Dynamic Risk Asset Allocation: Annual Report - Putnam Investments

OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/14 cont.Swap counterparty/Notional amountUpfrontpremiumreceived (paid)TerminationdatePaymentsreceived (paid) byfund per annumTotal returnreceived byor paid by fundUnrealizedappreciation/(depreciation)Citibank, N.A. cont.baskets 77 $— 12/19/14 (3 month USD-LIBOR-BBA plus0.15%)shares 31,031 — 1/30/15 1 month USD-LIBOR plus 0.50%shares 156 — 1/30/15 1 month USD-LIBOR less 0.55%shares 34,806 — 1/30/15 1 month USD-LIBOR less 0.55%shares 138 — 1/30/15 1 month USD-LIBOR plus 0.50%units 1,692 — 12/19/14 3 month USD-LIBOR-BBA minus0.10%A basket(CGPUTQL2 ) ofcommon stocks$330,018Carlyle Group LP (29,965 )Apollo GlobalManagement, LLCApollo GlobalManagement, LLC22650,534Carlyle Group LP (133 )Russell 1000 TotalReturn IndexCredit Suisse International$2,600,000 — 1/9/23 (2.76%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)3,400,000 — 8/7/22 (2.515%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)1,600,000 — 8/8/22 (2.5325%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)700,000 — 9/10/22 (2.5925%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)3,300,000 — 2/8/23 (2.81%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)6,900,000 — 7/19/23 (2.57%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)shares 94,529 — 7/2/14 (3 month USD-LIBOR-BBA plus0.10%)shares 37,583 — 9/19/14 (3 month USD-LIBOR-BBA plus0.20%)Vanguard IndexFunds — MSCIEmerging MarketsETFVanguard IndexFunds — MSCIEmerging MarketsETFDeutsche Bank AG$500,000 — 11/7/21 (2.43%) USA Non RevisedConsumer PriceIndex-Urban (CPI-U)EUR 3,677 — 1/21/15 (3 month EUR- STOXX 600 BanksEURIBOR-REUTERS Supersector Returnminus 0.16%) Index EUR(299,605 )(116,683 )(80,410 )(38,890 )(18,531 )(152,074 )(83,076 )125,705151,491(11,952 )11,40560 Dynamic Risk Allocation Fund