Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

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CORPORATE BONDS AND NOTES (17.6%)* cont. Principal amount ValueTransportation (0.1%)Swift Services Holdings, Inc. company guaranty sr.notes 10s, 2018 $90,000 $97,538Watco Cos., LLC/Watco Finance Corp. 144A company guarantysr. unsec. notes 6 3/8s, 2023 50,000 51,000Utilities and power (1.2%)148,538AES Corp./Virginia (The) sr. unsec. notes 8s, 2020 240,000 287,400AES Corp./Virginia (The) sr. unsec. unsub. notes 4 7/8s, 2023 25,000 24,469Calpine Corp. 144A company guaranty sr. notes 6s, 2022 50,000 53,625Calpine Corp. 144A company guaranty sr. notes 5 7/8s, 2024 15,000 15,675Consolidated Edison Co. of New York sr. unsec. notes7 1/8s, 2018 92,000 112,570Electricite de France 144A jr. unsec. sub. FRN notes 5 5/8s,perpetual maturity (France) 695,000 720,889Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc.sr. notes 10s, 2020 25,000 26,531Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc.144A sr. notes 10s, 2020 195,000 207,188EP Energy, LLC/Everest Acquisition Finance, Inc. companyguaranty sr. notes 6 7/8s, 2019 10,000 10,700FirstEnergy Transmission, LLC 144A sr. unsec. unsub. notes5.45s, 2044 130,000 131,465GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 102,000Kinder Morgan, Inc./DE 144A sr. notes 5s, 2021 358,000 360,685NRG Energy, Inc. company guaranty sr. unsec. notes7 7/8s, 2021 115,000 127,938Regency Energy Partners LP/Regency Energy Finance Corp.company guaranty sr. unsec. unsub. notes 5 7/8s, 2022 80,000 85,000Regency Energy Partners LP/Regency Energy Finance Corp.company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 30,000 30,675Regency Energy Partners LP/Regency Energy Finance Corp.company guaranty sr. unsec. unsub. notes 4 1/2s, 2023 55,000 52,3882,349,198Total corporate bonds and notes (cost $32,666,383) $33,492,661U.S. GOVERNMENT AND AGENCYMORTGAGE OBLIGATIONS (3.9%)* Principal amount ValueU.S. Government Guaranteed Mortgage Obligations (0.5%)Government National Mortgage Association Pass-Through Certificates3s, TBA, June 1, 2044 $1,000,000 $1,007,422U.S. Government Agency Mortgage Obligations (3.4%)1,007,422Federal National Mortgage Association Pass-Through Certificates6s, TBA, June 1, 2044 2,000,000 2,247,5004s, TBA, June 1, 2044 3,000,000 3,179,2973 1/2s, TBA, June 1, 2029 1,000,000 1,057,8136,484,610Total U.S. government and agency mortgage obligations (cost $7,420,743) $7,492,032Dynamic Risk Allocation Fund49
U.S. TREASURY OBLIGATIONS (0.2%)* Principal amount ValueU.S. Treasury Bonds 3 5/8s, August 15, 2043 i $80,000 $85,745U.S. Treasury Inflation Protected Securities 1 1/8s, July 15, 2020 i 142,932 157,584U.S. Treasury Notes 2s, February 15, 2023 i 118,000 115,700U.S. Treasury Strips zero%, August 15, 2023 i 142,000 113,170Total U.S. treasury obligations (cost $472,199) $472,199COMMODITY LINKED NOTES (4.2%)* ††† Principal amount ValueUBS AG/London 144A sr. notes 1-month LIBOR less 0.10%, 2015(Indexed to the S&P GSCI Light Energy Index Total Return multipliedby 3) (Jersey) $4,120,000 $3,966,183Deutsche Bank AG/London 144A sr. unsec. notes, 1-month USDLIBOR less 0.16%, 2015 (Indexed to the S&P GSCI Light Energy Index —Total Return multiplied by 3) (United Kingdom) 4,120,000 3,965,088Total commodity linked notes (cost $8,240,000) $7,931,271MORTGAGE-BACKED SECURITIES (4.0%)* Principal amount ValueCommercial mortgage-backed securities (2.9%)Banc of America Commercial Mortgage TrustFRB Ser. 08-1, Class AJ, 6.274s, 2051 $60,000 $64,938FRB Ser. 07-3, Class A3, 5.591s, 2049 43,725 43,694Ser. 06-5, Class A2, 5.317s, 2047 45,058 45,281FRB Ser. 05-1, Class AJ, 5.29s, 2042 325,000 330,363Ser. 05-4, Class B, 5.118s, 2045 212,000 214,120Bear Stearns Commercial Mortgage Securities Trust FRBSer. 06-PW12, Class AJ, 5 3/4s, 2038 48,000 50,253Citigroup Commercial Mortgage TrustFRB Ser. 06-C4, Class AJ, 5.782s, 2049 175,000 182,123Ser. 13-GC11, Class D, 4.606s, 2046 100,000 93,041COMM Mortgage TrustFRB Ser. 04-LB3A, Class E, 5.454s, 2037 200,000 201,600Ser. 12-CR3, Class XA, IO, 2.188s, 2045 519,726 63,128Ser. 12-CR5, Class XA, IO, 1.916s, 2045 745,862 75,705Ser. 14-CR17, Class XA, IO, 1.38s, 2047 629,000 50,664Ser. 14-CR16, Class XA, IO, 1.285s, 2047 1,714,629 138,173COMM Mortgage Trust 144AFRB Ser. 13-CR12, Class D, 5.086s, 2046 237,000 230,127FRB Ser. 12-LC4, Class D, 5.647s, 2044 100,000 100,680DBRR Trust 144A FRB Ser. 13-EZ3, Class A, 1.636s, 2049 182,162 182,732GE Capital Commercial Mortgage Corporation FRB Ser. 06-C1,Class AJ, 5.279s, 2044 120,000 119,680Greenwich Capital Commercial Funding Corporation FRBSer. 05-GG3, Class D, 4.986s, 2042 44,000 44,200GS Mortgage Securities Trust Ser. 05-GG4, Class AJ, 4.782s, 2039 50,000 50,671GS Mortgage Securities Trust 144ASer. 10-C1, Class D, 6.028s, 2043 158,403 171,956FRB Ser. 12-GC6, Class D, 5.638s, 2045 193,000 200,836JPMorgan Chase Commercial Mortgage Securities TrustFRB Ser. 06-LDP7, Class B, 5.863s, 2045 118,000 100,322Ser. 07-C1, Class A3, 5.79s, 2051 4,129 4,17550 Dynamic Risk Allocation Fund
Page 1 and 2: PutnamDynamic RiskAllocation FundFU
Page 3 and 4: Message from the TrusteesDear Fello
Page 5 and 6: PerformancesnapshotAnnualized total
Page 7 and 8: program late in 2013 and end it by
Page 9 and 10: In this shifting environment, where
Page 11 and 12: at the same rate as during the past
Page 13 and 14: Change in the value of a $10,000 in
Page 15 and 16: Expenses per $1,000The following ta
Page 17 and 18: S&P 500 Index is an unmanaged index
Page 19 and 20: Financial statementsThese sections
Page 21 and 22: The fund’s portfolio 5/31/14COMMO
Page 23 and 24: COMMON STOCKS (43.3%)* cont. Shares
Page 37 and 38: CORPORATE BONDS AND NOTES (17.6%)*
Page 49: CORPORATE BONDS AND NOTES (17.6%)*
Page 53 and 54: PURCHASED OPTIONSOUTSTANDING (0.3%)
Page 55 and 56: S Security on loan, in part or in e
Page 57 and 58: FORWARD CURRENCY CONTRACTS at 5/31/
Page 59 and 60: FORWARD CURRENCY CONTRACTS at 5/31/
Page 61 and 62: OTC TOTAL RETURN SWAP CONTRACTS OUT
Page 63 and 64: OTC CREDIT DEFAULT CONTRACTS OUTSTA
Page 65 and 66: Statement of assets and liabilities
Page 67 and 68: Statement of operations Year ended
Page 69 and 70: Financial highlights (For a common
Page 71 and 72: Notes to financial statements 5/31/
Page 73 and 74: eceive all of the interest and prin
Page 75 and 76: OTC total return swap contracts out
Page 77 and 78: Federal taxes It is the policy of t
Page 79 and 80: The fund has adopted an unfunded no
Page 81 and 82: Year ended 5/31/14For the period 7/
Page 83 and 84: The following is a summary of the f
Page 85 and 86: Federal tax information (Unaudited)
Page 87 and 88: About the TrusteesIndependent Trust
Page 89 and 90: OfficersIn addition to Robert L. Re
Page 91 and 92: Absolute ReturnAbsolute Return 100
Page 93: A BALANCED APPROACHSince 1937, when

Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

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