value
Bank of America N.A.
0.985/3 month USD-LIBOR-BBA/Jan-25Jan-24/0.985$28,084,300$621,786
Citibank, N.A.
(1.865)/3 month USD-LIBOR-BBA/Oct-39Oct-29/1.8655,613,600184,238
1.865/3 month USD-LIBOR-BBA/Oct-39Oct-29/1.8655,613,600614,465
2.395/3 month USD-LIBOR-BBA/Nov-33Nov-23/2.39519,198,9001,413,423
Goldman Sachs International
(1.448)/Sterling Overnight Index Average/Feb-39Feb-29/1.448GBP3,028,000215,089
1.448/Sterling Overnight Index Average/Feb-39Feb-29/1.448GBP3,028,000290,821
JPMorgan Chase Bank N.A.
(0.968)/3 month USD-LIBOR-BBA/Mar-35Mar-25/0.968$2,082,30018,054
(1.07)/3 month USD-LIBOR-BBA/Mar-32Mar-27/1.073,327,30030,844
1.07/3 month USD-LIBOR-BBA/Mar-32Mar-27/1.073,327,300283,519
(1.667)/6 month EUR-EURIBOR-Reuters/Feb-36Feb-26/1.667EUR6,661,600305,000
0.968/3 month USD-LIBOR-BBA/Mar-35Mar-25/0.968$2,082,300350,722
1.667/6 month EUR-EURIBOR-Reuters/Feb-36Feb-26/1.667EUR6,661,600542,324
3.229/3 month USD-LIBOR-BBA/Nov-33Nov-23/3.229$16,410,700614,909
(3.229)/3 month USD-LIBOR-BBA/Nov-33Nov-23/3.22916,410,700934,425
Morgan Stanley & Co. International PLC
(1.512)/3 month USD-LIBOR-BBA/Aug-32Aug-22/1.5125,643,6002,145
3.01/3 month USD-LIBOR-BBA/Feb-36Feb-26/3.012,395,100137,838
2.97/3 month USD-LIBOR-BBA/Feb-36Feb-26/2.972,395,100140,832
(2.97)/3 month USD-LIBOR-BBA/Feb-36Feb-26/2.972,395,100144,353
(3.01)/3 month USD-LIBOR-BBA/Feb-36Feb-26/3.012,395,100148,640
(3.00)/3 month USD-LIBOR-BBA/Apr-48Apr-23/3.003,450,300290,860
(2.75)/3 month USD-LIBOR-BBA/May-49May-25/2.753,450,300348,377
(3.00)/3 month USD-LIBOR-BBA/Jan-49Jan-24/3.003,450,300371,459
1.512/3 month USD-LIBOR-BBA/Aug-32Aug-22/1.5125,643,600744,334
NatWest Markets PLC
0.84/Sterling Overnight Index Average/Sep-23Sep-22/0.84GBP53,602,9001,023,851
0.68/Sterling Overnight Index Average/Sep-23Sep-22/0.68GBP53,602,9001,126,978
Toronto-Dominion Bank
(1.17)/3 month USD-LIBOR-BBA/Mar-55Mar-25/1.17$306,1007,870
1.17/3 month USD-LIBOR-BBA/Mar-55Mar-25/1.17612,300188,239
UBS AG
(1.9875)/3 month USD-LIBOR-BBA/Oct-36Oct-26/1.98756,511,700195,807
1.9875/3 month USD-LIBOR-BBA/Oct-36Oct-26/1.98756,511,700681,450
Total$11,972,652


Fixed Income Absolute Return Fund 45



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (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.
(1.39)/SOFR/Dec-26 (Purchased)Dec-24/1.39 $52,095,000$(599,093)$1,009,080
(0.305)/3 month USD-LIBOR-BBA/May-23 (Purchased)May-22/0.305 45,233,000(54,280)968,439
(2.485)/3 month USD-LIBOR-BBA/Oct-54 (Purchased)Oct-24/2.485 10,016,500(604,496)675,112
(0.925)/3 month USD-LIBOR-BBA/Mar-40 (Purchased)Mar-30/0.925 6,653,800(476,412)670,437
(2.2875)/3 month USD-LIBOR-BBA/May-32 (Purchased)May-22/2.2875 9,046,600(117,606)433,151
(0.85)/3 month USD-LIBOR-BBA/Mar-40 (Purchased)Mar-30/0.85 3,388,500(247,361)352,302
(1.275)/3 month USD-LIBOR-BBA/Mar-50 (Purchased)Mar-30/1.275 2,999,900(390,737)326,569
(2.2275)/3 month USD-LIBOR-BBA/May-24 (Purchased)May-22/2.2275 37,416,800(345,170)278,755
(1.76)/3 month USD-LIBOR-BBA/Jan-29 (Purchased)Jan-28/1.76 27,074,600(174,970)232,029
(1.304)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased)Jun-24/1.304EUR3,163,500(256,339)225,604
(2.3075)/3 month USD-LIBOR-BBA/Jun-52 (Purchased)Jun-22/2.3075 $2,249,900(50,902)168,810
(1.053)/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased)Jun-24/1.053EUR1,673,000(381,566)129,228
(2.94)/SOFR/Apr-25 (Purchased)Apr-23/2.94 $47,436,800(507,574)86,809
(2.35)/3 month USD-LIBOR-BBA/Apr-56 (Purchased)Apr-26/2.35 127,500(16,575)3,666
2.35/3 month USD-LIBOR-BBA/Apr-56 (Purchased)Apr-26/2.35 127,500(16,575)(2,074)
1.76/3 month USD-LIBOR-BBA/Jan-29 (Purchased)Jan-28/1.76 27,074,600(174,970)(31,948)
1.053/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased)Jun-24/1.053EUR1,673,000(381,566)(46,471)
0.85/3 month USD-LIBOR-BBA/Mar-40 (Purchased)Mar-30/0.85 $3,388,500(247,361)(144,520)
1.304/6 month EUR-EURIBOR-Reuters/Jun-54 (Purchased)Jun-24/1.304EUR3,163,500(512,677)(148,378)
2.29/3 month USD-LIBOR-BBA/Mar-34 (Purchased)Mar-24/2.29 $7,876,800(387,426)(178,410)
1.275/3 month USD-LIBOR-BBA/Mar-50 (Purchased)Mar-30/1.275 2,999,900(390,737)(201,053)
1.39/SOFR/Dec-26 (Purchased)Dec-24/1.39 52,095,000(599,093)(256,828)
0.925/3 month USD-LIBOR-BBA/Mar-40 (Purchased)Mar-30/0.925 6,653,800(476,412)(270,277)
2.2275/3 month USD-LIBOR-BBA/May-24 (Purchased)May-22/2.2275 37,416,800(345,170)(341,615)
2.17/3 month USD-LIBOR-BBA/Apr-34 (Purchased)Apr-24/2.17 22,505,100(1,086,996)(530,220)


46 Fixed Income Absolute Return Fund



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
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. cont.
2.3075/3 month USD-LIBOR-BBA/Jun-52 (Purchased)Jun-22/2.3075 $2,249,900$(1,057,849)$(1,042,356)
(1.085)/3 month USD-LIBOR-BBA/Apr-34 (Written)Apr-24/1.085 45,010,100617,764312,370
(1.29)/3 month USD-LIBOR-BBA/Mar-34 (Written)Mar-24/1.29 11,252,500175,53986,194
(2.272)/SOFR/Apr-42 (Written)Apr-32/2.272 6,054,500504,34062,604
(1.115)/3 month USD-LIBOR-BBA/Jan-26 (Written)Jan-25/1.115 27,074,600114,05253,878
2.272/SOFR/Apr-42 (Written)Apr-32/2.272 6,054,500504,340(73,199)
3.69/SOFR/Apr-25 (Written)Apr-23/3.69 94,873,700531,293(84,438)
1.7875/3 month USD-LIBOR-BBA/May-32 (Written)May-22/1.7875 4,523,300126,652(345,399)
1.115/3 month USD-LIBOR-BBA/Jan-26 (Written)Jan-25/1.115 27,074,600114,052(413,700)
0.805/3 month USD-LIBOR-BBA/May-23 (Written)May-22/0.805 90,466,10029,401(1,570,492)
2.415/3 month USD-LIBOR-BBA/Oct-33 (Written)Oct-23/2.415 31,051,100655,954(1,592,921)
Barclays Bank PLC
(2.232)/3 month USD-LIBOR-BBA/Jun-51 (Purchased)Jun-31/2.232 3,001,900(363,680)95,791
2.232/3 month USD-LIBOR-BBA/Jun-51 (Purchased)Jun-31/2.232 3,001,900(363,680)(44,578)
Citibank, N.A.
(1.752)/3 month USD-LIBOR-BBA/Dec-31 (Purchased)Dec-26/1.752 32,953,000(1,074,268)1,163,900
(1.648)/SOFR/Sep-32 (Purchased)Sep-22/1.648 11,120,700(271,901)842,949
(1.75)/SOFR/Mar-53 (Purchased)Mar-23/1.75 5,473,600(409,699)548,236
(1.724)/SOFR/Mar-53 (Purchased)Mar-23/1.724 4,497,300(339,321)467,045
(1.735)/SOFR/Mar-53 (Purchased)Mar-23/1.735 4,414,500(326,342)457,342
(2.194)/3 month USD-LIBOR-BBA/Sep-52 (Purchased)Sep-22/2.194 3,798,200(93,160)396,912
(2.31)/SOFR/Jun-32 (Purchased)Jun-22/2.31 17,855,600(383,003)370,504
(1.826)/SOFR/Jan-42 (Purchased)Jan-32/1.826 6,581,000(486,007)251,526
(1.90)/3 month USD-LIBOR-BBA/Jun-28 (Purchased)Jun-26/1.90 15,499,500(206,608)218,078
(1.102)/3 month USD-LIBOR-BBA/Nov-32 (Purchased)Nov-22/1.102 1,348,000(42,833)183,180
(1.625)/3 month USD-LIBOR-BBA/Jan-61 (Purchased)Jan-41/1.625 2,670,500(393,899)80,088
(2.427)/3 month USD-LIBOR-BBA/Jun-41 (Purchased)Jun-31/2.427 2,929,600(213,421)71,687
(2.725)/SOFR/Jul-32 (Purchased)Jul-22/2.725 17,157,900(350,021)14,756
(2.689)/3 month USD-LIBOR-BBA/Nov-49 (Purchased)Nov-24/2.689 1,026,000(132,098)(17,360)


Fixed Income Absolute Return Fund 47



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
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)
Citibank, N.A. cont.
2.725/SOFR/Jul-32 (Purchased)Jul-22/2.725 $17,157,900$(350,021)$(21,447)
2.427/3 month USD-LIBOR-BBA/Jun-41 (Purchased)Jun-31/2.427 2,929,600(213,421)(24,140)
2.689/3 month USD-LIBOR-BBA/Nov-49 (Purchased)Nov-24/2.689 1,026,000(132,098)(27,887)
1.625/3 month USD-LIBOR-BBA/Jan-61 (Purchased)Jan-41/1.625 2,670,500(393,899)(28,735)
1.102/3 month USD-LIBOR-BBA/Nov-32 (Purchased)Nov-22/1.102 1,348,000(42,833)(41,640)
1.90/3 month USD-LIBOR-BBA/Jun-28 (Purchased)Jun-26/1.90 15,499,500(206,608)(48,668)
1.826/SOFR/Jan-42 (Purchased)Jan-32/1.826 6,581,000(486,007)(111,021)
1.735/SOFR/Mar-53 (Purchased)Mar-23/1.735 4,414,500(326,342)(227,700)
1.724/SOFR/Mar-53 (Purchased)Mar-23/1.724 4,497,300(339,321)(241,010)
1.648/SOFR/Sep-32 (Purchased)Sep-22/1.648 11,120,700(271,901)(254,664)
1.75/SOFR/Mar-53 (Purchased)Mar-23/1.75 5,473,600(409,699)(284,901)
0.555/6 month EUR-EURIBOR-Reuters/Mar-25 (Purchased)Mar-24/0.555EUR63,411,800(400,007)(290,330)
2.31/SOFR/Jun-32 (Purchased)Jun-22/2.31 $17,855,600(383,003)(298,367)
1.752/3 month USD-LIBOR-BBA/Dec-31 (Purchased)Dec-26/1.752 32,953,000(1,074,268)(424,435)
1.5625/SOFR/Jun-32 (Purchased)Jun-22/1.5625 42,682,800(825,912)(824,205)
(1.3125)/SOFR/Jun-32 (Written)Jun-22/1.3125 42,682,800426,828426,401
(0.055)/6 month EUR-EURIBOR-Reuters/Mar-25 (Written)Mar-24/0.055EUR126,823,600406,903303,709
(1.245)/3 month USD-LIBOR-BBA/Aug-24 (Written)Aug-22/1.245 $26,191,800239,655237,560
(1.194)/3 month USD-LIBOR-BBA/Jun-25 (Written)Jun-23/1.194 15,499,500117,48699,662
(1.918)/3 month USD-LIBOR-BBA/Jan-51 (Written)Jan-31/1.918 3,214,400384,44299,068
(1.177)/3 month USD-LIBOR-BBA/Jul-40 (Written)Jul-30/1.177 1,298,50098,42651,836
1.177/3 month USD-LIBOR-BBA/Jul-40 (Written)Jul-30/1.177 1,298,50098,426(107,230)
1.918/3 month USD-LIBOR-BBA/Jan-51 (Written)Jan-31/1.918 3,214,400384,442(184,153)
1.194/3 month USD-LIBOR-BBA/Jun-25 (Written)Jun-23/1.194 15,499,500117,486(516,753)
1.245/3 month USD-LIBOR-BBA/Aug-24 (Written)Aug-22/1.245 26,191,800239,655(802,255)
1.7075/3 month USD-LIBOR-BBA/Sep-27 (Written)Sep-22/1.7075 18,231,30096,626(1,100,624)
1.8125/SOFR/Jun-32 (Written)Jun-22/1.8125 42,682,800426,828(3,093,649)


48 Fixed Income Absolute Return Fund



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
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)
Deutsche Bank AG
(1.724)/SOFR/Jan-47 (Purchased)Jan-37/1.724 $8,226,300$(679,081)$209,771
2.235/SOFR/Jul-32 (Purchased)Jul-22/2.235 14,512,000(81,993)(8,272)
1.724/SOFR/Jan-47 (Purchased)Jan-37/1.724 8,226,300(679,081)(89,584)
(2.135)/SOFR/Mar-42 (Written)Mar-32/2.135 6,981,100586,761105,345
3.235/SOFR/Jul-32 (Written)Jul-22/3.235 14,512,000103,3982,757
2.135/SOFR/Mar-42 (Written)Mar-32/2.135 6,981,100586,761(115,956)
Goldman Sachs International
(-0.197)/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased)Jun-23/-0.197EUR21,762,600(96,687)804,005
(1.769)/SOFR/May-32 (Purchased)May-22/1.769 $8,032,900(124,430)557,323
(1.727)/3 month USD-LIBOR-BBA/Jan-55 (Purchased)Jan-25/1.727 1,847,900(276,261)152,710
2.8175/3 month USD-LIBOR-BBA/Mar-47 (Purchased)Mar-27/2.8175 1,042,500(131,616)(9,122)
(2.8175)/3 month USD-LIBOR-BBA/Mar-47 (Purchased)Mar-27/2.8175 1,042,500(131,616)(14,428)
1.727/3 month USD-LIBOR-BBA/Jan-55 (Purchased)Jan-25/1.727 1,847,900(169,452)(73,768)
-0.197/6 month EUR-EURIBOR-Reuters/Jun-25 (Purchased)Jun-23/-0.197EUR21,762,600(96,687)(77,370)
1.769/SOFR/May-32 (Purchased)May-22/1.769 $8,032,900(124,430)(124,430)
(0.26)/6 month EUR-EURIBOR-Reuters/Jun-28 (Written)Jun-26/0.26EUR21,762,600242,691126,731
(0.555)/6 month EUR-EURIBOR-Reuters/Mar-40 (Written)Mar-30/0.555EUR2,772,400418,666116,727
(1.71)/3 month USD-LIBOR-BBA/Dec-56 (Written)Dec-26/1.71 $1,536,800208,08387,137
1.71/3 month USD-LIBOR-BBA/Dec-56 (Written)Dec-26/1.71 1,536,800208,083(156,262)
0.555/6 month EUR-EURIBOR-Reuters/Mar-40 (Written)Mar-30/0.555EUR2,772,400418,666(234,886)
0.26/6 month EUR-EURIBOR-Reuters/Jun-28 (Written)Jun-26/0.26EUR21,762,600242,691(545,722)
2.41/3 month USD-LIBOR-BBA/Aug-33 (Written)Aug-23/2.41 $10,720,000156,512(612,862)
2.07/3 month USD-LIBOR-BBA/Aug-33 (Written)Aug-23/2.07 8,910,200184,441(641,089)
JPMorgan Chase Bank N.A.
(1.805)/3 month USD-LIBOR-BBA/Dec-36 (Purchased)Dec-26/1.805 5,151,200(305,466)321,898
(1.445)/6 month AUD-BBR-BBSW/Mar-40 (Purchased)Mar-30/1.445AUD3,080,500(115,473)219,655
(1.441)/6 month AUD-BBR-BBSW/Jul-45 (Purchased)Jul-25/1.441AUD1,475,600(87,270)204,388
(1.692)/6 month AUD-BBR-BBSW/Jan-35 (Purchased)Jan-25/1.692AUD2,049,600(63,945)181,163


Fixed Income Absolute Return Fund 49



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
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)
JPMorgan Chase Bank N.A. cont.
(2.032)/3 month USD-LIBOR-BBA/Jan-55 (Purchased)Jan-25/2.032 $2,348,200$(271,217)$168,836
(2.495)/6 month AUD-BBR-BBSW/Nov-46 (Purchased)Nov-26/2.495AUD2,708,400(168,430)164,495
(1.905)/SOFR/Jan-42 (Purchased)Jan-32/1.905 $3,402,800(248,404)121,072
(1.544)/SOFR/Jan-62 (Purchased)Jan-32/1.544 1,276,100(214,385)69,994
1.921/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased)Oct-28/1.921EUR1,621,600(207,376)65,024
2.50/3 month USD-LIBOR-BBA/Nov-39 (Purchased)Nov-29/2.50 $1,709,900(98,832)4,805
(2.50)/3 month USD-LIBOR-BBA/Nov-39 (Purchased)Nov-29/2.50 1,709,900(177,830)(6,173)
(2.902)/3 month USD-LIBOR-BBA/Nov-49 (Purchased)Nov-24/2.902 1,026,000(110,090)(14,282)
(1.921)/6 month EUR-EURIBOR-Reuters/Oct-48 (Purchased)Oct-28/1.921EUR1,621,600(207,376)(19,947)
2.902/3 month USD-LIBOR-BBA/Nov-49 (Purchased)Nov-24/2.902 $1,026,000(158,620)(32,853)
1.544/SOFR/Jan-62 (Purchased)Jan-32/1.544 1,276,100(214,385)(48,109)
1.905/SOFR/Jan-42 (Purchased)Jan-32/1.905 3,402,800(248,404)(48,524)
1.692/6 month AUD-BBR-BBSW/Jan-35 (Purchased)Jan-25/1.692AUD2,049,600(63,945)(54,885)
2.495/6 month AUD-BBR-BBSW/Nov-46 (Purchased)Nov-26/2.495AUD2,708,400(168,430)(69,216)
1.441/6 month AUD-BBR-BBSW/Jul-45 (Purchased)Jul-25/1.441AUD1,475,600(87,270)(72,856)
1.445/6 month AUD-BBR-BBSW/Mar-40 (Purchased)Mar-30/1.445AUD3,080,500(115,473)(77,963)
2.032/3 month USD-LIBOR-BBA/Jan-55 (Purchased)Jan-25/2.032 $2,348,200(271,217)(106,585)
1.805/3 month USD-LIBOR-BBA/Dec-36 (Purchased)Dec-26/1.805 5,151,200(305,466)(133,210)
(1.232)/3 month USD-LIBOR-BBA/Jun-37 (Written)Jun-27/1.232 4,169,500267,890160,317
(1.168)/3 month USD-LIBOR-BBA/Jun-37 (Written)Jun-27/1.168 3,594,800231,325141,563
(1.204)/3 month USD-LIBOR-BBA/Jun-40 (Written)Jun-30/1.204 3,306,200246,477127,652
(1.70)/SOFR/Jan-29 (Written)Jan-24/1.70 10,683,100227,951111,211
(2.50)/6 month AUD-BBR-BBSW/Nov-42 (Written)Nov-22/2.50AUD1,679,20060,61154,113
(2.317)/SOFR/Apr-42 (Written)Apr-32/2.317 $4,541,400384,65745,414
(1.81)/SOFR/Jan-37 (Written)Jan-27/1.81 1,876,300110,88936,213
2.317/SOFR/Apr-42 (Written)Apr-32/2.317 4,541,400384,657(42,689)
1.81/SOFR/Jan-37 (Written)Jan-27/1.81 1,876,300110,889(93,834)


50 Fixed Income Absolute Return Fund



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
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)
JPMorgan Chase Bank N.A. cont.
2.50/6 month AUD-BBR-BBSW/Nov-42 (Written)Nov-22/2.50AUD1,679,200$60,611$(138,125)
1.204/3 month USD-LIBOR-BBA/Jun-40 (Written)Jun-30/1.204 $3,306,200246,477(271,637)
1.168/3 month USD-LIBOR-BBA/Jun-37 (Written)Jun-27/1.168 3,594,800231,325(345,568)
1.232/3 month USD-LIBOR-BBA/Jun-37 (Written)Jun-27/1.232 4,169,500267,890(384,761)
1.70/SOFR/Jan-29 (Written)Jan-24/1.70 10,683,100227,951(396,129)
Morgan Stanley & Co. International PLC
3.27/3 month USD-LIBOR-BBA/Oct-53 (Purchased)Oct-23/3.27 1,569,900(179,126)79,814
2.505/3 month USD-LIBOR-BBA/Nov-49 (Purchased)Nov-24/2.505 1,026,000(110,398)(22,726)
(2.505)/3 month USD-LIBOR-BBA/Nov-49 (Purchased)Nov-24/2.505 1,026,000(157,183)(23,649)
(3.27)/3 month USD-LIBOR-BBA/Oct-53 (Purchased)Oct-23/3.27 1,569,900(179,126)(98,119)
(2.39)/3 month USD-LIBOR-BBA/Jun-34 (Written)Jun-24/2.39 12,167,200640,603252,104
(2.02)/SOFR/Mar-56 (Written)Mar-26/2.02 4,661,600611,835106,657
2.02/SOFR/Mar-56 (Written)Mar-26/2.02 4,661,600611,835(161,105)
2.39/3 month USD-LIBOR-BBA/Jun-34 (Written)Jun-24/2.39 12,167,200640,603(330,096)
Toronto-Dominion Bank
(1.50)/3 month USD-LIBOR-BBA/Feb-33 (Purchased)Feb-23/1.50 9,305,500(319,877)931,388
(1.937)/3 month USD-LIBOR-BBA/Feb-36 (Purchased)Feb-26/1.937 3,722,200(194,671)220,726
(2.405)/3 month USD-LIBOR-BBA/Mar-41 (Purchased)Mar-31/2.405 1,097,000(76,516)30,595
2.405/3 month USD-LIBOR-BBA/Mar-41 (Purchased)Mar-31/2.405 1,097,000(76,516)(7,745)
1.937/3 month USD-LIBOR-BBA/Feb-36 (Purchased)Feb-26/1.937 3,722,200(194,671)(75,784)
1.50/3 month USD-LIBOR-BBA/Feb-33 (Purchased)Feb-23/1.50 9,305,500(319,877)(294,612)
(2.095)/3 month USD-LIBOR-BBA/Feb-56 (Written)Feb-26/2.095 1,607,700211,41362,507
2.095/3 month USD-LIBOR-BBA/Feb-56 (Written)Feb-26/2.095 1,607,700211,413(88,761)
UBS AG
(0.271)/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased)Jan-26/0.271EUR5,959,500(311,690)789,581
(0.44)/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased)Feb-31/0.44EUR4,469,600(350,650)419,417


Fixed Income Absolute Return Fund 51



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
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)
UBS AG cont.
(0.8925)/3 month USD-LIBOR-BBA/Apr-28 (Purchased)Apr-23/0.8925 $4,373,100$(92,710)$349,848
(0.45)/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased)Jan-31/0.45EUR3,575,700(281,282)332,858
(1.715)/3 month USD-LIBOR-BBA/Feb-53 (Purchased)Feb-23/1.715 $1,861,100(167,964)244,139
(0.902)/3 month USD-LIBOR-BBA/Apr-35 (Purchased)Apr-25/0.902 1,749,300(97,873)212,522
(0.87)/3 month USD-LIBOR-BBA/Apr-28 (Purchased)Apr-27/0.87 14,577,100(98,323)202,476
(0.296)/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased)Jan-31/0.296EUR1,489,900(225,445)181,398
(0.90)/Sterling Overnight Index Average/Jan-40 (Purchased)Jan-30/0.90GBP2,928,000(276,378)153,568
(1.125)/6 month EUR-EURIBOR-Reuters/Apr-48 (Purchased)Apr-28/1.125EUR3,027,400(399,175)142,186
(0.983)/3 month USD-LIBOR-BBA/Apr-32 (Purchased)Apr-30/0.983 $5,830,900(92,420)134,519
(1.25)/6 month EUR-EURIBOR-Reuters/Apr-48 (Purchased)Apr-28/1.25EUR3,027,300(394,076)106,987
(0.4879)/Sterling Overnight Index Average/Aug-39 (Purchased)Aug-29/0.4879GBP1,253,600(129,210)90,671
(1.87)/3 month USD-LIBOR-BBA/Jul-46 (Purchased)Jul-41/1.87 $6,228,800(289,639)76,241
(2.00)/6 month AUD-BBR-BBSW/Sep-46 (Purchased)Sep-36/2.00AUD2,683,700(142,840)60,184
(1.325)/6 month EUR-EURIBOR-Reuters/Apr-49 (Purchased)Apr-29/1.325EUR3,027,100(419,688)57,099
(0.70)/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased)Mar-34/0.70EUR1,513,600(346,775)41,867
(0.70)/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased)Mar-34/0.70EUR1,513,600(351,844)37,748
(2.70)/6 month AUD-BBR-BBSW/Apr-47 (Purchased)Apr-37/2.70AUD2,119,200(128,674)5,959
2.70/6 month AUD-BBR-BBSW/Apr-47 (Purchased)Apr-37/2.70AUD2,119,200(128,674)(2,156)
1.87/3 month USD-LIBOR-BBA/Jul-46 (Purchased)Jul-41/1.87 $6,228,800(289,639)(13,454)
2.00/6 month AUD-BBR-BBSW/Sep-46 (Purchased)Sep-36/2.00AUD2,683,700(142,840)(25,503)
0.983/3 month USD-LIBOR-BBA/Apr-32 (Purchased)Apr-30/0.983 $5,830,900(92,420)(46,297)
0.87/3 month USD-LIBOR-BBA/Apr-28 (Purchased)Apr-27/0.87 14,577,100(98,323)(53,061)
0.70/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased)Mar-34/0.70EUR1,513,600(346,775)(57,196)


52 Fixed Income Absolute Return Fund



FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
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)
UBS AG cont.
0.4879/Sterling Overnight Index Average/Aug-39 (Purchased)Aug-29/0.4879GBP1,253,600$(129,210)$(60,862)
0.70/6 month EUR-EURIBOR-Reuters/Mar-64 (Purchased)Mar-34/0.70EUR1,513,600(351,844)(61,332)
1.325/6 month EUR-EURIBOR-Reuters/Apr-49 (Purchased)Apr-29/1.325EUR3,027,100(419,688)(66,934)
0.90/Sterling Overnight Index Average/Jan-40 (Purchased)Jan-30/0.90GBP2,928,000(276,378)(75,735)
0.902/3 month USD-LIBOR-BBA/Apr-35 (Purchased)Apr-25/0.902 $1,749,300(97,873)(75,745)
1.25/6 month EUR-EURIBOR-Reuters/Apr-48 (Purchased)Apr-28/1.25EUR3,027,300(394,076)(87,698)
0.8925/3 month USD-LIBOR-BBA/Apr-28 (Purchased)Apr-23/0.8925 $4,373,100(92,710)(88,205)
0.296/6 month EUR-EURIBOR-Reuters/Jan-51 (Purchased)Jan-31/0.296EUR1,489,900(225,445)(92,750)
1.125/6 month EUR-EURIBOR-Reuters/Apr-48 (Purchased)Apr-28/1.125EUR3,027,400(399,175)(115,965)
0.45/6 month EUR-EURIBOR-Reuters/Jan-41 (Purchased)Jan-31/0.45EUR3,575,700(281,282)(128,141)
1.715/3 month USD-LIBOR-BBA/Feb-53 (Purchased)Feb-23/1.715 $1,861,100(167,964)(144,756)
0.44/6 month EUR-EURIBOR-Reuters/Feb-41 (Purchased)Feb-31/0.44EUR4,469,600(350,650)(160,176)
0.271/6 month EUR-EURIBOR-Reuters/Jan-36 (Purchased)Jan-26/0.271EUR5,959,500(311,690)(201,246)
0.32/6 month EUR-EURIBOR-Reuters/Sep-52 (Purchased)Sep-22/0.32EUR5,367,400(326,255)(269,471)
(0.16)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written)Sep-22/0.16EUR5,367,400214,708175,872
(0.00)/6 month EUR-EURIBOR-Reuters/Sep-52 (Written)Sep-22/0.00EUR5,367,400139,179112,681
(0.958)/3 month USD-LIBOR-BBA/May-30 (Written)May-25/0.958 $3,498,50092,97364,162
(0.43)/6 month EUR-EURIBOR-Reuters/Aug-39 (Written)Aug-29/0.43EUR1,166,10093,48557,671
0.43/6 month EUR-EURIBOR-Reuters/Aug-39 (Written)Aug-29/0.43EUR1,166,10093,485(107,837)
0.958/3 month USD-LIBOR-BBA/May-30 (Written)May-25/0.958 $3,498,50092,973(229,467)
Wells Fargo Bank, N.A.
(1.405)/3 month USD-LIBOR-BBA/Feb-29 (Purchased)Feb-24/1.405 13,027,600(266,740)733,193
(1.3875)/3 month USD-LIBOR-BBA/Feb-29 (Purchased)Feb-24/1.3875 9,305,500(190,995)529,390
(2.16)/3 month USD-LIBOR-BBA/Feb-35 (Purchased)Feb-25/2.16 5,505,200(274,572)252,303


Fixed Income Absolute Return Fund 53




FORWARD PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
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)
Wells Fargo Bank, N.A. cont.
(1.96)/3 month USD-LIBOR-BBA/Jan-41 (Purchased)Jan-31/1.96 $5,047,000$(341,682)$244,729
(1.8225)/SOFR/Jan-42 (Purchased)Jan-32/1.8225 2,467,900(182,131)94,767
1.8225/SOFR/Jan-42 (Purchased)Jan-32/1.8225 2,467,900(182,131)(41,757)
1.96/3 month USD-LIBOR-BBA/Jan-41 (Purchased)Jan-31/1.96 5,047,000(341,682)(88,121)
2.16/3 month USD-LIBOR-BBA/Feb-35 (Purchased)Feb-25/2.16 5,505,200(274,572)(100,305)
1.3875/3 month USD-LIBOR-BBA/Feb-29 (Purchased)Feb-24/1.3875 9,305,500(190,995)(132,883)
1.405/3 month USD-LIBOR-BBA/Feb-29 (Purchased)Feb-24/1.405 13,027,600(266,740)(183,819)
(1.62)/SOFR/Jan-27 (Written)Jan-25/1.62 18,920,500208,12657,897
1.62/SOFR/Jan-27 (Written)Jan-25/1.62 18,920,500208,126(319,000)
Unrealized appreciation24,461,310
Unrealized (depreciation)(25,483,617)
Total$(1,022,307)

TBA SALE COMMITMENTS OUTSTANDING at 4/30/22 (proceeds receivable $348,856,191) (Unaudited)
AgencyPrincipal
amount
Settlement
date
Value
Uniform Mortgage-Backed Securities, 4.50%, 5/1/52$18,000,0005/12/22$18,312,196
Uniform Mortgage-Backed Securities, 4.00%, 6/1/5215,000,0006/13/2214,864,061
Uniform Mortgage-Backed Securities, 4.00%, 5/1/5280,000,0005/12/2279,528,120
Uniform Mortgage-Backed Securities, 3.50%, 6/1/5211,000,0006/13/2210,638,624
Uniform Mortgage-Backed Securities, 3.50%, 5/1/5255,000,0005/12/2253,328,468
Uniform Mortgage-Backed Securities, 3.00%, 5/1/5226,000,0005/12/2224,511,071
Uniform Mortgage-Backed Securities, 2.50%, 6/1/5247,000,0006/13/2242,792,024
Uniform Mortgage-Backed Securities, 2.50%, 5/1/5247,000,0005/12/2242,880,149
Uniform Mortgage-Backed Securities, 2.00%, 6/1/5226,000,0006/13/2222,883,458
Uniform Mortgage-Backed Securities, 2.00%, 5/1/5239,000,0005/12/2234,392,219
Total$344,130,390

CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited)
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
 $15,664,000$497,332$75712/23/230.695% — AnnuallySecured Overnight Financing Rate — Annually$465,925
 11,952,000870,9421,02712/23/261.085% — AnnuallySecured Overnight Financing Rate — Annually830,721


54 Fixed Income Absolute Return Fund



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
 $2,726,000$329,192$32912/23/311.285% — AnnuallySecured Overnight Financing Rate — Annually$318,160
 1,863,000402,259(3,317)12/23/51Secured Overnight Financing Rate — Annually1.437% — Annually(396,797)
 26,213,000831,476(2,667)12/24/230.697% — AnnuallySecured Overnight Financing Rate — Annually775,070
 2,921,000211,539(391)12/24/261.096% — AnnuallySecured Overnight Financing Rate — Annually201,019
 7,708,000931,049(3,441)12/24/311.285% — AnnuallySecured Overnight Financing Rate — Annually895,691
 10,761,0002,327,927(5,816)12/24/511.435% — AnnuallySecured Overnight Financing Rate — Annually2,271,787
 901,000178,173(147)12/31/511.525% — AnnuallySecured Overnight Financing Rate — Annually173,786
 3,179,000225,582(422)12/31/26Secured Overnight Financing Rate — Annually1.135% — Annually(215,172)
 834,00095,93515,01812/31/31Secured Overnight Financing Rate — Annually1.355% — Annually(77,852)
 29,505,0001,797,740505,5531/12/27Secured Overnight Financing Rate — Annually1.372% — Annually(1,212,601)
 987,20034,285 E(22)1/15/471.724% — AnnuallySecured Overnight Financing Rate — Annually34,263
 3,763,000624,583(128)1/21/521.679% — AnnuallySecured Overnight Financing Rate — Annually608,254


Fixed Income Absolute Return Fund 55



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
 $3,135,000$554,707$(107)1/19/52Secured Overnight Financing Rate — Annually1.626% — Annually$(541,520)
 1,797,000307,377(61)2/1/521.6545% — AnnuallySecured Overnight Financing Rate — Annually300,598
 14,525,000936,136(3,533)2/15/29Secured Overnight Financing Rate — Annually1.681% — Annually(893,709)
 5,673,300728,792(193)2/24/52Secured Overnight Financing Rate — Annually1.86% — Annually(711,306)
 2,443,000360,685(83)2/29/521.7674% — AnnuallySecured Overnight Financing Rate — Annually353,913
 2,297,000189,732(31)2/29/32Secured Overnight Financing Rate — Annually1.75% — Annually(183,543)
 18,881,000916,861(153)2/28/271.675% — AnnuallySecured Overnight Financing Rate — Annually868,149
 27,752,000607,491(105)2/29/24Secured Overnight Financing Rate — Annually1.47709% — Annually(544,662)
 9,670,000593,255(111)3/1/29Secured Overnight Financing Rate — Annually1.7355% — Annually(567,637)
 2,852,100252,525(38)3/7/323 month USD-LIBOR-BBA — Quarterly1.9575% — Semiannually(246,729)
 10,291,3001,032,835(136)3/9/321.5475% — AnnuallySecured Overnight Financing Rate — Annually1,011,837
 10,670,7001,076,460(141)3/9/321.5415% — AnnuallySecured Overnight Financing Rate — Annually1,054,919
 5,625,000472,500(75)3/11/321.737% — AnnuallySecured Overnight Financing Rate — Annually460,026


56 Fixed Income Absolute Return Fund



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
 $6,432,000$547,042 E$174,3166/15/32Secured Overnight Financing Rate — Annually1.762% — Annually$(372,726)
 27,640,0001,271,993594,7963/21/29Secured Overnight Financing Rate — Annually1.986% — Annually(647,149)
 28,680,000602,567 E(416,688)6/15/241.80% — AnnuallySecured Overnight Financing Rate — Annually185,879
 123,922,0005,460,003 E(2,904,134)6/15/271.85% — AnnuallySecured Overnight Financing Rate — Annually2,555,869
 53,520,0003,673,613 E1,418,8196/15/32Secured Overnight Financing Rate — Annually1.95% — Annually(2,254,793)
 9,304,000839,221 E144,1456/15/52Secured Overnight Financing Rate — Annually2.05% — Annually(695,076)
 8,312,500319,200(110)3/30/322.2655% — AnnuallySecured Overnight Financing Rate — Annually304,412
 8,312,500323,190(110)3/30/322.26% — AnnuallySecured Overnight Financing Rate — Annually308,429
 6,234,000112,461(50)3/30/272.3535% — AnnuallySecured Overnight Financing Rate — Annually100,916
 17,855,600636,374(237)4/7/322.298% — AnnuallySecured Overnight Financing Rate — Annually612,051
 4,700,50088,510(38)3/31/27Secured Overnight Financing Rate — Annually2.3365% — Annually(80,221)
 19,000,000144,020(72)3/31/242.307% — AnnuallySecured Overnight Financing Rate — Annually110,737


Fixed Income Absolute Return Fund 57



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
 $12,610,000$265,567$(102)3/31/27Secured Overnight Financing Rate — Annually2.288% — Annually$(243,833)
 8,713,000200,050(70)4/1/272.247% — AnnuallySecured Overnight Financing Rate — Annually185,759
 7,329,000377,297(97)4/4/322.116% — AnnuallySecured Overnight Financing Rate — Annually367,094
 485,0004,321(2)4/4/24Secured Overnight Financing Rate — Annually2.243% — Annually(3,607)
 620,00032,916(8)4/4/32Secured Overnight Financing Rate — Annually2.0975% — Annually(32,077)
 9,690,000187,598(78)4/6/272.326% — AnnuallySecured Overnight Financing Rate — Annually173,768
 12,594,000220,269(102)4/7/27Secured Overnight Financing Rate — Annually2.3665% — Annually(202,811)
 1,963,0009,952(7)4/7/242.45% — AnnuallySecured Overnight Financing Rate — Annually7,099
 4,130,00052,658(33)4/7/272.469% — AnnuallySecured Overnight Financing Rate — Annually46,602
 826,00027,101(11)4/7/232.3305% — AnnuallySecured Overnight Financing Rate — Annually25,962
 2,738,000214,577(93)4/7/52Secured Overnight Financing Rate — Annually2.1005% — Annually(211,351)
 5,319,000141,645(71)4/8/32Secured Overnight Financing Rate — Annually2.4015% — Annually(134,553)


58 Fixed Income Absolute Return Fund



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
 $9,025,000$94,672$(73)4/12/272.518% — AnnuallySecured Overnight Financing Rate — Annually$83,924
 7,416,000136,529(98)4/14/32Secured Overnight Financing Rate — Annually2.496% — Annually(128,821)
 294,0005,374(4)4/14/322.4975% — AnnuallySecured Overnight Financing Rate — Annually5,063
 5,741,000164,307(196)4/14/52Secured Overnight Financing Rate — Annually2.3395% — Annually(158,886)
 7,704,00093,372(62)4/14/272.483% — AnnuallySecured Overnight Financing Rate — Annually85,274
 11,653,00070,384(44)4/14/242.405% — AnnuallySecured Overnight Financing Rate — Annually58,579
 5,333,00010,079(71)4/21/322.7285% — AnnuallySecured Overnight Financing Rate — Annually(13,826)
 14,282,00046,988(116)4/22/27Secured Overnight Financing Rate — Annually2.673% — Annually(38,547)
 20,689,00060,205(195)5/2/27Secured Overnight Financing Rate — Annually2.685% — Annually(60,400)
 17,145,90026,748(227)4/26/322.689% — AnnuallySecured Overnight Financing Rate — Annually20,636
 3,240,000162(26)4/25/272.7445% — AnnuallySecured Overnight Financing Rate — Annually(1,548)
 116,000414/26/242.743% — AnnuallySecured Overnight Financing Rate — Annually(82)


Fixed Income Absolute Return Fund 59



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
 $141,000$300$(2)4/26/32Secured Overnight Financing Rate — Annually2.6825% — Annually$(254)
 3,028,00041,060(40)4/27/32Secured Overnight Financing Rate — Annually2.552% — Annually(40,309)
 3,441,00011,665(13)4/28/242.553% — AnnuallySecured Overnight Financing Rate — Annually10,998
 923,00012,922(12)4/28/32Secured Overnight Financing Rate — Annually2.547% — Annually(12,759)
AUD117,10013,497 E(1)1/30/351.692% — Semiannually6 month AUD-BBR-BBSW — Semiannually13,496
AUD394,20050,062 E(4)3/5/351.47% — Semiannually6 month AUD-BBR-BBSW — Semiannually50,058
AUD146,40019,101 E(1)3/25/351.4025% — Semiannually6 month AUD-BBR-BBSW — Semiannually19,100
AUD246,40025,186 E(3)3/28/401.445% — Semiannually6 month AUD-BBR-BBSW — Semiannually25,183
AUD910,700104,690 E(11)4/1/401.1685% — Semiannually6 month AUD-BBR-BBSW — Semiannually104,679
AUD59,00011,535 E(1)7/2/451.441% — Semiannually6 month AUD-BBR-BBSW — Semiannually11,533
AUD2,800,000259,103(31)4/6/316 month AUD-BBR-BBSW — Semiannually1.87% — Semiannually(257,744)
AUD2,668,000157,366 E(101,335)6/15/322.67% — Semiannually6 month AUD-BBR-BBSW — Semiannually56,031
CAD5,564,000393,311 E(160,152)6/15/322.325% — Semiannually3 month CAD-BA-CDOR — Semiannually233,159
CHF4,200,000305,863 E139,8566/15/32Swiss Average Rate Overnight — Annually0.565% — Annually(166,007)
EUR757,00030,474 E(29)11/29/581.484% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually(30,503)


60 Fixed Income Absolute Return Fund



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
EUR1,029,500$46,277$(40)2/19/506 month EUR-EURIBOR-REUTERS — Semiannually1.354% — Annually$(42,310)
EUR1,137,00074,320(43)3/11/501.267% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually71,351
EUR1,150,60090,345(44)3/12/501.2115% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually87,604
EUR1,295,500131,899(50)3/26/501.113% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually129,888
EUR1,120,2008,721 E(42)11/29/586 month EUR-EURIBOR-REUTERS — Semiannually1.343% — Annually8,679
EUR1,336,000156,262(50)2/19/501.051% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually151,873
EUR1,095,100114,395 E(42)6/7/541.054% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually114,353
EUR999,500151,942(38)2/19/500.9035% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually148,973
EUR531,60093,880(20)2/21/500.80% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually92,419
EUR2,146,300516,631 E(82)8/8/540.49% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually516,550
EUR1,338,400417,922 E(50)6/6/546 month EUR-EURIBOR-REUTERS — Semiannually0.207% — Annually(417,972)
EUR1,741,600542,261(66)2/19/500.233% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually539,581


Fixed Income Absolute Return Fund 61



CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
EUR7,327,800$1,651,150$(277)2/19/506 month EUR-EURIBOR-REUTERS — Semiannually0.595% — Annually$(1,634,764)
EUR835,200278,725 E(31)3/4/540.134% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually278,694
EUR371,500156,899 E(14)3/13/540.2275% plus 6 month EUR-EURIBOR-REUTERS — Semiannually156,884
EUR2,672,400394,018 E(57)5/13/406 month EUR-EURIBOR-REUTERS — Semiannually0.276% — Annually(394,075)
EUR1,304,300186,678 E(28)6/24/400.315% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually186,650
EUR1,668,900244,689 E(39)1/16/400.315% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually244,650
EUR616,10089,271 E(14)3/28/400.3175% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually89,257
EUR1,486,800364,331(61)5/21/516 month EUR-EURIBOR-REUTERS — Semiannually0.516% — Annually(352,126)
EUR1,439,000196,849(25)6/14/310.171% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually191,004
EUR1,449,200213,762(25)7/15/310.0675% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually210,372
EUR402,600114,764 E(16)9/14/526 month EUR-EURIBOR-REUTERS — Semiannually0.374% — Annually(114,781)
EUR4,360,000470,675(70)3/7/326 month EUR-EURIBOR-REUTERS — Semiannually0.60% — Annually(462,944)


62 Fixed Income Absolute Return Fund




CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 4/30/22 (Unaudited) cont.
Notional amountValueUpfront
premium
received
(paid)
Termination
date
Payments
made by fund
Payments
received by fund
Unrealized
appreciation/
(depreciation)
EUR882,000$73,237 E$(45,263)6/15/320.915% — Annually6 month EUR-EURIBOR-REUTERS — Semiannually$27,974
GBP1,039,300128,570(21)5/19/31Sterling Overnight Index Average — Annually0.754% — Annually(120,382)
GBP21,441,200348,070 E(110)9/15/231.065% — AnnuallySterling Overnight Index Average — Annually347,959
GBP532,00029,909 E23,9806/15/32Sterling Overnight Index Average — Annually1.455% — Annually(5,928)
JPY49,318,8003,470 E(14)8/29/430.8084% — SemiannuallyBank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually(3,484)
JPY66,881,60049,455 E(19)8/29/430.2529% — SemiannuallyBank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually49,435
JPY176,833,30033,193(26)2/25/310.0619% — SemiannuallyBank of Japan Unsecured Overnight Call Rate Expected Index — Semiannually30,688
JPY121,551,80074,041 E(35)8/29/43Bank of Japan Unsecured Overnight Call Rate Expected Index — Annually0.343% — Annually(74,076)
NOK17,328,00099,597 E104,7986/15/326 month NOK-NIBOR-NIBR — Semiannually2.355% — Annually5,201
NZD2,969,000133,600 E(2,173)6/15/323.10% — Semiannually3 month NZD-BBR-FRA — Quarterly131,427
SEK42,444,000345,277 E(189,459)6/15/321.497% — Annually3 month SEK-STIBOR-SIDE — Quarterly155,817
Total$(720,928)$5,351,438
E Extended effective date.


Fixed Income Absolute Return Fund 63



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited)
Swap counterparty/
Referenced debt*
Rating***Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Bank of America N.A.
CMBX NA BBB−.6 IndexB+/P$11,962 $164,221$39,7585/11/63300 bp — Monthly$(27,714)
CMBX NA BBB−.6 IndexB+/P22,719 353,78085,6505/11/63300 bp — Monthly(62,754)
CMBX NA BBB−.6 IndexB+/P46,609 708,498171,5275/11/63300 bp — Monthly(124,564)
CMBX NA BBB−.6 IndexB+/P44,403 731,020176,9805/11/63300 bp — Monthly(132,211)
Citigroup Global Markets, Inc.
CMBX NA A.6 IndexBBB+/P3,274 23,7602,1555/11/63200 bp — Monthly1,127
CMBX NA A.6 IndexBBB+/P3,878 29,0402,6345/11/63200 bp — Monthly1,253
CMBX NA A.6 IndexBBB+/P5,828 36,9603,3525/11/63200 bp — Monthly2,488
CMBX NA A.6 IndexBBB+/P8,016 46,6404,2305/11/63200 bp — Monthly3,802
CMBX NA A.6 IndexBBB+/P8,498 62,4805,6675/11/63200 bp — Monthly2,852
CMBX NA A.6 IndexBBB+/P9,789 72,1606,5455/11/63200 bp — Monthly3,268
CMBX NA A.6 IndexBBB+/P13,772 99,4409,0195/11/63200 bp — Monthly4,786
CMBX NA A.6 IndexBBB+/P16,700 124,08011,2545/11/63200 bp — Monthly5,487
CMBX NA A.6 IndexBBB+/P16,832 124,08011,2545/11/63200 bp — Monthly5,619
CMBX NA A.6 IndexBBB+/P28,780 213,84019,3955/11/63200 bp — Monthly9,456
CMBX NA A.6 IndexBBB+/P31,313 231,44020,9925/11/63200 bp — Monthly10,399
CMBX NA A.6 IndexBBB+/P35,932 264,88024,0255/11/63200 bp — Monthly11,996
CMBX NA BB.11 IndexBB−/P203,965 361,00047,76011/18/54500 bp — Monthly156,506
CMBX NA BB.13 IndexBB−/P4,099 41,0006,50712/16/72500 bp — Monthly(2,374)
CMBX NA BB.13 IndexBB−/P14,062 149,00023,64612/16/72500 bp — Monthly(9,460)
CMBX NA BB.13 IndexBB−/P24,693 271,00043,00812/16/72500 bp — Monthly(18,088)
CMBX NA BB.13 IndexBB−/P102,843 1,128,000179,01412/16/72500 bp — Monthly(75,230)
CMBX NA BB.14 IndexBB/P15,130 138,00018,11912/16/72500 bp — Monthly(2,874)
CMBX NA BB.6 IndexCCC+/P154,927 993,600410,6555/11/63500 bp — Monthly(254,900)


64 Fixed Income Absolute Return Fund



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating***Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BB.7 IndexB/P$50,574 $991,000$307,9041/17/47500 bp — Monthly$(256,504)
CMBX NA BB.9 IndexB/P2,036 10,0002,5219/17/58500 bp — Monthly(477)
CMBX NA BB.9 IndexB/P34,922 171,00043,1099/17/58500 bp — Monthly(8,045)
CMBX NA BBB−.10 IndexBB+/P$15,634 $126,000$15,88911/17/59300 bp — Monthly$(191)
CMBX NA BBB−.10 IndexBB+/P23,891 219,00027,61611/17/59300 bp — Monthly(3,615)
CMBX NA BBB−.11 IndexBBB−/P22,737 363,00039,93011/18/54300 bp — Monthly(17,011)
CMBX NA BBB−.12 IndexBBB−/P2,919 70,0008,6178/17/61300 bp — Monthly(5,663)
CMBX NA BBB−.12 IndexBBB−/P9,075 154,00018,9578/17/61300 bp — Monthly(9,805)
CMBX NA BBB−.12 IndexBBB−/P93,051 587,00072,2608/17/61300 bp — Monthly21,085
CMBX NA BBB−.13 IndexBBB−/P3,709 73,0009,86212/16/72300 bp — Monthly(6,116)
CMBX NA BBB−.14 IndexBBB−/P1,880 38,0005,30112/16/72300 bp — Monthly(3,402)
CMBX NA BBB−.14 IndexBBB−/P1,821 56,0007,81212/16/72300 bp — Monthly(5,963)
CMBX NA BBB−.14 IndexBBB−/P2,973 91,00012,69512/16/72300 bp — Monthly(9,676)
CMBX NA BBB−.14 IndexBBB−/P5,850 117,00016,32212/16/72300 bp — Monthly(10,413)
CMBX NA BBB−.14 IndexBBB−/P8,708 191,00026,64512/16/72300 bp — Monthly(17,841)
CMBX NA BBB−.15 IndexBBB−/P10,237 98,00014,12211/18/64300 bp — Monthly(3,836)
CMBX NA BBB−.6 IndexB+/P103,635 396,94796,1015/11/63300 bp — Monthly7,733
CMBX NA BBB−.6 IndexB+/P62,787 925,270224,0085/11/63300 bp — Monthly(160,758)
Credit Suisse International
CMBX NA BB.7 IndexB/P27,822 208,00064,6261/17/47500 bp — Monthly(36,630)
CMBX NA BBB−.6 IndexB+/P663 5,6301,3635/11/63300 bp — Monthly(660)
CMBX NA BBB−.7 IndexBB−/P139,477 1,887,000342,4911/17/47300 bp — Monthly(202,070)


Fixed Income Absolute Return Fund 65



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating***Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International
CMBX NA A.13 IndexA-/P$(1,723) $325,000$6,14312/16/72200 bp — Monthly$(7,757)
CMBX NA BB.9 IndexB/P58,634 145,00036,5559/17/58500 bp — Monthly22,201
CMBX NA BBB−.13 IndexBBB−/P296 5,00067612/16/72300 bp — Monthly(377)
CMBX NA BBB−.13 IndexBBB−/P16,780 106,00014,32112/16/72300 bp — Monthly2,512
CMBX NA BBB−.13 IndexBBB−/P18,648 119,00016,07712/16/72300 bp — Monthly2,631
CMBX NA BBB−.13 IndexBBB−/P7,982 127,00017,15812/16/72300 bp — Monthly(9,112)
CMBX NA BBB−.13 IndexBBB−/P28,946 171,00023,10212/16/72300 bp — Monthly5,930
CMBX NA BBB−.14 IndexBBB−/P89 2,00027912/16/72300 bp — Monthly(189)
CMBX NA BBB−.14 IndexBBB−/P237 5,00069812/16/72300 bp — Monthly(458)
CMBX NA BBB−.14 IndexBBB−/P233 5,00069812/16/72300 bp — Monthly(462)
CMBX NA BBB−.14 IndexBBB−/P1,326 35,0004,88312/16/72300 bp — Monthly(3,539)
CMBX NA BBB−.15 IndexBBB−/P9,319 150,00021,61511/18/64300 bp — Monthly(12,221)
CMBX NA BBB−.15 IndexBBB−/P15,760 177,00025,50611/18/64300 bp — Monthly(9,657)
CMBX NA BBB−.15 IndexBBB−/P16,361 177,00025,50611/18/64300 bp — Monthly(9,057)
CMBX NA BBB−.6 IndexB+/P817 5,6301,3635/11/63300 bp — Monthly(543)
CMBX NA BBB−.6 IndexB+/P855 5,6301,3635/11/63300 bp — Monthly(506)
CMBX NA BBB−.6 IndexB+/P3,559 12,1992,9535/11/63300 bp — Monthly611
CMBX NA BBB−.6 IndexB+/P1,785 15,0153,6355/11/63300 bp — Monthly(1,842)
CMBX NA BBB−.6 IndexB+/P1,721 30,9677,4975/11/63300 bp — Monthly(5,760)
CMBX NA BBB−.6 IndexB+/P7,058 45,04410,9055/11/63300 bp — Monthly(3,824)
CMBX NA BBB−.6 IndexB+/P4,864 62,87315,2225/11/63300 bp — Monthly(10,326)
CMBX NA BBB−.6 IndexB+/P4,864 62,87315,2225/11/63300 bp — Monthly(10,326)
CMBX NA BBB−.6 IndexB+/P3,677 71,31917,2665/11/63300 bp — Monthly(13,554)


66 Fixed Income Absolute Return Fund



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating***Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
CMBX NA BBB−.6 IndexB+/P$8,832 $71,319$17,2665/11/63300 bp — Monthly$(8,398)
CMBX NA BBB−.6 IndexB+/P11,605 72,25717,4945/11/63300 bp — Monthly(5,853)
CMBX NA BBB−.6 IndexB+/P11,832 100,41024,3095/11/63300 bp — Monthly(12,427)
CMBX NA BBB−.6 IndexB+/P6,839 125,27730,3305/11/63300 bp — Monthly(23,428)
CMBX NA BBB−.6 IndexB+/P16,684 302,16773,1555/11/63300 bp — Monthly(56,319)
CMBX NA BBB−.6 IndexB+/P99,711 814,538197,2005/11/63300 bp — Monthly(97,081)
CMBX NA BBB−.6 IndexB+/P182,495 1,444,210349,6435/11/63300 bp — Monthly(166,426)
JPMorgan Securities LLC
CMBX NA A.14 IndexA-/P(829) 141,0002,42512/16/72200 bp — Monthly(3,208)
CMBX NA BB.10 IndexB+/P10,591 132,00038,5975/11/63500 bp — Monthly(27,895)
CMBX NA BB.6 IndexCCC+/P167,824 299,920123,9575/11/63500 bp — Monthly44,117
CMBX NA BB.7 IndexB/P272,738 557,000173,0601/17/47500 bp — Monthly100,142
CMBX NA BBB−.11 IndexBBB−/P2,800 51,0005,61011/18/54300 bp — Monthly(2,784)
CMBX NA BBB−.12 IndexBBB−/P323 6,0007398/17/61300 bp — Monthly(413)
CMBX NA BBB−.13 IndexBBB−/P629 4,00054012/16/72300 bp — Monthly91
CMBX NA BBB−.14 IndexBBB−/P11,382 184,00025,66812/16/72300 bp — Monthly(14,194)
Merrill Lynch International
CMBX NA A.6 IndexBBB+/P(4,240) 224,40020,3535/11/63200 bp — Monthly(24,518)
Morgan Stanley & Co. International PLC
CMBX NA A.13 IndexA-/P(67) 8,00015112/16/72200 bp — Monthly(215)
CMBX NA A.13 IndexA-/P(1,128) 188,0003,55312/16/72200 bp — Monthly(4,618)
CMBX NA A.13 IndexA-/P(9,648) 647,00012,22812/16/72200 bp — Monthly(21,660)
CMBX NA A.14 IndexA-/P(1,106) 83,0001,42812/16/72200 bp — Monthly(2,506)
CMBX NA A.14 IndexA-/P(1,133) 90,0001,54812/16/72200 bp — Monthly(2,651)
CMBX NA A.14 IndexA-/P(1,068) 96,0001,65112/16/72200 bp — Monthly(2,688)


Fixed Income Absolute Return Fund 67



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating***Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA A.14 IndexA-/P$(729) $124,000$2,13312/16/72200 bp — Monthly$(2,821)
CMBX NA A.14 IndexA-/P(2,566) 173,0002,97612/16/72200 bp — Monthly(5,484)
CMBX NA A.14 IndexA-/P(2,696) 173,0002,97612/16/72200 bp — Monthly(5,614)
CMBX NA A.14 IndexA-/P(2,696) 173,0002,97612/16/72200 bp — Monthly(5,614)
CMBX NA A.14 IndexA-/P(2,604) 207,0003,56012/16/72200 bp — Monthly(6,095)
CMBX NA A.14 IndexA-/P(3,648) 259,0004,45512/16/72200 bp — Monthly(8,017)
CMBX NA A.6 IndexBBB+/P8,076 80,0807,2635/11/63200 bp — Monthly840
CMBX NA A.7 IndexBBB+/P199 41,0001,9021/17/47200 bp — Monthly(1,690)
CMBX NA A.7 IndexBBB+/P(96) 99,0004,5941/17/47200 bp — Monthly(4,656)
CMBX NA BB.11 IndexBB−/P4,232 50,0006,61511/18/54500 bp — Monthly(2,341)
CMBX NA BB.13 IndexBB−/P3,325 36,0005,71312/16/72500 bp — Monthly(2,358)
CMBX NA BB.13 IndexBB−/P4,401 47,0007,45912/16/72500 bp — Monthly(3,019)
CMBX NA BB.13 IndexBB−/P6,237 68,00010,79212/16/72500 bp — Monthly(4,498)
CMBX NA BB.13 IndexBB−/P10,770 112,00017,77412/16/72500 bp — Monthly(6,911)
CMBX NA BB.13 IndexBB−/P11,626 125,00019,83812/16/72500 bp — Monthly(8,107)
CMBX NA BB.13 IndexBB−/P22,127 241,00038,24712/16/72500 bp — Monthly(15,919)
CMBX NA BB.6 IndexCCC+/P47,886 179,40074,1465/11/63500 bp — Monthly(26,110)
CMBX NA BB.6 IndexCCC+/P96,100 358,800148,2925/11/63500 bp — Monthly(51,893)
CMBX NA BBB−.12 IndexBBB−/P3,713 63,0007,7558/17/61300 bp — Monthly(4,011)
CMBX NA BBB−.12 IndexBBB−/P11,764 274,00033,7298/17/61300 bp — Monthly(21,828)
CMBX NA BBB−.14 IndexBBB−/P3,856 79,00011,02112/16/72300 bp — Monthly(7,125)
CMBX NA BBB−.14 IndexBBB−/P1,776 117,00016,32212/16/72300 bp — Monthly(14,487)
CMBX NA BBB−.14 IndexBBB−/P5,937 120,00016,74012/16/72300 bp — Monthly(10,743)


68 Fixed Income Absolute Return Fund




OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Rating***Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
received
by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BBB−.14 IndexBBB−/P$5,906 $121,000$16,88012/16/72300 bp — Monthly$(10,913)
CMBX NA BBB−.14 IndexBBB−/P8,880 146,00020,36712/16/72300 bp — Monthly(11,414)
CMBX NA BBB−.15 IndexBBB−/P8,179 145,00020,89511/18/64300 bp — Monthly(12,643)
CMBX NA BBB−.7 IndexBB−/P6,261 92,00016,6981/17/47300 bp — Monthly(10,801)
CMBX NA BBB−.7 IndexBB−/P9,516 143,00025,9551/17/47300 bp — Monthly(16,308)
CMBX NA BBB−.9 IndexBB+/P300 3,0003609/17/58300 bp — Monthly(70)
Upfront premium received2,741,588Unrealized appreciation426,932
Upfront premium (paid)(35,977)Unrealized (depreciation)(2,327,127)
Total$2,705,611Total$(1,900,195)
* 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 April 30, 2022. 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 4/30/22 (Unaudited)
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc.
CMBX NA A.7 Index $(1,038) $140,000$6,4961/17/47(200 bp) — Monthly$5,411
CMBX NA BB.10 Index (84,868) 352,000102,92511/17/59(500 bp) — Monthly17,764
CMBX NA BB.10 Index (77,265) 303,00088,59711/17/59(500 bp) — Monthly11,080
CMBX NA BB.10 Index (13,254) 127,00037,13511/17/59(500 bp) — Monthly23,775
CMBX NA BB.10 Index (11,403) 104,00030,41011/17/59(500 bp) — Monthly18,920
CMBX NA BB.11 Index (8,181) 119,00015,74411/18/54(500 bp) — Monthly7,464
CMBX NA BB.11 Index (8,376) 116,00015,34711/18/54(500 bp) — Monthly6,874
CMBX NA BB.11 Index (3,775) 74,0009,79011/18/54(500 bp) — Monthly5,954
CMBX NA BB.11 Index (3,839) 74,0009,79011/18/54(500 bp) — Monthly5,890


Fixed Income Absolute Return Fund 69



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BB.8 Index $(105,710) $295,692$102,75310/17/57(500 bp) — Monthly$(3,203)
CMBX NA BB.8 Index (29,923) 232,88180,92610/17/57(500 bp) — Monthly50,809
CMBX NA BB.8 Index (46,859) 131,41945,66810/17/57(500 bp) — Monthly(1,301)
CMBX NA BB.9 Index (605) 15,0003,7829/17/58(500 bp) — Monthly3,164
CMBX NA BBB−.10 Index (128,609) 748,00094,32311/17/59(300 bp) — Monthly(34,660)
CMBX NA BBB−.10 Index (33,154) 271,00034,17311/17/59(300 bp) — Monthly884
CMBX NA BBB−.10 Index (50,836) 219,00027,61611/17/59(300 bp) — Monthly(23,330)
CMBX NA BBB−.10 Index (36,025) 151,00019,04111/17/59(300 bp) — Monthly(17,059)
CMBX NA BBB−.10 Index (27,941) 128,00016,14111/17/59(300 bp) — Monthly(11,864)
CMBX NA BBB−.10 Index (22,416) 103,00012,98811/17/59(300 bp) — Monthly(9,479)
CMBX NA BBB−.10 Index (25,919) 87,00010,97111/17/59(300 bp) — Monthly(14,992)
CMBX NA BBB−.10 Index (6,884) 54,0006,80911/17/59(300 bp) — Monthly(101)
CMBX NA BBB−.10 Index (11,811) 48,0006,05311/17/59(300 bp) — Monthly(5,782)
CMBX NA BBB−.10 Index (5,991) 47,0005,92711/17/59(300 bp) — Monthly(88)
CMBX NA BBB−.11 Index (18,545) 126,00013,86011/18/54(300 bp) — Monthly(4,748)
CMBX NA BBB−.11 Index (37,724) 115,00012,65011/18/54(300 bp) — Monthly(25,132)
CMBX NA BBB−.11 Index (16,668) 52,0005,72011/18/54(300 bp) — Monthly(10,974)
CMBX NA BBB−.11 Index (5,740) 39,0004,29011/18/54(300 bp) — Monthly(1,470)
CMBX NA BBB−.12 Index (96,979) 279,00034,3458/17/61(300 bp) — Monthly(62,773)
CMBX NA BBB−.12 Index (17,830) 259,00031,8838/17/61(300 bp) — Monthly13,923
CMBX NA BBB−.12 Index (62,518) 183,00022,5278/17/61(300 bp) — Monthly(40,082)
CMBX NA BBB−.12 Index (21,090) 60,0007,3868/17/61(300 bp) — Monthly(13,734)
CMBX NA BBB−.12 Index (18,378) 55,0006,7718/17/61(300 bp) — Monthly(11,635)


70 Fixed Income Absolute Return Fund



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Citigroup Global Markets, Inc. cont.
CMBX NA BBB−.12 Index $(8,458) $24,000$2,9548/17/61(300 bp) — Monthly$(5,516)
CMBX NA BBB−.13 Index (5,532) 73,0009,86212/16/72(300 bp) — Monthly4,294
CMBX NA BBB−.13 Index (2,824) 56,0007,56612/16/72(300 bp) — Monthly4,714
CMBX NA BBB−.13 Index (2,852) 56,0007,56612/16/72(300 bp) — Monthly4,686
CMBX NA BBB−.8 Index (56,811) 363,00047,58910/17/57(300 bp) — Monthly(9,403)
CMBX NA BBB−.8 Index (34,965) 252,00033,03710/17/57(300 bp) — Monthly(2,054)
CMBX NA BBB−.8 Index (32,749) 246,00032,25110/17/57(300 bp) — Monthly(621)
CMBX NA BBB−.8 Index (24,658) 156,00020,45210/17/57(300 bp) — Monthly(4,285)
CMBX NA BBB−.8 Index (24,756) 156,00020,45210/17/57(300 bp) — Monthly(4,382)
CMBX NA BBB−.8 Index (24,063) 154,00020,18910/17/57(300 bp) — Monthly(3,950)
CMBX NA BBB−.8 Index (17,483) 126,00016,51910/17/57(300 bp) — Monthly(1,027)
CMBX NA BBB−.8 Index (15,171) 106,00013,89710/17/57(300 bp) — Monthly(1,328)
CMBX NA BBB−.9 Index (1,656) 7,0008409/17/58(300 bp) — Monthly(820)
Credit Suisse International
CMBX NA BB.10 Index (35,090) 263,00076,90111/17/59(500 bp) — Monthly41,592
CMBX NA BB.10 Index (31,275) 263,00076,90111/17/59(500 bp) — Monthly45,407
CMBX NA BB.10 Index (17,278) 139,00040,64411/17/59(500 bp) — Monthly23,250
CMBX NA BB.7 Index (31,365) 1,634,840675,6795/11/63(500 bp) — Monthly642,952
Goldman Sachs International
CMBX NA A.6 Index (32,595) 432,96039,2695/11/63(200 bp) — Monthly6,530
CMBX NA A.6 Index (96) 880805/11/63(200 bp) — Monthly(17)
CMBX NA BB.10 Index (107,469) 475,000138,89011/17/59(500 bp) — Monthly31,025
CMBX NA BB.6 Index (31,267) 196,88081,3715/11/63(500 bp) — Monthly49,939
CMBX NA BB.7 Index (323,939) 1,916,000595,3011/17/47(500 bp) — Monthly269,765


Fixed Income Absolute Return Fund 71



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Goldman Sachs International cont.
CMBX NA BB.7 Index $(7,864) $48,000$14,9141/17/47(500 bp) — Monthly$7,009
CMBX NA BB.7 Index (2,270) 15,0004,6611/17/47(500 bp) — Monthly2,378
CMBX NA BB.8 Index (96,043) 264,77092,00810/17/57(500 bp) — Monthly(4,256)
CMBX NA BB.8 Index (96,208) 264,77092,00810/17/57(500 bp) — Monthly(4,421)
CMBX NA BB.8 Index (55,464) 157,50954,73410/17/57(500 bp) — Monthly(861)
CMBX NA BB.8 Index (52,553) 141,08249,02610/17/57(500 bp) — Monthly(3,645)
CMBX NA BB.8 Index (45,682) 119,82341,63810/17/57(500 bp) — Monthly(4,144)
CMBX NA BB.8 Index (8,837) 75,37226,19210/17/57(500 bp) — Monthly17,292
CMBX NA BB.9 Index (7,096) 68,00017,1439/17/58(500 bp) — Monthly9,990
CMBX NA BB.9 Index (2,136) 55,00013,8669/17/58(500 bp) — Monthly11,684
CMBX NA BB.9 Index (3,094) 26,0006,5559/17/58(500 bp) — Monthly3,439
CMBX NA BB.9 Index (2,155) 20,0005,0429/17/58(500 bp) — Monthly2,870
CMBX NA BB.9 Index (842) 7,0001,7659/17/58(500 bp) — Monthly916
CMBX NA BBB−.10 Index (14,654) 67,0008,44911/17/59(300 bp) — Monthly(6,239)
CMBX NA BBB−.12 Index (4,289) 22,0002,7088/17/61(300 bp) — Monthly(1,592)
CMBX NA BBB−.13 Index (3,713) 49,0006,62012/16/72(300 bp) — Monthly2,882
CMBX NA BBB−.6 Index (18,160) 340,64282,4695/11/63(300 bp) — Monthly64,139
CMBX NA BBB−.6 Index (48,505) 167,03740,4405/11/63(300 bp) — Monthly(8,149)
CMBX NA BBB−.7 Index (9,501) 141,00025,5921/17/47(300 bp) — Monthly16,020
CMBX NA BBB−.7 Index (4,210) 62,00011,2531/17/47(300 bp) — Monthly7,012
CMBX NA BBB−.7 Index (759) 11,0001,9971/17/47(300 bp) — Monthly1,232
CMBX NA BBB−.7 Index (312) 3,0005451/17/47(300 bp) — Monthly231
CMBX NA BBB−.8 Index (15,784) 122,00015,99410/17/57(300 bp) — Monthly149
CMBX NA BBB−.8 Index (11,291) 72,0009,43910/17/57(300 bp) — Monthly(1,888)


72 Fixed Income Absolute Return Fund



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
JPMorgan Securities LLC
CMBX NA BB.11 Index $(15,271) $28,000$3,70411/18/54(500 bp) — Monthly$(11,590)
CMBX NA BB.8 Index (48,571) 94,69932,90810/17/57(500 bp) — Monthly(15,742)
CMBX NA BBB−.10 Index (50,051) 168,00021,18511/17/59(300 bp) — Monthly(28,950)
CMBX NA BBB−.10 Index (37,749) 134,00016,89711/17/59(300 bp) — Monthly(20,919)
CMBX NA BBB−.10 Index (15,668) 95,00011,98011/17/59(300 bp) — Monthly(3,736)
CMBX NA BBB−.11 Index (8,160) 26,0002,86011/18/54(300 bp) — Monthly(5,313)
CMBX NA BBB−.11 Index (6,600) 21,0002,31011/18/54(300 bp) — Monthly(4,301)
CMBX NA BBB−.12 Index (35,622) 102,00012,5568/17/61(300 bp) — Monthly(23,117)
CMBX NA BBB−.12 Index (26,544) 80,0009,8488/17/61(300 bp) — Monthly(16,736)
CMBX NA BBB−.12 Index (1,954) 50,0006,1558/17/61(300 bp) — Monthly4,176
CMBX NA BBB−.12 Index (6,728) 33,0004,0628/17/61(300 bp) — Monthly(2,683)
CMBX NA BBB−.6 Index (232,605) 856,766207,4235/11/63(300 bp) — Monthly(25,610)
CMBX NA BBB−.7 Index (416,704) 1,775,000322,1631/17/47(300 bp) — Monthly(95,429)
CMBX NA BBB−.8 Index (139) 1,00013110/17/57(300 bp) — Monthly(8)
Merrill Lynch International
CMBX NA BB.10 Index (14,452) 254,00074,27011/17/59(500 bp) — Monthly59,605
CMBX NA BBB−.10 Index (22,967) 106,00013,36711/17/59(300 bp) — Monthly(9,654)
Morgan Stanley & Co. International PLC
CMBX NA A.6 Index (15,600) 140,80012,7715/11/63(200 bp) — Monthly(2,876)
CMBX NA A.6 Index (290) 2,6402395/11/63(200 bp) — Monthly(51)
CMBX NA A.6 Index (84) 880805/11/63(200 bp) — Monthly(4)
CMBX NA BB.10 Index (78,440) 334,00097,66211/17/59(500 bp) — Monthly18,943
CMBX NA BB.10 Index (13,319) 127,00037,13511/17/59(500 bp) — Monthly23,710
CMBX NA BB.8 Index (47,051) 129,48644,99610/17/57(500 bp) — Monthly(2,162)


Fixed Income Absolute Return Fund 73



OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BB.8 Index $(28,674) $56,046$19,47610/17/57(500 bp) — Monthly$(9,244)
CMBX NA BB.9 Index (3,939) 64,00016,1349/17/58(500 bp) — Monthly12,142
CMBX NA BB.9 Index (1,845) 30,0007,5639/17/58(500 bp) — Monthly5,693
CMBX NA BB.9 Index (977) 25,0006,3039/17/58(500 bp) — Monthly5,304
CMBX NA BB.9 Index (676) 9,0002,2699/17/58(500 bp) — Monthly1,585
CMBX NA BB.9 Index (324) 6,0001,5139/17/58(500 bp) — Monthly1,184
CMBX NA BB.9 Index (50) 1,0002529/17/58(500 bp) — Monthly202
CMBX NA BBB−.10 Index (68,443) 406,00051,19711/17/59(300 bp) — Monthly(17,449)
CMBX NA BBB−.10 Index (31,090) 359,00045,27011/17/59(300 bp) — Monthly14,001
CMBX NA BBB−.10 Index (21,346) 173,00021,81511/17/59(300 bp) — Monthly383
CMBX NA BBB−.10 Index (26,573) 109,00013,74511/17/59(300 bp) — Monthly(12,883)
CMBX NA BBB−.10 Index (25,780) 109,00013,74511/17/59(300 bp) — Monthly(12,089)
CMBX NA BBB−.10 Index (11,922) 94,00011,85311/17/59(300 bp) — Monthly(115)
CMBX NA BBB−.10 Index (11,034) 87,00010,97111/17/59(300 bp) — Monthly(107)
CMBX NA BBB−.10 Index (13,752) 63,0007,94411/17/59(300 bp) — Monthly(5,839)
CMBX NA BBB−.10 Index (12,857) 56,0007,06211/17/59(300 bp) — Monthly(5,824)
CMBX NA BBB−.10 Index (5,421) 25,0003,15311/17/59(300 bp) — Monthly(2,281)
CMBX NA BBB−.10 Index (4,757) 22,0002,77411/17/59(300 bp) — Monthly(1,994)
CMBX NA BBB−.11 Index (6,242) 20,0002,20011/18/54(300 bp) — Monthly(4,052)
CMBX NA BBB−.11 Index (4,747) 15,0001,65011/18/54(300 bp) — Monthly(3,105)
CMBX NA BBB−.12 Index (1,319) 32,0003,9398/17/61(300 bp) — Monthly2,604
CMBX NA BBB−.12 Index (4,320) 13,0001,6008/17/61(300 bp) — Monthly(2,727)
CMBX NA BBB−.13 Index (22,865) 371,00050,12212/16/72(300 bp) — Monthly27,072


74 Fixed Income Absolute Return Fund




OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 4/30/22 (Unaudited) cont.
Swap counterparty/
Referenced debt*
Upfront
premium
received
(paid)**
Notional
amount
ValueTermi-
nation
date
Payments
(paid)
by fund
Unrealized
appreciation/
(depreciation)
Morgan Stanley & Co. International PLC cont.
CMBX NA BBB−.7 Index $(1,397) $22,000$3,9931/17/47(300 bp) — Monthly$2,585
CMBX NA BBB−.8 Index (96,295) 619,00081,15110/17/57(300 bp) — Monthly(15,454)
CMBX NA BBB−.8 Index (49,083) 313,00041,03410/17/57(300 bp) — Monthly(8,205)
CMBX NA BBB−.8 Index (27,473) 216,00028,31810/17/57(300 bp) — Monthly737
CMBX NA BBB−.8 Index (27,405) 216,00028,31810/17/57(300 bp) — Monthly805
CMBX NA BBB−.8 Index (26,192) 183,00023,99110/17/57(300 bp) — Monthly(2,292)
CMBX NA BBB−.8 Index (11,621) 75,0009,83310/17/57(300 bp) — Monthly(1,826)
CMBX NA BBB−.8 Index (9,845) 63,0008,25910/17/57(300 bp) — Monthly(1,615)
Upfront premium receivedUnrealized appreciation1,624,040
Upfront premium (paid)(4,066,761)Unrealized (depreciation)(736,987)
Total$(4,066,761)Total$887,053
* 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.


Fixed Income Absolute Return Fund 75



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 1Level 2Level 3
Asset-backed securities$—$3,214,330$—
Collateralized loan obligations37,229,635
Convertible bonds and notes3,986,062
Corporate bonds and notes58,538,252
Foreign government and agency bonds and notes19,707,716
Mortgage-backed securities175,681,036
Purchased swap options outstanding6,105,941
Senior loans26,166,332
U.S. government and agency mortgage obligations427,260,581
U.S. treasury obligations1,343,625
Short-term investments3,020,00091,819,164
Totals by level$3,020,000$851,052,674$—
Valuation inputs
Other financial instruments:Level 1Level 2Level 3
Forward currency contracts$—$(399,877)$—
Futures contracts3,143,001
Written swap options outstanding(11,972,652)
Forward premium swap option contracts(1,022,307)
TBA sale commitments(344,130,390)
Interest rate swap contracts6,072,366
Credit default contracts348,008
Totals by level$3,143,001$(351,104,852)$—
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 accompanying notes are an integral part of these financial statements.


76 Fixed Income Absolute Return Fund



Statement of assets and liabilities 4/30/22 (Unaudited)

ASSETS  
Investment in securities, at value (Notes 1 and 9):  
Unaffiliated issuers (identified cost $883,189,531) $854,072,674 
Cash 56,972 
Foreign currency (cost $599) (Note 1) 646 
Interest and other receivables 3,628,584 
Receivable for shares of the fund sold 727,844 
Receivable for investments sold 1,063,487 
Receivable for sales of delayed delivery securities (Note 1) 968,418 
Receivable for sales of TBA securities (Note 1) 251,061,155 
Receivable for variation margin on futures contracts (Note 1) 156,893 
Receivable for variation margin on centrally cleared swap contracts (Note 1) 1,381,341 
Unrealized appreciation on forward currency contracts (Note 1) 1,263,245 
Unrealized appreciation on forward premium swap option contracts (Note 1) 24,461,310 
Unrealized appreciation on OTC swap contracts (Note 1) 2,050,972 
Premium paid on OTC swap contracts (Note 1) 4,102,738 
Total assets 1,144,996,279 
 
LIABILITIES  
Payable for investments purchased 395,196 
Payable for purchases of delayed delivery securities (Note 1) 2,355,096 
Payable for purchases of TBA securities (Note 1) 334,861,220 
Payable for shares of the fund repurchased 481,593 
Payable for compensation of Manager (Note 2) 438,910 
Payable for Trustee compensation and expenses (Note 2) 116,785 
Payable for distribution fees (Note 2) 30,685 
Payable for variation margin on centrally cleared swap contracts (Note 1) 1,194,215 
Unrealized depreciation on forward currency contracts (Note 1) 1,663,122 
Unrealized depreciation on forward premium swap option contracts (Note 1) 25,483,617 
Written options outstanding, at value (premiums $9,119,706) (Note 1) 11,972,652 
TBA sale commitments, at value (proceeds receivable $348,856,191) (Note 1) 344,130,390 
Unrealized depreciation on OTC swap contracts (Note 1) 3,064,114 
Premium received on OTC swap contracts (Note 1) 2,741,588 
Collateral on certain derivative contracts, at value (Notes 1 and 9) 4,363,625 
Other accrued expenses 3,475 
Total liabilities 733,296,283 
 
Net assets $411,699,996 
 
REPRESENTED BY  
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) $582,304,649 
Total distributable earnings (Note 1) (170,604,653) 
Total — Representing net assets applicable to capital shares outstanding $411,699,996 

 

(Continued on next page)

 

Fixed Income Absolute Return Fund 77 

 


 

Statement of assets and liabilities cont.

COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE  
Net asset value and redemption price per class A share  
($118,928,085 divided by 13,668,025 shares) $8.70 
Offering price per class A share (100/97.75 of $8.70)* $8.90 
Net asset value and offering price per class B share ($483,230 divided by 55,662 shares)** $8.68 
Net asset value and offering price per class C share ($6,859,999 divided by 791,107 shares)** $8.67 
Net asset value, offering price and redemption price per class P share  
($195,133,746 divided by 22,343,694 shares) $8.73 
Net asset value, offering price and redemption price per class R share  
($261,604 divided by 29,885 shares) $8.75 
Net asset value, offering price and redemption price per class R6 share  
($1,235,190 divided by 141,412 shares) $8.73 
Net asset value, offering price and redemption price per class Y share  
($88,798,142 divided by 10,198,886 shares) $8.71 

 

* On single retail sales of less than $100,000. On sales of $100,000 or more the offering price is reduced.

** Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

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

78 Fixed Income Absolute Return Fund 

 


 

Statement of operations Six months ended 4/30/22 (Unaudited)

INVESTMENT INCOME  
Interest (net of foreign tax of $396) (including interest income of $6,375 from investments  
in affiliated issuers) (Note 5) $9,808,134 
Total investment income 9,808,134 
 
EXPENSES  
Compensation of Manager (Note 2) 971,696 
Distribution fees (Note 2) 195,831 
Other 1,515 
Total expenses 1,169,042 
Expense reduction (Note 2) (168) 
Net expenses 1,168,874 
 
Net investment income 8,639,260 
 
REALIZED AND UNREALIZED GAIN (LOSS)  
Net realized gain (loss) on:  
Securities from unaffiliated issuers (Notes 1 and 3) (8,745,683) 
Foreign currency transactions (Note 1) 3,160 
Forward currency contracts (Note 1) (1,548,737) 
Futures contracts (Note 1) 6,282,558 
Swap contracts (Note 1) (2,811,232) 
Written options (Note 1) (3,312,628) 
Total net realized loss (10,132,562) 
Change in net unrealized appreciation (depreciation) on:  
Securities from unaffiliated issuers and TBA sale commitments (5,403,008) 
Assets and liabilities in foreign currencies (1,739) 
Forward currency contracts 1,550,776 
Futures contracts 1,611,708 
Swap contracts 10,205,842 
Written options (9,733,818) 
Total change in net unrealized depreciation (1,770,239) 
 
Net loss on investments (11,902,801) 
 
Net decrease in net assets resulting from operations $(3,263,541) 

 

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

Fixed Income Absolute Return Fund 79 

 


 

Statement of changes in net assets

DECREASE IN NET ASSETS Six months ended 4/30/22* Year ended 10/31/21 
Operations   
Net investment income $8,639,260 $17,100,826 
Net realized loss on investments   
and foreign currency transactions (10,132,562) (14,459,812) 
Change in net unrealized depreciation of investments   
and assets and liabilities in foreign currencies (1,770,239) (4,232,749) 
Net decrease in net assets resulting from operations (3,263,541) (1,591,735) 
Distributions to shareholders (Note 1):   
From ordinary income   
Net investment income   
Class A (3,653,544) (4,465,400) 
Class B (15,380) (23,543) 
Class C (204,145) (361,574) 
Class P (5,851,445) (6,564,523) 
Class R (7,471) (10,921) 
Class R6 (44,214) (145,568) 
Class Y (2,815,542) (4,287,598) 
Decrease from capital share transactions (Note 4) (11,582,331) (52,386,295) 
Total decrease in net assets (27,437,613) (69,837,157) 
 
NET ASSETS   
Beginning of period 439,137,609 508,974,766 
End of period $411,699,996 $439,137,609 

 

* Unaudited.

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

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Fixed Income Absolute Return Fund 81 

 


 

Financial highlights
(For a common share outstanding throughout the period)

 INVESTMENT OPERATIONS   LESS DISTRIBUTIONS    RATIOS AND SUPPLEMENTAL DATA  
            Ratio of net  
 Net asset  Net realized        Ratio investment  
 value,  and unrealized Total from From net   Net asset Total return Net assets, of expenses income (loss) Portfolio 
 beginning Net investment gain (loss) investment investment From Total value, end at net asset end of period to average to average turnover 
Period ended­ of period­ income (loss)a on investments­ operations­ income­ return of capital­ distributions of period­ value (%)b (in thousands) net assets (%)c net assets (%) (%)d 
Class A­              
April 30, 2022** $9.04­ .17­ (.25) (.08) (.26) —­ (.26) $8.70­ (.90)* $118,928­ .35* 1.95* 754* 
October 31, 2021­ 9.40­ .32­ (.38) (.06) (.30) —­ (.30) 9.04­ (.73) 133,135­ .77­ 3.42­ 908­ 
October 31, 2020 9.83­ .29­ (.36) (.07) (.23) (.13) (.36) 9.40­ (.67) 139,880­ .78­ 3.05­ 844­ 
October 31, 2019 9.73­ .34­ .22­ .56­ (.46) —­ (.46) 9.83­ 5.93­ 151,339­ .86­ 3.49­ 632­ 
October 31, 2018 10.06­ .38­ (.13) .25­ (.58) —­ (.58) 9.73­ 2.59­ 160,939­ .79­ 3.87­ 532­ 
October 31, 2017 9.76­ .36­ .23­ .59­ (.29) —­ (.29) 10.06­ 6.24­ 169,580­ .70­ 3.61­ 742­ 
Class B              
April 30, 2022**  $9.01­ .17­ (.25) (.08) (.25) —­ (.25) $8.68­ (.91)* $483­ .45* 1.93* 754* 
October 31, 2021­ 9.37­ .31­ (.39) (.08) (.28) —­ (.28) 9.01­ (.97) 616­ .97­ 3.24­ 908­ 
October 31, 2020 9.80­ .28­ (.37) (.09) (.22) (.12) (.34) 9.37­ (.91) 1,033­ .98­ 2.97­ 844­ 
October 31, 2019 9.70­ .32­ .21­ .53­ (.43) —­ (.43) 9.80­ 5.69­ 1,699­ 1.06­ 3.37­ 632­ 
October 31, 2018 10.00­ .36­ (.13) .23­ (.53) —­ (.53) 9.70­ 2.42­ 2,841­ .99­ 3.68­ 532­ 
October 31, 2017 9.71­ .34­ .23­ .57­ (.28) —­ (.28) 10.00­ 5.96­ 5,269­ .90­ 3.43­ 742­ 
Class C              
April 30, 2022**  $9.00­ .13e (.23) (.10) (.23) —­ (.23) $8.67­ (1.17)* $6,860­ .73* 1.47*e 754* 
October 31, 2021­ 9.36­ .24­ (.37) (.13) (.23) —­ (.23) 9.00­ (1.52) 9,014­ 1.52­ 2.53­ 908­ 
October 31, 2020 9.79­ .22­ (.36) (.14) (.19) (.10) (.29) 9.36­ (1.44) 24,205­ 1.53­ 2.37­ 844­ 
October 31, 2019 9.70­ .27­ .20­ .47­ (.38) —­ (.38) 9.79­ 5.04­ 40,918­ 1.61­ 2.76­ 632­ 
October 31, 2018 9.96­ .30­ (.11) .19­ (.45) —­ (.45) 9.70­ 1.92­ 54,654­ 1.54­ 3.11­ 532­ 
October 31, 2017 9.65­ .28­ .24­ .52­ (.21) —­ (.21) 9.96­ 5.43­ 67,174­ 1.45­ 2.87­ 742­ 
Class P              
April 30, 2022**  $9.07­ .19­ (.26) (.07) (.27) —­ (.27) $8.73­ (.77)* $195,134­ .23* 2.10* 754* 
October 31, 2021­ 9.43­ .35­ (.39) (.04) (.32) —­ (.32) 9.07­ (.47) 192,596­ .52­ 3.69­ 908­ 
October 31, 2020 9.86­ .31­ (.35) (.04) (.25) (.14) (.39) 9.43­ (.42) 188,742­ .53­ 3.30­ 844­ 
October 31, 2019 9.76­ .36­ .22­ .58­ (.48) —­ (.48) 9.86­ 6.18­ 162,120­ .61­ 3.73­ 632­ 
October 31, 2018 10.11­ .41­ (.13) .28­ (.63) —­ (.63) 9.76­ 2.88­ 138,235­ .54­ 4.14­ 532­ 
October 31, 2017 9.79­ .39­ .23­ .62­ (.30) —­ (.30) 10.11­ 6.54­ 76,710­ .45­ 3.90­ 742­ 
Class R              
April 30, 2022**  $9.09­ .16­ (.25) (.09) (.25) —­ (.25) $8.75­ (1.04)* $262­ .48* 1.81* 754* 
October 31, 2021­ 9.45­ .30­ (.38) (.08) (.28) —­ (.28) 9.09­ (.97) 334­ 1.02­ 3.15­ 908­ 
October 31, 2020 9.88­ .26­ (.35) (.09) (.22) (.12) (.34) 9.45­ (.91) 355­ 1.03­ 2.77­ 844­ 
October 31, 2019 9.78­ .31­ .22­ .53­ (.43) —­ (.43) 9.88­ 5.64­ 388­ 1.11­ 3.20­ 632­ 
October 31, 2018 10.09­ .36­ (.13) .23­ (.54) —­ (.54) 9.78­ 2.36­ 196­ 1.04­ 3.59­ 532­ 
October 31, 2017 9.77­ .33­ .24­ .57­ (.25) —­ (.25) 10.09­ 5.96­ 213­ .95­ 3.36­ 742­ 

 

See notes to financial highlights at the end of this section.

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

82 Fixed Income Absolute Return Fund Fixed Income Absolute Return Fund 83 

 


 

Financial highlights cont.

 INVESTMENT OPERATIONS   LESS DISTRIBUTIONS     RATIOS AND SUPPLEMENTAL DATA  
            Ratio of net  
 Net asset  Net realized        Ratio investment  
 value,  and unrealized Total from From net   Net asset Total return Net assets, of expenses income (loss) Portfolio 
 beginning Net investment gain (loss) investment investment From Total value, end at net asset end of period to average to average turnover 
Period ended­ of period­ income (loss)a on investments­ operations­ income­ return of capital­ distributions of period­ value (%)b (in thousands) net assets (%)c net assets (%) (%)d 
Class R6              
April 30, 2022**  $9.07­ .19­ (.26) (.07) (.27) —­ (.27) $8.73­ (.77)* $1,235­ .23* 2.11* 754* 
October 31, 2021­ 9.43­ .35­ (.39) (.04) (.32) —­ (.32) 9.07­ (.47) 1,509­ .52­ 3.66­ 908­ 
October 31, 2020 9.86­ .31­ (.35) (.04) (.25) (.14) (.39) 9.43­ (.42) 10,989­ .53­ 3.29­ 844­ 
October 31, 2019 9.76­ .36­ .22­ .58­ (.48) —­ (.48) 9.86­ 6.17­ 9,865­ .61­ 3.74­ 632­ 
October 31, 2018 10.11­ .41­ (.13) .28­ (.63) —­ (.63) 9.76­ 2.87­ 9,091­ .54­ 4.13­ 532­ 
October 31, 2017 9.82­ .39­ .23­ .62­ (.33) —­ (.33) 10.11­ 6.45­ 6,412­ .45­ 3.91­ 742­ 
Class Y              
April 30, 2022**  $9.04­ .19­ (.25) (.06) (.27) —­ (.27) $8.71­ (.66)* $88,798­ .23* 2.13* 754* 
October 31, 2021­ 9.40­ .35­ (.39) (.04) (.32) —­ (.32) 9.04­ (.48) 101,933­ .52­ 3.70­ 908­ 
October 31, 2020 9.83­ .32­ (.36) (.04) (.25) (.14) (.39) 9.40­ (.42) 143,770­ .53­ 3.38­ 844­ 
October 31, 2019 9.74­ .37­ .20­ .57­ (.48) —­ (.48) 9.83­ 6.08­ 194,904­ .61­ 3.77­ 632­ 
October 31, 2018 10.09­ .41­ (.13) .28­ (.63) —­ (.63) 9.74­ 2.89­ 192,459­ .54­ 4.15­ 532­ 
October 31, 2017 9.79­ .39­ .24­ .63­ (.33) —­ (.33) 10.09­ 6.57­ 133,695­ .45­ 3.92­ 742­ 

 

* Not annualized.

** Unaudited.

a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.

b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.

c Includes amounts paid through expense offset and/or brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees and expenses, if any.

d Portfolio turnover includes TBA purchase and sale commitments.

e The net investment income ratio and per share amount shown for the period ending may not correspond with the expected class specific differences for the period due to the timing of subscriptions or redemptions into or out of the class.

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

84 Fixed Income Absolute Return Fund Fixed Income Absolute Return Fund 85 

 


 

Notes to financial statements 4/30/22 (Unaudited)

Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter. Unless otherwise noted, the “reporting period” represents the period from November 1, 2021 through April 30, 2022.

Putnam Fixed Income Absolute Return Fund (the fund) is a diversified series of Putnam Funds Trust (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek positive total return. The fund is designed to pursue a consistent absolute return through a broadly diversified portfolio reflecting uncorrelated fixed-income strategies designed to exploit market inefficiencies across global markets and fixed-income sectors. These strategies include investments in the following asset categories: (a) sovereign debt: obligations of governments in developed and emerging markets; (b) corporate credit: investment-grade debt, below-investment-grade debt (sometimes referred to as “junk bonds”), bank loans, convertible bonds and structured credit; and (c) securitized assets: asset-backed securities, residential mortgage-backed securities (which may be backed by non-qualified or “sub-prime” mortgages), commercial mortgage-backed securities, collateralized loan obligations (“CLOs”), and collateralized mortgage obligations. The fund currently has significant investment exposure to residential and commercial mortgage-backed investments. In pursuing a consistent absolute return, the fund’s strategies are also generally intended to produce lower volatility over a reasonable period of time than has been historically associated with traditional asset classes that have earned similar levels of return over long historical periods. These traditional asset classes might include, for example, bonds with moderate exposure to interest rate and credit risks. Under normal circumstances, Putnam Management will invest at least 80% of the fund’s net assets in fixed-income securities (fixed-income securities include any debt instrument, and may be represented by other investment instruments, including derivatives). This policy may be changed only after 60 days’ notice to shareholders. Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell investments. The fund typically uses derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, for both hedging and non-hedging purposes. Accordingly, the fund may use derivatives to a significant extent to obtain or enhance exposure to the fixed-income sectors and strategies mentioned above, and to hedge against risk.

The fund offers class A, class B, class C, class P, class R, class R6 and class Y shares. Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment. Class A shares are sold with a maximum front-end sales charge of 2.25%. Class A shares generally are not subject to a contingent deferred sales charge, and class P, class R, class R6 and class Y shares are not subject to a contingent deferred sales charge. Class B shares, which convert to class A shares after approximately eight years, are not subject to a front-end sales charge and are subject to a contingent deferred sales charge if those shares are redeemed within two years of purchase. Class C shares are subject to a one-year 1.00% contingent deferred sales charge and generally convert to class A shares after approximately eight years. Class R shares, which are not available to all investors, are sold at net asset value. The expenses for class A, class B, class C and class R shares may differ based on the distribution fee of each class, which is identified in Note 2. Class P, class R6 and class Y shares, which are sold at net asset value, are generally subject to the same expenses as class A, class B, class C and class R shares, but do not bear a distribution fee, and in the case of class P and class R6 shares, bear a lower investor servicing fee, which is identified in Note 2. Class P shares are only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates. Class R6 and class Y shares are not available to all investors.

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

The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.

86 Fixed Income Absolute Return Fund 

 


 

Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.

Note 1: Significant accounting policies

The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.

Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.

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 Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.

Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.

Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management 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

Fixed Income Absolute Return Fund 87 

 


 

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.

Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.

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 $72,652,572 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.

Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.

Interest income, net of any applicable withholding taxes, if any, and including amortization and accretion of premiums and discounts on debt securities, is recorded on the accrual basis.

The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.

Securities purchased or sold on a forward commitment or delayed delivery basis may be settled at a future date beyond customary settlement time; interest income is accrued based on the terms of the securities. Losses may arise due to changes in the fair value of the underlying securities or if the counterparty does not perform under the contract.

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.

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

88 Fixed Income Absolute Return Fund 

 


 

changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.

Options contracts The fund uses options contracts to hedge duration and convexity, to isolate prepayment risk 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 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.

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

Futures contracts The fund uses futures contracts for hedging treasury term structure risk and for yield curve positioning.

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. Risks may exceed amounts recognized on the Statement of assets and liabilities. 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.”

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

Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used for hedging currency exposures and to gain exposure to currencies.

The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.

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

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, for hedging term structure risk, for yield curve positioning and for gaining exposure to rates in various countries.

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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 in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.

The 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

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

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, for gaining exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.

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 in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The 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. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.

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

Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, for gaining liquid exposure to individual names, to hedge market risk and for gaining exposure to specific sectors.

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

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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 in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

In addition to bearing the risk that the credit event will occur, the 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. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. 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.

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

TBA commitments The 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.

TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.

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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 pledged 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 $11,711,659 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $11,590,485 and may include amounts related to unsettled agreements.

Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.

Lines of credit The fund participates, along with other Putnam funds, in a $317.5 million unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.

Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.

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

The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any,

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are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.

Under the Regulated Investment Company Modernization Act of 2010, the fund will be permitted to carry forward capital losses incurred for an unlimited period and the carry forwards will retain their character as either short-term or long-term capital losses. At October 31, 2021, the fund had the following capital loss carryovers available, to the extent allowed by the Code, to offset future net capital gain, if any:

 Loss carryover  
Short-term Long-term Total 
$85,327,543 $35,142,801 $120,470,344 

 

Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $546,404,171, resulting in gross unrealized appreciation and depreciation of $52,119,569 and $92,412,917, respectively, or net unrealized depreciation of $40,293,348.

Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.

Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.

Note 2: Management fee, administrative services and other transactions

The fund pays Putnam Management a monthly base fee equal to 0.60% of the monthly average of the fund’s net asset value. In return for this fee, Putnam Management provides investment management and investor servicing and bears the fund’s organizational and operating expenses, excluding performance fee adjustments, payments under the fund’s distribution plan, brokerage, interest, taxes, investment related expenses, extraordinary expenses and acquired fund fees and expenses.

The applicable base fee is increased or decreased for each month by an amount based on the performance of the fund. The amount of the increase or decrease is calculated monthly based on a performance adjustment rate that is equal to 0.04 multiplied by the difference between the fund’s annualized performance (measured by the fund’s class A shares) and the annualized performance of the ICE BofA U.S. Treasury Bill Index plus 3.00% over the thirty-six month period then ended (the performance period). The maximum annualized performance adjustment rate is +/- 0.12%. Each month, the performance adjustment rate is multiplied by the fund’s average net assets over the performance period and the result is divided by twelve. The resulting dollar amount is added to, or subtracted from, the base fee for that month. The monthly base fee is determined based on the fund’s average net assets for the month, while the performance adjustment is determined based on the fund’s average net assets over the thirty-six month performance period. This means it is possible that, if the fund underperforms significantly over the performance period, and the fund’s assets have declined significantly over that period, the negative performance adjustment may exceed the base fee. In this event, Putnam Management would make a payment to the fund.

Because the performance adjustment is based on the fund’s performance relative to its applicable benchmark index, and not its absolute performance, the performance adjustment could increase Putnam Management’s fee even if the fund’s shares lose value during the performance period provided that the fund outperformed its benchmark index, and could decrease Putnam Management’s fee even if the fund’s shares increase in value during the performance period provided that the fund underperformed its benchmark index.

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For the reporting period, the management fee represented an effective rate (excluding the impact of any expense waiver in effect) of 0.230% of the fund’s average net assets, which included an effective base fee of 0.298% and a decrease of 0.068% ($283,696) based on performance.

Putnam Management has contractually agreed, through February 28, 2023, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.

Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. PIL did not manage any portion of the assets of the fund during the reporting period. If Putnam Management were to engage the services of PIL, Putnam Management would pay a quarterly sub-management fee to PIL for its services at an annual rate of 0.35% of the average net assets of the portion of the fund managed by PIL.

The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.35% of the average net assets of the portion of the fund’s assets for which PAC is engaged as sub-adviser.

The aggregate amount of all reimbursements for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund is determined annually by the Trustees. These fees are being paid by Putnam Management as part of the management contract.

Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes. These fees are being paid by Putnam Management as part of the management contract.

Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts. Class P shares paid a monthly fee based on the average net assets of class P shares at an annual rate of 0.01%. Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. These fees are being paid by Putnam Management as part of the management contract.

The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $168 under the expense offset arrangements.

Each Independent Trustee of the fund receives an annual Trustee fee, of which $308, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees. These fees are being paid by Putnam Management as part of the management contract.

The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.

The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003. These fees are being paid by Putnam Management as part of the management contract.

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The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:

 Maximum % Approved % Amount 
Class A 0.35% 0.25% $154,996 
Class B 1.00% 0.45% 1,214 
Class C 1.00% 1.00% 38,954 
Class R 1.00% 0.50% 667 
Total   $195,831 

 

For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $5,412 from the sale of class A shares and received $3 and $171 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.

A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $15 on class A redemptions.

Note 3: Purchases and sales of securities

During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:

 Cost of purchases Proceeds from sales 
Investments in securities, including TBA commitments (Long-term) $3,295,931,515 $3,288,257,814 
U.S. government securities (Long-term) — — 
Total $3,295,931,515 $3,288,257,814 

 

The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.

Note 4: Capital shares

At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:

 SIX MONTHS ENDED 4/30/22 YEAR ENDED 10/31/21 
Class A Shares Amount Shares Amount 
Shares sold 929,265 $8,203,007 3,018,790 $28,769,751 
Shares issued in connection with     
reinvestment of distributions 394,848 3,478,308 449,507 4,240,597 
 1,324,113 11,681,315 3,468,297 33,010,348 
Shares repurchased (2,390,878) (21,154,075) (3,617,428) (34,204,534) 
Net decrease (1,066,765) $(9,472,760) (149,131) $(1,194,186) 

 

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 SIX MONTHS ENDED 4/30/22 YEAR ENDED 10/31/21 
Class B Shares Amount Shares Amount 
Shares sold 2,719 $23,710 1,345 $12,777 
Shares issued in connection with     
reinvestment of distributions 1,750 15,380 2,446 23,060 
 4,469 39,090 3,791 35,837 
Shares repurchased (17,125) (151,295) (45,719) (432,296) 
Net decrease (12,656) $(112,205) (41,928) $(396,459) 
 
 SIX MONTHS ENDED 4/30/22 YEAR ENDED 10/31/21 
Class C Shares Amount Shares Amount 
Shares sold 23,836 $210,042 129,031 $1,222,034 
Shares issued in connection with     
reinvestment of distributions 22,862 200,746 37,577 354,872 
 46,698 410,788 166,608 1,576,906 
Shares repurchased (256,659) (2,264,361) (1,750,668) (16,683,455) 
Net decrease (209,961) $(1,853,573) (1,584,060) $(15,106,549) 
 
 SIX MONTHS ENDED 4/30/22 YEAR ENDED 10/31/21 
Class P Shares Amount Shares Amount 
Shares sold 4,551,045 $40,337,063 15,917,117 $151,466,493 
Shares issued in connection with     
reinvestment of distributions 661,867 5,850,152 693,509 6,564,523 
 5,212,912 46,187,215 16,610,626 158,031,016 
Shares repurchased (4,106,040) (36,436,393) (15,382,964) (146,514,244) 
Net increase 1,106,872 $9,750,822 1,227,662 $11,516,772 
 
 SIX MONTHS ENDED 4/30/22 YEAR ENDED 10/31/21 
Class R Shares Amount Shares Amount 
Shares sold 3,194 $28,450 8,165 $77,986 
Shares issued in connection with     
reinvestment of distributions 843 7,471 1,151 10,921 
 4,037 35,921 9,316 88,907 
Shares repurchased (10,957) (98,552) (10,063) (95,054) 
Net decrease (6,920) $(62,631) (747) $(6,147) 
 
 SIX MONTHS ENDED 4/30/22 YEAR ENDED 10/31/21 
Class R6 Shares Amount Shares Amount 
Shares sold 6,442 $57,178 138,822 $1,332,356 
Shares issued in connection with     
reinvestment of distributions 5,001 44,214 15,264 145,568 
 11,443 101,392 154,086 1,477,924 
Shares repurchased (36,438) (322,129) (1,152,671) (11,092,075) 
Net decrease (24,995) $(220,737) (998,585) $(9,614,151) 

 

96 Fixed Income Absolute Return Fund 

 


 

 SIX MONTHS ENDED 4/30/22 YEAR ENDED 10/31/21 
Class Y Shares Amount Shares Amount 
Shares sold 2,268,465 $20,053,971 4,352,295 $41,512,026 
Shares issued in connection with     
reinvestment of distributions 316,314 2,787,823 449,507 4,248,199 
 2,584,779 22,841,794 4,801,802 45,760,225 
Shares repurchased (3,659,446) (32,453,041) (8,814,874) (83,345,800) 
Net decrease (1,074,667) $(9,611,247) (4,013,072) $(37,585,575) 

 

At the close of the reporting period, the Putnam RetirementReady Funds owned 47.3% of the outstanding shares of the fund.

Note 5: Affiliated transactions

Transactions during the reporting period with any company which is under common ownership or control were as follows:

     Shares 
     outstanding 
     and fair 
 Fair value as Purchase Sale Investment value as 
Name of affiliate of 10/31/21 cost proceeds income of 4/30/22 
Short-term investments      
Putnam Short Term      
Investment Fund** $23,846,323 $47,509,658 $71,355,981 $6,375 $— 
Total Short-term      
investments $23,846,323 $47,509,658 $71,355,981 $6,375 $— 

 

** 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.

Note 6: Market, credit and other risks

In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.

On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. ICE Benchmark Administration, the administrator of LIBOR, ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis after June 30, 2023. In addition, global regulators have announced that, with limited exceptions, no new LIBOR-based contracts should be entered into after 2021.LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Various financial industry groups have been planning for the transition away from LIBOR, but there are obstacles to converting certain longer-term securities and transactions to new reference rates. Markets are developing slowly and questions around liquidity in these rates and how to appropriately adjust these rates to mitigate any economic value transfer at the time of transition remain a significant concern. Neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased

Fixed Income Absolute Return Fund 97 

 


 

volatility and illiquidity in markets that rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of related transactions, such as hedges. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur at any time.

Beginning in January 2020, global financial markets have experienced, and may continue to experience, significant volatility resulting from the spread of a virus known as Covid–19. The outbreak of Covid–19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand, and general market uncertainty. The effects of Covid–19 have adversely affected, and may continue to adversely affect, the global economy, the economies of certain nations, and individual issuers, all of which may negatively impact the fund’s performance.

Note 7: Senior loan commitments

Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

Note 8: Summary of derivative activity

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

Purchased currency option contracts (contract amount) $12,600,000 
Purchased swap option contracts (contract amount) $1,225,600,000 
Written currency option contracts (contract amount) $950,000 
Written swap option contracts (contract amount) $1,129,800,000 
Futures contracts (number of contracts) 1,000 
Forward currency contracts (contract amount) $186,000,000 
Centrally cleared interest rate swap contracts (notional) $917,800,000 
Centrally cleared total return swap contracts (notional) $13,300,000 
OTC credit default contracts (notional) $57,400,000 

 

98 Fixed Income Absolute Return Fund 

 


 

The following is a summary of the fair value of derivative instruments as of the close of the reporting period:

Fair value of derivative instruments as of the close of the reporting period  
 ASSET DERIVATIVES LIABILITY DERIVATIVES 
Derivatives not     
accounted for as Statement of  Statement of  
hedging instruments assets and  assets and  
under ASC 815 liabilities location Fair value liabilities location Fair value 
Credit contracts Receivables $4,953,814 Payables $4,605,806 
Foreign exchange     
contracts Receivables 1,263,245 Payables 1,663,122 
 Investments,    
 Receivables, Net    
 assets — Unrealized  Payables, Net assets —  
Interest rate contracts appreciation 57,891,221*  Unrealized depreciation 55,564,872* 
Total  $64,108,280  $61,833,800 

 

* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.

The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):

Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments  
Derivatives not accounted   Forward   
for as hedging instruments   currency   
under ASC 815 Options Futures contracts Swaps Total 
Credit contracts $— $— $— $(2,971,832) $(2,971,832) 
Foreign exchange contracts (361,854) — (1,548,737) — $(1,910,591) 
Interest rate contracts (977,856) 6,282,558 — 160,600 $5,465,302 
Total $(1,339,710) $6,282,558 $(1,548,737) $(2,811,232) $582,879 

 

Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) 
on investments      
Derivatives not accounted   Forward   
for as hedging instruments   currency   
under ASC 815 Options Futures contracts Swaps Total 
Credit contracts $— $— $— $3,687,334 $3,687,334 
Foreign exchange contracts 376,242 — 1,550,776 — $1,927,018 
Interest rate contracts (3,250,071) 1,611,708 — 6,518,508 $4,880,145 
Total $(2,873,829) $1,611,708 $1,550,776 $10,205,842 $10,494,497 

 

Fixed Income Absolute Return Fund 99 

 


 

Note 9: Offsetting of financial and derivative assets and liabilities

The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.

 Bank of
 America N.A.
Barclays Bank
PLC
Barclays
Capital, Inc.
 (clearing
broker)
BofA
Securities,
Inc.
Citibank, N.A.Citigroup
Global
Markets, Inc.
Credit Suisse
 International
Deutsche
Bank AG
Goldman
Sachs
International
HSBC Bank
 USA, National
 Association
JPMorgan
Chase Bank
N.A.
JPMorgan
Securities LLC
Merrill Lynch
 International
Morgan
Stanley & Co.
 International
PLC
NatWest
Markets PLC
State Street
 Bank and
 Trust Co.
Toronto-
Dominion
Bank
UBS AGWells Fargo
Bank, N.A.
WestPac
Banking Corp.
Total
Assets:                      
Centrally cleared                      
interest rate swap                      
contracts§ $— $— $1,381,341 $— $— $— $— $— $— $— $— $— $— $— $— $— $— $— $— $— $1,381,341 
OTC Credit default                      
contracts —                      
protection sold*# — — — — — — — — — — — — — — — — — — — — — 
OTC Credit default                      
contracts —                      
protection                      
purchased*# — — — — — 1,151,945 868,209 — 1,476,078 — — 652,408 87,370 717,804 — — — — — — 4,953,814 
Futures contracts§ — — — — — — — — — — — 156,893 — — — — — — — — 156,893 
Forward currency                      
contracts# 9,968 12,861 — — 29 — — — 6,482 165,798 44,363 — — 179,815 124,823 621,558 47,858 18,770 — 30,920 1,263,245 
Forward premium                      
swap option                      
contracts# 6,075,037 95,791 — — 6,284,439 — — 317,873 1,844,633 — 2,197,813 — — 438,575 — — 1,245,216 4,049,654 1,912,279 — 24,461,310 
Purchased swap                      
options**# 14,042 — — — — — — — 608,908 — 1,135,467 — — 1,340,303 1,230,778 — — 1,776,443 — — 6,105,941 
Repurchase                      
agreements** — — — — — 71,228,000 — — — — — — — — — — — — — — 71,228,000 
Total Assets $6,099,047 $108,652 $1,381,341 $— $6,284,468 $72,379,945 $868,209 $317,873 $3,936,101 $165,798 $3,377,643 $809,301 $87,370 $2,676,497 $1,355,601 $621,558 $1,293,074 $5,844,867 $1,912,279 $30,920 $109,550,544 
Liabilities:                      
Centrally cleared                      
interest rate swap                      
contracts§ $— $— $1,194,215 $— $— $— $— $— $— $— $— $— $— $— $— $— $— $— $— $— $1,194,215 
OTC Credit default                      
contracts —                      
protection sold*# 472,936 — — — — 1,793,155 407,322 — 975,643 — — 369,602 20,278 566,870 — — — — — — 4,605,806 
OTC Credit default                      
contracts —                      
protection                      
purchased*# — — — — — — — — — — — — — — — — — — — — — 
Futures contracts§ — — — — — — — — — — — — — — — — — — — — — 
Forward currency                      
contracts# 986 72,545 — — — — 8,223 — 130,347 — 3,067 — — 4,738 9,009 138,501 391,341 903,907 — 458 1,663,122 
Forward premium                      
swap option                      
contracts# 7,274,299 44,578 — — 8,971,174 — — 213,812 2,489,939 — 2,357,346 — — 635,695 — — 466,902 2,163,987 865,885 — 25,483,617 

 

100 Fixed Income Absolute Return Fund Fixed Income Absolute Return Fund 101 

 


 

 Bank of
 America N.A.
Barclays Bank
PLC
Barclays
Capital, Inc.
 (clearing
broker)
BofA
Securities,
Inc.
Citibank, N.A.Citigroup
Global
Markets, Inc.
Credit Suisse
 International
Deutsche
Bank AG
Goldman
Sachs
International
HSBC Bank
 USA, National
 Association
JPMorgan
Chase Bank
N.A.
JPMorgan
Securities LLC
Merrill Lynch
 International
Morgan
Stanley & Co.
 International
PLC
NatWest
Markets PLC
State Street
 Bank and
Trust Co.
Toronto-
 Dominion
Bank
UBS AGWells Fargo
Bank, N.A.
WestPac
Banking Corp.
Total
Written swap                      
options# $621,786 $— $— $— $2,212,126 $— $— $— $505,910 $— $3,079,797 $— $— $2,328,838 $2,150,829 $— $196,109 $877,257 $— $— $11,972,652 
Total Liabilities $8,370,007 $117,123 $1,194,215 $— $11,183,300 $1,793,155 $415,545 $213,812 $4,101,839 $— $5,440,210 $369,602 $20,278 $3,536,141 $2,159,838 $138,501 $1,054,352 $3,945,151 $865,885 $458 $44,919,412 
Total Financial                      
and Derivative                      
Net Assets $(2,270,960) $(8,471) $187,126 $— $(4,898,832) $70,586,790 $452,664 $104,061 $(165,738) $165,798 $(2,062,567) $439,699 $67,092 $(859,644) $(804,237) $483,057 $238,722 $1,899,716 $1,046,394 $30,462 $64,631,132 
Total collateral                      
received                      
(pledged)##† $(2,270,960) $— $— $— $(4,810,705) $70,586,790 $452,664 $104,061 $(165,738) $110,000 $(2,039,192) $310,000 $— $(775,674) $(804,237) $455,207 $110,000 $1,820,000 $988,418 $—  
Net amount $— $(8,471) $187,126 $— $(88,127) $— $— $— $— $55,798 $(23,375) $129,699 $67,092 $(83,970) $— $27,850 $128,722 $79,716 $57,976 $30,462  
Controlled                      
collateral received                      
(including TBA                      
commitments)** $— $— $— $— $— $— $460,000 $110,000 $— $110,000 $— $310,000 $— $— $— $455,207 $110,000 $1,820,000 $988,418 $— $4,363,625 
Uncontrolled                      
collateral received $— $— $— $— $— $72,652,572 $— $— $— $— $— $— $— $— $— $— $— $— $— $— $72,652,572 
Collateral                      
(pledged)                      
(including TBA                      
commitments)** $(2,317,858) $— $— $(270,892) $(4,810,705) $(648,546) $— $— $(180,946) $— $(2,039,192) $(1,073,670) $— $(775,674) $(817,564) $— $— $— $— $— $(12,935,047) 

 

* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.

** Included with Investments in securities on the Statement of assets and liabilities.

Additional collateral may be required from certain brokers based on individual agreements.

# Covered by master netting agreement (Note 1).

## Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.

§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $1,005,601 and $2,582,728, respectively.

Note 10: New accounting pronouncements

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2020–04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020–04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The discontinuation of LIBOR was subsequently extended to June 30, 2023. ASU 2020–04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management expects that the adoption of the guidance will not have a material impact on the fund’s financial statements.

102 Fixed Income Absolute Return Fund Fixed Income Absolute Return Fund 103 

 


 

Services for shareholders

Investor services

Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.

Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.

Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.

Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.

Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.

Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.

Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.

Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.

For more information

Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.

Call us toll free at 1-800-225-1581 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.

104 Fixed Income Absolute Return Fund 

 


 

Fund information

Founded over 80 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, asset allocation, absolute return, and global sector categories.

Investment Manager Trustees Richard T. Kircher 
Putnam Investment Kenneth R. Leibler, Chair Vice President and 
Management, LLC Liaquat Ahamed BSA Compliance Officer 
100 Federal Street Ravi Akhoury  
Boston, MA 02110 Barbara M. Baumann Martin Lemaire 
 Katinka Domotorffy Vice President and 
Investment Sub-Advisors Catharine Bond Hill Derivatives Risk Manager 
Putnam Investments Limited Paul L. Joskow  
16 St James’s Street George Putnam, III Susan G. Malloy 
London, England SW1A 1ER Robert L. Reynolds Vice President and 
 Manoj P. Singh Assistant Treasurer 
The Putnam Advisory Company, LLC Mona K. Sutphen  
100 Federal Street  Alan G. McCormack 
Boston, MA 02110 Officers Vice President and 
 Robert L. Reynolds Derivatives Risk Manager 
Marketing Services President  
Putnam Retail Management  Denere P. Poulack 
Limited Partnership James F. Clark Assistant Vice President, 
100 Federal Street Vice President, Chief Compliance Assistant Clerk, and 
Boston, MA 02110 Officer, and Chief Risk Officer Assistant Treasurer 
   
Custodian Nancy E. Florek Janet C. Smith 
State Street Bank Vice President, Director of Vice President, 
and Trust Company Proxy Voting and Corporate Principal Financial Officer, 
Governance, Assistant Clerk, Principal Accounting Officer, 
Legal Counsel and Assistant Treasurer and Assistant Treasurer 
Ropes & Gray LLP   
 Michael J. Higgins Stephen J. Tate 
 Vice President, Treasurer, Vice President and 
 and Clerk Chief Legal Officer 
   
 Jonathan S. Horwitz Mark C. Trenchard 
 Executive Vice President, Vice President 
Principal Executive Officer,  
 and Compliance Liaison  

 

This report is for the information of shareholders of Putnam Fixed Income Absolute Return Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.


 


Item 2. Code of Ethics:
Not applicable

Item 3. Audit Committee Financial Expert:
Not applicable

Item 4. Principal Accountant Fees and Services:
Not applicable

Item 5. Audit Committee of Listed Registrants
Not applicable

Item 6. Schedule of Investments:
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above.

Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies:
Not applicable

Item 8. Portfolio Managers of Closed-End Investment Companies
Not Applicable

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers:
Not applicable

Item 10. Submission of Matters to a Vote of Security Holders:
Not applicable

Item 11. Controls and Procedures:
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms.

(b) Changes in internal control over financial reporting: Not applicable

Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies:
Not Applicable

Item 13. Exhibits:
(a)(1) Not applicable

(a)(2) Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith.

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Putnam Funds Trust
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer

Date: June 28, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title):
/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer

Date: June 28, 2022
By (Signature and Title):
/s/ Janet C. Smith
Janet C. Smith
Principal Financial Officer

Date: June 28, 2022