N-Q 1 a_fundstrust.htm PUTNAM FUNDS TRUST a_fundstrust.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY

Investment Company Act file number: (811- 07513)

Exact name of registrant as specified in charter: Putnam Funds Trust

Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109

Name and address of agent for service:  Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
 
Copy to:   John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  One International Place 
  Boston, Massachusetts 02110 
 
Registrant’s telephone number, including area code:   (617) 292-1000 

Date of fiscal year end: February 29, 2008

Date of reporting period: May 31, 2007

Item 1. Schedule of Investments:

Putnam Floating Rate Income Fund
The fund's portfolio
5/31/07 (Unaudited)

SENIOR LOANS (84.7%)(a)(c)     
 
  Principal amount  Value 
Automotive (4.1%)     
Dana Corp. bank term loan FRN 7.88s, 2008  $2,750,000  $2,756,017 
Delphi Corp. bank term loan FRN Ser. C, 8 1/8s, 2008  3,200,000  3,205,030 
Federal Mogul Corp. bank term loan FRN 7.1s, 2007  1,715,000  1,716,715 
General Motors Corp. bank term loan FRN 7.725s, 2013  3,990,000  4,021,673 
Lear Corp. bank term loan FRN 7.853s, 2013  3,140,550  3,142,513 
Oshkosh Truck Corp. bank term loan FRN Ser. B, 7.1s,     
2013  4,937,625  4,956,141 
TRW Automotive, Inc. bank term loan FRN Ser. B,     
6 7/8s, 2014  1,130,000  1,134,520 
Visteon Corp. bank term loan FRN Ser. B, 8.38s, 2013  2,050,000  2,062,601 
    22,995,210 
 
Basic Materials (8.9%)     
Aleris International, Inc. bank term loan FRN Ser. B,     
7 3/8s, 2013  4,989,375  5,004,184 
Armstrong World Industries, Inc. bank term loan FRN     
Ser. B, 7.07s, 2013  1,391,250  1,394,728 
Basell NV bank term loan FRN Ser. B2, 7.6s, 2013     
(Netherlands)  541,667  545,222 
Basell NV bank term loan FRN Ser. B4, 7.6s, 2013     
(Netherlands)  108,333  109,044 
Basell NV bank term loan FRN Ser. C2, 8.35s, 2013     
(Netherlands)  541,667  545,222 
Basell NV bank term loan FRN Ser. C4, 8.35s, 2013     
(Netherlands)  108,333  109,044 
Celanese Corp. bank term loan FRN Ser. B, 7.099s, 2014  3,850,000  3,871,656 
Freeport-McMoRan Copper & Gold, Inc. bank term loan     
FRN Ser. B, 7.07s, 2014  1,723,733  1,729,429 
Georgia-Pacific Corp. bank term loan FRN Ser. B,     
7.093s, 2013  2,473,712  2,486,900 
Georgia-Pacific Corp. bank term loan FRN Ser. B2,     
7.09s, 2012  2,443,875  2,456,903 
Graphic Packaging Corp. bank term loan FRN Ser. B,     
7.35s, 2014  3,050,000  3,076,053 
Hexion Specialty Chemicals, Inc. bank term loan FRN     
7 7/8s, 2013  2,537,250  2,556,084 
Innophos, Inc. bank term loan FRN 7.57s, 2010  1,332,416  1,336,857 
ISP Chemco, Inc. bank term loan FRN Ser. B, 7 1/8s,     
2013  2,277,000  2,280,254 
ISP Chemco, Inc. bank term loan FRN Ser. B, 7.1s, 2014  2,205,000  2,205,000 
Lucite International Group Holdings, Ltd. bank term     
loan FRN Ser. B, 8.07s, 2013 (United Kingdom)  1,322,828  1,329,442 
Lucite International Group Holdings, Ltd. bank term     
loan FRN Ser. DD, 8.07s, 2013 (United Kingdom) (U)  467,176  469,511 
Lyondell Chemical Co. bank term loan FRN Ser. B,     
6.856s, 2013  3,523,375  3,527,339 
Momentive Performance Materials, Inc. bank term loan     
FRN 7 5/8s, 2013  3,990,000  4,012,863 
Mosaic Co. (The) bank term loan FRN Ser. B, 7 1/8s,     
2013  1,140,096  1,146,272 
NewPage Corp. bank term loan FRN 7 5/8s, 2011  1,742,150  1,755,216 
Novelis, Inc. bank term loan FRN 7.61s, 2012  1,034,247  1,034,893 
Novelis, Inc. bank term loan FRN Ser. B, 7.59s, 2012  3,345,729  3,347,820 
Rockwood Specialties Group, Inc. bank term loan FRN     
Ser. E, 7.355s, 2012  2,457,412  2,475,842 
Smurfit-Stone Container Corp. bank term loan FRN     
5.23s, 2010  94,140  94,846 
Smurfit-Stone Container Corp. bank term loan FRN Ser.     
B, 7 3/8s, 2011  100,057  100,807 
Smurfit-Stone Container Corp. bank term loan FRN Ser.     
C, 7 3/8s, 2011  704  709 
Smurfit-Stone Container Corp. bank term loan FRN Ser.     
C1, 7 3/8s, 2011  344,412  346,995 
Tube City IMS Corp. bank term loan FRN 7.57s, 2014  982,508  988,035 
Tube City IMS Corp. bank term loan FRN 5.22s, 2014  119,092  119,762 
    50,456,932 
 
Broadcasting (3.5%)     
Cumulus Media, Inc. bank term loan FRN 7.396s, 2013  3,045,760  3,054,462 
Emmis Communications Corp. bank term loan FRN Ser. B,     
7.35s, 2013  1,250,000  1,257,969 
Gray Television, Inc. bank term loan FRN Ser. B,     
6.852s, 2014 (U)  2,430,000  2,426,452 
Paxson Communications Corp. bank term loan FRN Ser. B,     
8.606s, 2012  2,500,000  2,553,125 
Spanish Broadcasting Systems, Inc. bank term loan FRN     
7.1s, 2012  2,406,916  2,406,916 
Univision Communications, Inc. bank term loan FRN Ser.     
B, 7.855s, 2014  4,697,987  4,691,212 
Univision Communications, Inc. bank term loan FRN Ser.     

DD, 7.61s, 2014 (U)  302,013  301,578 
Young Broadcasting, Inc. bank term loan FRN Ser. B,     
7 7/8s, 2012  2,920,780  2,936,114 
Young Broadcasting, Inc. bank term loan FRN Ser. B,     
7 7/8s, 2012  188,843  189,834 
    19,817,662 
 
Building Materials (1.5%)     
Custom Building Products bank term loan FRN Ser. B,     
7.6s, 2011  791,518  791,188 
Goodman Global Holdings, Inc. bank term loan FRN Ser.     
C, 7 1/8s, 2011  736,786  737,399 
Landsource Communities, Inc. bank term loan FRN 8.11s, 2013  3,042,375  3,059,537 
Nortek Holdings, Inc. bank term loan FRN Ser. B,     
7.36s, 2011  3,827,334  3,834,988 
    8,423,112 
 
Cable Television (3.9%)     
Atlantic Broadband Financial bank term loan FRN 7.57s,     
2011  1,350,000  1,364,766 
Cablevision Systems Corp. bank term loan FRN 7.07s,     
2013  4,953,722  4,960,944 
Cebridge Connections, Inc. bank term loan FRN Ser. B,     
7.349s, 2013  3,800,000  3,802,136 
Charter Communications, Inc. bank term loan FRN 7.85s,     
2014  1,000,000  1,001,250 
Charter Communications, Inc. bank term loan FRN 7.36s,     
2014  1,000,000  1,000,000 
Charter Communications, Inc. bank term loan FRN Ser.     
B, 7.35s, 2014  2,900,000  2,899,820 
Insight Midwest, LP bank term loan FRN Ser. B, 7.35s, 2014  3,652,635  3,675,749 
Mediacom Communications Corp. bank term loan FRN Ser.     
C, 7.1s, 2015  2,427,634  2,430,669 
Mediacom Communications Corp. bank term loan FRN Ser.     
D2, 7.1s, 2015  897,750  895,131 
    22,030,465 
 
Capital Goods (7.8%)     
AGCO Corp. bank term loan FRN 7.1s, 2008  471,575  473,933 
Berry Plastics Holding Corp. bank term loan FRN     
7.355s, 2015  3,350,000  3,361,166 
Blount, Inc. bank term loan FRN Ser. B, 7.09s, 2010  1,374,962  1,374,103 
Communications & Power Industries, Inc. bank term loan     
FRN 7.57s, 2010  980,422  982,260 
Fenwal Controls of Japan, Ltd. bank term loan FRN     
7.61s, 2014 (Japan)  2,828,571  2,828,571 
Fenwal Controls of Japan, Ltd. bank term loan FRN Ser.     
DD, 7.61s, 2014 (Japan) (U)  471,429  471,429 
Foamex, LP bank term loan FRN Ser. B, 7.6s, 2013  1,976,471  1,971,838 
Graham Packaging International, Inc. bank term loan FRN 7 5/8s,     
2011  3,600,000  3,627,749 
Graham Packaging Corp. bank term loan FRN Ser. B,     
7.687s, 2011  425,915  429,198 
Hawker Beechcraft Acquisition Co., LLC bank term loan FRN 7.32s, 2014  2,904,255  2,917,743 
Hawker Beechcraft Acquisition Co., LLC bank term loan FRN 5 1/4s, 2014  245,745  246,886 
Hexcel Corp. bank term loan FRN Ser. B, 7.108s, 2012  1,690,029  1,692,846 
K&F Industries, Inc. bank term loan FRN Ser. C, 7.32s,     
2012  863,614  863,614 
McKechnie Holdings, LLC bank term loan FRN 10.34s,     
2015 (United Kingdom)  225,000  227,625 
McKechnie Holdings, LLC bank term loan FRN 7.34s, 2014     
(United Kingdom)  2,365,000  2,371,657 
Mueller Water Products, Inc. bank term loan FRN Ser.     
B, 7.1s, 2014  2,100,000  2,115,750 
Polypore, Inc. bank term loan FRN 8.32s, 2011  1,148,949  1,148,949 
Rexnord Corp. bank term loan FRN Ser. B, 7.858s, 2013  2,272,951  2,288,577 
Rexnord Corp. bank term loan FRN Ser. B, 7.58s, 2013  1,157,644  1,165,603 
Sensata Technologies BV bank term loan FRN 7.105s,     
2013 (Netherlands)  3,076,750  3,073,778 
Terex Corp. bank term loan FRN Ser. D, 7.1s, 2013  3,076,750  3,080,596 
Transdigm, Inc. bank term loan FRN 7.348s, 2013  3,745,000  3,763,725 
Wesco Aircraft Hardware Corp. bank term loan FRN     
11.1s, 2014  1,000,000  1,021,250 
Wesco Aircraft Hardware Corp. bank term loan FRN 7.6s,     
2013  2,526,625  2,543,207 
    44,042,053 
 
Commercial and Consumer Services (1.5%)     
Alliance Laundry Systems Corp. bank term loan FRN Ser.     
B, 7.609s, 2012  826,596  832,279 
Buhrmann USA, Inc. bank term loan FRN Ser. D-1,     
7.099s, 2010  972,500  976,147 
Coinmach Corp. bank term loan FRN Ser. B, 7 7/8s,     
2012  2,785,877  2,802,420 
iPayment, Inc. bank term loan FRN 7.344s, 2013  1,584,000  1,574,100 
Laidlaw International, Inc. bank term loan FRN Ser. B,     
7.09s, 2013  1,500,000  1,504,376 
Laidlaw International, Inc. bank term loan FRN Ser. B,     
7.09s, 2013  500,000  501,459 

    8,190,781 
 
Communication Services (6.0%)     
American Cellular Corp. bank term loan FRN 7.32s, 2014  3,750,000  3,770,625 
American Cellular Corp. bank term loan FRN Ser. DD,     
7.64s, 2007  506,250  507,832 
Cavalier Telephone, LLC bank term loan FRN 10.09s, 2012  1,246,875  1,262,461 
Consolidated Communications Holdings, Inc. bank term     
loan FRN Ser. D, 7.093s, 2011  2,441,743  2,447,847 
Crown Castle International Corp. bank term loan FRN     
6.893s, 2014  4,100,000  4,107,364 
Intelsat, Ltd. bank term loan FRN 7.86s, 2014     
(Bermuda)  2,000,000  2,006,786 
Intelsat, Ltd. bank term loan FRN Ser. B, 7.349s, 2013     
(Bermuda)  1,641,389  1,653,290 
Iowa Telecommunications Services, Inc. bank term loan     
FRN Ser. B, 7.098s, 2011  2,250,000  2,261,250 
Leap Wireless International, Inc. bank term loan FRN     
Ser. B, 7.6s, 2013  2,878,250  2,902,715 
Level 3 Communications, Inc. bank term loan FRN     
7.605s, 2014  2,650,000  2,659,569 
MetroPCS Wireless, Inc. bank term loan FRN 7 5/8s, 2013  2,786,000  2,807,940 
PanAmSat Corp. bank term loan FRN Ser. B, 7.349s, 2013  1,624,224  1,636,102 
Syniverse Holdings, Inc. bank term loan FRN Ser. B,     
7.1s, 2012  1,377,284  1,377,284 
Time Warner Telecom, Inc. bank term loan FRN Ser. B,     
7.32s, 2013  3,591,000  3,612,546 
Windstream Corp. bank term loan FRN Ser. B, 6.86s, 2013  780,702  785,233 
    33,798,844 
 
Consumer (1.1%)     
Samsonite Corp. bank term loan FRN Ser. B, 7.6s, 2013  2,094,750  2,107,189 
Visant Holding Corp. bank term loan FRN Ser. C, 7.33s,     
2010  1,828,894  1,836,133 
Yankee Candle Co., Inc. bank term loan FRN 7.32s, 2014  2,100,000  2,110,063 
    6,053,385 
 
Consumer Cyclicals (0.5%)     
PRIMEDIA, Inc. bank term loan FRN Ser. B, 7.57s, 2013  2,728,649  2,724,100 
 
Consumer Goods (1.2%)     
Jarden Corp. bank term loan FRN Ser. B1, 7.1s, 2012  2,000,000  2,003,334 
Jarden Corp. bank term loan FRN Ser. B2, 7.1s, 2012  2,000,000  2,003,750 
Prestige Brands, Inc. bank term loan FRN Ser. B,     
7.634s, 2011  2,113,815  2,122,623 
Spectrum Brands, Inc. bank term loan FRN 9.35s, 2013  32,219  32,455 
Spectrum Brands, Inc. bank term loan FRN Ser. B1,     
9.347s, 2013  651,792  658,582 
Spectrum Brands, Inc. bank term loan FRN Ser. B2,     
9.32s, 2013  115,989  116,279 
    6,937,023 
 
Consumer Staples (0.4%)     
Nutro Products, Inc. bank term loan FRN 7.35s, 2013  2,377,014  2,371,072 
 
Energy (3.7%)     
CR Gas Storage bank term loan FRN 7.09s, 2013  2,145,988  2,151,353 
CR Gas Storage bank term loan FRN 7.09s, 2013  358,385  359,281 
CR Gas Storage bank term loan FRN 7.07s, 2013  380,944  381,420 
CR Gas Storage bank term loan FRN Ser. DD, 7.11s, 2013  242,767  243,070 
Energy Solutions International A/S bank term loan FRN     
7.57s, 2013  69,338  69,901 
Energy Transfer Equity, LP bank term loan FRN Ser. B,     
7.08s, 2012  2,775,000  2,791,353 
Helix Energy Solutions Group, Inc. bank term loan FRN     
Ser. B, 7.33s, 2013  1,183,169  1,186,867 
IFM Holdco bank term loan FRN 7.36s, 2014  345,000  348,450 
Key Energy Services, Inc. bank term loan FRN Ser. B,     
7.854s, 2012  1,975,000  1,984,875 
Meg Energy Corp. bank term loan FRN 7.35s, 2013     
(Canada)  1,831,500  1,844,377 
Meg Energy Corp. bank term loan FRN Ser. DD, 6s, 2013     
(Canada) (U)  1,350,000  1,345,661 
Petroleum Geo-Services ASA bank term loan FRN Ser. B,     
7.6s, 2012 (Norway)  730,875  735,078 
Sandridge Energy bank term loan FRN 8.985s, 2014  425,000  437,750 
Targa Resources, Inc. bank term loan FRN 7.356s, 2012  2,384,669  2,400,320 
Targa Resources, Inc. bank term loan FRN 5.225s, 2012  581,036  584,850 
Western Refining, Inc. bank term loan FRN Ser. B,     
7.11s, 2014  3,174,107  3,186,010 
Western Refining, Inc. bank term loan FRN Ser. DD,     
3/4s, 2014  775,893  778,802 
    20,829,418 
 
Entertainment (3.0%)     
Cinemark, Inc. bank term loan FRN 7.126s, 2013  4,496,241  4,513,947 
Hertz Corp. bank term loan FRN 5.35s, 2012  172,807  173,908 
Hertz Corp. bank term loan FRN Ser. B, 7.072s, 2012  952,576  958,642 
MGM Studios, Inc. bank term loan FRN Ser. B, 8.6s, 2011  2,277,000  2,282,426 

National Cinimedia, Inc. bank term loan FRN 7.09s, 2015  4,250,000  4,252,278 
Six Flags Theme Parks bank term loan FRN 7.6s, 2015  3,380,000  3,398,309 
Universal City Development Partners bank term loan FRN     
Ser. B, 7.36s, 2011  1,316,487  1,324,715 
    16,904,225 
 
Financial (1.1%)     
LNR Property Corp. bank term loan FRN Ser. B, 8.11s,     
2011  1,450,000  1,455,697 
Realogy Corp. bank term loan FRN 8.32s, 2013  816,667  816,986 
Realogy Corp. bank term loan FRN Ser. B, 8.35s, 2013  3,033,333  3,034,519 
Tishman Speyer Real Estate bank term loan FRN 7.07s,     
2012  1,150,000  1,154,313 
    6,461,515 
 
Food (3.0%)     
American Seafood Group, LLC bank term loan FRN Ser. B,     
7.1s, 2012  2,048,130  2,054,530 
American Seafood Group, LLC bank term loan FRN Ser.     
DD, 7.1s, 2012  421,415  422,731 
Aramark Corp. bank term loan FRN 7.475s, 2014  4,170,813  4,198,302 
Aramark Corp. bank term loan FRN 7.445s, 2014  298,074  300,039 
Chiquita Brands International, Inc. bank term loan FRN     
Ser. C, 8 3/8s, 2012  2,478,535  2,504,870 
Dean Foods Co. bank term loan FRN Ser. B, 6 7/8s, 2014  4,100,000  4,109,738 
Pinnacle Foods Holding Corp. bank term loan FRN Ser.     
B, 8.099s, 2014  3,050,000  3,072,113 
    16,662,323 
 
Gaming & Lottery (3.3%)     
CCM Merger, Inc. bank term loan FRN Ser. B, 7.35s, 2012  2,556,239  2,569,820 
Green Valley Ranch Gaming, LLC bank term loan FRN Ser.     
B, 7.36s, 2014  3,664,545  3,685,485 
Herbst Gaming, Inc. bank term loan FRN Ser. B, 7.245s,     
2014  1,862,000  1,868,983 
Herbst Gaming, Inc. bank term loan FRN Ser. DD,     
7.225s, 2014  933,333  936,444 
Pinnacle Entertainment, Inc. bank term loan FRN Ser.     
B, 7.32s, 2011  2,000,000  2,004,584 
Tropicana Entertainment bank term loan FRN Ser. B,     
7.85s, 2011  3,663,784  3,694,468 
Trump Hotel & Casino Resort, Inc. bank term loan FRN     
7.605s, 2012  1,873,747  1,882,531 
Trump Hotel & Casino Resort, Inc. bank term loan FRN     
Ser. B-1, 7.62s, 2012  1,869,003  1,877,765 
    18,520,080 
 
Health Care (8.0%)     
Accellent Corp. bank term loan FRN Ser. B, 7.86s, 2012  3,184,394  3,179,086 
AmeriPath, Inc. bank term loan FRN Ser. B, 7.32s, 2012  4,067,076  4,065,043 
Carestream Health, Inc. bank term loan FRN 7.32s, 2013  3,550,000  3,559,322 
CRC Health Corp. bank term loan FRN 7.85s, 2013  762,082  765,892 
CRC Health Corp. bank term loan FRN 7.85s, 2013  1,287,033  1,293,468 
Davita, Inc. bank term loan FRN Ser. B, 6.842s, 2012  4,903,688  4,917,482 
HCA, Inc. bank term loan FRN Ser. B, 7.6s, 2013  2,992,500  3,023,478 
Health Management Associates, Inc. bank term loan FRN     
7.1s, 2014  2,445,000  2,454,848 
Healthsouth Corp. bank term loan FRN Ser. B, 7.85s,     
2013  2,862,082  2,881,436 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN Ser. DD, 7.36s, 2014  798,887  801,634 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN 7.22s, 2014  213,037  213,769 
IASIS Healthcare, LLC/IASIS Capital Corp. bank term     
loan FRN Ser. B, 7.356s, 2014  2,338,076  2,346,115 
Magellan Health Services, Inc. bank term loan FRN     
5.2s, 2008  360,360  360,360 
Magellan Health Services, Inc. bank term loan FRN Ser.     
B, 7.105s, 2008  225,225  225,225 
Psychiatric Solutions, Inc. bank term loan FRN Ser. B,     
7.082s, 2012  3,926,558  3,930,649 
Quintiles Transnational Corp. bank term loan FRN     
7.36s, 2013  1,485,000  1,485,465 
Stewart Enterprises, Inc. bank term loan FRN Ser. B,     
7.129s, 2011  1,743,404  1,745,583 
Sun Healthcare Group, Inc. bank term loan FRN 7.355s,     
2014  434,483  435,569 
Sun Healthcare Group, Inc. bank term loan FRN 7.32s,     
2014  341,379  342,233 
Sun Healthcare Group, Inc. bank term loan FRN Ser. B,     
7.355s, 2014  1,924,138  1,928,948 
United Surgical Partners International, Inc. bank term     
loan FRN 9 1/4s, 2014  1,845,161  1,849,005 
United Surgical Partners International, Inc. bank term     
loan FRN Ser. DD, 1 1/4s, 2014 (U)  354,839  353,730 
Vanguard Health Systems, Inc. bank term loan FRN 7.6s,     
2011  2,215,837  2,230,151 
VWR International, Inc. bank term loan FRN Ser. B,     
7.61s, 2011  930,628  933,536 

    45,322,027 
 
Homebuilding (0.2%)     
Standard-Pacific Corp. bank term loan FRN Ser. B,     
6.86s, 2013  1,399,800  1,382,303 
 
Household Furniture and Appliances (0.6%)     
National Bedding Co. bank term loan FRN 10.36s, 2012  1,350,000  1,363,500 
National Bedding Co. bank term loan FRN 7.355s, 2011  1,768,678  1,773,100 
    3,136,600 
 
Media (1.1%)     
Affinion Group, Inc. bank term loan FRN Ser. B,     
7.859s, 2013  2,264,120  2,281,667 
VNU NV Group BV bank term loan FRN Ser. B, 7.607s,     
2013 (Netherlands)  2,977,500  3,000,763 
Warner Music Group bank term loan FRN Ser. B, 7.36s,     
2011  1,172,886  1,176,845 
    6,459,275 
 
Publishing (4.4%)     
American Media Operations, Inc. bank term loan FRN     
8.59s, 2013  2,000,000  2,010,416 
Cenveo, Corp. bank term loan FRN Ser. B, 7.1s, 2014  2,772,414  2,775,879 
Cenveo, Corp. bank term loan FRN Ser. DD, 7.1s, 2014 (U)  577,586  578,308 
GateHouse Media, Inc. bank term loan FRN 7.11s, 2014  2,694,565  2,691,197 
GateHouse Media, Inc. bank term loan FRN 7.101s, 2014  1,005,435  1,004,178 
GateHouse Media, Inc. bank term loan FRN Ser. B, 7.6s,     
2014  175,000  175,036 
Penton Media, Inc. bank term loan FRN 7.624s, 2013  2,100,000  2,108,532 
Quebecor, Inc. bank term loan FRN Ser. B, 7.356s, 2013     
(Canada)  2,715,625  2,732,598 
R.H. Donnelley, Inc. bank term loan FRN Ser. A-4,     
6.585s, 2009  178,884  178,586 
R.H. Donnelley, Inc. bank term loan FRN Ser. D1,     
6.85s, 2011  304,787  304,871 
Reader's Digest Association, Inc. (The) bank term loan     
FRN 7 3/8s, 2014  4,116,261  4,123,336 
Sun Media Corp. bank term loan FRN Ser. B, 7.105s,     
2009 (Canada)  670,646  671,485 
Tribune Co. bank term loan FRN Ser. B, 8.35s, 2014  5,275,000  5,270,289 
    24,624,711 
 
Restaurants (0.4%)     
Buffets Holdings, Inc. bank term loan FRN 8.11s, 2013  1,189,519  1,197,944 
Buffets Holdings, Inc. bank term loan FRN 5 1/4s, 2013  157,500  158,616 
NPC International, Inc. bank term loan FRN Ser. B,     
7.093s, 2013  1,083,333  1,083,333 
    2,439,893 
 
Retail (3.0%)     
Adesa, Inc. bank term loan FRN 7.57s, 2013  3,300,000  3,321,041 
Claire's Stores, Inc. bank term loan FRN 8.1s, 2014  1,965,000  1,955,790 
J Crew Operating Corp. bank term loan FRN Ser. B,     
7.116s, 2013  280,702  281,170 
Jean Coutu Group, Inc. bank term loan FRN Ser. B,     
7 7/8s, 2011 (Canada)  502,721  502,770 
Michaels Stores, Inc. bank term loan FRN Ser. B,     
7 5/8s, 2013  3,935,000  3,951,511 
Neiman Marcus Group, Inc. bank term loan FRN Ser. B,     
7.346s, 2013  1,551,376  1,562,648 
PETCO Animal Supplies, Inc. bank term loan FRN 7.853s,     
2013  2,244,375  2,262,810 
Pantry, Inc. (The) bank term loan FRN 7.07s, 2014  525,000  527,079 
Pantry, Inc. (The) bank term loan FRN 3/4s, 2014  150,000  150,594 
Supervalu, Inc. bank term loan FRN Ser. B, 7.09s, 2012  2,326,500  2,336,436 
    16,851,849 
 
Technology (6.7%)     
Activant Solutions Holdings, Inc. bank term loan FRN     
Ser. B, 7 3/8s, 2013  2,988,391  2,980,920 
Advanced Micro Devices, Inc. bank term loan FRN 7.59s,     
2013  3,901,559  3,912,643 
Affiliated Computer Services, Inc. bank term loan FRN     
Ser. B, 7.32s, 2013  2,172,500  2,180,647 
Affiliated Computer Services, Inc. bank term loan FRN     
Ser. B2, 7.32s, 2013  397,000  398,489 
AMI Semiconductor, Inc. bank term loan FRN 6.82s, 2012  4,157,229  4,139,041 
Aspect Software, Inc. bank term loan FRN 8 3/8s, 2011  2,835,750  2,855,246 
JDA Software Group, Inc. bank term loan FRN Ser. B,     
7.6s, 2013  854,143  861,617 
ON Semiconductor Corp. bank term loan FRN Ser. B,     
7.1s, 2013  700,000  700,000 
Open Solutions, Inc. bank term loan FRN Ser. B,     
7.485s, 2014  2,050,000  2,065,375 
Reynolds & Reynolds Co. (The) bank term loan FRN     
7.845s, 2012  2,593,500  2,609,245 
Sabre Holdings Corp. bank term loan FRN 7.57s, 2014  3,850,000  3,853,307 

Sanmina-SCI Corp. bank term loan FRN Ser. B, 8 3/8s,     
2008  2,500,000  2,509,375 
SS&C Technologies, Inc. bank term loan FRN Ser. B,     
7.864s, 2012  2,093,318  2,101,168 
SS&C Technologies, Inc. bank term loan FRN Ser. B,     
7.838s, 2012  84,882  85,200 
SunGard Data Systems, Inc. bank term loan FRN 7.36s,     
2014  396,325  399,231 
Travelport bank term loan FRN 8.364s, 2013  236,438  237,862 
Travelport bank term loan FRN Ser. B, 8.35s, 2013  2,230,319  2,243,753 
TTM Technologies, Inc. bank term loan FRN 7.591s, 2012  1,656,250  1,660,391 
Worldspan, LP bank term loan FRN 8.598s, 2013  1,795,500  1,802,233 
    37,595,743 
 
Textiles (0.8%)     
Hanesbrands, Inc. bank term loan FRN 9.105s, 2014  1,000,000  1,022,344 
Hanesbrands, Inc. bank term loan FRN 7.105s, 2013  2,361,482  2,373,693 
Levi Strauss & Co. bank term loan FRN 7.59s, 2014  1,400,000  1,389,791 
    4,785,828 
 
Tire & Rubber (0.6%)     
Cooper-Standard Automotive, Inc. bank term loan FRN     
Ser. B, 7 7/8s, 2012  225,113  226,450 
Cooper-Standard Automotive, Inc. bank term loan FRN     
7 7/8s, 2012  641,875  646,689 
Cooper-Standard Automotive, Inc. bank term loan FRN     
Ser. C, 7 7/8s, 2012  579,502  582,943 
Goodyear Tire & Rubber Co. (The) bank term loan FRN     
7.1s, 2010  2,000,000  2,005,538 
    3,461,620 
 
Tobacco (0.6%)     
Reynolds American, Inc. bank term loan FRN Ser. B,     
7.114s, 2012  3,374,500  3,396,195 
 
Transportation (1.1%)     
Delta Airlines, Inc. bank term loan FRN 7.355s, 2012  2,600,000  2,609,100 
United Airlines Corp. bank term loan FRN Ser. B,     
7 3/8s, 2014  3,700,000  3,702,605 
    6,311,705 
 
Utilities & Power (2.7%)     
Dynegy Holdings, Inc. bank term loan FRN 6.82s, 2013  3,512,234  3,510,478 
Dynegy Holdings, Inc. bank term loan FRN 6.82s, 2013  312,766  312,610 
El Paso Corp. bank term loan FRN 5.12s, 2011  2,100,000  2,107,875 
Mirant North America, LLC bank term loan FRN 7.07s,     
2013  2,683,269  2,686,623 
Regency Gas Services, LLC bank term loan FRN 7.83s,     
2013  138,177  138,557 
Reliant Energy, Inc. bank term loan FRN 5.19s, 2010  1,671,429  1,677,996 
Reliant Energy, Inc. bank term loan FRN Ser. B,     
7.695s, 2010  2,226,571  2,235,320 
TPF Generation Holdings, LLC bank term loan FRN 7.37s,     
2013  132,138  132,860 
TPF Generation Holdings, LLC bank term loan FRN     
5 1/4s, 2013  421,520  423,825 
TPF Generation Holdings, LLC bank term loan FRN Ser.     
B, 7.35s, 2013  2,240,727  2,252,981 
    15,479,125 
Total senior loans (cost $477,535,347)    $478,465,074 
 
CORPORATE BONDS AND NOTES (5.9%)(a)     
 
  Principal amount  Value 
Basic Materials (0.5%)     
Builders FirstSource, Inc. company guaranty FRN 9.61s,     
2012  $655,000  $665,644 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. FRN     
8.564s, 2015  1,000,000  1,050,000 
Hexion Nova Scotia Finance ULC 144A sec. FRN 9.86s,     
2014  1,000,000  1,045,000 
    2,760,644 
 
Capital Goods (0.4%)     
Allied Waste North America, Inc. sec. notes 6 1/2s,     
2010  491,000  496,524 
Berry Plastics Holding Corp. sec. FRN 9.235s, 2014  1,000,000  1,023,750 
General Cable Corp. 144A sr. notes FRN 7.725s, 2015  1,000,000  1,002,500 
    2,522,774 
 
Communication Services (0.8%)     
Centennial Communications Corp. sr. notes FRN 11.099s,     
2013  750,000  788,438 
Intelsat Bermuda, Ltd. company guaranty FRN 8.872s,     
2015 (Bermuda)  400,000  409,000 
iPCS, Inc. 144A sec. FRN 7.48s, 2013  440,000  441,100 
Level 3 Financing, Inc. 144A sr. notes FRN 9.15s, 2015  1,000,000  1,017,500 

Qwest Corp. sr. notes FRN 8.605s, 2013  1,250,000  1,368,750 
Rural Cellular Corp. 144A sr. sub. notes FRN 8.36s,     
2013  460,000  461,150 
    4,485,938 
 
Consumer Cyclicals (1.1%)     
Autonation, Inc. company guaranty FRN 7.356s, 2013  1,000,000  1,010,000 
Ford Motor Credit Corp. sr. unsec. FRN 8.105s, 2012  2,200,000  2,208,277 
Harry & David Holdings, Inc. company guaranty FRN     
10.36s, 2012  500,000  511,250 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010  1,000,000  1,065,000 
PRIMEDIA, Inc. sr. notes FRN 10.735s, 2010  1,250,000  1,289,063 
Seminole Hard Rock Entertainment, Inc. 144A sec. FRN     
7.846s, 2014  425,000  435,625 
    6,519,215 
 
Consumer Staples (0.8%)     
ARAMARK Corp. 144A sr. notes FRN 8.856s, 2015  1,500,000  1,546,875 
Nutro Products, Inc. 144A sr. notes FRN 9.37s, 2013  1,000,000  1,050,000 
Playtex Products, Inc. company guaranty 8s, 2011  1,000,000  1,042,500 
Universal City Florida Holding Co. sr. notes FRN     
10.106s, 2010  670,000  691,775 
    4,331,150 
 
Financial (0.2%)     
GMAC, LLC unsub. notes FRN 6.61s, 2009  1,000,000  1,000,643 
USI Holdings Corp. 144A sr. notes FRN 9.23s, 2014  190,000  190,475 
    1,191,118 
 
Health Care (0.5%)     
Health Management Associates, Inc. sr. notes 6 1/8s,     
2016  2,555,000  2,442,657 
US Oncology Holdings, Inc. 144A sr. unsec. notes FRN     
9.828s, 2012 (PIK)  490,000  488,163 
    2,930,820 
 
Technology (1.4%)     
Freescale Semiconductor, Inc. 144A sr. notes FRN     
9.23s, 2014  2,750,000  2,753,438 
Nortel Networks, Ltd. 144A company guaranty FRN     
9.606s, 2011 (Canada)  750,000  808,125 
NXP BV/NXP Funding, LLC 144A sec. FRN 8.106s, 2013     
(Netherlands)  4,035,000  4,156,050 
    7,717,613 
 
Utilities & Power (0.2%)     
Teco Energy, Inc. sr. notes FRN 7.356s, 2010  1,000,000  1,015,232 
Total corporate bonds and notes (cost $32,843,159)    $33,474,504 
 
SHORT-TERM INVESTMENTS (13.0%)(a)     
  Principal   
  amount/shares  Value 
BA Credit Card Trust - Emerald Notes for an effective     
yield of 5.33%, June 12, 2007  $3,000,000  $2,995,178 
Countrywide Financial Corp. for an effective yield of     
5.34%, June 6, 2007  4,000,000  3,997,072 
Klio II Funding Corp. for an effective yield of 5.33%,     
July 17, 2007  3,000,000  2,979,837 
Swedbank Mortgage AB for an effective yield of 5.32%,     
August 22, 2007 (Sweden)  2,000,000  1,976,020 
U.S. Treasury Bills 4.93%, June 21, 2007 (SEG)  7,000  6,981 
Putnam Prime Money Market Fund (e)  61,693,094  61,693,094 
 
Total short-term investments (cost $73,648,182)    $73,648,182 
 
TOTAL INVESTMENTS     
Total investments (cost $584,026,688) (b)    $585,587,760 

FUTURES CONTRACTS OUTSTANDING at 5/31/07 (Unaudited)

  Number of    Expiration  Unrealized 
  contracts  Value  date  appreciation 
U.S. Treasury Note 2 yr (Short)  12  $2,445,563    Sep-07  $3,914 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 5/31/07 (Unaudited)

      Payments  Payments   
Swap counterparty /    Termination  made by  received by  Unrealized 
Notional amount    date  fund per annum  fund per annum  appreciation 
Citibank, N.A., New York 
$2,140,000  1/23/17  5.2675%  3 month USD-LIBOR-BBA  $1,953 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/07 (Unaudited)

  Upfront      Fixed payments   
Swap counterparty /  premium  Notional  Termination  received (paid) by  Unrealized 
Referenced debt*  received (paid)**  amount  date  fund per annum  depreciation 
 
Bear Stearns Credit Products, Inc.           
Claire's Stores, 9 5/8%, 6/1/15    $--   $235,000  6/20/12  230 bp   $(337) 
 
JPMorgan Chase Bank, N.A.           
Idearc, Inc T/L B L  --  5,150,000  6/20/12  79 bp  (1,339) 
Total          $(1,676) 

* Payments related to the reference debt are made upon a credit default event.

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

NOTES

(a) Percentages indicated are based on net assets of $565,004,877.

(b) The aggregate identified cost on a tax basis is $584,041,708, resulting in gross unrealized appreciation and depreciation of $2,149,325 and $603,273, respectively, or net unrealized appreciation of $1,546,052.

(PIK) Income may be received in cash or additional securities at the discretion of the issuer.

(SEG) This security was pledged and segregated with the custodian to cover margin requirements for futures contracts at May 31, 2007.

(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rate shown for senior loans are the current interest rates at May 31, 2007. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

(e) The fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $559,927 for the period ended May 31, 2007. During the period ended May 31, 2007, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $124,481,014 and $96,497,389, respectively.

(U) A portion of the position represents unfunded loan commitments. As of May 31, 2007, the fund had unfunded loan commitments of $3,170,551, which could be extended at the option of the borrower, pursuant to the following loan agreements with the following borrowers:

Borrower  Unfunded commitments 
Cenveo, Inc.  $485,172 
Fenwal Controls of Japan, Ltd.  471,429 
Gray Television, Inc.  105,081 
Lucite International Group Holdings, Ltd.  222,595 
Meg Energy Corp.  1,350,000 
United Surgical Partners International, Inc.  354,839 
Univision Communications, Inc.  181,435 
Totals  $3,170,551 

At May 31, 2007, liquid assets totaling $2,459 have been designated as collateral for open swap contracts.

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 rates shown on Floating Rate Notes (FRN) are the current interest rates at May 31, 2007.

The dates shown on debt obligations are the original maturity dates.

Security valuation Senior loans are valued at fair value on the basis of valuations provided by an independent pricing service, approved by the Trustees. Such services use information with respect to transactions in senior loans, quotations from senior loan dealers, market transactions in comparable securities and various relationships between securities in determining value. Market quotations are not considered to be readily available for certain debt obligations; 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. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Certain investments, including certain restricted securities, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. 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 at a given point in time and does not reflect an actual market price, which may be different by a material amount.

Futures and options contracts The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase, or for other investment purposes. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.

The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

 

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. Interest rate swap contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. Certain interest rate swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com

Item 2. Controls and Procedures:

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

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

Item 3. Exhibits:

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

SIGNATURES

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

Putnam Funds Trust
By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: July 26, 2007

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

By (Signature and Title):

/s/ Charles E. Porter
Charles E. Porter
Principal Executive Officer
Date: July 26, 2007

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 26, 2007

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY

Investment Company Act file number: (811- 07513 )

Exact name of registrant as specified in charter: Putnam Funds Trust

Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109

Name and address of agent for service:  Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
 
Copy to:  John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  One International Place 
  Boston, Massachusetts 02110 
 
Registrant’s telephone number, including area code:  (617) 292-1000   

Date of fiscal year end: February 29, 2008

Date of reporting period: May 31, 2007

Item 1. Schedule of Investments:

Putnam Income Strategies Fund
The fund's portfolio
5/31/07 (Unaudited)

COMMON STOCKS (25.7%)(a)     
  Shares  Value 
Banking (1.5%)     
Alabama National BanCorporation  23  $1,444 
Banco Bilbao Vizcaya Argentaria SA (Spain)  539  13,618 
Bank of America Corp.  273  13,844 
Citizens Banking Corp.  61  1,161 
Comerica, Inc.  64  4,021 
Commerzbank AG (Germany)  100  4,918 
Commonwealth Bank of Australia (Australia)  200  9,173 
Corus Bankshares, Inc.  438  7,967 
Credit Agricole SA (France)  279  11,515 
DBS Group Holdings, Ltd. (Singapore)  1,000  15,633 
DnB Holdings ASA (Norway)  1,200  16,205 
Downey Financial Corp.  89  6,478 
Hancock Holding Co.  31  1,226 
HBOS PLC (United Kingdom)  387  8,326 
Hypo Real Estate Holding (Germany)  15  1,035 
KeyCorp  113  4,024 
Lloyds TSB Group PLC (United Kingdom)  1,422  16,184 
Nordea AB (Sweden)  1,500  24,720 
Pacific Capital Bancorp.  51  1,313 
PNC Financial Services Group  77  5,683 
Societe Generale (France)  80  15,583 
Sterling Financial Corp.  63  1,905 
Susquehanna Bancshares, Inc.  51  1,098 
U.S. Bancorp  340  11,757 
Wachovia Corp.  257  13,927 
Washington Mutual, Inc.  384  16,788 
Wells Fargo & Co.  569  20,535 
    250,081 
 
Basic Materials (1.1%)     
Amcor, Ltd. (Australia)  2,259  13,914 
Builders FirstSource, Inc. (NON)  57  950 
Carpenter Technology Corp.  30  3,977 
Ceradyne, Inc. (NON)  16  1,081 
CF Industries Holdings, Inc.  104  4,652 
Chaparral Steel Co.  71  5,197 
Cleveland-Cliffs, Inc.  54  4,768 
Dow Chemical Co. (The)  98  4,447 
Fletcher Building, Ltd. (New Zealand)  2,404  22,991 
FMC Corp.  79  6,609 
Granite Construction, Inc.  55  3,767 
Grief, Inc. Class A  17  946 
Hochtief AG (Germany)  29  3,361 
Kobe Steel, Ltd. (Japan)  1,000  3,435 
Mitsubishi Chemical Holdings Corp. (Japan)  500  4,376 
Mitsui Chemicals, Inc. (Japan)  1,000  7,223 
Mittal Steel Co. NV (Netherlands)  446  26,778 
Monsanto Co.  57  3,511 
Neenah Paper, Inc.  33  1,445 
Nippon Light Metal Co., Ltd. (Japan)  1,000  2,646 
Nucor Corp.  159  10,739 
Packaging Corp. of America  46  1,190 
Perini Corp. (NON)  88  4,840 
PPG Industries, Inc.  98  7,467 
Quanex Corp.  54  2,589 
Rayonier, Inc.  95  4,271 
RBC Bearings, Inc. (NON)  48  1,853 
Southern Copper Corp.  153  13,568 
Travis Perkins PLC (United Kingdom)  143  5,862 
Ube Industries, Ltd. (Japan)  1,000  3,048 
Zinifex, Ltd. (Australia)  190  2,769 
    184,270 
 
Capital Goods (1.1%)     
Acuity Brands, Inc.  32  1,943 
Alstom (France) (NON)  11  1,742 
Andritz AG (Austria)  60  4,060 
Applied Industrial Technologies, Inc.  94  2,750 
Autoliv, Inc. (Sweden)  68  4,060 
BAE Systems PLC (United Kingdom)  653  5,781 
Boeing Co. (The)  239  24,041 
Cummins, Inc.  200  18,846 
Eaton Corp.  20  1,875 
Emerson Electric Co.  195  9,448 
EnPro Industries, Inc. (NON)  68  2,825 
FKI PLC (United Kingdom)  3,791  10,355 
Flow International Corp. (NON)  177  2,273 
Freightcar America, Inc.  92  4,548 
GKN PLC (United Kingdom)  133  1,031 
Herman Miller, Inc.  111  3,996 
II-VI, Inc. (NON)  39  1,082 

Illinois Tool Works, Inc.  113  5,957 
Intevac, Inc. (NON)  74  1,427 
Lockheed Martin Corp.  158  15,500 
Manitowoc Co., Inc. (The)  30  2,273 
Nordson Corp.  30  1,560 
Orbital Sciences Corp. (NON)  82  1,690 
Parker-Hannifin Corp.  43  4,358 
Raytheon Co.  39  2,168 
SIG Holding AG (Switzerland)  12  4,070 
Steelcase, Inc.  146  2,835 
Terex Corp. (NON)  166  14,072 
Thomas & Betts Corp. (NON)  124  7,194 
Tomkins PLC (United Kingdom)  1,902  10,136 
United Technologies Corp.  78  5,503 
USEC, Inc. (NON)  134  3,095 
Wabtec Corp.  78  3,054 
    185,548 
 
Communication Services (1.2%)     
AT&T, Inc.  550  22,737 
Belgacom SA (Belgium)  391  17,784 
BT Group PLC (United Kingdom)  2,602  16,970 
Cbeyond, Inc. (NON)  142  5,024 
Comcast Corp. Class A (NON)  159  4,358 
CT Communications, Inc.  104  3,265 
DirecTV Group, Inc. (The) (NON)  245  5,723 
Earthlink, Inc. (NON)  106  878 
Echostar Communications Corp. Class A (NON)  76  3,501 
Embarq Corp.  38  2,442 
France Telecom SA (France)  235  7,218 
Golden Telecom, Inc. (Russia)  40  2,130 
InterDigital Communications Corp. (NON)  195  6,347 
Koninklijke (Royal) KPN NV (Netherlands)  941  15,963 
Kudelski SA (Switzerland)  11  428 
Liberty Global, Inc. Class A (NON)  133  5,107 
Sprint Nextel Corp.  722  16,498 
Swisscom AG (Switzerland)  26  9,153 
Telecom Corp. of New Zealand, Ltd. (New Zealand)  5,337  19,072 
Telecom Italia SpA RNC (Italy)  5,100  11,890 
USA Mobility, Inc.  55  1,266 
Verizon Communications, Inc.  487  21,199 
Windstream Corp.  144  2,163 
    201,116 
 
Conglomerates (0.2%)     
3M Co.  119  10,467 
General Electric Co.  212  7,967 
Honeywell International, Inc.  49  2,838 
Swire Pacific, Ltd. (Hong Kong)  1,000  11,258 
    32,530 
 
Consumer Cyclicals (2.6%)     
Aaron Rents, Inc.  138  3,958 
Adecco SA (Switzerland)  29  2,115 
Aeropostale, Inc. (NON)  27  1,250 
American Eagle Outfitters, Inc.  344  9,288 
American Woodmark Corp.  90  3,353 
Ameristar Casinos, Inc.  38  1,129 
Benetton Group SPA (Italy)  16  269 
Buckle, Inc. (The)  74  3,027 
Casey's General Stores, Inc.  22  594 
Charlotte Russe Holding, Inc. (NON)  213  5,932 
Citadel Broadcasting Corp.  120  996 
Consolidated Graphics, Inc. (NON)  37  2,686 
CTC Media, Inc. (Russia) (NON)  82  2,097 
Davis Service Group PLC (United Kingdom)  1,645  21,213 
De La Rue PLC (United Kingdom)  587  8,749 
Deckers Outdoor Corp. (NON)  38  3,340 
Dillards, Inc. Class A  153  5,554 
Dolby Laboratories, Inc. Class A (NON)  64  2,157 
Dollar Tree Stores, Inc. (NON)  145  6,135 
Dress Barn, Inc. (NON)  9  208 
Electrolux AB Class B (Sweden)  700  17,608 
EZCORP, Inc. Class A (NON)  133  1,999 
Family Dollar Stores, Inc.  109  3,668 
FamilyMart Co., Ltd. (Japan)  300  7,642 
Geberit International AG (Switzerland)  20  3,494 
General Motors Corp.  120  3,599 
Genlyte Group, Inc. (The) (NON)  29  2,526 
Gymboree Corp. (The) (NON)  42  1,877 
Hankyu Department Stores (Japan)  1,000  9,844 
Hasbro, Inc.  91  2,926 
HMV Group PLC (United Kingdom)  2,489  5,284 
Jackson Hewitt Tax Service, Inc.  181  5,475 
JC Penney Co., Inc. (Holding Co.)  72  5,795 
Kesa Electricals PLC (United Kingdom)  1,711  11,887 
Kimball International, Inc. Class B  108  1,474 
Kohl's Corp. (NON)  69  5,197 
Lodgenet Entertainment Corp. (NON)  79  2,803 
Manpower, Inc.  26  2,392 

Marks & Spencer Group PLC (United Kingdom)  676  9,353 
Mattel, Inc.  272  7,619 
McGraw-Hill Cos., Inc. (The)  266  18,702 
Mediaset SpA (Italy)  1,391  14,914 
NBTY, Inc. (NON)  82  4,307 
Next PLC (United Kingdom)  273  11,936 
NIKE, Inc. Class B  46  2,611 
Nordstrom, Inc.  353  18,331 
Omnicom Group, Inc.  30  3,159 
Owens Corning, Inc. (NON)  140  5,026 
Pacific Brands, Ltd. (Australia)  1,750  5,013 
PartyGaming PLC (Gibraltar) (NON)  21,811  17,916 
Perry Ellis International, Inc. (NON)  75  2,351 
Phillips-Van Heusen Corp.  39  2,384 
Sherwin-Williams Co. (The)  119  8,049 
Sinclair Broadcast Group, Inc. Class A  249  3,815 
Skechers U.S.A., Inc. Class A (NON)  105  3,371 
Snap-On, Inc.  48  2,595 
Sportingbet PLC (United Kingdom) (NON)  4,978  5,050 
Steven Madden, Ltd.  124  4,040 
Target Corp.  201  12,548 
Time Warner, Inc.  638  13,634 
TJX Cos., Inc. (The)  69  1,930 
Trinity Mirror PLC (United Kingdom)  520  5,913 
Valeo SA (France)  407  23,177 
Volkswagon AG (Germany)  85  12,898 
Volt Information Sciences, Inc. (NON)  103  2,557 
Wal-Mart Stores, Inc.  356  16,946 
Walt Disney Co. (The)  227  8,045 
Wiley (John) & Sons, Inc. Class A  54  2,476 
William Hill PLC (United Kingdom)  226  2,827 
    433,033 
 
Consumer Finance (0.1%)     
Asta Funding, Inc.  46  1,942 
Capital Trust, Inc. Class A (R)  168  7,473 
Countrywide Financial Corp.  120  4,673 
First Marblehead Corp. (The)  73  2,720 
Ocwen Financial Corp. (NON)  272  3,852 
    20,660 
 
Consumer Staples (1.4%)     
Alberto-Culver Co.  92  2,285 
Alliance One International, Inc. (NON)  372  3,575 
Altria Group, Inc.  282  20,050 
Autogrill SpA (Italy)  352  7,113 
Avon Products, Inc.  87  3,340 
Brinker International, Inc.  98  3,132 
Campbell Soup Co.  35  1,390 
CBRL Group, Inc.  88  3,955 
CEC Entertainment, Inc. (NON)  77  2,981 
Coca-Cola Co. (The)  50  2,650 
Colgate-Palmolive Co.  55  3,683 
Darden Restaurants, Inc.  76  3,463 
Estee Lauder Cos., Inc. (The) Class A  111  5,250 
Flowers Foods, Inc.  26  897 
Fyffes PLC (Ireland)  4,365  4,991 
General Mills, Inc.  115  7,043 
Heidrick & Struggles International, Inc. (NON)  80  3,899 
Imperial Sugar Co.  143  4,064 
ITT Educational Services, Inc. (NON)  9  1,019 
Jack in the Box, Inc. (NON)  68  5,200 
Jeronimo Martins, SGPS, SA (Portugal)  3,735  22,460 
Korn/Ferry International (NON)  99  2,575 
Kroger Co. (SEG)  230  6,974 
Labor Ready, Inc. (NON)  150  3,600 
Longs Drug Stores Corp.  51  2,921 
Mannatech, Inc.  141  1,977 
McDonald's Corp.  55  2,780 
Meiji Dairies Corp. (Japan)  1,000  6,647 
MGP Ingredients, Inc.  98  1,672 
Molson Coors Brewing Co. Class B  42  3,846 
Nash Finch Co.  74  3,482 
Nichirei Corp. (Japan)  2,000  10,649 
Papa John's International, Inc. (NON)  58  1,795 
PepsiCo, Inc.  76  5,193 
Procter & Gamble Co. (The)  49  3,114 
Ralcorp Holdings, Inc. (NON)  32  1,861 
Reynolds American, Inc.  242  15,740 
Robert Half International, Inc.  91  3,198 
Ruby Tuesday, Inc.  89  2,454 
Safeway, Inc.  477  16,447 
Sonic Corp. (NON)  77  1,877 
Total Produce PLC (Ireland) (NON)  4,365  4,463 
Universal Corp.  37  2,352 
UST, Inc.  87  4,645 
Yum! Brands, Inc.  58  3,928 
    226,630 
 
Energy (1.2%)     

Basic Energy Services, Inc. (NON)  69  1,842 
Chevron Corp.  314  25,588 
ConocoPhillips  170  13,163 
Dawson Geophysical Co. (NON)  22  1,171 
ENSCO International, Inc.  42  2,544 
Exxon Mobil Corp. (SEG)  598  49,736 
Global Industries, Ltd. (NON)  230  5,453 
Grey Wolf, Inc. (NON)  368  2,915 
GulfMark Offshore, Inc. (NON)  105  5,274 
Hercules Offshore, Inc. (NON)  37  1,292 
Holly Corp.  47  3,294 
Lufkin Industries, Inc.  23  1,470 
Marathon Oil Corp.  218  26,991 
NATCO Group, Inc. (NON)  54  2,323 
Occidental Petroleum Corp.  92  5,057 
Questar Corp.  67  7,237 
Royal Dutch Shell PLC Class B (Netherlands)  460  17,372 
Santos, Ltd. (Australia)  125  1,387 
Technip SA (France)  69  5,351 
Tidewater, Inc.  170  11,220 
Trico Marine Services, Inc. (NON)  152  6,401 
    197,081 
 
Financial (0.8%)     
CapitalSource, Inc. (R)  201  5,286 
Citigroup, Inc.  500  27,245 
DB RREEF Trust (Australia)  11,784  19,219 
Hitachi Capital Corp. (Japan)  900  15,123 
ING Industrial Fund (Australia)  8,579  17,259 
Interactive Data Corp.  53  1,539 
IntercontinentalExchange, Inc. (NON)  40  5,798 
JPMorgan Chase & Co.  271  14,046 
Man Group PLC (United Kingdom)  1,311  15,271 
MGIC Investment Corp.  81  5,265 
PMI Group, Inc. (The)  52  2,571 
SBI Holdings, Inc. (Japan)  10  3,209 
    131,831 
 
Health Care (1.7%)     
Aetna, Inc.  249  13,180 
Alpharma, Inc. Class A  159  3,864 
Altana AG (Germany)  128  3,124 
American Oriental Bioengineering, Inc. (China) (NON)  160  1,712 
AMERIGROUP Corp. (NON)  42  1,071 
Amgen, Inc. (NON)  126  7,098 
Applera Corp.- Applied Biosystems Group  223  6,331 
Astellas Pharma, Inc. (Japan)  100  4,429 
Becton, Dickinson and Co.  113  8,616 
Bio-Rad Laboratories, Inc. Class A (NON)  22  1,643 
Bristol-Myers Squibb Co.  153  4,637 
Corvel Corp. (NON)  91  2,497 
Coventry Health Care, Inc. (NON)  148  8,831 
Eli Lilly Co.  104  6,096 
Enzon Pharmaceuticals, Inc. (NON)  140  1,186 
Forest Laboratories, Inc. (NON)  159  8,063 
Haemonetics Corp. (NON)  25  1,241 
Healthspring, Inc. (NON)  190  4,640 
Humana, Inc. (NON)  181  11,231 
Incyte Pharmaceuticals, Inc. (NON)  409  2,900 
Johnson & Johnson (SEG)  320  20,246 
LCA-Vision, Inc.  13  588 
Magellan Health Services, Inc. (NON)  15  672 
McKesson Corp.  305  19,255 
Medcath Corp. (NON)  54  1,782 
Medicines Co. (NON)  44  858 
Mentor Corp.  48  1,941 
Merck & Co., Inc.  473  24,809 
Millennium Pharmaceuticals, Inc. (NON)  285  3,098 
Molina Healthcare, Inc. (NON)  67  2,142 
Orion Oyj Class B (Finland)  200  4,948 
Parexel International Corp. (NON)  6  241 
Pfizer, Inc.  492  13,525 
Santen Pharmaceutical Co., Ltd. (Japan)  400  10,090 
Savient Pharmaceuticals, Inc. (NON)  306  4,351 
Schering-Plough Corp.  611  20,004 
Sciele Pharma, Inc. (NON)  104  2,571 
Telik, Inc. (NON)  378  2,268 
UnitedHealth Group, Inc.  143  7,832 
Waters Corp. (NON)  90  5,427 
WellCare Health Plans, Inc. (NON)  151  13,898 
West Pharmaceutical Services, Inc.  33  1,678 
Wyeth  241  13,939 
Zoll Medical Corp. (NON)  59  1,325 
    279,878 
 
Insurance (0.9%)     
Allianz SE (Germany)  80  17,758 
Allstate Corp. (The)  204  12,546 
American Financial Group, Inc.  161  5,740 
Chubb Corp. (The)  141  7,737 

Commerce Group, Inc.  96  3,273 
Compagnia Assicuratrice Unipol SpA (Preference) (Italy)  5,000  17,304 
ING Groep NV (Netherlands)  523  23,296 
Loews Corp.  78  3,980 
Nationwide Financial Services, Inc. Class A  39  2,414 
Odyssey Re Holdings Corp.  155  6,646 
Ohio Casualty Corp.  95  4,091 
Philadelphia Consolidated Holding Corp. (NON)  99  4,079 
Safeco Corp.  204  12,801 
Safety Insurance Group, Inc.  34  1,416 
Travelers Cos., Inc. (The)  58  3,142 
Triad Guaranty, Inc. (NON)  135  6,020 
W.R. Berkley Corp.  399  13,143 
Zenith National Insurance Corp.  96  4,644 
Zurich Financial Services AG (Switzerland)  15  4,589 
    154,619 
 
Investment Banking/Brokerage (0.7%)     
Ameriprise Financial, Inc.  136  8,548 
Calamos Asset Management, Inc. Class A  75  1,871 
Credit Suisse Group (Switzerland)  299  22,736 
Deutsche Bank AG (Germany)  119  18,100 
Goldman Sachs Group, Inc. (The)  103  23,774 
Harris & Harris Group, Inc. (NON)  118  1,384 
Knight Capital Group, Inc. Class A (NON)  146  2,527 
Lehman Brothers Holdings, Inc.  177  12,988 
Merrill Lynch & Co., Inc.  73  6,769 
Morgan Stanley  217  18,454 
SWS Group, Inc.  132  3,186 
    120,337 
 
Other (0.9%)     
iShares MSCI EAFE Index Fund  1,494  121,059 
S&P 500 Index Depository Receipts (SPDR Trust Series 1)  102  15,639 
Vanguard Small Cap Exchange Traded Fund (VIPERS)  70  5,292 
    141,990 
 
Real Estate (6.3%)     
AMB Property Corp. (R)  289  16,719 
American Home Mortgage Investment Corp. (R)  173  3,778 
Amrep Corp.  114  6,646 
Anthracite Capital, Inc. (R)  162  1,981 
Apartment Investment & Management Co. Class A (R)  267  14,650 
Arbor Realty Trust, Inc (R)  164  4,672 
Archstone-Smith Operating Trust (R)  613  37,822 
Ashford Hospitality Trust, Inc. (R)  986  12,236 
AvalonBay Communities, Inc. (R)  261  34,032 
Boston Properties, Inc. (R) (SEG)  397  45,925 
BRE Properties (R)  177  11,190 
BRT Realty Trust (R)  352  10,349 
CB Richard Ellis Group, Inc. Class A (NON)  110  4,094 
CBL & Associates Properties (R)  382  15,677 
Cousins Properties, Inc. (R)  381  12,337 
Crystal River Capital, Inc. (R)  180  5,042 
DCT Industrial Trust, Inc. (R)  873  9,647 
Deerfield Triarc Capital Corp. (R)  182  2,948 
Developers Diversified Realty Corp. (R)  325  20,036 
Duke Realty Investments, Inc. (R)  214  8,586 
Entertainment Properties Trust (R)  250  14,763 
Equity Residential Properties Trust (R)  837  42,411 
Essex Property Trust, Inc. (R)  37  4,708 
Federal Realty Investment Trust (R)  108  9,571 
General Growth Properties, Inc. (R) (SEG)  578  34,125 
Getty Realty Corp. (R)  347  9,883 
Health Care Property Investors, Inc. (R)  334  10,912 
Highland Hospitality Corp. (R)  774  14,915 
Home Properties of NY, Inc. (R)  213  12,269 
Hospitality Properties Trust (R)  575  25,553 
Host Marriott Corp. (R)  1,408  35,932 
HRPT Properties Trust (R)  1,786  20,503 
Inland Real Estate Corp. (R)  571  10,278 
iStar Financial, Inc. (R)  337  16,186 
Jones Lang LaSalle, Inc.  113  13,187 
Kimco Realty Corp. (R)  634  29,348 
KKR Financial Holdings, LLC (R)  21  562 
Liberty Property Trust (R)  467  21,912 
Luminent Mortgage Capital, Inc. (R)  836  7,608 
Macerich Co. (The) (R)  208  18,554 
Mack-Cali Realty Corp. (R)  197  9,513 
Macquarie Office Trust (Australia)  12,890  18,035 
Medical Properties Trust, Inc. (R)  1,200  17,076 
National Health Investors, Inc. (R)  357  12,666 
National Retail Properties, Inc. (R)  624  15,132 
Nationwide Health Properties, Inc. (R)  621  19,294 
Newcastle Investment Corp. (R)  96  2,847 
NorthStar Realty Finance Corp. (R)  297  4,280 
Omega Healthcare Investors, Inc. (R)  965  16,608 
PMC Commercial Trust (R)  293  4,093 
ProLogis Trust (R)  695  44,939 
Public Storage, Inc. (R)  308  27,566 

Ramco-Gershenson Properties (R)  297  10,986 
Realty Income Corp. (R)  648  17,768 
Redwood Trust, Inc. (R)  77  4,126 
Regency Centers Corp. (R)  102  8,014 
Resource Capital Corp. (R)  239  3,817 
Senior Housing Properties Trust (R)  638  14,993 
Simon Property Group, Inc. (R)  620  66,948 
SL Green Realty Corp. (R)  204  28,576 
Spirit Finance Corp.  917  13,168 
Taubman Centers, Inc. (R)  175  9,629 
Vornado Realty Trust (R)  331  40,054 
Wharf (Holdings), Ltd. (Hong Kong)  2,000  8,082 
    1,049,757 
 
Technology (2.4%)     
Acxiom Corp.  177  4,921 
Ansoft Corp. (NON)  84  2,691 
Apple Computer, Inc. (NON)  14  1,702 
Arris Group, Inc. (NON)  14  230 
Automatic Data Processing, Inc.  65  3,231 
Blue Coat Systems, Inc. (NON)  38  1,672 
BMC Software, Inc. (NON)  480  15,907 
Brocade Communications Systems, Inc. (NON)  569  5,223 
Cisco Systems, Inc. (NON)  1,090  29,343 
Coinstar, Inc. (NON)  105  3,317 
Compuware Corp. (NON)  237  2,692 
Convergys Corp. (NON)  67  1,725 
Creative Technology, Ltd. (Singapore)  250  1,177 
Credence Systems Corp. (NON)  575  1,909 
CSG Systems International, Inc. (NON)  140  3,892 
Electronic Data Systems Corp.  404  11,639 
FEI Co. (NON)  116  4,304 
Fuji Photo Film Cos., Ltd. (Japan)  300  12,424 
Fujitsu, Ltd. (Japan)  1,000  6,828 
Hewlett-Packard Co.  624  28,523 
IBM Corp.  259  27,609 
IHS, Inc. Class A (NON)  33  1,326 
Infospace, Inc.  44  1,077 
Intel Corp.  365  8,092 
Interwoven, Inc. (NON)  74  1,109 
Intuit, Inc. (NON)  184  5,612 
Komag, Inc. (NON)  50  1,213 
Konica Corp. (Japan)  500  6,800 
Lexmark International, Inc. Class A (NON)  64  3,324 
Littelfuse, Inc. (NON)  63  2,525 
LTX Corp. (NON)  381  2,229 
Manhattan Associates, Inc. (NON)  68  1,976 
Mantech International Corp. Class A (NON)  34  1,087 
Micronas Semiconductor Holding AG (Switzerland) (NON)  45  939 
Microsoft Corp.  860  26,376 
MicroStrategy, Inc. (NON)  17  1,765 
Misys PLC (United Kingdom)  115  572 
Mitsubishi Electric Corp. (Japan)  2,000  18,291 
Motorola, Inc.  330  6,003 
National Semiconductor Corp.  118  3,177 
NEC Corp. (Japan)  1,000  5,094 
Novellus Systems, Inc. (NON)  88  2,701 
NTT Data Corp. (Japan)  1  4,774 
Omnicell, Inc. (NON)  36  810 
Oracle Corp. (NON)  1,060  20,543 
Packeteer, Inc. (NON)  214  2,196 
Photronics, Inc. (NON)  209  3,072 
Polycom, Inc. (NON)  108  3,426 
Qualcomm, Inc.  113  4,853 
RealNetworks, Inc. (NON)  696  5,895 
RF Micro Devices, Inc. (NON)  308  2,011 
SAIC, Inc. (NON)  103  2,075 
Seiko Epson Corp. (Japan)  100  2,892 
Silicon Storage Technology, Inc. (NON)  193  762 
Smith Micro Software, Inc. (NON)  78  1,227 
Solomon Systech International, Ltd. (Hong Kong)  96,000  12,418 
SonicWall, Inc. (NON)  302  2,495 
Spansion, Inc. Class A (NON)  889  9,672 
SPSS, Inc. (NON)  62  2,729 
Sybase, Inc. (NON)  113  2,719 
Sykes Enterprises, Inc. (NON)  207  4,032 
Texas Instruments, Inc.  37  1,308 
TheStreet.com, Inc.  168  1,956 
Thomson Multimedia SA (France)  57  1,100 
Toshiba Corp. (Japan)  1,000  7,477 
Travelzoo, Inc. (NON)  108  2,784 
Trizetto Group (NON)  104  1,927 
United Online, Inc.  418  7,131 
Varian, Inc. (NON)  68  4,002 
Veeco Instruments, Inc. (NON)  139  2,519 
Websense, Inc. (NON)  100  2,250 
    393,302 
 
Transportation (0.8%)     
Alaska Air Group, Inc. (NON)  11  321 

British Airways PLC (United Kingdom) (NON)  381  3,544 
Compagnie Maritime Belge SA (Belgium)  135  10,301 
Continental Airlines, Inc. Class B (NON)  247  9,922 
Deutsche Lufthansa AG (Germany)  399  11,557 
ExpressJet Holdings, Inc. (NON)  383  2,371 
Frontline, Ltd. (Bermuda)  450  20,979 
Horizon Lines, Inc. Class A  17  586 
Orient Overseas International, Ltd. (Hong Kong)  1,000  10,016 
Overseas Shipholding Group  93  7,398 
Qantas Airways, Ltd. (Australia)  3,012  14,214 
Republic Airways Holdings, Inc. (NON)  145  3,389 
Ship Finance International, Ltd. (Bermuda)  48  1,461 
Singapore Airlines, Ltd. (Singapore)  1,000  12,036 
Singapore Maritime, Ltd. (Singapore)  9,000  11,244 
SkyWest, Inc.  186  5,121 
Stolt-Nielsen SA (United Kingdom)  50  1,535 
US Airways Group, Inc. (NON)  93  3,315 
    129,310 
 
Utilities & Power (0.8%)     
Alliant Energy Corp.  87  3,758 
Edison International  255  14,859 
El Paso Electric Co. (NON)  94  2,558 
Enel SpA (Italy)  1,962  22,317 
Energen Corp.  171  10,075 
FirstEnergy Corp.  56  3,877 
Hokkaido Electric Power Co., Inc. (Japan)  700  16,680 
Mirant Corp. (NON)  13  603 
National Grid PLC (United Kingdom)  713  11,050 
NICOR, Inc.  42  1,972 
Northwest Natural Gas Co.  33  1,644 
OGE Energy Corp.  35  1,292 
PG&E Corp.  348  17,142 
Portland General Electric Co.  19  557 
Singapore Petroleum Co., Ltd. (Singapore)  1,000  3,434 
Southwest Gas Corp.  64  2,442 
Tokyo Electric Power Co. (Japan)  600  19,967 
    134,227 
 
Total common stocks (cost $3,675,213)    $4,266,200 
 
CORPORATE BONDS AND NOTES (19.7%)(a)     
  Principal   
  amount  Value 
Basic Materials (1.4%)     
AK Steel Corp. company guaranty 7 3/4s, 2012  $10,000  $10,288 
ARCO Chemical Co. debs. 10 1/4s, 2010  10,000  11,100 
Builders FirstSource, Inc. company guaranty FRN 9.61s,     
2012  5,000  5,081 
Chaparral Steel Co. company guaranty 10s, 2013  15,000  16,725 
Compass Minerals International, Inc. sr. disc. notes     
stepped-coupon Ser. B, zero % (12s, 6/1/08), 2013 (STP)  5,000  4,950 
Covalence Specialty Materials Corp. 144A sr. sub.     
notes 10 1/4s, 2016  5,000  5,125 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. bonds     
8 3/8s, 2017  15,000  16,369 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes     
8 1/4s, 2015  10,000  10,800 
Georgia-Pacific Corp. debs. 9 1/2s, 2011  5,000  5,456 
Georgia-Pacific Corp. sr. notes 8s, 2024  5,000  5,038 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011     
(Canada)  5,000  5,288 
Graphic Packaging International Corp sr. notes 8 1/2s,     
2011  5,000  5,206 
Hexion Nova Scotia Finance ULC company guaranty 9 3/4s, 2014  5,000  5,388 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,     
ULC 144A sr. notes 9 3/4s, 2014  5,000  5,388 
Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012  3,000  3,068 
Lyondell Chemical Co. company guaranty 8 1/4s, 2016  5,000  5,413 
Lyondell Chemical Co. company guaranty 8s, 2014  5,000  5,288 
MacDermid, Inc. 144A sr. sub. notes 9 1/2s, 2017  10,000  10,550 
MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)  1,000  1,055 
Momentive Performance Materials, Inc. 144A sr. notes     
9 3/4s, 2014  15,000  15,675 
Mosaic Co. (The) 144A sr. notes 7 5/8s, 2016  5,000  5,313 
Mosaic Co. (The) 144A sr. notes 7 3/8s, 2014  5,000  5,213 
Nalco Co. sr. sub. notes 8 7/8s, 2013  10,000  10,725 
NewPage Corp. company guaranty 10s, 2012  5,000  5,519 
NewPage Holding Corp. sr. notes FRN 12.36s, 2013 (PIK)  1,311  1,313 
Norske Skog Canada, Ltd. company guaranty Ser. D,     
8 5/8s, 2011 (Canada)  5,000  5,013 
Novelis, Inc. company guaranty 7 1/4s, 2015 (acquired     
from 1/04/06 to 5/18/07, cost $12,130) (RES)  12,000  12,660 
PQ Corp. company guaranty 7 1/2s, 2013  5,000  5,200 
Smurfit-Stone Container Enterprises, Inc. 144A sr.     
notes 8s, 2017  5,000  5,038 
Steel Dynamics, Inc. 144A sr. notes 6 3/4s, 2015  10,000  9,950 
Tube City IMS Corp. 144A sr. sub. notes 9 3/4s, 2015  10,000  10,500 
    229,695 

Capital Goods (1.1%)     
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016  10,000  10,150 
Allied Waste North America, Inc. company guaranty     
6 7/8s, 2017  10,000  10,188 
Baldor Electric Co. company guaranty 8 5/8s, 2017  15,000  16,013 
Belden CDT, Inc. 144A sr. sub. notes 7s, 2017  5,000  5,119 
Blount, Inc. sr. sub. notes 8 7/8s, 2012  5,000  5,200 
Case New Holland, Inc. company guaranty 9 1/4s, 2011  5,000  5,250 
Crown Americas, LLC/Crown Americas Capital Corp. sr.     
notes 7 5/8s, 2013  5,000  5,188 
Greenbrier Cos., Inc. company guaranty 8 3/8s, 2015  5,000  5,050 
Hawker Beechcraft Acquisition Co., LLC 144A sr. notes     
8 7/8s, 2015 (PIK)  5,000  5,275 
Hawker Beechcraft Acquisition Co., LLC 144A sr. notes     
8 1/2s, 2015  5,000  5,275 
Hexcel Corp. sr. sub. notes 6 3/4s, 2015  5,000  5,025 
K&F Acquisitions, Inc. company guaranty 7 3/4s, 2014  10,000  10,650 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015  10,000  9,750 
L-3 Communications Corp. company guaranty Ser. B,     
6 3/8s, 2015  5,000  4,988 
Legrand SA debs. 8 1/2s, 2025 (France)  5,000  5,963 
Manitowoc Co., Inc. (The) company guaranty 10 1/2s,     
2012  5,000  5,331 
Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013  5,000  5,150 
Milacron Escrow Corp. sec. notes 11 1/2s, 2011  10,000  10,200 
Mueller Water Products, Inc. 144A sr. sub. notes     
7 3/8s, 2017  5,000  5,054 
Owens-Illinois, Inc. debs. 7 1/2s, 2010  5,000  5,144 
RBS Global, Inc. / Rexnord Corp. company guaranty     
9 1/2s, 2014  15,000  16,125 
Solo Cup Co. sr. sub. notes 8 1/2s, 2014  5,000  4,375 
TD Funding Corp. 144A sr. sub. notes 7 3/4s, 2014  5,000  5,200 
Tekni-Plex, Inc. secd. notes 10 7/8s, 2012  10,000  11,300 
Titan International, Inc. company guaranty 8s, 2012  5,000  5,150 
WCA Waste Corp. company guaranty 9 1/4s, 2014  5,000  5,331 
    187,444 
 
Communication Services (0.7%)     
American Cellular Corp. sr. notes Ser. B, 10s, 2011  1,000  1,051 
Centennial Communications Corp. sr. notes 10s, 2013  5,000  5,425 
Cricket Communications, Inc. company guaranty 9 3/8s,     
2014  5,000  5,300 
Dobson Communications Corp. sr. notes 8 7/8s, 2013  5,000  5,244 
Intelsat Bermuda, Ltd. sr. unsec. 11 1/4s, 2016     
(Bermuda)  10,000  11,425 
iPCS, Inc. 144A sec. FRN 7.48s, 2013  5,000  5,013 
Level 3 Financing, Inc. company guaranty 12 1/4s, 2013  5,000  5,850 
Level 3 Financing, Inc. 144A sr. notes 9 1/4s, 2014  10,000  10,438 
Level 3 Financing, Inc. 144A sr. notes 8 3/4s, 2017  5,000  5,131 
MetroPCS Wireless, Inc. 144A sr. notes 9 1/4s, 2014  5,000  5,300 
PanAmSat Corp. company guaranty 9s, 2014  5,000  5,400 
Qwest Corp. notes 8 7/8s, 2012  15,000  16,463 
Rural Cellular Corp. sr. sub. FRN 11.106s, 2012  5,000  5,181 
Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010  5,000  5,163 
Rural Cellular Corp. 144A sr. sub. notes FRN 8.36s,     
2013  5,000  5,013 
Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014  5,000  5,369 
West Corp. company guaranty 9 1/2s, 2014  5,000  5,263 
Windstream Corp. company guaranty 8 5/8s, 2016  5,000  5,463 
Windstream Corp. company guaranty 8 1/8s, 2013  5,000  5,375 
    118,867 
 
Consumer Cyclicals (2.6%)     
American Media, Inc. company guaranty Ser. B, 10 1/4s,     
2009  5,000  4,906 
ArvinMeritor, Inc. notes 8 3/4s, 2012  2,000  2,088 
ArvinMeritor, Inc. sr. unsec. notes 8 1/8s, 2015  5,000  4,969 
Associated Materials, Inc. company guaranty 9 3/4s,     
2012  5,000  5,238 
Beazer Homes USA, Inc. company guaranty 6 7/8s, 2015  5,000  4,675 
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,     
2014  5,000  5,275 
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012  10,000  10,413 
Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016  5,000  5,000 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)  10,000  10,325 
Cenveo Corp., sr. sub. notes 7 7/8s, 2013  3,000  2,978 
Corrections Corporation of America sr. notes 7 1/2s,     
2011  5,000  5,125 
DaimlerChrysler NA Holding Corp. notes Ser. MTN,     
5 3/4s, 2011  5,000  5,029 
Ford Motor Co. notes 7.45s, 2031  15,000  12,338 
Ford Motor Credit Corp. notes 7 7/8s, 2010  10,000  10,096 
Ford Motor Credit Corp. notes 7 3/8s, 2009  5,000  5,017 
Ford Motor Credit Corp. sr. notes 9 7/8s, 2011  40,000  42,904 
General Motors Corp. notes 7.2s, 2011  30,000  28,800 
Goodyear Tire & Rubber Co. (The) 144A sr. notes     
8 5/8s, 2011  5,000  5,400 
Hanesbrands, Inc. 144A sr. notes FRN 8.735s, 2014  5,000  5,188 
Hilton Hotels Corp. notes 7 5/8s, 2012  5,000  5,231 

Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)  15,000  15,263 
Jostens IH Corp. company guaranty 7 5/8s, 2012  10,000  10,225 
Levi Strauss & Co. sr. notes 9 3/4s, 2015  5,000  5,431 
Levi Strauss & Co. sr. notes 8 7/8s, 2016  5,000  5,306 
Meritage Homes Corp. company guaranty 6 1/4s, 2015  10,000  9,475 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010  5,000  5,325 
MGM Mirage, Inc. company guaranty 6s, 2009  15,000  14,925 
Michaels Stores, Inc. 144A sr. sub. notes 11 3/8s, 2016  5,000  5,525 
Neiman-Marcus Group, Inc. company guaranty 9s, 2015  15,000  16,463 
NTK Holdings, Inc. sr. disc. notes zero %, 2014  5,000  3,750 
Park Place Entertainment Corp. sr. notes 7s, 2013  5,000  5,294 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,     
2012  10,000  10,413 
R.H. Donnelley Corp. sr. disc. notes Ser. A-2, 6 7/8s,     
2013  5,000  4,925 
R.H. Donnelley Corp. sr. notes Ser. A-3, 8 7/8s, 2016  5,000  5,388 
Reader's Digest Association, Inc. (The) 144A sr. sub.     
notes 9s, 2017  5,000  4,931 
Scientific Games Corp. company guaranty 6 1/4s, 2012  5,000  4,913 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014  10,000  10,450 
Standard Pacific Corp. sr. notes 6 1/2s, 2008  5,000  5,000 
Station Casinos, Inc. sr. notes 6s, 2012  5,000  4,850 
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014  10,000  10,600 
Texas Industries, Inc. sr. unsecd. notes 7 1/4s, 2013  10,000  10,350 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.     
notes 8 1/2s, 2014  15,000  14,888 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,     
2015  5,000  5,119 
UCI Holdco, Inc. 144A sr. notes FRN 12.355s, 2013 (PIK)  10,291  10,625 
United Auto Group, Inc. 144A sr. sub. notes 7 3/4s,     
2016  5,000  5,050 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009  10,000  10,000 
Vertis, Inc. 144A sub. notes 13 1/2s, 2009  5,000  4,325 
Wimar Opco, LLC. 144A sr. sub. notes 9 5/8s, 2014  20,000  20,200 
Yankee Acquisition Corp. company guaranty Ser. B,     
8 1/2s, 2015  5,000  5,113 
    425,117 
 
Consumer Staples (1.7%)     
Affinion Group, Inc. company guaranty 11 1/2s, 2015  5,000  5,588 
Affinion Group, Inc. company guaranty 10 1/8s, 2013  5,000  5,475 
AMC Entertainment, Inc. company guaranty 11s, 2016  5,000  5,706 
ARAMARK Corp. 144A sr. notes 8 1/2s, 2015  5,000  5,256 
Avis Budget Car Rental, LLC 144A sr. notes 7 5/8s, 2014  5,000  5,188 
Buffets, Inc. company guaranty 12 1/2s, 2014  5,000  5,100 
CCH I, LLC/Capital Corp. sec. notes 11s, 2015  10,000  10,875 
CCH II, LLC/Capital Corp. sr. notes Ser. B, 10 1/4s,     
2010  10,000  10,625 
CCH, LLC/Capital Corp. sr. notes 10 1/4s, 2010  20,000  21,300 
Chiquita Brands International, Inc. sr. notes 7 1/2s,     
2014  5,000  4,663 
Cinemark, Inc. sr. disc. notes stepped-coupon zero %     
(9 3/4s, 3/15/09), 2014 (STP)  10,000  9,238 
CSC Holdings, Inc. sr. notes 6 3/4s, 2012  10,000  9,875 
Dean Foods Co. company guaranty 7s, 2016  5,000  4,988 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012  10,000  10,500 
DirecTV Holdings, LLC company guaranty 6 3/8s, 2015  10,000  9,700 
Dole Food Co. company guaranty 7 1/4s, 2010  2,000  1,980 
Echostar DBS Corp. company guaranty 7s, 2013  5,000  5,119 
Echostar DBS Corp. sr. notes 6 3/8s, 2011  10,000  10,038 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014  5,000  5,138 
Hertz Corp. company guaranty 8 7/8s, 2014  10,000  10,763 
Idearc Inc. 144A sr. notes 8s, 2016  15,000  15,544 
Insight Midwest LP/Insight Capital, Inc. sr. notes     
9 3/4s, 2009  3,000  3,038 
Interpublic Group of Companies, Inc. notes 6 1/4s, 2014  5,000  4,694 
Jarden Corp. company guaranty 7 1/2s, 2017  5,000  5,100 
Liberty Media Corp. debs. 8 1/4s, 2030  5,000  4,956 
LIN Television Corp. company guaranty Ser. B, 6 1/2s,     
2013  5,000  5,050 
Pilgrim's Pride Corp. sr. unsec 7 5/8s, 2015  5,000  5,138 
Pinnacle Foods Finance LLC 144A sr. notes 9 1/4s, 2015  5,000  5,075 
Pinnacle Foods Finance LLC 144A sr. sub. notes     
10 5/8s, 2017  5,000  5,088 
Playtex Products, Inc. company guaranty 8s, 2011  5,000  5,213 
Rental Services Corp. 144A bonds 9 1/2s, 2014  10,000  10,750 
Reynolds American, Inc. company guaranty 7 1/4s, 2013  10,000  10,495 
Rite Aid Corp. company guaranty 9 3/8s, 2015  5,000  5,038 
Rite Aid Corp. secd. notes 7 1/2s, 2017  5,000  5,000 
Sirius Satellite Radio, Inc. sr. unsecd. notes 9 5/8s,     
2013  5,000  5,013 
Spectrum Brands, Inc. company guaranty 7 3/8s, 2015  10,000  8,475 
Supervalu, Inc. sr. notes 7 1/2s, 2014  5,000  5,250 
United Rentals NA, Inc. sr. sub. notes 7s, 2014  10,000  10,200 
    276,232 
 
Energy (1.0%)     
Arch Western Finance, LLC sr. notes 6 3/4s, 2013  15,000  14,944 
Chaparral Energy, Inc. 144A sr. notes 8 7/8s, 2017  5,000  5,075 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  10,000  10,425 

Cimarex Energy Co. sr. notes 7 1/8s, 2017    5,000  5,063 
Complete Production Services, Inc. 144A sr. notes 8s,       
2016    10,000  10,400 
Compton Petroleum Corp. company guaranty 7 5/8s, 2013       
(Canada)    5,000  5,050 
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015    5,000  5,150 
Forest Oil Corp. sr. notes 8s, 2011    5,000  5,250 
Harvest Operations Corp. sr. notes 7 7/8s, 2011       
(Canada)    5,000  4,925 
Kerr-McGee Corp. sec. notes 6.95s, 2024    5,000  5,246 
Massey Energy Co. sr. notes 6 5/8s, 2010    10,000  9,900 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014    5,000  5,025 
OPTI Canada, Inc. 144A company guaranty 8 1/4s, 2014       
(Canada)    5,000  5,313 
Peabody Energy Corp. company guaranty 7 3/8s, 2016    5,000  5,294 
Peabody Energy Corp. sr. notes 5 7/8s, 2016    10,000  9,650 
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013    15,000  16,125 
Plains Exploration & Production Co. company guaranty       
7s, 2017    5,000  4,975 
Pogo Producing Co. sr. sub. notes 7 7/8s, 2013    5,000  5,250 
Pogo Producing Co. sr. sub. notes 6 7/8s, 2017    5,000  5,063 
Pride International, Inc. sr. notes 7 3/8s, 2014    5,000  5,150 
Quicksilver Resources, Inc. company guaranty 7 1/8s,       
2016    5,000  4,963 
Stallion Oilfield Services/Stallion Oilfield Finance       
Corp. 144A sr. unsec. notes 9 3/4s, 2015    10,000  10,450 
Targa Resources, Inc. 144A company guaranty 8 1/2s,       
2013    5,000  5,200 
      163,886 
 
Financial (2.0%)       
Bayerische Landesbank bonds Ser. 5, 5 1/4s, 2009       
(Germany)  EUR  23,000  31,313 
CIT Group, Inc. sr. notes 5s, 2014    $5,000  4,733 
Depfa ACS Bank notes 3 1/4s, 2008 (Ireland)  EUR  150,000  199,676 
General Motors Acceptance Corp. notes 7 3/4s, 2010    $5,000  5,136 
General Motors Acceptance Corp. notes 7s, 2012    5,000  5,051 
General Motors Acceptance Corp. notes 6 7/8s, 2012    5,000  5,024 
General Motors Acceptance Corp. notes 6 7/8s, 2011    15,000  15,113 
General Motors Acceptance Corp. notes 6 3/4s, 2014    30,000  29,904 
General Motors Acceptance Corp. sr. notes Ser. GM,       
6.311s, 2007    12,000  11,966 
GMAC LLC unsub. notes 6 5/8s, 2012    10,000  9,939 
Leucadia National Corp. 144A sr. notes 7 1/8s, 2017    5,000  4,938 
Realogy Corp. 144A sr. notes 10 1/2s, 2014 (R)    15,000  15,056 
      337,849 
 
Government (0.7%)       
European Investment Bank supranational bank bonds       
3 1/2s, 2014 (Luxembourg)  CHF  40,000  33,504 
Norddeutsche Landesbank Girozentrale bonds Ser. 7,       
5 3/4s, 2010 (Germany)  EUR  24,000  33,466 
Oester Postspark Bawag foreign government guaranty       
Ser. EMTN, 3 1/4s, 2011 (Austria)  CHF  60,000  49,444 
      116,414 
 
Health Care (0.6%)       
DaVita, Inc. company guaranty 6 5/8s, 2013    $5,000  5,025 
HCA, Inc. notes 6 3/8s, 2015    15,000  13,238 
HCA, Inc. notes 6 1/4s, 2013    2,000  1,863 
HCA, Inc. 144A sec. notes 9 1/4s, 2016    10,000  10,963 
HCA, Inc. 144A sec. sr. notes 9 5/8s, 2016 (PIK)    5,000  5,513 
Health Management Associates, Inc. sr. notes 6 1/8s,       
2016    5,000  4,780 
Healthsouth Corp. 144A sr. notes 10 3/4s, 2016    5,000  5,500 
MedQuest, Inc. company guaranty Ser. B, 11 7/8s, 2012    5,000  4,038 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013    5,000  4,813 
Select Medical Corp. company guaranty 7 5/8s, 2015    5,000  4,625 
Service Corporation International sr. notes 6 3/4s,       
2016    5,000  4,919 
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013    5,000  4,900 
Sun Healthcare Group, Inc. 144A sr. sub. notes 9 1/8s,       
2015    5,000  5,250 
Tenet Healthcare Corp. notes 7 3/8s, 2013    10,000  9,425 
Tenet Healthcare Corp. sr. notes FRN 9 7/8s, 2014    5,000  5,125 
US Oncology Holdings, Inc. 144A sr. unsec. notes       
9.828s, 2012 (PIK)    5,000  4,981 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,       
2014    5,000  5,238 
      100,196 
 
Other (6.5%)       
Dow Jones CDX HY pass-through certificates Ser. 4-T2,       
6 3/4s, 2010    152,558  154,465 
Dow Jones CDX HY pass-through certificates Ser. 4-T3,       
8s, 2010    320,000  329,600 
Dow Jones CDX NA HY pass-through certificates Ser.       
5-T1, 8 3/4s, 2010    384,000  408,230 
Lehman Brothers HY TRAINS (Targeted Return Index       

Securities) 144A FRN 7.548s, 2016  182,000  184,781 
    1,077,076 
 
Technology (0.6%)     
Activant Solutions, Inc. company guaranty 9 1/2s, 2016  5,000  5,000 
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012  3,000  2,948 
Amkor Technologies, Inc. sr. notes 7 3/4s, 2013  3,000  2,944 
Amkor Technologies, Inc. sr. unsecd. notes 9 1/4s, 2016  5,000  5,238 
Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada)  5,000  4,788 
Compucom Systems, Inc. 144A sr. notes 12s, 2014  5,000  5,475 
Electronic Data Systems Corp. sec. sr. notes Ser. B,     
6 1/2s, 2013  5,000  4,986 
Freescale Semiconductor, Inc. 144A sr. notes 9 1/8s,     
2014 (PIK)  5,000  4,950 
Freescale Semiconductor, Inc. 144A sr. notes 8 7/8s,     
2014  15,000  15,019 
Freescale Semiconductor, Inc. 144A sr. sub. notes     
10 1/8s, 2016  10,000  10,013 
Nortel Networks, Ltd. 144A company guaranty FRN     
9.606s, 2011 (Canada)  5,000  5,388 
Seagate Technology Hdd Holdings company guaranty 6.8s,     
2016 (Cayman Islands)  5,000  4,948 
SunGard Data Systems, Inc. company guaranty 10 1/4s,     
2015  4,000  4,375 
SunGard Data Systems, Inc. company guaranty 9 1/8s,     
2013  10,000  10,625 
TDS Investor Corp. 144A sr. notes 9 7/8s, 2014  5,000  5,388 
Unisys Corp. sr. notes 8s, 2012  5,000  5,025 
Xerox Corp. unsec. sr. notes 6 3/4s, 2017  5,000  5,174 
    102,284 
 
Utilities & Power (0.8%)     
AES Corp. (The) 144A sec. notes 8 3/4s, 2013  15,000  15,956 
CMS Energy Corp. sr. notes 7 1/2s, 2009  5,000  5,130 
Dynegy Holdings, Inc. sr. unsec. notes 8 3/8s, 2016  5,000  5,194 
Dynegy-Roseton Danskamme company guaranty Ser. B,     
7.67s, 2016  5,000  5,263 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013  5,000  5,138 
Edison Mission Energy 144A sr. notes 7.2s, 2019  5,000  4,981 
Edison Mission Energy 144A sr. notes 7s, 2017  5,000  4,981 
El Paso Corp. sr. notes Ser. MTN, 7 3/4s, 2032  5,000  5,484 
El Paso Production Holding Co. company guaranty     
7 3/4s, 2013  15,000  15,847 
Mirant North America, LLC company guaranty 7 3/8s, 2013  10,000  10,575 
NRG Energy, Inc. company guaranty 7 3/8s, 2017  5,000  5,200 
NRG Energy, Inc. sr. notes 7 3/8s, 2016  20,000  20,750 
PSEG Energy Holdings, Inc. sr. notes 8 1/2s, 2011  5,000  5,348 
Reliant Resources, Inc. secd. notes 9 1/4s, 2010  2,000  2,098 
TXU Corp. sr. notes Ser. P, 5.55s, 2014  15,000  13,313 
Williams Cos., Inc. (The) notes 7 5/8s, 2019  10,000  10,975 
    136,233 
 
Total corporate bonds and notes (cost $3,176,142)    $3,271,293 
 
CONVERTIBLE PREFERRED STOCKS (9.0%)(a)     
  Shares  Value 
Basic Materials (1.0%)     
Freeport-McMoRan Copper & Gold, Inc. $6.75 cv. pfd.  502  $61,621 
Huntsman Corp. $2.50 cv. pfd.  2,300  100,050 
    161,671 
 
Capital Goods (0.9%)     
Northrop Grumman Corp. Ser. B, $7.00 cum. cv. pfd.  1,000  142,625 
 
Communication Services (0.7%)     
Crown Castle International Corp. $3.125 cum. cv. pfd.  1,900  109,725 
 
Consumer Cyclicals (0.5%)     
Ford Motor Co. Capital Trust II $3.25 cum. cv. pfd.  2,480  91,450 
 
Consumer Staples (1.0%)     
Bunge, Ltd. $4.875 cv. pfd.  486  53,460 
Universal Corp. 6.75% cv. pfd.  71  106,908 
    160,368 
 
Financial (2.2%)     
Affiliated Managers Group, Inc. $2.55 cv. pfd.  400  23,600 
Affiliated Managers Group, Inc. 144A $2.55 cv. pfd.  275  16,225 
E*Trade Financial Corp. $1.531 cum. cv. pfd.  1,250  37,344 
Fannie Mae Ser. 04-1, 5.375% cv. pfd.  1  101,685 
Marshall & Ilsley Corp. $1.625 cv. pfd.  2,850  75,668 
Sovereign Capital Trust IV $2.188 cv. pfd.  2,200  105,600 
    360,122 
 
Health Care (0.4%)     
Schering-Plough Corp. $3.00 cv. pfd.  920  68,080 

Investment Banking/Brokerage (0.3%)       
Lehman Brothers Holdings, Inc. $1.563 cv. pfd.    2,000  57,500 
 
Real Estate (0.3%)       
Nationwide Health Properties, Inc. $7.75 cv. pfd.    375  53,490 
 
Utilities & Power (1.7%)       
El Paso Energy Capital Trust I $2.375 cv. pfd.    3,800  156,275 
Entergy Corp. $3.813 cv. pfd.    1,900  130,388 
      286,663 
Total convertible preferred stocks (cost $1,351,739)      $1,491,694 
 
FOREIGN GOVERNMENT BONDS AND NOTES (4.6%)(a)       
    Principal   
    amount  Value 
Austria (Republic of) notes Ser. EMTN, 3 3/8s, 2012  CHF  140,000  $116,368 
Austria (Republic of) 144A notes Ser. EMTN, 3.8s, 2013  EUR  52,000  67,472 
Denmark (Kingdom of) bonds 6s, 2009  DKK  149,000  27,819 
France (Government of) bonds 5 1/2s, 2029  EUR  63,000  95,323 
France (Government of) bonds 4s, 2013  EUR  32,974  43,380 
Ireland (Republic of) bonds 5s, 2013  EUR  30,000  41,520 
Japan (Government of) CPI Linked bonds Ser. 8, 1s, 2016  JPY  13,886,100  112,468 
Netherlands (Government of) bonds 5s, 2012  EUR  70,000  96,573 
Norwegian (Government of) bonds 5 1/2s, 2009  NOK  300,000  50,169 
Spain (Government of) bonds 6.15s, 2013  EUR  26,000  37,887 
Sweden (Government of) debs. Ser. 1041, 6 3/4s, 2014  SEK  125,000  20,669 
United Kingdom treasury bonds 4 1/4s, 2036  GBP  31,000  57,646 
 
Total foreign government bonds and notes (cost $746,731)      $767,294 
 
U.S. GOVERNMENT AGENCY MORTGAGE OBLIGATIONS (2.9%)(a)       
    Principal   
    amount  Value 
Federal National Mortgage Association Pass-Through       
Certificates       
6 1/2s, August 1, 2034    $28,539  $29,229 
5 1/2s, with due dates from July 1, 2035 to       
December 1, 2035    456,219  446,008 
Total U.S. government agency mortgage obligations (cost $483,260)      $475,237 
 
CONVERTIBLE BONDS AND NOTES (2.1%)(a)       
    Principal   
    amount  Value 
Agere Systems, Inc. cv. sub. notes 6 1/2s, 2009    $100,000  $102,000 
EPIX Medical, Inc. cv. sr. notes 3s, 2024    19,000  16,150 
Nash Finch Co. cv. sr. sub. notes stepped-coupon       
1.631s (0s, 3/15/13) 2035 (STP)    38,000  20,283 
Omnicare, Inc. cv. debs. Ser. OCR, 3 1/4s, 2035    32,000  27,240 
Pier 1 Imports, Inc. 144A cv. sr. unsub. notes       
stepped-coupon 6 3/8s (6 1/8s, 2/15/11) 2036 (STP)    100,000  96,375 
Safeguard Scientifics, Inc. cv. sr. notes 2 5/8s, 2024    100,000  83,500 
 
Total convertible bonds and notes (cost $344,682)      $345,548 
 
COLLATERALIZED MORTGAGE OBLIGATIONS (1.8%)(a)       
    Principal   
    amount  Value 
Banc of America Large Loan 144A FRB Ser. 05-MIB1,       
Class K, 7.32s, 2022    $7,000  $7,010 
Chase Commercial Mortgage Securities Corp. 144A Ser.       
98-1, Class H, 6.34s, 2030    6,000  5,239 
Commercial Mortgage Pass-Through Certificates       
Ser. 06-C7, Class A4, 5.769s, 2046    54,000  55,747 
Ser. 04-LB2A, Class A4, 4.715s, 2039    22,000  20,889 
Countrywide Alternative Loan Trust Ser. 05-24,       
Class IIAX, Interest Only (IO), 2.391s, 2035    31,457  823 
CS First Boston Mortgage Securities Corp.       
Ser. 97-C2, Class F, 7.46s, 2035    7,000  7,593 
Ser. 05-C4, Class A5, 5.104s, 2038    13,000  12,561 
Fannie Mae       
Ser. 02-T12, Class A4, 9 1/2s, 2042    371  389 
Ser. 02-T4, Class A4, 9 1/2s, 2041    1,584  1,660 
Ser. 02-T6, Class A3, 9 1/2s, 2041    642  672 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043    1,232  1,286 
Ser. 02-T19, Class A3, 7 1/2s, 2042    3,892  4,050 
Ser. 01-T12, Class A2, 7 1/2s, 2041    903  934 
Ser. 01-T3, Class A1, 7 1/2s, 2040    156  161 
Ser. 01-T1, Class A1, 7 1/2s, 2040    161  166 
Ser. 99-T2, Class A1, 7 1/2s, 2039    230  240 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032    2,840  2,944 
Ser. 01-T4, Class A1, 7 1/2s, 2028    311  325 
Ser. 02-26, Class A1, 7s, 2048    1,645  1,689 
Ser. 04-T3, Class 1A3, 7s, 2044    3,188  3,287 
Ser. 03-W3, Class 1A2, 7s, 2042    1,562  1,605 
Ser. 02-T16, Class A2, 7s, 2042    1,703  1,749 
Ser. 02-14, Class A1, 7s, 2042    2,696  2,765 
Ser. 01-T10, Class A1, 7s, 2041    1,544  1,581 
Ser. 04-W1, Class 2A2, 7s, 2033    7,027  7,243 

IFB Ser. 05-74, Class SE, IO, 0.78s, 2035      132,293  3,836 
Federal Home Loan Mortgage Corp. Structured         
Pass-Through Securities         
Ser. T-42, Class A6, 9 1/2s, 2042      358  375 
Ser. T-51, Class 2A, 7 1/2s, 2042      15,538  16,096 
Ser. T-42, Class A5, 7 1/2s, 2042      718  743 
Ser. T-60, Class 1A2, 7s, 2044      7,817  8,061 
Ser. T-41, Class 2A, 7s, 2032      440  451 
Greenpoint Mortgage Funding Trust Ser. 05-AR1,         
Class X1, IO, 1.36s, 2045      20,601  486 
GS Mortgage Securities Corp. II         
Ser. 04-GG2, Class A6, 5.396s, 2038      10,000  9,875 
Ser. 05-GG4, Class A4B, 4.732s, 2039      10,000  9,405 
GS Mortgage Securities Corp. II 144A Ser. 03-C1,         
Class X1, IO, 0.372s, 2040      213,290  3,592 
JPMorgan Chase Commercial Mortgage Securities Corp.         
Ser. 06-CB14, Class A4, 5.481s, 2044      10,000  9,892 
Ser. 05-CB11, Class A4, 5.335s, 2037      15,000  14,718 
LB Commercial Conduit Mortgage Trust 144A Ser. 98-C4,         
Class J, 5.6s, 2035      2,000  1,782 
LB-UBS Commercial Mortgage Trust         
Ser. 05-C7, Class AM, 5.263s, 2040      6,000  5,839 
Ser. 04-C7, Class A6, 4.786s, 2029      10,000  9,526 
LB-UBS Commercial Mortgage Trust 144A         
Ser. 05-C2, Class XCL, IO, 0.133s, 2040      428,704  4,383 
Ser. 06-C1, Class XCL, IO, 0.069s, 2041      345,156  3,789 
Lehman Mortgage Trust IFB Ser. 06-6, Class 1A3, IO,         
1.18s, 2036      48,562  1,995 
Wachovia Bank Commercial Mortgage Trust         
Ser. 06-C23, Class A4, 5.418s, 2045      13,000  12,787 
Ser. 04-C15, Class A4, 4.803s, 2041      10,000  9,509 
Wells Fargo Mortgage Backed Securities Trust Ser.         
05-AR12, Class 2A5, 4.319s, 2035      26,000  25,181 
 
Total collateralized mortgage obligations (cost $297,482)        $294,929 
 
PURCHASED OPTIONS OUTSTANDING (0.5%)(a)         
  Expiration date/    Contract  Value 
  strike price    amount   
Option on an interest rate swap with Lehman Brothers for the right to         
pay a fixed rate swap of 4.148% versus the six month EUR-EURIBOR-         
Telerate maturing October 10, 2016.  Oct-11/4.148  EUR  211,000  $8,097 
Option on an interest rate swap with Lehman Brothers for the right to         
receive a fixed rate swap of 4.148% versus the six month EUR-         
EURIBOR-Telerate maturing October 10, 2016.  Oct-11/4.148  EUR  166,000  1,835 
Option on an interest rate swap with Goldman Sachs, International for         
the right to pay a fixed rate swap of 5.16% versus the three month         
USD-LIBOR-BBA maturing April 28, 2018.  Apr-08/5.16    $952,000  30,713 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for         
the right to pay a fixed rate of 5.215% versus the three month USD-         
LIBOR-BBA maturing on May 14, 2018.  May-08/5.215    318,000  9,615 
Option on an interest rate swap with Goldman Sachs, International for         
the right to receive a fixed rate swap of 5.16% versus the three month         
USD-LIBOR-BBA maturing April 28, 2018.  Apr-08/5.16    952,000  8,488 
Option on an interest rate swap with Citibank, N.A. for the right to pay         
a fixed rate swap of 4.3725% versus the six month EUR-EURIBOR-         
Telerate maturing April 22, 2009.  Apr-09/4.373  EUR  480,000  4,849 
Option on an interest rate swap with Lehman Brothers Special         
Financing, Inc. for the right to pay a fixed rate of 5.20% versus the         
three month USD-LIBOR-BBA maturing on May 14, 2018.  May-08/5.20    $159,000  4,810 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for         
the right to receive a fixed rate of 5.215% versus the three month USD-         
LIBOR-BBA maturing on May 14, 2018.  May-08/5.215    318,000  3,374 
Option on an interest rate swap with Citibank, N.A. for the right to         
receive a fixed rate swap of 4.3725% versus the six month EUR-         
EURIBOR-Telerate maturing April 22, 2009.  Apr-09/4.373  EUR  480,000  1,957 
Option on an interest rate swap with Lehman Brothers Special         
Financing, Inc. for the right to pay a fixed rate of 5.21% versus the         
three month USD-LIBOR-BBA maturing on May 14, 2018.  May-08/5.21    $64,000  1,905 
Option on an interest rate swap with Lehman Brothers International         
(Europe) for the right to receive a fixed rate of 5.20% versus the three         
month USD-LIBOR-BBA maturing on May 14, 2018.  May-08/5.20    159,000  1,587 
Option on an interest rate swap with Goldman Sachs International for         
the right to pay a fixed rate of 4.5943% versus the six month EUR-         
EURIBOR-Telerate maturing on May 14, 2009.  May-09/4.594  EUR  30,000  1,066 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for         
the right to pay a fixed rate of 5.45% versus the three month USD-         
LIBOR-BBA maturing on May 23, 2008.  May-08/5.45    $45,000  885 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for         
the right to receive a fixed rate of 5.45% versus the three month USD-         
LIBOR-BBA maturing on May 23, 2008.  May-08/5.45    45,000  805 
Option on an interest rate swap with Goldman Sachs International for         
the right to receive a fixed rate of 4.5943% versus the six month EUR-         
EURIBOR-Telerate maturing on May 18, 2019.  May-09/4.594  EUR  30,000  659 
Option on an interest rate swap with Lehman Brothers Special         
Financing, Inc. for the right to receive a fixed rate of 5.21% versus the         
three month USD-LIBOR-BBA maturing on May 14, 2018.  May-08/5.21    $64,000  654 
Option on an interest rate swap with Lehman Brothers International         
(Europe) for the right to pay a fixed rate swap of 4.4175% versus the         
six month EUR-EURIBOR-Telerate maturing January 30, 2017.  Jan-12/4.418  EUR  166,000  5,064 

Option on an interest rate swap with Lehman Brothers Special         
Financing, Inc. for the right to receive a fixed rate of 4.4175% versus         
the six month EUR-EURIBOR-Telerate maturing on January 30, 2017.  Jan-12/4.418  EUR  166,000  2,602 
Option on an interest rate swap with Citibank for the right to pay a         
fixed rate of 1.03% versus the six-month JPY-LIBOR-BBA maturing on         
January 26, 2009.  Jan-08/1.03  JPY  74,000,000  1,307 
Total purchased options outstanding (cost $88,950)        $90,272 
 
ASSET-BACKED SECURITIES (0.4%)(a)         
      Principal   
      amount  Value 
Bay View Auto Trust Ser. 05-LJ2, Class D, 5.27s, 2014      $1,000  $987 
Bombardier Capital Mortgage Securitization Corp.         
Ser. 00-A, Class A4, 8.29s, 2030      2,597  1,803 
Ser. 01-A, Class A, 6.805s, 2030      3,901  3,918 
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-HE4,         
Class M11, 7.82s, 2035      5,000  3,189 
Countrywide Home Loans         
Ser. 05-9, Class 1X, IO, 1.852s, 2035      28,092  509 
Ser. 05-2, Class 2X, IO, 1.16s, 2035      15,964  332 
Green Tree Financial Corp.         
Ser. 96-3, Class A5, 7.35s, 2027      3,136  3,230 
Ser. 97-6, Class M1, 7.21s, 2029      21,000  19,667 
Ser. 98-4, Class A7, 6.87s, 2030      2,081  2,055 
Ser. 99-3, Class A7, 6.74s, 2031      11,000  10,877 
Ser. 99-1, Class A5, 6.11s, 2023      1,624  1,624 
Navistar Financial Corp. Owner Trust         
Ser. 05-A, Class C, 4.84s, 2014      623  609 
Ser. 04-B, Class C, 3.93s, 2012      522  507 
Option One Mortgage Loan Trust FRB Ser. 05-4,         
Class M11, 7.82s, 2035      3,000  2,131 
Residential Asset Securities Corp. 144A FRB Ser.         
05-KS10, Class B, 7.82s, 2035      5,000  3,000 
Soundview Home Equity Loan Trust 144A FRB Ser. 05-4,         
Class M10, 7.82s, 2036      3,000  2,070 
Structured Asset Securities Corp.         
Ser. 07-6, Class AI, IO, 5s, 2037      100,000  3,140 
Ser. 07-6, Class IA, IO, 5s, 2037      100,000  3,066 
WFS Financial Owner Trust Ser. 05-1, Class D, 4.09s,         
2012      1,107  1,094 
Total asset-backed securities (cost $66,562)        $63,808 
 
SHORT-TERM INVESTMENTS (31.9%)(a) (cost $5,300,424)         
      Shares  Value 
Putnam Prime Money Market Fund (e)      5,300,424  $5,300,424 
 
 
TOTAL INVESTMENTS         
Total investments (cost $15,531,185)(b)        $16,366,699 

FORWARD CURRENCY CONTRACTS TO BUY at 5/31/07 (aggregate face value $10,677) (Unaudited)

    Aggregate  Delivery  Unrealized 
  Value  face value  date  appreciation 
Mexican Peso  $5,331  $5,206  7/18/07  $125 
Polish Zloty  5,721  5,471    6/20/07  250 
Total        $375 

FORWARD CURRENCY CONTRACTS TO SELL at 5/31/07 (aggregate face value $10,294) (Unaudited)

    Aggregate  Delivery  Unrealized 
  Value  face value  date  (depreciation) 
Euro  $134  $132  6/20/07  $(2) 
Hungarian Forint  10,574  10,162    6/20/07  (412) 
Total        $(414) 

FUTURES CONTRACTS OUTSTANDING at 5/31/07 (Unaudited)

        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Euro-Bobl 5 yr (Short)  1  $143,328  Jun-07  $2,150 
Euro-Bund 10 yr (Long)  4  602,963  Jun-07  (20,257) 
Euro-Schatz 2 yr (Long)  9  1,243,582  Jun-07  (5,014) 
Japanese Government Bond Mini 10 yr (Long)  7  765,456  Jun-07  (6,408) 
Russell 2000 Index Mini (Short)  4  339,519  Jun-07  (26,529) 
S&P 500 Index E-Mini (Long)  4  306,600  Jun-07  25,457 
Sterling Interest Rate 90 day (Long)  3  696,664  Dec-07  (379) 
U.K. Gilt 10 yr (Long)  1  208,836  Sep-07  (537) 
U.S. Treasury Bond 20 yr (Short)  2  218,250    Sep-07  324 
U.S. Treasury Note 2 yr (Long)  5  1,018,984  Sep-07  (1,244) 
U.S. Treasury Note 10 yr (Long)  7  744,625  Sep-07  (1,748) 
Total        $(34,185) 

WRITTEN OPTIONS OUTSTANDING at 5/31/07 (premiums received $21,442) (Unaudited)

  Contract  Expiration date/   
  amount  strike price  Value 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on         
May 14, 2022.  $159,000  May-12/5.51  $6,996 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on       
May 14, 2022.  159,000  May-12/5.51  5,179 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.515% versus the three month       
USD-LIBOR-BBA maturing on May 14, 2022.  79,500  May-12/5.515  3,457 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for  32,000  May-12/5.52  1,043 
the obligation to pay a fixed rate of 5.52% versus the three month       
USD-LIBOR-BBA maturing on May 14, 2022.       
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.515% versus the three month USD-LIBOR-BBA       
maturing on May 14, 2022.  79,500  May-12/5.515  2,581 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.52% versus the three month       
USD-LIBOR-BBA maturing on May 14, 2022.  32,000  May-12/5.52  1,387 
Total      $20,643 

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 5/31/07 (Unaudited)

        Payments  Payments  Unrealized 
Swap counterparty /      Termination  made by  received by  appreciation/ 
Notional amount      date  fund per annum  fund per annum  (depreciation) 
Bank of America, N.A.             
  $50,000    5/31/16  5.58909%  3 month USD-LIBOR-BBA  $(541) 
Citibank, N.A.             
JPY  58,176,000    4/3/08  1.165%  6 month JPY-LIBOR-BBA  (1,773) 
JPY  16,000,000    2/10/16  6 month JPY-LIBOR-BBA  1.755%  (530) 
JPY  5,300,000    9/11/16  1.8675%  6 month JPY-LIBOR-BBA  (23) 
GBP  10,000    8/21/36  4.40%  6 month GBP-LIBOR-BBA  1,993 
Citibank, N.A., London             
EUR  340,000    3/20/08  4.0825%  6 month   
          EUR-EURIBOR-Telerate  1,219 
Credit Suisse International             
CHF  110,000    1/19/22  6 month USD-LIBOR-BBA  2.9975%  (3,944) 
CHF  550,000    1/19/10  6 month USD-LIBOR-BBA  2.6825%  (4,304) 
CHF  450,000    1/19/14  2.815%  6 month USD-LIBOR-BBA  7,976 
Credit Suisse International             
GBP  7,000    4/3/36  17635 GBP at maturity  6 month GBP-LIBOR-BBA  1,823 
CHF  260,000    11/17/11  2.5125%  6 month CHF-LIBOR-BBA  3,005 
CHF  200,000    5/4/09  2.80375%  6 month CHF-LIBOR-BBA  750 
Deutsche Bank AG             
HUF  4,965,000    10/3/11  8.18%  6 month HUF-BUBOR-REUTERS  (2,249) 
Goldman Sachs International             
  $500,000  (E)  3/8/12  3 month USD-LIBOR-BBA  4.99%  (3,155) 
  500,000  (E)  3/10/10  4.779%  3 month USD-LIBOR-BBA  4,330 
JPY  45,800,000    5/10/09  6 month JPY-LIBOR-BBA  1.00%  (809) 
JPY  9,900,000    5/10/17  1.8075%  6 month JPY-LIBOR-BBA  892 
JPMorgan Chase Bank, N.A.             
  $346,000    5/4/08  3 month USD-LIBOR-BBA  5.37%  (256) 
  112,000    5/4/16  5.62375%  3 month USD-LIBOR-BBA  (1,480) 
JPY  30,000,000    6/6/13  1.83%  6 month JPY-LIBOR-BBA  (4,381) 
  $324,000    12/20/16  3 month USD-LIBOR-BBA  5.075%  (5,143) 
  90,000    10/10/13  5.09%  3 month USD-LIBOR-BBA  1,451 
  70,000    10/10/13  5.054%  3 month USD-LIBOR-BBA  1,281 
CAD  75,000    3/1/08  3 month CAD-BA-CDOR  4.215%  (251) 
Lehman Brothers International (Europe)             
  $111,000    10/23/16  5.325%  3 month USD-LIBOR-BBA  1,007 
  277,000    10/23/08  5.255%  3 month USD-LIBOR-BBA  616 
  111,000    10/23/16  3 month USD-LIBOR-BBA  5.3275%  (987) 
  277,000    10/23/08  3 month USD-LIBOR-BBA  5.26%  (598) 
  8,000    8/3/16  5.5675%  3 month USD-LIBOR-BBA  (180) 
  23,000    8/3/11  5.445%  3 month USD-LIBOR-BBA  (396) 
Lehman Brothers Special Financing, Inc.             
JPY  14,000,000    10/21/15  1.61%  6 month JPY-LIBOR-BBA  1,846 
JPY  8,700,000    6/10/16  1.7775%  6 month JPY-LIBOR-BBA  482 
  $15,000    8/3/08  3 month USD-LIBOR-BBA  5.425%  198 
EUR  200,000    11/9/16  3.9555%  6 month   
          EUR-EURIBOR-Telerate  9,287 
Morgan Stanley Capital Services, Inc.             
CHF  170,000  (E)  1/21/11  2.81%  6 month CHF-LIBOR-BBA  1,080 
CHF  170,000  (E)  1/21/11  2.825%  6 month CHF-LIBOR-BBA  1,042 
Total            $9,278 

(E) See Interest rate swap contracts note regarding extended effective dates.

TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 5/31/07 (Unaudited)

      Fixed payments  Total return  Unrealized 
Swap counterparty /    Termination  received (paid) by  received by  appreciation/ 
Notional amount    date  fund per annum  or paid by fund  (depreciation) 
 
Citibank, N.A.           
GBP  10,000  8/21/36  (3.085%)  GBP Non-revised  $(464) 
        UK Retail Price   
        Index excluding   
        tobacco   
 
Credit Suisse International           
GBP  7,000    4/3/36  10608 GBP at  GBP Non-revised  (165) 
      maturity  Retail Price   
        Index   
 
Goldman Sachs International           
GBP  20,000  4/20/37  3.154%  GBP Non-revised  (254) 
        UK Retail Price   
        Index excluding   
        tobacco   
 
EUR  60,000  4/16/17  2.1925%  Eurostat  (519) 
        Eurozone HICP   
        excluding tobacco   
 
EUR  30,000  4/16/37  (2.305%)  Eurostat  597 
        Eurozone HICP   
        excluding tobacco   
 
  $7,000  9/15/11  678 bp (1 month  Ford Credit Auto  34 
      USD-LIBOR-BBA)  Owner Trust   
        Series 2005-B   
        Class D   
 
EUR  160,000  5/16/12  (2.015%)  French Consumer  108 
        Price Index   
        excluding tobacco   
 
EUR  160,000  5/16/12  2.18%  Eurostat  659 
        Eurozone HICP   
        excluding tobacco   
 
Morgan Stanley Capital Services Inc.           
  $452  11/13/07  MSCI US REIT  1 month USD-  (2,791) 
      Index  LIBOR-BBA   
 
EUR  30,000  1/9/37  (2.135%)  Eurostat  484 
        Eurozone HICP   
        excluding tobacco   
 
EUR  110,000  1/9/12  2.1625%  Eurostat  (304) 
        Eurozone HICP   
        excluding tobacco   
 
Total          $(2,615) 

CREDIT DEFAULT CONTRACTS OUTSTANDING at 5/31/07 (Unaudited)

  Upfront        Fixed payments  Unrealized 
Swap counterparty /  premium    Notional  Termination  received (paid) by  appreciation/ 
Referenced debt*  received (paid)**    amount  date  fund per annum  (depreciation) 
 
Citibank, N.A.             
 
DJ CDX NA IG Series 6             
Index  $28    $27,000  6/20/13  (50 bp)  $5 
 
DJ CDX NA IG Series 6             
Index 7-10% tranche  --    27,000  6/20/13  45.75 bp  18 
 
Credit Suisse International             
Dynegy Holdings Inc.,             
6 7/8%, 4/1/11  --    5,000  6/20/17  297 bp  11 
 
Deutsche Bank AG             
DJ CDX NA IG Series 7  --    8,000  12/20/13  (50 bp)  (15) 
 
DJ CDX NA IG Series 7             
Index 7-10% tranche  --    8,000  12/20/13  55 bp  38 
 
DJ CDX NA IG Series 8             
Index 7-10% tranche  --    8,000  6/20/12  22 bp  6 
 
DJ iTraxx Europe Series             
6 Version 1  58  EUR  14,000  12/20/13  (40 bp)  (90) 
 
DJ iTraxx Europe Series             
6 Version 1, 6-9%             
tranche  --  EUR  14,000  12/20/13  43 bp  214 
 
Goldman Sachs International             
DJ CDX NA IG Series 7             
Index  --    $13,000  12/20/13  (50 bp)  (24) 
 
DJ CDX NA IG Series 7             
Index  24    35,000  12/20/13  (50 bp)  (37) 
 
DJ CDX NA IG Series 7             
Index 7-10% tranche  --    13,000  12/20/13  56 bp  70 
 
DJ CDX NA IG Series 7             
Index 7-10% tranche  --    35,000  12/20/13  48 bp  22 
 
Lehman Brothers Special Financing, Inc.             
DJ CDX NA IG Series 7             
Index  8    13,500  12/20/13  (50 bp)  (17) 
 
DJ CDX NA IG Series 7             
Index 7-10% tranche  --    13,500  12/20/13  54.37 bp  60 
 
DJ iTraxx Europe Series             
6 Version 1  57  EUR  17,000  12/20/13  (40 bp)  (123) 
 
DJ iTraxx Europe Series             
6 Version 1, 6-9%             
tranche  --  EUR  17,000  12/20/13  45.25 bp  288 
 
Merrill Lynch International             
Dynegy Holdings Inc.,             
6 7/8%, 4/1/11  --    $5,000  6/20/17  295 bp  3 
 
Morgan Stanley Capital Services, Inc.             
DJ CDX NA IG Series 7             
Index  8    14,000  12/20/13  (50 bp)  (18) 
 
DJ CDX NA IG Series 7             
Index, 7-10% tranche  --    14,000  12/20/13  53 bp  51 
 
DJ CDX NA IG Series 8             
Index  --    4,000  6/20/12  (35 bp)  (4) 
 
Dynegy Holdings Inc.,             
6 7/8%, 4/1/11  --    5,000  6/20/12  225 bp  26 
 
Total            $484 

* Payments related to the reference debt are made upon a credit default event.

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.

NOTES

(a) Percentages indicated are based on net assets of $16,590,390.

(b) The aggregate identified cost on a tax basis is $15,531,738, resulting in gross unrealized appreciation and depreciation of $1,004,094 and $169,133, respectively, or net unrealized appreciation of $834,961.

(NON) Non-income-producing security.

(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.

(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at May 31, 2007 was $12,660 or less than 0.1% of net assets.

(PIK) Income may be received in cash or additional securities at the discretion of the issuer.

(SEG) A portion of these securities were pledged and segregated with the custodian to cover margin requirements for futures contracts at May 31, 2007.

(e) The fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam, LLC. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. Management fees paid by the fund are reduced by an amount equal to the management and administrative fees paid by Putnam Prime Money Market Fund with respect to assets invested by the fund in Putnam Prime Money Market Fund. Income distributions earned by the fund totaled $62,662 for the period ended May 31, 2007. During the period ended May 31, 2007, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated $2,563,165 and $1,314,887, respectively.

(R) Real Estate Investment Trust.

At May 31, 2007, liquid assets totaling $4,260,252 have been designated as collateral for open swap contracts, forward contracts, and futures contracts.

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 rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at May 31, 2007.

The dates shown on debt obligations are the original maturity dates.

Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at May 31, 2007.

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of issue at May 31, 2007: (as a percentage of Portfolio Value)

Australia  0.6% 
Austria  1.5 
France  1.3 
Germany  0.8 
Ireland  1.5 
Italy  0.5 
Japan  1.9 
Netherlands  1.1 
United Kingdom  1.5 
United States  85.8 
Other  3.5 
Total  100.0% 

Security valuation Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued at fair value on the basis of valuations furnished by an independent pricing service or dealers, approved by the Trustees. 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. Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Certain investments, including certain restricted securities, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. 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 at a given point in time and does not reflect an actual market price, which may be different by a material amount.

Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The market value of these securities is highly sensitive to changes in interest rates.

Forward currency contracts The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Futures and options contracts The fund may use futures and options contracts to hedge against changes in the values of securities the fund owns or expects to purchase, or for other investment purposes. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.

The potential risk to the fund is that the change in value of futures and options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, or if the counterparty to the contract is unable to perform. Risks may exceed amounts recognized on the statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Total return swap contracts The fund may enter into total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount. To the extent that the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. Certain total return swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Interest rate swap contracts The fund may enter into interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to manage the fund’s exposure to interest rates. Interest rate swap contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or loss. Certain interest rate swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the fund’s portfolio.

Credit default contracts The fund may enter into credit default contracts where one party, the protection buyer, makes an upfront or periodic payment to a counterparty, the protection seller, in exchange for the right to receive a contingent payment. The maximum amount of the payment may equal the notional amount, at par, of the underlying index or security as a result of a related credit event. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or

in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the fund’s portfolio.

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com

Item 2. Controls and Procedures:

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

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

Item 3. Exhibits:

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

SIGNATURES

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

Putnam Funds Trust
By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: July 26, 2007

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

By (Signature and Title):

/s/ Charles E. Porter
Charles E. Porter
Principal Executive Officer
Date: July 26, 2007

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: July 26, 2007