Putnam
Short Duration
Income Fund
Annual report
7
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31
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13
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Message from the Trustees
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1
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About the fund
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2
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Performance snapshot
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4
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Interview with your fund’s portfolio managers
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5
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Your fund’s performance
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10
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Your fund’s expenses
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12
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Terms and definitions
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14
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Other information for shareholders
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15
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Important notice regarding Putnam’s privacy policy
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16
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Trustee approval of management contract
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17
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Financial statements
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22
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Federal tax information
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57
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About the Trustees
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58
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Officers
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60
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Consider these risks before investing:
Putnam Short Duration Income Fund is not a money market fund. The effects of inflation may erode the value of your investment over time. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk and the risk that they may increase in value less when interest rates decline and decline in value more when interest rates rise. We may have to invest the proceeds from prepaid investments in other investments with less attractive terms and yields. 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 greater for longer-term bonds, and credit risk is greater for below-investment-grade bonds. 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. Unlike bonds, funds that invest in bonds have fees and expenses. Bond prices may fall or fail to rise over time for several reasons, including general financial market conditions and factors related to a specific issuer or industry. You can lose money by investing in the fund.
Message from the Trustees
Dear Fellow Shareholder:
At the midpoint of 2013, U.S. equity market indexes were near record highs, and the overarching theme of the domestic economy appeared to be one of slow healing. Equity investors were encouraged by improving housing and jobs data, as well as by solid corporate earnings. In Europe, the worst of the financial crisis appears to have passed, with some economic forecasts predicting that the eurozone will return to positive growth later this year. Meanwhile, thanks to its government’s massive stimulus initiatives, Japan recently has experienced stronger economic growth after years of stagnation.
A primary question confronting markets is how the U.S. central bank will gradually reduce its $85 billion-a-month bond-buying program without derailing the fragile economic recovery. Investors have reacted positively to public reassurances by Fed Chairman Ben Bernanke, who said the central bank would not draw down stimulus until the economy finds itself on firm footing.
We cannot predict the pace at which economies will recover, nor can we forecast the full impact of the Fed’s tapering decisions. However, we believe that Putnam’s in-depth fundamental research, active investing, and risk management strategies can serve investors well through changing markets. Putnam’s investment professionals integrate innovative thinking with traditional and alternative approaches to address a diverse range of financial goals.
We also believe that investing in any market environment is most effective when combined with the guidance of a professional advisor who can help you develop a financial plan suited to your goals and risk tolerance.
We would like to welcome new shareholders of the fund and to thank you for investing with Putnam. We would also like to extend our thanks to Elizabeth Kennan, who recently retired from the Board of Trustees, for her 20 years of dedicated service.
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 a shareholder may owe on fund distributions or on the redemption of fund shares. See pages 5 and 10–11 for additional performance information. The fund had expense limitations during the period, without which returns would have been lower.
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4
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Short Duration Income Fund
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Interview with your fund’s portfolio managers
Joanne, what was the short
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term bond market environment like during the 12 months ended July 31, 2013?
From the summer of 2012 into the spring of 2013, the market environment was favorable, buoyed by an improving economic backdrop and the tailwind of increased global liquidity that resulted from accommodative monetary policy in the United States and overseas. Within this environment, many financial institutions — whose securities comprise a substantial portion of the portfolio — significantly repaired their balance sheets and generally recovered from the 2007–2008 liquidity crisis and subsequent recession.
In May, however, the market backdrop became less hospitable, as concern about higher interest rates weighed on sentiment,
leading investors to take profits. The debate that began in May regarding when the Federal Reserve would begin tapering its bond-buying program intensified in June, when Chairman Ben Bernanke announced that the central bank could begin scaling back its stimulus program later in 2013, and end it by mid 2014, sooner than investors expected. During this time, interest rates rose and yield curves steepened globally. In July, the Fed clarified its stance, stating that monetary policy would remain highly accommodative until the economy was back on its feet. In response, investors breathed a sigh of relief and interest rates declined modestly.
Given the changing market backdrop, including increased volatility during May and June, I am pleased to report that the fund at net asset
This comparison shows your fund’s performance in the context of broad market indexes for the 12 months ended 7/31/13. See pages 4 and 10–11 for additional fund performance information. Index descriptions can be found on pages 14–15.
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Short Duration Income Fund
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5
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value [NAV] outpaced both its benchmark and the average return of its Lipper peer group.
How would you summarize the fund’s investment strategy?
Joanne:
We like to describe the fund as targeting the space between money market and short-term bond funds. Because the fund is not a money market fund or subject to the Rule 2a-7 regulations that govern money market funds, we can pursue a range of income opportunities that are not available to money market funds. Of course, that wider range of opportunities potentially includes a greater number of risks, but our goal is to manage the fund so that its performance is consistent with our objectives of preserving capital and maintaining liquidity. In doing so, we seek to outperform U.S. Treasury bills by 0.20% to 0.60% at NAV, while working to
maintain an NAV that is less volatile than that of many competing funds.
From a risk-management perspective, we seek to limit the fund’s sensitivity to interest-rate movements by generally keeping the portfolio’s duration at or less than one year. We seek to control the fund’s credit risk by only investing in investment-grade securities and limiting its exposure to individual issuers. Lastly, we utilize high-quality commercial paper and other money-market-eligible securities for liquidity purposes and as a temporary repository for cash that will be invested in short-term bonds.
Turning to you, Mike, how was the fund positioned during the period?
We continued to target opportunities in securities with slightly longer maturities — up to three years — or marginally lower credit
Allocations are shown as a percentage of the fund’s net assets as of 7/31/13. 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 exclusion of as-of trades, if any, and the use of different classifications of securities for presentation purposes. Holdings and allocations may vary over time.
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6
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Short Duration Income Fund
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quality — generally A-rated and BBB-rated bonds. We sought to mitigate these risks by counterbalancing them. Specifically, the BBB-rated securities that we owned — which provided the fund with higher yields, given their greater credit risk — were generally shorter-maturity bonds, so they entailed relatively little interest-rate risk. Likewise, the higher-rated securities in the portfolio typically carried somewhat longer maturities. This balanced approach allowed us to add incremental income potential without significantly increasing the portfolio’s risk profile.
In terms of sector positioning, at period-end nearly 60% of the portfolio was allocated to corporate bonds issued by financial institutions, with roughly half of this allocation in A-rated bonds. We continued to favor bonds from banks and other types of financial companies because we believe they offered better relative value than securities in other corporate-bond categories. In contrast to certain other areas of the corporate bond market, we believe the credit quality of financial institutions is improving. In our view, risk in the financials sector will continue to fall as regulatory pressure and rule changes force banks to streamline operations and further improve their balance sheets. We remained focused on bonds issued by large, diversified, domestically based institutions that, in our estimation, have demonstrated the greatest progress in increasing their liquidity and capital
Credit qualities are shown as a percentage of the fund’s net assets as of 7/31/13. A bond rated Baa or higher (Prime-3/VMIG3 or higher, for short-term debt) is considered investment grade. The chart reflects Moody’s ratings; percentages may include bonds or derivatives not rated by Moody’s but rated by Standard & Poor’s (S&P) or, if unrated by S&P, by Fitch ratings, and then included in the closest equivalent Moody’s rating. Ratings may vary over time.
Credit quality includes bonds and represents only the fixed-income portion of the portfolio. 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. The fund itself has not been rated by an independent rating agency.
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Short Duration Income Fund
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7
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positions, and these securities performed well during the period.
You had less than 10% of the portfolio invested in securitized sectors, such as collateralized mortgage obligations [CMOs], commercial mortgage
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backed securities, and asset
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backed securities. Why wasn’t more of the fund allocated to these areas?
Michael:
Given that one of our key objectives in managing the fund is to keep its NAV relatively stable, we tend not to invest significantly in these areas because the degree of extension risk, primarily with mortgage-backed securities, is inconsistent with this objective. To explain further, extension risk is the risk of a security’s duration lengthening due to a deceleration in prepayments, which typically occurs when interest rates are rising. As rates rise, the likelihood of prepayment decreases as mortgage holders become less likely to refinance. A material decline in refinancing activity can
hamper the performance of CMOs and other mortgage-related securities.
What is your outlook for the coming months, and how are you positioning the fund?
Joanne:
In our view, the Fed has concluded that the economy is in a much healthier state than when the latest round of quantitative easing began, and that if this pace of improvement continues, it would be prudent to begin drawing the program to a close. We expect the Fed to discuss the time frame for tapering its bond-buying program at its September 2013 meeting. If our forecast proves correct, we believe the central bank may begin to reduce its bond buying in September or October, and will end its purchases roughly six months later. This would conclude a period of monetary expansion and move the Fed to a neutral stance. From that point, we believe that many more months will pass before the Fed begins to increase the federal funds rate.
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. 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. 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 exclusion of as-of trades, if any, and the use of different classifications of securities for presentation purposes. Holdings and allocations may vary over time.
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8
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Short Duration Income Fund
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Against this backdrop, we are positioning the fund for the possibility of higher rates in the future, and plan to continue slowly reducing the portfolio’s duration while increasing its allocation to floating-rate securities. Many of the fund’s floating-rate holdings are linked to the London interbank offered rate [LIBOR], which is the rate at which financial institutions lend reserves to each other on the short-term international interbank market. LIBOR rates tend to be slightly higher than yields on short-term Treasuries or other U.S. government securities, and the yields on securities linked to LIBOR reset, in most cases, monthly or quarterly. We plan to increase the fund’s allocation to floating-rate securities to gain access to these higher yields and heighten its sensitivity to rising rates. At period-end, about 35% of the portfolio was invested in floating-rate bonds.
Thanks for your time and for bringing us up to date.
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.
Portfolio Manager
Michael V. Salm
is Co-Head of Fixed Income at Putnam. He has a B.A. from Cornell University. Michael joined Putnam in 1997 and has been in the investment industry since 1989.
Portfolio Manager
Joanne M. Driscoll
has an M.B.A. from the Northeastern College of Business Administration and a B.S. from Westfield State College. A CFA charterholder, Joanne joined Putnam in 1995 and has been in the investment industry since 1992.
In addition to Michael and Joanne, your fund is also managed by Kevin F. Murphy.
IN THE NEWS
Citing a lengthier economic slowdown in emerging-market economies, the deep recession in the eurozone, and the expected tapering of the U.S. Fed’s monetary stimulus, the International Monetary Fund (IMF) has downgraded its growth projections for economies world-
wide.
Economic growth around the world is projected to remain subdued at 3.1% in 2013, the same as it was in 2012, the IMF stated in a mid-year update. Worldwide growth in 2014 will be 3.8%, the IMF predicted. As for the IMF’s regional economic forecasts, growth in the United States is projected to
rise from 1.75% in 2013 to 2.75% in 2014. In Japan, growth will average 2% this year, while slowing but remaining positive in 2014. The eurozone economy, however, had a slightly positive second quarter, at 0.3%, according to the European Union’s statistics office, bringing to an end six straight quarters of negative growth. Still, the IMF believes that the 17-nation currency bloc overall will remain mired in recession this year, with negative growth, and in 2014 growth will rise to just below 1%, which is weaker than previously reported.
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Short Duration Income Fund
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9
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Your fund’s performance
This section shows your fund’s performance, price, and distribution information for periods ended July 31, 2013, the end of its most recent 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 R, class R5, class R6, and class 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.
Fund performance
Total return for periods ended 7/31/13
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Class A
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Class B
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Class C
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Class M
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Class R
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Class R5
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Class R6
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Class Y
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(inception dates)
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(10/17/11)
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(10/17/11)
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(10/17/11)
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(10/17/11)
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(10/17/11)
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(7/2/12)
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(7/2/12)
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(10/17/11)
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Life of fund
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1.20%
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0.47%
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0.47%
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1.02%
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0.47%
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1.47%
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1.47%
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1.47%
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Annual average
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0.67
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0.26
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0.26
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0.57
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0.26
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0.82
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0.82
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0.82
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1 year
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0.69
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0.29
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0.29
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0.54
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0.29
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0.79
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0.79
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0.79
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Current performance may be lower or higher than the quoted past performance, which cannot guarantee future results. None of the share classes generally carry an initial sales charge or a contingent deferred sales charge. Performance for class R5 and class R6 shares before their inception is derived from the historical performance of class Y shares.
For a portion of the periods, the fund had expense limitations, without which returns would have been lower.
Comparative index returns
For periods ended 7/31/13
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BofA Merrill Lynch
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Lipper Ultra-Short Obligations Funds
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U.S. Treasury Bill Index
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category average*
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Life of fund
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0.19%
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2.01%
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Annual average
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0.11
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1.12
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1 year
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0.13
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0.63
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Index and Lipper results should be compared with fund performance before sales charge, before CDSC, or at net asset value.
* Over the 1-year and life-of-fund periods ended 7/31/13, there were 98 and 88 funds, respectively, in this Lipper category.
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10
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Short Duration Income Fund
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Past performance does not indicate future results. At the end of the same time period, a $10,000 investment in the fund’s class B, C, M, R, R5, R6, and Y shares would have been valued at $10,047, $10,047, $10,102, $10,047, $10,147, $10,147, and $10,147, respectively.
Fund price and distribution information
For the 12-month period ended 7/31/13
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Distributions
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Class A
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Class B
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Class C
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Class M
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Class R
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Class R5
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Class R6
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Class Y
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Number
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12
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12
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12
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12
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12
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12
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12
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12
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Income
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$0.0578
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$0.0178
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$0.0177
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$0.0527
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$0.0176
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$0.0679
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$0.0678
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$0.0679
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Capital gains — Long-term
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—
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—
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—
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—
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—
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—
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—
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—
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Capital gains — Short-term
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0.0009
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0.0009
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0.0009
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0.0009
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0.0009
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0.0009
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0.0009
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0.0009
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Total
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$0.0587
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$0.0187
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$0.0186
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$0.0536
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$0.0185
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$0.0688
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$0.0687
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$0.0688
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Share value at
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net asset value
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7/31/12
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$10.02
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$10.01
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$10.01
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$10.02
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$10.01
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$10.03
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$10.03
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$10.03
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7/31/13
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10.03
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10.02
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10.02
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10.02
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10.02
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10.04
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10.04
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10.04
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The classification of distributions, if any, is an estimate. Final distribution information will appear on your year-end tax forms.
Fund performance as of most recent calendar quarter
Total return for periods ended 6/30/13
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Class A
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Class B
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Class C
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Class M
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Class R
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Class R5
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Class R6
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Class Y
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(inception dates)
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(10/17/11)
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(10/17/11)
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(10/17/11)
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(10/17/11)
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(10/17/11)
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(7/2/12)
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(7/2/12)
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(10/17/11)
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Life of fund
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1.06%
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0.36%
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0.36%
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0.98%
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0.36%
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1.32%
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1.32%
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1.32%
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Annual average
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0.62
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0.21
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0.21
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0.57
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0.21
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0.77
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0.77
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0.77
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1 year
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0.68
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0.29
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0.28
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0.53
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0.28
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0.78
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0.78
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0.78
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See the discussion following the fund performance table on page 10 for information about the calculation of fund performance.
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Short Duration Income Fund
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11
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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. In the most recent six-month period, your fund’s expenses were limited; had expenses not been limited, they would have been higher. 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
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Class A
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Class B
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Class C
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Class M
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Class R
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Class R5
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Class R6
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Class Y
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Net expenses for the fiscal year
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ended 7/31/12*
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0.40%
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0.80%
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0.80%
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0.45%
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0.80%
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0.30%‡
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0.30%‡
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0.30%
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Total annual operating expenses for
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the fiscal year ended 7/31/12
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0.72%
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1.12%
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1.12%
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0.77%
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1.12%
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0.72%‡
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0.65%‡
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0.62%
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Annualized expense ratio for the
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six-month period ended 7/31/13†
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0.40%
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0.80%
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0.80%
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0.45%
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0.80%
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0.30%
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0.30%
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0.30%
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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.
* Reflects Putnam Management’s contractual obligation to limit expenses through 11/30/13.
† For the fund’s most recent fiscal half year; may differ from expense ratios based on one-year data in the financial highlights.
‡ Other expenses for class R5 and class R6 shares have been annualized.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in the fund from February 1, 2013, to July 31, 2013. It also shows how much a $1,000 investment would be worth at the close of the period, assuming
actual returns
and expenses.
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Class A
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Class B
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Class C
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Class M
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Class R
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Class R5
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Class R6
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Class Y
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Expenses paid per $1,000*†
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$1.99
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$3.97
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$3.97
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$2.23
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$3.97
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$1.49
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$1.49
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$1.49
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Ending value (after expenses)
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$1,001.90
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$999.90
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$999.90
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$1,001.60
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$999.90
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$1,002.40
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$1,002.40
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$1,002.40
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* 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 7/31/13. 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; and then dividing that result by the number of days in the year.
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12
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Short Duration Income Fund
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Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended July 31, 2013, use the following calculation method. To find the value of your investment on February 1, 2013, 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.
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Class A
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Class B
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Class C
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Class M
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Class R
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Class R5
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Class R6
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Class Y
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Expenses paid per $1,000*†
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$2.01
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$4.01
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$4.01
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$2.26
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$4.01
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$1.51
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$1.51
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$1.51
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Ending value (after expenses)
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$1,022.81
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$1,020.83
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$1,020.83
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$1,022.56
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$1,020.83
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$1,023.31
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$1,023.31
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$1,023.31
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* 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 7/31/13. 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; and then dividing that result by the number of days in the year.
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Short Duration Income Fund
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13
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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.
Net asset value (NAV)
is the price, or value, of one share of a mutual fund, without a sales charge. Net asset values fluctuate with market conditions, and are calculated by dividing the net assets of each class of shares by the number of outstanding shares in the class.
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 5% maximum during the first year to 1% during the sixth year. After the sixth year, the CDSC no longer applies. The CDSC for class C shares is 1% for one year after purchase.
Share classes
Class A shares
are not subject to an initial sales charge or a CDSC, except that a CDSC may apply to certain redemptions of class A shares obtained by exchanging shares from another Putnam fund that were originally purchased without an initial sales charge if the shares are redeemed within nine months of the original purchase. Exchange of your fund’s class A shares into another Putnam fund may involve an initial sales charge.
Class B shares
are not subject to an initial sales charge. They may be subject to a CDSC.
Class C shares
are not subject to an initial sales charge or a CDSC, except that a CDSC of 1.00% may apply to class C shares obtained in an exchange for class C shares of another Putnam fund if exchanged within one year of the original purchase date.
Class M shares
are not subject to an initial sales charge or a CDSC, except that a CDSC may apply to class M shares that were obtained either directly, or by exchanging shares from another Putnam fund that were originally purchased without a sales charge, from certain rollover accounts if redeemed within one year of purchase. Exchange of your fund’s class M shares into another Putnam fund may involve an initial sales charge.
Class R shares
are not subject to an initial sales charge or CDSC and are available only to certain defined contribution plans.
Class R5 shares and class R6 shares
are not subject to an initial sales charge or CDSC, and carry no 12b-1 fee. They are only available to certain defined contribution plans with assets of at least $50 million.
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.
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
Barclays U.S. Aggregate Bond Index
is an unmanaged index of U.S. investment-grade fixed-income securities.
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14
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Short Duration Income Fund
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BofA Merrill Lynch U.S. Treasury Bill Index
tracks the performance of U.S. dollar denominated U.S. Treasury bills, which represent obligations of the U.S. Government having a maturity of one year or less, and is intended as an approximate measure of the rate of inflation.
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.
Lipper
is a third-party industry-ranking entity that ranks mutual funds. Its rankings do not reflect sales charges. Lipper rankings are based on total return at net asset value relative to other funds that have similar current investment styles or objectives as determined by Lipper. Lipper may change a fund’s category assignment at its discretion. Lipper category averages reflect performance trends for funds within a category.
Other information for shareholders
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, 2013, are available in the Individual Investors section of putnam.com, and on the Securities and Exchange Commission (SEC) 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-Q. Shareholders may obtain the fund’s Forms N-Q on the SEC’s website at www.sec.gov. In addition, the fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. You may call the SEC at 1-800-SEC-0330 for information about the SEC’s website or the operation of the Public Reference Room.
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 July 31, 2013, Putnam employees had approximately $394,000,000 and the Trustees had approximately $94,000,000 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.
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Short Duration Income Fund
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15
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Important notice regarding Putnam’s privacy policy
In order to conduct business with our shareholders, we must obtain certain personal information such as account holders’ names, addresses, Social Security numbers, and dates of birth. Using this information, we are able to maintain accurate records of accounts and transactions.
It is our policy to protect the confidentiality of our shareholder information, whether or not a shareholder currently owns shares of our funds. In particular, it is our policy not to sell information about you or your accounts to outside marketing firms. We have safeguards in place designed to prevent unauthorized access to our computer systems and procedures to protect personal information from unauthorized use.
Under certain circumstances, we must share account information with outside vendors who provide services to us, such as mailings and proxy solicitations. In these cases, the service providers enter into confidentiality agreements with us, and we provide only the information necessary to process transactions and perform other services related to your account. Finally, it is our policy to share account information with your financial representative, if you’ve listed one on your Putnam account.
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Short Duration Income Fund
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Trustee approval of management contract
General conclusions
The Board of Trustees of the Putnam funds oversees the management of each fund and, as required by law, determines annually whether to approve the continuance of your fund’s management contract with Putnam Investment Management (“Putnam Management”) and the sub-management contract with respect to your fund between Putnam Management and its affiliate, Putnam Investments Limited (“PIL”). The Board of Trustees, with the assistance of its Contract Committee, requests and evaluates all information it deems reasonably necessary under the circumstances in connection with its annual contract review. The Contract Committee consists solely of Trustees who are not “interested persons” (as this term is defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Putnam funds (“Independent Trustees”).
At the outset of the review process, members of the Board’s independent staff and independent legal counsel met with representatives of Putnam Management to review the annual contract review materials furnished to the Contract Committee during the course of the previous year’s review and to discuss possible changes in these materials that might be necessary or desirable for the coming year. Following these discussions and in consultation with the Contract Committee, the Independent Trustees’ independent legal counsel requested that Putnam Management furnish specified information, together with any additional information that Putnam Management considered relevant, to the Contract Committee. Over the course of several months ending in June 2013, the Contract Committee met on a number of occasions with representatives of Putnam Management, and separately in executive session, to consider the information that Putnam Management provided. Throughout this
process, the Contract Committee was assisted by the members of the Board’s independent staff and by independent legal counsel for the Putnam funds and the Independent Trustees.
In May 2013, the Contract Committee met in executive session to discuss and consider its preliminary recommendations with respect to the continuance of the contracts. At the Trustees’ June 20, 2013 meeting, the Contract Committee met in executive session with the other Independent Trustees to review a summary of the key financial data that the Contract Committee considered in the course of its review. The Contract Committee then presented its written report, which summarized the key factors that the Committee had considered and set forth its final recommendations. The Contract Committee then recommended, and the Independent Trustees approved, the continuance of your fund’s management and sub-management contracts, effective July 1, 2013, subject to certain changes in these contracts noted below. (Because PIL is an affiliate of Putnam Management and Putnam Management remains fully responsible for all services provided by PIL, the Trustees have not evaluated PIL as a separate entity, and all subsequent references to Putnam Management below should be deemed to include reference to PIL as necessary or appropriate in the context.)
The Independent Trustees’ approval was based on the following conclusions:
•
That the fee schedule in effect for your fund represented reasonable compensation in light of the nature and quality of the services being provided to the fund, the fees paid by competitive funds, and the costs incurred by Putnam Management in providing services to the fund, and
•
That the fee schedule represented an appropriate sharing between fund shareholders and Putnam Management of such economies of
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Short Duration Income Fund
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scale as may exist in the management of the fund at current asset levels.
These conclusions were based on a comprehensive consideration of all information provided to the Trustees and were not the result of any single factor. Some of the factors that figured particularly in the Trustees’ deliberations and how the Trustees considered these factors are described below, although individual Trustees may have evaluated the information presented differently, giving different weights to various factors. It is also important to recognize that the management arrangements for your fund and the other Putnam funds are the result of many years of review and discussion between the Independent Trustees and Putnam Management, that some aspects of the arrangements may receive greater scrutiny in some years than others, and that the Trustees’ conclusions may be based, in part, on their consideration of fee arrangements in previous years. For example, with some minor exceptions, the current fee arrangements in the management contracts for the Putnam funds were implemented at the beginning of 2010 following extensive review and discussion by the Trustees, as well as approval by shareholders.
As noted above, the Trustees considered certain changes to the management contracts of all funds that are organized as series of Putnam Funds Trust, including your fund, that were proposed by Putnam Management in an attempt to consolidate the contracts of these funds into three separate contracts based on the structure of each fund’s management fee. The Independent Trustees’ approval of these consolidated management contracts was based on their conclusion that the changes were purely for administrative convenience and would not result in any substantive change to the terms of a fund’s existing management contract with Putnam Management or any reduction in the nature and quality of services provided to your fund.
The Trustees also considered certain administrative revisions to your fund’s sub-management contract. Putnam Management recommended that the sub-management contract be revised to reduce the sub-management fee that Putnam Management pays to PIL from 40 basis points to 25 basis points with respect to the portion of the portfolios of certain funds, including your fund, that may be allocated to PIL from time to time. These revisions had no effect on the management fees paid by your fund to Putnam Management. The Independent Trustees’ approval of this recommendation was based on their conclusion that these changes would have no practical effect on Putnam Management’s continued responsibility for the management of these funds or the costs borne by fund shareholders and would not result in any reduction in the nature and quality of services provided to the funds.
Management fee schedules and total expenses
The Trustees reviewed the management fee schedules in effect for all Putnam funds, including fee levels and breakpoints. The Trustees also reviewed the total expenses of each Putnam fund, recognizing that in most cases management fees represented the major, but not the sole, determinant of total costs to shareholders.
In reviewing fees and expenses, the Trustees generally focus their attention on material changes in circumstances — for example, changes in assets under management, changes in a fund’s investment style, changes in Putnam Management’s operating costs or profitability, or changes in competitive practices in the mutual fund industry — that suggest that consideration of fee changes might be warranted. The Trustees concluded that the circumstances did not warrant changes to the management fee structure of your fund.
Under its management contract, your fund has the benefit of breakpoints in its management
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Short Duration Income Fund
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fee schedule that provide shareholders with economies of scale in the form of reduced fee levels as assets under management in the Putnam family of funds increase. The Trustees concluded that the fee schedule in effect for your fund represented an appropriate sharing of economies of scale between fund shareholders and Putnam Management.
As in the past, the Trustees also focused on the competitiveness of each fund’s total expense ratio. In order to ensure that expenses of the Putnam funds continue to meet competitive standards, the Trustees and Putnam Management have implemented certain expense limitations. These expense limitations were: (i) a contractual expense limitation applicable to all retail open-end funds of 32 basis points on investor servicing fees and expenses and (ii) a contractual expense limitation applicable to all open-end funds of 20 basis points on so-called “other expenses” (i.e., all expenses exclusive of management fees, investor servicing fees, distribution fees, investment-related expenses, interest, taxes, brokerage commissions, extraordinary expenses and acquired fund fees and expenses). These expense limitations serve in particular to maintain competitive expense levels for funds with large numbers of small shareholder accounts and funds with relatively small net assets. Most funds had sufficiently low expenses that these expense limitations did not apply. However, in the case of your fund, the second of the expense limitations applied during its fiscal year ending in 2012. In addition, Putnam Management agreed to waive fees (and, to the extent necessary, bear other expenses) through at least November 30, 2014 to the extent that the expenses of your fund (excluding brokerage, interest, taxes, investment-related expenses, extraordinary expenses, payments under the fund’s distribution plans, and acquired fund fees and expenses, but including payments under the fund’s investor servicing and investment management contracts) would exceed an
annual rate of 0.30% of the fund’s average net assets. Putnam Management’s support for these expense limitations was an important factor in the Trustees’ decision to approve the continuance of your fund’s management and sub-management contracts.
The Trustees reviewed comparative fee and expense information for a custom group of competitive funds selected by Lipper Inc. This comparative information included your fund’s percentile ranking for effective management fees and total expenses (excluding any applicable 12b-1 fee), which provides a general indication of your fund’s relative standing. In the custom peer group, your fund ranked in the 2nd quintile in effective management fees (determined for your fund and the other funds in the custom peer group based on fund asset size and the applicable contractual management fee schedule) and in the 1st quintile in total expenses (excluding any applicable 12b-1 fees) as of December 31, 2012 (the first quintile representing the least expensive funds and the fifth quintile the most expensive funds). The fee and expense data reported by Lipper as of December 31, 2012 reflected the most recent fiscal year-end data available in Lipper’s database at that time.
In connection with their review of the management fees and total expenses of the Putnam funds, the Trustees also reviewed the costs of the services provided and the profits realized by Putnam Management and its affiliates from their contractual relationships with the funds. This information included trends in revenues, expenses and profitability of Putnam Management and its affiliates relating to the investment management, investor servicing and distribution services provided to the funds. In this regard, the Trustees also reviewed an analysis of Putnam Management’s revenues, expenses and profitability, allocated on a fund-by-fund basis, with respect to the funds’ management, distribution, and investor servicing contracts.
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Short Duration Income Fund
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19
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For each fund, the analysis presented information about revenues, expenses and profitability for each of the agreements separately and for the agreements taken together on a combined basis. The Trustees concluded that, at current asset levels, the fee schedules in place represented reasonable compensation for the services being provided and represented an appropriate sharing of such economies of scale as may exist in the management of the Putnam funds at that time.
The information examined by the Trustees as part of their annual contract review for the Putnam funds has included for many years information regarding fees charged by Putnam Management and its affiliates to institutional clients such as defined benefit pension plans, college endowments, and the like. This information included comparisons of those fees with fees charged to the funds, as well as an assessment of the differences in the services provided to these different types of clients. The Trustees observed that the differences in fee rates between institutional clients and mutual funds are by no means uniform when examined by individual asset sectors, suggesting that differences in the pricing of investment management services to these types of clients may reflect historical competitive forces operating in separate markets. The Trustees considered the fact that in many cases fee rates across different asset classes are higher on average for mutual funds than for institutional clients, as well as the differences between the services that Putnam Management provides to the Putnam funds and those that it provides to its institutional clients. The Trustees did not rely on these comparisons to any significant extent in concluding that the management fees paid by your fund are reasonable.
Investment performance
The quality of the investment process provided by Putnam Management represented a major factor in the Trustees’ evaluation of the quality
of services provided by Putnam Management under your fund’s management contract. The Trustees were assisted in their review of the Putnam funds’ investment process and performance by the work of the investment oversight committees of the Trustees, which meet on a regular basis with the funds’ portfolio teams and with the Chief Investment Officer and other senior members of Putnam Management’s Investment Division throughout the year. The Trustees concluded that Putnam Management generally provides a high-quality investment process — based on the experience and skills of the individuals assigned to the management of fund portfolios, the resources made available to them, and in general Putnam Management’s ability to attract and retain high-quality personnel — but also recognized that this does not guarantee favorable investment results for every fund in every time period.
The Trustees considered that 2012 was a year of strong competitive performance for many of the Putnam funds, with only a relatively small number of exceptions. They noted that this strong performance was exemplified by the fact that the Putnam funds were recognized by Barron’s as the best performing mutual fund complex for 2012—the second time in four years that Putnam Management has achieved this distinction for the Putnam funds. They also noted, however, the disappointing investment performance of some funds for periods ended December 31, 2012 and considered information provided by Putnam Management regarding the factors contributing to the underperformance and actions being taken to improve the performance of these particular funds. The Trustees indicated their intention to continue to monitor performance trends to assess the effectiveness of these efforts and to evaluate whether additional actions to address areas of underperformance are warranted.
For purposes of evaluating investment performance, the Trustees generally focus on
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20
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Short Duration Income Fund
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competitive industry rankings for the one-year, three-year, and five-year periods. For a number of Putnam funds with relatively unique investment mandates, the Trustees evaluated performance based on comparisons of their absolute gross returns with the returns of selected investment benchmarks or targeted annualized returns. In the case of your fund, the Trustees considered that its class A share cumulative total return performance at net asset value was in the 3rd quartile of its Lipper Inc. peer group (Lipper Ultra-Short Obligations Funds) for the one-year period ended December 31, 2012 (the first quartile representing the best-performing funds and the fourth quartile the worst-performing funds). Over the one-year period ended December 31, 2012, there were 88 funds in your fund’s Lipper peer group. Because your fund had only commenced operations on November 17, 2011, the Trustees considered that there had not been a sufficiently long period of time to allow for definitive conclusions about the fund’s performance. (When considering performance information, shareholders should be mindful that past performance is not a guarantee of future results.)
The Trustees also considered a number of other changes that Putnam Management had made in recent years in efforts to support and improve fund performance generally. In particular, the Trustees recognized that Putnam Management has adjusted the compensation structure for portfolio managers and research analysts so that only those who achieve top-quartile returns over a rolling three-year basis are eligible for full bonuses.
Brokerage and soft-dollar allocations; investor servicing
The Trustees considered various potential benefits that Putnam Management may receive in connection with the services it provides under
the management contract with your fund. These include benefits related to brokerage allocation and the use of soft dollars, whereby a portion of the commissions paid by a fund for brokerage may be used to acquire research services that are expected to be useful to Putnam Management in managing the assets of the fund and of other clients. Subject to policies established by the Trustees, soft dollars generated by these means are used primarily to acquire brokerage and research services that enhance Putnam Management’s investment capabilities and supplement Putnam Management’s internal research efforts. However, the Trustees noted that a portion of available soft dollars continues to be used to pay fund expenses. The Trustees indicated their continued intent to monitor regulatory and industry developments in this area with the assistance of their Brokerage Committee and also indicated their continued intent to monitor the allocation of the Putnam funds’ brokerage in order to ensure that the principle of seeking best price and execution remains paramount in the portfolio trading process.
Putnam Management may also receive benefits from payments that the funds make to Putnam Management’s affiliates for investor or distribution services. In conjunction with the annual review of your fund’s management and sub-management contracts, the Trustees reviewed your fund’s investor servicing agreement with Putnam Investor Services, Inc. (“PSERV”) and its distributor’s contracts and distribution plans with Putnam Retail Management Limited Partnership (“PRM”), both of which are affiliates of Putnam Management. The Trustees concluded that the fees payable by the funds to PSERV and PRM, as applicable, for such services are reasonable in relation to the nature and quality of such services, the fees paid by competitive funds, and the costs incurred by PSERV and PRM, as applicable, in providing such services.
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Short Duration Income Fund
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21
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Financial statements
These sections of the report, as well as the accompanying Notes, preceded by the Report of Independent Registered Public Accounting Firm, 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 year.
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.
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.
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22
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Short Duration Income Fund
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Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
Putnam Funds Trust:
We have audited the accompanying statement of assets and liabilities of Putnam Short Duration Income Fund (the fund), a series of Putnam Funds Trust, including the fund’s portfolio, as of July 31, 2013, and the related statement of operations for the year then ended, and the statements of changes in net assets and the financial highlights for the year then ended and the period from October 17, 2011 (commencement of operations) to July 31, 2012. These financial statements and financial highlights are the responsibility of the fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of July 31, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Putnam Short Duration Income Fund as of July 31, 2013, the results of its operations, the changes in its net assets and the financial highlights for the periods specified in the first paragraph above, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
September 11, 2013
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Short Duration Income Fund
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23
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The fund’s portfolio
7/31/13
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|
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|
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Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
|
rate (%)
|
date
|
amount
|
Value
|
|
Banking (33.8%)
|
|
|
|
|
Abbey National Treasury Services PLC (London) bank
|
|
|
|
|
guaranty sr. unsec. unsub. notes (United Kingdom)
|
2.875
|
4/25/14
|
$4,410,000
|
$4,477,279
|
|
Abbey National Treasury Services PLC/London
|
|
|
|
|
bank guaranty sr. unsec. unsub. notes FRN
|
|
|
|
|
(United Kingdom)
|
1.844
|
4/25/14
|
3,597,000
|
3,628,467
|
|
ABN Amro Bank NV 144A sr. unsec. FRN
|
|
|
|
|
notes (Netherlands)
|
2.035
|
1/30/14
|
1,000,000
|
1,007,050
|
|
ABN Amro Bank NV 144A sr. unsec.
|
|
|
|
|
notes (Netherlands)
|
3.000
|
1/31/14
|
6,100,000
|
6,163,214
|
|
ABN Amro Bank NV 144A sr. unsec. unsub.
|
|
|
|
|
notes (Netherlands)
|
1.375
|
1/22/16
|
2,000,000
|
1,996,000
|
|
American Express Centurion Bank company guaranty
|
|
|
|
|
sr. unsec. FRN notes
|
0.725
|
11/13/15
|
1,000,000
|
1,001,145
|
|
Australia & New Zealand Banking Group, Ltd. sr.
|
|
|
|
|
unsec. notes (Australia)
|
2.125
|
9/19/14
|
586,000
|
593,753
|
|
Australia & New Zealand Banking Group, Ltd. 144A
|
|
|
|
|
bank guaranty sr. unsec. unsub. FRN notes (Australia)
|
0.466
|
5/7/15
|
4,850,000
|
4,853,240
|
|
Australia & New Zealand Banking Group, Ltd. 144A sr.
|
|
|
|
|
unsec. notes (Australia)
|
3.700
|
1/13/15
|
850,000
|
883,235
|
|
Australia & New Zealand Banking Group, Ltd. 144A sr.
|
|
|
|
|
unsec. unsub. FRN notes (Australia)
|
1.009
|
1/10/14
|
1,450,000
|
1,454,597
|
|
Australia & New Zealand Banking Group, Ltd. 144A sr.
|
|
|
|
|
unsec. unsub. FRN notes (Australia)
|
0.943
|
9/24/13
|
1,000,000
|
1,000,918
|
|
Bank of America Corp. sr. unsec. FRN notes
|
1.093
|
3/22/16
|
7,000,000
|
6,998,219
|
|
Bank of America Corp. sr. unsec. FRN notes
|
0.603
|
9/15/14
|
2,000,000
|
1,998,040
|
|
Bank of America Corp. sr. unsec. notes
|
5.375
|
6/15/14
|
1,250,000
|
1,303,966
|
|
Bank of America Corp. sr. unsec. unsub. FRN notes
|
1.819
|
7/11/14
|
1,000,000
|
1,010,944
|
|
Bank of America Corp. sr. unsec. unsub. notes
|
7.375
|
5/15/14
|
530,000
|
556,580
|
|
Bank of America Corp. sr. unsec. unsub. notes
|
4.500
|
4/1/15
|
440,000
|
462,394
|
|
Bank of Montreal sr. unsec. unsub. FRN notes
|
|
|
|
|
Ser. MTN (Canada)
|
0.788
|
7/15/16
|
5,000,000
|
5,007,325
|
|
Bank of Montreal sr. unsec. unsub. FRN notes
|
|
|
|
|
Ser. MTN (Canada)
|
0.745
|
9/11/15
|
790,000
|
793,073
|
|
Bank of New York Mellon Corp. (The) sr.
|
|
|
|
|
unsec. FRN notes
|
0.495
|
10/23/15
|
7,390,000
|
7,402,142
|
|
Bank of New York Mellon Corp. (The) sr. unsec.
|
|
|
|
|
unsub. FRN notes
|
0.534
|
7/28/14
|
1,080,000
|
1,081,315
|
|
Bank of New York Mellon Corp. (The) sr. unsec. unsub.
|
|
|
|
|
FRN notes Ser. MTN
|
1.124
|
11/24/14
|
400,000
|
403,420
|
|
Bank of Nova Scotia sr. unsec. unsub. FRN
|
|
|
|
|
notes (Canada)
|
0.788
|
7/15/16
|
3,000,000
|
3,002,646
|
|
Bank of Nova Scotia sr. unsec. unsub. FRN
|
|
|
|
|
notes (Canada)
|
0.673
|
3/15/16
|
3,000,000
|
3,000,025
|
|
Bank of Nova Scotia sr. unsec. unsub. notes (Canada)
|
3.400
|
1/22/15
|
711,000
|
739,451
|
|
Bank of Nova Scotia sr. unsec. unsub. notes (Canada)
|
0.750
|
10/9/15
|
1,000,000
|
997,078
|
|
Bank of Tokyo-Mitsubishi UFJ, Ltd. 144A sr. unsec.
|
|
|
|
|
FRN notes (Japan)
|
0.934
|
2/24/14
|
550,000
|
551,622
|
|
|
|
24
|
Short Duration Income Fund
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Banking
cont.
|
|
|
|
|
Bank of Tokyo-Mitsubishi UFJ, Ltd. 144A sr. unsec.
|
|
|
|
|
notes (Japan)
|
3.850
|
1/22/15
|
$670,000
|
$698,408
|
|
Bank of Tokyo-Mitsubishi UFJ, Ltd. 144A sr. unsec.
|
|
|
|
|
notes (Japan)
|
2.450
|
9/11/15
|
1,295,000
|
1,333,733
|
|
Bank of Tokyo-Mitsubishi UFJ, Ltd. 144A sr. unsec.
|
|
|
|
|
notes (Japan)
|
1.600
|
9/11/13
|
1,265,000
|
1,266,262
|
|
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr.
|
|
|
|
|
unsec. FRN notes (Japan)
|
0.723
|
2/26/16
|
5,160,000
|
5,156,040
|
|
Bank of Tokyo-Mitsubishi UFJ, Ltd. (The) 144A sr.
|
|
|
|
|
unsec. notes (Japan)
|
1.000
|
2/26/16
|
500,000
|
496,292
|
|
Barclays Bank PLC sr. unsec. unsub. FRN notes
|
|
|
|
|
(United Kingdom)
|
1.308
|
1/13/14
|
200,000
|
200,848
|
|
Barclays Bank PLC sr. unsec. unsub. notes
|
|
|
|
|
(United Kingdom)
|
5.200
|
7/10/14
|
1,300,000
|
1,353,443
|
|
Barclays Bank PLC sr. unsec. unsub. notes
|
|
|
|
|
(United Kingdom)
|
3.900
|
4/7/15
|
1,814,000
|
1,901,798
|
|
Barclays Bank PLC sr. unsec. unsub. notes
|
|
|
|
|
(United Kingdom)
|
2.375
|
1/13/14
|
1,405,000
|
1,416,424
|
|
Barclays Bank PLC unsec. sub. notes
|
|
|
|
|
(United Kingdom)
|
5.015
|
11/12/13
|
2,600,000
|
2,624,960
|
|
BB&T Corp. sr. unsec. notes
|
5.700
|
4/30/14
|
2,081,000
|
2,160,398
|
|
BB&T Corp. sr. unsec. unsub. notes Ser. MTN
|
3.375
|
9/25/13
|
1,670,000
|
1,676,799
|
|
BB&T Corp. unsec. sub. notes
|
5.200
|
12/23/15
|
1,915,000
|
2,091,155
|
|
BNP Paribas SA sr. unsec. unsub. FRN notes
|
|
|
|
|
Ser. MTN (France)
|
3.022
|
12/20/14
|
3,136,000
|
3,235,935
|
|
BNY Mellon NA unsec. sub. notes
|
4.750
|
12/15/14
|
472,000
|
495,475
|
|
BPCE SA sr. unsec. unsub. FRN notes
|
|
|
|
|
Ser. MTN (France)
|
1.516
|
4/25/16
|
1,000,000
|
1,007,517
|
|
BPCE SA 144A company guaranty sr. unsec. FRN
|
|
|
|
|
notes (France)
|
2.023
|
2/7/14
|
3,550,000
|
3,574,357
|
|
BPCE SA 144A sr. unsec. unsub. notes (France)
|
2.375
|
10/4/13
|
6,070,000
|
6,087,536
|
|
Branch Banking & Trust Co. unsec. sub. FRN notes
|
0.592
|
9/13/16
|
4,665,000
|
4,596,900
|
|
Canadian Imperial Bank of Commerce/Canada sr.
|
|
|
|
|
unsec. unsub. notes (Canada)
|
0.900
|
10/1/15
|
1,200,000
|
1,202,668
|
|
Canadian Imperial Bank of Commerce/Canada sr.
|
|
|
|
|
unsec. unsub. notes (Canada)
|
0.786
|
7/18/16
|
3,000,000
|
3,004,440
|
|
Capital One Financial Corp. sr. unsec.
|
|
|
|
|
unsub. FRN notes
|
1.418
|
7/15/14
|
1,900,000
|
1,912,627
|
|
Capital One Financial Corp. sr. unsec.
|
|
|
|
|
unsub. FRN notes
|
0.913
|
11/6/15
|
890,000
|
890,993
|
|
Capital One Financial Corp. sr. unsec. unsub. notes
|
7.375
|
5/23/14
|
3,195,000
|
3,364,543
|
|
Capital One Financial Corp. sr. unsec. unsub. notes
|
6.250
|
11/15/13
|
250,000
|
253,992
|
|
Capital One Financial Corp. sr. unsec. unsub. notes
|
2.150
|
3/23/15
|
1,000,000
|
1,017,126
|
|
Capital One Financial Corp. sr. unsec. unsub. notes
|
2.125
|
7/15/14
|
500,000
|
506,317
|
|
Capital One NA/Mclean VA sr. unsec. FRN notes
|
0.723
|
3/22/16
|
3,000,000
|
2,986,600
|
|
Citigroup, Inc. company guaranty sr. notes
|
1.226
|
7/25/16
|
3,000,000
|
3,007,987
|
|
Citigroup, Inc. sr. unsec. FRN notes
|
1.064
|
4/1/16
|
3,700,000
|
3,708,799
|
|
Citigroup, Inc. sr. unsec. notes
|
6.010
|
1/15/15
|
1,131,000
|
1,209,529
|
|
Citigroup, Inc. sr. unsec. notes
|
6.000
|
12/13/13
|
550,000
|
560,731
|
|
|
|
Short Duration Income Fund
|
25
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Banking
cont.
|
|
|
|
|
Citigroup, Inc. sr. unsec. notes
|
5.500
|
10/15/14
|
$4,251,000
|
$4,472,851
|
|
Commonwealth Bank of Australia 144A company
|
|
|
|
|
guaranty sr. unsec. unsub. notes (Australia)
|
1.073
|
9/18/15
|
4,600,000
|
4,641,372
|
|
Commonwealth Bank of Australia 144A sr. unsec.
|
|
|
|
|
notes (Australia)
|
3.750
|
10/15/14
|
2,029,000
|
2,101,199
|
|
Commonwealth Bank of Australia/New York, NY sr.
|
|
|
|
|
unsec. FRN notes
|
1.250
|
9/18/15
|
480,000
|
484,743
|
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank
|
|
|
|
|
B.A. (Netherlands) sr. unsec. FRN
|
|
|
|
|
notes (Netherlands)
|
0.753
|
3/18/16
|
4,000,000
|
4,006,343
|
|
Credit Agricole SA (London) 144A sr. unsec. notes
|
|
|
|
|
(United Kingdom)
|
2.625
|
1/21/14
|
4,750,000
|
4,787,050
|
|
Credit Agricole SA/London 144A company guaranty
|
|
|
|
|
sr. unsec. unsub. notes (United Kingdom)
|
1.428
|
4/15/16
|
2,000,000
|
2,011,174
|
|
Credit Suisse of New York sr. unsec. notes
|
5.500
|
5/1/14
|
500,000
|
518,250
|
|
Credit Suisse of New York sr. unsec. notes
|
2.200
|
1/14/14
|
450,000
|
453,493
|
|
Danske Bank A/S 144A sr. unsec. unsub. FRN
|
|
|
|
|
notes (Denmark)
|
1.318
|
4/14/14
|
9,150,000
|
9,190,040
|
|
DNB Boligkreditt AS 144A sr. unsub. bonds (Norway)
|
2.100
|
10/14/15
|
2,500,000
|
2,566,500
|
|
Fifth Third Bank/Cincinnati, Ohio sr. unsec. notes
|
0.900
|
2/26/16
|
3,340,000
|
3,299,870
|
|
Fifth Third Bank/Cincinnati, Ohio sr. unsec.
|
|
|
|
|
notes Ser. BKNT
|
4.750
|
2/1/15
|
800,000
|
841,919
|
|
Fifth Third Bank/Ohio sr. unsec. FRN notes
|
0.683
|
2/26/16
|
6,700,000
|
6,693,134
|
|
HBSC Bank USA NA /New York NY unsec. sub. notes
|
|
|
|
|
(United Kingdom)
|
4.625
|
4/1/14
|
4,235,000
|
4,345,686
|
|
HSBC Bank PLC 144A sr. unsec. notes
|
|
|
|
|
(United Kingdom)
|
1.625
|
8/12/13
|
200,000
|
200,053
|
|
HSBC Bank PLC 144A sr. unsec. sub. FRN notes
|
|
|
|
|
(United Kingdom)
|
1.068
|
1/17/14
|
750,000
|
752,855
|
|
HSBC Finance Corp. notes
|
5.000
|
6/30/15
|
1,943,000
|
2,078,079
|
|
HSBC Finance Corp. sr. unsec. FRN notes
|
5.250
|
4/15/15
|
1,981,000
|
2,116,562
|
|
HSBC Finance Corp. sr. unsec. unsub. notes
|
0.518
|
1/15/14
|
2,225,000
|
2,224,557
|
|
ING Bank N.V. 144A sr. unsec. FRN
|
|
|
|
|
notes (Netherlands)
|
1.224
|
3/7/16
|
2,000,000
|
2,004,612
|
|
ING Bank NV 144A sr. unsec. FRN
|
|
|
|
|
notes (Netherlands)
|
1.913
|
9/25/15
|
5,226,000
|
5,322,806
|
|
ING Bank NV 144A sr. unsec. notes (Netherlands)
|
2.375
|
6/9/14
|
2,500,000
|
2,531,650
|
|
ING Bank NV 144A sr. unsec. notes (Netherlands)
|
2.000
|
10/18/13
|
850,000
|
852,304
|
|
JPMorgan Chase & Co. sr. unsec. unsub. FRN notes
|
0.715
|
4/23/15
|
1,000,000
|
998,445
|
|
JPMorgan Chase & Co. unsec. sub. FRN notes
|
1.476
|
9/1/15
|
2,412,000
|
2,412,620
|
|
JPMorgan Chase & Co. unsec. sub. notes
|
5.125
|
9/15/14
|
950,000
|
993,086
|
|
JPMorgan Chase Bank NA unsec. sub. FRN notes
|
0.602
|
6/13/16
|
8,155,000
|
8,032,757
|
|
KeyBank N.A./Cleveland OH unsec. sub. notes
|
5.800
|
7/1/14
|
2,240,000
|
2,341,228
|
|
KeyBank NA/Cleveland, OH company guaranty sr.
|
|
|
|
|
unsec. notes Ser. MTN
|
5.450
|
3/3/16
|
5,000,000
|
5,513,378
|
|
KeyCorp sr. unsec. unsub. notes
|
3.750
|
8/13/15
|
2,500,000
|
2,637,732
|
|
Lloyds TSB Bank PLC bank guaranty sr. unsec. FRN
|
|
|
|
|
notes (United Kingdom)
|
2.615
|
1/24/14
|
445,000
|
449,389
|
|
|
|
26
|
Short Duration Income Fund
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Banking
cont.
|
|
|
|
|
Lloyds TSB Bank PLC bank guaranty sr. unsec. unsub.
|
|
|
|
|
notes (United Kingdom)
|
4.875
|
1/21/16
|
$1,025,000
|
$1,110,722
|
|
Lloyds TSB Bank PLC 144A bank guaranty sr. unsec.
|
|
|
|
|
notes (United Kingdom)
|
4.375
|
1/12/15
|
9,379,000
|
9,796,647
|
|
Manufacturers & Traders Trust Co. sr. unsec.
|
|
|
|
|
notes Ser. BKNT
|
0.574
|
3/7/16
|
10,000,000
|
9,961,108
|
|
Mellon Funding Corp. company guaranty
|
|
|
|
|
unsec. sub. notes
|
5.000
|
12/1/14
|
1,600,000
|
1,688,651
|
|
Mizuho Financial Group Cayman, Ltd. 144A unsec.
|
|
|
|
|
sub. notes (Cayman Islands)
|
5.790
|
4/15/14
|
6,675,000
|
6,900,034
|
|
National Australia Bank, Ltd. sr. unsec. FRN
|
|
|
|
|
notes (Australia)
|
1.403
|
8/7/15
|
1,000,000
|
1,016,941
|
|
National Australia Bank, Ltd. sr. unsec.
|
|
|
|
|
notes (Australia)
|
1.700
|
12/10/13
|
290,000
|
291,247
|
|
National Australia Bank, Ltd. 144A FRN
|
|
|
|
|
notes (Australia)
|
0.975
|
11/8/13
|
520,000
|
520,915
|
|
National Australia Bank, Ltd. 144A sr. unsec. FRN
|
|
|
|
|
notes (Australia)
|
0.566
|
1/22/15
|
1,350,000
|
1,352,267
|
|
National Australia Bank, Ltd. 144A sr. unsec.
|
|
|
|
|
notes (Australia)
|
1.700
|
12/10/13
|
350,000
|
351,505
|
|
National Australia Bank, Ltd. 144A sr. unsec. unsub.
|
|
|
|
|
FRN notes (Australia)
|
1.214
|
7/25/14
|
1,520,000
|
1,533,686
|
|
National Australia Bank, Ltd./New York company
|
|
|
|
|
guaranty sr. unsec. notes (Australia)
|
0.816
|
7/25/16
|
6,000,000
|
6,000,000
|
|
National Australia Bank, Ltd./New York sr. unsec.
|
|
|
|
|
notes (Australia)
|
1.600
|
8/7/15
|
362,000
|
367,323
|
|
National Australia Bank, Ltd./New York sr. unsec.
|
|
|
|
|
notes Ser. MTN (Australia)
|
2.000
|
3/9/15
|
140,000
|
142,928
|
|
National Bank of Canada bank guaranty sr. unsec.
|
|
|
|
|
notes (Canada)
|
1.500
|
6/26/15
|
3,285,000
|
3,328,766
|
|
Nationwide Building Society 144A sr. unsec. notes
|
|
|
|
|
(United Kingdom)
|
4.650
|
2/25/15
|
354,000
|
370,985
|
|
Nationwide Building Society 144A sr. unsec. sub.
|
|
|
|
|
notes (United Kingdom)
|
5.250
|
1/15/14
|
8,169,000
|
8,309,646
|
|
Nordea Bank AB 144A sr. unsec. FRN notes (Sweden)
|
1.168
|
1/14/14
|
1,350,000
|
1,355,704
|
|
Nordea Bank AB 144A sr. unsec. notes (Sweden)
|
2.250
|
3/20/15
|
210,000
|
214,326
|
|
Nordea Bank AB 144A sr. unsec. notes (Sweden)
|
0.735
|
5/13/16
|
3,500,000
|
3,498,060
|
|
Nordea Bank AB 144A sr. unsec. unsub.
|
|
|
|
|
notes (Sweden)
|
3.700
|
11/13/14
|
2,400,000
|
2,486,400
|
|
Northern Trust Corp. sr. unsec. unsub. notes
|
4.625
|
5/1/14
|
438,000
|
451,648
|
|
PNC Bank N.A. company guaranty sr. unsec.
|
|
|
|
|
notes Ser. BKNT
|
0.584
|
4/29/16
|
3,000,000
|
2,997,666
|
|
PNC Bank N.A. sr. unsec. FRN notes
|
0.574
|
1/28/16
|
1,954,000
|
1,950,315
|
|
PNC Funding Corp. sr. unsec. FRN notes
|
0.466
|
1/31/14
|
250,000
|
250,011
|
|
PNC Funding Corp. sr. unsec. notes
|
5.400
|
6/10/14
|
1,768,000
|
1,841,001
|
|
PNC Funding Corp. sr. unsec. notes
|
3.000
|
5/19/14
|
1,598,000
|
1,629,592
|
|
PNC Funding Corp. sr. unsec. unsub. FRN notes
|
5.250
|
11/15/15
|
1,884,000
|
2,047,833
|
|
Rabobank Nederland 144A sr. unsec.
|
|
|
|
|
notes (Netherlands)
|
4.200
|
5/13/14
|
2,000,000
|
2,057,178
|
|
|
|
Short Duration Income Fund
|
27
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Banking
cont.
|
|
|
|
|
Royal Bank of Canada sr. unsec. FRN notes (Canada)
|
0.965
|
10/30/14
|
$6,650,000
|
$6,700,008
|
|
Royal Bank of Canada sr. unsec. FRN notes (Canada)
|
0.644
|
3/8/16
|
2,000,000
|
2,003,143
|
|
Royal Bank of Canada sr. unsec. unsub. FRN notes
|
|
|
|
|
Ser. MTN1 (Canada)
|
0.568
|
4/17/14
|
570,000
|
571,271
|
|
Royal Bank of Scotland PLC (The) bank guaranty sr.
|
|
|
|
|
unsec. unsub. notes (United Kingdom)
|
4.375
|
3/16/16
|
1,785,000
|
1,902,971
|
|
Royal Bank of Scotland PLC (The) company guaranty
|
|
|
|
|
sr. unsec. unsub. FRN notes (United Kingdom)
|
2.694
|
8/23/13
|
967,000
|
967,916
|
|
Royal Bank of Scotland PLC (The) company guaranty
|
|
|
|
|
sr. unsec. unsub. notes Ser. 2 (United Kingdom)
|
3.400
|
8/23/13
|
1,350,000
|
1,351,769
|
|
Royal Bank of Scotland PLC (The) sr. unsec. unsub.
|
|
|
|
|
notes (United Kingdom)
|
3.250
|
1/11/14
|
500,000
|
504,900
|
|
Royal Bank of Scotland PLC (The) sr. unsec. unsub.
|
|
|
|
|
notes (United Kingdom)
|
2.550
|
9/18/15
|
615,000
|
627,783
|
|
Royal Bank of Scotland PLC (The) 144A company
|
|
|
|
|
guaranty sr. unsec. unsub. notes (United Kingdom)
|
4.875
|
8/25/14
|
4,100,000
|
4,248,680
|
|
Royal Bank of Scotland PLC/The sr. unsec. notes
|
|
|
|
|
(United Kingdom)
|
4.875
|
3/16/15
|
750,000
|
788,583
|
|
Santander Holdings USA, Inc. sr. unsec. unsub. notes
|
4.625
|
4/19/16
|
2,000,000
|
2,125,266
|
|
Societe Generale SA 144A company guaranty sr.
|
|
|
|
|
notes (France)
|
1.319
|
4/11/14
|
1,400,000
|
1,405,940
|
|
Societe Generale SA 144A sr. unsec. notes (France)
|
2.500
|
1/15/14
|
5,218,000
|
5,254,004
|
|
Societe Generale SA 144A sr. unsec. notes (France)
|
2.200
|
9/14/13
|
1,700,000
|
1,702,720
|
|
Societe Generale SA 144A sr. unsec. unsub. FRN
|
|
|
|
|
notes (France)
|
3.100
|
9/14/15
|
1,450,000
|
1,499,829
|
|
Standard Chartered PLC 144A sr. unsec. unsub. notes
|
|
|
|
|
(United Kingdom)
|
5.500
|
11/18/14
|
1,825,000
|
1,927,206
|
|
Standard Chartered PLC 144A sr. unsec. unsub. notes
|
|
|
|
|
(United Kingdom)
|
3.850
|
4/27/15
|
4,480,000
|
4,682,250
|
|
State Street Corp. sr. unsec. unsub. FRN notes
|
0.624
|
3/7/14
|
795,000
|
796,855
|
|
Sumitomo Mitsui Banking Corp. sr. unsec.
|
|
|
|
|
notes (Japan)
|
1.350
|
7/18/15
|
1,450,000
|
1,462,631
|
|
Sumitomo Mitsui Banking Corp. sr. unsec.
|
|
|
|
|
notes (Japan)
|
0.936
|
7/19/16
|
3,250,000
|
3,250,001
|
|
Sumitomo Mitsui Banking Corp. 144A sr. unsec.
|
|
|
|
|
notes (Japan)
|
1.950
|
1/14/14
|
1,500,000
|
1,508,736
|
|
Sumitomo Mitsui Banking Corp. 144A sr. unsec.
|
|
|
|
|
notes (Japan)
|
1.900
|
7/22/14
|
380,000
|
384,343
|
|
Sumitomo Mitsui Banking Corp. 144A sr. unsec.
|
|
|
|
|
unsub. bonds (Japan)
|
3.150
|
7/22/15
|
1,600,000
|
1,665,491
|
|
Svenska Handelsbanken AB sr. unsec. FRN
|
|
|
|
|
notes (Sweden)
|
0.722
|
3/21/16
|
8,410,000
|
8,423,380
|
|
Swetbank Hypotek AB 144A bank guaranty sr. unsub.
|
|
|
|
|
bonds (Sweden)
|
2.950
|
3/28/16
|
425,000
|
446,509
|
|
Swetbank Hypotek AB 144A bank guaranty unsub.
|
|
|
|
|
notes (Sweden)
|
0.726
|
3/28/14
|
1,110,000
|
1,110,175
|
|
Toronto-Dominion Bank (The) sr. unsec. unsub. FRN
|
|
|
|
|
notes Ser. MTN (Canada)
|
0.453
|
5/1/15
|
4,000,000
|
4,000,002
|
|
UBS AG/Stamford CT sr. unsec. FRN notes
|
1.264
|
1/28/14
|
1,331,000
|
1,337,248
|
|
|
|
28
|
Short Duration Income Fund
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Banking
cont.
|
|
|
|
|
UBS AG/Stamford CT sr. unsec. notes
|
2.250
|
1/28/14
|
$1,393,000
|
$1,405,866
|
|
UBS AG/Stamford CT sr. unsec. notes Ser. DPNT
|
3.875
|
1/15/15
|
1,500,000
|
1,564,809
|
|
UBS AG/Stamford, CT sr. notes
|
7.375
|
7/15/15
|
3,375,000
|
3,713,840
|
|
US Bancorp sr. unsec. unsub. notes
|
4.200
|
5/15/14
|
100,000
|
103,040
|
|
US Bank NA unsec. sub. FRN notes
|
0.548
|
10/14/14
|
2,114,000
|
2,118,025
|
|
US Bank NA unsec. sub. notes
|
6.300
|
2/4/14
|
288,000
|
296,177
|
|
US Bank NA unsec. sub. notes
|
4.950
|
10/30/14
|
2,958,000
|
3,112,467
|
|
US Bank NA unsec. sub. notes
|
4.800
|
4/15/15
|
3,250,000
|
3,465,534
|
|
Wachovia Corp. unsec. sub. FRN notes
|
0.638
|
10/15/16
|
1,000,000
|
986,586
|
|
Wachovia Corp. unsec. sub. FRN notes
|
0.605
|
10/28/15
|
7,544,000
|
7,476,066
|
|
Wells Fargo & Co. unsec. sub. notes
|
4.950
|
10/16/13
|
170,000
|
171,503
|
|
Wells Fargo Bank NA unsec. sub. FRN notes
|
0.484
|
5/16/16
|
2,000,000
|
1,975,990
|
|
Westpac Banking Corp. sr. unsec. unsub. FRN
|
|
|
|
|
notes (Australia)
|
1.033
|
9/25/15
|
3,245,000
|
3,277,184
|
|
Westpac Banking Corp. sr. unsec. unsub.
|
|
|
|
|
notes (Australia)
|
4.200
|
2/27/15
|
150,000
|
158,083
|
|
Westpac Banking Corp. sr. unsec. unsub.
|
|
|
|
|
notes (Australia)
|
3.000
|
8/4/15
|
2,000,000
|
2,088,678
|
|
Westpac Banking Corp. sr. unsec. unsub.
|
|
|
|
|
notes (Australia)
|
1.125
|
9/25/15
|
1,330,000
|
1,336,635
|
|
Westpac Banking Corp. 144A sr. unsec. FRN
|
|
|
|
|
notes (Australia)
|
1.204
|
2/24/14
|
700,000
|
703,600
|
|
|
|
|
|
389,670,305
|
Basic materials (0.6%)
|
|
|
|
|
Airgas, Inc. sr. unsec. unsub. notes
|
2.850
|
10/1/13
|
5,448,000
|
5,466,153
|
|
BHP Billiton Finance USA, Ltd. company guaranty sr.
|
|
|
|
|
unsec. FRN notes (Australia)
|
0.544
|
2/18/14
|
1,117,000
|
1,118,454
|
|
|
|
|
|
6,584,607
|
Capital goods (1.0%)
|
|
|
|
|
Caterpillar Financial Services Corp. sr.
|
|
|
|
|
unsec. FRN notes
|
0.575
|
12/11/13
|
350,000
|
350,482
|
|
Caterpillar Financial Services Corp. sr.
|
|
|
|
|
unsec. FRN notes
|
0.564
|
4/1/14
|
1,290,000
|
1,292,276
|
|
Caterpillar Financial Services Corp. sr. unsec. notes
|
6.125
|
2/17/14
|
880,000
|
907,210
|
|
Caterpillar Financial Services Corp. sr. unsec.
|
|
|
|
|
notes Ser. MTN
|
4.750
|
2/17/15
|
585,000
|
621,823
|
|
Caterpillar Financial Services Corp. sr. unsec.
|
|
|
|
|
unsub. notes
|
1.125
|
12/15/14
|
650,000
|
655,601
|
|
Caterpillar Financial Services Corp. sr. unsec. unsub.
|
|
|
|
|
notes Ser. MTN
|
4.900
|
8/15/13
|
354,000
|
354,447
|
|
John Deere Capital Corp. sr. unsec. FRN notes
|
0.416
|
4/25/14
|
1,000,000
|
1,001,156
|
|
John Deere Capital Corp. sr. unsec. FRN notes
|
0.371
|
10/8/14
|
480,000
|
480,123
|
|
John Deere Capital Corp. sr. unsec. unsub. FRN notes
|
0.674
|
10/4/13
|
564,000
|
564,513
|
|
John Deere Capital Corp. sr. unsec. unsub.
|
|
|
|
|
notes Ser. MTN
|
2.950
|
3/9/15
|
1,000,000
|
1,036,438
|
|
John Deere Capital Corp. unsec. FRN notes
|
0.339
|
1/12/15
|
2,000,000
|
2,000,014
|
|
United Technologies Corp. sr. unsec.
|
|
|
|
|
unsub. FRN notes
|
0.545
|
12/2/13
|
1,700,000
|
1,701,698
|
|
|
|
|
|
10,965,781
|
|
|
Short Duration Income Fund
|
29
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Communication services (2.6%)
|
|
|
|
|
Alltel Corp. sr. unsec. notes
|
6.500
|
11/1/13
|
$250,000
|
$253,508
|
|
AT&T, Inc. sr. unsec. unsub. FRN notes
|
0.660
|
2/12/16
|
3,000,000
|
3,006,477
|
|
AT&T, Inc. sr. unsec. unsub. notes
|
0.800
|
12/1/15
|
3,000,000
|
2,992,345
|
|
BellSouth Corp. sr. unsec. unsub. bonds
|
5.200
|
9/15/14
|
3,645,000
|
3,819,570
|
|
British Telecommunications PLC sr. unsec. unsub.
|
|
|
|
|
FRN notes (United Kingdom)
|
1.397
|
12/20/13
|
3,550,000
|
3,562,599
|
|
Cellco Partnership/Verizon Wireless Capital, LLC sr.
|
|
|
|
|
unsec. unsub. notes
|
7.375
|
11/15/13
|
2,400,000
|
2,444,150
|
|
Comcast Corp. company guaranty sr. unsec.
|
|
|
|
|
unsub. notes
|
5.850
|
11/15/15
|
2,700,000
|
3,001,334
|
|
Deutsche Telekom International Finance BV company
|
|
|
|
|
guaranty sr. unsec. notes (Netherlands)
|
4.875
|
7/8/14
|
4,484,000
|
4,655,943
|
|
Deutsche Telekom International Finance BV company
|
|
|
|
|
guaranty sr. unsec. unsub. notes (Netherlands)
|
5.875
|
8/20/13
|
2,315,000
|
2,319,676
|
|
Verizon New England, Inc. sr. unsec. debs. Ser. C
|
4.750
|
10/1/13
|
3,300,000
|
3,322,167
|
|
|
|
|
|
29,377,769
|
Consumer cyclicals (5.0%)
|
|
|
|
|
Clorox Co. (The) sr. unsec. notes
|
3.550
|
11/1/15
|
1,000,000
|
1,054,962
|
|
Daimler Finance North America, LLC 144A company
|
|
|
|
|
guaranty sr. unsec. FRN notes
|
1.472
|
9/13/13
|
2,902,000
|
2,904,980
|
|
Daimler Finance North America, LLC 144A company
|
|
|
|
|
guaranty sr. unsec. notes
|
1.950
|
3/28/14
|
2,685,000
|
2,701,421
|
|
Daimler Finance North America, LLC 144A company
|
|
|
|
|
guaranty sr. unsec. unsub. FRN notes
|
0.886
|
3/28/14
|
710,000
|
711,638
|
|
Daimler Finance North America, LLC 144A company
|
|
|
|
|
guaranty sr. unsec. unsub. notes
|
0.945
|
8/1/16
|
4,000,000
|
4,003,532
|
|
Ford Motor Credit Co., LLC company guaranty sr.
|
|
|
|
|
unsec. notes
|
1.525
|
5/9/16
|
2,315,000
|
2,320,007
|
|
Ford Motor Credit Co., LLC sr. unsec. unsub. notes
|
8.700
|
10/1/14
|
500,000
|
541,321
|
|
Harley-Davidson Financial Services, Inc. 144A
|
|
|
|
|
company guaranty sr. unsec. notes
|
1.150
|
9/15/15
|
1,200,000
|
1,198,777
|
|
Harley-Davidson Funding Corp. 144A company
|
|
|
|
|
guaranty sr. unsec. notes
|
5.750
|
12/15/14
|
2,572,000
|
2,736,755
|
|
Home Depot, Inc. (The) sr. unsec. unsub. notes
|
5.400
|
3/1/16
|
5,266,000
|
5,860,658
|
|
Home Depot, Inc. (The) sr. unsec. unsub. notes
|
5.250
|
12/16/13
|
360,000
|
366,342
|
|
Macy’s Retail Holdings, Inc. company guaranty sr.
|
|
|
|
|
unsec. notes
|
7.625
|
8/15/13
|
300,000
|
300,520
|
|
Macy’s Retail Holdings, Inc. company guaranty sr.
|
|
|
|
|
unsec. notes
|
5.750
|
7/15/14
|
7,010,000
|
7,335,930
|
|
NBCUniversal Enterprise, Inc. 144A company
|
|
|
|
|
guaranty sr. unsec. FRN notes
|
0.805
|
4/15/16
|
4,350,000
|
4,366,148
|
|
Nissan Motor Acceptance Corp. 144A sr. unsec. notes
|
4.500
|
1/30/15
|
2,135,000
|
2,246,639
|
|
Toyota Motor Credit Corp. sr. unsec. FRN notes
|
0.424
|
3/10/15
|
2,210,000
|
2,208,240
|
|
Toyota Motor Credit Corp. sr. unsec. unsub. FRN notes
|
0.564
|
5/17/16
|
3,000,000
|
2,999,170
|
|
Toyota Motor Credit Corp. sr. unsec. unsub. FRN
|
|
|
|
|
notes Ser. MTN
|
0.719
|
10/11/13
|
500,000
|
500,490
|
|
Toyota Motor Credit Corp. sr. unsec. unsub. notes
|
3.200
|
6/17/15
|
214,000
|
224,071
|
|
Toyota Motor Credit Corp. sr. unsec. unsub. notes
|
0.875
|
7/17/15
|
1,000,000
|
1,005,733
|
|
|
|
30
|
Short Duration Income Fund
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Consumer cyclicals
cont.
|
|
|
|
|
Toyota Motor Credit Corp. unsec. FRN notes
|
0.443
|
12/5/14
|
$2,369,000
|
$2,370,665
|
|
Volkswagen International Finance NV 144A company
|
|
|
|
|
guaranty sr. unsec. FRN notes (Germany)
|
1.022
|
3/21/14
|
1,270,000
|
1,274,023
|
|
Volkswagen International Finance NV 144A company
|
|
|
|
|
guaranty sr. unsec. FRN notes (Germany)
|
0.874
|
11/20/14
|
1,550,000
|
1,555,410
|
|
Volkswagen International Finance NV 144A company
|
|
|
|
|
guaranty sr. unsec. FRN notes (Germany)
|
0.873
|
9/22/13
|
900,000
|
900,821
|
|
Volkswagen International Finance NV 144A company
|
|
|
|
|
guaranty sr. unsec. unsub. FRN notes (Germany)
|
0.884
|
4/1/14
|
350,000
|
350,964
|
|
Volkswagen International Finance NV 144A company
|
|
|
|
|
guaranty sr. unsec. unsub. notes (Germany)
|
1.875
|
4/1/14
|
960,000
|
969,435
|
|
Volkswagen International Finance NV 144A company
|
|
|
|
|
guaranty sr. unsec. unsub. notes (Germany)
|
1.625
|
8/12/13
|
260,000
|
260,057
|
|
Walt Disney Co. (The) company guaranty sr. unsec.
|
|
|
|
|
unsub. notes
|
1.350
|
8/16/16
|
1,543,000
|
1,559,746
|
|
Walt Disney Co. (The) sr. unsec. unsub. notes
|
4.500
|
12/15/13
|
2,876,000
|
2,921,194
|
|
|
|
|
|
57,749,649
|
Consumer finance (1.8%)
|
|
|
|
|
American Express Co. sr. unsec. notes
|
7.250
|
5/20/14
|
2,182,000
|
2,296,725
|
|
American Express Credit Corp. sr. unsec. FRN notes
|
0.774
|
7/29/16
|
3,000,000
|
3,000,882
|
|
American Express Credit Corp. sr. unsec. FRN
|
|
|
|
|
notes Ser. MTN
|
5.300
|
12/2/15
|
2,000,000
|
2,191,838
|
|
American Express Credit Corp. sr. unsec.
|
|
|
|
|
sub. FRN notes
|
1.374
|
6/12/15
|
2,468,000
|
2,503,500
|
|
American Express Credit Corp. sr. unsec. unsub. notes
|
7.300
|
8/20/13
|
315,000
|
315,897
|
|
American Honda Finance Corp. 144A company
|
|
|
|
|
guaranty sr. unsec. unsub. notes
|
0.648
|
5/26/16
|
4,940,000
|
4,937,955
|
|
American Honda Finance Corp. 144A sr. unsec. notes
|
1.450
|
2/27/15
|
3,275,000
|
3,308,523
|
|
American Honda Finance Corp. 144A unsec. bonds
|
0.725
|
5/8/14
|
1,405,000
|
1,408,640
|
|
Capital One Bank USA NA sr. unsec. unsub. notes
|
5.125
|
2/15/14
|
550,000
|
562,741
|
|
|
|
|
|
20,526,701
|
Consumer staples (6.0%)
|
|
|
|
|
Altria Group, Inc. company guaranty sr. unsec. notes
|
7.750
|
2/6/14
|
2,250,000
|
2,331,122
|
|
Altria Group, Inc. company guaranty sr. unsec.
|
|
|
|
|
unsub. notes
|
8.500
|
11/10/13
|
2,591,000
|
2,644,657
|
|
Anheuser-Busch Cos., LLC company guaranty sr.
|
|
|
|
|
unsec. notes
|
4.950
|
1/15/14
|
595,000
|
606,633
|
|
Anheuser-Busch InBev Finance, Inc. company
|
|
|
|
|
guaranty sr. unsec. notes
|
0.800
|
1/15/16
|
1,000,000
|
1,000,041
|
|
Anheuser-Busch InBev Worldwide, Inc. company
|
|
|
|
|
guaranty sr. unsec. notes FRN
|
0.628
|
7/14/14
|
1,290,000
|
1,293,114
|
|
Anheuser-Busch InBev Worldwide, Inc. company
|
|
|
|
|
guaranty sr. unsec. unsub. notes
|
5.375
|
11/15/14
|
3,390,000
|
3,592,159
|
|
Anheuser-Busch InBev Worldwide, Inc. company
|
|
|
|
|
guaranty sr. unsec. unsub. notes
|
3.625
|
4/15/15
|
1,000,000
|
1,049,891
|
|
Bacardi, Ltd. 144A company guaranty sr. unsec.
|
|
|
|
|
unsub. notes (Bermuda)
|
7.450
|
4/1/14
|
1,235,000
|
1,287,716
|
|
Bottling Group, LLC company guaranty sr.
|
|
|
|
|
unsec. notes
|
6.950
|
3/15/14
|
3,503,000
|
3,641,579
|
|
|
|
Short Duration Income Fund
|
31
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Consumer staples
cont.
|
|
|
|
|
Cadbury Schewppes US Finance, LLC 144A company
|
|
|
|
|
guaranty sr. unsec. notes (United Kingdom)
|
5.125
|
10/1/13
|
$1,800,000
|
$1,812,145
|
|
Cargill, Inc. 144A sr. unsec. notes
|
5.000
|
11/15/13
|
215,000
|
217,529
|
|
ConAgra Foods, Inc. sr. unsec. notes
|
5.875
|
4/15/14
|
3,388,000
|
3,509,236
|
|
ConAgra Foods, Inc. sr. unsec. unsub. notes
|
1.350
|
9/10/15
|
1,000,000
|
1,007,266
|
|
Costco Wholesale Corp. sr. unsec. unsub. notes
|
0.650
|
12/7/15
|
4,500,000
|
4,499,069
|
|
Diageo Capital PLC company guaranty sr. unsec.
|
|
|
|
|
unsub. notes (United Kingdom)
|
7.375
|
1/15/14
|
3,350,000
|
3,451,505
|
|
Diageo Capital PLC company guaranty sr. unsec.
|
|
|
|
|
unsub. notes (United Kingdom)
|
0.625
|
4/29/16
|
2,000,000
|
1,988,185
|
|
Diageo Finance BV company guaranty sr. unsec.
|
|
|
|
|
unsub. notes (Netherlands)
|
5.300
|
10/28/15
|
1,090,000
|
1,199,259
|
|
Erac USA Finance Co. 144A company guaranty notes
|
2.250
|
1/10/14
|
6,626,000
|
6,668,082
|
|
Foster’s Finance Corp. 144A company guaranty sr.
|
|
|
|
|
unsec. notes
|
4.875
|
10/1/14
|
410,000
|
429,375
|
|
Kellogg Co. sr. unsec. unsub. notes
|
1.125
|
5/15/15
|
5,000,000
|
5,032,250
|
|
Kroger Co. (The) company guaranty sr. unsec. notes
|
7.500
|
1/15/14
|
3,476,000
|
3,583,408
|
|
Kroger Co. (The) company guaranty sr. unsec. notes
|
3.900
|
10/1/15
|
1,000,000
|
1,057,956
|
|
Mondelez International, Inc. sr. unsec. notes
|
5.250
|
10/1/13
|
290,000
|
292,193
|
|
PepsiAmericas, Inc. company guaranty sr. unsec.
|
|
|
|
|
unsub. notes
|
4.375
|
2/15/14
|
1,876,000
|
1,914,679
|
|
PepsiCo, Inc. sr. unsec. unsub. FRN notes
|
0.483
|
2/26/16
|
3,420,000
|
3,427,080
|
|
PepsiCo, Inc. sr. unsec. unsub. notes
|
3.750
|
3/1/14
|
250,000
|
254,478
|
|
PepsiCo, Inc. sr. unsec. unsub. notes
|
0.800
|
8/25/14
|
659,000
|
661,387
|
|
SABMiller Holdings, Inc. 144A company guaranty sr.
|
|
|
|
|
unsec. unsub. notes
|
1.850
|
1/15/15
|
925,000
|
938,130
|
|
SABMiller PLC 144A sr. unsec. notes
|
|
|
|
|
(United Kingdom)
|
5.500
|
8/15/13
|
5,770,000
|
5,777,899
|
|
Walgreen Co. company guaranty sr. unsec.
|
|
|
|
|
unsub. notes
|
4.875
|
8/1/13
|
2,683,000
|
2,683,000
|
|
WPP Finance UK company guaranty sr. unsec. unsub.
|
|
|
|
|
notes (United Kingdom)
|
5.875
|
6/15/14
|
1,307,000
|
1,359,960
|
|
Yale University sr. unsec. unsub. notes Ser. MTN
|
2.900
|
10/15/14
|
380,000
|
390,805
|
|
|
|
|
|
69,601,788
|
Energy (2.2%)
|
|
|
|
|
BP Capital Markets PLC company guaranty sr. unsec.
|
|
|
|
|
unsub. notes (United Kingdom)
|
5.250
|
11/7/13
|
345,000
|
349,361
|
|
Canadian Natural Resources, Ltd. sr. unsec. unsub.
|
|
|
|
|
notes (Canada)
|
4.900
|
12/1/14
|
1,000,000
|
1,054,821
|
|
Canadian Natural Resources, Ltd. sr. unsec. unsub.
|
|
|
|
|
notes (Canada)
|
1.450
|
11/14/14
|
5,919,000
|
5,969,276
|
|
Chevron Corp. sr. unsec. FRN notes
|
0.889
|
6/24/16
|
2,000,000
|
2,004,594
|
|
Devon Energy Corp. sr. unsec. unsub. notes
|
5.625
|
1/15/14
|
3,385,000
|
3,456,545
|
|
EnCana Corp. sr. unsec. unsub. notes (Canada)
|
4.750
|
10/15/13
|
2,675,000
|
2,695,745
|
|
EnCana Holdings Finance Corp. company guaranty sr.
|
|
|
|
|
unsec. unsub. notes (Canada)
|
5.800
|
5/1/14
|
6,200,000
|
6,431,196
|
|
ONEOK, Inc. sr. unsec. unsub. notes
|
5.200
|
6/15/15
|
3,047,000
|
3,267,161
|
|
|
|
|
|
25,228,699
|
|
|
32
|
Short Duration Income Fund
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Financial (1.1%)
|
|
|
|
|
General Electric Capital Corp. sr. notes Ser. GMTN
|
0.919
|
7/12/16
|
$2,000,000
|
$2,002,949
|
|
General Electric Capital Corp. sr. unsec. FRN notes
|
1.102
|
12/20/13
|
500,000
|
501,430
|
|
General Electric Capital Corp. sr. unsec. FRN notes
|
0.871
|
1/8/16
|
1,500,000
|
1,504,439
|
|
General Electric Capital Corp. sr. unsec. FRN notes
|
0.471
|
1/8/16
|
4,880,000
|
4,855,580
|
|
General Electric Capital Corp. sr. unsec. FRN notes
|
0.461
|
10/6/15
|
1,675,000
|
1,666,211
|
|
General Electric Capital Corp. sr. unsec. FRN notes
|
0.423
|
9/15/14
|
100,000
|
99,904
|
|
General Electric Capital Corp. sr. unsec.
|
|
|
|
|
unsub. FRN notes
|
1.303
|
7/2/15
|
700,000
|
709,149
|
|
General Electric Capital Corp. sr. unsec.
|
|
|
|
|
unsub. FRN notes
|
0.272
|
9/20/13
|
100,000
|
99,995
|
|
General Electric Capital Corp. sr. unsec. unsub. notes
|
4.375
|
9/21/15
|
700,000
|
749,471
|
|
|
|
|
|
12,189,128
|
Health care (1.7%)
|
|
|
|
|
AbbVie, Inc. 144A company guaranty sr.
|
|
|
|
|
unsec. FRN notes
|
1.033
|
11/6/15
|
5,624,000
|
5,675,566
|
|
AbbVie, Inc. 144A company guaranty sr. unsec. notes
|
1.200
|
11/6/15
|
1,795,000
|
1,801,816
|
|
Coventry Health Care, Inc. sr. unsec. notes
|
6.125
|
1/15/15
|
1,310,000
|
1,406,446
|
|
Merck & Co., Inc. FRB bonds
|
0.464
|
5/18/16
|
2,000,000
|
2,003,244
|
|
Quest Diagnostics, Inc. company guaranty sr.
|
|
|
|
|
unsec. notes
|
5.450
|
11/1/15
|
1,000,000
|
1,088,964
|
|
Teva Pharmaceutical Finance III BV company
|
|
|
|
|
guaranty sr. unsec. unsub. notes (Israel)
|
1.700
|
3/21/14
|
250,000
|
252,083
|
|
WellPoint, Inc. sr. unsec. notes
|
6.000
|
2/15/14
|
5,113,000
|
5,257,463
|
|
WellPoint, Inc. sr. unsec. unsub. notes
|
1.250
|
9/10/15
|
750,000
|
755,301
|
|
Zoetis Inc. 144A sr. unsec. notes
|
1.150
|
2/1/16
|
1,735,000
|
1,738,473
|
|
|
|
|
|
19,979,356
|
Insurance (4.9%)
|
|
|
|
|
Aflac, Inc. sr. unsec. notes
|
3.450
|
8/15/15
|
2,790,000
|
2,935,453
|
|
Allstate Corp. (The) sr. unsec. unsub. notes
|
6.200
|
5/16/14
|
2,072,000
|
2,162,553
|
|
Allstate Corp. (The) sr. unsec. unsub. notes
|
5.000
|
8/15/14
|
780,000
|
814,378
|
|
American International Group, Inc. sr. unsec.
|
|
|
|
|
unsub. notes
|
4.250
|
9/15/14
|
5,381,000
|
5,578,512
|
|
American International Group, Inc. sr. unsec.
|
|
|
|
|
unsub. notes
|
3.000
|
3/20/15
|
1,857,000
|
1,916,216
|
|
Hartford Financial Services Group, Inc. (The) sr.
|
|
|
|
|
unsec. unsub. notes
|
4.000
|
3/30/15
|
1,150,000
|
1,202,470
|
|
Hartford Life Global Funding Trusts sr.
|
|
|
|
|
unsub. FRN notes
|
0.453
|
6/16/14
|
1,800,000
|
1,798,970
|
|
Hartford Life Institutional Funding 144A sr. FRN
|
|
|
|
|
notes Ser. MTN
|
0.595
|
8/15/13
|
1,200,000
|
1,200,130
|
|
Lincoln National Corp. sr. unsec. unsub. notes
|
4.750
|
2/15/14
|
2,107,000
|
2,150,322
|
|
Mass Mutual Global Funding II 144A sr. FRN notes
|
0.434
|
12/6/13
|
678,000
|
678,439
|
|
Mass Mutual Global Funding II 144A sr.
|
|
|
|
|
unsub. FRN notes
|
0.648
|
1/14/14
|
148,000
|
148,266
|
|
Mass Mutual Global Funding II 144A sr. unsub. notes
|
2.300
|
9/28/15
|
500,000
|
516,921
|
|
MetLife Institutional Funding II 144A FRN notes
|
1.174
|
4/4/14
|
500,000
|
502,966
|
|
MetLife Institutional Funding II 144A FRN notes
|
0.641
|
1/6/15
|
6,500,000
|
6,513,123
|
|
|
|
Short Duration Income Fund
|
33
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Insurance
cont.
|
|
|
|
|
Metropolitan Life Global Funding I 144A sr. notes
|
2.000
|
1/9/15
|
$725,000
|
$738,273
|
|
Metropolitan Life Global Funding I 144A sr. notes
|
2.000
|
1/10/14
|
112,000
|
112,813
|
|
Metropolitan Life Global Funding I 144A sr.
|
|
|
|
|
unsec. notes
|
0.798
|
7/15/16
|
3,000,000
|
3,000,010
|
|
Metropolitan Life Global Funding I 144A sr.
|
|
|
|
|
unsub. FRN notes
|
0.623
|
3/19/14
|
500,000
|
499,848
|
|
Monumental Global Funding III 144A sr.
|
|
|
|
|
unsub. FRN notes
|
0.468
|
1/15/14
|
1,200,000
|
1,200,006
|
|
Monumental Global Funding, Ltd. 144A sr.
|
|
|
|
|
unsub. notes
|
5.250
|
1/15/14
|
385,000
|
393,060
|
|
New York Life Global Funding 144A FRN notes
|
0.534
|
4/4/14
|
500,000
|
501,059
|
|
New York Life Global Funding 144A sr.
|
|
|
|
|
unsec. FRN notes
|
0.615
|
5/23/16
|
5,000,000
|
4,999,990
|
|
Pricoa Global Funding I 144A sr. FRN notes
|
0.476
|
9/27/13
|
795,000
|
795,257
|
|
Principal Life Global Funding II 144A company
|
|
|
|
|
guaranty sr. FRN notes
|
0.895
|
7/9/14
|
500,000
|
501,759
|
|
Principal Life Global Funding II 144A notes
|
1.000
|
12/11/15
|
4,835,000
|
4,840,457
|
|
Principal Life Income Funding Trusts sr. FRN notes
|
0.455
|
11/8/13
|
270,000
|
270,057
|
|
Prudential Covered Trust 2012-1 144A company
|
|
|
|
|
guaranty mtge. notes
|
2.997
|
9/30/15
|
2,731,500
|
2,824,904
|
|
Prudential Financial, Inc. sr. unsec. unsub.
|
|
|
|
|
notes Ser. MTN
|
4.750
|
4/1/14
|
2,881,000
|
2,956,733
|
|
Prudential Financial, Inc. sr. unsec. unsub.
|
|
|
|
|
notes Ser. MTNB
|
5.100
|
9/20/14
|
3,985,000
|
4,174,128
|
|
|
|
|
|
55,927,073
|
Investment banking/Brokerage (1.2%)
|
|
|
|
|
Credit Suisse First Boston USA, Inc. bank guaranty sr.
|
|
|
|
|
unsec. unsub. notes
|
5.500
|
8/15/13
|
210,000
|
210,305
|
|
Deutsche Bank AG Ser. EMTN (Germany)
|
1.074
|
2/17/15
|
875,000
|
871,500
|
|
Goldman Sachs Group, Inc. (The) sr. unsec. FRN notes
|
1.273
|
2/7/14
|
7,188,000
|
7,209,852
|
|
Goldman Sachs Group, Inc. (The) sr. unsec. notes
|
5.250
|
10/15/13
|
2,000,000
|
2,018,384
|
|
Macquarie Group, Ltd. 144A bonds (Australia)
|
7.300
|
8/1/14
|
1,536,000
|
1,617,993
|
|
TD Ameritrade Holding Corp. company guaranty sr.
|
|
|
|
|
unsec. unsub. notes
|
4.150
|
12/1/14
|
2,245,000
|
2,345,253
|
|
|
|
|
|
14,273,287
|
Real estate (7.2%)
|
|
|
|
|
Boston Properties, LP sr. unsec. unsub. notes
R
|
5.625
|
4/15/15
|
2,354,000
|
2,538,873
|
|
Boston Properties, LP sr. unsec. unsub. notes
R
|
5.000
|
6/1/15
|
5,225,000
|
5,607,185
|
|
Camden Property Trust sr. unsec. unsub. notes
R
|
5.375
|
12/15/13
|
6,750,000
|
6,861,925
|
|
Camden Property Trust sr. unsec. unsub. notes
R
|
5.000
|
6/15/15
|
2,596,000
|
2,775,929
|
|
Colonial Realty LP sr. unsec. unsub. notes
|
6.250
|
6/15/14
|
580,000
|
606,028
|
|
Duke Realty LP company guaranty sr. unsec. notes
R
|
7.375
|
2/15/15
|
398,000
|
433,684
|
|
Duke Realty LP sr. unsec. unsub. notes
R
|
5.400
|
8/15/14
|
1,394,000
|
1,452,432
|
|
ERP Operating LP sr. unsec. unsub. notes
R
|
5.250
|
9/15/14
|
3,875,000
|
4,071,941
|
|
Federal Realty Investment Trust sr. unsec.
|
|
|
|
|
unsub. notes
R
|
5.950
|
8/15/14
|
2,620,000
|
2,753,625
|
|
HCP, Inc. sr. unsec. notes
R
|
7.072
|
6/8/15
|
3,500,000
|
3,865,613
|
|
HCP, Inc. sr. unsec. unsub. notes
R
|
2.700
|
2/1/14
|
3,346,000
|
3,378,707
|
|
|
|
34
|
Short Duration Income Fund
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Real estate
cont.
|
|
|
|
|
Health Care REIT, Inc. sr. unsec. notes
R
|
6.000
|
11/15/13
|
$2,315,000
|
$2,349,090
|
|
Health Care REIT, Inc. sr. unsec. notes
R
|
3.625
|
3/15/16
|
4,000,000
|
4,215,940
|
|
Hospitality Properties Trust sr. unsec. notes
R
|
7.875
|
8/15/14
|
1,741,000
|
1,803,758
|
|
Kimco Realty Corp. sr. unsec. notes Ser. MTN
R
|
5.190
|
10/1/13
|
2,453,000
|
2,472,051
|
|
Kimco Realty Corp. sr. unsec. unsub. notes
R
|
4.820
|
6/1/14
|
6,729,000
|
6,946,791
|
|
Liberty Property LP sr. unsec. FRN notes
R
|
5.125
|
3/2/15
|
600,000
|
634,611
|
|
Pan Pacific Retail Properties, Inc. company guaranty
|
|
|
|
|
sr. unsec. notes
R
|
5.950
|
6/1/14
|
1,197,000
|
1,246,877
|
|
Realty Income Corp. sr. unsec. notes
R
|
5.500
|
11/15/15
|
4,000,000
|
4,361,472
|
|
Regency Centers LP company guaranty sr. unsec.
|
|
|
|
|
unsub. notes
|
4.950
|
4/15/14
|
3,550,000
|
3,649,411
|
|
Simon Property Group LP sr. unsec. notes
R
|
6.750
|
5/15/14
|
5,507,000
|
5,689,786
|
|
Simon Property Group LP sr. unsec. unsub. notes
R
|
5.750
|
12/1/15
|
1,024,000
|
1,129,095
|
|
Simon Property Group LP sr. unsec. unsub. notes
R
|
5.625
|
8/15/14
|
795,000
|
834,509
|
|
Simon Property Group LP sr. unsec. unsub. notes
R
|
5.100
|
6/15/15
|
1,000,000
|
1,081,961
|
|
Simon Property Group LP sr. unsec. unsub. notes
R
|
4.900
|
1/30/14
|
1,105,000
|
1,128,087
|
|
Simon Property Group LP sr. unsec. unsub. notes
R
|
4.200
|
2/1/15
|
819,000
|
854,390
|
|
UDR, Inc. company guaranty sr. unsec. unsub. notes
R
|
5.250
|
1/15/15
|
4,511,000
|
4,767,045
|
|
UDR, Inc. sr. unsec. unsub. notes
R
|
5.500
|
4/1/14
|
750,000
|
772,477
|
|
UDR, Inc. sr. unsec. unsub. notes
R
|
5.130
|
1/15/14
|
1,745,000
|
1,778,792
|
|
Vornado Realty LP sr. unsec. unsub. notes
R
|
4.250
|
4/1/15
|
1,165,000
|
1,213,399
|
|
WEA Finance, LLC/WT Finance Aust. Pty. Ltd. 144A
|
|
|
|
|
company guaranty sr. unsec. notes
|
5.750
|
9/2/15
|
195,000
|
213,073
|
|
Weingarten Realty Investors sr. unsec. unsub. notes
R
|
4.990
|
9/3/13
|
1,500,000
|
1,504,390
|
|
Weingarten Realty Investors sr. unsec. unsub. notes
R
|
4.857
|
1/15/14
|
400,000
|
406,975
|
|
|
|
|
|
83,399,922
|
Technology (0.3%)
|
|
|
|
|
IBM Corp. sr. unsec. unsub. notes
|
6.500
|
10/15/13
|
835,000
|
845,004
|
|
IBM Corp. sr. unsec. unsub. notes
|
1.000
|
8/5/13
|
500,000
|
500,000
|
|
Western Union Co. (The) sr. unsec. notes
|
6.500
|
2/26/14
|
2,000,000
|
2,063,954
|
|
|
|
|
|
3,408,958
|
Transportation (0.4%)
|
|
|
|
|
Burlington Northern Santa Fe, LLC sr. unsec. notes
|
7.000
|
2/1/14
|
4,500,000
|
4,637,687
|
|
|
|
|
|
4,637,687
|
Utilities and power (5.5%)
|
|
|
|
|
Appalachian Power Co. sr. unsec. unsub. FRN notes
|
0.649
|
8/16/13
|
1,000,000
|
1,000,087
|
|
Atmos Energy Corp. sr. unsec. unsub. notes
|
4.950
|
10/15/14
|
2,000,000
|
2,098,228
|
|
Cleveland Electric Illuminating Co. (The) sr.
|
|
|
|
|
unsec. notes
|
5.650
|
12/15/13
|
183,000
|
186,309
|
|
CMS Energy Corp. sr. unsec. unsub. notes
|
4.250
|
9/30/15
|
2,000,000
|
2,117,850
|
|
Dayton Power & Light Co. (The) 1st mtge.
|
5.125
|
10/1/13
|
1,200,000
|
1,208,136
|
|
DTE Electric Co. sr. notes (Canada)
|
4.800
|
2/15/15
|
2,000,000
|
2,106,826
|
|
DTE Energy Co. sr. unsec. unsub. notes
|
7.625
|
5/15/14
|
1,201,000
|
1,265,204
|
|
Duke Energy Carolinas, LLC sr. unsec. unsub. notes
|
6.300
|
2/1/14
|
5,641,000
|
5,794,841
|
|
FPL Group Capital, Inc. company guaranty sr.
|
|
|
|
|
unsec. notes
|
7.875
|
12/15/15
|
2,500,000
|
2,886,713
|
|
|
|
Short Duration Income Fund
|
35
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CORPORATE BONDS AND NOTES (75.3%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Utilities and power
cont.
|
|
|
|
|
Georgia Power Co. sr. unsec. unsub. FRN notes
|
0.593
|
3/15/16
|
$3,209,000
|
$3,209,625
|
|
Georgia Power Co. sr. unsec. unsub. notes
|
6.000
|
11/1/13
|
3,793,000
|
3,842,453
|
|
Georgia Power Co. sr. unsec. unsub. notes
|
0.625
|
11/15/15
|
2,000,000
|
1,991,609
|
|
Great Plains Energy, Inc. sr. unsec. unsub. notes
|
2.750
|
8/15/13
|
450,000
|
450,230
|
|
Kinder Morgan Energy Partners LP sr. unsec. notes
|
5.125
|
11/15/14
|
2,801,000
|
2,956,468
|
|
Kinder Morgan Energy Partners LP sr. unsec.
|
|
|
|
|
unsub. notes
|
5.000
|
12/15/13
|
4,500,000
|
4,568,810
|
|
LG&E and KU Energy, LLC company guaranty sr.
|
|
|
|
|
unsec. unsub. notes
|
2.125
|
11/15/15
|
4,000,000
|
4,094,784
|
|
MidAmerican Energy Holdings Co. sr. unsec. notes
|
5.000
|
2/15/14
|
2,660,000
|
2,722,263
|
|
Nevada Power Co. sr. notes
|
5.875
|
1/15/15
|
628,000
|
673,781
|
|
Northeast Utilities sr. unsec. unsub. FRN notes
|
1.022
|
9/20/13
|
1,255,000
|
1,256,032
|
|
Oncor Electric Delivery Co., LLC sr. notes
|
6.375
|
1/15/15
|
1,910,000
|
2,056,589
|
|
Peco Energy Co. bonds
|
5.000
|
10/1/14
|
500,000
|
524,346
|
|
Potomac Edison Co. (The) sr. unsub. notes
|
5.125
|
8/15/15
|
3,675,000
|
3,954,719
|
|
Progress Energy, Inc. sr. notes
|
6.050
|
3/15/14
|
3,650,000
|
3,768,793
|
|
PSI Energy, Inc. sr. unsec. notes
|
5.000
|
9/15/13
|
400,000
|
402,059
|
|
Southern Co. (The) sr. unsec. unsub. notes
|
4.150
|
5/15/14
|
115,000
|
118,228
|
|
TransCanada Pipelines, Ltd. company guaranty sr.
|
|
|
|
|
unsec. notes (Canada)
|
0.953
|
6/30/16
|
7,000,000
|
7,016,338
|
|
Westar Energy, Inc. bonds
|
6.000
|
7/1/14
|
500,000
|
524,119
|
|
|
|
|
|
62,795,440
|
|
|
|
|
|
Total corporate bonds and notes (cost $866,614,739)
|
|
|
|
$866,316,150
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
MORTGAGE-BACKED SECURITIES (8.4%)*
|
rate (%)
|
date
|
amount
|
Value
|
|
Agency collateralized mortgage obligations (5.3%)
|
|
|
|
|
Federal Home Loan Mortgage Corp.
|
|
|
|
|
Ser. 2430, Class UD
|
6.000
|
3/15/17
|
$85,145
|
$90,285
|
Ser. 3724, Class CM
|
5.500
|
6/15/37
|
724,450
|
788,159
|
Ser. 3316, Class CD
|
5.500
|
5/15/37
|
392,027
|
423,603
|
Ser. 3302, Class DA
|
5.500
|
12/15/17
|
303,648
|
309,341
|
Ser. 3662, Class QA
|
5.000
|
3/15/38
|
581,975
|
597,354
|
Ser. 3593, Class KP
|
5.000
|
6/15/36
|
144,423
|
146,043
|
Ser. 3028, Class BA
|
5.000
|
4/15/34
|
207,629
|
214,753
|
Ser. 2938, Class ND
|
5.000
|
10/15/33
|
88,580
|
91,105
|
Ser. 2888, Class CG
|
5.000
|
8/15/33
|
263,034
|
272,370
|
Ser. 2840, Class OE
|
5.000
|
2/15/33
|
149,071
|
152,662
|
Ser. 2875, Class GM
|
5.000
|
1/15/33
|
254,653
|
259,336
|
Ser. 2750, Class NE
|
5.000
|
4/15/32
|
133,214
|
134,090
|
Ser. 2903, Class LA
|
5.000
|
10/15/31
|
214,903
|
217,620
|
Ser. 3331, Class NV
|
5.000
|
6/15/29
|
286,000
|
305,288
|
Ser. 2513, Class DB
|
5.000
|
10/15/17
|
71,693
|
75,229
|
Ser. 3539, Class PM
|
4.500
|
5/15/37
|
174,772
|
181,909
|
Ser. 3580, Class VB
|
5.000
|
4/15/29
|
253,741
|
263,469
|
Ser. 3730, Class PL
|
4.500
|
1/15/33
|
97,194
|
98,340
|
|
|
36
|
Short Duration Income Fund
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
MORTGAGE-BACKED SECURITIES (8.4%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Agency collateralized mortgage obligations
cont.
|
|
|
|
|
Federal Home Loan Mortgage Corp.
|
|
|
|
|
Ser. 3697, Class BM
|
4.500
|
9/15/31
|
$79,390
|
$81,078
|
Ser. 2931, Class AM
|
4.500
|
7/15/19
|
44,162
|
45,091
|
Ser. 3825, Class AP
|
4.000
|
3/15/39
|
3,465,312
|
3,534,619
|
Ser. 3845, Class KP
|
4.000
|
4/15/38
|
547,986
|
556,981
|
Ser. 3681, Class AH
|
4.000
|
10/15/27
|
1,038,966
|
1,053,252
|
Ser. 3891, Class UK
|
3.500
|
3/15/41
|
241,166
|
246,733
|
Ser. 3805, Class AK
|
3.500
|
4/15/24
|
200,225
|
207,113
|
Ser. 3896, Class PG
|
3.000
|
3/15/40
|
302,319
|
306,098
|
Ser. 3952, Class C
|
3.000
|
11/15/26
|
426,555
|
426,795
|
Ser. 3683, Class JH
|
2.500
|
12/15/23
|
107,223
|
108,525
|
Ser. 3611, Class PO, PO
|
0.000
|
7/15/34
|
195,088
|
179,255
|
Ser. 1420, Class B, PO
|
0.000
|
11/15/22
|
85,219
|
79,145
|
|
Federal National Mortgage Association
|
|
|
|
|
Ser. 13-9, Class BA
|
6.500
|
7/25/42
|
2,692,483
|
2,701,739
|
Ser. 06-10, Class GC
|
6.000
|
9/25/34
|
6,624,553
|
6,831,570
|
Ser. 06-124, Class A
|
5.625
|
11/25/36
|
101,446
|
106,029
|
Ser. 08-8, Class PA
|
5.000
|
2/25/38
|
427,299
|
447,310
|
Ser. 09-86, Class PC
|
5.000
|
3/25/37
|
5,744,570
|
5,866,642
|
Ser. 05-101, Class ND
|
5.000
|
6/25/34
|
250,039
|
255,836
|
Ser. 03-92, Class VH
|
5.000
|
2/25/19
|
650,000
|
670,313
|
Ser. 02-65, Class HC
|
5.000
|
10/25/17
|
43,693
|
45,701
|
Ser. 11-121, Class JP
|
4.500
|
12/25/41
|
813,062
|
845,585
|
Ser. 09-100, Class PA
|
4.500
|
4/25/39
|
82,874
|
85,491
|
Ser. 04-8, Class GD
|
4.500
|
10/25/32
|
252,739
|
261,513
|
Ser. 04-26, Class PD
|
4.500
|
8/25/32
|
385,898
|
399,513
|
Ser. 11-60, Class PA
|
4.000
|
10/25/39
|
119,306
|
125,086
|
Ser. 11-4, Class JP
|
4.000
|
6/25/39
|
1,457,776
|
1,511,723
|
Ser. 11-36, Class PA
|
4.000
|
2/25/39
|
964,565
|
998,604
|
Ser. 11-113, Class LA
|
4.000
|
6/25/37
|
170,198
|
171,933
|
Ser. 03-43, Class YA
|
4.000
|
3/25/33
|
881,239
|
909,152
|
Ser. 10-109, Class JB
|
4.000
|
8/25/28
|
602,274
|
632,093
|
Ser. 10-17, Class CA
|
4.000
|
11/25/23
|
226,080
|
230,301
|
Ser. 11-89, Class VA
|
4.000
|
9/25/23
|
755,722
|
778,945
|
Ser. 11-111, Class VA
|
4.000
|
1/25/23
|
469,971
|
473,122
|
Ser. 11-111, Class VC
|
4.000
|
1/25/23
|
469,971
|
471,528
|
Ser. 11-20, Class PC
|
3.500
|
3/25/39
|
242,058
|
248,676
|
Ser. 11-40, Class DA
|
3.500
|
11/25/37
|
1,097,834
|
1,115,815
|
Ser. 10-155, Class A
|
3.500
|
9/25/25
|
74,713
|
76,020
|
Ser. 11-42, Class BJ
|
3.000
|
8/25/25
|
1,700,673
|
1,738,938
|
Ser. 10-81, Class AP
|
2.500
|
7/25/40
|
459,088
|
463,332
|
FRB Ser. 10-90, Class GF
|
0.690
|
8/25/40
|
6,447,060
|
6,466,401
|
FRB Ser. 06-74, Class FL
|
0.540
|
8/25/36
|
1,614,919
|
1,617,821
|
FRB Ser. 05-63, Class FC
|
0.440
|
10/25/31
|
2,159,133
|
2,158,037
|
|
|
|
Short Duration Income Fund
|
37
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
MORTGAGE-BACKED SECURITIES (8.4%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Agency collateralized mortgage obligations
cont.
|
|
|
|
|
Government National Mortgage Association
|
|
|
|
|
Ser. 07-2, Class PB
|
5.500
|
6/20/35
|
$178,237
|
$181,788
|
Ser. 09-46, Class HC
|
5.000
|
11/20/34
|
202,981
|
206,052
|
Ser. 09-79, Class MB
|
5.000
|
2/20/34
|
270,000
|
272,237
|
Ser. 10-61, Class EA
|
5.000
|
9/20/31
|
463,712
|
486,272
|
Ser. 10-31, Class VA
|
5.000
|
3/20/21
|
751,332
|
792,485
|
Ser. 09-38, Class AB
|
4.750
|
9/16/31
|
260,818
|
264,242
|
Ser. 10-162, Class PQ
|
4.500
|
6/16/39
|
179,544
|
189,354
|
Ser. 10-39, Class PH
|
4.500
|
11/20/38
|
736,241
|
768,452
|
Ser. 11-7, Class CA
|
4.500
|
11/20/37
|
311,588
|
322,366
|
Ser. 09-109, Class NK
|
4.500
|
7/20/37
|
843,821
|
884,548
|
Ser. 09-94, Class MB
|
4.500
|
4/20/37
|
907,304
|
937,925
|
Ser. 10-29, Class PA
|
4.500
|
8/20/36
|
730,312
|
744,006
|
Ser. 09-116, Class EK
|
4.500
|
12/20/34
|
397,770
|
415,771
|
Ser. 09-54, Class HT
|
4.500
|
12/20/34
|
245,397
|
253,959
|
Ser. 09-29, Class NP
|
4.500
|
6/16/34
|
122,387
|
124,262
|
Ser. 09-31, Class MA
|
4.500
|
8/20/33
|
67,674
|
68,775
|
Ser. 09-59, Class P
|
4.250
|
9/20/33
|
312,441
|
328,617
|
Ser. 09-32, Class AB
|
4.000
|
5/16/39
|
84,208
|
87,847
|
Ser. 10-32, Class CJ
|
4.000
|
1/20/38
|
777,317
|
819,922
|
Ser. 08-31, Class PN
|
4.000
|
11/20/36
|
45,109
|
45,898
|
Ser. 09-55, Class HC
|
3.500
|
6/20/39
|
251,142
|
259,807
|
Ser. 08-38, Class PS
|
3.500
|
5/20/37
|
78,480
|
80,244
|
Ser. 09-93, Class EJ
|
3.500
|
5/20/35
|
45,034
|
45,595
|
Ser. 09-118, Class AW
|
3.000
|
5/20/37
|
1,798,019
|
1,829,485
|
Ser. 10-57, Class PJ
|
3.000
|
6/20/33
|
274,363
|
275,358
|
Ser. 12-15, Class PA
|
2.500
|
4/16/40
|
420,822
|
425,616
|
|
|
|
|
|
61,261,293
|
Commercial mortgage-backed securities (3.0%)
|
|
|
|
|
Banc of America Commercial Mortgage Trust
|
|
|
|
|
Ser. 06-5, Class A2
|
5.317
|
9/10/47
|
4,047,861
|
4,089,036
|
Ser. 06-6, Class A2
|
5.309
|
10/10/45
|
354,512
|
356,510
|
Ser. 07-1, Class A3
|
5.449
|
1/15/49
|
879,921
|
895,320
|
|
Bear Stearns Commercial Mortgage Securities, Inc.
|
|
|
|
|
Ser. 07-PW15, Class AAB
|
5.315
|
2/11/44
|
1,642,714
|
1,653,392
|
Ser. 05-PWR9, Class A2
|
4.735
|
9/11/42
|
382,873
|
385,400
|
Ser. 03-T12, Class A4
|
4.680
|
8/13/39
|
2,043,893
|
2,048,390
|
|
Citigroup/Deutsche Bank Commercial Mortgage
|
|
|
|
|
Trust Ser. 06-CD3, Class A4
|
5.658
|
10/15/48
|
1,343,343
|
1,382,031
|
|
Credit Suisse Mortgage Capital Certificates FRB
|
|
|
|
|
Ser. 07-C4, Class A2
|
5.762
|
9/15/39
|
2,142,701
|
2,149,847
|
|
GE Capital Commercial Mortgage Corp.
|
|
|
|
|
Ser. 07-C1, Class AAB
|
5.477
|
12/10/49
|
612,131
|
632,141
|
|
GE Commercial Mortgage Corporation Trust
|
|
|
|
|
Ser. 05-C2, Class A3
|
4.839
|
5/10/43
|
535,754
|
536,089
|
|
|
|
38
|
Short Duration Income Fund
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
MORTGAGE-BACKED SECURITIES (8.4%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Commercial mortgage-backed securities
cont.
|
|
|
|
|
Greenwich Capital Commercial Funding Corp.
|
|
|
|
|
Ser. 07-GG9, Class A2
|
5.381
|
3/10/39
|
$684,961
|
$694,550
|
Ser. 05-GG3, Class AAB
|
4.619
|
8/10/42
|
389,180
|
394,896
|
|
Greenwich Capital Commercial Funding Corp.
|
|
|
|
|
Commercial Mortgage Trust Ser. 06-GG7, Class AAB
|
5.860
|
7/10/38
|
1,155,733
|
1,171,300
|
|
GS Mortgage Securities Trust Ser. 06-GG6, Class A2
|
5.506
|
4/10/38
|
2,817,181
|
2,873,525
|
|
JPMorgan Chase Commercial Mortgage
|
|
|
|
|
Securities Corp.
|
|
|
|
|
Ser. 07-LD12, Class A2
|
5.827
|
2/15/51
|
620,037
|
626,238
|
FRB Ser. 07-LD11, Class A2
F
|
5.799
|
6/15/49
|
3,539,751
|
3,610,393
|
FRB Ser. 06-CB14, Class A3B
|
5.489
|
12/12/44
|
1,359,758
|
1,368,137
|
|
Merrill Lynch Mortgage Trust
|
|
|
|
|
Ser. 05-CIP1, Class A2
|
4.960
|
7/12/38
|
693,319
|
693,942
|
Ser. 04-BPC1, Class AJ
|
4.922
|
10/12/41
|
1,715,000
|
1,763,020
|
|
Merrill Lynch/Countrywide Commercial Mortgage
|
|
|
|
|
Trust Ser. 2006-3, Class A2
|
5.291
|
7/12/46
|
405,587
|
408,082
|
|
Morgan Stanley Capital I Trust
|
|
|
|
|
Ser. 07-IQ15, Class A2
|
5.853
|
6/11/49
|
2,486,492
|
2,486,492
|
FRB Ser. 06-T23, Class A2
F
|
5.741
|
8/12/41
|
59,766
|
59,992
|
FRB Ser. 07-HQ12, Class A2FX
|
5.579
|
4/12/49
|
1,541,330
|
1,572,619
|
Ser. 04-T13, Class A4
|
4.660
|
9/13/45
|
2,053,285
|
2,073,982
|
|
Wachovia Bank Commercial Mortgage Trust
|
|
|
|
|
Ser. 07-C34, Class A2
F
|
5.569
|
5/15/46
|
680,877
|
686,562
|
Ser. 07-C31, Class A2
|
5.421
|
4/15/47
|
300,544
|
301,071
|
|
|
|
|
|
34,912,957
|
Residential mortgage-backed securities (non-agency) (0.1%)
|
|
|
|
Chase Funding Mortgage Loan Asset-Backed Certificates
|
|
|
|
Ser. 04-2, Class 1A4
|
5.323
|
2/25/35
|
189,269
|
190,215
|
Ser. 04-1, Class 1A6
|
4.266
|
6/25/15
|
14,166
|
14,450
|
|
Countrywide Asset Backed Certificates
|
|
|
|
|
FRB Ser. 05-1, Class MV3
|
0.670
|
7/25/35
|
600,000
|
555,000
|
FRB Ser. 05-4, Class MV1
|
0.650
|
10/25/35
|
79,431
|
79,114
|
|
Home Equity Asset Trust FRB Ser. 06-3, Class 2A3
|
0.370
|
7/25/36
|
67,938
|
67,258
|
|
|
|
|
|
906,037
|
|
|
|
|
|
Total mortgage-backed securities (cost $97,360,769)
|
|
|
|
$97,080,287
|
|
|
|
|
Maturity
|
Principal
|
|
COMMERCIAL PAPER (6.1%)*
|
Yield (%)
|
date
|
amount
|
Value
|
|
Banco Bilbao Vizcaya Argentar (Spain)
|
0.842
|
10/21/13
|
$5,000,000
|
$4,989,815
|
|
British Telecommunications PLC (United Kingdom)
|
0.725
|
3/27/14
|
1,000,000
|
996,355
|
|
British Telecommunications PLC (United Kingdom)
|
0.740
|
3/10/14
|
2,000,000
|
1,993,513
|
|
CRC Funding LLC
|
0.827
|
12/17/13
|
1,000,000
|
998,691
|
|
Daimler Finance North America, LLC
|
0.674
|
3/13/14
|
400,000
|
398,675
|
|
Daimler Finance North America, LLC
|
0.978
|
8/15/13
|
700,000
|
699,933
|
|
DCP Midstream, LLC
|
0.260
|
8/1/13
|
5,000,000
|
4,999,971
|
|
DCP Midstream, LLC 144A
|
0.360
|
8/9/13
|
1,000,000
|
999,946
|
|
|
|
Short Duration Income Fund
|
39
|
|
|
|
|
|
|
|
Maturity
|
Principal
|
|
COMMERCIAL PAPER (6.1%)*
cont.
|
Yield (%)
|
date
|
amount
|
Value
|
|
Devon Energy Corp.
|
0.401
|
8/13/13
|
$3,000,000
|
$2,999,751
|
|
ENI Finance USA, Inc.
|
0.410
|
8/13/13
|
1,500,000
|
1,499,793
|
|
ENI Finance USA, Inc.
|
0.350
|
8/6/13
|
1,250,000
|
1,249,925
|
|
Entergy Corp.
|
0.750
|
8/19/13
|
5,000,000
|
4,998,884
|
|
Ford Motor Credit Co., LLC
|
0.550
|
8/12/13
|
2,000,000
|
1,999,456
|
|
Ford Motor Credit Co., LLC
|
1.007
|
12/19/13
|
1,000,000
|
996,318
|
|
Ford Motor Credit Co., LLC
|
1.018
|
11/22/13
|
1,000,000
|
997,030
|
|
Ford Motor Credit Co., LLC
|
1.008
|
11/12/13
|
1,000,000
|
997,299
|
|
Ford Motor Credit Co., LLC
|
1.170
|
9/30/13
|
1,000,000
|
998,458
|
|
Ford Motor Credit Co., LLC
|
1.006
|
8/30/13
|
300,000
|
299,790
|
|
Ford Motor Credit Co., LLC
|
1.211
|
8/16/13
|
1,000,000
|
999,635
|
|
KCP&L Greater Missouri Operations Co. 144A
|
0.600
|
8/1/13
|
3,200,000
|
3,199,981
|
|
Marriott International, Inc./DE
|
0.200
|
8/1/13
|
4,900,000
|
4,899,972
|
|
Nabors Industries, Inc.
|
0.350
|
8/13/13
|
1,123,000
|
1,122,909
|
|
NiSource Finance Corp.
|
1.051
|
8/7/13
|
2,970,000
|
2,969,549
|
|
Nissan Motor Acceptance Corp.
|
0.320
|
8/26/13
|
4,997,000
|
4,996,076
|
|
Northeast Utilities
|
0.220
|
8/1/13
|
5,000,000
|
4,999,972
|
|
SCANA Corp.
|
0.420
|
8/7/13
|
1,300,000
|
1,299,901
|
|
Spectra Energy Capital, LLC
|
0.390
|
8/19/13
|
2,500,000
|
2,499,680
|
|
Spectra Energy Capital, LLC
|
0.420
|
8/8/13
|
1,500,000
|
1,499,902
|
|
Spectra Energy Capital, LLC
|
0.260
|
8/1/13
|
4,000,000
|
3,999,977
|
|
Textron, Inc.
|
0.701
|
8/5/13
|
2,000,000
|
1,999,886
|
|
Textron, Inc.
|
0.650
|
8/2/13
|
3,000,000
|
2,999,932
|
|
Total commercial paper (cost $70,593,406)
|
|
|
|
$70,600,975
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CERTIFICATES OF DEPOSIT (2.4%)*
|
rate (%)
|
date
|
amount
|
Value
|
|
Bank of Montreal/Chicago, IL FRN (Canada)
|
0.723
|
10/3/13
|
$500,000
|
$500,423
|
|
Bank of Montreal/Chicago, IL FRN (Canada)
|
0.475
|
8/15/13
|
1,100,000
|
1,100,167
|
|
Bank of Nova Scotia/Houston FRN
|
0.814
|
1/27/14
|
300,000
|
301,012
|
|
Bank of Nova Scotia/Houston FRN
|
0.715
|
9/11/15
|
2,044,000
|
2,048,497
|
|
Bank of Nova Scotia/Houston FRN
|
0.623
|
9/17/13
|
700,000
|
700,559
|
|
Bank of Nova Scotia/Houston FRN
|
0.474
|
9/12/13
|
400,000
|
400,222
|
|
Bank of Nova Scotia/Houston FRN
|
0.445
|
11/10/14
|
2,000,000
|
2,000,004
|
|
Barclays Bank PLC/New York, NY FRN
|
|
|
|
|
(United Kingdom)
|
0.753
|
2/3/14
|
2,600,000
|
2,605,340
|
|
Canadian Imperial Bank of Commerce/New York,
|
|
|
|
|
NY FRN (Canada)
|
0.974
|
2/20/15
|
1,000,000
|
1,007,070
|
|
Canadian Imperial Bank of Commerce/New York,
|
|
|
|
|
NY FRN (Canada)
|
0.538
|
11/26/14
|
1,000,000
|
1,001,200
|
|
Commonwealth Bank of Australia FRN
|
1.518
|
1/17/14
|
350,000
|
352,260
|
|
Credit Suisse New York FRN
|
0.668
|
1/15/15
|
3,000,000
|
2,998,677
|
|
National Australia Bank, Ltd./New York
|
|
|
|
|
FRN (Australia)
|
1.465
|
1/30/14
|
500,000
|
502,307
|
|
National Bank Canada/New York, NY FRN
|
0.344
|
8/16/13
|
1,000,000
|
1,000,060
|
|
Nordea Bank Finland PLC/New York FRN
|
0.764
|
2/19/16
|
2,000,000
|
2,005,050
|
|
Sumitomo Mitsui Bank/New York FRN (Japan)
|
0.625
|
5/8/14
|
2,000,000
|
2,004,242
|
|
|
|
40
|
Short Duration Income Fund
|
|
|
|
|
|
|
Interest
|
Maturity
|
Principal
|
|
CERTIFICATES OF DEPOSIT (2.4%)*
cont.
|
rate (%)
|
date
|
amount
|
Value
|
|
Svenska Handelsbanken/New York,
|
|
|
|
|
NY FRN (Sweden)
|
1.068
|
7/17/14
|
$1,650,000
|
$1,653,161
|
|
Toronto-Dominion Bank/NY (Canada)
|
0.400
|
11/7/13
|
300,000
|
300,148
|
|
Toronto-Dominion Bank/NY (Canada)
|
0.272
|
9/13/13
|
1,400,000
|
1,400,375
|
|
UBS AG/Stamford, CT
|
0.520
|
2/26/14
|
2,500,000
|
2,503,631
|
|
Westpac Banking Corp./NY (Australia)
|
0.325
|
11/6/13
|
1,100,000
|
1,100,307
|
|
Total certificates of deposit (cost $27,464,738)
|
|
|
|
$27,484,712
|
|
|
|
|
Maturity
|
Principal
|
|
ASSET-BACKED COMMERCIAL PAPER (2.5%)*
|
Yield (%)
|
date
|
amount
|
Value
|
|
CAFCO, LLC
|
0.695
|
2/26/14
|
$2,400,000
|
$2,396,360
|
|
CAFCO, LLC
|
0.735
|
2/4/14
|
1,000,000
|
998,642
|
|
CAFCO, LLC
|
0.734
|
8/9/13
|
800,000
|
799,966
|
|
CAFCO, LLC 144A
|
0.806
|
12/27/13
|
2,000,000
|
1,997,122
|
|
CHARTA, LLC
|
0.735
|
2/4/14
|
1,000,000
|
998,642
|
|
CHARTA, LLC
|
0.458
|
11/20/13
|
4,200,000
|
4,197,387
|
|
CHARTA, LLC 144A
|
0.807
|
12/3/13
|
1,500,000
|
1,498,922
|
|
CIESCO, LP
|
0.431
|
12/23/13
|
4,000,000
|
3,994,581
|
|
CIESCO, LP 144A
|
0.806
|
12/27/13
|
2,000,000
|
1,997,122
|
|
CIESCO-LP
|
0.441
|
8/12/13
|
275,000
|
274,984
|
|
CRC Funding, LLC
|
0.695
|
2/28/14
|
1,700,000
|
1,695,976
|
|
CRC Funding, LLC
|
0.494
|
12/4/13
|
1,615,000
|
1,613,157
|
|
CRC Funding, LLC
|
0.694
|
9/30/13
|
2,000,000
|
1,999,116
|
|
Govco, LLC
|
0.451
|
8/19/13
|
1,000,000
|
999,880
|
|
Govco, LLC
|
0.431
|
8/2/13
|
250,000
|
249,997
|
|
Northern Pines Funding, LLC (Germany)
|
0.603
|
10/28/13
|
3,000,000
|
2,998,302
|
|
Total asset-backed commercial paper (cost $28,675,982)
|
|
|
$28,710,156
|
|
|
|
|
Principal
|
|
REPURCHASE AGREEMENTS (1.2%)*
|
amount
|
Value
|
|
Interest in $45,850,000 joint tri-party repurchase agreement dated
|
|
|
7/31/13 with BNP Paribas Securities Corp. due 8/1/13 — maturity value of
|
|
|
$7,500,040 for an effective yield of 0.19% (collateralized by various corporate
|
|
|
bonds and notes with coupon rates ranging from zero % to 9.875% and due
|
|
|
dates ranging from 1/30/14 to 4/1/43, valued at $48,142,501)
|
$7,500,000
|
$7,500,000
|
|
Interest in $74,900,000 joint tri-party repurchase agreement dated
|
|
|
7/31/13 with Credit Suisse Securities (USA) due 8/1/13 — maturity value of
|
|
|
$6,500,034 for an effective yield of 0.19% (collateralized by various corporate
|
|
|
bonds and notes with coupon rates ranging from 0.72% to 6.50% and due
|
|
|
dates ranging from 5/30/14 to 6/15/37, valued at $78,648,543)
|
6,500,000
|
6,500,000
|
|
Total repurchase agreements (cost $14,000,000)
|
|
$14,000,000
|
|
|
|
|
|
|
|
Maturity
|
Principal
|
|
MUNICIPAL BONDS AND NOTES (0.8%)*
|
Yield (%)
|
date
|
amount
|
Value
|
|
Athens-Clark Cnty., GA Indl. Dev. Auth. VRDN
|
|
|
|
|
(Allen Properties, Inc.)
|
0.280
|
12/1/24
|
$955,000
|
$955,000
|
|
Union Cnty., AZ Indl. Dev. VRDN (Del-Tin Fiber LLC)
|
0.280
|
10/1/27
|
3,200,000
|
3,200,000
|
|
WI Hsg. & Econ. Dev. Auth. VRDN, Ser. D
|
0.450
|
3/1/38
|
4,305,000
|
4,305,000
|
|
WI Hsg. & Econ. Dev. Auth. VRDN, Ser. D
|
0.450
|
9/1/34
|
850,000
|
849,980
|
|
Total municipal bonds and notes (cost $9,309,999)
|
|
|
|
$9,309,980
|
|
|
Short Duration Income Fund
|
41
|
|
|
|
|
|
U.S. GOVERNMENT AGENCY
|
Interest
|
Maturity
|
Principal
|
|
MORTGAGE OBLIGATIONS (0.1%)*
|
rate (%)
|
date
|
amount
|
Value
|
|
Federal Home Loan Mortgage Corporation
|
4.500
|
10/1/18
|
$59,199
|
$61,602
|
|
Federal Home Loan Mortgage Corporation
|
|
|
|
|
Pass-Through Certificates
|
6.000
|
9/1/17
|
334,356
|
357,682
|
|
Federal Home Loan Mortgage Corporation
|
|
|
|
|
Pass-Through Certificates
|
4.500
|
8/1/18
|
54,913
|
58,098
|
|
Federal National Mortgage Association
|
|
|
|
|
Pass-Through Certificates
|
6.000
|
9/1/19
|
168,639
|
180,763
|
|
Total U.S. government agency mortgage obligations (cost $665,963)
|
|
$658,145
|
|
|
TOTAL INVESTMENTS
|
|
|
|
|
|
Total investments (cost $1,114,685,596)
|
|
|
|
$1,114,160,405
|
Key to holding’s abbreviations
|
|
BKNT
|
Bank Note
|
EMTN
|
Euro Medium Term Notes
|
FRB
|
Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
|
FRN
|
Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
|
GMTN
|
Global Medium Term Notes
|
MTN
|
Medium Term Notes
|
MTNB
|
Medium Term Notes Class B
|
PO
|
Principal Only
|
VRDN
|
Variable Rate Demand Notes, which are floating-rate securities with long-term maturities, that carry
coupons that reset every one or seven days. The rate shown is the current interest rate at the close of the
reporting period.
|
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 August 1, 2012 through July 31, 2013 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification 820
Fair Value Measurements and Disclosures
and references to “OTC”, if any, represent over-the-counter.
* Percentages indicated are based on net assets of $1,151,155,979.
F
Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for ASC 820 based on the securities’ valuation inputs.
R
Real Estate Investment Trust.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
|
|
42
|
Short Duration Income Fund
|
|
DIVERSIFICATION BY COUNTRY
|
|
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value):
|
|
|
|
|
United States
|
70.9
|
|
Sweden
|
1.7%
|
|
|
|
United Kingdom
|
8.0
|
|
Denmark
|
0.8
|
|
|
|
Canada
|
5.8
|
|
Germany
|
0.8
|
|
|
|
Australia
|
3.5
|
|
Cayman Islands
|
0.6
|
|
|
|
Netherlands
|
3.1
|
|
Other
|
0.9
|
|
|
|
France
|
2.1
|
|
Total
|
100.0%
|
|
|
|
Japan
|
1.8
|
|
|
|
|
|
|
ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:
|
|
|
|
|
|
|
|
|
Valuation inputs
|
|
|
Investments in securities:
|
|
Level 1
|
Level 2
|
Level 3
|
|
Asset-backed commercial paper
|
|
$—
|
$28,710,156
|
$—
|
|
Certificates of deposit
|
|
—
|
27,484,712
|
—
|
|
Commercial paper
|
|
—
|
70,600,975
|
—
|
|
Corporate bonds and notes
|
|
—
|
866,316,150
|
—
|
|
Mortgage-backed securities
|
|
—
|
97,080,287
|
—
|
|
Municipal bonds and notes
|
|
—
|
9,309,980
|
—
|
|
Repurchase agreements
|
|
—
|
14,000,000
|
—
|
|
U.S. government agency mortgage obligations
|
|
—
|
658,145
|
—
|
|
Totals by level
|
|
$—
|
$1,114,160,405
|
$—
|
The accompanying notes are an integral part of these financial statements.
|
|
Short Duration Income Fund
|
43
|
Statement of assets and liabilities
7/31/13
|
|
ASSETS
|
|
|
Investment in securities, at value (Note 1):
|
|
Unaffiliated issuers (identified cost $1,114,685,596)
|
$1,114,160,405
|
|
Cash
|
228,061
|
|
Interest and other receivables
|
6,702,583
|
|
Receivable for shares of the fund sold
|
34,086,195
|
|
Receivable for investments sold
|
6,169,306
|
|
Total assets
|
1,161,346,550
|
|
LIABILITIES
|
|
|
Payable for investments purchased
|
6,435,444
|
|
Payable for shares of the fund repurchased
|
3,267,310
|
|
Payable for compensation of Manager (Note 2)
|
117,240
|
|
Payable for custodian fees (Note 2)
|
12,456
|
|
Payable for investor servicing fees (Note 2)
|
26,065
|
|
Payable for Trustee compensation and expenses (Note 2)
|
11,270
|
|
Payable for administrative services (Note 2)
|
1,764
|
|
Payable for distribution fees (Note 2)
|
84,552
|
|
Distributions payable to shareholders
|
4,697
|
|
Other accrued expenses
|
229,773
|
|
Total liabilities
|
10,190,571
|
|
|
Net assets
|
$1,151,155,979
|
|
|
REPRESENTED BY
|
|
|
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4)
|
$1,151,423,076
|
|
Distributions in excess of net investment income (Note 1)
|
(4,696)
|
|
Accumulated net realized gain on investments (Note 1)
|
262,790
|
|
Net unrealized depreciation of investments
|
(525,191)
|
|
Total — Representing net assets applicable to capital shares outstanding
|
$1,151,155,979
|
|
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
|
|
|
Net asset value, offering price and redemption price per class A share
|
|
($1,005,695,129 divided by 100,262,767 shares)
|
$10.03
|
|
Net asset value and offering price per class B share
($326,173 divided by 32,563 shares)*
|
$10.02
|
|
Net asset value and offering price per class C share
($6,291,648 divided by 628,005 shares)*
|
$10.02
|
|
Net asset value, offering price and redemption price per class M share
|
|
($1,266,975 divided by 126,411 shares)
|
$10.02
|
|
Net asset value, offering price and redemption price per class R share
|
|
($1,171,684 divided by 116,960 shares)
|
$10.02
|
|
Net asset value, offering price and redemption price per class R5 share
|
|
($10,096 divided by 1,006 shares)
|
$10.04
|
|
Net asset value, offering price and redemption price per class R6 share
|
|
($229,149 divided by 22,822 shares)
|
$10.04
|
|
Net asset value, offering price and redemption price per class Y share
|
|
($136,165,125 divided by 13,560,894 shares)
|
$10.04
|
|
*
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.
|
|
44
|
Short Duration Income Fund
|
Statement of operations
Year ended 7/31/13
|
|
INVESTMENT INCOME
|
|
|
Interest (including interest income of $46 from investments in affiliated issuers) (Note 6)
|
$5,791,146
|
|
Total investment income
|
5,791,146
|
|
EXPENSES
|
|
|
Compensation of Manager (Note 2)
|
2,189,000
|
|
Investor servicing fees (Note 2)
|
154,282
|
|
Custodian fees (Note 2)
|
25,514
|
|
Trustee compensation and expenses (Note 2)
|
46,013
|
|
Distribution fees (Note 2)
|
580,555
|
|
Administrative services (Note 2)
|
17,253
|
|
Amortization of offering costs (Note 1)
|
33,510
|
|
Other
|
309,811
|
|
Fees waived and reimbursed by Manager (Note 2)
|
(895,367)
|
|
Total expenses
|
2,460,571
|
|
|
Expense reduction (Note 2)
|
(1,434)
|
|
Net expenses
|
2,459,137
|
|
|
Net investment income
|
3,332,009
|
|
|
Net realized gain on investments (Notes 1 and 3)
|
420,153
|
|
Net unrealized depreciation of investments during the year
|
(634,777)
|
|
Net loss on investments
|
(214,624)
|
|
|
Net increase in net assets resulting from operations
|
$3,117,385
|
|
The accompanying notes are an integral part of these financial statements.
|
|
Short Duration Income Fund
|
45
|
Statement of changes in net assets
|
|
|
|
|
For the period 10/17/11
|
|
|
(commencement of
|
INCREASE IN NET ASSETS
|
Year ended 7/31/13
|
operations) to 7/31/12
|
|
Operations:
|
|
|
Net investment income
|
$3,332,009
|
$251,518
|
|
Net realized gain on investments
|
420,153
|
35,715
|
|
Net unrealized appreciation (depreciation) of investments
|
(634,777)
|
109,586
|
|
Net increase in net assets resulting from operations
|
3,117,385
|
396,819
|
|
Distributions to shareholders (Note 1):
|
|
|
From ordinary income
|
|
|
Net investment income
|
|
|
|
Class A
|
(3,130,875)
|
(199,887)
|
|
Class B
|
(689)
|
(165)
|
|
Class C
|
(5,979)
|
(988)
|
|
Class M
|
(3,412)
|
(491)
|
|
Class R
|
(785)
|
(81)
|
|
Class R5
|
(68)
|
(4)
|
|
Class R6
|
(774)
|
(4)
|
|
Class Y
|
(380,306)
|
(15,623)
|
|
Net realized short-term gain on investments
|
|
|
|
Class A
|
(37,493)
|
—
|
|
Class B
|
(52)
|
—
|
|
Class C
|
(307)
|
—
|
|
Class M
|
(56)
|
—
|
|
Class R
|
(9)
|
—
|
|
Class R5
|
(1)
|
—
|
|
Class R6
|
(1)
|
—
|
|
Class Y
|
(3,251)
|
—
|
|
Increase from capital share transactions (Note 4)
|
959,053,698
|
172,369,378
|
|
Total increase in net assets
|
958,607,025
|
172,548,954
|
|
NET ASSETS
|
|
|
|
Beginning of year (Note 5)
|
192,548,954
|
20,000,000
|
|
End of year
(including distributions in excess of net
|
|
|
investment income of $4,696 and undistributed net
|
|
|
investment income of $34,275, respectively)
|
$1,151,155,979
|
$192,548,954
|
|
The accompanying notes are an integral part of these financial statements.
|
|
46
|
Short Duration Income Fund
|
|
This page left blank intentionally.
|
|
|
Short Duration Income Fund
|
47
|
Financial highlights
(For a common share outstanding throughout the period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT OPERATIONS:
|
|
|
|
|
LESS DISTRIBUTIONS:
|
|
|
|
|
RATIOS AND SUPPLEMENTAL DATA:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratio of net
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratio
|
investment
|
|
|
Net asset
|
|
Net realized
|
|
|
|
|
|
|
|
of expenses
|
income (loss)
|
|
|
value,
|
|
and unrealized
|
Total from
|
From
|
From
|
Total
|
Net asset
|
Total return
|
Net assets,
|
to average
|
to average
|
Portfolio
|
|
beginning
|
Net investment
|
gain (loss)
|
investment
|
net investment
|
net realized gain
|
distribu-
|
value, end
|
at net asset
|
end of period
|
net assets
|
net assets
|
turnover
|
Period ended
|
of period
|
income (loss)
a
|
on investments
|
operations
|
income
|
on investments
|
tions
|
of period
|
value (%)
b
|
(in thousands)
|
(%)
c,d
|
(%)
d
|
(%)
|
|
Class A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July 31, 2013
|
$10.02
|
.05
|
.02
|
.07
|
(.06)
|
—
e
|
(.06)
|
$10.03
|
.69
|
$1,005,695
|
.40
|
.53
|
24
|
July 31, 2012†
|
10.00
|
.03
|
.02
|
.05
|
(.03)
|
—
|
(.03)
|
10.02
|
.53
*
|
178,371
|
.32 *
|
.37 *
|
2 *
|
|
Class B
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July 31, 2013
|
$10.01
|
.01
|
.02
|
.03
|
(.02)
|
—
e
|
(.02)
|
$10.02
|
.29
|
$326
|
.80
|
.14
|
24
|
July 31, 2012†
|
10.00
|
.01
|
.01
|
.02
|
(.01)
|
—
|
(.01)
|
10.01
|
.20
*
|
386
|
.63 *
|
.05 *
|
2 *
|
|
Class C
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July 31, 2013
|
$10.01
|
.01
|
.02
|
.03
|
(.02)
|
—
e
|
(.02)
|
$10.02
|
.29
|
$6,292
|
.80
|
.13
|
24
|
July 31, 2012†
|
10.00
|
.01
|
.01
|
.02
|
(.01)
|
—
|
(.01)
|
10.01
|
.20
*
|
2,054
|
.63 *
|
.07 *
|
2 *
|
|
Class M
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July 31, 2013
|
$10.02
|
.05
|
—
e
|
.05
|
(.05)
|
—
e
|
(.05)
|
$10.02
|
.54
|
$1,267
|
.45
|
.49
|
24
|
July 31, 2012†
|
10.00
|
.03
|
.02
|
.05
|
(.03)
|
—
|
(.03)
|
10.02
|
.49
*
|
212
|
.36 *
|
.32 *
|
2 *
|
|
Class R
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July 31, 2013
|
$10.01
|
.01
|
.02
|
.03
|
(.02)
|
—
e
|
(.02)
|
$10.02
|
.29
|
$1,172
|
.80
|
.10
|
24
|
July 31, 2012†
|
10.00
|
.01
|
.01
|
.02
|
(.01)
|
—
|
(.01)
|
10.01
|
.20
*
|
100
|
.63 *
|
.02 *
|
2 *
|
|
Class R5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July 31, 2013
|
$10.03
|
.06
|
.02
|
.08
|
(.07)
|
—
e
|
(.07)
|
$10.04
|
.79
|
$10
|
.30
|
.65
|
24
|
July 31, 2012††
|
10.02
|
.01
|
—
e
|
.01
|
—
e
|
—
|
—
e
|
10.03
|
.13
*
|
10
|
.02 *
|
.05 *
|
2 *
|
|
Class R6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July 31, 2013
|
$10.03
|
.06
|
.02
|
.08
|
(.07)
|
—
e
|
(.07)
|
$10.04
|
.79
|
$229
|
.30
|
.61
|
24
|
July 31, 2012††
|
10.02
|
.01
|
—
e
|
.01
|
—
e
|
—
|
—
e
|
10.03
|
.13
*
|
10
|
.02 *
|
.05 *
|
2 *
|
|
Class Y
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July 31, 2013
|
$10.03
|
.06
|
.02
|
.08
|
(.07)
|
—
e
|
(.07)
|
$10.04
|
.79
|
$136,165
|
.30
|
.61
|
24
|
July 31, 2012†
|
10.00
|
.04
|
.03
|
.07
|
(.04)
|
—
|
(.04)
|
10.03
|
.67
*
|
11,405
|
.24 *
|
.47 *
|
2 *
|
|
* Not annualized.
† For the period October 17, 2011 (commencement of operations) to July 31, 2012.
†† For the period July 3, 2012 (commencement of operations) to July 31, 2012.
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 arrangements (Note 2).
d
Reflects an involuntary contractual expense limitation in effect during the period. As a result of such limitation, the expenses of each class reflect a reduction of the following amounts as a percentage of net assets (Note 2):
|
|
|
|
|
|
7/31/13
|
7/31/12
|
|
|
|
|
|
Class A
|
0.14
|
0.47%
|
|
|
|
|
|
Class B
|
0.14
|
0.47
|
|
|
|
|
|
Class C
|
0.14
|
0.47
|
|
|
|
|
|
Class M
|
0.14
|
0.47
|
|
|
|
|
|
Class R
|
0.14
|
0.47
|
|
|
|
|
|
Class R5
|
0.24
|
0.04
|
|
|
|
|
|
Class R6
|
0.17
|
0.04
|
|
|
|
|
|
Class Y
|
0.14
|
0.47
|
|
|
|
|
|
e
Amount represents less than $0.01 per share.
The accompanying notes are an integral part of these financial statements.
|
|
|
|
48
|
Short Duration Income Fund
|
Short Duration Income Fund
|
49
|
Notes to financial statements
7/31/13
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 August 1, 2012 through July 31, 2013.
Putnam Short Duration Income 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 investment objective of the fund is to seek as high a rate of current income as Putnam Management believes is consistent with preservation of capital and maintenance of liquidity. The fund invests in a diversified portfolio of fixed income securities comprised of short duration, investment-grade money market and other fixed income securities. The fund’s investments may include obligations of the U.S. government, its agencies and instrumentalities, which are backed by the full faith and credit of the United States (
e.g.
, U.S. Treasury bonds and Ginnie Mae mortgage-backed bonds) or only by the credit of a federal agency or government sponsored entity (
e.g.
, Fannie Mae or Freddie Mac mortgage backed bonds), domestic corporate debt obligations, taxable municipal debt securities, securitized debt instruments (such as mortgage- and asset backed securities), repurchase agreements, certificates of deposit, bankers acceptances, commercial paper (including asset-backed commercial paper), time deposits, Yankee Eurodollar securities and money market instruments. We may also invest in U.S.-dollar denominated foreign securities of these types. Under normal circumstances, the effective duration of the fund’s portfolio will generally not be greater than one year. Effective duration provides a measure of a fund’s interest-rate sensitivity. The longer a fund’s duration, the more sensitive the fund is to shifts in interest rates. Under normal circumstances, the dollar-weighted average portfolio maturity of the fund is not expected to exceed three and one-half years. We 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. We may also use derivatives, such as futures, options and swap contracts, for both hedging and non-hedging purposes.
The fund offers class A, class B (only in exchange for class B shares of another Putnam fund), class C, class M, class R, class R5, class R6 and class Y shares. Each class of shares is sold without a front-end sales charge. Class A, class M, class R, class R5, class R6 and class Y shares also are generally not subject to a contingent deferred sales charge. Class B shares, which are only available through exchange of class B shares of another Putnam fund, convert to class A shares after approximately eight years after the original purchase date and are subject to a contingent deferred sales charge on certain redemptions. Class C shares obtained in an exchange for class C shares of another Putnam fund, have a one-year 1.00% contingent deferred sales charge on certain redemptions and do not convert to class A shares. Class R shares are not available to all investors. The expenses for class A, class B, class C, class M, and class R shares may differ based on each class’ distribution fee, which is identified in Note 2. Class R5, class R6 and class Y shares are generally subject to the same expenses as class A, class B, class C, class M and class R shares, but do not bear a distribution fee. Class R5, 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.
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.
|
|
50
|
Short Duration Income Fund
|
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
Market quotations are not considered to be readily available for certain debt obligations 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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
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.
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. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
Such valuations and procedures are reviewed periodically by the 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 market 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 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, is recorded on the accrual basis. All premiums/discounts are amortized/accreted on a yield-to-maturity basis.
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 market value of these securities is highly sensitive to changes in interest rates.
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
|
|
Short Duration Income Fund
|
51
|
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.
Line of credit
The fund participates, along with other Putnam funds, in a $315 million unsecured committed line of credit and a $185 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 the Federal Funds rate plus 1.25% for the committed line of credit and the Federal Funds rate plus 1.30% for the uncommitted line of credit. A closing fee equal to 0.02% of the committed line of credit and $50,000 for the uncommitted line of credit has been paid by the participating funds. In addition, a commitment fee of 0.11% 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 periods remains subject to examination by the Internal Revenue Service.
Distributions to shareholders
Income dividends are recorded daily by the fund and are paid monthly. 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. For the reporting period ended, there were no material temporary or permanent differences. 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. For the reporting period ended, the fund reclassified $151,908 to decrease distributions in excess of net investment income and $151,908 decrease accumulated net realized gain.
The tax basis components of distributable earnings and the federal tax cost as of the close of the reporting period were as follows:
|
|
Unrealized appreciation
|
$825,495
|
Unrealized depreciation
|
(1,350,686)
|
|
Net unrealized depreciation
|
(525,191)
|
Undistributed short-term gain
|
262,790
|
|
|
Cost for federal income tax purposes
|
$1,114,685,596
|
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.
Offering costs
The offering costs of $160,937 have been fully amortized on a straight-line basis over a twelve-month period as of July 31, 2013. As of the close of the reporting period, the fund has reimbursed Putnam Management for the payment of these expenses.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of most open-end funds, as defined in the fund’s management contract, sponsored by Putnam Management. Such annual rates may vary as follows:
|
|
52
|
Short Duration Income Fund
|
|
|
|
|
|
0.500%
|
of the first $5 billion,
|
|
0.300%
|
of the next $50 billion,
|
|
|
|
0.450%
|
of the next $5 billion,
|
|
0.280%
|
of the next $50 billion,
|
|
|
|
0.400%
|
of the next $10 billion,
|
|
0.270%
|
of the next $100 billion and
|
|
|
|
0.350%
|
of the next $10 billion,
|
|
0.265%
|
of any excess thereafter.
|
|
|
|
Putnam Management has agreed to waive fees (and, to the extent necessary, bear other expenses) of the fund through November 30, 2014, to the extent that expenses of the fund (excluding brokerage, interest, taxes, investment-related expenses, such as borrowing costs, payments under distribution plans, extraordinary expenses and acquired fund fees and expenses) would exceed an annual rate of 0.30% of the fund’s average net assets. During the reporting period, the fund’s expenses were reduced by $895,367 as a result of this limit.
Putnam Management has also contractually agreed, through June 30, 2014, to waive fees 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.
Effective June 21, 2013, 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. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.25% of the average net assets of the portion of the fund managed by PIL. Prior to June 21, 2013, the annual rate that Putnam Management paid for these services was 0.40% of the average net assets of the portion of the fund managed by PIL.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
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.
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 (except for Class R5 and R6 shares) based on the fund’s retail asset level, the number of shareholder accounts in the fund and the level of defined contribution plan assets in the fund. Class R5 shares pay a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.12%. Class R6 shares pay a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%. Investor servicing fees will not exceed an annual rate of 0.32% of the fund’s average net assets. During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
|
|
|
|
|
Class A
|
$138,370
|
|
Class R5
|
12
|
|
|
|
Class B
|
99
|
|
Class R6
|
57
|
|
|
|
Class C
|
937
|
|
Class Y
|
14,527
|
|
|
|
Class M
|
156
|
|
Total
|
$154,282
|
|
|
|
Class R
|
124
|
|
|
|
|
|
|
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 $1,434 under the expense offset arrangements.
Each independent Trustee of the fund receives an annual Trustee fee, of which $775, 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.
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.
|
|
Short Duration Income Fund
|
53
|
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. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. 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.
The fund has adopted distribution plans (the Plans) with respect to its class A, class B, class C, class M and class R shares 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 for payments by the fund to Putnam Retail Management Limited Partnership at an annual rate of up to 0.35%, 0.75%, 1.00%, 1.00% and 1.00% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. The Trustees have approved payment by the fund at an annual rate of 0.10%, 0.50%, 0.50%, 0.15% and 0.50% of the average net assets attributable to class A, class B, class C, class M and class R shares, respectively. During the reporting period, the class specific expenses related to distribution fees were as follows:
|
|
|
|
|
Class A
|
$556,577
|
|
Class M
|
907
|
|
|
|
Class B
|
1,931
|
|
Class R
|
2,569
|
|
|
|
Class C
|
18,571
|
|
Total
|
$580,555
|
|
|
|
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $156 and $72, respectively, in contingent deferred sales charges from redemptions of class B and class C shares purchased by exchange from another Putnam fund.
A deferred sales charge of up to 1.00% for class A shares and up to 0.15% for class M shares may be assessed on certain redemptions. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $1,675 and no monies, respectively in contingent deferred sales charges from redemptions of class A and class M shares purchased by exchange from another Putnam fund.
Note 3: Purchases and sales of securities
During the reporting period, cost of purchases and proceeds from sales of investment securities other than short-term investments aggregated $591,691,638 and $90,297,330, respectively. There were no purchases or proceeds from sales of long-term U.S. government securities.
Note 4: Capital shares
At the close of the reporting period, there was an unlimited number of shares of beneficial interest authorized.
Transactions in capital shares were as follows:
|
|
|
|
|
|
|
|
For the period 10/17/11
|
|
|
|
(commencement of operations)
|
|
Year ended 7/31/13
|
to 7/31/12
|
|
Class A
|
Shares
|
Amount
|
Shares
|
Amount
|
|
Shares sold
|
168,216,682
|
$1,688,356,580
|
21,437,881
|
$214,611,492
|
|
Shares issued in connection with
|
|
|
|
|
reinvestment of distributions
|
309,649
|
3,107,960
|
19,637
|
196,618
|
|
|
168,526,331
|
1,691,464,540
|
21,457,518
|
214,808,110
|
|
Shares repurchased
|
(86,068,633)
|
(863,779,803)
|
(5,602,449)
|
(56,104,277)
|
|
Net increase
|
82,457,698
|
$827,684,737
|
15,855,069
|
$158,703,833
|
|
|
|
54
|
Short Duration Income Fund
|
|
|
|
|
|
|
|
|
For the period 10/17/11
|
|
|
|
(commencement of operations)
|
|
Year ended 7/31/13
|
to 7/31/12
|
|
Class B
|
Shares
|
Amount
|
Shares
|
Amount
|
|
Shares sold
|
46,328
|
$464,401
|
34,033
|
$340,300
|
|
Shares issued in connection with
|
|
|
|
|
reinvestment of distributions
|
70
|
696
|
16
|
158
|
|
|
46,398
|
465,097
|
34,049
|
340,458
|
|
Shares repurchased
|
(52,402)
|
(525,195)
|
(5,482)
|
(54,840)
|
|
Net increase (decrease)
|
(6,004)
|
$(60,098)
|
28,567
|
$285,618
|
|
|
|
|
|
For the period 10/17/11
|
|
|
|
(commencement of operations)
|
|
Year ended 7/31/13
|
to 7/31/12
|
|
Class C
|
Shares
|
Amount
|
Shares
|
Amount
|
|
Shares sold
|
687,372
|
$6,890,208
|
329,544
|
$3,293,421
|
|
Shares issued in connection with
|
|
|
|
|
reinvestment of distributions
|
627
|
6,286
|
99
|
986
|
|
|
688,009
|
6,896,494
|
329,643
|
3,294,407
|
|
Shares repurchased
|
(265,291)
|
(2,659,498)
|
(134,356)
|
(1,342,537)
|
|
Net increase
|
422,718
|
$4,236,996
|
195,287
|
$1,951,870
|
|
|
|
|
|
For the period 10/17/11
|
|
|
|
(commencement of operations)
|
|
Year ended 7/31/13
|
to 7/31/12
|
|
Class M
|
Shares
|
Amount
|
Shares
|
Amount
|
|
Shares sold
|
146,443
|
$1,468,513
|
11,373
|
$113,781
|
|
Shares issued in connection with
|
|
|
|
|
reinvestment of distributions
|
143
|
1,433
|
48
|
491
|
|
|
146,586
|
1,469,946
|
11,421
|
114,272
|
|
Shares repurchased
|
(41,384)
|
(415,154)
|
(212)
|
(2,120)
|
|
Net increase
|
105,202
|
$1,054,792
|
11,209
|
$112,152
|
|
|
|
|
|
For the period 10/17/11
|
|
|
|
(commencement of operations)
|
|
Year ended 7/31/13
|
to 7/31/12
|
|
Class R
|
Shares
|
Amount
|
Shares
|
Amount
|
|
Shares sold
|
110,031
|
$1,103,560
|
1
|
$9
|
|
Shares issued in connection with
|
|
|
|
|
reinvestment of distributions
|
80
|
794
|
7
|
81
|
|
|
110,111
|
1,104,354
|
8
|
90
|
|
Shares repurchased
|
(3,159)
|
(31,686)
|
—
|
—
|
|
Net increase
|
106,952
|
$1,072,668
|
8
|
$90
|
|
|
|
Short Duration Income Fund
|
55
|
|
|
|
|
|
|
|
|
For the period 7/3/12
|
|
|
|
(commencement of operations)
|
|
Year ended 7/31/13
|
to 7/31/12
|
|
Class R5
|
Shares
|
Amount
|
Shares
|
Amount
|
|
Shares sold
|
—
|
$—
|
998
|
$10,000
|
|
Shares issued in connection with
|
|
|
|
|
reinvestment of distributions
|
8
|
72
|
|
4
|
|
|
8
|
72
|
998
|
10,004
|
|
Shares repurchased
|
—
|
—
|
—
|
—
|
|
Net increase
|
8
|
$72
|
998
|
$10,004
|
|
|
|
|
|
For the period 7/3/12
|
|
|
|
(commencement of operations)
|
|
Year ended 7/31/13
|
to 7/31/12
|
|
Class R6
|
Shares
|
Amount
|
Shares
|
Amount
|
|
Shares sold
|
50,970
|
$512,245
|
998
|
$10,000
|
|
Shares issued in connection with
|
|
|
|
|
reinvestment of distributions
|
78
|
775
|
—*
|
4
|
|
|
51,048
|
513,020
|
998
|
10,004
|
|
Shares repurchased
|
(29,224)
|
(293,652)
|
—
|
—
|
|
Net increase
|
21,824
|
$219,368
|
998
|
$10,004
|
|
|
|
|
|
For the period 10/17/11
|
|
|
|
(commencement of operations)
|
|
Year ended 7/31/13
|
to 7/31/12
|
|
Class Y
|
Shares
|
Amount
|
Shares
|
Amount
|
|
Shares sold
|
26,385,387
|
$265,082,243
|
2,350,615
|
$23,554,193
|
|
Shares issued in connection with
|
|
|
|
|
reinvestment of distributions
|
37,584
|
377,489
|
1,011
|
10,141
|
|
|
26,422,971
|
265,459,732
|
2,351,626
|
23,564,334
|
|
Shares repurchased
|
(13,999,304)
|
(140,614,569)
|
(1,224,399)
|
(12,268,527)
|
|
Net increase
|
12,423,667
|
$124,845,163
|
1,127,227
|
$11,295,807
|
|
* Represents less than 1 share.
At the close of the reporting period, Putnam Investments, LLC owned the following class shares of the fund:
|
|
|
|
|
Shares owned
|
Percentage of ownership
|
Value
|
|
Class R
|
10,027
|
8.6%
|
$100,471
|
|
Class R5
|
1,006
|
100.0%
|
$10,096
|
|
Class R6
|
1,006
|
4.4%
|
$10,096
|
|
Note 5: Initial capitalization and offering of shares
The fund was established as a series of the Trust on October 17, 2011. Prior to October 17, 2011, the fund had no operations other than those related to organizational matters, including as noted below, the initial capital contributions by Putnam Investments, LLC and issuance of shares:
|
|
56
|
Short Duration Income Fund
|
|
|
|
|
Capital contribution
|
Shares issued
|
|
Class A
|
$19,500,000
|
1,950,000
|
|
Class B
|
100,000
|
10,000
|
|
Class C
|
100,000
|
10,000
|
|
Class M
|
100,000
|
10,000
|
|
Class R
|
100,000
|
10,000
|
|
Class Y
|
100,000
|
10,000
|
|
Note 6: Transactions with affiliated issuer
Transactions during the reporting period with Putnam Money Market Liquidity Fund, which is under common ownership and control, were as follows:
|
|
|
|
|
|
|
Market value at
|
|
|
|
Market value
|
|
the beginning
|
|
|
|
at the end of
|
|
of the reporting
|
|
|
Investment
|
the reporting
|
Name of affiliate
|
period
|
Purchase cost
|
Sale proceeds
|
income
|
period
|
|
Putnam Money Market
|
|
|
|
|
|
Liquidity Fund*
|
$—
|
$672,918
|
$672,918
|
$46
|
$—
|
|
* Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.
Note 7: 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. 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. 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.
Note 8: New accounting pronouncement
In January 2013, ASU 2013–01,
“Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities,”
amended ASU No. 2011–11,
“Disclosures about Offsetting Assets and Liabilities.”
The ASUs create new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in the Statement of assets and liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013 and interim periods within those annual periods. Putnam Management is currently evaluating the application of ASUs 2013–01 and 2011–11 and their impact, if any, on the fund’s financial statements.
Federal tax information (Unaudited)
The Form 1099 that will be mailed to you in January 2014 will show the tax status of all distributions paid to your account in calendar 2013.
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Short Duration Income Fund
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57
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About the Trustees
Independent Trustees
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58
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Short Duration Income Fund
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* Mr. Reynolds is an “interested person” (as defined in the Investment Company Act of 1940) of the fund, Putnam Management, and Putnam Retail Management. He is President and Chief Executive Officer of Putnam Investments, as well as the President of your fund and each of the other Putnam funds.
The address of each Trustee is One Post Office Square, Boston, MA 02109.
As of July 31, 2013, there were 116 Putnam funds. All Trustees serve as Trustees of all Putnam funds.
Each Trustee serves for an indefinite term, until his or her resignation, retirement at age 75, removal, or death.
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Short Duration Income Fund
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59
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Officers
In addition to Robert L. Reynolds, the other officers of the fund are shown below:
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Jonathan S. Horwitz
(Born 1955)
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Janet C. Smith
(Born 1965)
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Executive Vice President, Principal Executive
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Vice President, Principal Accounting Officer,
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Officer, and Compliance Liaison
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and Assistant Treasurer
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Since 2004
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Since 2007
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Director of Fund Administration Services,
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Steven D. Krichmar
(Born 1958)
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Putnam Investments and Putnam Management
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Vice President and Principal Financial Officer
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Since 2002
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Susan G. Malloy
(Born 1957)
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Chief of Operations, Putnam Investments and
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Vice President and Assistant Treasurer
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Putnam Management
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Since 2007
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Director of Accounting & Control Services,
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Robert T. Burns
(Born 1961)
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Putnam Investments and Putnam Management
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Vice President and Chief Legal Officer
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Since 2011
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James P. Pappas
(Born 1953)
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General Counsel, Putnam Investments, Putnam
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Vice President
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Management, and Putnam Retail Management
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Since 2004
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Director of Trustee Relations,
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Robert R. Leveille
(Born 1969)
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Putnam Investments and Putnam Management
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Vice President and Chief Compliance Officer
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Since 2007
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Mark C. Trenchard
(Born 1962)
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Chief Compliance Officer, Putnam Investments,
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Vice President and BSA Compliance Officer
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Putnam Management, and Putnam Retail
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Since 2002
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Management
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Director of Operational Compliance,
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Putnam Investments and Putnam
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Michael J. Higgins
(Born 1976)
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Retail Management
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Vice President, Treasurer, and Clerk
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Since 2010
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Nancy E. Florek
(Born 1957)
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Manager of Finance, Dunkin’ Brands (2008–
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Vice President, Director of Proxy Voting and
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2010); Senior Financial Analyst, Old Mutual Asset
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Corporate Governance, Assistant Clerk,
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Management (2007–2008); Senior Financial
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and Associate Treasurer
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Analyst, Putnam Investments (1999–2007)
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Since 2000
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The principal occupations of the officers for the past five years have been with the employers as shown above although in some cases, they have held different positions with such employers. The address of each Officer is One Post Office Square, Boston, MA 02109.
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60
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Short Duration Income Fund
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Fund information
Founded over 75 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 over 100 funds across income, value, blend, growth, asset allocation, absolute return, and global sector categories.
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Investment Manager
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Trustees
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Robert R. Leveille
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Putnam Investment
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Jameson A. Baxter,
Chair
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Vice President and
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Management, LLC
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Liaquat Ahamed
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Chief Compliance Officer
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One Post Office Square
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Ravi Akhoury
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Boston, MA 02109
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Barbara M. Baumann
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Michael J. Higgins
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Charles B. Curtis
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Vice President, Treasurer,
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Investment Sub-Manager
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Robert J. Darretta
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and Clerk
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Putnam Investments Limited
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Katinka Domotorffy
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57–59 St James’s Street
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John A. Hill
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Janet C. Smith
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London, England SW1A 1LD
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Paul L. Joskow
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Vice President,
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Kenneth R. Leibler
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Principal Accounting Officer,
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Marketing Services
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Robert E. Patterson
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and Assistant Treasurer
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Putnam Retail Management
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George Putnam, III
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One Post Office Square
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Robert L. Reynolds
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Susan G. Malloy
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Boston, MA 02109
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W. Thomas Stephens
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Vice President and
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Assistant Treasurer
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Custodian
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Officers
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State Street Bank
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Robert L. Reynolds
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James P. Pappas
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and Trust Company
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President
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Vice President
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Legal Counsel
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Jonathan S. Horwitz
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Mark C. Trenchard
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Ropes & Gray LLP
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Executive Vice President,
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Vice President and
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Principal Executive Officer, and
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BSA Compliance Officer
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Independent Registered
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Compliance Liaison
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Public Accounting Firm
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Nancy E. Florek
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KPMG LLP
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Steven D. Krichmar
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Vice President, Director of
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Vice President and
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Proxy Voting and Corporate
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Principal Financial Officer
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Governance, Assistant Clerk,
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and Associate Treasurer
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Robert T. Burns
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Vice President and
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Chief Legal Officer
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This report is for the information of shareholders of Putnam Short Duration Income 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.