N-Q 1 a_assetalloc1.htm PUTNAM ASSET ALLOCATION FUNDS 250_NQ2.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- 07121 )

Exact name of registrant as specified in charter: Putnam Asset Allocation Funds

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: September 30, 2005

Date of reporting period: December 31, 2005

Item 1. Schedule of Investments:

Putnam Asset Allocation Funds

The funds' portfolios  Growth    Balanced    Conservative   
12/31/05 (Unaudited)             
 
COMMON STOCKS(a)  Growth 83.1%    Balanced 65.9%    Conservative 34.6% 
  Shares  Value  Shares  Value  Shares  Value 
 
Banking    7.3%    5.1%    2.7% 
 
ABN AMRO Holdings NV (Netherlands)  16,556  $431,333  --  $--  --  $-- 
Allied Irish Banks PLC (Ireland)  57,320  1,220,238  59,208  1,260,430  15,730  334,863 
Anchor BanCorp Wisconsin, Inc.  13,400  406,556  14,500  439,930  --  -- 
Anglo Irish Bank Corp. PLC (Ireland)  67,499  1,020,579  --  --  --  -- 
Australia & New Zealand Banking Group, Ltd. (Australia)  76,054  1,335,701  78,311  1,375,340  20,923  367,461 
Banco Itau Finaceira SA (Preference) (Brazil)  27,870  672,271  --  --  --  -- 
Bank Hapoalim, Ltd. (Israel)  148,275  689,231  --  --  --  -- 
Bank of America Corp. (SEG)  141,556  6,532,809  157,594  7,272,963  51,700  2,385,955 
Bank of Fukuoka, Ltd. (The) (Japan)  177,000  1,513,372  183,000  1,564,672  48,000  410,406 
Bank of Ireland (Ireland)  22,663  355,492  25,450  399,209  6,050  94,900 
BankAtlantic Bancorp, Inc. Class A  23,200  324,800  25,100  351,400  --  -- 
Barclays PLC (United Kingdom)  437,694  4,590,454  424,175  4,448,669  114,027  1,195,894 
 
Bayerische Hypo-Und Vereinsbank AG (Germany) (NON) (SB)  18,400  555,545  18,600  561,583  5,100  153,982 
BNP Paribas SA (France)  54,769  4,415,038  54,940  4,428,823  14,658  1,181,611 
Chiba Bank, Ltd. (The) (Japan)  143,000  1,198,432  148,000  1,240,336  40,000  335,226 
Chinatrust Financial Holding Co. (Taiwan)  1,273,082  1,007,983  --  --  --  -- 
City Holding Co.  20,700  744,165  22,400  805,280  --  -- 
Colonial Bancgroup, Inc.  45,270  1,078,331  49,730  1,184,569  9,500  226,290 
Comerica, Inc.  35,390  2,008,736  38,900  2,207,964  13,100  743,556 
Commerzbank AG (Germany)  44,800  1,385,389  45,100  1,394,666  11,900  367,994 
Corus Bankshares, Inc.  39,500  2,222,665  43,700  2,458,999  11,100  624,597 
Credit Agricole SA (France)  6,907  216,768  --  --  --  -- 
Daegu Bank (South Korea)  76,780  1,163,103  --  --  --  -- 
DBS Group Holdings, Ltd. (Singapore)  314,000  3,116,391  317,000  3,146,165  84,000  833,684 
Depfa Bank PLC (Ireland)  81,960  1,211,195  68,263  1,008,783  18,067  266,992 
DnB Holdings ASA (Norway)  26,235  279,067  --  --  --  -- 
First Bancorp Puerto Rico (Puerto Rico)  87,700  1,088,357  97,300  1,207,493  32,000  397,120 
First Financial Bankshares, Inc.  10,500  368,130  11,300  396,178  --  -- 
FirstFed Financial Corp. (NON)  30,720  1,674,854  33,900  1,848,228  6,100  332,572 
FirstRand, Ltd. (South Africa)  302,351  880,217  --  --  --  -- 
Flagstar Bancorp, Inc.  51,500  741,600  57,000  820,800  18,800  270,720 
Hanmi Financial Corp.  38,700  691,182  42,900  766,194  14,100  251,826 
HBOS PLC (United Kingdom)  226,602  3,862,396  228,583  3,896,162  60,499  1,031,196 
HSBC Holdings PLC (United Kingdom)  33,443  535,588  --  --  --  -- 
Independent Bank Corp.  9,600  261,408  10,600  288,638  3,500  95,305 
Industrial Bank Of Korea (South Korea)  74,970  1,302,697  --  --  --  -- 
Julius Baer Holding, Ltd. Class B (Switzerland)  2,403  169,793  --  --  --  -- 
KBC Groupe SA (Belgium)  39,446  3,659,003  34,631  3,212,365  9,240  857,101 
KeyCorp (SB) (SC)  54,680  1,800,612  61,300  2,018,609  20,198  665,120 
Kookmin Bank (South Korea)  41,995  3,180,809  --  --  --  -- 
Krung Thai Bank Public Co., Ltd. (Thailand)  3,712,378  988,154  --  --  --  -- 
Mitsubishi UFJ Financial Group, Inc. (Japan)  222  3,003,135  230  3,118,380  61  827,049 
Mitsui Trust Holdings, Inc. (Japan)  13,000  155,987  --  --  --  -- 
Mizuho Financial Group, Inc. (Japan)  467  3,704,025  343  2,720,515  94  745,564 
Nara Bancorp, Inc.  35,240  626,567  40,000  711,200  13,000  231,140 
Nordea AB (Sweden)  328,526  3,406,533  309,500  3,209,249  83,050  861,157 
PFF Bancorp, Inc.  11,800  360,136  12,800  390,656  --  -- 
Public Bank Berhad (Malaysia)  407,546  706,384  --  --  --  -- 
Public Bank Berhad (Malaysia)  191,100  323,641  --  --  --  -- 
R&G Financial Corp. Class B (Puerto Rico)  19,800  261,360  21,430  282,876  --  -- 
Republic Bancorp, Inc.  43,830  521,577  47,370  563,703  --  -- 
Republic Bancorp, Inc. Class A  8,110  173,960  8,780  188,331  --  -- 
Societe Generale (France)  18,989  2,326,906  19,155  2,347,247  5,070  621,276 
Southwest Bancorp, Inc.  10,600  212,000  10,600  212,000  --  -- 
Standard Bank Investment Corp., Ltd. (South Africa)  63,381  758,172  --  --  --  -- 
Sumitomo Mitsui Financial Group, Inc. (Japan)  129  1,366,410  130  1,377,002  35  370,731 
Taylor Capital Group, Inc.  11,860  479,144  12,780  516,312  --  -- 
Turkiye Is Bankasi Class C (Turkey)  89,787  778,731  --  --  --  -- 
U.S. Bancorp  76,187  2,277,229  85,854  2,566,176  27,800  830,942 
Unibanco-Uniao de Bancos Brasileiros SA GDR (Brazil)  29,548  1,878,366  --  --  --  -- 
UniCredito Italiano SpA (Italy)  31,698  217,205  --  --  --  -- 
UnionBanCal Corp.  66,100  4,542,392  74,185  5,097,993  24,500  1,683,640 
W Holding Co., Inc. (Puerto Rico)  122,800  1,010,644  136,500  1,123,395  44,800  368,704 
Wachovia Corp.  37,500  1,982,250  41,400  2,188,404  13,600  718,896 
Wells Fargo & Co.  65,680  4,126,674  73,726  4,632,205  24,600  1,545,618 
West Coast Bancorp  12,100  320,045  13,200  349,140  --  -- 
Westcorp  56,020  3,731,492  61,400  4,089,854  14,900  992,489 
Westpac Banking Corp. (Australia)  227,471  3,794,802  203,617  3,396,856  54,328  906,331 
Zions Bancorp.  18,700  1,412,972  20,700  1,564,092  6,800  513,808 
 
    105,359,183    90,650,034    24,641,716 
Basic Materials    5.3%    3.4%    1.9% 
 
AK Steel Holding Corp. (NON)  58,200  462,690  61,200  486,540  --  -- 
Akzo-Nobel NV (Netherlands)  7,358  339,745  --  --  --  -- 
Albany International Corp.  12,040  435,366  12,700  459,232  4,600  166,336 
Aluminum Corp. of China, Ltd. (China)  1,220,000  928,379  --  --  --  -- 
Antofagasta PLC (United Kingdom)  27,522  882,944  --  --  --  -- 
Arcelor (Luxembourg)  131,539  3,250,122  131,947  3,260,203  35,206  869,885 
BASF AG (Germany)  29,120  2,223,095  22,000  1,679,536  5,800  442,787 
BlueScope Steel, Ltd. (Australia)  25,257  129,091  28,355  144,925  6,743  34,464 
Brady Corp. Class A  28,800  1,041,984  32,200  1,164,996  10,500  379,890 
Carpenter Technology Corp.  22,500  1,585,575  24,600  1,733,562  3,800  267,786 
Cemex SA de CV ADR (Mexico)  30,052  1,782,985  --  --  --  -- 
CF Industries Holdings, Inc.  91,700  1,398,425  102,000  1,555,500  33,500  510,875 
 
China Oriental Group Company Ltd. 144A (Hong Kong) (NON)  52,000  12,609  --  --  --  -- 
Clariant AG (Switzerland) (NON)  82,231  1,207,627  82,950  1,218,186  21,954  322,412 
Commercial Metals Co.  39,400  1,479,076  43,100  1,617,974  14,200  533,068 
Companhia Vale do Rio Doce (CVRD) ADR (Brazil)  32,996  1,357,455  --  --  --  -- 
Companhia Vale do Rio Doce (CVRD) (Preference A) ADR             
(Brazil)  33,700  1,221,625  --  --  --  -- 
 
Daewoo Engineering & Construction Co., Ltd. (South Korea)  95,260  1,263,846  --  --  --  -- 
Dow Chemical Co. (The)  98,700  4,325,034  108,300  4,745,706  36,200  1,586,284 
Empresas ICA SA de CV (Mexico) (NON)  269,454  653,917  --  --  --  -- 
Empresas ICA SA de CV 144A (Mexico) (NON)  77,848  188,923  --  --  --  -- 
Fletcher Building, Ltd. (New Zealand)  346,226  1,779,615  349,251  1,795,164  92,436  475,125 
Gold Fields, Ltd. ADR (South Africa)  72,700  1,281,701  --  --  --  -- 
Grief, Inc. Class A  21,000  1,391,880  22,900  1,517,812  4,000  265,120 
Grupo Mexico SA (Mexico)  793,428  1,850,161  --  --  --  -- 
H.B. Fuller Co.  50,400  1,616,328  55,700  1,786,299  13,800  442,566 
Impala Platinum Holdings, Ltd. (South Africa)  8,074  1,187,372  --  --  --  -- 
Imperial Chemical Industries PLC (United Kingdom)  54,529  310,749  57,376  326,973  14,163  80,712 
Israel Chemicals, Ltd. (Israel)  152,318  601,722  --  --  --  -- 
Italcementi SpA (Italy)  21,250  395,232  25,250  469,628  6,000  111,595 
Italian-Thai Development PLC (Thailand)  2,444,200  492,421  --  --  --  -- 
Jaiprakash Associates, Ltd. (India)  60,559  523,230  --  --  --  -- 
James Hardie Industries NV (Netherlands)  55,849  368,587  62,700  413,801  14,911  98,408 
JFE Holdings, Inc. (Japan)  17,300  580,527  18,700  627,506  4,900  164,427 
Kobe Steel, Ltd. (Japan)  778,000  2,518,397  780,000  2,524,871  213,000  689,484 
Koninklijke DSM NV (Netherlands)  22,394  911,196  23,131  941,184  6,146  250,076 
Linde AG (Germany)  7,200  558,583  7,700  597,373  2,000  155,162 
Louisiana-Pacific Corp.  46,500  1,277,355  51,239  1,407,535  11,854  325,629 
MacDermid, Inc.  8,900  248,310  9,700  270,630  --  -- 
MeadWestvaco Corp.  33,700  944,611  37,000  1,037,110  12,400  347,572 
Monsanto Co.  20,700  1,604,871  23,000  1,783,190  7,600  589,228 
Neenah Paper, Inc.  1  28  --  --  --  -- 
NOK Corp. (Japan)  18,000  488,094  19,000  515,211  5,000  135,582 
Novolipetsk Steel GDR 144A (Russia) (NON)  42,677  610,281  --  --  --  -- 
NS Group, Inc. (NON)  44,800  1,873,088  49,700  2,077,957  12,000  501,720 
Nucor Corp.  33,600  2,241,792  37,000  2,468,640  12,400  827,328 
Phelps Dodge Corp.  23,650  3,402,526  26,100  3,755,007  8,700  1,251,669 
Pioneer Cos., Inc. (NON)  3,140  94,106  3,400  101,898  1,100  32,967 
POSCO (South Korea)  7,114  1,422,800  --  --  --  -- 
PPG Industries, Inc.  34,340  1,988,286  37,750  2,185,725  12,700  735,330 
Quanex Corp.  11,500  574,655  13,100  654,607  4,400  219,868 
Rautaruukki OYJ (Finland)  37,000  896,757  38,500  933,112  10,000  242,367 
Rayonier, Inc. (R)  38,525  1,535,221  44,550  1,775,318  14,500  577,825 
Rinker Group, Ltd. (Australia)  120,736  1,456,412  105,339  1,270,682  27,986  337,589 
Rio Tinto, Ltd. (Australia)  3,619  183,113  --  --  --  -- 
Shin-Etsu Chemical Co. (Japan)  39,200  2,082,739  40,500  2,151,809  10,800  573,816 
Silgan Holdings, Inc.  38,000  1,372,560  41,400  1,495,368  --  -- 
Southern Copper Corp.  20,643  1,382,668  22,900  1,533,842  7,500  502,350 
Steel Dynamics, Inc.  6,600  234,366  8,000  284,080  --  -- 
Sterling Chemicals, Inc. (NON)  125  1,438  --  --  34  391 
Sun Hydraulics Corp. (SG) (SB) (SC)  29,300  566,369  32,200  622,426  10,900  210,697 

Sungshin Cement Co., Ltd. (South Korea)  37,550  752,859  --  --  --  -- 
Teck Corp. (Canada)  10,200  541,921  --  --  --  -- 
Terra Industries, Inc. (NON)  107,090  599,704  117,600  658,560  39,500  221,200 
Toray Industries, Inc. (Japan)  27,000  220,100  --  --  --  -- 
UAP Holding Corp.  27,500  561,550  30,200  616,684  9,900  202,158 
Usinas Siderurgicas de Minas Gerais SA (Usiminas)             
(Preference) (Brazil)  67,300  1,603,205  --  --  --  -- 
Vinci SA (France)  20,950  1,795,067  20,941  1,794,296  5,606  480,341 
Voest-Alpine AG (Austria)  16,521  1,659,136  16,665  1,673,598  4,411  442,979 
WHX Corp. (NON)  14,371  145,866  --  --  5,946  60,352 
Xstrata PLC (Switzerland)  9,413  219,741  --  --  --  -- 
 
    77,119,809    60,134,256    16,665,420 
Capital Goods    5.1%    4.2%    2.0% 
 
ABB, Ltd. (Switzerland) (NON)  43,797  423,810  52,170  504,833  12,407  120,059 
Actividades de Construccion y Servicios SA (Spain)  50,961  1,635,414  52,639  1,689,263  13,985  448,799 
Andritz AG (Austria)  12,035  1,317,920  12,140  1,329,419  3,213  351,847 
Applied Industrial Technologies, Inc.  47,760  1,609,034  51,950  1,750,196  6,400  215,616 
Autogrill SpA (Italy)  80,500  1,098,475  83,150  1,134,636  22,100  301,569 
Autoliv, Inc. (Sweden)  23,700  1,076,454  26,100  1,185,462  8,700  395,154 
BAE Systems PLC (United Kingdom)  126,405  828,299  136,048  891,487  35,807  234,634 
Balfour Beatty PLC (United Kingdom)  38,586  235,789  43,319  264,711  10,302  62,953 
Barloworld, Ltd. (South Africa)  120,600  2,103,340  --  --  --  -- 
Blount International, Inc. (NON)  15,400  245,322  18,700  297,891  --  -- 
Boeing Co. (The)  58,750  4,126,600  64,900  4,558,576  21,400  1,503,136 
Bouygues SA (France)  22,312  1,086,800  23,047  1,122,601  6,123  298,247 
Canon, Inc. (Japan)  41,100  2,403,101  41,300  2,414,795  11,000  643,166 
Clean Harbors, Inc. (NON)  46,000  1,325,260  50,400  1,452,024  10,400  299,624 
Commercial Vehicle Group, Inc. (NON)  10,900  204,702  10,700  200,946  --  -- 
Cookson Group PLC (United Kingdom) (NON)  281,217  2,051,513  283,674  2,069,437  75,080  547,718 
Cummins, Inc.  35,030  3,143,242  38,590  3,462,681  12,800  1,148,544 
Daito Trust Construction Co., Ltd. (Japan)  27,700  1,431,828  11,400  589,272  3,000  155,072 
DRS Technologies, Inc.  10,300  529,626  11,300  581,046  --  -- 
Eagle Materials, Inc. (SG) (SB)  10,400  1,272,544  11,300  1,382,668  --  -- 
Eaton Corp.  24,800  1,663,832  28,100  1,885,229  9,100  610,519 
Emerson Electric Co.  33,790  2,524,113  38,000  2,838,600  12,400  926,280 
EnPro Industries, Inc. (NON)  43,490  1,172,056  49,300  1,328,635  16,000  431,200 
European Aeronautic Defense and Space Co. (Netherlands)  39,239  1,476,283  22,761  856,334  6,219  233,977 
Flowserve Corp. (NON)  11,500  454,940  12,400  490,544  --  -- 
Franklin Electric Co., Inc.  10,400  411,216  11,400  450,756  --  -- 
Fujikura, Ltd. (Japan)  37,000  299,737  41,000  332,141  10,000  81,010 
Global Imaging Systems, Inc. (NON) (SB)  10,500  363,615  11,500  398,245  --  -- 
Heico Corp. (SG) (SB)  14,700  380,436  15,900  411,492  --  -- 
Hyundai Mobis (South Korea)  12,640  1,156,372  --  --  --  -- 
IMI PLC (United Kingdom)  80,677  696,565  86,832  749,707  22,854  197,321 
Innovative Solutions & Support, Inc. (NON)  21,475  274,451  25,300  323,334  3,300  42,174 
Kaman Corp.  50,100  986,469  55,400  1,090,826  13,553  266,859 
Kone OYJ Class B (Finland) (NON)  6,500  257,044  --  --  --  -- 
Leighton Holdings, Ltd. (Australia)  64,738  848,806  69,677  913,563  18,339  240,450 
Lockheed Martin Corp.  28,100  1,788,003  30,800  1,959,804  10,400  661,752 
LSI Industries, Inc.  40,400  632,664  44,331  694,223  9,500  148,770 
Makita Corp. (Japan)  3,900  95,839  --  --  --  -- 
MAN AG (Germany)  13,500  717,759  14,500  770,927  3,800  202,036 
Moog, Inc. (NON)  26,500  752,070  28,850  818,763  --  -- 
Mueller Industries, Inc.  71,630  1,964,095  80,000  2,193,600  21,600  592,272 
Murray & Roberts Holdings, Ltd. (South Africa)  3  9  --  --  --  -- 
NACCO Industries, Inc. Class A  2,250  263,588  2,280  267,102  --  -- 
Nordson Corp.  30,500  1,235,555  34,500  1,397,595  11,100  449,661 
Oce NV (Netherlands)  41,782  600,695  44,969  646,514  11,836  170,165 
Perini Corp. (NON)  35,500  857,325  38,600  932,190  --  -- 
Precision Castparts Corp.  49,700  2,574,957  55,300  2,865,093  18,100  937,761 
Punj Lloyd, Ltd. 144A (India) (NON)  756  11,781  --  --  --  -- 
Rieter Holding AG (Switzerland)  3,730  1,104,053  3,854  1,140,756  1,024  303,097 
Rockwell Automation, Inc.  57,120  3,379,219  63,100  3,732,996  20,800  1,230,528 
Rofin-Sinar Technologies, Inc. (NON)  11,800  512,946  12,900  560,763  --  -- 
Schindler Holding AG (Switzerland)  1,296  512,459  1,307  516,809  357  141,163 
Siemens AG (Germany)  15  1,280  --  --  24  2,048 
Skanska AB Class B (Sweden)  79,200  1,204,479  81,800  1,244,020  21,800  331,536 
SKF AB Class B (Sweden)  31,040  434,996  --  --  --  -- 
SMC Corp. (Japan)  2,300  328,404  --  --  --  -- 
Standard Register Co. (The)  12,500  197,625  12,200  192,882  --  -- 
Teledyne Technologies, Inc. (NON)  22,600  657,660  24,700  718,770  --  -- 
Terex Corp. (NON)  67,140  3,988,116  74,117  4,402,550  21,200  1,259,280 
Thomas & Betts Corp. (NON)  32,300  1,355,308  35,700  1,497,972  11,700  490,932 
ThyssenKrupp AG (Germany)  1  21  --  --  --  -- 
Timken Co.  17,800  569,956  19,800  633,996  6,500  208,130 
Tomkins PLC (United Kingdom)  137,292  706,396  147,767  760,292  38,892  200,107 
United Industrial Corp.  25,660  1,061,554  32,200  1,332,114  9,400  388,878 
URS Corp. (NON)  12,400  466,364  13,400  503,974  --  -- 
USEC, Inc.  89,800  1,073,110  100,900  1,205,755  33,200  396,740 
Valmont Industries, Inc.  12,700  424,942  13,800  461,748  4,600  153,916 
Wartsila OYJ Class B (Finland)  22,800  672,258  24,600  725,331  6,500  191,653 
Waste Connections, Inc. (NON)  11,900  410,074  13,000  447,980  --  -- 
WESCO International, Inc. (NON)  36,990  1,580,583  40,800  1,743,384  5,500  235,015 
Wolseley PLC (United Kingdom)  7,612  160,058  --  --  --  -- 
Woodward Governor Co.  5,600  481,656  6,000  516,060  --  -- 
 
    73,892,865    73,835,313    18,451,368 
Communication Services    3.3%    2.2%    1.1% 
 
America Movil SA de CV ADR Ser. L (Mexico)  28,290  827,765  --  --  --  -- 
AT&T, Inc.  139,321  3,411,971  157,532  3,857,959  52,037  1,274,386 
Axtel SA de CV (Mexico) (NON)  122,300  313,820  --  --  --  -- 
Axtel SA de CV 144A (Mexico) (NON)  196,500  504,216  --  --  --  -- 
Belgacom SA (Belgium)  16,588  538,985  16,733  543,697  4,571  148,523 
BellSouth Corp.  68,610  1,859,331  77,664  2,104,694  25,200  682,920 
Brasil Telecom Paricipacoes SA ADR (Brazil)  13,800  515,430  --  --  --  -- 
Brightpoint, Inc. (NON)  17,350  481,116  18,700  518,551  --  -- 
Centennial Communications Corp.  28,300  439,216  31,000  481,120  --  -- 
CenturyTel, Inc.  36,300  1,203,708  40,900  1,356,244  13,400  444,344 
China Mobile (Hong Kong), Ltd. (Hong Kong)  424,500  2,009,357  --  --  --  -- 
China Netcom Group Corp. (Hong Kong), Ltd. (Hong Kong)  808,500  1,308,691  --  --  --  -- 
Commonwealth Telephone Enterprises, Inc.  42,700  1,441,979  46,700  1,577,059  5,500  185,735 
Deutsche Telekom AG (Germany)  10,900  180,748  11,600  192,355  3,100  51,405 
Deutsche Telekom AG ADR (Germany) (SG) (SB)  48,766  810,979  50,432  838,684  13,464  223,906 
Digi.com Berhad (Malaysia) (NON)  166,000  342,630  --  --  --  -- 
Earthlink, Inc. (NON)  97,576  1,084,069  106,034  1,178,038  --  -- 
Eircom Group PLC (Ireland)  125,867  293,926  141,308  329,984  33,605  78,475 
Far EasTone Telecommunications Co., Ltd. (Taiwan)  482,000  545,292  --  --  --  -- 
France Telecom SA (France)  38,736  958,933  39,074  967,301  10,342  256,022 
Golden Telecom, Inc. (Russia)  11,200  290,752  12,200  316,712  4,100  106,436 
iPCS, Inc. (NON)  185  8,926  --  --  95  4,584 
Koninklijke (Royal) KPN NV (Netherlands)  169,821  1,696,430  128,863  1,287,279  33,984  339,484 
Koninklijke (Royal) KPN NV 144A (Netherlands)  15,796  157,794  --  --  --  -- 
KT Corp. ADR (South Korea)  27,400  590,470  --  --  --  -- 
Liberty Global, Inc. Class A (NON)  46,900  1,055,250  52,200  1,174,500  17,100  384,750 
Maroc Telecom (Morocco)  13,268  140,522  --  --  --  -- 
Mobile Telesystems ADR (Russia)  50,650  1,772,750  --  --  --  -- 
Mobistar SA (Belgium)  6,764  534,490  7,280  575,264  1,916  151,402 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  134  608,626  144  654,046  38  172,596 
NTL, Inc. (NON)  10,000  680,800  11,400  776,112  3,769  256,594 
NTT DoCoMo, Inc. (Japan)  641  977,714  564  860,266  154  234,895 
Partner Communications Co., Ltd. (Israel)  105,995  892,529  --  --  --  -- 
Premiere Global Services, Inc. (NON)  187,110  1,521,204  205,000  1,666,650  41,100  334,143 
PT Telekomunikasi (Indonesia)  1,305,000  783,266  --  --  --  -- 
Shenandoah Telecom Co.  6,300  250,992  6,800  270,912  --  -- 
Sprint Nextel Corp.  135,480  3,164,813  152,920  3,572,211  49,500  1,156,320 
Swisscom AG (Switzerland)  --  --  --  --  2  630 
Talk America Holdings, Inc. (NON)  53,900  465,157  58,200  502,266  --  -- 
Telecom Italia SpA (Italy)  166  482  --  --  --  -- 
TelecomAsia Corporation Public Co., Ltd. (Thailand) (NON)  3,455,400  843,810  --  --  --  -- 
Telefonica SA (Spain)  61,544  922,555  63,572  952,955  16,889  253,169 
Telekom Austria AG (Austria)  13,180  295,345  14,797  331,580  3,519  78,856 
Ubiquitel, Inc. (NON)  72,400  716,036  79,500  786,255  26,700  264,063 
Verizon Communications, Inc.  168,076  5,062,449  189,653  5,712,348  62,500  1,882,500 
Vodafone Group PLC (United Kingdom)  2,490,964  5,366,053  2,308,617  4,973,240  615,589  1,326,106 
 
    47,871,377    38,358,282    10,292,244 
Communications Equipment    1.3%    1.1%    0.5% 
 
Cisco Systems, Inc. (NON) (SEG)  340,490  5,829,189  384,276  6,578,805  125,400  2,146,848 
CommScope, Inc. (NON)  19,800  398,574  21,400  430,782  --  -- 
Comtech Telecommunications Corp. (NON)  48,650  1,485,771  53,050  1,620,147  7,000  213,780 
Enterasys Networks, Inc. (NON)  9  120  34  452  --  -- 

F5 Networks, Inc. (NON)  9,300  531,867  10,200  583,338  --  -- 
Harris Corp.  21,800  937,618  23,900  1,027,939  --  -- 
Nice Systems, Ltd. ADR (Israel) (NON)  15,300  736,848  16,800  809,088  --  -- 
Nokia OYJ (Finland)  226,210  4,121,938  226,864  4,133,855  60,512  1,102,633 
Qualcomm, Inc.  70,370  3,031,540  79,000  3,403,320  26,100  1,124,388 
Telefonaktiebolaget LM Ericsson AB Class B (Sweden)  358,078  1,228,653  255,027  875,060  69,939  239,978 
 
    18,302,118    19,462,786    4,827,627 
Components    --%    --%    --% 
 
Coherent, Inc. (NON)  10,300  305,704  11,100  329,448  --  -- 
Computers    2.5%    2.1%    1.1% 
 
Anixter International, Inc.  11,900  465,528  13,000  508,560  --  -- 
Apple Computer, Inc. (NON)  82,500  5,930,925  91,800  6,599,502  30,200  2,171,078 
Brocade Communications Systems, Inc. (NON)  282,500  1,149,775  314,800  1,281,236  74,600  303,622 
Dell, Inc. (NON)  128,600  3,856,714  142,000  4,258,580  46,800  1,403,532 
Emulex Corp. (NON)  80,100  1,585,179  87,400  1,729,646  12,000  237,480 
Fujitsu, Ltd. (Japan)  144,000  1,095,772  99,000  753,343  27,000  205,457 
Hewlett-Packard Co.  93,700  2,682,631  103,000  2,948,890  34,400  984,872 
IBM Corp.  63,340  5,206,548  71,200  5,852,640  23,600  1,939,920 
Intergraph Corp. (NON)  73,900  3,680,959  81,600  4,064,496  18,800  936,428 
Intervideo, Inc. (NON)  31,800  335,490  34,400  362,920  --  -- 
j2 Global Communications, Inc. (NON) (SG)  48,600  2,077,164  53,200  2,273,768  13,600  581,264 
King Slide Works Co., Ltd. (Taiwan)  100,800  604,714  --  --  --  -- 
Lite-On Technology Corp. (Taiwan)  963,840  1,313,473  --  --  --  -- 
Logitech International SA (Switzerland) (NON)  4,735  221,908  --  --  --  -- 
Mitsubishi Electric Corp. (Japan)  111,000  785,400  119,000  842,005  31,000  219,346 
NCR Corp. (NON)  21,600  733,104  24,400  828,136  8,073  273,998 
NEC Corp. (Japan)  44,000  273,672  46,000  286,111  11,000  68,418 
NET One Systems Co., Ltd. (Japan)  307  741,420  310  748,665  85  205,279 
Netgear, Inc. (NON)  44,700  860,475  48,700  937,475  --  -- 
Palm, Inc. (NON)  6,400  203,520  6,400  203,520  --  -- 
PAR Technology Corp. (NON)  8,900  247,064  9,800  272,048  3,356  93,163 
RadiSys Corp. (NON)  35,320  612,449  39,200  679,728  13,000  225,420 
Western Digital Corp. (NON)  45,716  850,775  50,058  931,579  --  -- 
Wistron Corp. (Taiwan) (NON)  560,000  711,127  --  --  --  -- 
 
    36,225,786    36,362,848    9,849,277 
Conglomerates    1.8%    1.5%    0.8% 
 
3M Co.  45,920  3,558,800  51,610  3,999,775  16,700  1,294,250 
AFK Sistema GDR (Russia)  43,591  1,024,389  --  --  --  -- 
AMETEK, Inc.  8,700  370,098  9,500  404,130  --  -- 
Ansell, Ltd. (Australia)  107,975  874,918  108,919  882,567  29,757  241,120 
General Electric Co. (SEG)  189,880  6,655,294  210,015  7,361,026  68,900  2,414,945 
GKN PLC (United Kingdom)  37,028  183,049  --  --  --  -- 
Harsco Corp.  23,100  1,559,481  25,300  1,708,003  8,400  567,084 
Itochu Corp. (Japan)  279,000  2,326,379  281,000  2,343,056  75,000  625,371 
Marubeni Corp. (Japan)  155,000  831,413  166,000  890,416  44,000  236,014 
Mitsui & Co., Ltd. (Japan)  263,000  3,376,366  248,000  3,183,798  66,000  847,301 
PRA International (NON)  14,500  408,175  15,900  447,585  --  -- 
Swire Pacific, Ltd. (Hong Kong)  253,000  2,271,136  254,000  2,280,113  67,500  605,936 
Vivendi Universal SA (France)  90,228  2,815,738  70,969  2,214,724  18,936  590,934 
 
    26,255,236    25,715,193    7,422,955 
Consumer Cyclicals    9.3%    7.5%    3.5% 
 
4Kids Entertainment, Inc. (NON)  22,108  346,875  25,400  398,526  8,400  131,796 
Adidas-Salomon AG (Germany)  2,337  441,938  2,800  529,494  700  132,374 
Administaff, Inc.  15,100  634,955  16,500  693,825  --  -- 
Aegis Group PLC (United Kingdom)  342,071  716,341  345,060  722,601  94,272  197,418 
Aftermarket Technology Corp. (NON)  15,400  299,376  16,900  328,536  5,600  108,864 
Aisin Seiki Co., Ltd. (Japan)  35,000  1,284,213  36,100  1,324,574  9,600  352,241 
American Axle & Manufacturing Holdings, Inc.  8,000  146,640  7,800  142,974  --  -- 
American Eagle Outfitters, Inc.  95,760  2,200,565  108,340  2,489,653  35,300  811,194 
Ameristar Casinos, Inc.  89,620  2,034,374  100,286  2,276,492  22,300  506,210 
AMTEL Vredestein NV GDR (Russia) (NON)  41,178  446,781  --  --  --  -- 
Antena 3 de Television SA (Spain)  --  --  --  --  156  3,705 
aQuantive, Inc. (NON) (SB)  15,100  381,124  16,400  413,936  --  -- 
Assa Abloy AB Class B (Sweden)  600  9,426  --  --  200  3,142 
Autobacs Seven Co., Ltd. (Japan)  11,600  608,457  12,500  655,665  3,300  173,096 
Barnes & Noble, Inc.  51,000  2,176,170  55,700  2,376,719  18,500  789,395 
Bebe Stores, Inc.  57,550  807,427  63,350  888,801  21,350  299,541 
Berkely Group Holdings PLC (United Kingdom) (NON)  98,973  1,887,446  99,280  1,893,301  26,361  502,713 
BJ's Wholesale Club, Inc. (NON)  31,000  916,360  34,200  1,010,952  5,000  147,800 
Black & Decker Manufacturing Co.  7,100  617,416  7,800  678,288  2,600  226,096 
Bluegreen Corp. (NON)  48,000  758,400  54,300  857,940  17,700  279,660 
Bon-Ton Stores, Inc. (The)  14,478  276,964  15,600  298,428  5,345  102,250 
Borders Group, Inc.  11,100  240,537  10,900  236,203  --  -- 
BPB PLC (United Kingdom)  30,663  406,590  36,525  484,320  8,686  115,176 
British Sky Broadcasting PLC (United Kingdom)  109,462  932,881  113,069  963,622  30,039  256,005 
Buckle, Inc. (The)  23,050  743,132  25,000  806,000  --  -- 
Building Material Holding Corp. (SG) (SB)  7,000  477,470  7,800  532,038  2,600  177,346 
Burberry Group PLC (United Kingdom)  23,166  170,888  23,929  176,516  6,357  46,893 
Casey's General Stores, Inc.  67,260  1,668,048  74,700  1,852,560  24,600  610,080 
Catalina Marketing Corp.  17,100  433,485  18,500  468,975  --  -- 
Cato Corp. (The) Class A  24,350  522,308  26,300  564,135  --  -- 
Charming Shoppes (NON)  42,800  564,960  46,300  611,160  --  -- 
Chico's FAS, Inc. (NON)  57,300  2,517,189  64,100  2,815,913  21,100  926,923 
Choice Hotels International, Inc.  27,500  1,148,400  29,900  1,248,624  --  -- 
Ciments Francais Class A (France)  1,919  248,507  --  --  --  -- 
Citadel Broadcasting Corp.  43,700  587,328  48,600  653,184  16,000  215,040 
Claire's Stores, Inc.  29,300  856,146  31,900  932,118  --  -- 
CNS, Inc.  54,455  1,193,109  60,300  1,321,173  15,557  340,854 
Consolidated Graphics, Inc. (NON)  6,200  293,508  6,700  317,178  --  -- 
Continental AG (Germany)  16,700  1,475,229  17,200  1,519,397  4,600  406,350 
CRH PLC (Ireland)  19,316  566,115  --  --  --  -- 
Daily Mail and General Trust Class A (United Kingdom)  71,687  969,640  72,313  978,107  19,139  258,875 
Davis Service Group PLC (United Kingdom)  82,649  687,346  85,373  710,000  23,412  194,705 
Dex Media, Inc.  89,350  2,420,492  100,100  2,711,709  32,800  888,552 
Dillards, Inc. Class A  24,300  603,126  26,300  652,766  --  -- 
Dogan Yayin Holding (Turkey) (NON)  1  2  --  --  --  -- 
Dreamworks Animation SKG, Inc. Class A (NON)  25,600  628,736  28,500  699,960  9,400  230,864 
EMAP PLC (United Kingdom)  54,488  807,152  56,283  833,742  15,435  228,645 
Escala Group, Inc. (NON) (SG) (SB) (SC)  21,700  440,076  24,000  486,720  7,900  160,212 
Fiat SpA (Italy) (NON) (SG) (SB) (SC)  144,100  1,250,843  145,400  1,262,128  38,450  333,761 
First Choice Holidays PLC (United Kingdom)  177,603  762,139  179,154  768,795  48,946  210,040 
Ford Otomotiv Sanayi AS (Turkey)  52,830  462,117  --  --  --  -- 
Foschini, Ltd. (South Africa)  142,150  1,168,602  --  --  --  -- 
Genesco, Inc. (NON)  55,800  2,164,482  61,200  2,373,948  9,500  368,505 
Genlyte Group, Inc. (The) (NON)  16,500  883,905  18,100  969,617  --  -- 
Genting Berhad (Malaysia)  169,500  959,857  --  --  --  -- 
Gestevision Telecinco SA (Spain)  7,599  191,075  --  --  --  -- 
Google, Inc. Class A (NON)  5,900  2,447,674  6,600  2,738,076  2,200  912,692 
Greek Organization of Football Prognostics (OPAP) SA             
(Greece)  2  69  --  --  --  -- 
GTECH Holdings Corp.  39,200  1,244,208  44,500  1,412,430  14,400  457,056 
GUS PLC (United Kingdom)  65,322  1,157,132  67,473  1,195,236  17,925  317,528 
Honda Motor Co., Ltd. (Japan)  11,200  638,726  12,100  690,052  3,200  182,493 
HUB Group, Inc. Class A (NON)  20,800  735,280  22,800  805,980  --  -- 
Hyundai Department Store Co., Ltd. (South Korea)  5,880  498,345  --  --  --  -- 
Hyundai Development Co. (South Korea)  24,220  1,098,293  --  --  --  -- 
Hyundai Motor Co. (South Korea)  20,570  1,981,645  --  --  --  -- 
IAC/InterActiveCorp. (NON)  20,300  574,693  22,600  639,806  7,400  209,494 
Inchcape PLC (United Kingdom)  59,617  2,334,206  59,802  2,341,450  15,956  624,731 
Industria de Diseno Textil (Inditex) SA (Spain)  36,482  1,185,390  37,685  1,224,479  10,012  325,315 
Jakks Pacific, Inc. (NON) (SG) (SB) (SC)  48,900  1,023,966  54,700  1,145,418  11,100  232,434 
John H. Harland Co.  70,940  2,667,344  78,800  2,962,880  18,100  680,560 
K-Swiss, Inc. Class A  39,500  1,281,380  43,400  1,407,896  7,700  249,788 
Kenneth Cole Productions, Inc. Class A  8,400  214,200  10,200  260,100  --  -- 
Kia Motors Corp. (South Korea)  24,100  633,520  --  --  --  -- 
Knology, Inc. (NON)  149  560  --  --  66  248 
Kuoni Reisen Holding AG (Switzerland) (NON)  1,941  801,384  2,005  827,808  550  227,080 
Laidlaw International, Inc.  74,900  1,739,927  82,000  1,904,860  20,400  473,892 
Lawson, Inc. (Japan)  10,500  432,421  --  --  --  -- 
Luen Thai Holdings, Ltd. 144A (Hong Kong)  --  --  --  --  6,000  1,606 
Marks & Spencer PLC (United Kingdom)  127,027  1,101,111  73,040  633,134  19,955  172,976 
Marvel Entertainment, Inc. (NON)  38,200  625,716  41,500  679,770  --  -- 
Matsushita Electric Industrial Co. (Japan)  117,000  2,255,529  117,000  2,255,529  31,000  597,619 
Mazda Motor Corp. (Japan)  100,000  457,588  --  --  --  -- 
McGraw-Hill Companies, Inc. (The)  66,800  3,448,884  75,600  3,903,228  24,700  1,275,261 
Mediaset SpA (Italy)  75,267  794,491  58,359  616,016  15,900  167,835 
Men's Wearhouse, Inc. (The) (NON)  8,750  257,600  8,750  257,600  --  -- 
Metro AG (Germany)  9,700  466,645  11,600  558,050  2,800  134,702 
Modine Manufacturing Co.  47,200  1,538,248  52,300  1,704,457  17,300  563,807 
Monarch Casino & Resort, Inc. (NON)  300  6,780  400  9,040  338  7,639 

Multimedia Games, Inc. (NON) (SG) (SB) (SC)  107,100  990,675  121,100  1,120,175  39,400  364,450 
Next PLC (United Kingdom)  45,625  1,202,140  47,129  1,241,768  12,521  329,907 
Nordstrom, Inc.  120,700  4,514,180  136,380  5,100,612  44,700  1,671,780 
Nu Skin Enterprises, Inc. Class A  41,900  736,602  47,100  828,018  15,400  270,732 
NVR, Inc. (NON)  600  421,200  800  561,600  200  140,400 
Pantry, Inc. (The) (NON)  43,640  2,050,644  48,100  2,260,219  9,200  432,308 
Payless ShoeSource, Inc. (NON)  81,800  2,053,180  89,400  2,243,940  20,300  509,530 
Penn National Gaming, Inc. (NON)  7,500  247,125  8,200  270,190  --  -- 
Phillips-Van Heusen Corp.  17,300  560,520  18,900  612,360  --  -- 
Pixar, Inc. (NON)  12,000  632,640  13,300  701,176  4,400  231,968 
Playboy Enterprises, Inc. Class B (NON)  29,800  413,922  33,200  461,148  10,900  151,401 
Puma AG Rudolf Dassier Sport (Germany)  600  174,575  600  174,575  100  29,096 
Reader's Digest Association, Inc. (The) Class A  37,000  563,140  41,500  631,630  13,500  205,470 
Rent-A-Center, Inc. (NON)  27,600  520,536  30,300  571,458  10,000  188,600 
Robert Half International, Inc.  30,600  1,159,434  33,700  1,276,893  11,300  428,157 
S.A. D'Ieteren NV (Belgium)  832  228,143  934  256,113  222  60,875 
SGS Societe Generale Surveillance Holding SA (Switzerland)  264  222,004  --  --  --  -- 
Skechers U.S.A., Inc. Class A (NON)  47,940  734,441  54,300  831,876  17,700  271,164 
Societe Television Francaise I (France)  9,516  263,071  10,012  276,783  2,472  68,339 
Sohu.com, Inc. (China) (NON)  17,900  328,286  --  --  --  -- 
Sony Corp. (Japan)  18,400  751,530  19,800  808,711  5,200  212,389 
Sotheby's Holdings, Inc. Class A (NON)  15,700  288,252  17,000  312,120  --  -- 
Stanley Works (The)  3,720  178,709  4,100  196,964  1,400  67,256 
Stein Mart, Inc.  84,750  1,538,213  95,000  1,724,250  23,220  421,443 
Steinhoff International Holdings, Ltd. (South Africa) (NON)  374,900  1,109,172  --  --  --  -- 
Steven Madden, Ltd.  63,326  1,851,019  69,200  2,022,716  11,200  327,376 
Stride Rite Corp.  40,800  553,248  44,100  597,996  --  -- 
Suzuki Motor Corp. (Japan)  16,900  312,910  --  --  --  -- 
TeleTech Holdings, Inc. (NON)  101,500  1,223,075  110,400  1,330,320  --  -- 
Timberland Co. (The) Class A (NON)  14,000  455,700  15,100  491,505  --  -- 
Toll Brothers, Inc. (NON)  19,300  668,552  21,200  734,368  7,200  249,408 
Too, Inc. (NON)  10,700  301,847  11,600  327,236  --  -- 
Toro Co. (The)  32,200  1,409,394  35,000  1,531,950  --  -- 
Tostem Inax Holding Corp. (Japan)  240  4,800  --  --  --  -- 
Toyota Motor Corp. (Japan)  32,065  1,662,891  25,800  1,337,988  6,900  357,834 
Trans World Entertainment Corp. (NON)  21,700  123,690  21,200  120,840  --  -- 
Tupperware Corp.  30,700  687,680  34,600  775,040  11,300  253,120 
Unifirst Corp.  14,500  450,950  15,700  488,270  --  -- 
United Business Media PLC (United Kingdom)  32,824  358,901  39,100  427,524  9,298  101,665 
Universal Forest Products, Inc.  37,300  2,060,825  41,400  2,287,350  11,600  640,900 
USG Corp. (NON)  30,800  2,002,000  33,700  2,190,500  8,400  546,000 
Vail Resorts, Inc. (NON)  18,500  611,055  20,000  660,600  --  -- 
Ventiv Health, Inc. (NON)  27,000  637,740  29,600  699,152  --  -- 
Viacom, Inc. Class B  19,600  638,960  21,600  704,160  7,200  234,720 
Volkswagon AG (Germany) (SG) (SB)  26,100  1,375,663  26,300  1,386,204  7,000  368,952 
Volvo AB Class A (Sweden)  43,500  1,992,855  43,700  2,002,017  11,600  531,428 
VS Holdings, Inc. (NON)  63,050  5  --  --  15,358  1 
Wal-Mart de Mexico SA de CV Ser. V (Mexico)  128,555  713,288  --  --  --  -- 
Wal-Mart Stores, Inc.  73,550  3,442,140  82,632  3,867,178  27,300  1,277,640 
Walt Disney Co. (The)  78,427  1,879,895  89,189  2,137,860  29,200  699,924 
Walter Industries, Inc.  26,500  1,317,580  28,800  1,431,936  6,400  318,208 
William Hill PLC (United Kingdom)  126,192  1,159,939  127,295  1,170,078  33,691  309,683 
Wilsons The Leather Experts, Inc. (NON) (SG)  40,000  145,200  38,800  140,844  --  -- 
Wolverine World Wide, Inc.  18,400  413,264  19,850  445,831  --  -- 
Yamaha Motor Co., Ltd. (Japan)  136,200  3,554,750  136,600  3,565,189  36,400  950,021 
 
    133,971,773    131,441,839    31,773,222 
Consumer Finance    0.8%    0.7%    0.3% 
 
 
Accredited Home Lenders Holding Co. (NON) (SG) (SB) (SC)  25,180  1,248,424  28,900  1,432,862  9,350  463,573 
Aiful Corp. (Japan)  2,550  212,842  --  --  --  -- 
Asta Funding, Inc.  23,700  647,958  26,000  710,840  8,700  237,858 
CompuCredit Corp. (NON) (SG)  75,300  2,897,544  83,400  3,209,232  22,500  865,800 
Countrywide Financial Corp.  28,300  967,577  31,820  1,087,926  10,500  358,995 
Credit Saison Co., Ltd. (Japan)  3,900  194,653  --  --  --  -- 
Diamond Lease Co., Ltd. (Japan)  7,000  319,719  --  --  --  -- 
MBNA Corp.  45,660  1,239,669  51,307  1,392,985  16,600  450,690 
Nelnet, Inc. Class A (NON)  32,600  1,326,168  35,800  1,456,344  8,400  341,712 
Portfolio Recovery Associates, Inc. (NON)  11,000  510,840  12,000  557,280  --  -- 
Provident Financial PLC (United Kingdom)  65,677  617,222  67,841  637,559  18,605  174,847 
World Acceptance Corp. (NON)  37,500  1,068,750  40,700  1,159,950  --  -- 
 
    11,251,366    11,644,978    2,893,475 
Consumer Staples    6.9%    5.7%    3.2% 
 
Aderans Co., Ltd. (Japan)  34,600  1,037,912  35,700  1,070,909  9,500  284,976 
Albertson's, Inc. (SG)  67,900  1,449,665  74,600  1,592,710  25,000  533,750 
Altria Group, Inc.  81,630  6,099,394  92,234  6,891,724  30,600  2,286,432 
American Greetings Corp. Class A  22,100  485,537  23,900  525,083  --  -- 
Axfood AB (Sweden)  18,800  524,565  20,200  563,629  5,400  150,673 
BAT Industries PLC (United Kingdom)  122,391  2,731,094  122,771  2,739,573  32,757  730,956 
BIM Birlesik Magazalar AS (Turkey) (NON)  19,464  483,354  --  --  --  -- 
Carrefour Supermarche SA (France)  11,561  539,675  11,661  544,343  3,186  148,725 
CEC Entertainment, Inc. (NON)  12,950  440,818  14,150  481,666  --  -- 
Charoen Pokphand Foods PCL (Thailand)  6,136,600  914,121  --  --  --  -- 
Chattem, Inc. (NON)  10,200  371,178  11,200  407,568  --  -- 
Chiquita Brands International, Inc.  59,500  1,190,595  64,900  1,298,649  15,600  312,156 
CKE Restaurants, Inc. (SG) (SB) (SC)  12,350  166,849  14,300  193,193  4,700  63,497 
Coca-Cola Co. (The)  45,800  1,846,198  49,900  2,011,469  16,700  673,177 
Colgate-Palmolive Co.  32,700  1,793,595  36,400  1,996,540  11,900  652,715 
Colruyt SA (Belgium)  3,510  482,688  3,540  486,814  967  132,980 
Costco Wholesale Corp.  18,250  902,828  20,177  998,156  6,600  326,502 
Darden Restaurants, Inc.  50,070  1,946,722  54,910  2,134,901  18,500  719,280 
Domino's Pizza, Inc.  37,600  909,920  40,900  989,780  --  -- 
Energizer Holdings, Inc. (NON)  10,490  522,297  11,570  576,070  3,900  194,181 
Fancl Corp. (Japan)  5,900  315,473  --  --  --  -- 
Flowers Foods, Inc.  25,700  708,292  27,800  766,168  --  -- 
Fyffes PLC (Ireland)  231,882  629,008  249,573  676,997  65,687  178,184 
General Mills, Inc.  18,200  897,624  20,200  996,264  6,600  325,512 
Getty Images, Inc. (NON)  7,300  651,671  8,300  740,941  2,700  241,029 
Heineken NV (Netherlands)  31,654  999,770  32,697  1,032,713  8,687  274,373 
Henkel KGaA (Preference) (Germany)  2,000  200,498  --  --  --  -- 
Imperial Tobacco Group PLC (United Kingdom)  23,037  686,862  24,795  739,278  6,526  194,577 
InBev NV (Belgium)  5,030  218,134  --  --  --  -- 
Interstate Bakeries Corp. (NON) (SG) (SB)  28,100  209,345  27,700  206,365  --  -- 
Jack in the Box, Inc. (NON)  42,280  1,476,840  47,300  1,652,189  11,800  412,174 
Japan Tobacco, Inc. (Japan)  270  3,935,260  205  2,987,882  55  801,627 
KAO Corp. (Japan)  8,000  214,219  --  --  --  -- 
Kellogg Co.  73,070  3,158,085  80,900  3,496,498  26,600  1,149,652 
Kimberly-Clark Corp.  36,730  2,190,945  40,470  2,414,036  13,400  799,310 
Koninklijke Ahold NV (Netherlands) (NON)  39,027  291,360  43,815  327,105  10,420  77,792 
Labor Ready, Inc. (NON)  97,700  2,034,114  107,600  2,240,232  20,000  416,400 
Lancaster Colony Corp.  6,500  240,825  6,500  240,825  --  -- 
Lance, Inc.  19,900  370,737  21,500  400,545  --  -- 
Lianhua Supermarket Holdings Co., Ltd. (China)  638,020  596,603  --  --  --  -- 
Liberty Media Corp. Class A (NON)  338,000  2,660,060  376,100  2,959,907  123,500  971,945 
Lone Star Steakhouse & Saloon, Inc.  12,000  284,880  13,000  308,620  --  -- 
Longs Drug Stores, Inc.  17,400  633,186  19,800  720,522  6,400  232,896 
Luby's, Inc. (NON)  25,200  335,160  27,200  361,760  --  -- 
McDonald's Corp.  82,600  2,785,272  93,000  3,135,960  30,200  1,018,344 
Meiji Dairies Corp. (Japan)  270,000  1,365,901  273,000  1,381,078  72,000  364,240 
Nash Finch Co. (SG) (SB)  35,330  900,208  39,300  1,001,364  4,500  114,660 
Nestle SA (Switzerland)  8,067  2,406,141  5,083  1,516,104  1,350  402,664 
Nutri/System, Inc. (NON) (SG) (SB)  13,600  489,872  15,100  543,902  5,000  180,100 
Papa John's International, Inc. (NON)  9,600  569,376  10,700  634,617  3,500  207,585 
Pepsi Bottling Group, Inc. (The)  88,300  2,526,263  96,800  2,769,448  32,500  929,825 
PepsiAmericas, Inc.  47,270  1,099,500  51,930  1,207,892  17,400  404,724 
Perdigao SA (Preference) (Brazil)  31,000  1,047,943  --  --  --  -- 
Pilgrim's Pride Corp. (SG) (SB)  33,300  1,104,228  37,600  1,246,816  12,200  404,552 
Playtex Products, Inc. (NON)  91,500  1,250,805  100,200  1,369,734  33,100  452,477 
Procter & Gamble Co. (The)  65,080  3,766,830  71,590  4,143,629  23,600  1,365,968 
Reckitt Benckiser PLC (United Kingdom)  17,088  563,166  --  --  --  -- 
Reynolds American, Inc.  38,700  3,689,271  43,000  4,099,190  14,100  1,344,153 
Safeway, Inc.  77,100  1,824,186  85,200  2,015,832  28,000  662,480 
Scotts Miracle-Gro Co. (The) Class A  7,100  321,204  7,800  352,872  --  -- 
Seaboard Corp.  865  1,307,015  975  1,473,225  210  317,310 
Smart & Final, Inc. (NON)  30,600  394,128  33,500  431,480  --  -- 
Supervalu, Inc.  33,570  1,090,354  37,590  1,220,923  12,200  396,256 
Swedish Match AB (Sweden)  95,500  1,122,287  96,000  1,128,163  25,500  299,668 
Tiger Brands, Ltd. (South Africa)  84,684  1,944,224  --  --  --  -- 
Time Warner, Inc.  381,020  6,644,989  431,323  7,522,273  140,300  2,446,832 
Toyo Suisan Kaisha, Ltd. (Japan)  123,000  1,984,510  123,000  1,984,510  33,000  532,429 
Unilever NV (Netherlands)  3,297  224,949  3,701  252,513  880  60,041 
UST, Inc.  29,110  1,188,561  32,200  1,314,726  10,700  436,881 
Valueclick, Inc. (NON)  34,600  626,606  37,900  686,369  --  -- 
Weight Watchers International, Inc. (NON)  40,700  2,011,801  44,600  2,204,578  14,900  736,507 
Weiss Markets, Inc.  4,542  195,488  4,900  210,896  --  -- 
VFB, LLC (F)(RES)(NON)  --  --  --  --  254,213  5,402 

Whitbread PLC (United Kingdom)  1  16  --  --  --  -- 
Whole Foods Market, Inc.  39,800  3,080,122  43,600  3,374,204  14,600  1,129,894 
Woolworths, Ltd. (Australia)  223,279  2,758,859  223,974  2,767,446  59,759  738,388 
Yum! Brands, Inc.  20,260  949,789  22,160  1,038,861  7,400  346,912 
 
    100,011,820    99,800,229    28,583,763 
Electronics    4.1%    2.2%    1.2% 
 
Agilysys, Inc.  79,950  1,456,689  87,000  1,585,140  15,543  283,193 
ALPS Electric Co., Ltd. (Japan)  28,000  389,831  34,000  473,367  8,000  111,380 
Atmel Corp. (NON)  339,830  1,050,075  380,600  1,176,054  124,015  383,206 
Chartered Semiconductor Manufacturing, Ltd. (Singapore)             
(NON)  235,000  183,759  --  --  --  -- 
Chunghwa Picture Tubes, Ltd. (Taiwan)  2,855,000  882,461  --  --  --  -- 
Compal Communications, Inc. (Taiwan)  135,000  628,997  --  --  --  -- 
Core Logic, Inc. (South Korea)  11,147  497,200  --  --  --  -- 
Diodes, Inc. (NON)  15,800  490,590  17,150  532,508  --  -- 
Exar Corp. (NON)  82,900  1,037,908  92,200  1,154,344  30,300  379,356 
FEI Co. (NON)  27,700  531,009  31,100  596,187  10,100  193,617 
Hon Hai Precision Industry Co., Ltd. (Taiwan)  261,934  1,435,779  --  --  --  -- 
Hynix Semiconductor, Inc. (South Korea) (NON)  20,540  717,883  --  --  --  -- 
Infineon Technologies AG (Germany) (NON)  22,500  205,393  25,300  230,952  6,000  54,771 
Intel Corp. (SEG)  487,830  12,176,237  535,826  13,374,217  179,600  4,482,816 
Inventec Appliances Corp. (Taiwan)  73,000  405,704  --  --  --  -- 
IXYS Corp. (NON)  22,400  261,856  24,500  286,405  --  -- 
Komag, Inc. (NON) (SG) (SB)  34,700  1,202,702  37,900  1,313,614  8,600  298,076 
Kulicke & Soffa Industries, Inc. (NON)  66,100  584,324  72,400  640,016  --  -- 
LG Electronics, Inc. (South Korea)  18,100  1,600,327  --  --  --  -- 
Linear Technology Corp.  15,300  551,871  16,800  605,976  5,533  199,575 
Media Tek, Inc. (Taiwan)  116,200  1,369,432  --  --  --  -- 
Micrel, Inc. (NON)  106,200  1,231,920  116,360  1,349,776  19,500  226,200 
Motorola, Inc.  108,140  2,442,883  120,316  2,717,938  39,500  892,305 
Omnivision Technologies, Inc. (NON) (SG) (SB)  50,400  1,005,984  54,800  1,093,808  --  -- 
Omron Corp. (Japan)  42,800  986,493  36,900  850,504  10,100  232,794 
Park Electrochemical Corp.  10,600  275,388  11,500  298,770  --  -- 
Plexus Corp. (NON)  17,400  395,676  18,800  427,512  --  -- 
Portalplayer, Inc. (NON) (SB)  10,300  291,696  11,300  320,016  --  -- 
QLogic Corp. (NON)  66,000  2,145,660  72,100  2,343,971  23,900  776,989 
Quanta Computer, Inc. (Taiwan)  176,450  247,711  --  --  --  -- 
Reunert, Ltd. (South Africa)  107,373  891,175  --  --  --  -- 
Samsung Electronics Co., Ltd. (South Korea)  9,870  6,439,931  --  --  --  -- 
Samsung Electronics Co., Ltd. (Preference) (South Korea)  1,692  822,547  --  --  --  -- 
Samsung SDI Co., Ltd. (South Korea)  4,490  517,906  --  --  --  -- 
Siliconware Precision Industries Co. (Taiwan)  768,256  1,077,355  --  --  --  -- 
Solectron Corp. (NON)  431,100  1,577,826  487,600  1,784,616  159,800  584,868 
Standard Microsystems Corp. (NON)  11,800  338,542  12,900  370,101  --  -- 
Sumco Corp. 144A (Japan)  1,700  89,170  --  --  --  -- 
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)  1,672,051  3,182,386  --  --  --  -- 
Texas Instruments, Inc.  109,500  3,511,665  119,400  3,829,158  40,000  1,282,800 
Toshiba Corp. (Japan)  329,000  1,962,681  340,000  2,028,303  90,000  536,904 
Uniden (Japan)  15,000  291,713  17,000  330,608  4,000  77,790 
United Microelectronics Corp. (Taiwan)  2,442,231  1,383,321  --  --  --  -- 
Wintek Corp. (Taiwan)  354,000  581,398  --  --  --  -- 
 
    59,351,054    39,713,861    10,996,640 
Energy    7.6%    5.3%    2.8% 
 
BP PLC (United Kingdom)  479,535  5,095,124  392,609  4,171,524  105,255  1,118,349 
Burlington Resources, Inc.  38,300  3,301,460  42,600  3,672,120  14,000  1,206,800 
Cal Dive International, Inc. (NON)  17,800  638,842  19,400  696,266  --  -- 
Chevron Corp. (SEG)  145,602  8,265,826  160,484  9,110,677  52,900  3,003,133 
China Petroleum & Chemical Corp. (China)  3,794,000  1,883,959  --  --  --  -- 
China Shenhua Energy Co., Ltd. (China) (NON)  777,500  857,393  --  --  --  -- 
China Shenhua Energy Co., Ltd. Class H (China) (NON)  417,000  459,849  --  --  --  -- 
ConocoPhillips  80,300  4,671,854  89,400  5,201,292  29,300  1,704,674 
Core Laboratories NV (Netherlands) (NON)  12,700  474,472  13,900  519,304  --  -- 
ENI SpA (Italy)  158,100  4,368,831  158,561  4,381,570  42,387  1,171,294 
Exxon Mobil Corp. (SEG)  297,230  16,695,409  336,357  18,893,173  109,700  6,161,849 
Forest Oil Corp. (NON)  6,300  287,091  6,800  309,876  --  -- 
Frontier Oil Corp.  97,460  3,657,674  106,500  3,996,945  20,400  765,612 
Giant Industries, Inc. (NON)  39,350  2,044,626  44,600  2,317,416  11,600  602,736 
Harvest Natural Resources, Inc. (NON) (SG) (SB)  50,000  444,000  56,600  502,608  18,500  164,280 
Helmerich & Payne, Inc.  11,600  718,156  12,500  773,875  --  -- 
Hindustan Petroleum Corp., Ltd. (India)  115,723  845,421  --  --  --  -- 
Holly Corp.  26,450  1,557,112  28,800  1,695,456  4,600  270,802 
Houston Exploration Co. (NON)  10,100  533,280  11,100  586,080  --  -- 
KCS Energy, Inc. (NON)  21,100  511,042  23,100  559,482  --  -- 
Lukoil (Russia)  22,955  1,363,527  --  --  --  -- 
Lukoil ADR (Russia)  43,864  2,568,237  --  --  --  -- 
Marathon Oil Corp.  37,810  2,305,276  42,560  2,594,883  13,900  847,483 
Norsk Hydro ASA (Norway)  22,949  2,349,588  15,829  1,620,621  4,205  430,521 
Occidental Petroleum Corp.  11,600  926,608  12,700  1,014,476  4,400  351,472 
Oil States International, Inc. (NON)  23,200  734,976  25,400  804,672  --  -- 
Petro-Canada (Canada)  4,800  191,729  --  --  --  -- 
PetroChina Co., Ltd. (China)  1,473,000  1,206,396  --  --  --  -- 
Petroleo Brasileiro SA ADR (Brazil)  38,630  2,753,160  --  --  --  -- 
Petroleo Brasileiro SA (Preference) ADR (Brazil)  49,181  3,165,781  --  --  --  -- 
Petroleum Development Corp. (NON)  11,200  373,408  12,300  410,082  --  -- 
PTT PCL (Thailand)  154,600  853,226  --  --  --  -- 
Questar Corp.  24,200  1,831,940  27,200  2,059,040  8,800  666,160 
Remington Oil & Gas Corp. (NON)  13,700  500,050  15,000  547,500  --  -- 
Repsol YPF SA (Spain)  32,903  957,339  33,191  965,719  8,785  255,607 
Royal Dutch Shell PLC Class A (Netherlands)  99,574  3,027,541  82,073  2,495,424  21,900  665,868 
Royal Dutch Shell PLC Class B (Netherlands)  171,766  5,478,059  167,131  5,330,237  42,749  1,363,375 
Saipem SpA (Italy)  40,000  653,859  --  --  --  -- 
SK Corp. (South Korea)  16,350  843,401  --  --  --  -- 
Statoil ASA (Norway)  131,315  3,007,051  103,300  2,365,521  27,300  625,157 
Sunoco, Inc.  61,840  4,847,019  68,100  5,337,678  22,700  1,779,226 
Tesoro Petroleum Corp.  41,950  2,582,023  45,900  2,825,145  8,200  504,710 
Thai Oil PCL (Thailand)  289,200  448,454  --  --  --  -- 
Total SA (France)  13,832  3,461,716  12,486  3,124,855  3,332  833,895 
Total SA 144A (France)  922  230,748  --  --  --  -- 
Valero Energy Corp.  28,026  1,446,142  31,132  1,606,411  10,194  526,010 
Veritas DGC, Inc. (NON)  66,400  2,356,536  72,400  2,569,476  16,100  571,389 
Vostok Nafta Investment, Ltd. (Sweden) (NON)  46,260  2,157,091  --  --  --  -- 
 
    109,932,302    93,059,404    25,590,402 
Financial    3.5%    2.9%    1.7% 
 
Advanta Corp. Class B  27,601  895,376  30,600  992,664  10,100  327,644 
AMRESCO Creditor Trust (F)(RES)(NON)(R)  501,000  501  --  --  240,000  240 
Asset Acceptance Capital Corp. (NON)  12,800  287,488  15,500  348,130  --  -- 
Assurant, Inc.  29,200  1,269,908  32,500  1,413,425  10,700  465,343 
Citigroup, Inc. (SEG)  230,453  11,183,884  259,937  12,614,743  85,000  4,125,050 
Contifinancial Corp. Liquidating Trust Units  1,878,703  23,132  --  --  500,683  6,165 
Deutsche Boerse AG (Germany)  2,365  241,050  2,655  270,608  631  64,314 
Fidelity National Financial, Inc.  86,000  3,163,940  93,300  3,432,507  31,300  1,151,527 
First American Corp.  45,900  2,079,270  50,000  2,265,000  12,200  552,660 
Hana Financial Group, Inc. (South Korea)  29,501  1,349,452  --  --  --  -- 
Hitachi Capital Corp. (Japan)  23,800  473,943  25,500  507,796  6,800  135,412 
Hong Kong Exchanges and Clearing, Ltd. (Hong Kong)  104,000  431,249  --  --  --  -- 
HRPT Properties Trust (R)  275,620  2,852,667  306,600  3,173,310  100,700  1,042,245 
ICAP PLC (United Kingdom)  75,733  526,483  49,524  344,282  11,777  81,872 
JPMorgan Chase & Co.  87,302  3,465,016  98,081  3,892,835  32,200  1,278,018 
Lehman Brothers Holdings, Inc.  24,600  3,152,982  27,100  3,473,407  8,900  1,140,713 
Loews Corp.  36,520  3,463,922  41,200  3,907,820  13,600  1,289,960 
London Stock Exchange PLC (United Kingdom)  102,232  1,087,984  105,601  1,123,838  28,055  298,570 
Man Group PLC (United Kingdom)  104,363  3,421,557  104,688  3,432,212  27,932  915,755 
MGIC Investment Corp.  15,800  1,039,956  17,400  1,145,268  5,800  381,756 
Nasdaq Stock Market, Inc. (The) (NON)  19,300  678,974  21,000  738,780  --  -- 
Nationwide Financial Services, Inc. Class A  16,800  739,200  19,300  849,200  6,200  272,800 
Nuveen Investments, Inc. Class A  9,000  383,580  9,900  421,938  --  -- 
Orix Corp. (Japan)  10,000  2,546,394  6,300  1,604,228  1,600  407,423 
Royal Bank of Scotland Group PLC (United Kingdom)  105,645  3,182,511  93,240  2,808,815  24,878  749,439 
Sampo OYJ Class A (Finland)  31,700  550,336  34,100  592,002  9,000  156,247 
Sinopac Holdings Co. (Taiwan)  1,269,000  612,511  --  --  --  -- 
Student Loan Corp.  1,260  263,630  1,370  286,645  --  -- 
Tower, Ltd. (New Zealand) (NON)  213,882  302,871  240,120  340,025  57,104  80,863 
Washington Mutual, Inc.  15,600  678,600  17,200  748,200  5,800  252,300 
WFS Financial, Inc. (NON)  9,000  685,350  9,700  738,655  --  -- 
 
    51,033,717    51,466,333    15,176,316 
Health Care    8.9%    7.7%    3.8% 
 
Abbott Laboratories  76,320  3,009,298  85,975  3,389,994  27,900  1,100,097 
Aetna, Inc.  21,500  2,027,665  24,100  2,272,871  7,800  735,618 
Albany Molecular Research, Inc. (NON)  73,577  893,961  80,987  983,992  15,600  189,540 

Alfresa Holdings Corp. (Japan)  3,400  159,037  3,800  177,748  900  42,098 
Alkermes, Inc. (NON)  21,600  412,992  23,600  451,232  --  -- 
Allergan, Inc.  9,500  1,025,620  10,753  1,160,894  3,500  377,860 
Alpharma, Inc. Class A  18,600  530,286  20,100  573,051  --  -- 
Amedisys, Inc. (NON)  13,600  574,464  14,900  629,376  --  -- 
American Medical Systems Holdings, Inc. (NON)  25,400  452,882  27,800  495,674  --  -- 
Amgen, Inc. (NON)  48,300  3,808,938  53,200  4,195,352  17,800  1,403,708 
AMN Healthcare Services, Inc. (NON)  26,000  514,280  28,500  563,730  --  -- 
Analogic Corp.  6,000  287,100  6,000  287,100  --  -- 
Applera Corp. - Celera Genomics Group (NON)  103,550  1,134,908  117,000  1,282,320  38,100  417,576 
Applera Corp. - Applied Biosystems Group  62,700  1,665,312  70,200  1,864,512  22,800  605,568 
Apria Healthcare Group, Inc. (NON)  8,750  210,963  8,700  209,757  --  -- 
Arena Pharmaceuticals, Inc. (NON) (SB)  39,900  567,378  44,400  631,368  14,600  207,612 
AstraZeneca PLC (United Kingdom)  104,909  5,094,358  99,092  4,811,886  26,472  1,285,475 
Bausch & Lomb, Inc.  25,880  1,757,252  28,560  1,939,224  9,500  645,050 
Becton, Dickinson and Co.  78,900  4,740,312  88,500  5,317,080  29,200  1,754,336 
Biosite, Inc. (NON)  4,300  242,047  4,700  264,563  --  -- 
Bristol-Myers Squibb Co.  86,160  1,979,957  95,825  2,202,059  31,500  723,870 
Brookdale Senior Living, Inc.  7,150  213,142  7,750  231,028  --  -- 
Candela Corp. (NON)  46,700  674,348  51,900  749,436  16,900  244,036 
Celesio AG (Germany)  1,526  130,447  1,713  146,432  407  34,792 
Cephalon, Inc. (NON) (SG) (SB)  9,900  640,926  10,800  699,192  --  -- 
Cerner Corp. (NON) (SG) (SB)  7,000  636,370  7,700  700,007  --  -- 
Chugai Pharmaceutical Co., Ltd. (Japan)  110,800  2,375,426  111,100  2,381,857  29,600  634,590 
CIGNA Corp.  10,830  1,209,711  12,528  1,399,378  4,100  457,970 
Conmed Corp. (NON)  11,000  260,260  11,900  281,554  --  -- 
Connetics Corp. (NON) (SG)  18,600  268,770  20,400  294,780  --  -- 
Coventry Health Care, Inc. (NON)  52,980  3,017,741  58,895  3,354,659  19,300  1,099,328 
Dade Behring Holdings, Inc.  37,390  1,528,877  40,800  1,668,312  --  -- 
Daiichi Sankyo Co., Ltd. (Japan)  24,000  462,673  --  --  --  -- 
Digene Corp. (NON)  15,500  452,135  17,000  495,890  --  -- 
DJ Orthopedics, Inc. (NON)  49,300  1,359,694  53,800  1,483,804  8,300  228,914 
Enzon, Inc. (NON)  24,900  184,260  29,900  221,260  --  -- 
First Horizon Pharmaceutical Corp. (NON) (SG)  30,700  529,575  33,600  579,600  --  -- 
Foxhollow Technologies, Inc. (NON) (SG) (SB)  7,700  229,383  8,400  250,236  --  -- 
Fresenius Medical Care AG (Germany)  1,845  193,750  --  --  --  -- 
Genentech, Inc. (NON)  17,700  1,637,250  19,500  1,803,750  6,500  601,250 
Genesis HealthCare Corp. (NON)  77,601  2,833,989  84,800  3,096,896  19,687  718,969 
Gilead Sciences, Inc. (NON)  69,600  3,663,048  76,400  4,020,932  25,600  1,347,328 
GlaxoSmithKline PLC (United Kingdom)  158,836  4,005,111  135,397  3,414,087  36,126  910,931 
Haemonetics Corp. (NON)  42,700  2,086,322  46,200  2,257,332  3,542  173,062 
Humana, Inc. (NON)  67,820  3,684,661  76,200  4,139,946  25,050  1,360,967 
Intuitive Surgical, Inc. (NON)  4,200  492,534  4,600  539,442  --  -- 
Invitrogen Corp. (NON) (SB)  8,200  546,448  9,200  613,088  3,100  206,584 
Johnson & Johnson (SEG)  211,412  12,705,861  234,904  14,117,730  77,500  4,657,750 
Kaken Pharmaceutical Co., Ltd. (Japan)  31,000  241,412  32,000  249,199  8,000  62,300 
Kindred Healthcare, Inc. (NON)  19,200  494,592  21,600  556,416  --  -- 
Kinetic Concepts, Inc. (NON)  21,100  838,936  23,300  926,408  7,800  310,128 
Kos Pharmaceuticals, Inc. (NON)  12,700  656,971  13,900  719,047  --  -- 
LCA-Vision, Inc.  14,500  688,895  15,900  755,409  5,400  256,554 
LifeCell Corp. (NON)  23,900  455,773  26,200  499,634  --  -- 
Magellan Health Services, Inc. (NON)  10,100  317,645  11,100  349,095  --  -- 
Mayne Pharma, Ltd. (Australia) (NON)  222,553  414,523  248,461  462,779  61,334  114,240 
Mediceo Paltac Holdings Co., Ltd. (Japan)  33,800  488,913  36,400  526,521  9,600  138,863 
Medicines Co. (NON)  13,900  242,555  16,700  291,415  --  -- 
Mentor Corp. (SG) (SB)  23,700  1,092,096  25,800  1,188,864  4,500  207,360 
Merck & Co., Inc.  136,560  4,343,974  150,413  4,784,638  50,350  1,601,634 
Network Healthcare Holdings, Ltd. (South Africa) (NON)  977,229  1,159,568  --  --  --  -- 
Novartis AG (Switzerland)  9,630  504,669  --  --  --  -- 
OraSure Technologies, Inc. (NON)  43,200  381,024  47,300  417,186  --  -- 
Owens & Minor, Inc.  36,200  996,586  39,400  1,084,682  --  -- 
Parexel International Corp. (NON)  11,700  237,042  12,700  257,302  --  -- 
Pediatrix Medical Group, Inc. (NON)  6,800  602,276  7,300  646,561  --  -- 
Per-Se Technologies, Inc. (NON)  18,700  436,832  20,500  478,880  --  -- 
PerkinElmer, Inc.  67,800  1,597,368  74,200  1,748,152  24,600  579,576 
Perrigo Co.  20,800  310,128  22,800  339,948  --  -- 
Pfizer, Inc.  128,149  2,988,435  145,097  3,383,662  47,400  1,105,368 
Regeneron Pharmaceuticals, Inc. (NON)  26,400  421,080  28,900  460,955  --  -- 
Respironics, Inc. (NON)  14,800  548,636  16,000  593,120  --  -- 
Roche Holding AG (Switzerland)  27,859  4,171,661  25,094  3,757,625  6,695  1,002,522 
Salix Pharmaceuticals, Ltd. (NON)  17,275  303,695  18,916  332,543  --  -- 
Sanofi-Synthelabo SA (France)  2,167  189,126  --  --  --  -- 
Savient Pharmaceuticals, Inc. (NON)  94,400  353,056  102,000  381,480  --  -- 
Schering AG (Germany)  8,100  540,230  8,700  580,247  2,300  153,399 
Schering-Plough Corp.  32,500  677,625  36,100  752,685  11,900  248,115 
Serologicals Corp. (NON)  12,500  246,750  13,700  270,438  --  -- 
Sierra Health Services, Inc. (NON) (SB)  70,330  5,623,587  78,288  6,259,908  18,300  1,463,268 
Steris Corp.  8,000  200,160  9,700  242,694  --  -- 
Sun Healthcare Group, Inc. (NON)  122  806  --  --  --  -- 
Sybron Dental Specialties, Inc. (NON)  20,800  828,048  22,800  907,668  --  -- 
Symbion Health, Ltd. (Australia)  222,553  576,089  224,499  581,127  61,334  158,766 
Taisho Pharmaceutical Co., Ltd. (Japan)  97,000  1,816,541  73,000  1,367,088  19,000  355,817 
Takeda Pharmaceutical Co., Ltd. (Japan)  4,500  243,284  --  --  --  -- 
Techne Corp. (NON)  6,900  387,435  7,600  426,740  --  -- 
Terumo Corp. (Japan)  3,000  88,721  --  --  --  -- 
Teva Pharmaceutical Industries, Ltd. ADR (Israel) (SG)  24,100  1,036,541  --  --  --  -- 
United Therapeutics Corp. (NON)  7,100  490,752  7,700  532,224  --  -- 
UnitedHealth Group, Inc.  112,038  6,962,041  125,912  7,824,172  41,360  2,570,110 
Vertex Pharmaceuticals, Inc. (NON) (SB)  20,900  578,303  22,900  633,643  --  -- 
ViaCell, Inc. (NON)  57,824  324,971  64,800  364,176  20,954  117,761 
Vital Signs, Inc.  15,000  642,300  16,300  697,966  --  -- 
WellCare Health Plans, Inc. (NON)  13,600  555,560  15,100  616,835  5,000  204,250 
WellPoint, Inc. (NON)  22,360  1,784,104  25,540  2,037,837  8,200  654,278 
Wyeth  64,600  2,976,122  71,000  3,270,970  23,900  1,101,073 
 
    129,169,159    135,202,350    34,570,261 
Insurance    3.4%    2.7%    1.3% 
 
Aegon NV (Netherlands)  56,175  910,976  58,025  940,977  15,416  249,997 
Allianz AG (Germany)  15,200  2,293,744  15,300  2,308,835  4,100  618,707 
American Financial Group, Inc.  59,050  2,262,206  64,540  2,472,527  21,400  819,834 
AmerUs Group Co. (SG) (SB)  13,240  750,311  14,300  810,381  --  -- 
Cathay Financial Holding Co., Ltd. (Taiwan)  477,000  864,288  --  --  --  -- 
China Life Insurance Co., Ltd. (China) (NON)  2,001,000  1,767,873  --  --  --  -- 
CNA Financial Corp. (NON)  32,200  1,053,906  35,800  1,171,734  11,800  386,214 
Commerce Group, Inc.  25,260  1,446,893  27,700  1,586,656  6,039  345,914 
Corporacion Mapfre SA (Spain)  100,314  1,650,429  100,626  1,655,562  27,529  452,924 
FBL Financial Group, Inc. Class A  6,500  213,265  6,500  213,265  --  -- 
FPIC Insurance Group, Inc. (NON)  19,590  679,773  21,600  749,520  6,937  240,714 
Fremont General Corp. (SG)  76,700  1,781,741  85,300  1,981,519  27,988  650,161 
HCC Insurance Holdings, Inc.  13,357  396,436  14,430  428,282  --  -- 
ING Groep NV (Netherlands)  113,482  3,921,532  106,295  3,673,175  28,360  980,020 
Landamerica Financial Group, Inc. (SB) (SC)  31,340  1,955,616  34,500  2,152,800  7,196  449,030 
Liberty Group, Ltd. (South Africa)  101,323  1,207,083  --  --  --  -- 
Muenchener Rueckversicherungs-Gesellschaft AG (Germany)  4,100  553,041  4,400  593,507  1,200  161,866 
Navigators Group, Inc. (NON)  16,124  703,168  17,488  762,652  --  -- 
Ohio Casualty Corp.  8,800  249,216  8,800  249,216  --  -- 
Philadelphia Consolidated Holding Corp. (NON)  8,000  773,520  9,200  889,548  2,900  280,401 
Prudential Financial, Inc.  70,800  5,181,852  78,800  5,767,372  25,900  1,895,621 
QBE Insurance Group, Ltd. (Australia)  91,036  1,308,431  60,033  862,835  16,401  235,726 
Safety Insurance Group, Inc.  18,000  726,660  20,600  831,622  6,600  266,442 
Selective Insurance Group (SG)  5,100  270,810  5,600  297,360  --  -- 
Stancorp Financial Group  6,200  309,690  6,800  339,660  --  -- 
Stewart Information Services  11,160  543,157  12,050  586,474  --  -- 
Swiss Re (Switzerland)  14,479  1,057,134  11,918  870,151  3,166  231,155 
Triad Guaranty, Inc. (NON)  11,000  483,890  12,100  532,279  4,000  175,960 
UICI  50,890  1,807,104  55,600  1,974,356  18,500  656,935 
United Fire & Casualty Co.  10,500  424,515  11,300  456,859  --  -- 
W.R. Berkley Corp.  39,630  1,887,181  44,835  2,135,043  14,650  697,633 
Wiener Staed Ver 144A (Austria)  1,600  94,069  --  --  --  -- 
Zenith National Insurance Corp.  102,465  4,725,686  114,250  5,269,210  24,749  1,141,424 
Zurich Financial Services AG (Switzerland) (NON)  25,052  5,323,740  19,797  4,207,013  5,240  1,113,540 
 
    49,578,936    46,770,390    12,050,218 
Investment Banking/Brokerage    1.7%    1.4%    0.8% 
 
A.G. Edwards, Inc.  13,700  641,982  15,300  716,958  5,000  234,300 
Affiliated Managers Group (NON)  24,530  1,968,533  27,000  2,166,750  5,460  438,165 
Ameriprise Financial, Inc.  18,000  738,000  20,000  820,000  6,600  270,600 
Ameritrade Holding Corp. Class A (NON)  64,900  1,557,600  71,100  1,706,400  23,900  573,600 
Calamos Asset Management, Inc. Class A  38,800  1,220,260  43,200  1,358,640  14,100  443,445 
Challenger Financial Services Group, Ltd. (Australia)  141,557  420,405  158,035  469,343  39,012  115,860 
Credit Suisse Group (Switzerland)  77,755  3,953,844  65,350  3,323,049  17,437  886,672 
Deutsche Bank AG (Germany)  8,500  821,841  8,800  850,847  2,300  222,381 
Goldman Sachs Group, Inc. (The)  13,400  1,711,314  14,900  1,902,879  4,900  625,779 
Harris & Harris Group, Inc. (SG) (SB) (SC)  26,900  373,910  30,300  421,170  9,900  137,610 
IndyMac Bancorp, Inc.  60,780  2,371,636  66,780  2,605,756  19,100  745,282 
Investment Technology Group, Inc. (NON)  22,800  808,032  25,000  886,000  --  -- 
Kim Eng Securities Thailand PCL (Thailand)  40,700  26,435  --  --  --  -- 

Kim Eng Securities Thailand PCL NVDR (Thailand)  425,700  275,484  --  --  --  -- 
Lazard, Ltd. Class A (Bermuda)  17,000  542,300  18,400  586,960  --  -- 
Macquarie Bank, Ltd. (Australia)  22,823  1,140,566  5,920  295,848  1,408  70,364 
Morgan Stanley  23,900  1,356,086  26,300  1,492,262  8,800  499,312 
Raymond James Financial, Inc.  82,600  3,111,542  93,400  3,518,378  30,600  1,152,702 
Schroders PLC (United Kingdom)  61,528  1,003,322  63,555  1,036,376  16,885  275,339 
 
    24,043,092    24,157,616    6,691,411 
Other    0.5%    2.2%    1.7% 
 
 
iShares MSCI Emerging Markets Index Fund (SB) (SC)  --  --  250,110  22,072,208  116,100  10,245,825 
iShares MSCI Hong Kong Index Fund (SB) (SC)  --  --  14,800  186,776  7,000  88,340 
iShares MSCI Malaysia Index Fund  --  --  5,400  36,828  2,600  17,732 
iShares MSCI Singapore Index Fund  --  --  7,400  58,460  3,500  27,650 
iShares MSCI South Korea Index Fund (SB)  --  --  4,100  183,475  1,900  85,025 
iShares MSCI Taiwan Index Fund  --  --  11,700  146,016  5,600  69,888 
iShares Russell 1000 Growth Index Fund (SG) (SB) (SC)  139,800  7,131,198  195,800  9,987,758  93,100  4,749,031 
iShares Russell 2000 Value Index Fund  1,777  117,158  4,346  286,532  --  -- 
S&P 500 Index Depositary Receipts (SPDR Trust Series 1)             
(SB)  --  --  50,760  6,320,128  --  -- 
 
    7,248,356    39,278,181    15,283,491 
Photography/Imaging    0.1%    --%    --% 
 
Imation Corp.  18,000  829,260  19,400  893,758  --  -- 
Konica Corp. (Japan)  20,500  208,631  --  --  --  -- 
 
    1,037,891    893,758    -- 
Real Estate    1.5%    1.3%    0.6% 
 
Aeon Mall Co., Ltd. (Japan)  2,700  131,557  --  --  --  -- 
American Home Mortgage Investment Corp. (R)  38,100  1,240,917  42,500  1,384,225  13,900  452,723 
Arbor Realty Trust, Inc (R) (SB)  25,400  658,368  28,200  730,944  5,952  154,276 
Boston Properties, Inc. (R)  13,600  1,008,168  14,900  1,104,537  5,100  378,063 
Boykin Lodging Co. (NON)(R)  19,300  235,846  19,000  232,180  --  -- 
Brookfield Homes Corp. (SG) (SB)  11,207  557,324  12,236  608,496  --  -- 
Capital Trust, Inc. Class A (R)  6,700  196,176  6,700  196,176  --  -- 
CB Richard Ellis Group, Inc. Class A (NON)  31,700  1,865,545  35,200  2,071,520  11,600  682,660 
CBL & Associates Properties (R)  45,300  1,789,803  50,800  2,007,108  12,200  482,022 
China Overseas Land & Investment, Ltd. (Hong Kong)  718,000  307,914  --  --  --  -- 
Digital Realty Trust, Inc. (R)  35,400  801,102  39,300  889,359  12,900  291,927 
Entertainment Properties Trust (R)  4,797  195,478  4,790  195,193  --  -- 
Highwoods Properties, Inc. (R)  19,600  557,620  21,800  620,210  7,100  201,995 
Innkeepers USA Trust (R)  24,100  385,600  26,000  416,000  --  -- 
Jones Lang LaSalle, Inc.  48,500  2,441,975  54,200  2,728,970  16,200  815,670 
Leopalace21 Corp. (Japan)  10,300  373,562  --  --  --  -- 
Lexington Corporate Properties Trust (R)  23,000  489,900  24,800  528,240  --  -- 
Link REIT (The) (Hong Kong) (NON)(R)  105,000  199,077  --  --  --  -- 
LTC Properties, Inc. (R)  51,510  1,083,255  58,100  1,221,843  9,356  196,757 
Metrovacesa SA (Spain)  7,404  447,966  7,969  482,150  2,098  126,936 
Mills Corp. (R)  6,300  264,222  6,800  285,192  --  -- 
Mitsui Fudoscan Co., Ltd. (Japan)  11,000  223,244  --  --  --  -- 
National Health Investors, Inc. (R)  20,000  519,200  21,600  560,736  --  -- 
Omega Healthcare Investors, Inc. (R)  18,300  230,397  18,000  226,620  --  -- 
RAIT Investment Trust (R)  45,440  1,177,805  51,000  1,321,920  13,208  342,351 
Redwood Trust, Inc. (R) (SG) (SB)  5,300  218,678  5,700  235,182  --  -- 
Saxon Capital, Inc. (R)  52,000  589,160  58,900  667,337  19,200  217,536 
SL Green Realty Corp. (R)  6,800  519,452  7,300  557,647  --  -- 
St. Joe Co. (The)  11,995  806,304  13,300  894,026  4,400  295,768 
Tarragon Corp. (NON)(R) (SG) (SB) (SC)  36,843  759,703  41,000  845,420  13,600  280,432 
Trizec Properties, Inc. (R)  15,400  352,968  16,600  380,472  --  -- 
Vornado Realty Trust (R)  18,200  1,519,154  20,000  1,669,400  6,600  550,902 
 
    22,147,440    23,061,103    5,470,018 
Semiconductor    0.2%    0.2%    0.1% 
 
Advantest Corp. (Japan)  8,400  846,335  9,000  906,788  2,300  231,735 
Cymer, Inc. (NON)  10,500  372,855  11,300  401,263  --  -- 
NEC Electronics Corp. (Japan)  10,800  354,173  11,400  373,850  2,800  91,823 
Photronics, Inc. (NON)  85,300  1,284,618  94,700  1,426,182  14,500  218,370 
Tokyo Electron, Ltd. (Japan)  2,700  169,536  --  --  --  -- 
Veeco Instruments, Inc. (NON)  41,300  715,729  46,500  805,845  15,000  259,950 
 
    3,743,246    3,913,928    801,878 
Software    2.5%    2.2%    1.1% 
 
Ansoft Corp. (NON)  5,900  200,895  6,500  221,325  2,000  68,100 
ANSYS, Inc. (NON)  14,500  619,005  15,800  674,502  --  -- 
Autodesk, Inc.  56,190  2,413,361  62,200  2,671,490  20,600  884,770 
BEA Systems, Inc. (NON)  144,070  1,354,258  162,000  1,522,800  53,500  502,900 
Blackboard, Inc. (NON)  20,198  585,338  22,023  638,227  --  -- 
Citrix Systems, Inc. (NON)  31,680  911,750  34,700  998,666  11,696  336,611 
EPIQ Systems, Inc. (NON)  12,100  224,334  12,100  224,334  --  -- 
Hyperion Solutions Corp. (NON)  45,420  1,626,944  50,985  1,826,283  6,600  236,412 
Internet Security Systems, Inc. (NON)  21,700  454,615  23,800  498,610  --  -- 
KONAMI Corp. (Japan)  12,600  277,070  14,200  312,253  3,400  74,765 
McAfee, Inc. (NON)  95,900  2,601,767  103,200  2,799,816  34,400  933,272 
Microsoft Corp. (SEG)  436,500  11,414,475  485,731  12,701,866  159,500  4,170,925 
MicroStrategy, Inc. (NON)  11,200  926,688  12,300  1,017,702  --  -- 
NTT Data Corp. (Japan)  487  2,422,413  488  2,427,388  130  646,640 
Oracle Corp. (NON)  220,660  2,694,259  243,193  2,969,387  80,100  978,021 
Parametric Technology Corp. (NON)  60,500  369,050  66,200  403,820  --  -- 
Progress Software Corp. (NON)  12,000  340,560  13,100  371,778  --  -- 
SonicWall, Inc. (NON)  125,200  991,584  136,900  1,084,248  21,500  170,280 
SPSS, Inc. (NON)  19,800  612,414  21,900  677,367  7,200  222,696 
Support.com, Inc. (NON)  56,700  239,274  56,700  239,274  --  -- 
Symantec Corp. (NON)  46,950  821,625  51,540  901,950  17,300  302,750 
Synopsys, Inc. (NON)  17,900  359,074  19,600  393,176  --  -- 
Tata Consultancy Services, Ltd. (India)  25,129  950,686  --  --  --  -- 
WebEx Communications, Inc. (NON)  19,814  428,577  21,665  468,614  --  -- 
Websense, Inc. (NON)  31,460  2,065,034  35,500  2,330,220  11,600  761,424 
 
    35,905,050    38,375,096    10,289,566 
Technology    0.2%    0.1%    0.1% 
 
Avnet, Inc. (NON)  16,500  395,010  18,100  433,314  --  -- 
Freescale Semiconductor, Inc. Class B (NON)  57,567  1,448,961  64,681  1,628,021  21,113  531,414 
ON Semiconductor Corp. (NON)  88,000  486,640  96,400  533,092  --  -- 
 
    2,330,611    2,594,427    531,414 
Technology Services    0.7%    0.6%    0.3% 
 
Covansys Corp. (NON)  16,657  226,702  16,667  226,838  --  -- 
CSG Systems International, Inc. (NON)  18,000  401,760  19,400  433,008  --  -- 
DiamondCluster International, Inc. Class A (NON)  41,700  331,098  45,700  362,858  --  -- 
Infospace, Inc. (NON)  35,300  911,446  39,500  1,019,890  9,800  253,036 
Jupitermedia Corp. (NON)  15,600  230,568  18,800  277,864  --  -- 
MTS Systems Corp.  72,300  2,504,472  79,650  2,759,076  15,200  526,528 
Sykes Enterprises, Inc. (NON)  84,600  1,131,102  92,400  1,235,388  13,400  179,158 
Transaction Systems Architects, Inc. (NON)  24,600  708,234  27,100  780,209  9,000  259,110 
Trizetto Group (NON)  109,200  1,855,308  120,500  2,047,295  30,800  523,292 
United Online, Inc.  93,101  1,323,896  103,400  1,470,348  33,900  482,058 
Universo Online SA (Preference) (Brazil) (NON)  1,500  12,661  --  --  --  -- 
Universo Online SA 144A (Brazil) (NON)  20,700  174,717  --  --  --  -- 
VeriSign, Inc. (NON)  22,258  487,895  24,600  539,232  8,200  179,744 
 
    10,299,859    11,152,006    2,402,926 
Transportation    2.0%    1.6%    0.9% 
 
Alaska Air Group, Inc. (NON)  27,160  970,155  29,800  1,064,456  10,000  357,200 
AP Moller - Maersk A/S (Denmark)  287  2,959,652  288  2,969,964  77  794,053 
Arriva PLC (United Kingdom)  156,251  1,562,293  156,736  1,567,143  42,879  428,731 
British Airways PLC (United Kingdom) (NON)  151,051  865,992  115,208  660,500  31,475  180,450 
Burlington Northern Santa Fe Corp.  38,000  2,691,160  41,700  2,953,194  14,000  991,480 
Canadian National Railway Co. (Canada)  3,487  278,088  --  --  --  -- 
Central Japan Railway Co. (Japan)  380  3,638,675  383  3,667,401  102  976,697 
CNF Transportation, Inc.  30,330  1,695,144  33,980  1,899,142  9,300  519,777 
Deutsche Lufthansa AG (Germany)  27,027  398,446  32,100  473,234  7,600  112,043 
Deutsche Post AG (Germany)  6,800  164,569  --  --  --  -- 
DSV, De Sammensluttede Vognmaend A/S (Denmark)  3,550  436,837  3,725  458,371  925  113,824 
East Japan Railway Co. (Japan)  94  645,996  --  --  --  -- 
ExpressJet Holdings, Inc. (NON)  143,650  1,162,129  159,941  1,293,923  37,577  303,998 

FedEx Corp.    12,280  1,269,629  13,200  1,364,748  4,600  475,594 
General Maritime Corp. (SG) (SB)    10,100  374,104  10,960  405,958  --  -- 
Malaysia International Shipping Corp. (Malaysia)    165,700  436,283  --  --  --  -- 
Malaysia International Shipping Corp. (Malaysia)    29,200  76,496  --  --  --  -- 
National Express Group PLC (United Kingdom)    44,228  653,269  47,602  703,105  12,529  185,059 
Neptune Orient Lines, Ltd. (Singapore)    470,000  949,895  485,000  980,211  133,000  268,800 
Norfolk Southern Corp.    53,960  2,419,027  59,400  2,662,902  19,900  892,117 
Orient Overseas International, Ltd. (Hong Kong)    144,000  488,463  154,000  522,384  40,000  135,684 
Overseas Shipholding Group    10,600  534,134  11,700  589,563  3,900  196,521 
Singapore Airlines, Ltd. (Singapore)    81,000  604,150  88,000  656,361  23,000  171,549 
Southwest Airlines Co.    147,600  2,425,068  164,200  2,697,806  53,900  885,577 
WAN HAI Lines, Ltd. (Taiwan)    387,330  241,211  --  --  --  -- 
World Air Holdings, Inc. (NON)    48,400  465,608  53,000  509,860  --  -- 
 
      28,406,473    28,100,226    7,989,154 
Utilities & Power      2.6%    2.0%    1.1% 
 
American Electric Power Co., Inc.    34,300  1,272,187  37,700  1,398,293  12,700  471,043 
Cia de Saneamento Basico do Estado de Sao Paulo (Brazil)    20,103  1,352,258  --  --  --  -- 
E.On AG (Germany)    31,365  3,235,310  29,400  3,032,620  7,800  804,573 
Edison International    53,570  2,336,188  59,915  2,612,893  19,800  863,478 
Electric Power Development Co. (Japan)    15,400  528,515  16,500  566,266  4,400  151,004 
Energen Corp.    83,680  3,039,258  91,700  3,330,544  24,606  893,690 
Energias de Portugal (EDP) SA (Portugal)    180,313  552,919  207,556  636,458  64,538  197,902 
Equitable Resources, Inc.    33,500  1,229,115  38,700  1,419,903  12,400  454,956 
Exelon Corp.    13,100  696,134  14,300  759,902  4,756  252,734 
Inversiones Aguas Metropolitanas SA (Chile) (NON)    343,620  288,700  --  --  --  -- 
Inversiones Aguas Metropolitanas SA ADR 144A (Chile)               
(NON)    14,710  245,657  --  --  --  -- 
Korea Electric Power Corp. (South Korea)    29,540  1,105,556  --  --  --  -- 
MDU Resources Group, Inc.    27,300  893,802  29,900  978,926  9,900  324,126 
National Fuel Gas Co.    43,700  1,363,003  50,300  1,568,857  17,600  548,944 
National Grid PLC (United Kingdom)    58,061  566,577  62,491  609,806  16,447  160,495 
National Thermal Power Corp., Ltd. (India)    205,874  512,855  --  --  --  -- 
Ormat Technologies, Inc.    11,300  295,382  12,400  324,136  --  -- 
Osaka Gas Co., Ltd. (Japan)    561,000  1,934,811  566,000  1,952,055  150,000  517,329 
PG&E Corp.    113,400  4,209,408  126,200  4,684,544  41,400  1,536,768 
RWE AG (Germany)    12,908  949,654  10,676  785,444  2,873  211,369 
Scottish and Southern Energy PLC (United Kingdom)    25,067  436,299  --  --  --  -- 
Sempra Energy    14,477  649,149  15,700  703,988  5,200  233,168 
South Jersey Industries, Inc.    22,700  661,478  25,300  737,242  8,300  241,862 
Suez SA (France)    64,312  1,994,844  58,419  1,812,053  15,461  479,573 
Tractebel Energia SA 144A (Brazil)    61,300  395,272  --  --  --  -- 
TXU Corp.    76,200  3,824,478  82,200  4,125,618  27,400  1,375,206 
Unified Energy System GDR (Russia)    15,696  667,080  --  --  --  -- 
Vector, Ltd. (New Zealand) (NON)    220,474  393,259  246,139  439,037  60,761  108,379 
Veolia Environnement (France)    40,875  1,843,473  32,238  1,453,942  8,565  386,284 
Westar Energy, Inc.    24,000  516,000  25,900  556,850  --  -- 
 
      37,988,621    34,489,377    10,212,883 
 
Total common stocks (cost $1,061,328,431, $1,041,070,238      $1,202,782,844    $1,159,963,262    $313,457,645 
and $267,352,639)               
 
CORPORATE BONDS AND NOTES(a)    Growth 3.5%  Balanced 6.5%  Conservative 8.7% 
    Principal amount  Value  Principal amount  Value  Principal amount  Value 
 
Basic Materials      0.3%    0.5%    0.6% 
 
Abitibi-Consolidated, Inc. bonds 8.55s, 2010 (Canada)    $130,000  $131,625  $175,000  $177,188  $--  $-- 
BCP Crystal US Holdings Corp. sr. sub. notes 9 5/8s, 2014    290,000  322,625  410,000  456,125  190,000  211,375 
Chaparral Steel Co. company guaranty 10s, 2013    140,000  150,850  190,000  204,725  90,000  96,975 
Chevron Phillips Chemical Co., LLC notes 5 3/8s, 2007    --  --  770,000  773,276  495,000  497,106 
Compass Minerals International, Inc. sr. notes stepped-coupon               
zero % (12 3/4s, 12/15/07), 2012 (STP)    160,000  144,800  165,000  149,325  50,000  45,250 
Dow Chemical Co. (The) Pass Through Trust 144A company               
guaranty 4.027s, 2009    --  --  270,000  259,250  320,000  307,260 
Equistar Chemicals, LP/Equistar Funding Corp. company               
guaranty 10 1/8s, 2008    350,000  379,750  473,000  513,205  222,000  240,870 
Georgia-Pacific Corp. debs. 9 1/2s, 2011    130,000  136,988  135,000  142,256  65,000  68,494 
Georgia-Pacific Corp. notes 8 1/8s, 2011    --  --  140,000  140,175  140,000  140,175 
Huntsman International, LLC company guaranty 10 1/8s, 2009    130,000  133,250  175,000  179,375  80,000  82,000 
Huntsman, LLC company guaranty 11 5/8s, 2010    156,000  177,645  211,000  240,276  --  -- 
ICI Wilmington, Inc. company guaranty 5 5/8s, 2013    --  --  255,000  253,819  245,000  243,865 
Innophos, Inc. 144A sr. sub. notes 9 5/8s, 2014    175,000  176,313  250,000  251,875  115,000  115,863 
Ispat Inland ULC sec. notes 9 3/4s, 2014    240,000  271,800  305,000  345,413  150,000  169,875 
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014    --  --  100,000  100,266  95,000  95,253 
Lyondell Chemical Co. notes Ser. A, 9 5/8s, 2007    225,000  234,844  320,000  334,000  151,000  157,606 
MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)    285,000  285,000  405,000  405,000  190,000  190,000 
Metals USA, Inc. 144A sec. notes 11 1/8s, 2015    95,000  97,375  120,000  123,000  60,000  61,500 
Nalco Co. sr. sub. notes 8 7/8s, 2013    230,000  240,925  295,000  309,013  145,000  151,888 
Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015 (Luxembourg)    105,000  103,950  80,000  79,200  --  -- 
Nell AF S.a.r.l. 144A sr. notes 8 3/8s, 2015 (Luxembourg)  EUR  --  --  50,000  60,002  55,000  66,002 
Newmont Mining Corp. notes 5 7/8s, 2035    $--  --  $145,000  143,089  $135,000  133,221 
NewPage Corp. sec. notes 10s, 2012    120,000  117,900  160,000  157,200  80,000  78,600 
Norske Skog Canada, Ltd. company guaranty Ser. D, 8 5/8s,               
2011 (Canada)    155,000  148,025  216,000  206,280  100,000  95,500 
Novelis, Inc. 144A sr. notes 7 1/2s, 2015    225,000  209,813  320,000  298,400  150,000  139,875 
Potash Corp. of Saskatchewan notes 7 3/4s, 2011 (Canada)    --  --  105,000  117,061  105,000  117,061 
PQ Corp. 144A company guaranty 7 1/2s, 2013    60,000  55,800  75,000  69,750  35,000  32,550 
Rockwood Specialties Group, Inc. sub. notes 7 1/2s, 2014    170,000  169,363  240,000  239,100  110,000  109,588 
Steel Dynamics, Inc. company guaranty 9 1/2s, 2009    210,000  221,550  300,000  316,500  120,000  126,600 
Sterling Chemicals, Inc. sec. notes 10s, 2007    102,282  98,191  --  --  68,188  65,460 
Stone Container Corp. sr. notes 9 3/4s, 2011    430,000  434,300  535,000  540,350  265,000  267,650 
Teck Cominco, Ltd. notes 6 1/8s, 2035 (Canada)    --  --  140,000  138,453  140,000  138,453 
Teck Cominco, Ltd. notes 5 3/8s, 2015 (Canada)    --  --  25,000  24,679  25,000  24,679 
Tembec Industries, Inc. company guaranty 8 1/2s, 2011               
(Canada)    45,000  24,975  48,000  26,640  21,000  11,655 
Ucar Finance, Inc. company guaranty 10 1/4s, 2012    170,000  179,563  255,000  269,344  120,000  126,750 
United States Steel Corp. sr. notes 9 3/4s, 2010    80,000  87,000  105,000  114,188  76,000  82,650 
Weyerhaeuser Co. debs. 7.95s, 2025    --  --  205,000  234,843  185,000  211,932 
Weyerhaeuser Co. debs. 7 3/8s, 2032    --  --  180,000  200,108  180,000  200,108 
Weyerhaeuser Co. notes 6 3/4s, 2012    --  --  85,000  90,218  110,000  116,753 
Wheeling-Pittsburgh Steel Corp. sr. notes 6s, 2010 (PIK)    --  --  --  --  403  282 
Wheeling-Pittsburgh Steel Corp. sr. notes 5s, 2011 (PIK)    --  --  --  --  688  559 
 
      4,734,220    8,682,967    5,021,283 
Capital Goods      0.3%    0.4%    0.4% 
 
AEP Industries, Inc. sr. unsub. 7 7/8s, 2013    30,000  29,331  40,000  39,108  20,000  19,554 
Allied Waste North America, Inc. company guaranty Ser. B, 8               
1/2s, 2008    370,000  388,963  --  --  --  -- 
Allied Waste North America, Inc. sec. notes Ser. B, 5 3/4s,               
2011    10,000  9,475  120,000  113,700  55,000  52,113 
Amsted Industries, Inc. 144A sr. notes 10 1/4s, 2011    15,000  16,050  20,000  21,400  10,000  10,700 
Argo-Tech Corp. company guaranty 9 1/4s, 2011    130,000  133,250  170,000  174,250  80,000  82,000 
BE Aerospace, Inc. sr. notes 8 1/2s, 2010    70,000  74,725  --  --  --  -- 
Blount, Inc. sr. sub. notes 8 7/8s, 2012    115,000  121,325  155,000  163,525  85,000  89,675 
Boeing Co. (The) debs. 6 7/8s, 2043    --  --  150,000  180,753  185,000  222,929 
Bombardier, Inc. 144A notes 6 3/4s, 2012 (Canada)    245,000  226,013  290,000  267,525  100,000  92,250 
Browning-Ferris Industries, Inc. debs. 7.4s, 2035    --  --  518,000  455,840  245,000  215,600 
Bunge, Ltd. Finance Corp. notes 5.35s, 2014    --  --  200,000  197,819  195,000  192,873 
Case New Holland, Inc. company guaranty 9 1/4s, 2011    175,000  187,250  225,000  240,750  110,000  117,700 
Crown Americas, LLC/Crown Americas Capital Corp. 144A sr.               
notes 7 5/8s, 2013    275,000  285,313  350,000  363,125  170,000  176,375 
Decrane Aircraft Holdings Co. company guaranty zero %,               
2008 (RES)    --  --  --  --  227,000  125,418 
Earle M. Jorgensen Co. sec. notes 9 3/4s, 2012    170,000  181,475  170,000  181,475  120,000  128,100 
Greenbrier Companies, Inc. 144A sr. notes 8 3/8s, 2015    80,000  81,600  100,000  102,000  50,000  51,000 
Invensys, PLC notes 9 7/8s, 2011 (United Kingdom)    110,000  108,900  155,000  153,450  70,000  69,300 
Jacuzzi Brands, Inc. sec. notes 9 5/8s, 2010    75,000  79,688  95,000  100,938  50,000  53,125 
L-3 Communications Corp. company guaranty 7 5/8s, 2012    290,000  305,225  553,000  582,033  181,000  190,503 
L-3 Communications Corp. company guaranty 6 1/8s, 2013    75,000  74,438  --  --  --  -- 
L-3 Communications Corp. 144A sr. sub. notes 6 3/8s, 2015    170,000  169,575  355,000  354,113  230,000  229,425 
Legrand SA debs. 8 1/2s, 2025 (France)    120,000  144,300  160,000  192,400  75,000  90,188 
Lockheed Martin Corp. bonds 8 1/2s, 2029    --  --  275,000  374,816  260,000  354,372 
Manitowoc Co., Inc. (The) company guaranty 10 1/2s, 2012    115,000  127,938  163,000  181,338  73,000  81,213 
Milacron Escrow Corp. sec. notes 11 1/2s, 2011    55,000  47,025  85,000  72,675  35,000  29,925 
Owens-Brockway Glass sr. sec. notes 8 3/4s, 2012    320,000  344,000  445,000  478,375  210,000  225,750 
Plastipak Holdings, Inc. 144A sr. notes 8 1/2s, 2015    80,000  80,800  100,000  101,000  50,000  50,500 
Pliant Corp. company guaranty 13s, 2010    --  --  --  --  30,000  5,850 
Polypore, Inc. notes 8 3/4s, 2012  EUR  110,000  114,166  150,000  155,681  70,000  72,651 

Raytheon Co. debs. 7s, 2028  $--  --  $140,000  162,664  $130,000  151,045 
Raytheon Co. debs. 6 3/4s, 2018  --  --  165,000  184,375  125,000  139,678 
Sealed Air Corp. 144A notes 5 5/8s, 2013  --  --  205,000  203,494  135,000  134,009 
Siebe PLC 144A sr. unsub. 6 1/2s, 2010 (United Kingdom)  15,000  12,919  20,000  17,225  10,000  8,613 
Solo Cup Co. sr. sub. notes 8 1/2s, 2014  150,000  131,250  200,000  175,000  95,000  83,125 
TD Funding Corp. company guaranty 8 3/8s, 2011  155,000  163,138  190,000  199,975  95,000  99,988 
Tekni-Plex, Inc. 144A sec. notes 10 7/8s, 2012  40,000  43,600  55,000  59,950  25,000  27,250 
Terex Corp. company guaranty 7 3/8s, 2014  245,000  242,550  328,000  324,720  151,000  149,490 
 
    3,924,282    6,575,492    3,822,287 
Communication Services    0.3%    0.6%    0.9% 
 
Alamosa Delaware, Inc. company guaranty 12s, 2009  97,000  106,094  215,000  235,156  --  -- 
Alamosa Delaware, Inc. company guaranty 11s, 2010  131,000  147,703  103,000  116,133  128,000  144,320 
American Cellular Corp. sr. notes Ser. B, 10s, 2011  260,000  282,100  335,000  363,475  160,000  173,600 
American Towers, Inc. company guaranty 7 1/4s, 2011  130,000  135,200  250,000  260,000  95,000  98,800 
Ameritech Capital Funding company guaranty 6 1/4s, 2009  --  --  450,000  464,198  295,000  304,307 
Asia Global Crossing, Ltd. sr. notes 13 3/8s, 2010 (Bermuda)             
(In default) (NON)  180,328  7,664  --  --  94,910  4,034 
AT&T Corp. sr. notes 9 3/4s, 2031  365,000  458,485  670,000  841,603  415,000  521,291 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031  --  --  495,000  655,785  380,000  503,431 
Centennial Cellular Operating Co., LLC company guaranty 10             
1/8s, 2013  100,000  108,750  155,000  168,563  --  -- 
Centennial Cellular Operating Co., LLC sr. sub. notes 10 3/4s,             
2008  74,000  75,480  100,000  102,000  104,000  106,080 
Cincinnati Bell, Inc. company guaranty 7 1/4s, 2013  300,000  312,000  425,000  442,000  180,000  187,200 
Citizens Communications Co. notes 9 1/4s, 2011  340,000  374,850  480,000  529,200  225,000  248,063 
Citizens Communications Co. sr. notes 6 1/4s, 2013  --  --  145,000  140,288  140,000  135,450 
Deutsche Telekom International Finance BV company             
guaranty 8 1/4s, 2030 (Germany)  --  --  280,000  356,123  425,000  540,544 
Dobson Communications Corp. sr. notes 8 7/8s, 2013  270,000  269,325  345,000  344,138  170,000  169,575 
France Telecom notes 8 1/2s, 2031 (France)  --  --  20,000  26,685  --  -- 
France Telecom notes 7 3/4s, 2011 (France)  --  --  335,000  374,175  345,000  385,344 
Horizon PCS, Inc. company guaranty 11 3/8s, 2012  30,000  34,425  40,000  45,900  20,000  22,950 
Inmarsat Finance PLC company guaranty 7 5/8s, 2012 (United             
Kingdom)  163,000  168,094  228,000  235,125  107,000  110,344 
iPCS, Inc. sr. notes 11 1/2s, 2012  140,000  160,650  200,000  229,500  95,000  109,013 
Qwest Corp. notes 8 7/8s, 2012  530,000  597,575  720,000  811,800  330,000  372,075 
Qwest Corp. 144A sr. notes 7 5/8s, 2015  115,000  123,050  155,000  165,850  75,000  80,250 
Rogers Wireless Communications, Inc. sec. notes 9 5/8s, 2011             
(Canada)  220,000  253,000  315,000  362,250  145,000  166,750 
Rural Cellular Corp. sr. sub. notes 9 3/4s, 2010  235,000  237,350  315,000  318,150  155,000  156,550 
SBA Communications Corp. sr. notes 8 1/2s, 2012  39,000  43,290  52,000  57,720  26,000  28,860 
SBA Telecommunications, Inc./SBA Communications Corp. sr.             
disc. notes stepped-coupon zero % (9 3/4s, 12/15/07), 2011             
(STP)  97,000  89,968  147,000  136,343  65,000  60,288 
Sprint Capital Corp. company guaranty 7 5/8s, 2011  --  --  270,000  297,737  190,000  209,519 
Sprint Capital Corp. company guaranty 6.9s, 2019  --  --  295,000  324,910  285,000  313,896 
Sprint Capital Corp. company guaranty 6 7/8s, 2028  --  --  510,000  557,272  645,000  704,785 
Sprint Capital Corp. notes 8 3/8s, 2012  --  --  --  --  65,000  75,333 
Syniverse Technologies, Inc. sr. sub. notes Ser. B, 7 3/4s,             
2013  65,000  65,488  85,000  85,638  40,000  40,300 
Telecom Italia Capital SA company guaranty 4s, 2010             
(Luxembourg)  --  --  240,000  229,003  270,000  257,629 
Telecom Italia Capital SA notes 5 1/4s, 2015 (Luxembourg)  --  --  215,000  209,625  240,000  234,000 
Telecom Italia Capital SA company guaranty 6 3/8s, 2033             
(Luxembourg)  --  --  95,000  96,096  65,000  65,750 
Telecom Italia Capital SA company guaranty 5 1/4s, 2013             
(Luxembourg)  --  --  285,000  279,663  265,000  260,038 
Telefonica Europe BV company guaranty 8 1/4s, 2030             
(Netherlands)  --  --  125,000  155,382  120,000  149,166 
U S West, Inc. debs. 7 1/4s, 2025  85,000  84,575  115,000  114,425  55,000  54,725 
Verizon New England, Inc. sr. notes 6 1/2s, 2011  --  --  245,000  251,318  365,000  374,412 
Verizon New Jersey, Inc. debs. 8s, 2022  --  --  160,000  182,297  165,000  187,993 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030  --  --  440,000  521,586  350,000  414,898 
Verizon Virginia, Inc. debs. Ser. A, 4 5/8s, 2013  --  --  --  --  120,000  111,171 
 
    4,135,116    11,087,112    8,082,734 
Conglomerates    --%    --%    --% 
 
Tyco International Group SA company guaranty 6 3/4s, 2011             
(Luxembourg)  --  --  200,000  210,278  285,000  299,646 
Consumer Cyclicals    0.9%    1.3%    1.5% 
 
Affinion Group, Inc. 144A company guaranty 10 1/8s, 2013  150,000  146,250  190,000  185,250  95,000  92,625 
Ameristar Casinos, Inc. company guaranty 10 3/4s, 2009  85,000  90,100  100,000  106,000  100,000  106,000 
ArvinMeritor, Inc. notes 8 3/4s, 2012  140,000  134,050  200,000  191,500  95,000  90,963 
Associated Materials, Inc. company guaranty 9 3/4s, 2012  100,000  96,500  130,000  125,450  65,000  62,725 
Autonation, Inc. company guaranty 9s, 2008  205,000  220,119  290,000  311,388  115,000  123,481 
Beazer Homes USA, Inc. company guaranty 8 5/8s, 2011  120,000  126,300  169,000  177,873  78,000  82,095 
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012  230,000  240,925  350,000  366,625  160,000  167,600 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)  276,391  282,264  386,071  394,275  179,145  182,952 
Cendant Corp. notes 6 1/4s, 2010  --  --  395,000  408,760  400,000  413,934 
Coinmach Corp. sr. notes 9s, 2010  194,000  203,215  280,000  293,300  143,000  149,793 
Corrections Corporation of America sr. notes 7 1/2s, 2011  125,000  129,375  160,000  165,600  85,000  87,975 
D.R. Horton, Inc. company guaranty 8s, 2009  --  --  70,000  74,602  65,000  69,273 
D.R. Horton, Inc. sr. notes 5 7/8s, 2013  344,000  331,033  705,000  678,425  460,000  442,660 
DaimlerChrysler NA Holding Corp. company guaranty 8s, 2010  --  --  785,000  858,507  595,000  650,716 
DaimlerChrysler NA Holding Corp. company guaranty 7.2s,             
2009  --  --  175,000  185,070  310,000  327,839 
DaimlerChrysler NA Holding Corp. company guaranty 6 1/2s,             
2013  --  --  35,000  36,451  50,000  52,074 
Dana Corp. notes 9s, 2011  160,000  128,800  210,000  169,050  105,000  84,525 
Dex Media, Inc. notes 8s, 2013  365,000  372,300  510,000  520,200  235,000  239,700 
Dura Operating Corp. company guaranty Ser. B, 8 5/8s, 2012  45,000  37,125  48,000  39,600  21,000  17,325 
Ford Motor Co. notes 7.45s, 2031  265,000  180,200  340,000  231,200  165,000  112,200 
Ford Motor Credit Corp. bonds 7 3/8s, 2011  280,000  245,425  360,000  315,546  180,000  157,773 
Ford Motor Credit Corp. FRN 7.26s, 2007  --  --  255,000  243,816  250,000  239,036 
Ford Motor Credit Corp. notes 7 7/8s, 2010  715,000  643,423  910,000  818,902  445,000  400,452 
Ford Motor Credit Corp. notes 7 3/4s, 2007  --  --  20,000  19,308  --  -- 
Ford Motor Credit Corp. notes 7 3/8s, 2009  --  --  1,060,000  940,099  1,090,000  966,706 
General Motors Acceptance Corp. bonds 8s, 2031  565,000  541,203  725,000  694,464  350,000  335,258 
General Motors Acceptance Corp. FRN 5.1s, 2007  --  --  400,000  374,932  405,000  379,618 
General Motors Acceptance Corp. FRN Ser. MTN, 5.243s,             
2006  --  --  244,000  239,432  286,000  280,646 
General Motors Acceptance Corp. FRN Ser. MTN, 5.22s, 2007  --  --  395,000  373,099  360,000  340,039 
General Motors Acceptance Corp. FRN Ser. MTN, 5.05s, 2007  --  --  245,000  232,773  235,000  223,272 
General Motors Acceptance Corp. notes 6 7/8s, 2011  475,000  433,174  605,000  551,727  295,000  269,024 
General Motors Acceptance Corp. notes 5 1/8s, 2008  115,000  102,377  145,000  129,084  70,000  62,316 
Goodman Global Holding Co., Inc. 144A sr. notes 7.491s,             
2012  60,000  59,400  80,000  79,200  40,000  39,600 
Goodman Global Holding Co., Inc. 144A sr. sub. notes 7 7/8s,             
2012  120,000  111,600  155,000  144,150  75,000  69,750 
Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011  230,000  224,250  317,000  309,075  145,000  141,375 
Goodyear Tire & Rubber Co. (The) 144A sr. notes 9s, 2015  135,000  132,975  165,000  162,525  80,000  78,800 
GSC Holdings Corp. 144A company guaranty 8s, 2012  145,000  136,300  190,000  178,600  90,000  84,600 
GTECH Holdings Corp. notes 4 3/4s, 2010  --  --  150,000  136,705  145,000  132,148 
Harrah's Operating Co., Inc. company guaranty 5 3/4s, 2017  --  --  190,000  184,926  190,000  184,926 
Hertz Corp. 144A sr. notes 8 7/8s, 2014  140,000  142,625  175,000  178,281  90,000  91,688 
Hilton Hotels Corp. notes 8 1/4s, 2011  --  --  280,000  306,704  275,000  301,228 
Host Marriott, LP sr. notes Ser. M, 7s, 2012 (R)  320,000  328,000  450,000  461,250  210,000  215,250 
Houghton Mifflin Co. sr. sub. notes 9 7/8s, 2013  280,000  299,250  395,000  422,156  185,000  197,719 
JC Penney Co., Inc. debs. 7 1/8s, 2023  --  --  170,000  189,255  165,000  183,689 
JC Penney Co., Inc. notes 9s, 2012  295,000  348,838  100,000  118,250  195,000  230,588 
JC Penney Co., Inc. notes 8s, 2010  --  --  340,000  372,384  --  -- 
Jostens IH Corp. company guaranty 7 5/8s, 2012  190,000  190,950  265,000  266,325  125,000  125,625 
K. Hovnanian Enterprises, Inc. sr. notes 6 1/2s, 2014  190,000  181,702  265,000  253,426  125,000  119,541 
KB Home company guaranty 5 7/8s, 2015  50,000  47,154  75,000  70,731  35,000  33,008 
KB Home sr. notes 5 3/4s, 2014  80,000  75,430  110,000  103,716  50,000  47,144 
Lamar Media Corp. company guaranty 7 1/4s, 2013  185,000  191,938  260,000  269,750  120,000  124,500 
Levi Strauss & Co. sr. notes 12 1/4s, 2012  240,000  267,600  320,000  356,800  155,000  172,825 
Levi Strauss & Co. sr. notes 9 3/4s, 2015  50,000  52,000  75,000  78,000  40,000  41,600 
May Department Stores Co. (The) notes 5 3/4s, 2014  --  --  75,000  76,466  70,000  71,368 
MeriStar Hospitality Corp. company guaranty 9 1/8s, 2011 (R)  210,000  228,900  285,000  310,650  130,000  141,700 
Meritage Homes Corp. company guaranty 6 1/4s, 2015  200,000  182,000  285,000  259,350  130,000  118,300 
MGM Mirage, Inc. sr. notes 6 3/4s, 2012  315,000  319,331  436,000  441,995  216,000  218,970 
Mohegan Tribal Gaming Authority sr. sub. notes 6 3/8s, 2009  90,000  90,563  130,000  130,813  59,000  59,369 

Movie Gallery, Inc. sr. unsecd. notes 11s, 2012  130,000  101,400  180,000  140,400  85,000  66,300 
Neiman-Marcus Group, Inc. 144A sr. notes 9s, 2015  260,000  265,850  335,000  342,538  165,000  168,713 
NTK Holdings, Inc. sr. disc. notes zero %, 2014  130,000  81,250  165,000  103,125  80,000  50,000 
Owens Corning notes 7 1/2s, 2005 (In default) (NON)(DEF)  145,000  111,288  200,000  153,500  95,000  72,913 
Park Place Entertainment Corp. sr. notes 7s, 2013  --  --  225,000  240,698  225,000  240,698 
Park Place Entertainment Corp. sr. sub. notes 9 3/8s, 2007  --  --  420,000  437,325  215,000  223,869 
Park Place Entertainment Corp. sr. sub. notes 8 7/8s, 2008  285,000  308,156  --  --  --  -- 
Penn National Gaming, Inc. sr. sub. notes 8 7/8s, 2010  190,000  199,500  260,000  273,000  120,000  126,000 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s, 2012  160,000  165,400  230,000  237,763  110,000  113,713 
PRIMEDIA, Inc. company guaranty 8 7/8s, 2011  --  --  275,000  253,688  --  -- 
PRIMEDIA, Inc. sr. notes 8s, 2013  265,000  224,256  70,000  59,238  165,000  139,631 
Samsonite Corp. sr. sub. notes 8 7/8s, 2011  150,000  155,250  215,000  222,525  100,000  103,500 
Scientific Games Corp. company guaranty 6 1/4s, 2012  165,000  162,319  235,000  231,181  110,000  108,213 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014  190,000  195,700  270,000  278,100  125,000  128,750 
Standard Pacific Corp. sr. notes 7s, 2015  295,000  272,138  380,000  350,550  185,000  170,663 
Starwood Hotels & Resorts Worldwide, Inc. company guaranty             
7 7/8s, 2012  325,000  358,313  520,000  573,300  225,000  248,063 
Station Casinos, Inc. sr. notes 6s, 2012  290,000  289,275  405,000  403,988  190,000  189,525 
Technical Olympic USA, Inc. company guaranty 10 3/8s, 2012  115,000  113,131  165,000  162,319  75,000  73,781 
Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s, 2013  280,000  305,900  395,000  431,538  185,000  202,113 
Texas Industries, Inc. 144A sr. notes 7 1/4s, 2013  105,000  108,938  140,000  145,250  65,000  67,438 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub. notes 8 1/2s,             
2014  190,000  183,350  270,000  260,550  125,000  120,625 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s, 2015  320,000  312,000  430,000  419,250  200,000  195,000 
TRW Automotive, Inc. sr. notes 9 3/8s, 2013  127,000  137,478  174,000  188,355  43,000  46,548 
TRW Automotive, Inc. sr. sub. notes 11s, 2013  20,000  22,450  25,000  28,063  90,000  101,025 
United Auto Group, Inc. company guaranty 9 5/8s, 2012  175,000  184,188  245,000  257,863  115,000  121,038 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009  240,000  236,400  340,000  334,900  160,000  157,600 
WCI Communities, Inc. company guaranty 9 1/8s, 2012  230,000  227,700  --  --  --  -- 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st             
mtge. 6 5/8s, 2014  270,000  262,575  380,000  369,550  175,000  170,188 
 
    13,279,169    23,212,348    13,841,813 
Consumer Staples    0.6%    0.9%    1.2% 
 
Adelphia Communications Corp. sr. notes 10 7/8s, 2010 (In             
default) (NON)  200,000  112,000  270,000  151,200  125,000  70,000 
Affinity Group, Inc. sr. sub. notes 9s, 2012  175,000  174,781  250,000  249,688  115,000  114,856 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014  255,000  230,775  360,000  325,800  143,000  129,415 
Ashtead Holdings PLC 144A sr. notes 8 5/8s, 2015 (United             
Kingdom)  --  --  80,000  84,200  --  -- 
CCH I Holdings, LLC 144A company guaranty 11 1/8s, 2014  143,000  83,298  200,000  116,500  212,000  123,490 
CCH I, LLC 144A secd. notes 11s, 2015  440,000  369,600  615,000  516,600  174,000  146,160 
Church & Dwight Co., Inc. company guaranty 6s, 2012  130,000  128,050  180,000  177,300  85,000  83,725 
Cinemark, Inc. sr. disc. notes stepped-coupon zero % (9 3/4s,             
3/15/07), 2014 (STP)  405,000  299,700  545,000  403,300  255,000  188,700 
Clear Channel Communications, Inc. sr. notes 5 3/4s, 2013  --  --  110,000  107,848  110,000  107,848 
Comcast Cable Communications sr. notes 7 1/8s, 2013  --  --  205,000  222,823  225,000  244,562 
Comcast Corp. company guaranty 5 1/2s, 2011  --  --  85,000  85,461  300,000  301,627 
Comcast Corp. company guaranty 4.95s, 2016  --  --  310,000  292,438  290,000  273,571 
Constellation Brands, Inc. company guaranty Ser. B, 8s, 2008  225,000  234,563  --  --  135,000  140,738 
Constellation Brands, Inc. sr. sub. notes Ser. B, 8 1/8s, 2012  --  --  270,000  282,825  --  -- 
Cox Communications, Inc. notes 7 3/4s, 2010  --  --  135,000  146,214  200,000  216,614 
Cox Communications, Inc. notes 6 3/4s, 2011  --  --  195,000  203,913  230,000  240,513 
Cox Enterprises, Inc. 144A notes 7 7/8s, 2010  --  --  225,000  243,919  110,000  119,249 
CSC Holdings, Inc. debs. Ser. B, 8 1/8s, 2009  405,000  409,050  570,000  575,700  265,000  267,650 
CVS Corp. 144A pass-through certificates 6.117s, 2013  --  --  216,835  225,189  168,157  174,637 
Dean Foods Co. sr. notes 8.15s, 2007  175,000  179,813  270,000  277,425  141,000  144,878 
Del Monte Corp. company guaranty 6 3/4s, 2015  230,000  224,250  320,000  312,000  150,000  146,250 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012  35,000  37,188  45,000  47,813  20,000  21,250 
Delhaize America, Inc. company guaranty 8 1/8s, 2011  220,000  239,815  650,000  708,544  465,000  506,881 
Diageo PLC company guaranty 8s, 2022  --  --  165,000  208,411  135,000  170,518 
DirecTV Holdings, LLC company guaranty 6 3/8s, 2015  290,000  283,475  395,000  386,113  90,000  87,975 
DirecTV Holdings, LLC sr. notes 8 3/8s, 2013  --  --  --  --  85,000  91,375 
Doane Pet Care Co. 144A sr. sub. notes 10 5/8s, 2015  130,000  135,525  165,000  172,013  80,000  83,400 
Dole Food Co. sr. notes 8 5/8s, 2009  98,000  100,450  197,000  201,925  88,000  90,200 
Echostar DBS Corp. sr. notes 6 3/8s, 2011  440,000  423,500  620,000  596,750  290,000  279,125 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014  210,000  212,100  275,000  277,750  130,000  131,300 
Granite Broadcasting Corp. sec. notes 9 3/4s, 2010  225,000  207,000  305,000  280,600  145,000  133,400 
Insight Midwest, LP/Insight Capital, Inc. sr. notes 10 1/2s,             
2010  160,000  168,200  250,000  262,813  --  -- 
Insight Midwest, LP/Insight Capital, Inc. sr. notes 9 3/4s, 2009  --  --  --  --  100,000  103,000 
Intelsat Bermuda, Ltd. 144A sr. notes 8 5/8s, 2015 (Bermuda)  190,000  191,900  265,000  267,650  125,000  126,250 
Jean Coutu Group, Inc. sr. notes 7 5/8s, 2012 (Canada)  80,000  78,800  110,000  108,350  50,000  49,250 
Jean Coutu Group, Inc. sr. sub. notes 8 1/2s, 2014 (Canada)  125,000  114,375  170,000  155,550  80,000  73,200 
Jones Intercable, Inc. sr. notes 7 5/8s, 2008  --  --  110,000  115,679  25,000  26,291 
Kabel Deutscheland GmbH 144A company guaranty 10 5/8s,             
2014 (Germany)  115,000  121,038  160,000  168,400  75,000  78,938 
Kroger Co. company guaranty 6 3/4s, 2012  --  --  --  --  150,000  157,747 
Liberty Media Corp. debs. 8 1/4s, 2030  195,000  191,072  245,000  240,065  120,000  117,583 
LIN Television Corp. company guaranty Ser. B, 6 1/2s, 2013  55,000  52,731  70,000  67,113  30,000  28,763 
LIN Television Corp. sr. sub. notes 6 1/2s, 2013  20,000  19,175  25,000  23,969  15,000  14,381 
Miller Brewing Co. 144A notes 5 1/2s, 2013  --  --  305,000  310,422  235,000  239,177 
News America Holdings, Inc. debs. 7 3/4s, 2045  --  --  75,000  85,983  80,000  91,715 
News America, Inc. debs. 7 1/4s, 2018  --  --  225,000  250,772  210,000  234,054 
News America, Inc. 144A notes 6.4s, 2035  --  --  235,000  236,865  305,000  307,421 
PanAmSat Corp. company guaranty 9s, 2014  180,000  188,550  225,000  235,688  110,000  115,225 
Paxson Communications Corp. company guaranty zero %,             
2009  170,000  179,988  245,000  259,394  115,000  121,756 
Paxson Communications Corp. 144A sec. FRN 10.777s, 2013  70,000  67,288  90,000  86,513  45,000  43,256 
Paxson Communications Corp. 144A sec. FRN 7.777s, 2012  90,000  89,438  110,000  109,313  60,000  59,625 
Pinnacle Foods Holding Corp. sr. sub. notes 8 1/4s, 2013  210,000  200,025  300,000  285,750  140,000  133,350 
Playtex Products, Inc. company guaranty 9 3/8s, 2011  240,000  251,400  340,000  356,150  160,000  167,600 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012  150,000  147,750  210,000  206,850  100,000  98,500 
Quebecor Media, Inc. sr. notes 11 1/8s, 2011 (Canada)  210,000  227,850  285,000  309,225  135,000  146,475 
Rainbow National Services, LLC 144A sr. notes 8 3/4s, 2012  225,000  239,625  320,000  340,800  150,000  159,750 
Remington Arms Co., Inc. company guaranty 10 1/2s, 2011  205,000  182,450  300,000  267,000  125,000  111,250 
Rite Aid Corp. debs. 6 7/8s, 2013  70,000  58,450  --  --  --  -- 
Rite Aid Corp. sr. notes 9 1/4s, 2013  220,000  206,250  380,000  356,250  180,000  168,750 
Sbarro, Inc. company guaranty 11s, 2009  170,000  169,150  235,000  233,825  110,000  109,450 
Sinclair Broadcast Group, Inc. company guaranty 8 3/4s, 2011  260,000  273,325  390,000  409,988  140,000  147,175 
Sirius Satellite Radio, Inc. 144A sr. notes 9 5/8s, 2013  140,000  137,900  180,000  177,300  90,000  88,650 
Six Flags, Inc. sr. notes 8 7/8s, 2010  100,000  98,000  140,000  137,200  70,000  68,600 
Supervalu, Inc. notes 7 7/8s, 2009  --  --  165,000  174,732  155,000  164,142 
TCI Communications, Inc. debs. 9.8s, 2012  --  --  65,000  78,416  50,000  60,320 
TCI Communications, Inc. debs. 8 3/4s, 2015  --  --  175,000  212,046  100,000  121,169 
TCI Communications, Inc. debs. 7 7/8s, 2013  --  --  230,000  259,961  325,000  367,336 
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023  --  --  25,000  28,908  165,000  190,792 
Time Warner, Inc. company guaranty 6.95s, 2028  --  --  --  --  30,000  31,082 
Time Warner, Inc. debs. 9.15s, 2023  --  --  25,000  30,745  105,000  129,129 
Time Warner, Inc. debs. 9 1/8s, 2013  --  --  900,000  1,065,218  785,000  929,107 
Turner Broadcasting System, Inc. sr. notes 8 3/8s, 2013  --  --  115,000  132,435  95,000  109,403 
United Rentals NA, Inc. sr. sub. notes 7 3/4s, 2013  45,000  43,875  48,000  46,800  21,000  20,475 
United Rentals NA, Inc. company quaranty 6 1/2s, 2012  200,000  194,750  250,000  243,438  125,000  121,719 
Universal City Florida Holding Co. sr. notes 8 3/8s, 2010  185,000  180,838  260,000  254,150  120,000  117,300 
Young Broadcasting, Inc. company guaranty 10s, 2011  185,000  173,206  260,000  243,425  124,000  116,095 
 
    8,332,332    16,715,413    10,695,158 
Energy    0.3%    0.5%    0.5% 
 
Amerada Hess Corp. bonds 7 7/8s, 2029  --  --  160,000  193,741  160,000  193,741 
Arch Western Finance, LLC sr. notes 6 3/4s, 2013  365,000  371,844  515,000  524,656  240,000  244,500 
Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012             
(Cayman Islands)  115,000  123,625  160,000  172,000  75,000  80,625 
Buckeye Partners, LP notes 5.3s, 2014  --  --  115,000  113,957  115,000  113,957 
Chaparral Energy, Inc. 144A sr. notes 8 1/2s, 2015  120,000  124,200  150,000  155,250  75,000  77,625 
Chesapeake Energy Corp. company guaranty 7 3/4s, 2015  383,000  405,980  --  --  --  -- 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  --  --  515,000  547,188  250,000  265,625 
Compton Petroleum Corp. 144A sr. notes 7 5/8s, 2013             
(Canada)  160,000  163,600  200,000  204,500  95,000  97,138 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  125,000  122,344  175,000  171,281  80,000  78,300 
Dresser, Inc. company guaranty 9 3/8s, 2011  205,000  215,763  275,000  289,438  115,000  121,038 
Enbridge Energy Partners, LP sr. notes 5.35s, 2014  --  --  120,000  118,355  115,000  113,423 
Encore Acquisition Co. sr. sub. notes 6s, 2015  290,000  266,800  402,000  369,840  184,000  169,280 
Forest Oil Corp. company guaranty 7 3/4s, 2014  95,000  98,563  145,000  150,438  135,000  140,063 
Forest Oil Corp. sr. notes 8s, 2011  110,000  120,175  270,000  294,975  120,000  131,100 

Hanover Compressor Co. sr. notes 9s, 2014  205,000  223,450  290,000  316,100  135,000  147,150 
Inergy, LP/Inergy Finance Corp. sr. notes 6 7/8s, 2014  195,000  177,450  275,000  250,250  130,000  118,300 
Kerr-McGee Corp. sec. notes 6.95s, 2024  180,000  190,923  230,000  243,957  110,000  116,675 
Massey Energy Co. sr. notes 6 5/8s, 2010  190,000  193,088  265,000  269,306  125,000  127,031 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012  --  --  235,000  236,392  225,000  226,333 
Newfield Exploration Co. sr. notes 7 5/8s, 2011  200,000  213,500  280,000  298,900  130,000  138,775 
Occidental Petroleum Corp. debs. 10 1/8s, 2009  --  --  390,000  458,843  250,000  294,130 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  180,000  168,300  245,000  229,075  115,000  107,525 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011  58,372  60,682  84,905  88,264  61,026  63,440 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  290,000  281,300  410,000  397,700  195,000  189,150 
Plains Exploration & Production Co. sr. sub. notes 8 3/4s,             
2012  295,000  317,863  415,000  447,163  200,000  215,500 
Pogo Producing Co. 144A sr. sub. notes 6 7/8s, 2017  145,000  141,375  190,000  185,250  90,000  87,750 
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015  --  --  75,000  79,952  80,000  85,282 
Pride International, Inc. sr. notes 7 3/8s, 2014  195,000  209,138  275,000  294,938  130,000  139,425 
Star Gas Partners, LP/Star Gas Finance Co. sr. notes 10 1/4s,             
2013  25,000  24,688  35,000  34,563  20,000  19,750 
Sunoco, Inc. notes 4 7/8s, 2014  --  --  130,000  126,864  110,000  107,346 
Valero Energy Corp. sr. unsecd. notes 7 1/2s, 2032  --  --  160,000  194,447  160,000  194,447 
Vintage Petroleum, Inc. sr. notes 8 1/4s, 2012  225,000  241,313  300,000  321,750  140,000  150,150 
Whiting Petroleum Corp. 144A sr. sub. notes 7s, 2014  120,000  120,300  150,000  150,375  75,000  75,188 
 
    4,576,264    7,929,708    4,429,762 
Financial    --%    0.9%    1.7% 
 
Allfirst Financial Inc. sub. notes 7.2s, 2007  --  --  235,000  242,282  180,000  185,578 
American General Corp. notes 7 1/2s, 2010  --  --  355,000  389,169  380,000  416,575 
Archstone-Smith Operating Trust notes 5 1/4s, 2010 (R)  --  --  125,000  125,048  125,000  125,048 
Associates First Capital Corp. debs. 6.95s, 2018  --  --  150,000  172,677  145,000  166,921 
AXA Financial, Inc. sr. notes 7 3/4s, 2010  --  --  290,000  321,116  220,000  243,606 
Bank of New York Co., Inc. (The) sr. sub. notes FRN 3.4s,             
2013  --  --  110,000  106,386  75,000  72,536 
Bank One Corp. sub. debs. 7 5/8s, 2026  --  --  165,000  201,526  150,000  183,206 
Bank One Corp. sub. notes 5 1/4s, 2013  --  --  30,000  30,047  115,000  115,180 
Barclays Bank PLC FRB 6.278s, 2049 (United Kingdom)  --  --  250,000  250,700  240,000  240,672 
Block Financial Corp. notes 5 1/8s, 2014  --  --  155,000  145,483  155,000  145,483 
Bosphorus Financial Services, Ltd. 144A sec. FRN 6.14s,             
2012 (Cayman Islands)  200,000  201,026  629,000  632,227  602,000  605,088 
Capital One Bank notes 6 1/2s, 2013  --  --  145,000  154,054  140,000  148,741 
CIT Group, Inc. sr. notes 7 3/4s, 2012  --  --  --  --  80,000  90,686 
CIT Group, Inc. sr. notes 5s, 2015  --  --  105,000  102,464  125,000  121,981 
CIT Group, Inc. sr. notes 5s, 2014  --  --  880,000  860,776  730,000  714,053 
Citigroup, Inc. sub. notes 5s, 2014  --  --  271,000  266,760  463,000  455,756 
Colonial Properties Trust notes 6 1/4s, 2014 (R)  --  --  145,000  149,734  130,000  134,245 
Countrywide Capital III company guaranty Ser. B, 8.05s, 2027  --  --  230,000  277,949  180,000  217,525 
Developers Diversified Realty Corp. unsecd. notes 5 3/8s,             
2012 (R)  --  --  85,000  83,718  85,000  83,718 
E*Trade Finance Corp. sr. notes 8s, 2011  180,000  187,200  255,000  265,200  120,000  124,800 
Equity One, Inc. company guaranty 3 7/8s, 2009 (R)  --  --  190,000  180,894  190,000  180,894 
ERP Operating, LP notes 6.584s, 2015  --  --  125,000  135,804  120,000  130,372 
Executive Risk Capital Trust company guaranty Ser. B, 8.675s,             
2027  --  --  430,000  461,553  300,000  322,014 
Finova Group, Inc. notes 7 1/2s, 2009  228,000  79,800  322,050  112,718  151,050  52,868 
Fleet Capital Trust V bank guaranty FRN 5.497s, 2028  --  --  225,000  224,401  220,000  219,414 
Fund American Cos. Inc. notes 5 7/8s, 2013  --  --  300,000  303,041  275,000  277,787 
Greenpoint Capital Trust I company guaranty 9.1s, 2027  --  --  130,000  141,762  115,000  125,405 
Hartford Financial Services Group, Inc. (The) sr. notes 7.9s,             
2010  --  --  260,000  289,322  295,000  328,269 
Heritage Property Investment Trust company guaranty 5 1/8s,             
2014 (R)  --  --  170,000  163,865  160,000  154,225 
Hospitality Properties Trust notes 6 3/4s, 2013 (R)  --  --  175,000  186,444  175,000  186,444 
HRPT Properties Trust bonds 5 3/4s, 2014 (R)  --  --  115,000  116,156  105,000  106,056 
HRPT Properties Trust notes 6 1/4s, 2016 (R)  --  --  105,000  106,999  95,000  96,809 
HSBC Capital Funding, LP 144A bank guaranty FRB 4.61s,             
2013 (Jersey)  --  --  345,000  325,366  325,000  306,505 
HSBC Finance Capital Trust IX FRN 5.911s, 2035  --  --  500,000  504,254  500,000  504,254 
ILFC E-Capital Trust I 144A FRB 5.9s, 2065  --  --  100,000  100,393  110,000  110,432 
ILFC E-Capital Trust II 144A FRB 6 1/4s, 2065  --  --  --  --  110,000  111,657 
International Lease Finance Corp. FRN Ser. MTNP, 4.55s,             
2010  --  --  505,000  506,948  465,000  466,794 
International Lease Finance Corp. notes 4 3/4s, 2012  --  --  75,000  73,125  45,000  43,875 
iStar Financial, Inc. sr. notes 6s, 2010 (R)  --  --  290,000  295,435  280,000  285,247 
John Hancock Global Funding II 144A notes 7.9s, 2010  --  --  135,000  151,812  125,000  140,567 
JPMorgan Chase & Co. sub. notes 5 1/8s, 2014  --  --  265,000  262,326  500,000  494,956 
JPMorgan Chase Capital XV notes 5 7/8s, 2035  --  --  675,000  671,106  455,000  452,375 
Lehman Brothers E-Capital Trust I 144A FRN 5.15s, 2065  --  --  215,000  215,537  225,000  225,562 
Lehman Brothers Holdings, Inc. notes 6 5/8s, 2012  --  --  15,000  16,195  30,000  32,390 
Liberty Mutual Group 144A notes 6 1/2s, 2035  --  --  90,000  87,807  155,000  151,223 
Liberty Mutual Insurance 144A notes 7.697s, 2097  --  --  380,000  400,572  325,000  342,595 
Loews Corp. notes 5 1/4s, 2016  --  --  95,000  93,886  100,000  98,828 
MetLife, Inc. notes 5.7s, 2035  --  --  165,000  165,611  160,000  160,593 
MetLife, Inc. notes 5s, 2015  --  --  285,000  279,531  295,000  289,339 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  --  --  125,000  127,434  425,000  433,274 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  --  --  210,000  263,535  --  -- 
Nuveen Investments, Inc. sr. notes 5 1/2s, 2015  --  --  110,000  108,127  110,000  108,127 
Nuveen Investments, Inc. sr. notes 5s, 2010  --  --  110,000  108,232  110,000  108,232 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  --  --  140,000  157,767  130,000  146,498 
PNC Bank NA notes 4 7/8s, 2017  --  --  220,000  210,791  225,000  215,581 
Prudential Holdings, LLC 144A bonds 8.695s, 2023  --  --  265,000  335,864  245,000  310,515 
Prudential Insurance Co. 144A notes 8.3s, 2025  --  --  380,000  491,839  235,000  304,164 
Rouse Co. (The) notes 7.2s, 2012 (R)  --  --  230,000  241,337  220,000  230,844 
Royal Bank of Scotland Group PLC bonds Ser. 1, 9.118s,             
2049 (United Kingdom)  --  --  500,000  572,800  480,000  549,888 
Simon Property Group, LP 144A unsub. notes 5 3/4s, 2015 (R)  --  --  165,000  167,435  165,000  167,435 
Sovereign Bancorp, Inc. 144A sr. notes 4.8s, 2010  --  --  155,000  151,910  155,000  151,910 
Transamerica Capital III company guaranty 7 5/8s, 2037  --  --  240,000  279,149  240,000  279,149 
UBS AG/Jersey Branch FRN 7 1/2s, 2008 (Jersey)  --  --  685,000  708,119  530,000  547,888 
UBS Preferred Funding Trust I company guaranty 8.622s,             
2049  --  --  285,000  326,014  260,000  297,416 
Washington Mutual, Inc. sub. notes 8 1/4s, 2010  --  --  100,000  111,346  280,000  311,770 
Western Financial Bank sub. debs. 9 5/8s, 2012  170,000  189,975  240,000  268,200  110,000  122,925 
Westpac Capital Trust III 144A sub. notes FRN 5.819s, 2049             
(Australia)  --  --  295,000  301,396  230,000  234,986 
Zurich Capital Trust I 144A company guaranty 8.376s, 2037  --  --  245,000  265,154  245,000  265,154 
 
    658,001    16,546,628    15,774,903 
Health Care    0.3%    0.3%    0.4% 
 
Alderwoods Group, Inc. company guaranty 7 3/4s, 2012  180,000  186,300  250,000  258,750  120,000  124,200 
Bayer Corp. 144A FRB 6.2s, 2008  --  --  220,000  224,772  160,000  163,470 
Community Health Systems, Inc. sr. sub. notes 6 1/2s, 2012  205,000  199,619  280,000  272,650  130,000  126,588 
DaVita, Inc. company guaranty 6 5/8s, 2013  365,000  371,388  495,000  503,663  230,000  234,025 
Elan Finance PLC/Elan Finance Corp, company guaranty 7             
3/4s, 2011 (Ireland)  135,000  126,225  190,000  177,650  90,000  84,150 
HCA, Inc. sr. notes 7 7/8s, 2011  416,000  447,265  590,000  634,343  275,000  295,668 
Healthsouth Corp. notes 7 5/8s, 2012  110,000  111,100  190,000  191,900  150,000  151,500 
Hospira, Inc. notes 5.9s, 2014  --  --  90,000  92,954  85,000  87,790 
MQ Associates, Inc. sr. disc. notes stepped-coupon zero % (12             
1/4s, 8/15/08), 2012 (STP)  250,000  142,500  335,000  190,950  175,000  99,750 
Omnicare, Inc. sr. sub. notes 6 7/8s, 2015  70,000  71,050  90,000  91,350  45,000  45,675 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013  230,000  227,125  325,000  320,938  150,000  148,125 
Psychiatric Solutions, Inc. company guaranty 7 3/4s, 2015  140,000  144,550  190,000  196,175  90,000  92,925 
Service Corp. International 144A sr. notes 6 3/4s, 2016  255,000  248,625  360,000  351,000  170,000  165,750 
Stewart Enterprises, Inc. 144A sr. notes 7 1/4s, 2013  205,000  196,800  270,000  259,200  125,000  120,000 
Tenet Healthcare Corp. notes 7 3/8s, 2013  300,000  276,750  385,000  355,163  175,000  161,438 
Tenet Healthcare Corp. 144A sr. notes 9 1/4s, 2015  165,000  163,763  235,000  233,238  110,000  109,175 
Triad Hospitals, Inc. sr. sub. notes 7s, 2013  320,000  320,800  450,000  451,125  210,000  210,525 
US Oncology, Inc. company guaranty 9s, 2012  125,000  133,750  170,000  181,900  80,000  85,600 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s, 2014  120,000  127,500  170,000  180,625  80,000  85,000 
Ventas Realty, LP/Capital Corp. company guaranty 9s, 2012             
(R)  165,000  188,100  235,000  267,900  110,000  125,400 
WellPoint, Inc. notes 5s, 2014  --  --  110,000  108,053  105,000  103,142 
Wyeth notes 5 1/2s, 2014  --  --  545,000  552,059  550,000  557,124 
 
    3,683,210    6,096,358    3,377,020 
Other    --%    --%    0.1% 
 
Dow Jones CDX HY 4-T1 pass-through certificates Ser. 4-T1,             
8 1/4s, 2010  --  --  --  --  1,176,000  1,189,230 
 
Technology    0.2%    0.3%    0.3% 

Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012  320,000  323,200  430,000  434,300  200,000  202,000 
Amkor Technologies, Inc. sr. notes 7 3/4s, 2013  190,000  165,300  253,000  220,110  116,000  100,920 
Avnet, Inc. notes 6s, 2015  --  --  160,000  155,648  160,000  155,648 
Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada)  60,000  60,450  85,000  85,638  40,000  40,300 
Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada)  140,000  138,075  190,000  187,388  90,000  88,763 
Computer Associates International, Inc. 144A sr. notes 5 5/8s,             
2014  140,000  137,829  365,000  359,340  275,000  270,735 
Electronic Data Systems Corp. sec. sr. notes Ser. B, 6 1/2s,             
2013  280,000  287,760  355,000  364,838  175,000  179,850 
Freescale Semiconductor, Inc. sr. notes Ser. B, 7 1/8s, 2014  240,000  255,600  340,000  362,100  160,000  170,400 
Iron Mountain, Inc. company guaranty 8 5/8s, 2013  15,000  15,675  --  --  120,000  125,400 
Iron Mountain, Inc. sr. sub. notes 8 1/4s, 2011  215,000  218,225  360,000  365,400  40,000  40,600 
Lucent Technologies, Inc. debs. 6.45s, 2029  180,000  154,350  255,000  218,663  120,000  102,900 
Seagate Technology Hdd Holdings company guaranty 8s,             
2009 (Cayman Islands)  200,000  210,000  305,000  320,250  --  -- 
SunGard Data Systems, Inc. 144A sr. sub. notes 10 1/4s, 2015  140,000  140,000  190,000  190,000  90,000  90,000 
SunGard Data Systems, Inc. 144A sr. unsecd. notes 9 1/8s,             
2013  260,000  269,100  330,000  341,550  160,000  165,600 
UGS Corp. company guaranty 10s, 2012  160,000  174,400  220,000  239,800  120,000  130,800 
Unisys Corp. sr. notes 8s, 2012  155,000  143,375  195,000  180,375  95,000  87,875 
Xerox Corp. sr. notes 6 7/8s, 2011  360,000  372,600  505,000  522,675  235,000  243,225 
 
    3,065,939    4,548,075    2,195,016 
Transportation    --%    0.1%    0.1% 
 
Continental Airlines, Inc. pass-through certificates Ser. 97-4A,             
6.9s, 2018  --  --  72,267  72,087  60,223  60,072 
Continental Airlines, Inc. pass-through certificates Ser. 98-1A,             
6.648s, 2017  --  --  390,089  386,188  275,115  272,364 
Continental Airlines, Inc. pass-through certificates Ser. 98-3,             
6.32s, 2008  --  --  5,000  4,970  75,000  74,552 
CSX Corp. notes 6 3/4s, 2011  --  --  205,000  219,686  180,000  192,895 
Kansas City Southern Railway Co. company guaranty 9 1/2s,             
2008  190,000  205,675  255,000  276,038  120,000  129,900 
Navistar International Corp. company guaranty Ser. B, 9 3/8s,             
2006  70,000  70,963  --  --  --  -- 
Union Pacific Corp. 144A pass-through certificates 5.214s,             
2014  --  --  115,000  114,863  100,000  99,881 
 
    276,638    1,073,832    829,664 
Utilities & Power    0.3%    0.7%    1.0% 
 
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  --  --  165,000  166,971  190,000  192,269 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013  380,000  413,676  530,000  577,046  245,000  266,702 
Appalachian Power Co. sr. notes 5.8s, 2035  --  --  145,000  142,644  120,000  118,050 
Atmos Energy Corp. notes 4.95s, 2014  --  --  180,000  173,456  175,000  168,638 
Beaver Valley II Funding debs. 9s, 2017  --  --  205,000  235,149  160,000  183,531 
Boardwalk Pipelines, LLC notes 5 1/2s, 2017  --  --  70,000  69,750  65,000  64,768 
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011  --  --  240,000  265,363  185,000  204,551 
Cleveland Electric Illuminating Co. (The) 144A sr. notes Ser. D,             
7.88s, 2017  --  --  115,000  139,152  110,000  133,102 
CMS Energy Corp. sr. notes 7 1/2s, 2009  185,000  190,550  230,000  236,900  120,000  123,600 
Colorado Interstate Gas Co. debs. 6.85s, 2037  30,000  30,590  50,000  50,983  25,000  25,492 
Colorado Interstate Gas Co. sr. notes 5.95s, 2015  10,000  9,659  15,000  14,488  10,000  9,659 
Consolidated Natural Gas Co. sr. notes 5s, 2014  --  --  180,000  174,632  315,000  305,605 
Consumers Energy Co. 1st mtge. 5.65s, 2020  --  --  110,000  107,921  150,000  147,165 
Consumers Energy Co. 1st mtge. 5s, 2012  --  --  255,000  249,451  260,000  254,342 
Consumers Energy Co. 1st mtge. Ser. B, 5 3/8s, 2013  --  --  180,000  178,692  140,000  138,982 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013  --  --  170,000  169,225  160,000  159,271 
DPL, Inc. sr. notes 6 7/8s, 2011  187,000  197,051  252,000  265,545  119,000  125,396 
Duke Energy Field Services, LLC 144A notes 5 3/8s, 2015  --  --  55,000  54,497  55,000  54,497 
Dynegy Holdings, Inc. 144A sec. notes 10 1/8s, 2013  245,000  276,850  330,000  372,900  155,000  175,150 
Dynegy-Roseton Danskamme company guaranty Ser. B,             
7.67s, 2016  145,000  145,363  195,000  195,488  90,000  90,225 
El Paso Corp. sr. notes Ser. MTN, 7.8s, 2031  490,000  488,775  655,000  653,363  305,000  304,238 
Entergy Gulf States, Inc. 1st mtge. 3.6s, 2008  --  --  120,000  115,394  120,000  115,394 
Ferrellgas, LP/Finance sr. notes 6 3/4s, 2014  215,000  203,175  300,000  283,500  140,000  132,300 
FirstEnergy Corp. notes Ser. B, 6.45s, 2011  --  --  5,000  5,300  35,000  37,100 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  --  --  115,000  120,973  110,000  115,713 
Ipalco Enterprises, Inc. sec. notes 8 3/8s, 2008  --  --  90,000  94,275  95,000  99,513 
Kansas Gas & Electric bonds 5.647s, 2021  --  --  65,000  64,332  65,000  64,332 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012  --  --  170,000  179,905  165,000  174,613 
MidAmerican Energy Holdings Co. sr. notes 5 7/8s, 2012  --  --  285,000  294,223  285,000  294,223 
Midwest Generation, LLC sec. sr. notes 8 3/4s, 2034  420,000  462,525  565,000  622,206  270,000  297,338 
Mirant North America, LLC 144A sr. notes 7 3/8s, 2013  170,000  171,913  215,000  217,419  115,000  116,294 
Monongahela Power Co. 1st mtge. 5s, 2006  --  --  410,000  409,792  365,000  364,815 
National Fuel Gas Co. notes 5 1/4s, 2013  --  --  145,000  144,249  100,000  99,482 
Nevada Power Co. 2nd mtge. 9s, 2013  94,000  103,518  239,000  263,201  145,000  159,682 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s, 2015  --  --  80,000  79,386  120,000  119,079 
NiSource Finance Corp. company guaranty 5.45s, 2020  --  --  280,000  271,298  280,000  271,298 
NiSource Finance Corp. company guaranty 5 1/4s, 2017  --  --  30,000  29,181  30,000  29,181 
NRG Energy, Inc. company guaranty 8s, 2013  177,000  197,355  238,000  265,370  109,000  121,535 
Oncor Electric Delivery Co. debs. 7s, 2022  --  --  --  --  30,000  33,344 
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033  --  --  195,000  228,395  220,000  257,676 
Oncor Electric Delivery Co. sec. notes 6 3/8s, 2012  --  --  295,000  311,076  230,000  242,534 
PacifiCorp Sinking Fund 1st mtge. 5.45s, 2013  --  --  225,000  230,000  180,000  184,000 
Potomac Edison Co. 1st mtge. 5.35s, 2014  --  --  --  --  65,000  64,968 
Power Receivable Finance, LLC 144A sr. notes 6.29s, 2012  --  --  255,889  260,121  221,192  224,851 
PP&L Capital Funding, Inc. company guaranty Ser. D, 8 3/8s,             
2007  --  --  135,000  140,782  135,000  140,782 
PSEG Energy Holdings, Inc. sr. notes 8 1/2s, 2011  175,000  187,250  225,000  240,750  110,000  117,700 
Public Service Co. of Colorado sr. notes Ser. A, 6 7/8s, 2009  --  --  215,000  227,836  205,000  217,239 
Public Service Co. of New Mexico sr. notes 4.4s, 2008  --  --  125,000  122,915  100,000  98,332 
Public Service Electric & Gas Co. 1st mtge. 6 3/8s, 2008  --  --  175,000  179,940  175,000  179,940 
Sierra Pacific Resources sr. notes 8 5/8s, 2014  90,000  97,379  125,000  135,249  60,000  64,919 
Southern California Edison Co. 1st mtge. 5s, 2014  --  --  115,000  114,278  105,000  104,341 
Tampa Electric Co. notes 6 7/8s, 2012  --  --  135,000  147,660  120,000  131,253 
Teco Energy, Inc. notes 7.2s, 2011  265,000  279,575  375,000  395,625  175,000  184,625 
Teco Energy, Inc. sr. notes 6 3/4s, 2015  10,000  10,350  10,000  10,350  5,000  5,175 
Tennessee Gas Pipeline Co. unsecd. notes 7 1/2s, 2017  25,000  26,770  30,000  32,124  15,000  16,062 
Texas Genco, LLC/Texas Genco Financing Corp. 144A sr.             
notes 6 7/8s, 2014  295,000  319,338  415,000  449,238  195,000  211,088 
Utilicorp Canada Finance Corp. company guaranty 7 3/4s,             
2011 (Canada)  310,000  316,975  440,000  449,900  205,000  209,613 
Westar Energy, Inc. 1st mtge. 5.1s, 2020  --  --  175,000  167,280  165,000  157,722 
Williams Cos., Inc. (The) notes 7 5/8s, 2019  390,000  418,275  525,000  563,063  245,000  262,763 
Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010  50,000  49,938  60,000  59,925  30,000  29,963 
York Power Funding 144A notes 12s, 2007 (Cayman Islands)             
(In default) (F)(NON)  --  --  120,485  10,048  44,178  3,684 
 
    4,596,850    12,430,175    8,999,699 
 
Total corporate bonds and notes (cost $51,796,637,    $51,262,021    $115,108,386    $78,558,215 
$115,579,067 and $78,832,345)             
 
COLLATERALIZED MORTGAGE OBLIGATIONS(a)  Growth 3.2%    Balanced 8.5%  Conservative 15.8% 
  Principal amount  Value  Principal amount  Value  Principal amount  Value 
 
Amresco Commercial Mortgage Funding I 144A Ser. 97-C1,             
Class H, 7s, 2029  $38,000  $38,399  $173,000  $174,817  $168,000  $169,764 
Asset Securitization Corp.             
Ser. 96-MD6, Class A7, 8.008s, 2029  --  --  400,000  424,996  401,000  426,059 
Ser. 96-D3, Class A1C, 7.4s, 2026  331,191  337,097  2,027,048  2,063,193  1,448,461  1,474,290 
Banc of America Commercial Mortgage, Inc. Ser. 01-1, Class             
G, 7.324s, 2036  --  --  200,000  215,895  200,000  215,895 
Banc of America Commercial Mortgage, Inc. 144A             
Ser. 01-PB1, Class K, 6.15s, 2035  --  --  133,000  134,928  133,000  134,928 
Ser. 05-1, Class XW, Interest Only (IO), 0.105s, 2042  21,782,523  114,783  --  --  27,337,491  144,055 
Ser. 05-4, Class XC, IO, 0.04s, 2045  6,345,118  46,994  18,058,953  133,750  18,127,911  134,261 
Banc of America Large Loan FRB             
Ser. 04-BBA4, Class H, 5.319s, 2018  --  --  30,000  30,102  29,000  29,099 
Ser. 04-BBA4, Class G, 5.069s, 2018  --  --  48,000  48,199  47,000  47,195 
Banc of America Large Loan 144A             
FRB Ser. 02-FL2A, Class L1, 7.331s, 2014  --  --  133,000  132,888  205,000  204,828 
FRB Ser. 05-MIB1, Class K, 6.369s, 2009  190,000  184,514  186,000  180,629  187,000  181,601 
FRB Ser. 05-ESHA, Class K, 6.167s, 2020  --  --  450,000  449,992  452,000  451,992 
FRB Ser. 05-BOCA, Class L, 6.069s, 2016  --  --  143,000  143,330  132,000  132,305 
FRB Ser. 05-BOCA, Class K, 5.719s, 2016  --  --  300,000  300,694  300,000  300,694 
FRB Ser. 05-MIB1, Class J, 5.419s, 2009  100,000  99,842  409,000  408,353  343,000  342,458 
FRB Ser. 05-ESHA, Class G, 5.247s, 2020  100,000  99,903  180,000  179,826  181,000  180,825 
Ser. 03-BBA2, Class X1A, IO, 0.486s, 2015  2,447,254  7,117  7,001,672  20,361  6,402,737  18,619 
Banc of America Structured Security Trust 144A Ser. 02-X1,             
Class A3, 5.436s, 2033  --  --  386,000  387,763  396,000  397,808 
Bayview Commercial Asset Trust 144A             

FRB Ser. 05-1A, Class A1, 4.679s, 2035  55,117  55,051  422,562  422,055  312,329  311,954 
Ser. 04-3, IO, 0.775s, 2035  580,856  43,905  1,480,001  111,867  1,456,442  110,087 
Ser. 05-1A, IO, 0.775s, 2035  632,271  47,840  1,759,775  133,152  1,681,332  127,216 
Ser. 05-3A, IO, 0.775s, 2035  1,678,554  138,040  5,407,901  444,733  4,884,779  401,713 
Bear Stearns Commercial Mortgage Securities, Inc. Ser. 05-             
PWR9, Class X1, IO, 0.045s, 2042  --  --  9,027,411  89,570  13,597,557  134,915 
Bear Stearns Commercial Mortgage Securities, Inc. 144A             
FRB Ser. 05-LXR1, Class J, 6.019s, 2018  --  --  453,000  453,000  453,000  453,000 
FRB Ser. 05-LXR1, Class H, 5.569s, 2018  --  --  226,000  226,000  227,000  227,000 
FRB Ser. 05-LXR1, Class G, 5.319s, 2018  --  --  226,000  226,000  227,000  227,000 
Ser. 05-LXR1, Class X1, IO, 0.792s, 2018  7,727,000  76,412  21,900,000  216,569  21,958,000  217,143 
Ser. 05-PW10, Class X1, IO, 0.037s, 2040  11,621,000  53,561  --  --  --  -- 
Bear Stearns Commercial Mortgage Securitization Corp. Ser.             
00-WF2, Class F, 8.199s, 2032  --  --  189,000  216,309  124,000  141,917 
Chase Commercial Mortgage Securities Corp. Ser. 00-3, Class             
A2, 7.319s, 2032  10,000  10,839  118,000  127,906  116,000  125,738 
Chase Commercial Mortgage Securities Corp. 144A             
Ser. 98-1, Class F, 6.56s, 2030  --  --  962,000  1,003,632  896,000  934,776 
Ser. 98-1, Class G, 6.56s, 2030  --  --  249,000  261,765  231,000  242,842 
Ser. 98-1, Class H, 6.34s, 2030  91,000  78,303  371,000  319,234  362,000  311,490 
Chase Manhattan Bank-First Union National Ser. 99-1, Class             
A1, 7.134s, 2031  117,549  118,780  --  --  --  -- 
Citigroup Commercial Mortgage Trust 144A Ser. 05-C3, Class             
XC, IO, 0.053s, 2043  13,755,086  145,610  25,573,200  270,716  24,601,726  260,432 
Commercial Mortgage Acceptance Corp.             
Ser. 97-ML1, Class A3, 6.57s, 2030  --  --  397,000  402,836  251,000  254,689 
Ser. 97-ML1, Class A2, 6.53s, 2030  164,235  164,851  205,808  206,580  123,485  123,948 
Ser. 97-ML1, IO, 0.852s, 2017  2,813,957  44,408  10,624,404  167,666  6,901,058  108,907 
Commercial Mortgage Acceptance Corp. 144A Ser. 98-C1,             
Class F, 6.23s, 2031  --  --  415,000  428,304  404,000  416,952 
Commercial Mortgage Pass-Through Certificates 144A             
FRB Ser. 01-J2A, Class A2F, 4.87s, 2034  118,000  119,428  326,000  329,945  314,000  317,799 
Ser. 05-LP5, Class XC, IO, 0.041s, 2043  6,002,418  63,806  13,370,244  142,126  13,007,020  138,265 
Ser. 05-C6, Class XC, IO, 0.04s, 2044  8,839,601  60,463  25,913,309  177,247  13,015,105  89,023 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,             
Class B, 7s, 2033  1,602,000  1,681,459  --  --  --  -- 
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D, 5.612s,             
2035  228,000  222,494  620,000  605,027  597,000  582,582 
CS First Boston Mortgage Securities Corp. Ser. 97-C2, Class             
F, 7.46s, 2035  52,000  55,190  303,000  321,590  294,000  312,038 
CS First Boston Mortgage Securities Corp. 144A             
FRB Ser. 03-TF2A, Class L, 8.369s, 2014  --  --  254,000  253,395  245,000  244,417 
FRB Ser. 04-TF2A, Class J, 5.319s, 2016  153,000  152,999  310,000  309,998  349,000  348,998 
FRB Ser. 05-TFLA, Class J, 5.319s, 2020  --  --  134,000  133,971  131,000  130,971 
FRB Ser. 05-TF2A, Class J, 5.269s, 2020  133,000  132,999  449,000  448,998  451,000  450,998 
FRB Ser. 05-TFLA, Class H, 5.119s, 2020  --  --  67,000  67,000  64,000  64,000 
FRB Ser. 04-TF2A, Class H, 5.069s, 2019  100,000  100,000  132,000  131,999  128,000  127,999 
Ser. 01-CK1, Class AY, IO, 0.785s, 2035  5,014,000  161,952  13,888,000  448,582  13,364,000  431,657 
Ser. 03-C3, Class AX, IO, 0.348s, 2038  3,178,257  135,015  7,011,032  297,834  6,964,351  295,851 
Ser. 05-C2, Class AX, IO, 0.065s, 2037  5,839,834  88,655  13,452,367  204,220  16,958,861  257,452 
Deutsche Mortgage & Asset Receiving Corp.             
Ser. 98-C1, Class C, 6.861s, 2031  50,000  51,429  --  --  --  -- 
Ser. 98-C1, Class X, IO, 0.899s, 2031  3,476,290  73,600  13,471,633  285,220  10,087,754  213,577 
DLJ Commercial Mortgage Corp.             
Ser. 00-CF1, Class A1B, 7.62s, 2033  39,000  42,557  472,000  515,054  463,000  505,233 
Ser. 99-CG2, Class B3, 6.1s, 2032  --  --  378,000  382,530  332,000  335,979 
Ser. 99-CG2, Class B4, 6.1s, 2032  --  --  571,000  576,361  551,000  556,173 
Ser. 98-CF2, Class B3, 6.04s, 2031  --  --  100,000  101,280  100,000  101,280 
DLJ Mortgage Acceptance Corp. 144A Ser. 97-CF1, Class A3,             
7.76s, 2030  --  --  250,000  256,060  200,000  204,848 
Fannie Mae             
IFB Ser. 05-37, Class SU, 11.685s, 2035  185,668  209,248  742,672  836,991  742,672  836,991 
IFB Ser. 04-10, Class QC, 11.085s, 2031  82,490  89,360  507,633  549,909  470,195  509,354 
Ser. 04-T3, Class PT1, 9.834s, 2044  50,025  54,037  332,353  359,008  158,126  170,808 
Ser. 02-T1, Class A4, 9 1/2s, 2031  6,008  6,406  --  --  --  -- 
Ser. 02-T4, Class A4, 9 1/2s, 2041  54,556  58,133  441,924  470,901  56,700  60,417 
Ser. 02-T6, Class A3, 9 1/2s, 2041  53,697  57,105  136,833  145,519  134,949  143,515 
Ser. 02-T12, Class A4, 9 1/2s, 2042  26,325  28,097  67,305  71,835  66,220  70,676 
Ser. 03-W6, Class PT1, 9.499s, 2042  56,751  60,822  226,095  242,313  132,093  141,568 
IFB Ser. 05-114, Class PS, 9.041s, 2035  --  --  230,000  231,006  231,000  232,011 
IFB Ser. 05-115, Class NQ, 8.813s, 2036  --  --  238,000  238,158  239,000  239,159 
IFB Ser. 05-57, Class CD, 8.705s, 2035  195,124  205,115  351,225  369,208  341,469  358,952 
IFB Ser. 05-74, Class CP, 8.695s, 2035  192,496  203,795  408,090  432,044  410,014  434,082 
IFB Ser. 05-76, Class SA, 8.695s, 2034  199,771  207,941  577,115  600,720  580,011  603,733 
IFB Ser. 05-99, Class SA, 8.511s, 2035  99,402  103,563  478,125  498,138  480,113  500,210 
IFB Ser. 05-104, Class SD, 8.511s, 2033  --  --  638,868  653,293  641,858  656,350 
IFB Ser. 05-106, Class US, 8.511s, 2035  313,884  333,282  1,001,061  1,062,927  1,005,022  1,067,132 
IFB Ser. 05-45, Class DA, 8.365s, 2035  226,130  236,781  677,448  709,355  790,513  827,746 
IFB Ser. 05-74, Class DM, 8.328s, 2035  272,900  284,143  932,486  970,905  897,771  934,759 
IFB Ser. 05-45, Class DC, 8.255s, 2035  188,442  196,488  659,546  687,708  471,104  491,220 
IFB Ser. 05-74, Class SK, 8.088s, 2035  222,332  232,203  757,468  791,100  729,556  761,949 
Ser. 94-95, Class A, 8s, 2024  53,298  57,684  172,899  187,129  173,791  188,095 
Ser. 94-106, Class PA, 8s, 2024  34,558  37,381  112,099  121,257  112,660  121,865 
Ser. 95-5, Class A, 8s, 2025  26,625  28,782  86,300  93,291  86,731  93,756 
Ser. 95-5, Class TA, 8s, 2025  6,845  7,417  22,226  24,084  22,344  24,212 
Ser. 95-6, Class A, 8s, 2025  17,066  18,447  55,433  59,917  55,726  60,235 
Ser. 95-7, Class A, 8s, 2025  23,259  25,154  75,423  81,570  75,809  81,988 
Ser. 95-12, Class PD, 8s, 2025  21,897  23,626  71,128  76,740  71,447  77,085 
Ser. 97-13, Class TA, 8s, 2027  13,751  14,865  44,573  48,183  44,810  48,440 
Ser. 97-16, Class PE, 8s, 2027  36,569  39,498  118,485  127,976  119,125  128,667 
Ser. 97-21, Class PA, 8s, 2027  55,818  60,267  180,899  195,316  181,854  196,348 
Ser. 97-22, Class PA, 8s, 2027  107,524  116,158  348,707  376,708  350,527  378,674 
Ser. 97-25, Class PB, 8s, 2027  36,193  39,078  117,506  126,871  118,097  127,510 
Ser. 97-37, Class PB, 8s, 2027  95,811  103,534  310,897  335,956  312,520  337,709 
Ser. 00-17, Class PA, 8s, 2030  34,027  36,671  110,395  118,972  110,982  119,606 
Ser. 00-18, Class PA, 8s, 2030  31,522  33,962  102,123  110,027  102,624  110,567 
Ser. 00-19, Class PA, 8s, 2030  32,510  35,024  105,367  113,512  105,916  114,103 
Ser. 00-20, Class PA, 8s, 2030  18,434  19,882  59,792  64,486  60,113  64,832 
Ser. 00-21, Class PA, 8s, 2030  54,864  59,150  177,976  191,875  178,912  192,885 
Ser. 00-22, Class PA, 8s, 2030  41,027  44,198  132,914  143,188  133,566  143,891 
Ser. 00-42, Class B2, 8s, 2030  7,272  7,845  23,496  25,346  23,598  25,455 
IFB Ser. 05-74, Class CS, 7.978s, 2035  192,496  200,195  464,876  483,471  467,763  486,473 
IFB Ser. 04-79, Class SA, 7.786s, 2032  291,723  292,393  1,006,522  1,008,837  971,064  973,298 
IFB Ser. 05-114, Class SP, 7.7s, 2036  --  --  279,000  276,690  281,000  278,673 
IFB Ser. 05-57, Class DC, 7.544s, 2034  202,973  210,442  637,915  661,391  618,585  641,348 
Ser. 99-T2, Class A1, 7 1/2s, 2039  152,775  160,734  41,472  43,633  32,784  34,492 
Ser. 00-T6, Class A1, 7 1/2s, 2030  --  --  --  --  1,645  1,719 
Ser. 01-T1, Class A1, 7 1/2s, 2040  19,475  20,407  101,625  106,493  64,914  68,024 
Ser. 01-T3, Class A1, 7 1/2s, 2040  19,170  20,044  48,566  50,778  50,483  52,782 
Ser. 01-T4, Class A1, 7 1/2s, 2028  29,125  30,745  192,225  202,918  157,275  166,023 
Ser. 01-T5, Class A3, 7 1/2s, 2030  --  --  312,476  326,720  --  -- 
Ser. 01-T7, Class A1, 7 1/2s, 2041  407,839  426,225  874,286  913,699  730,591  763,526 
Ser. 01-T8, Class A1, 7 1/2s, 2041  350,431  366,516  1,891,875  1,978,712  2,464,134  2,577,237 
Ser. 01-T10, Class A2, 7 1/2s, 2041  --  --  --  --  4,151  4,348 
Ser. 01-T12, Class A2, 7 1/2s, 2041  78,763  82,536  219,206  229,707  210,331  220,407 
Ser. 02-14, Class A2, 7 1/2s, 2042  101,436  106,452  652,551  684,821  773,352  811,595 
Ser. 02-26, Class A2, 7 1/2s, 2048  124,951  131,216  718,399  754,415  628,922  660,452 
Ser. 02-T1, Class A3, 7 1/2s, 2031  45,661  47,879  945,648  991,594  142,989  149,936 
Ser. 02-T4, Class A3, 7 1/2s, 2041  80,172  84,005  597,390  625,947  725,158  759,823 
Ser. 02-T6, Class A2, 7 1/2s, 2041  233,283  244,120  2,142,494  2,242,012  2,706,404  2,832,115 
Ser. 02-T12, Class A3, 7 1/2s, 2042  29,613  31,073  169,741  178,113  99,412  104,315 
Ser. 02-T16, Class A3, 7 1/2s, 2042  407,894  428,753  1,308,557  1,375,472  1,035,068  1,087,997 
Ser. 02-T18, Class A4, 7 1/2s, 2042  193,769  203,758  318,748  335,180  667,805  702,231 
Ser. 02-T19, Class A3, 7 1/2s, 2042  36,041  37,894  --  --  --  -- 
Ser. 02-W1, Class 2A, 7 1/2s, 2042  120,628  126,096  912,708  954,078  1,005,363  1,050,933 
Ser. 02-W3, Class A5, 7 1/2s, 2028  66,616  69,911  744,286  781,092  1,189,428  1,248,247 
Ser. 02-W4, Class A5, 7 1/2s, 2042  279,879  293,880  906,664  952,021  733,484  770,178 
Ser. 02-W6, Class 2A, 7 1/2s, 2042  220,726  231,653  569,824  598,033  563,667  591,571 
Ser. 02-W7, Class A5, 7 1/2s, 2029  216,988  227,995  148,419  155,949  142,054  149,261 
Ser. 03-W1, Class 2A, 7 1/2s, 2042  10,419  10,920  179,341  187,950  180,288  188,943 
Ser. 03-W2, Class 1A3, 7 1/2s, 2042  715,760  752,828  195,294  205,408  722,484  759,901 
Ser. 03-W3, Class 1A3, 7 1/2s, 2042  142,564  149,891  411,247  432,382  245,310  257,918 
Ser. 03-W4, Class 4A, 7 1/2s, 2042  203,707  213,634  86,723  90,949  83,033  87,079 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032  46,617  48,915  303,424  318,381  297,632  312,303 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  100,464  105,866  274,832  289,612  263,285  277,443 
Ser. 04-T3, Class 1A4, 7 1/2s, 2044  5,201  5,481  23,114  24,362  15,024  15,835 
Ser. 04-W2, Class 5A, 7 1/2s, 2044  284,780  300,352  1,239,756  1,307,547  1,247,251  1,315,451 
Ser. 04-W8, Class 3A, 7 1/2s, 2044  333,942  352,233  895,350  944,392  814,889  859,524 
Ser. 04-W9, Class 2A3, 7 1/2s, 2044  100,781  106,146  --  --  --  -- 
Ser. 04-W11, Class 1A4, 7 1/2s, 2044  250,133  263,708  1,013,794  1,068,818  975,263  1,028,196 
Ser. 04-W12, Class 1A4, 7 1/2s, 2044  100,676  106,120  187,882  198,041  182,210  192,062 
Ser. 04-W14, Class 2A, 7 1/2s, 2044  33,171  34,946  85,626  90,211  85,626  90,211 
Ser. 05-W1, Class 1A4, 7 1/2s, 2044  281,719  296,919  782,897  825,141  751,768  792,332 
Ser. 05-W3, Class 1A, 7 1/2s, 2045  486,187  513,767  1,769,615  1,870,001  254,420  268,853 
IFB Ser. 05-45, Class PC, 7.114s, 2034  102,743  105,219  310,114  317,588  311,057  318,553 
Ser. 01-W3, Class A, 7s, 2041  118,021  122,105  143,165  148,119  143,934  148,915 
Ser. 02-14, Class A1, 7s, 2042  291,465  301,997  593,583  615,033  558,345  578,522 
Ser. 02-26, Class A1, 7s, 2048  66,614  69,064  378,239  392,146  379,864  393,831 
Ser. 02-T4, Class A2, 7s, 2041  33,793  35,016  153,806  159,376  115,789  119,982 
Ser. 02-T16, Class A2, 7s, 2042  67,102  69,684  380,758  395,411  382,297  397,009 
Ser. 03-W3, Class 1A2, 7s, 2042  114,549  118,993  185,414  192,607  186,709  193,952 
Ser. 03-W8, Class 2A, 7s, 2042  58,558  60,872  --  --  --  -- 

Ser. 04-T2, Class 1A3, 7s, 2043  74,852  77,928  --  --  --  -- 
Ser. 04-T3, Class 1A3, 7s, 2044  126,064  131,245  462,410  481,412  --  -- 
Ser. 04-W1, Class 2A2, 7s, 2033  679,477  707,112  1,763,905  1,835,644  1,696,495  1,765,492 
Ser. 04-W12, Class 1A3, 7s, 2044  284,571  296,413  --  --  --  -- 
Ser. 05-W4, Class 1A3, 7s, 2035  251,000  261,893  1,013,000  1,056,962  868,000  905,669 
IFB Ser. 05-95, Class CP, 6.878s, 2035  --  --  97,588  99,677  97,588  99,677 
IFB Ser. 05-95, Class OP, 6.83s, 2035  --  --  227,000  221,121  228,000  222,095 
IFB Ser. 02-97, Class TW, IO, 6 1/2s, 2031  86,215  14,596  306,350  51,865  294,204  49,809 
IFB Ser. 05-73, Class SA, 6.165s, 2035  94,140  92,110  412,333  403,442  397,271  388,705 
IFB Ser. 05-83, Class QP, 6.009s, 2034  --  --  151,256  145,841  151,256  145,841 
IFB Ser. 05-93, Class AS, 5.928s, 2034  --  --  210,078  198,195  212,060  200,065 
Ser. 03-31, Class IM, IO, 5 3/4s, 2032  194,839  25,816  1,201,734  159,230  1,112,232  147,371 
Ser. 329, Class 2, IO, 5 1/2s, 2033  994,988  221,425  4,812,093  1,070,883  3,231,381  719,112 
Ser. 350, Class 2, IO, 5 1/2s, 2034  640,257  142,603  3,159,621  703,734  3,030,335  674,939 
Ser. 364, Class 10, IO, 5 1/2s, 2035  567,294  126,948  3,135,464  701,648  3,138,435  702,313 
Ser. 03-8, Class IP, IO, 5 1/2s, 2028  --  --  554,408  35,785  511,937  33,043 
Ser. 03-45, Class PI, IO, 5 1/2s, 2029  195,184  19,884  664,786  67,725  640,165  65,217 
Ser. 04-23, IO, 5 1/2s, 2034  349,625  76,218  --  --  --  -- 
Ser. 03-24, Class UI, IO, 5s, 2031  214,106  32,740  601,112  91,918  599,661  91,696 
IFB Ser. 02-89, Class S, IO, 3.821s, 2033  267,776  24,850  932,304  86,518  893,873  82,951 
IFB Ser. 02-36, Class QH, IO, 3.671s, 2029  10,318  210  38,645  787  28,813  586 
IFB Ser. 97-44, Class SN, IO, 3.55s, 2023  97,796  9,398  336,121  32,301  323,153  31,055 
IFB Ser. 03-66, Class SA, IO, 3.271s, 2033  305,725  23,021  994,018  74,850  997,646  75,123 
IFB Ser. 03-48, Class S, IO, 3.171s, 2033  145,852  11,070  464,401  35,248  464,997  35,293 
IFB Ser. 02-92, Class SB, IO, 2.971s, 2030  96,590  6,587  336,601  22,956  322,698  22,008 
IFB Ser. 05-113, Class DI, IO, 2.87s, 2036  2,115,000  140,013  7,214,000  477,567  6,609,000  437,516 
IFB Ser. 05-52, Class DC, IO, 2.821s, 2035  200,331  15,870  699,146  55,385  670,182  53,091 
IFB Ser. 04-24, Class CS, IO, 2.771s, 2034  353,935  30,693  1,221,621  105,937  1,179,785  102,309 
IFB Ser. 04-89, Class EI, IO, 2.771s, 2034  942,138  76,313  --  --  --  -- 
IFB Ser. 03-122, Class SA, IO, 2.721s, 2028  467,190  27,237  1,660,119  96,785  1,597,495  93,134 
IFB Ser. 03-122, Class SJ, IO, 2.721s, 2028  499,294  29,558  1,774,151  105,030  1,703,809  100,865 
IFB Ser. 04-51, Class S0, IO, 2.671s, 2034  91,592  5,212  252,796  14,384  253,712  14,436 
IFB Ser. 04-60, Class SW, IO, 2.671s, 2034  650,509  51,650  2,264,611  179,810  2,171,129  172,388 
IFB Ser. 04-64, Class SW, IO, 2.671s, 2034  805,095  48,547  2,802,904  169,015  2,687,081  162,031 
IFB Ser. 04-65, Class ST, IO, 2.671s, 2034  405,431  24,448  1,410,980  85,082  1,352,574  81,560 
IFB Ser. 04-99, Class SA, IO, 2.621s, 2035  75,920  3,843  --  --  --  -- 
IFB Ser. 05-65, Class KI, IO, 2.621s, 2035  1,314,476  81,629  1,940,222  120,488  2,423,642  150,508 
IFB Ser. 05-42, Class PQ, IO, 2.421s, 2035  93,203  6,548  447,374  31,432  428,734  30,122 
IFB Ser. 05-42, Class SA, IO, 2.421s, 2035  554,903  34,317  1,931,029  119,422  1,851,757  114,519 
IFB Ser. 05-17, Class ES, IO, 2.371s, 2035  250,892  19,729  891,497  70,105  856,150  67,325 
IFB Ser. 05-17, Class SY, IO, 2.371s, 2035  189,594  14,644  416,927  32,202  400,397  30,925 
IFB Ser. 05-29, Class SD, IO, 2.371s, 2035  177,622  10,873  1,142,730  69,949  1,097,231  67,164 
IFB Ser. 05-62, Class FS, IO, 2.371s, 2034  340,212  21,618  1,169,905  74,339  1,124,349  71,445 
IFB Ser. 05-72, Class WS, IO, 2.371s, 2035  97,413  6,877  --  --  --  -- 
IFB Ser. 05-73, Class SI, IO, 2.371s, 2035  94,140  5,884  477,290  29,831  459,403  28,713 
IFB Ser. 05-82, Class SW, IO, 2.351s, 2035  564,648  29,468  1,923,251  100,370  1,851,700  96,636 
IFB Ser. 05-82, Class SY, IO, 2.351s, 2035  718,094  37,476  2,447,382  127,723  2,356,004  122,954 
IFB Ser. 05-45, Class EW, IO, 2.341s, 2035  934,136  51,004  1,384,213  75,578  1,731,588  94,545 
IFB Ser. 05-45, Class SR, IO, 2.341s, 2035  929,783  50,208  3,236,841  174,789  3,103,227  167,574 
IFB Ser. 05-47, Class SW, IO, 2.341s, 2035  748,753  38,725  --  --  --  -- 
IFB Ser. 04-92, Class S, IO, 2.321s, 2034  271,910  16,777  1,511,750  93,275  1,516,025  93,539 
IFB Ser. 05-17, Class SA, IO, 2.321s, 2035  1,145,473  81,099  1,288,658  91,237  1,237,565  87,619 
IFB Ser. 05-17, Class SE, IO, 2.321s, 2035  389,929  26,971  1,385,543  95,835  1,330,608  92,036 
IFB Ser. 05-23, Class SG, IO, 2.321s, 2035  395,644  28,251  1,406,642  100,443  1,351,084  96,476 
IFB Ser. 05-29, Class SX, IO, 2.321s, 2035  481,577  31,416  1,711,194  111,630  1,643,349  107,204 
IFB Ser. 05-29, Class SY, IO, 2.321s, 2035  1,191,454  84,712  --  --  --  -- 
IFB Ser. 05-54, Class SA, IO, 2.321s, 2035  666,272  34,180  2,302,580  118,122  2,222,967  114,038 
IFB Ser. 05-57, Class CI, IO, 2.321s, 2035  371,371  24,028  1,304,330  84,390  1,249,983  80,874 
IFB Ser. 05-57, Class DI, IO, 2.321s, 2035  870,601  55,980  3,032,752  195,006  2,908,381  187,009 
IFB Ser. 05-69, Class AS, IO, 2.321s, 2035  183,351  10,428  512,839  29,168  513,747  29,219 
IFB Ser. 05-84, Class SG, IO, 2.321s, 2035  586,965  41,401  1,876,769  132,377  1,882,468  132,779 
IFB Ser. 05-87, Class SG, IO, 2.321s, 2035  738,228  40,257  2,384,764  130,044  2,395,796  130,646 
IFB Ser. 05-89, Class S, IO, 2.321s, 2035  1,050,327  54,486  3,407,466  176,762  3,426,432  177,746 
IFB Ser. 05-95, Class CI, IO, 2.321s, 2035  319,732  21,454  1,033,802  69,368  1,038,647  69,693 
IFB Ser. 05-104, Class NI, IO, 2.321s, 2035  --  --  870,557  69,791  870,557  69,791 
IFB Ser. 05-105, Class S, IO, 2.321s, 2035  230,468  12,856  734,370  40,964  735,346  41,019 
IFB Ser. 05-83, Class QI, IO, 2.311s, 2035  --  --  252,926  18,464  254,902  18,608 
IFB Ser. 05-73, Class SD, IO, 2.301s, 2035  347,679  22,925  1,183,429  78,032  1,139,144  75,112 
IFB Ser. 05-92, Class SC, IO, 2.301s, 2035  762,268  49,166  2,462,418  158,826  2,473,809  159,561 
IFB Ser. 05-83, Class SL, IO, 2.291s, 2035  1,502,865  84,010  4,886,375  273,148  4,904,714  274,174 
Ser. 03-W12, Class 2, IO, 2.228s, 2043  1,730,573  86,316  3,448,260  171,988  2,836,344  141,468 
IFB Ser. 05-95, Class OI, IO, 2.211s, 2035  --  --  140,743  10,457  141,734  10,531 
IFB Ser. 04-38, Class SI, IO, 2.191s, 2033  642,823  32,141  2,238,393  111,920  2,146,025  107,301 
IFB Ser. 03-112, Class SA, IO, 2.121s, 2028  310,366  11,804  987,251  37,548  988,271  37,586 
IFB Ser. 03-124, Class ST, IO, 2.121s, 2034  214,715  9,941  --  --  --  -- 
IFB Ser. 04-72, Class SB, IO, 2.121s, 2034  302,147  13,506  1,052,392  47,042  1,009,375  45,119 
Ser. 03-W10, Class 1, IO, 1.967s, 2043  1,523,061  69,621  7,280,468  332,798  10,595,259  484,321 
Ser. 03-W10, Class 3, IO, 1.936s, 2043  534,621  25,899  2,195,040  106,335  1,712,556  82,962 
IFB Ser. 05-67, Class BS, IO, 1.771s, 2035  386,807  18,132  1,258,850  59,009  1,263,167  59,211 
IFB Ser. 05-73, Class ST, IO, 1.751s, 2035  90,442  3,688  --  --  --  -- 
IFB Ser. 05-74, Class SE, IO, 1.721s, 2035  2,898,809  105,807  3,935,766  143,655  3,597,799  131,320 
IFB Ser. 05-82, Class SI, IO, 1.721s, 2035  1,218,246  44,542  4,150,090  151,738  3,996,059  146,106 
IFB Ser. 05-74, Class NI, IO, 1.701s, 2035  529,541  24,888  --  --  --  -- 
IFB Ser. 05-87, Class SE, IO, 1.671s, 2035  2,884,885  109,535  9,380,930  356,182  9,415,865  357,509 
Ser. 03-W8, Class 12, IO, 1.64s, 2042  2,291,625  87,985  8,131,523  312,204  6,260,992  240,387 
IFB Ser. 04-54, Class SW, IO, 1.621s, 2033  185,893  6,025  592,462  19,202  593,033  19,221 
IFB Ser. 05-58, Class IK, IO, 1.621s, 2035  273,712  12,403  947,177  42,919  914,256  41,427 
Ser. 03-W6, Class 11, IO, 1.286s, 2035  352,707  212  279,790  168  673,053  404 
Ser. 03-W17, Class 12, IO, 1.155s, 2033  --  --  2,611,065  77,918  2,506,762  74,806 
Ser. 03-T2, Class 2, IO, 0.88s, 2042  1,138,214  21,130  10,955,303  203,381  7,789,648  144,612 
Ser. 03-W6, Class 51, IO, 0.683s, 2042  745,550  8,201  3,334,902  36,684  2,641,186  29,053 
Ser. 01-T12, Class IO, 0.57s, 2041  4,291,294  51,375  2,152,451  25,769  1,432,321  17,148 
IFB Ser. 04-90, Class KS, IO, 0 1/2s, 2034  1,637,600  28,739  --  --  --  -- 
Ser. 03-W2, Class 1, IO, 0.469s, 2042  569,821  5,507  20,007,044  193,348  16,018,298  154,801 
Ser. 01-50, Class B1, IO, 0.461s, 2041  5,037,792  38,474  3,562,194  27,205  2,384,891  18,214 
Ser. 02-T4, IO, 0.455s, 2041  11,352,560  103,338  11,932,324  108,615  7,545,328  68,682 
Ser. 02-T1, Class IO, IO, 0.425s, 2031  1,762,753  16,182  2,188,885  20,094  1,389,887  12,759 
Ser. 02-W8, Class 1, IO, 0.374s, 2042  2,115,399  16,301  --  --  --  -- 
Ser. 03-W6, Class 3, IO, 0.365s, 2042  1,039,445  4,885  4,648,941  21,850  3,682,130  17,306 
Ser. 03-W6, Class 23, IO, 0.35s, 2042  1,109,552  4,993  4,961,575  22,327  3,929,487  17,683 
Ser. 01-79, Class BI, IO, 0.336s, 2045  1,860,966  13,177  12,683,202  89,805  9,018,530  63,857 
IFB Ser. 04-89, Class EX, IO, 0.05s, 2034  783,664  1,332  --  --  --  -- 
Ser. 03-W8, Class 11, IO, 0.03s, 2042  831,516  116  2,939,547  411  2,266,706  317 
Ser. 03-W6, Class 21, IO, 0.004s, 2042  370,468  1  293,997  1  706,877  1 
Ser. 342, Class 1, Principal Only (PO), zero %, 2033  166,432  131,586  433,987  343,121  429,430  339,518 
Ser. 353, Class 1, PO, zero %, 2034  458,858  337,467  4,517,063  3,322,070  4,342,438  3,193,642 
Ser. 361, Class 1, PO, zero %, 2035  690,573  547,817  1,723,451  1,367,181  1,687,414  1,338,593 
Ser. 03-34, Class P1, PO, zero %, 2043  57,988  40,245  --  --  --  -- 
FRB Ser. 05-36, Class QA, zero %, 2035  --  --  150,656  152,856  145,416  147,539 
Ser. 05-38, PO, zero %, 2031  --  --  100,000  75,250  100,000  75,250 
FRB Ser. 05-57, Class UL, zero %, 2035  228,223  233,929  788,184  807,889  761,287  780,319 
FRB Ser. 05-65, Class CU, zero %, 2034  --  --  218,507  279,536  210,198  268,907 
FRB Ser. 05-65, Class ER, zero %, 2035  222,589  229,823  755,745  780,306  727,591  751,238 
Ser. 05-65, Class KO, PO, zero %, 2035  --  --  --  --  81,797  67,801 
FRB Ser. 05-79, Class FE, zero %, 2035  106,146  112,455  --  --  --  -- 
FRB Ser. 05-81, Class DF, zero %, 2033  --  --  117,394  122,437  113,725  118,611 
Ser. 05-113, Class DO, PO, zero %, 2036  325,000  264,128  1,109,000  901,284  1,016,000  825,703 
Federal Home Loan Mortgage Corp. Structured Pass-Through             
Securities             
Ser. T-42, Class A6, 9 1/2s, 2042  28,082  29,962  71,530  76,317  70,470  75,187 
Ser. T-41, Class 3A, 7 1/2s, 2032  128,621  134,686  862,827  903,509  861,467  902,085 
Ser. T-42, Class A5, 7 1/2s, 2042  176,384  185,042  413,845  434,159  693,953  728,017 
Ser. T-51, Class 2A, 7 1/2s, 2042  193,353  202,469  426,171  446,265  495,007  518,346 
Ser. T-57, Class 1A3, 7 1/2s, 2043  281,110  296,244  922,077  971,718  921,161  970,753 
Ser. T-58, Class 4A, 7 1/2s, 2043  842,138  884,069  273,705  287,334  150,638  158,139 
Ser. T-59, Class 1A3, 7 1/2s, 2043  299,626  316,293  409,471  432,249  656,495  693,014 
Ser. T-60, Class 1A3, 7 1/2s, 2044  422,161  444,773  1,358,759  1,431,537  1,341,115  1,412,948 
Ser. T-41, Class 2A, 7s, 2032  24,780  25,641  70,375  72,821  70,870  73,333 
Ser. T-60, Class 1A2, 7s, 2044  215,483  224,136  1,317,888  1,370,809  1,325,663  1,378,896 
Ser. T-56, Class A, IO, 0.667s, 2043  1,026,005  11,795  3,603,985  41,433  2,874,488  33,046 
Ser. T-56, Class 1, IO, 0.281s, 2043  1,184,217  9,941  3,933,495  33,021  3,213,064  26,973 
Ser. T-56, Class 3, IO, 0.142s, 2043  976,348  12,475  3,242,495  41,429  2,648,962  33,845 
Ser. T-56, Class 2, IO, 0.041s, 2043  1,113,738  4,173  3,698,372  13,858  3,021,287  11,321 
FFCA Secured Lending Corp.             
Ser. 99-1A, Class C1, 7.59s, 2025  100,000  70,000  --  --  --  -- 
Ser. 00-1, Class X, IO, 1.478s, 2020  746,774  45,883  2,887,192  177,393  1,845,205  113,372 
FFCA Secured Lending Corp. 144A Ser. 00-1, Class A2, 7.77s,             
2027  268,803  295,096  914,752  1,004,228  483,433  530,720 
First Union National Bank-Bank of America Commercial             
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.697s, 2033  --  --  7,021,006  490,527  6,253,492  436,904 
First Union-Lehman Brothers Commercial Mortgage Trust II             
Ser. 97-C2, Class F, 7 1/2s, 2029  --  --  580,000  658,459  538,000  610,778 
Ser. 97-C1, Class A3, 7.38s, 2029  396,459  402,846  --  --  --  -- 
First Union-Lehman Brothers-Bank of America 144A Ser. 98-             
C2, Class G, 7s, 2035  --  --  717,000  787,913  703,000  772,528 
Freddie Mac             
IFB Ser. 2771, Class SV, 11.237s, 2034  107,189  118,701  --  --  --  -- 
IFB Ser. 2763, Class SC, 11.122s, 2032  286,659  311,591  1,019,151  1,107,791  1,016,940  1,105,388 
IFB Ser. 2963, Class SV, 11.122s, 2034  --  --  200,000  226,938  200,000  226,938 
IFB Ser. 3081, Class DC, 9.506s, 2035  200,000  208,100  382,000  397,471  382,000  397,471 
IFB Ser. 2990, Class SL, 8.472s, 2034  97,997  101,751  585,044  607,451  564,465  586,084 

IFB Ser. 2976, Class LC, 8.399s, 2035  --  --  274,408  283,546  263,628  272,407 
IFB Ser. 2976, Class KL, 8.362s, 2035  202,860  209,736  647,778  669,738  621,318  642,381 
IFB Ser. 2979, Class AS, 8.252s, 2034  --  --  170,096  172,966  171,063  173,949 
IFB Ser. 2990, Class DP, 8.252s, 2034  97,597  99,500  577,773  589,039  557,277  568,144 
IFB Ser. 3051, Class PS, 8.142s, 2035  --  --  210,944  213,614  210,944  213,614 
IFB Ser. 3072, Class SA, 8.106s, 2035  --  --  150,086  149,851  150,086  149,851 
IFB Ser. 2996, Class SA, 7.784s, 2035  --  --  339,311  331,677  339,311  331,677 
IFB Ser. 3072, Class SM, 7.776s, 2035  --  --  238,461  235,182  238,461  235,182 
IFB Ser. 3072, Class SB, 7.629s, 2035  --  --  224,492  220,143  224,492  220,143 
Ser. 1890, Class H, 7 1/2s, 2026  28,967  30,769  94,031  99,879  94,638  100,523 
Ser. 1895, Class C, 7 1/2s, 2026  14,491  15,392  47,142  50,074  47,453  50,404 
Ser. 1904, Class D, 7 1/2s, 2026  34,892  37,062  112,870  119,889  113,717  120,789 
Ser. 1905, Class H, 7 1/2s, 2026  30,844  32,762  99,897  106,110  100,588  106,843 
Ser. 1915, Class C, 7 1/2s, 2026  27,160  28,849  88,107  93,587  88,757  94,277 
Ser. 1923, Class D, 7 1/2s, 2026  32,235  34,240  104,619  111,125  105,368  111,921 
Ser. 1924, Class H, 7 1/2s, 2027  30,006  31,871  97,644  103,716  98,322  104,436 
Ser. 1928, Class D, 7 1/2s, 2027  11,882  12,621  38,502  40,896  38,730  41,139 
Ser. 1932, Class E, 7 1/2s, 2027  27,559  29,273  89,731  95,311  90,223  95,834 
Ser. 1938, Class E, 7 1/2s, 2027  11,115  11,807  36,260  38,515  36,584  38,859 
Ser. 1941, Class E, 7 1/2s, 2027  9,091  9,657  29,710  31,558  29,873  31,730 
Ser. 1943, Class M, 7 1/2s, 2027  19,830  21,063  64,215  68,209  64,722  68,747 
Ser. 1969, Class PF, 7 1/2s, 2027  31,990  33,979  103,352  109,779  103,844  110,302 
Ser. 1975, Class E, 7 1/2s, 2027  8,411  8,934  27,337  29,037  27,537  29,250 
Ser. 1989, Class C, 7 1/2s, 2027  13,354  14,184  43,277  45,968  43,648  46,362 
Ser. 1990, Class D, 7 1/2s, 2027  36,542  38,815  118,592  125,967  119,386  126,810 
Ser. 2187, Class PH, 7 1/2s, 2029  88,932  94,463  288,337  306,268  290,421  308,482 
Ser. 2217, Class PD, 7 1/2s, 2030  39,697  42,166  129,433  137,482  130,433  138,545 
Ser. 2224, Class PD, 7 1/2s, 2030  38,312  40,694  123,529  131,211  124,245  131,972 
Ser. 2229, Class PD, 7 1/2s, 2030  38,315  40,697  124,280  132,009  125,058  132,835 
Ser. 1530, Class I, 7s, 2023  39,786  41,788  127,921  134,357  128,928  135,415 
Ser. 1725, Class D, 7s, 2024  16,835  17,681  54,351  57,086  54,832  57,591 
Ser. 1750, Class C, 7s, 2023  37,487  39,373  121,832  127,962  123,082  129,275 
Ser. 1973, Class PJ, 7s, 2027  85,960  90,284  278,155  292,149  280,154  294,249 
Ser. 1978, Class PG, 7s, 2027  71,914  75,533  232,923  244,642  234,521  246,321 
Ser. 1987, Class AP, 7s, 2027  24,835  26,085  80,350  84,393  80,837  84,905 
Ser. 1987, Class PT, 7s, 2027  41,662  43,758  134,880  141,666  135,922  142,760 
Ser. 1998, Class PL, 7s, 2027  50,923  53,485  165,362  173,682  166,457  174,832 
Ser. 1999, Class PG, 7s, 2027  81,653  85,761  264,118  277,406  266,399  279,802 
Ser. 2004, Class BA, 7s, 2027  49,716  52,217  161,180  169,290  162,447  170,620 
Ser. 2005, Class C, 7s, 2027  37,631  39,525  122,266  128,417  123,275  129,477 
Ser. 2005, Class CE, 7s, 2027  42,245  44,371  136,540  143,409  137,693  144,621 
Ser. 2006, Class H, 7s, 2027  120,556  126,621  390,042  409,666  393,087  412,864 
Ser. 2006, Class T, 7s, 2027  76,969  80,841  249,404  261,952  251,321  263,965 
Ser. 2008, Class G, 7s, 2023  6,294  6,610  20,174  21,189  20,350  21,374 
Ser. 2020, Class E, 7s, 2028  115,411  121,217  374,053  392,873  377,145  396,120 
Ser. 2031, Class PG, 7s, 2028  22,615  23,752  73,932  77,651  74,367  78,108 
Ser. 2054, Class H, 7s, 2028  213,445  224,184  690,903  725,664  696,206  731,234 
Ser. 2198, Class PH, 7s, 2029  84,870  89,140  274,236  288,033  276,357  290,262 
Ser. 2208, Class PG, 7s, 2030  99,412  104,413  321,501  337,677  324,040  340,343 
Ser. 2211, Class PG, 7s, 2030  54,998  57,765  178,829  187,827  180,213  189,280 
Ser. 2256, Class UA, 7s, 2030  10,905  11,454  35,496  37,282  35,710  37,507 
IFB Ser. 3065, Class DC, 6.752s, 2035  204,660  197,968  583,033  563,968  585,030  565,900 
IFB Ser. 3012, Class ST, 6.23s, 2035  97,998  95,685  --  --  --  -- 
IFB Ser. 3050, Class SA, 5.952s, 2034  --  --  413,608  388,543  416,590  391,345 
IFB Ser. 3031, Class BS, 5.802s, 2035  243,961  233,861  --  --  --  -- 
IFB Ser. 2990, Class LB, 5.778s, 2034  201,874  191,518  685,001  649,861  655,602  621,970 
IFB Ser. 2990, Class WP, 5.495s, 2035  97,188  94,681  458,728  446,893  443,178  431,744 
Ser. 2581, Class IH, IO, 5 1/2s, 2031  --  --  447,101  120,673  425,918  114,955 
Ser. 2590, Class YD, IO, 5 1/2s, 2032  100,000  30,820  --  --  --  -- 
Ser. 2595, Class WU, IO, 5 1/2s, 2026  547,200  76,266  --  --  --  -- 
Ser. 2600, Class CI, IO, 5 1/2s, 2029  --  --  138,306  31,508  132,823  30,259 
Ser. 2664, Class UD, IO, 5 1/2s, 2028  --  --  220,410  42,826  211,671  41,128 
Ser. 2980, Class ZC, 5 1/2s, 2035  47,629  47,569  --  --  --  -- 
IFB Ser. 2927, Class SI, IO, 4.131s, 2035  303,455  37,295  1,079,354  132,653  1,036,652  127,405 
IFB Ser. 2538, Class SH, IO, 3.181s, 2032  50,269  3,544  174,998  12,337  167,772  11,828 
IFB Ser. 2828, Class GI, IO, 3.131s, 2034  326,795  34,682  1,071,344  113,699  1,070,126  113,570 
IFB Ser. 2802, Class SM, IO, 2.981s, 2032  112,002  7,751  386,331  26,734  370,543  25,642 
IFB Ser. 2869, Class SH, IO, 2.931s, 2034  181,555  12,491  626,015  43,070  601,195  41,362 
IFB Ser. 2869, Class JS, IO, 2.881s, 2034  829,083  59,114  2,718,018  193,795  2,714,928  193,574 
IFB Ser. 2882, Class SL, IO, 2.831s, 2034  95,063  7,733  566,454  46,077  565,810  46,024 
IFB Ser. 2594, Class SE, IO, 2.681s, 2030  392,830  23,140  --  --  --  -- 
IFB Ser. 2682, Class TQ, IO, 2.681s, 2033  152,560  9,062  531,727  31,585  509,705  30,276 
IFB Ser. 2815, Class PT, IO, 2.681s, 2032  320,538  24,169  1,138,970  85,878  1,093,813  82,473 
IFB Ser. 2828, Class TI, IO, 2.681s, 2030  192,150  13,991  585,144  42,606  586,883  42,732 
IFB Ser. 3033, Class SF, IO, 2.431s, 2035  262,002  14,246  849,551  46,194  852,483  46,354 
IFB Ser. 2922, Class SE, IO, 2.381s, 2035  509,499  26,749  1,773,513  93,109  1,700,343  89,268 
IFB Ser. 3028, Class ES, IO, 2.381s, 2035  862,003  70,684  2,752,655  225,718  2,763,567  226,612 
IFB Ser. 3045, Class DI, IO, 2.361s, 2035  573,482  29,076  4,218,022  213,854  6,296,593  319,237 
IFB Ser. 2981, Class AS, IO, 2.351s, 2035  475,027  23,751  1,617,991  80,900  1,557,755  77,888 
IFB Ser. 2981, Class BS, IO, 2.351s, 2035  254,193  12,938  865,868  44,073  833,636  42,432 
IFB Ser. 2981, Class CS, IO, 2.351s, 2035  324,910  16,440  --  --  --  -- 
IFB Ser. 2924, Class SA, IO, 2.331s, 2035  728,920  36,227  2,538,226  126,150  2,433,606  120,950 
IFB Ser. 2927, Class ES, IO, 2.331s, 2035  246,524  14,520  873,956  51,476  839,665  49,456 
IFB Ser. 2950, Class SM, IO, 2.331s, 2016  336,802  22,050  1,196,764  78,351  1,149,314  75,244 
IFB Ser. 3034, Class SE, IO, 2.331s, 2035  243,535  14,344  --  --  --  -- 
IFB Ser. 3054, Class CS, IO, 2.331s, 2035  222,001  13,120  665,012  39,302  669,967  39,595 
IFB Ser. 3066, Class SI, IO, 2.331s, 2035  731,550  59,256  1,863,758  150,964  1,870,735  151,530 
IFB Ser. 3031, Class BI, IO, 2.321s, 2035  192,866  13,848  541,952  38,912  543,881  39,051 
IFB Ser. 2962, Class BS, IO, 2.281s, 2035  1,018,324  58,859  3,568,252  206,245  3,399,193  196,473 
IFB Ser. 2986, Class WS, IO, 2.281s, 2035  214,843  7,790  731,725  26,531  704,758  25,553 
IFB Ser. 3067, Class SI, IO, 2.281s, 2035  954,952  77,638  2,144,402  174,340  2,155,378  175,232 
IFB Ser. 2990, Class LI, IO, 2.261s, 2034  294,145  19,355  1,039,945  68,428  995,349  65,494 
IFB Ser. 3065, Class DI, IO, 2.251s, 2035  99,868  7,450  422,441  31,514  424,438  31,663 
IFB Ser. 3012, Class UI, IO, 2.051s, 2035  136,537  7,428  --  --  --  -- 
IFB Ser. 2988, Class AS, IO, 1.831s, 2035  --  --  361,972  14,515  348,898  13,991 
IFB Ser. 3016, Class SP, IO, 1.741s, 2035  201,094  8,506  569,930  24,108  570,911  24,150 
IFB Ser. 2937, Class SY, IO, 1.731s, 2035  177,994  6,399  579,674  20,839  582,402  20,937 
IFB Ser. 3012, Class WI, IO, 1.731s, 2035  197,619  10,750  --  --  --  -- 
IFB Ser. 3012, Class IG, IO, 1.711s, 2035  500,054  22,802  --  --  --  -- 
IFB Ser. 2815, Class S, IO, 1.631s, 2032  446,385  15,490  1,401,663  48,638  1,410,487  48,944 
IFB Ser. 2957, Class SW, IO, 1.631s, 2035  969,461  36,961  3,303,167  125,933  3,179,972  121,236 
IFB Ser. 2835, Class BI, IO, 0.03s, 2030  325,449  293  --  --  --  -- 
Ser. 227, PO, zero %, 2034  2,162,162  1,582,373  6,318,725  4,624,343  6,221,643  4,553,294 
Ser. 228, PO, zero %, 2035  1,813,401  1,429,049  6,096,328  4,804,206  5,810,861  4,579,244 
Ser. 231, PO, zero %, 2035  5,749,956  4,340,645  15,984,855  12,066,977  14,838,681  11,201,729 
Ser. 1208, Class F, PO, zero %, 2022  12,769  10,139  --  --  --  -- 
FRB Ser. 2958, Class FB, zero %, 2035  473,972  469,991  --  --  --  -- 
FRB Ser. 2958, Class FL, zero %, 2035  68,992  65,694  351,858  335,039  338,749  322,557 
FRB Ser. 2986, Class XT, zero %, 2035  --  --  91,390  96,788  91,390  96,788 
FRB Ser. 2992, Class WM, zero %, 2035  --  --  276,159  316,116  266,669  305,253 
FRB Ser. 3003, Class XF, zero %, 2035  190,438  196,238  677,957  698,607  654,152  674,077 
FRB Ser. 3022, Class TC, zero %, 2035  --  --  129,244  143,300  130,028  144,168 
FRB Ser. 3024, Class CF, zero %, 2034  278,500  277,558  --  --  --  -- 
Ser. 3045, Class DO, PO, zero %, 2035  --  --  322,526  254,666  481,465  380,165 
FRB Ser. 3046, Class UF, zero %, 2033  97,419  96,374  --  --  --  -- 
FRB Ser. 3046, Class WF, zero %, 2035  --  --  185,756  181,678  186,694  182,596 
FRB Ser. 3054, Class XF, zero %, 2034  --  --  89,008  89,720  89,008  89,720 
GE Capital Commercial Mortgage Corp. 144A             
Ser. 05-C2, Class XC, IO, 0.05s, 2043  12,184,749  104,282  21,596,974  184,836  20,767,510  177,737 
Ser. 05-C3, Class XC, IO, 0.039s, 2045  25,324,000  135,483  49,194,000  263,188  49,574,000  265,221 
General Growth Properties-Mall Properties Trust 144A FRB             
Ser. 01-C1A, Class D3, 6.619s, 2014  53,664  53,715  154,449  154,594  124,345  124,461 
GMAC Commercial Mortgage Securities, Inc.             
Ser. 99-C3, Class F, 7.787s, 2036  56,000  59,239  75,000  79,338  112,000  118,478 
Ser. 04-C2, Class A4, 5.301s, 2038  85,000  85,536  315,000  316,985  311,000  312,959 
Ser. 03-C2, Class A2, 5.28s, 2040  198,000  201,821  1,181,000  1,203,793  1,179,000  1,201,755 
Ser. 97-C1, Class X, IO, 1.535s, 2029  1,845,200  65,874  --  --  --  -- 
Ser. 05-C1, Class X1, IO, 0.096s, 2043  4,751,000  87,038  19,984,000  366,107  21,705,000  397,636 
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-             
C3, Class G, 6.974s, 2036  --  --  350,039  340,571  306,364  298,077 
Government National Mortgage Association             
IFB Ser. 05-7, Class JM, 7.106s, 2034  218,817  221,727  754,219  764,250  728,147  737,831 
IFB Ser. 05-66, Class SP, 6.267s, 2035  --  --  349,471  330,460  351,451  332,332 
IFB Ser. 05-84, Class SL, 6.267s, 2035  227,510  214,713  --  --  --  -- 
IFB Ser. 05-84, Class SB, 6.075s, 2035  99,639  94,174  --  --  --  -- 
IFB Ser. 05-68, Class SP, 5.99s, 2035  500,000  462,050  --  --  --  -- 
IFB Ser. 05-68, Class DP, 5.904s, 2035  140,435  136,321  --  --  --  -- 
Ser. 05-13, Class PI, IO, 5 1/2s, 2033  238,032  38,645  845,802  137,316  812,267  131,872 
IFB Ser. 05-84, Class AS, IO, 2.43s, 2035  453,754  25,665  --  --  --  -- 
IFB Ser. 04-86, Class SW, IO, 2.38s, 2034  182,259  10,400  1,475,429  84,193  1,371,281  78,250 
IFB Ser. 05-65, Class SI, IO, 1.98s, 2035  230,435  10,692  1,484,078  68,861  1,491,664  69,213 
IFB Ser. 05-68, Class SI, IO, 1.93s, 2035  1,431,733  75,166  4,655,358  244,406  4,672,179  245,289 
IFB Ser. 05-28, Class SA, IO, 1.83s, 2035  992,669  37,212  3,527,265  132,226  3,387,415  126,984 
IFB Ser. 05-51, Class SJ, IO, 1.83s, 2035  431,502  21,834  1,402,138  70,948  1,406,987  71,194 
IFB Ser. 05-68, Class S, IO, 1.83s, 2035  855,074  40,702  2,780,703  132,361  2,790,497  132,828 
IFB Ser. 05-60, Class SJ, IO, 1.41s, 2034  690,296  25,679  --  --  --  -- 
Ser. 98-2, Class EA, PO, zero %, 2028  26,709  21,405  5,096  4,084  --  -- 
Ser. 99-31, Class MP, PO, zero %, 2029  24,473  20,584  115,621  97,246  57,811  48,623 
Greenwich Capital Commercial Funding Corp. Ser. 05-GG5,             
Class XC, IO, 0.038s, 2037  12,938,000  56,927  41,211,000  181,328  41,324,000  181,826 
GS Mortgage Securities Corp. II 144A             
FRB Ser. 03-FL6A, Class L, 7.619s, 2015  87,000  87,109  124,000  124,155  114,000  114,143 

Ser. 98-C1, Class F, 6s, 2030  --  --  280,000  281,932  282,000  283,946 
Ser. 05-GG4, Class XC, IO, 0.106s, 2039  8,580,361  168,175  23,296,398  456,609  22,433,568  439,698 
Ser. 04-C1, Class X1, IO, 0.088s, 2028  5,823,562  50,274  7,934,008  68,493  7,934,008  68,493 
HVB Mortgage Capital Corp. Ser. 03-FL1A, Class K, 7.21s,             
2022  118,000  117,123  --  --  --  -- 
JPMorgan Chase Commercial Mortgage Securities Corp.             
144A             
Ser. 04-FL1A, Class X1A, IO, 0.998s, 2019  3,220,396  10,944  --  --  --  -- 
Ser. 05-CB12, Class X1, IO, 0.053s, 2037  4,314,848  47,025  12,350,667  134,603  11,872,570  129,392 
Ser. 05-LDP2, Class X1, IO, 0.046s, 2042  17,197,168  270,721  42,084,733  662,506  35,154,397  553,407 
Ser. 05-LDP4, Class X1, IO, 0.042s, 2042  11,542,785  107,763  24,285,091  226,724  29,261,962  273,188 
Ser. 02-CIB5, Class X1, IO, 0.387s, 2037  2,066,524  91,379  6,130,591  271,087  7,149,003  316,120 
Ser. 05-LDP3, Class X1, IO, 0.036s, 2042  16,487,939  124,948  17,519,059  132,762  29,424,353  222,982 
Ser. 05-LDP1, Class X1, IO, 0.035s, 2046  3,261,532  30,704  8,031,909  75,613  7,685,552  72,352 
Ser. 05-LDP5, Class X1, IO, 0.033s, 2044  23,014,000  109,676  69,592,000  331,650  76,611,000  365,100 
JPMorgan Commercial Mortgage Finance Corp. Ser. 97-C5,             
Class F, 7.561s, 2029  64,000  70,694  204,000  225,338  204,000  225,338 
LB Commercial Conduit Mortgage Trust 144A             
Ser. 99-C1, Class F, 6.41s, 2031  --  --  149,428  153,253  136,004  139,486 
Ser. 99-C1, Class G, 6.41s, 2031  --  --  159,961  151,707  145,590  138,077 
Ser. 98-C4, Class G, 5.6s, 2035  --  --  132,000  128,118  127,000  123,265 
Ser. 98-C4, Class H, 5.6s, 2035  --  --  223,000  209,627  215,000  202,106 
LB-UBS Commercial Mortgage Trust 144A             
Ser. 05-C3, Class XCL, IO, 0.149s, 2040  3,306,958  71,904  14,817,043  322,171  12,215,517  265,605 
Ser. 05-C2, Class XCL, IO, 0.1s, 2040  14,944,292  164,974  32,498,900  358,764  35,055,397  386,986 
Ser. 05-C5, Class XCL, IO, 0.084s, 2020  5,041,426  73,923  14,047,684  205,982  15,138,263  221,973 
Ser. 05-C7, Class XCL, IO, 0.074s, 2040  12,626,000  121,210  32,790,000  314,784  32,878,000  315,629 
Lehman Brothers Floating Rate Commercial Mortgage Trust             
144A FRB             
Ser. 03-LLFA, Class L, 8.118s, 2014  --  --  356,000  355,810  345,000  344,816 
Ser. 04-LLFA, Class H, 5.319s, 2017  175,000  175,665  184,000  184,699  214,000  214,813 
Ser. 05-LLFA, 5.169s, 2018  23,000  23,000  93,000  93,000  89,000  89,000 
Merrill Lynch Mortgage Investors, Inc.             
Ser. 98-C3, Class E, 6.93s, 2030  --  --  137,000  149,232  127,000  138,339 
Ser. 96-C2, Class JS, IO, 2.146s, 2028  415,339  17,926  759,766  32,792  289,885  12,511 
Merrill Lynch Mortgage Trust Ser. 05-MCP1, Class XC, IO,             
0.047s, 2043  4,583,545  61,233  15,514,228  207,260  14,922,706  199,358 
Merrill Lynch Mortgage Trust 144A Ser. 05-LC1, Class X, IO,             
0.108s, 2044  2,521,000  25,891  7,601,000  78,062  8,365,000  85,909 
Mezz Cap Commercial Mortgage Trust 144A             
Ser. 04-C2, Class X, IO, 5.999s, 2040  208,820  75,436  531,495  192,002  520,505  188,032 
Ser. 05-C3, Class X, IO, 5.538s, 2044  414,000  142,954  655,000  226,172  656,000  226,517 
Morgan Stanley Capital 144A             
Ser. 05-RR6, Class X, IO, 1.635s, 2043  1,000,000  74,297  2,901,000  215,536  4,668,000  346,818 
Ser. 05-HQ6, Class X1, IO, 0.047s, 2042  8,324,235  84,866  18,363,840  187,219  18,242,026  185,977 
Morgan Stanley Capital I Ser. 98-CF1, Class D, 7.35s, 2032  67,000  71,651  --  --  --  -- 
Morgan Stanley Capital I 144A             
Ser. 96-C1, Class E, 7.346s, 2028  --  --  156,885  156,856  150,349  150,320 
Ser. 98-HF1, Class F, 7.18s, 2030  14,000  14,505  124,000  128,471  115,000  119,146 
Ser. 04-RR, Class F5, 6s, 2039  --  --  395,000  341,241  340,000  293,726 
Ser. 04-RR, Class F6, 6s, 2039  --  --  395,000  328,364  350,000  290,955 
Ser. 05-HQ5, Class X1, IO, 0.039s, 2042  7,906,254  65,780  11,129,903  92,601  10,615,035  88,317 
Mortgage Capital Funding, Inc.             
Ser. 97-MC1, Class A3, 7.288s, 2027  12,658  12,617  --  --  --  -- 
FRB Ser. 98-MC2, Class E, 7.098s, 2030  53,000  55,292  215,000  224,299  206,000  214,910 
Ser. 97-MC2, Class X, IO, 1.22s, 2012  878,138  12,136  243,288  3,362  --  -- 
Nomura Asset Securities Corp. Ser. 96-MD5, Class A1C,             
7.12s, 2039  235,000  235,987  1,315,000  1,320,523  1,017,566  1,021,840 
Permanent Financing PLC FRB Ser. 8, Class 2C, 4.88s, 2042             
(United Kingdom)  165,000  164,979  --  --  --  -- 
PNC Mortgage Acceptance Corp. 144A             
Ser. 99-CM1, Class B3, 7.1s, 2032  --  --  813,000  849,666  757,000  791,141 
Ser. 00-C1, Class J, 6 5/8s, 2010  --  --  118,000  112,059  189,000  179,484 
Ser. 00-C2, Class J, 6.22s, 2033  --  --  208,000  209,976  193,000  194,834 
Pure Mortgages 144A             
FRB Ser. 04-1A, Class F, 7.9s, 2034 (Ireland)  116,000  116,218  558,000  559,046  544,000  545,020 
Ser. 04-1A, Class E, 5.65s, 2034 (Ireland)  100,000  100,188  220,000  220,413  429,000  429,804 
QFA Royalties, LLC 144A Ser. 05-1, 7.3s, 2025  --  --  414,242  410,954  398,833  395,667 
Salomon Brothers Mortgage Securities VII 144A             
Ser. 96-C1, Class E, 8.301s, 2028  --  --  218,167  217,818  189,555  189,252 
Ser. 03-CDCA, Class X3CD, IO, 1.43s, 2015  287,512  3,163  802,493  8,828  748,527  8,235 
SBA CMBS Trust 144A Ser. 05-1A, Class D, 6.219s, 2035  --  --  200,000  201,468  200,000  201,468 
STRIPS 144A             
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands)  --  --  172,000  149,693  165,000  143,601 
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)  --  --  116,000  96,444  112,000  93,118 
Ser. 04-1A, Class K, 5s, 2018 (Cayman Islands)  100,000  93,645  --  --  --  -- 
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands)  --  --  76,000  66,144  74,000  64,403 
Wachovia Bank Commercial Mortgage Trust Ser. 05-C17,             
Class A4, 5.083s, 2042  236,000  234,806  1,493,000  1,485,445  1,424,000  1,416,795 
Wachovia Bank Commercial Mortgage Trust 144A             
FRB Ser. 05-WL5A, Class L, 7.669s, 2018  --  --  164,000  163,815  156,000  155,824 
Ser. 03-C3, Class IOI, IO, 0.273s, 2035  537,955  17,381  4,041,906  130,592  4,045,769  130,717 
Ser. 05-C18, Class XC, IO, 0.055s, 2042  12,993,625  135,004  22,171,883  230,366  25,601,617  266,001 
Washington Mutual Asset Securities Corp. 144A             
Ser. 05-C1A, Class G, 5.72s, 2036  --  --  46,000  45,040  44,000  43,082 
Ser. 05-C1A, Class F, 5.3s, 2036  107,000  103,606  --  --  --  -- 
 
Total collateralized mortgage obligations (cost    $46,571,615    $149,270,816    $142,631,194 
$47,483,002, $153,219,671 and $145,860,681)             
 
ASSET-BACKED SECURITIES(a)  Growth 2.7%    Balanced 4.9%  Conservative 9.3% 
  Principal amount  Value  Principal amount  Value  Principal amount  Value 
 
Aames Mortgage Investment Trust FRN Ser. 04-1, Class 2A1,             
4.719s, 2034  $124,153  $124,299  $320,869  $321,245  $313,319  $313,686 
Aames Mortgage Trust 144A Ser. 03-1N, Class A, 7 1/2s, 2033  --  --  1,885  1,885  2,871  2,871 
ABSC NIMS Trust 144A             
Ser. 03-HE5, Class A, 7s, 2033  2,541  2,538  --  --  --  -- 
Ser. 05-HE2, Class A1, 4 1/2s, 2035 (Cayman Islands)  141,443  138,652  393,143  385,388  377,551  370,104 
Ace Securities Corp.             
FRN Ser. 04-HE2, Class A2A, 4.759s, 2034  366,309  366,936  --  --  --  -- 
FRN Ser. 04-HE3, Class A2A, 4.749s, 2034  19,048  19,085  --  --  --  -- 
Ser. 03-FM1, Class A, IO, 3 1/2s, 2032  254,000  1,608  1,421,000  8,995  1,094,000  6,925 
Advanta Business Card Master Trust FRN Ser. 04-C1, Class             
C, 5.42s, 2013  159,000  161,162  --  --  212,000  214,883 
Aegis Asset Backed Securities Trust FRN Ser. 04-5, Class             
1A2, 4.719s, 2031  91,000  91,213  --  --  --  -- 
Aegis Asset Backed Securities Trust 144A             
Ser. 04-1N, Class Note, 5s, 2034  465  465  1,618  1,618  1,191  1,191 
Ser. 04-5N, Class Note, 5s, 2034  34,189  34,050  52,948  52,732  51,435  51,226 
Ser. 04-6N, Class Note, 4 3/4s, 2035  56,482  56,182  79,743  79,319  79,074  78,654 
Ser. 04-2N, Class N1, 4 1/2s, 2034  --  --  26,617  26,547  25,301  25,234 
AFC Home Equity Loan Trust Ser. 99-2, Class 1A, 4.789s,             
2029  521,730  524,118  970,936  975,379  690,706  693,867 
American Express Credit Account Master Trust 144A Ser. 04-             
C, Class C, 4.62s, 2012  212,382  212,415  1,296,263  1,296,465  1,039,940  1,040,102 
American Home Mortgage Investment Trust FRN             
Ser. 04-3, Class 3A, 3.71s, 2034  219,724  216,260  403,417  397,059  477,839  470,308 
Ser. 04-3, Class 2A, 3.59s, 2034  138,743  136,298  381,073  374,358  318,294  312,684 
Americredit Automobile Receivables Trust 144A Ser. 05-1,             
Class E, 5.82s, 2012  --  --  550,000  548,279  350,000  348,905 
Ameriquest Finance NIM Trust 144A             
Ser. 04-IAN, Class 1A, 5.437s, 2034 (Cayman Islands)  22,999  22,999  15,558  15,558  14,374  14,374 
Ser. 04-RN9, Class N1, 4.8s, 2034 (Cayman Islands)  45,790  45,790  76,159  76,159  70,702  70,702 
Ameriquest Mortgage Securities, Inc.             
Ser. 03-6, Class S, IO, 5s, 2033  98,608  31  --  --  --  -- 
Ser. 03-8, Class S, IO, 5s, 2006  266,837  1,137  928,152  3,954  720,970  3,071 
FRN Ser. 03-AR1, Class A2, 4.869s, 2033  58,849  59,053  --  --  --  -- 
Ser. 03-2, Class A, 4.789s, 2033  9,329  9,335  --  --  --  -- 
FRN Ser. 04-R10, Class A5, 4.769s, 2034  18,204  18,223  --  --  --  -- 
FRN Ser. 04-R11, Class A2, 4.749s, 2034  41,968  42,021  --  --  --  -- 
Amortizing Residential Collateral Trust FRN Ser. 04-1, Class             
A4, 4.699s, 2034  62,000  62,116  --  --  --  -- 
Arcap REIT, Inc. 144A             
Ser. 03-1A, Class E, 7.11s, 2038  --  --  286,000  294,192  223,000  229,387 
Ser. 04-1A, Class E, 6.42s, 2039  --  --  240,272  240,865  227,202  227,763 
Argent NIM Trust 144A Ser. 04-WN9, Class A, 5.19s, 2034             
(Cayman Islands)  25,356  25,344  25,732  25,720  23,853  23,842 
Argent Securities, Inc. Ser. 04-W11, Class A3, 4.739s, 2034  234,761  234,908  --  --  --  -- 
Asset Backed Funding Corp. NIM Trust 144A             
Ser. 04-FF1, Class N1, 5s, 2034 (Cayman Islands)  --  --  58,058  57,975  53,632  53,556 
Ser. 04-0PT1, Class N1, 4.55s, 2033 (Cayman Islands)  1,508  1,507  4,154  4,151  4,154  4,151 
Ser. 04-0PT5, Class N1, 4.45s, 2034 (Cayman Islands)  29,674  29,598  --  --  56,448  56,303 
Asset Backed Securities Corp. Home Equity Loan Trust             
FRN Ser. 04-HE1, Class A3, 4.769s, 2034  85,221  85,246  15,760  15,765  15,030  15,035 
FRN Ser. 04-HE7, Class A2, 4.759s, 2034  189,091  189,341  --  --  --  -- 
FRN Ser. 04-HE8, Class A2, 4.759s, 2034  142,028  142,185  --  --  --  -- 
FRB Ser. 04-HE9, Class A2, 4.749s, 2034  73,055  73,118  139,756  139,878  136,580  136,699 

FRN Ser. 04-HE6, Class A2, 4.739s, 2034  379,240  379,890  1,343,042  1,345,344  1,288,451  1,290,659 
FRB Ser. 05-HE1, Class A3, 4.669s, 2035  25,272  25,295  187,135  187,301  185,330  185,495 
Ser. 03-HE5, Class A, IO, 4s, 2033  168,457  483  --  --  --  -- 
Banc of America Funding Corp. 144A Ser. 04-NIM1, Class             
Note, 6s, 2034  --  --  16,387  16,387  16,387  16,387 
Banc of America Mortgage Securities             
Ser. 04-D, Class 2A, IO, 0.608s, 2034  1,018,712  3,343  3,471,220  11,390  3,341,552  10,964 
Ser. 05-E, Class 2, IO, 0.306s, 2035  2,264,000  15,919  7,566,000  53,198  7,285,000  51,223 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4, 5.399s,             
2011  110,000  112,075  280,000  285,283  250,000  254,717 
Bay View Auto Trust             
Ser. 05-LJ2, Class D, 5.27s, 2014  62,000  61,315  139,000  137,464  134,000  132,519 
Ser. 05-LJ2, Class C, 4.92s, 2014  100,000  98,870  46,000  45,480  45,000  44,492 
Bayview Financial Acquisition Trust             
FRN Ser. 03-G, Class A1, 4.979s, 2039  550,000  550,790  1,012,000  1,013,454  944,000  945,357 
FRN Ser. 03-F, Class A, 4.879s, 2043  315,884  316,789  514,684  516,158  471,591  472,941 
Ser. 04-B, Class A1, 4.879s, 2039  --  --  861,452  861,216  1,131,240  1,130,930 
FRB Ser. 04-D, Class A, 4.769s, 2044  202,480  202,677  661,837  662,483  646,122  646,753 
Ser. 03-E, Class A, IO, 4s, 2006  --  --  558,526  5,065  490,165  4,445 
Ser. 03-F, Class A, IO, 4s, 2006  363,636  5,455  --  --  --  -- 
Ser. 04-A, Class A, IO, 3.938s, 2006  631,192  14,466  --  --  --  -- 
Ser. 04-D, Class A, IO, 3.938s, 2007  1,145,905  41,830  3,475,805  126,880  3,391,578  123,805 
Ser. 05-B, Class A, IO, 2.339s, 2039  3,471,038  124,016  3,333,015  119,085  8,684,819  310,298 
Bayview Financial Asset Trust 144A             
FRN Ser. 03-SSRA, Class M, 5.729s, 2038  84,377  85,297  251,168  253,906  196,225  198,364 
FRN Ser. 03-SSRA, Class A, 5.079s, 2038  84,377  84,875  251,168  252,650  196,225  197,383 
FRN Ser. 04-SSRA, Class A1, 4.979s, 2039  197,832  198,683  287,540  288,777  278,629  279,827 
Ser. 03-X, Class A, IO, 0.61s, 2006  1,258,340  22,021  3,292,448  57,618  2,500,533  43,759 
Bear Stearns Adjustable Rate Mortgage Trust Ser. 04-1, Class             
11A1, 3.643s, 2034  107,323  106,124  1,122,863  1,110,322  1,047,737  1,036,035 
Bear Stearns Alternate Trust             
Ser. 04-12, Class 2A2, 5.025s, 2035  147,343  147,018  474,342  473,294  485,328  484,256 
Ser. 04-11, Class 2A2, 4.995s, 2034  191,750  191,300  664,395  662,837  610,010  608,580 
Ser. 04-9, Class 1A1, 4.989s, 2034  65,875  65,762  174,068  173,770  158,799  158,527 
Ser. 05-2, Class 2A2A, 4.827s, 2035  97,198  96,798  293,279  292,072  282,042  280,882 
Ser. 05-5, Class 21A1, 4.693s, 2035  500,159  496,183  1,023,401  1,015,267  980,653  972,858 
Bear Stearns Asset Backed Securities NIM Trust 144A             
Ser. 04-HE6, Class A1, 5 1/4s, 2034 (Cayman Islands)  --  --  71,047  70,970  64,647  64,576 
Ser. 04-HE7N, Class A1, 5 1/4s, 2034  10,403  10,392  41,066  41,021  38,328  38,286 
Ser. 04-FR1, Class A1, 5s, 2034 (Cayman Islands)  --  --  41,185  41,121  48,812  48,736 
Ser. 04-HE8N, Class A1, 5s, 2034  21,954  21,908  --  --  18,660  18,622 
Ser. 04-HE10, Class A2, 5s, 2034 (Cayman Islands)  --  --  70,000  69,475  60,000  59,550 
Ser. 04-HE10, Class A1, 4 1/4s, 2034 (Cayman Islands)  66,202  65,809  83,071  82,578  81,798  81,312 
Bear Stearns Asset Backed Securities, Inc.             
Ser. 03-AC4, Class A, IO, 5s, 2006  507,000  1,954  1,495,200  5,762  1,164,000  4,485 
FRN Ser. 03-3, Class A2, 4.969s, 2043  127,000  127,318  441,000  442,103  348,000  348,870 
FRN Ser. 03-1, Class A1, 4.879s, 2042  150,260  150,260  428,697  428,695  304,995  304,994 
FRB Ser. 05-3, Class A1, 4.829s, 2035  357,594  357,371  --  --  --  -- 
FRN Ser. 03-ABF1, Class A, 4.749s, 2034  79,891  79,991  --  --  --  -- 
FRN Ser. 04-HE9, Class 1A2, 4.749s, 2032  316,775  317,171  --  --  --  -- 
Bombardier Capital Mortgage Securitization Corp. Ser. 01-A,             
Class A, 6.805s, 2030  180,869  185,108  277,152  283,648  265,004  271,215 
Capital One Multi-Asset Execution Trust FRB Ser. 02-C1,             
Class C1, 7.119s, 2010  --  --  65,000  67,539  53,000  55,070 
CARMAX Auto Owner Trust Ser. 04-2, Class D, 3.67s, 2011  20,404  20,136  80,451  79,395  74,621  73,642 
CARSSX Finance, Ltd. 144A FRB             
Ser. 04-AA, Class B4, 9.869s, 2011 (Cayman Islands)  --  --  116,116  122,933  148,658  157,385 
Ser. 04-AA, Class B3, 7.719s, 2011 (Cayman Islands)  --  --  37,145  37,465  37,145  37,465 
CDO Repackaging Trust Series 144A FRN Ser. 03-2, Class A,             
8.617s, 2008  --  --  690,000  745,200  535,000  577,800 
Centex Home Equity             
Ser. 03-B, Class A, IO, 4.576s, 2006  102,830  1,677  --  --  --  -- 
Ser. 04-C, Class A, IO, 3 1/2s, 2006  510,000  6,257  1,275,000  15,643  --  -- 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,             
5.449s, 2010  170,000  173,069  470,000  478,486  420,000  427,583 
Chase Funding Loan Acquisition Trust FRN Ser. 04-AQ1,             
Class A2, 4.779s, 2034  294,903  295,346  --  --  --  -- 
Chase Funding Net Interest Margin 144A Ser. 04-OPT1, Class             
Note, 4.458s, 2034  51,764  51,504  99,025  98,530  124,103  123,483 
CHEC NIM Ltd., 144A             
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  --  --  88,000  86,900  85,000  83,938 
Ser. 04-2, Class N3, 8s, 2034 (Cayman Islands)  --  --  35,000  30,100  34,000  29,240 
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)  16,602  16,563  32,905  32,829  31,858  31,784 
Citibank Credit Card Issuance Trust FRN Ser. 01-C1, Class             
C1, 5.23s, 2010  110,000  111,788  240,000  243,900  210,000  213,413 
Citigroup Mortgage Loan Trust, Inc.             
FRN Ser. 04-RES1, Class A2, 4.779s, 2034  48,141  48,216  --  --  --  -- 
Ser. 03-HE3, Class A, 4.759s, 2033  1,193,924  1,195,044  --  --  --  -- 
Citigroup Mortgage Loan Trust, Inc. 144A FRN Ser. 03-HE4,             
Class A, 4.789s, 2033  524,895  525,715  --  --  --  -- 
CNL Funding Ser. 99-1, Class A2, 7.645s, 2014  122,000  129,606  455,000  483,365  286,000  303,830 
Conseco Finance Securitizations Corp.             
Ser. 02-2, Class A, IO, 8 1/2s, 2033  156,805  38,321  591,287  144,501  372,413  91,012 
Ser. 00-4, Class A6, 8.31s, 2032  --  --  1,479,000  1,256,558  1,232,000  1,046,707 
Ser. 00-5, Class A4, 7.47s, 2032  136,885  137,682  348,155  350,182  343,533  345,534 
Ser. 01-4, Class A4, 7.36s, 2033  507,000  502,691  1,270,000  1,259,206  1,243,000  1,232,436 
Ser. 01-1, Class A5, 6.99s, 2032  691,000  638,069  3,389,000  3,129,403  2,767,000  2,555,048 
Ser. 01-3, Class A4, 6.91s, 2033  --  --  393,000  379,570  387,000  373,775 
Ser. 00-6, Class A4, 6.77s, 2032  63,320  63,556  --  --  --  -- 
Ser. 02-1, Class A, 6.681s, 2033  316,176  322,601  987,004  1,007,062  804,659  821,012 
Ser. 01-1, Class A4, 6.21s, 2032  200,600  201,748  768,111  772,510  744,465  748,728 
Ser. 01-3, Class A3, 5.79s, 2033  --  --  685,049  685,946  521,248  521,931 
Ser. 01-1, Class A, IO, 2 1/2s, 2032  873,675  20,444  3,227,008  75,512  2,044,458  47,840 
Ser. 01-3, Class A, IO, 2 1/2s, 2033  2,095,628  69,994  6,582,746  219,864  4,097,262  136,849 
Ser. 01-4, Class A, IO, 2 1/2s, 2033  1,022,653  35,282  2,291,526  79,058  1,521,632  52,496 
Countryplace Manufactured Hsg. Contract Ser. 05-1, Class A1,             
4.23s, 2035  216,253  214,428  --  --  --  -- 
Countrywide Alternative Loan Trust             
Ser. 04-15, Class 1A1, 4.963s, 2034  36,771  36,668  177,972  177,472  178,953  178,449 
Ser. 05-24, Class 1AX, IO, 1.251s, 2035  3,911,502  102,677  5,686,213  149,263  5,448,598  143,026 
Ser. 05-24, Class IIAX, IO, 1.168s, 2035  1,728,089  64,803  4,800,656  180,025  4,591,330  172,175 
Countrywide Asset Backed Certificates FRN             
Ser. 04-8, Class 2A2, 4.729s, 2032  613,626  614,061  --  --  --  -- 
Ser. 04-5, Class 4A3, 4.699s, 2034  221,734  221,907  781,035  781,641  751,912  752,495 
Ser. 04-13, Class AV2, 4.639s, 2034  102,266  102,349  360,414  360,707  345,520  345,802 
Countrywide Asset Backed Certificates 144A             
Ser. 04-6N, Class N1, 6 1/4s, 2035  80,936  80,774  236,908  236,434  219,682  219,243 
Ser. 04-BC1N, Class Note, 5 1/2s, 2035  --  --  44,581  44,421  42,326  42,174 
Ser. 04-11N, Class N, 5 1/4s, 2036  23,318  23,248  33,456  33,355  32,442  32,345 
Ser. 04-14N, 5s, 2036  20,192  20,064  79,555  79,054  78,747  78,251 
Countrywide Home Loans             
Ser. 05-9, Class 1X, IO, 0.861s, 2035  1,407,640  32,939  4,990,332  116,774  4,772,913  111,686 
Ser. 05-2, Class 2X, IO, 0.776s, 2035  2,010,385  46,176  5,591,067  128,420  5,340,255  122,659 
Countrywide Home Loans 144A Ser. 05-R2, Class 2A3, 8s,             
2035  196,178  208,132  --  --  367,070  389,438 
Countrywide Partnership Trust 144A Ser. 04-EC1N, Class N,             
5s, 2035  18,247  18,158  49,895  49,651  60,730  60,432 
Credit-Based Asset Servicing and Securitization FRN Ser. 02-             
CB2, Class A2, 4.929s, 2032  65,973  66,303  --  --  --  -- 
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038 (Cayman             
Islands)  --  --  339,000  348,217  313,000  321,510 
CS First Boston Mortgage Securities Corp. 144A Ser. 04-             
FR1N, Class A, 5s, 2034  99,671  98,675  139,224  137,832  151,881  150,362 
Fieldstone Mortgage Investment Corp. FRN             
Ser. 05-1, Class M3, 4.919s, 2035  --  --  143,000  144,430  138,000  139,380 
Ser. 04-4, Class 2A, 4.699s, 2035  30,375  30,401  --  --  --  -- 
Finance America NIM Trust 144A Ser. 04-1, Class A, 5 1/4s,             
2034  --  --  39,556  29,469  35,960  26,790 
First Chicago Lennar Trust 144A Ser. 97-CHL1, Class D,             
7.688s, 2039  --  --  1,110,000  1,116,271  1,060,000  1,065,989 
First Consumers Master Trust FRB Ser. 01-A, Class A, 4.679s,             
2008  --  --  50,673  50,420  50,598  50,345 
First Franklin Mortgage Loan Asset Backed Certificates FRN             
Ser. 04-FF10, Class A2, 4.779s, 2032  400,404  401,277  --  --  --  -- 
First Franklin Mortgage Loan NIM Trust 144A             
Ser. 04-FF7A, Class A, 5s, 2034 (Cayman Islands)  29,543  29,460  48,997  48,860  45,574  45,447 
Ser. 04-FF10, Class N1, 4.45s, 2034 (Cayman Islands)  21,600  21,539  39,375  39,264  38,250  38,142 
First Horizon Mortgage Pass-Through Trust Ser. 05-AR2,             
Class 1A1, 4.831s, 2035  421,793  418,719  757,131  751,614  724,820  719,538 
Ford Credit Auto Owner Trust Ser. 04-A, Class C, 4.19s, 2009  140,000  137,900  240,000  236,400  130,000  128,050 
Fremont Home Loan Trust FRN Ser. 04-3, Class A3, 4.779s,             
2034  366,000  366,570  --  --  --  -- 
Fremont NIM Trust 144A             
Ser. 04-3, Class B, 7 1/2s, 2034  --  --  48,817  47,545  47,338  46,104 
Ser. 04-D, Class N2, 7 1/2s, 2034 (Cayman Islands)  --  --  24,878  24,695  24,878  24,695 
Ser. 04-3, Class A, 4 1/2s, 2034  37,226  37,001  123,155  122,409  95,445  94,867 
Ser. 04-D, Class N1, 4 1/2s, 2034 (Cayman Islands)  30,278  30,140  87,309  86,909  86,133  85,739 
G-Force CDO, Ltd. 144A Ser. 03-1A, Class E, 6.58s, 2038             
(Cayman Islands)  142,000  143,572  197,000  199,180  184,000  186,036 
GE Capital Credit Card Master Note Trust FRB Ser. 04-2,             
Class C, 4.849s, 2010  100,000  100,148  403,620  404,218  374,560  375,115 

GE Corporate Aircraft Financing, LLC 144A             
FRB Ser. 05-1A, Class C, 5.679s, 2019  --  --  269,000  269,000  271,000  271,000 
Ser. 04-1A, Class B, 5.229s, 2018  65,454  65,414  71,344  71,302  69,381  69,339 
Gears Auto Owner Trust Ser. 05-AA, Class E1, 8.22s, 2012  --  --  443,000  443,071  442,000  442,070 
GEBL 144A             
Ser. 04-2, Class D, 6.87s, 2032  --  --  161,530  161,885  198,663  199,100 
Ser. 04-2, Class C, 4.97s, 2032  --  --  120,683  121,552  198,663  200,094 
GMAC Mortgage Corp. Loan Trust Ser. 04-HE5, Class A, IO,             
4.941s, 2007  2,561,900  142,826  1,586,100  88,425  1,934,600  107,854 
Goldentree Loan Opportunities II, Ltd. 144A FRN Ser. 2A,             
Class 4, 6.979s, 2015 (Cayman Islands)  --  --  105,000  106,181  85,000  85,956 
Granite Mortgages PLC             
FRN Ser. 03-2, Class 1C, 5.724s, 2043 (United Kingdom)  275,000  281,834  --  --  --  -- 
FRN Ser. 03-3, Class 1C, 5.624s, 2044 (United Kingdom)  60,000  61,203  230,000  234,613  --  -- 
FRB Ser. 02-1, Class 1C, 5.474s, 2042 (United Kingdom)  --  --  280,000  282,273  270,000  272,192 
FRB Ser. 02-2, Class 1C, 5.424s, 2043 (United Kingdom)  90,000  91,050  230,000  232,683  220,000  222,567 
FRN Ser. 04-1, Class 1C, 5.4s, 2044 (United Kingdom)  --  --  366,000  366,801  339,000  339,742 
FRB Ser. 04-2, Class 1C, 5.2s, 2044 (United Kingdom)  --  --  217,346  217,618  194,224  194,467 
Green Tree Financial Corp.             
Ser. 99-5, Class A5, 7.86s, 2030  398,000  351,813  1,647,000  1,455,868  1,130,000  998,865 
Ser. 97-2, Class A7, 7.62s, 2028  274,131  288,276  --  --  --  -- 
Ser. 97-6, Class A9, 7.55s, 2029  89,382  93,575  --  --  166,919  174,748 
Ser. 97-4, Class A7, 7.36s, 2029  18,813  19,589  73,541  76,575  158,484  165,021 
Ser. 96-2, Class A4, 7.2s, 2027  442,119  446,717  --  --  --  -- 
Ser. 97-6, Class A8, 7.07s, 2029  75,698  77,938  --  --  85,212  87,734 
Ser. 99-4, Class A5, 6.97s, 2031  151,044  153,079  --  --  --  -- 
Ser. 97-7, Class A8, 6.86s, 2029  14,308  14,684  55,931  57,400  120,534  123,698 
Ser. 99-3, Class A6, 6 1/2s, 2031  --  --  235,000  237,491  228,000  230,417 
Greenpoint Manufactured Housing             
Ser. 00-3, Class IA, 8.45s, 2031  181,154  171,757  859,749  815,150  820,004  777,466 
Ser. 99-5, Class A4, 7.59s, 2028  272,301  279,168  689,261  706,644  472,272  484,182 
Greenpoint Mortgage Funding Trust Ser. 05-AR1, Class X1,             
IO, 1.258s, 2045  1,345,721  37,007  3,738,446  102,807  3,575,645  98,330 
GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011  --  --  401,049  397,720  392,362  389,106 
GSAMP Trust FRB Ser. 05-HE3, Class A1B, 4.639s, 2035  412,417  412,788  --  --  --  -- 
GSAMP Trust 144A             
Ser. 04-NIM1, Class N1, 5 1/2s, 2034  58,150  58,126  180,945  180,872  167,952  167,885 
Ser. 04-SE2N, Class Note, 5 1/2s, 2034  --  --  155  155  172  172 
Ser. 05-NC1, Class N, 5s, 2035  43,525  43,429  114,706  114,454  110,172  109,930 
Ser. 04-NIM2, Class N, 4 7/8s, 2034  107,311  106,849  273,069  271,895  269,668  268,508 
Ser. 04-NIM1, Class N2, zero %, 2034  --  --  331,000  243,782  307,000  226,106 
GSMPS Mortgage Loan Trust             
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  62,635  67,233  --  --  123,531  132,598 
Ser. 05-RP3, Class 1A3, 8s, 2035  188,571  200,470  --  --  370,026  393,375 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  162,435  170,849  --  --  318,372  334,863 
GSMPS Mortgage Loan Trust 144A             
Ser. 05-RP2, Class 1A3, 8s, 2035  125,317  133,225  342,082  363,667  327,688  348,365 
Ser. 05-RP1, Class 1A2, 7 1/2s, 2035  168,990  177,456  --  --  --  -- 
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  146,211  153,507  402,874  422,978  384,598  403,789 
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB             
Ser. 05-2A, Class D, 5.929s, 2030 (Cayman Islands)  --  --  250,000  250,075  250,000  250,075 
Ser. 05-1A, Class D, 5.909s, 2030 (Cayman Islands)  --  --  465,000  463,605  446,000  444,662 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, zero %, 2035  --  --  265,000  255,979  291,000  281,094 
High Income Trust Securities 144A FRB Ser. 03-1A, Class A,             
4.81s, 2036 (Cayman Islands)  --  --  717,274  700,239  652,734  637,232 
Holmes Financing PLC FRB             
Ser. 4, Class 3C, 5.45s, 2040 (United Kingdom)  20,000  20,081  190,000  190,771  180,000  180,730 
Ser. 8, Class 2C, 4.87s, 2040 (United Kingdom)  58,000  58,197  164,000  164,558  164,000  164,558 
Home Equity Asset Trust FRB             
Ser. 04-7, Class A3, 4.769s, 2035  522,667  523,500  --  --  --  -- 
Ser. 03-4, Class A2, 4.749s, 2033  28,196  28,202  --  --  --  -- 
Ser. 04-8, Class A4, 4.739s, 2035  42,863  42,913  --  --  --  -- 
Home Equity Asset Trust 144A             
Ser. 02-5N, Class A, 8s, 2033  2,018  2,018  --  --  --  -- 
Ser. 03-6N, Class A, 6 1/2s, 2034  648  644  --  --  625  621 
Ser. 04-3N, Class A, 5s, 2034  --  --  25,551  25,360  24,496  24,313 
Ser. 04-4N, Class A, 5s, 2034  40,369  39,864  --  --  77,095  76,132 
Hyundai Auto Receivables Trust Ser. 04-A, Class D, 4.1s,             
2011  94,000  91,793  90,000  87,887  84,000  82,028 
Impac CMB Trust FRN Ser. 04-8, Class 1A, 4.739s, 2034  48,235  48,259  --  --  --  -- 
LNR CDO, Ltd. 144A FRB Ser. 03-1A, Class EFL, 7.504s,             
2036 (Cayman Islands)  105,000  111,989  595,000  634,603  460,000  490,618 
Long Beach Asset Holdings Corp. NIM Trust 144A             
Ser. 04-5, Class Note, 5s, 2034  28,910  28,837  67,405  67,236  63,361  63,201 
Ser. 04-2, Class N1, 4.94s, 2034  --  --  671  671  587  587 
Ser. 05-1, Class N1, 4.115s, 2035  90,961  90,893  235,370  235,193  233,710  233,535 
Long Beach Mortgage Loan Trust             
Ser. 04-3, Class S1, IO, 4 1/2s, 2006  1,236,921  40,509  1,716,227  56,206  --  -- 
Ser. 04-3, Class S2, IO, 4 1/2s, 2006  618,460  19,636  858,114  27,245  --  -- 
Marriott Vacation Club Owner Trust 144A             
Ser. 05-2, Class D, 6.205s, 2027  --  --  50,737  50,737  54,495  54,495 
Ser. 04-2A, Class D, 5.389s, 2026  --  --  31,826  30,967  31,214  30,372 
Ser. 04-1A, Class C, 5.265s, 2026  --  --  81,332  80,683  75,523  74,920 
FRB Ser. 02-1A, Class A1, 5.07s, 2024  40,428  40,630  171,320  172,176  168,518  169,360 
MASTR Adjustable Rate Mortgages Trust             
Ser. 04-7, Class 2A1, 4.696s, 2034  91,302  91,007  224,831  224,105  225,401  224,674 
Ser. 04-03, Class 4AX, IO, 1.417s, 2034  235,628  5,372  802,861  18,305  772,900  17,622 
Ser. 05-2, Class 7AX, IO, 0.168s, 2035  618,905  1,857  2,108,433  6,325  2,030,343  6,091 
MASTR Asset Backed Securities NIM Trust 144A             
Ser. 04-CI5, Class N2, 9s, 2034 (Cayman Islands)  --  --  87,000  87,000  --  -- 
Ser. 04-HE1A, Class Note, 5.191s, 2034 (Cayman Islands)  10,545  10,543  37,117  37,110  36,063  36,055 
Ser. 04-CI5, Class N1, 4.946s, 2034 (Cayman Islands)  2,161  2,161  3,527  3,527  8,223  8,223 
MASTR Asset Backed Securities Trust FRB             
Ser. 04-HE1, Class A1, 4.779s, 2034  28,581  28,625  --  --  --  -- 
Ser. 04-OPT2, Class A2, 4.729s, 2034  184,620  184,909  --  --  --  -- 
MASTR Reperforming Loan Trust 144A             
Ser. 05-1, Class 1A4, 7 1/2s, 2034  155,497  162,884  433,172  453,748  413,338  432,972 
Ser. 05-2, Class 1A3, 7 1/2s, 2035  212,913  223,293  --  --  808,023  847,414 
MBNA Credit Card Master Note Trust FRB Ser. 03-C5, Class             
C5, 5.549s, 2010  170,000  173,697  470,000  480,221  420,000  429,133 
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1, 5s,             
2027  371,670  356,803  533,877  512,522  439,363  421,788 
Merrill Lynch Mortgage Investors, Inc.             
Ser. 03-WM3N, Class N1, 8s, 2034  --  --  1,352  1,348  1,063  1,059 
Ser. 04-WMC3, Class B3, 5s, 2035  31,000  29,937  92,000  88,844  85,000  82,085 
FRB Ser. 02-HE1, Class A2, 4.879s, 2032  7,887  7,904  --  --  --  -- 
FRB Ser. 04-HE2, Class A1A, 4.779s, 2035  51,648  51,818  --  --  --  -- 
FRB Ser. 04-WMC5, Class A2A, 4.749s, 2035  23,167  23,201  --  --  --  -- 
Merrill Lynch Mortgage Investors, Inc. 144A             
Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)  9,335  9,338  14,646  14,650  13,519  13,523 
Ser. 04-HE1N, Class N1, 5s, 2006  --  --  16,755  16,698  24,834  24,749 
Ser. 04-HE2N, Class N1, 5s, 2035 (Cayman Islands)  47,575  47,382  78,023  77,706  67,873  67,598 
Ser. 05-WM1N, Class N1, 5s, 2035  59,517  59,536  165,325  165,377  157,978  158,027 
Ser. 04-OP1N, Class N1, 4 3/4s, 2035 (Cayman Islands)  21,649  21,575  33,365  33,250  32,346  32,235 
Ser. 04-WM1N, Class N1, 4 1/2s, 2034  3,379  3,382  6,405  6,411  7,918  7,926 
Ser. 04-WM2N, Class N1, 4 1/2s, 2034  7,877  7,847  8,431  8,399  8,260  8,229 
Ser. 04-WM3N, Class N1, 4 1/2s, 2035  --  --  38,550  38,418  34,449  34,331 
Metris Master Trust FRN Ser. 04-2, Class C, 5.72s, 2010  153,000  154,018  219,000  220,456  213,000  214,417 
Metris Master Trust 144A FRB Ser. 01-2, Class C, 6.27s, 2009  100,000  100,158  132,000  132,209  --  -- 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038  62,916  62,860  242,372  242,152  187,320  187,150 
MMCA Automobile Trust Ser. 02-1, Class B, 5.37s, 2010  --  --  603,304  601,012  578,035  575,839 
Morgan Stanley ABS Capital I FRB             
Ser. 04-HE8, Class A4, 4.759s, 2034  184,823  185,021  --  --  --  -- 
Ser. 04-WMC3, Class A2PT, 4.669s, 2035  142,865  142,910  364,932  365,048  360,421  360,535 
Morgan Stanley Auto Loan Trust Ser. 04-HB2, Class D, 3.82s,             
2012  10,058  10,037  13,312  13,284  12,424  12,398 
Morgan Stanley Auto Loan Trust 144A             
Ser. 04-HB1, Class D, 5 1/2s, 2011  --  --  209,102  207,941  149,486  148,656 
Ser. 04-HB2, Class E, 5s, 2012  --  --  107,000  104,562  100,000  97,722 
Morgan Stanley Dean Witter Capital I FRB Ser. 01-NC4, Class             
B1, 6.879s, 2032  12,860  12,872  19,060  19,078  9,874  9,884 
Morgan Stanley Mortgage Loan Trust             
Ser. 05-5AR, Class 2A1, 5.443s, 2035  609,540  610,111  1,074,943  1,075,951  1,806,043  1,807,737 
Ser. 05-3AR, Class 2A2, 5.267s, 2035  412,500  412,339  1,265,328  1,264,833  1,217,858  1,217,381 
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1, 4.83s,             
2015 (Cayman Islands)  141,000  141,296  245,000  245,515  232,000  232,487 
Navistar Financial Corp. Owner Trust             
Ser. 05-A, Class C, 4.84s, 2014  80,000  79,041  188,000  185,746  181,000  178,830 
Ser. 04-B, Class C, 3.93s, 2012  18,510  18,098  71,515  69,926  79,087  77,330 
New Century Home Equity Loan Trust             
Ser. 03-5, Class AI7, 5.15s, 2033  98,000  95,094  333,000  323,127  292,000  283,342 
FRB Ser. 04-3, Class A3, 4.769s, 2034  27,795  27,827  --  --  --  -- 
Newcastle CDO, Ltd. 144A FRB Ser. 3A, Class 4FL, 7.579s,             
2038 (Cayman Islands)  --  --  139,000  141,989  109,000  111,344 

Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,             
9.138s, 2035  106,692  114,427  141,186  151,422  137,977  147,980 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2, Class PT,             
7.695s, 2034  --  --  141,214  151,541  129,860  139,356 
Novastar Home Equity Loan FRB             
Ser. 04-4, Class A1B, 4.779s, 2035  44,813  44,824  --  --  --  -- 
Ser. 04-3, Class A3D, 4.739s, 2034  53,865  53,959  --  --  --  -- 
Novastar NIM Trust 144A Ser. 04-N2, Class Note, 4.458s,             
2034  --  --  6,052  5,981  12,872  12,721 
Oakwood Mortgage Investors, Inc.             
Ser. 00-A, Class A3, 7.945s, 2022  103,877  86,660  404,115  337,135  395,403  329,867 
Ser. 99-A, Class A3, 6.09s, 2029  367,697  344,867  --  --  --  -- 
Ser. 01-E, Class A, IO, 6s, 2009  213,408  32,725  728,739  111,750  488,655  74,934 
Ser. 02-C, Class A1, 5.41s, 2032  392,879  340,995  1,160,619  1,007,346  1,074,023  932,186 
Ser. 01-D, Class A2, 5.26s, 2019  66,178  46,280  --  --  404,537  282,908 
Ser. 02-A, Class A2, 5.01s, 2020  311,720  246,975  --  --  155,860  123,488 
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4,             
7.21s, 2030  --  --  121,166  110,292  160,366  145,974 
Ocean Star PLC 144A FRB             
Ser. 04, Class D, 6.632s, 2018 (Ireland)  23,000  23,661  133,000  136,824  123,000  126,536 
Ser. 05-A, Class D, 5.796s, 2012 (Ireland)  27,000  26,989  149,000  148,940  150,000  149,940 
Option One Mortgage Loan Trust FRB Ser. 04-3, Class A3,             
4.679s, 2034  33,924  33,930  --  --  --  -- 
Option One Mortgage Securities Corp. NIM Trust 144A             
Ser. 04-2A, Class N2, 6.414s, 2034 (Cayman Islands)  142,000  142,488  --  --  --  -- 
Ser. 04-2A, Class N1, 4.213s, 2034 (Cayman Islands)  23,438  23,438  62,346  62,345  61,760  61,759 
Origen Manufactured Housing             
Ser. 04-B, Class A3, 4 3/4s, 2021  56,000  54,066  --  --  --  -- 
Ser. 04-B, Class A2, 3.79s, 2017  144,000  140,355  92,000  89,671  85,000  82,848 
Park Place Securities NIM Trust 144A             
Ser. 04-MCWN1, Class A, 4.458s, 2034  15,087  15,085  17,287  17,285  16,030  16,028 
Ser. 04-WHQ2, Class A, 4s, 2035  51,486  50,971  104,015  102,975  101,513  100,498 
Park Place Securities, Inc. FRB             
Ser. 04-MCW1, Class A2, 4.759s, 2034  455,446  456,016  --  --  --  -- 
Ser. 04-WCW1, Class A2, 4.759s, 2034  377,356  377,739  1,336,436  1,337,795  1,282,262  1,283,566 
Ser. 04-WHQ2, Class A3A, 4.729s, 2035  37,586  37,621  303,536  303,817  294,424  294,697 
People's Choice Net Interest Margin Note 144A             
Ser. 04-2, Class A, 5s, 2034  42,011  41,902  110,038  109,752  102,121  101,855 
Ser. 04-2, Class B, 5s, 2034  --  --  70,000  66,150  70,000  66,150 
Permanent Financing PLC FRB             
Ser. 1, Class 3C, 5.68s, 2042 (United Kingdom)  30,000  30,036  190,000  190,226  180,000  180,214 
Ser. 3, Class 3C, 5.63s, 2042 (United Kingdom)  110,000  111,686  280,000  284,291  270,000  274,138 
Ser. 4, Class 3C, 5.28s, 2042 (United Kingdom)  177,000  178,284  500,000  503,628  503,000  506,650 
Ser. 5, Class 2C, 5.13s, 2042 (United Kingdom)  169,000  169,739  445,000  446,947  405,000  406,772 
Pillar Funding PLC 144A FRB             
Ser. 04-1A, Class C1, 5.491s, 2011 (United Kingdom)  134,000  135,485  474,000  479,252  422,000  426,676 
Ser. 04-2A, Class C, 5.371s, 2011 (United Kingdom)  --  --  183,000  184,093  169,000  170,009 
Popular ABS Mortgage Pass-Through Trust FRB Ser. 04-4,             
Class AV1, 4.719s, 2034  25,203  25,220  --  --  --  -- 
Providian Gateway Master Trust 144A             
FRB Ser. 04-AA, Class D, 6.219s, 2011  100,000  101,518  266,000  270,038  265,000  269,023 
FRB Ser. 04-BA, Class D, 5.769s, 2010  --  --  420,000  421,660  420,000  421,660 
FRB Ser. 04-EA, Class D, 5.299s, 2011  217,000  218,823  125,000  126,050  116,000  116,974 
Ser. 04-DA, Class D, 4.4s, 2011  --  --  201,000  195,724  186,000  181,118 
Renaissance Home Equity Loan Trust             
FRB Ser. 04-3, Class AV1, 4.799s, 2034  510,534  512,117  --  --  --  -- 
Ser. 03-4, Class S, IO, 3s, 2006  13,713  29  --  --  --  -- 
Renaissance NIM Trust 144A             
Ser. 05-1, Class N, 4.7s, 2035  21,996  21,996  94,585  94,585  90,626  90,626 
Ser. 04-A, Class Note, 4.45s, 2034  1,322  1,321  1,391  1,389  1,384  1,383 
Residential Accredit Loans, Inc.             
Ser. 04-QA5, Class A2, 4.981s, 2034  88,656  88,458  166,547  166,174  157,048  156,697 
Ser. 04-QA6, Class NB1, 4.956s, 2034  299,188  298,261  832,136  829,557  799,740  797,261 
Residential Asset Mortgage Products, Inc.             
Ser. 02-SL1, Class AI3, 7s, 2032  169,017  168,692  551,031  549,970  346,658  345,990 
Ser. 04-RZ2, Class A, IO, 4s, 2006  577,778  6,954  669,933  8,063  819,289  9,861 
Residential Asset Securities Corp. FRB Ser. 04-KS10, Class A,             
4.699s, 2029  72,000  72,000  --  --  --  -- 
Residential Asset Securities Corp. 144A             
Ser. 04-N10B, Class A1, 5s, 2034  66,882  66,631  134,069  133,567  129,794  129,307 
Ser. 04-NT, Class Note, 5s, 2034  84,803  83,531  123,247  121,398  132,858  130,865 
Ser. 04-NT12, Class Note, 4.7s, 2035  --  --  46,502  46,303  49,122  48,912 
Residential Asset Securities Corp. NIM Trust 144A Ser. 05-             
NTR1, Class Note, 4 1/4s, 2035  7,143  7,142  19,749  19,746  18,813  18,810 
Saco I Trust FRB Ser. 05-10, Class 1A1, 4.76s, 2033  249,000  249,000  594,000  594,000  654,000  654,000 
SAIL Net Interest Margin Notes 144A             
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)  3,354  2,925  4,417  3,853  10,224  8,919 
Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)  18,358  8,195  4,166  1,860  --  -- 
Ser. 03-4, Class A, 7 1/2s, 2033 (Cayman Islands)  3,718  3,488  --  --  --  -- 
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands)  --  --  80,000  70,110  --  -- 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)  21,810  18,324  3,593  3,019  2,060  1,731 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)  --  --  4,118  3,418  3,210  2,664 
Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)  --  --  14,711  7,910  11,584  6,228 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)  --  --  24,475  13,187  15,777  8,500 
Ser. 04-4A, Class A, 5s, 2034 (Cayman Islands)  --  --  78,617  78,473  55,588  55,486 
Ser. 04-8A, Class A, 5s, 2034 (Cayman Islands)  37,099  36,997  76,379  76,170  71,008  70,813 
Ser. 04-10A, Class A, 5s, 2034 (Cayman Islands)  46,849  46,655  229,593  228,642  292,886  291,673 
Ser. 04-BN2A, Class A, 5s, 2034 (Cayman Islands)  14,973  14,914  38,331  38,181  37,732  37,584 
Ser. 04-BNCA, Class A, 5s, 2034 (Cayman Islands)  --  --  11,412  11,385  10,515  10,490 
Ser. 04-7A, Class A, 4 3/4s, 2034 (Cayman Islands)  --  --  32,236  32,144  49,973  49,829 
Ser. 04-11A, Class A2, 4 3/4s, 2035 (Cayman Islands)  96,907  96,333  250,190  248,708  247,611  246,144 
Ser. 05-2A, Class A, 4 3/4s, 2035 (Cayman Islands)  78,276  77,821  265,072  263,531  214,371  213,124 
Ser. 04-5A, Class A, 4 1/2s, 2034 (Cayman Islands)  1,536  1,533  14,336  14,305  --  -- 
Ser. 04-AA, Class A, 4 1/2s, 2034 (Cayman Islands)  77,430  77,001  198,204  197,105  194,592  193,513 
Ser. 05-1A, Class A, 4 1/4s, 2035  96,985  96,189  269,539  267,326  259,032  256,905 
Sasco Net Interest Margin Trust 144A             
Ser. 05-NC1A, Class A, 4 3/4s, 2035  104,068  103,502  288,404  286,837  275,496  274,000 
Ser. 05-WF1A, Class A, 4 3/4s, 2035  103,963  103,329  531,824  528,584  273,367  271,702 
Saxon Asset Securities Trust FRB Ser. 04-3, Class A, 4.719s,             
2034  229,545  229,603  --  --  --  -- 
Sequoia Mortgage Funding Co. 144A Ser. 04-A, Class AX1,             
IO, 0.8s, 2008  5,851,703  41,195  --  --  --  -- 
Sharps SP I, LLC Net Interest Margin Trust 144A             
Ser. 03-HE1N, Class N, 6.9s, 2033  2,880  2,887  --  --  --  -- 
Ser. 04-4N, Class Note, 6.65s, 2034  --  --  13,837  13,837  12,812  12,812 
Ser. 04-FM1N, Class N, 6.16s, 2033  2,476  2,487  --  --  --  -- 
Ser. 04-HS1N, Class Note, 5.92s, 2034  13,398  13,398  25,406  25,406  24,414  24,414 
Ser. 04-HE2N, Class NA, 5.43s, 2034  11,104  10,993  20,432  20,228  18,877  18,689 
Ser. 04-HE1N, Class Note, 4.94s, 2034  34,242  34,241  35,331  35,331  35,331  35,331 
Ser. 03-0P1N, Class NA, 4.45s, 2033  1,501  1,501  2,053  2,053  4,090  4,090 
Ser. 04-RM2N, Class NA, 4s, 2035  43,238  43,076  119,888  119,438  114,975  114,543 
Ser. 04-HE4N, Class NA, 3 3/4s, 2034  83,804  83,385  233,128  231,962  223,986  222,866 
Specialty Underwriting & Residential Finance Ser. 04-BC1,             
Class X, IO, 2s, 2035  1,755,061  17,293  --  --  --  -- 
Structured Adjustable Rate Mortgage Loan Trust             
Ser. 05-1, Class 1A1, 5.141s, 2035  546,722  546,382  1,619,481  1,618,473  1,618,003  1,616,996 
Ser. 04-14, Class 1A, 5.088s, 2034  309,801  309,399  2,220,543  2,217,659  1,914,323  1,911,837 
Ser. 04-20, Class 1A2, 5.072s, 2035  349,110  348,720  1,123,514  1,122,258  1,108,722  1,107,482 
Ser. 04-18, Class 1A1, 5.019s, 2034  192,530  192,345  434,204  433,785  451,033  450,598 
Ser. 04-16, Class 1A2, 4.999s, 2034  481,112  480,768  616,583  616,143  1,590,201  1,589,066 
Ser. 04-12, Class 1A2, 4.987s, 2034  170,218  170,331  395,626  395,889  397,369  397,633 
Ser. 04-10, Class 1A1, 4.914s, 2034  120,773  120,793  329,380  329,435  295,864  295,914 
Ser. 04-4, Class 1A1, 4.738s, 2034  71,111  71,239  25,263  25,309  150,175  150,445 
Ser. 04-8, Class 1A3, 4.69s, 2034  51,383  51,288  25,403  25,356  46,764  46,678 
Ser. 04-6, Class 1A, 4.37s, 2034  407,341  405,563  1,436,415  1,430,145  1,286,342  1,280,727 
Ser. 05-9, Class AX, IO, 0.937s, 2035  3,832,640  114,213  10,425,073  310,667  9,968,584  297,064 
Ser. 04-19, Class 2A1X, IO, 0.549s, 2035  1,681,075  29,083  --  --  --  -- 
Structured Adjustable Rate Mortgage Loan Trust 144A Ser. 04-             
NP2, Class A, 4.729s, 2034  125,265  125,278  484,525  484,574  501,060  501,111 
Structured Asset Investment Loan Trust             
Ser. 03-BC1A, Class A, 7 3/4s, 2033 (Cayman Islands)  8,944  8,944  16,432  16,432  14,050  14,050 
FRB Ser. 04-9, Class A4, 4.679s, 2034  470,000  470,533  --  --  --  -- 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,             
4.681s, 2015  --  --  1,169,138  1,152,331  1,126,316  1,110,125 
Structured Asset Securities Corp.             
IFB Ser. 05-10, Class 3A3, 7.758s, 2034  199,959  190,980  695,891  664,645  666,822  636,882 
IFB Ser. 05-6, Class 5A8, 5.143s, 2035  166,364  149,311  910,838  817,477  910,838  817,477 
Ser. 03-40A, Class 1A, 4.895s, 2034  62,518  62,867  200,057  201,174  150,043  150,881 
Ser. 04-8, Class 1A1, 4.69s, 2034  109,694  109,492  265,575  265,086  230,935  230,510 
Ser. 03-26A, Class 2A, 4.503s, 2033  137,020  137,485  381,662  382,956  339,738  340,890 
Structured Asset Securities Corp. 144A             
FRN Ser. 03-NP3, Class A1, 5.379s, 2033  61,258  61,264  16,656  16,657  15,290  15,292 
FRB Ser. 03-NP2, Class A2, 4.929s, 2032  108,583  108,583  112,819  112,819  103,577  103,577 
Terwin Mortgage Trust FRB Ser. 04-5HE, Class A1B, 4.799s,             
2035  110,278  110,464  459,714  460,488  437,127  437,863 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038             
(Cayman Islands)  --  --  349,000  340,750  299,000  291,932 
TIAA Real Estate CDO, Ltd. 144A             
FRB Ser. 02-1A, Class III, 7.6s, 2037 (Cayman Islands)  100,000  106,496  384,000  408,945  278,000  296,059 
Ser. 02-1A, Class IIFX, 6.77s, 2037 (Cayman Islands)  200,000  208,039  --  --  --  -- 
Wells Fargo Home Equity Trust 144A             
Ser. 04-2, Class N2, 8s, 2034 (Cayman Islands)  25,000  24,500  184,000  180,323  171,000  167,583 

Ser. 04-1N, Class A, 5s, 2034        --  --  21,848  21,811  --  -- 
Ser. 04-2, Class N1, 4.45s, 2034 (Cayman Islands)        71,521  70,664  143,207  141,491  133,200  131,604 
Wells Fargo Mortgage Backed Securities Trust                   
Ser. 05-AR9, Class 1A2, 4.353s, 2035        547,842  535,780  --  --  199,752  195,354 
Ser. 05-AR12, Class 2A5, 4.321s, 2035        1,425,000  1,384,701  4,555,000  4,426,185  4,382,000  4,258,077 
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035        --  --  9,846,000  147,690  9,480,000  142,200 
WFS Financial Owner Trust                   
Ser. 05-1, Class D, 4 1/4s, 2012        80,883  79,627  --  --  66,609  65,575 
Ser. 04-3, Class D, 4.07s, 2012        34,570  34,128  139,539  137,751  126,968  125,341 
Ser. 04-4, Class D, 3.58s, 2012        75,720  74,495  60,576  59,596  58,511  57,564 
Ser. 04-1, Class D, 3.17s, 2011        22,901  22,570  59,721  58,860  57,924  57,090 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,                   
Class B3, 5.189s, 2044 (United Kingdom)        --  --  374,000  373,918  375,000  374,918 
Whole Auto Loan Trust Ser. 03-1, Class C, 3.13s, 2010        2,702  2,681  41,304  40,987  35,128  34,858 
Whole Auto Loan Trust 144A                   
Ser. 03-1, Class D, 6s, 2010        16,704  16,688  93,764  93,678  79,728  79,654 
Ser. 04-1, Class D, 5.6s, 2011        63,026  62,563  180,172  178,848  291,153  289,014 
 
Total asset-backed securities (cost $38,702,508,          $38,456,185    $86,257,289    $84,380,976 
$87,600,021 and $85,662,315)                   
 
U.S. GOVERNMENT AND AGENCY MORTGAGE        Growth 1.4%    Balanced 4.7%    Conservative 8.4% 
OBLIGATIONS(a)                   
        Principal amount  Value  Principal amount  Value  Principal amount  Value 
 
U.S. Government Guaranteed Mortgage Obligations          --%    --%    --% 
 
Government National Mortgage Association Pass-Through                   
Certificates                   
7s, with due dates from August 15, 2029 to September 15,                   
2029        $--  $--  $--  $--  $3,108  $3,272 
U.S. Government Agency Mortgage Obligations          1.4%    4.7%    8.4% 
 
Federal Home Loan Mortgage Corporation Pass-Through                   
Certificates                   
5 1/2s, June 1, 2035        91,351  90,695  456,757  453,474  456,757  453,474 
5 1/2s, with due dates from August 1, 2012 to April 1, 2020        770,607  775,703  523,462  527,248  656,261  661,129 
Federal National Mortgage Association Pass-Through                   
Certificates                   
7s, with due dates from October 1, 2029 to December 1,                   
2035        1,747,070  1,824,997  3,275,790  3,422,435  7,034,576  7,339,592 
7s, with due dates from December 1, 2015 to March 1,                   
2018        33,668  34,677  --  --  677,259  699,145 
6 1/2s, with due dates from October 1, 2033 to November                   
1, 2034        459,277  471,136  1,360,491  1,395,877  1,277,410  1,310,393 
6s, with due dates from June 1, 2031 to July 1, 2035        52,637  53,198  271,537  274,433  192,292  194,289 
6s, TBA, January 1, 2036        1,500,000  1,513,477  8,500,000  8,576,367  9,100,000  9,181,758 
5 1/2s, with due dates from March 1, 2035 to January 1,                   
2036        2,396,443  2,373,601  8,789,609  8,705,833  8,845,443  8,761,135 
5 1/2s, with due dates from September 1, 2013 to May 1,                   
2020        15,772  15,886  1,499,519  1,510,016  1,070,327  1,077,640 
5 1/2s, TBA, January 1, 2036        6,600,000  6,535,031  35,200,000  34,853,498  37,600,000  37,229,873 
5s, with due dates from July 1, 2035 to August 1, 2035        --  --  59,031  57,263  63,628  61,721 
5s, with due dates from March 1, 2019 to June 1, 2020        122,631  121,615  381,014  377,127  238,399  236,193 
5s, TBA, January 1, 2035        750,000  726,445  4,250,000  4,116,524  4,550,000  4,407,102 
5s, TBA, January 1, 2021        2,100,000  2,076,703  8,300,000  8,207,921  800,000  791,125 
4 1/2s, with due dates from February 1, 2020 to November                   
1, 2020        241,212  234,607  --  --  1,000,530  973,131 
4 1/2s, TBA, January 1, 2021        1,900,000  1,847,750  8,006,000  7,785,835  822,000  799,395 
4s, with due dates from June 1, 2019 to October 1, 2020        1,366,691  1,305,080  3,213,572  3,066,227  2,410,298  2,299,941 
 
          20,000,601    83,330,078    76,477,036 
 
 
Total U.S. government and agency mortgage obligations          $20,000,601    $83,330,078    $76,480,308 
(cost $20,000,542, $83,216,569 and $76,389,639)                   
U.S. TREASURY OBLIGATIONS(a)        Growth 0.1%    Balanced 0.2%    Conservative 0.3% 
        Principal amount  Value  Principal amount  Value  Principal amount  Value 
 
U.S. Treasury Notes                   
4 1/4s, August 15, 2014        $200,000  $197,844  $3,400,000  $3,363,344  $2,500,000  $2,473,047 
4 1/4s, November 15, 2013        20,000  19,816  100,000  99,078  --  -- 
3 1/2s, November 15, 2009        1,700,000  1,647,805  --  --  --  -- 
 
Total U.S. treasury obligations (cost $1,892,016,          $1,865,465    $3,462,422    $2,473,047 
$3,520,632 and $2,514,789)                   
PURCHASED OPTIONS OUTSTANDING(a)        Growth --%    Balanced --%    Conservative --%   
  Expiration date/               
  strike price      Contract amount  Value  Contract amount  Value  Contract amount  Value 
 
Option on an interest rate swap with Citibank for the right to                   
pay a fixed rate of 4.885% versus the three month LIBOR                   
maturing on January 11, 2016.  Jan 06 / $4.885    $2,757,000  $14,336  $8,804,000  $45,781  $7,822,000  $40,674 
Option on an interest rate swap with Citibank for the right to                   
receive a fixed rate of 4.885% versus the three month LIBOR                   
maturing on January 11, 2016.  Jan 06 / $4.885    2,757,000  6,341  8,804,000  20,249  7,822,000  17,991 
 
Total purchased options outstanding (cost $73,336,          $20,677    $66,030    $58,665 
$234,186 and $208,066)                   
 
WARRANTS(a)(NON)        Growth --%    Balanced --%    Conservative --%   
  Expiration date   Strike price    Warrants  Value  Warrants  Value  Warrants  Value 
 
Dayton Superior Corp. 144A  6/15/09  $  0.01  630  $6  --  $--  330  $3 
TravelCenters of America, Inc.  5/01/09    0.001  210  263  --  --  180  225 
Ubiquitel, Inc. 144A  4/15/10    22.74  --  --  --  --  590  6 
 
Total warrants (cost $11,879, $-- and $34,033)          $269    $--    $234 
 
EQUITY VALUE CERTIFICATES(a) (cost $40,008, $-- and $--)         Growth --%    Balanced --%    Conservative --%   
  Maturity date    Certificates  Value  Certificates  Value  Certificates  Value 
 
ONO Finance PLC 144A (United Kingdom) (NON)  2/15/11      290  $3  --  $--  --  $-- 
 
UNITS(a) (cost $--, $161,960 and $154,918)        Growth --%    Balanced --%    Conservative --%   
        Units  Value  Units  Value  Units  Value 
 
Cendant Corp. unit 4.89s, 2006        --  $--  2,300  $114,605  2,200  $109,622 
 
 
 
MUNICIPAL BONDS AND NOTES(a)        Growth --%    Balanced --%    Conservative --%   
  Rating (RAT)    Principal amount  Value  Principal amount  Value  Principal amount  Value 
 
NJ State Tpk. Auth. Rev. Bonds, Ser. B, AMBAC                   
4.252s, 1/1/16  Aaa      $--  $--  $240,000  $227,902  $190,000  $180,422 
4.252s, 1/1/16 (Prerefunded)  Aaa      --  --  15,000  14,227  10,000  9,485 
 
Total municipal bonds and notes (cost $--, $254,989 and          $--    $242,129    $189,907 
$200,000)                   
 
SHORT-TERM INVESTMENTS(a)        Growth 7.9%    Balanced 15.0%    Conservative 28.7% 
        Principal amount/    Principal amount/    Principal amount/   
        Shares  Value    Shares  Value    Shares  Value   
 
Ranger Funding Co., LLC for an effective yield of 4.32%,                   
January 31, 2006        $3,500,000  $3,487,400  $5,000,000  $4,982,000  $2,500,000  $2,491,000 
Interest in $552,000,000 joint tri-party repurchase agreement                   
dated December 30, 2005 with UBS Securities, LLC due                   
January 3, 2006 with respect to various U.S. Government                   
obligations -- maturity value of $--, $50,122,103 and                   
$42,643,506, respectively, for an effective yield of 4.33%                   
(collateralized by Fannie Mae securities with yields ranging                   
from 4.0% to 10.0% and due dates ranging from July 1, 2006                   
to December 1, 2035 and Freddie Mac securities with yields                   
ranging from 3.5% to 12.0% and due dates ranging from July                   
1, 2006 to December 1, 2035).        --  --  50,098,000  50,098,000  42,623,000  42,623,000 

Interest in $455,000,000 joint tri-party repurchase agreement             
dated December 30, 2005 with Bank of America, LLC due             
January 3, 2006 with respect to various U.S. Government             
obligations -- maturity value of $18,345,741, $-- and $--,             
respectively, for an effective yield of 4.29% (collateralized by             
Fannie Mae securities with a yield of 5.0%, due April 1, 2035).  18,337,000  18,337,000  --  --  --  -- 
Short-term investments held as collateral for loaned securities             
with yields ranging from 3.25% to 4.50% and due dates             
ranging from January 3, 2006 to February 10, 2006 (d)  26,270,742  26,223,141  53,522,245  53,422,238  16,580,408  16,548,493 
Putnam Prime Money Market Fund (e)  65,785,443  65,785,443  156,013,942  156,013,942  198,475,190  198,475,190 
 
Total short-term investments (cost $113,832,984,    $113,832,984    $264,516,180    $260,137,683 
$264,516,180 and $260,137,683)             
 
TOTAL INVESTMENTS             
Total investments (cost $1,335,161,343, $1,749,373,513    $1,474,792,664    $1,862,331,197    $958,477,496 
and $917,347,108) (b)             

Putnam Asset Allocation: Growth Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 12/31/05 (aggregate face value $140,702,852) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $26,226,426  $26,614,166  1/18/06  $ (387,740) 
British Pound  25,214,981  25,540,091  3/15/06  (325,110) 
Canadian Dollar  8,866,896  8,914,795  1/18/06  (47,899) 
Danish Krone  754,878  752,231  3/15/06  2,647 
Euro  28,798,832  28,947,479  3/15/06  (148,647) 
Hong Kong Dollar  2,747,552  2,746,808  2/15/06  744 
Japanese Yen  17,739,705  17,644,236  2/15/06  95,469 
New Zealand Dollar  312,747  317,285  1/18/06  (4,538) 
Swedish Krona  7,375,427  7,375,714  3/15/06  (287) 
Swiss Franc  21,733,436  21,850,047  3/15/06  (116,611) 
Total        $(931,972) 

Putnam Asset Allocation: Growth Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 12/31/05 (aggregate face value $275,421,257) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/   
  Value  face value  date  (depreciation)   
Australian Dollar  $24,208,514  $24,504,155  1/18/06  $295,641 
British Pound  45,772,397  46,240,421  3/15/06  468,024 
Canadian Dollar  13,416,802  13,354,644  1/18/06  (62,158) 
Euro  67,211,616  67,403,001  3/15/06  191,385 
Japanese Yen  51,152,142  51,153,285  2/15/06  1,143 
Mexican Peso  4,237,492  4,156,897  1/18/06  (80,595) 
Norwegian Krone  24,477,237  24,548,687  3/15/06  71,450 
Singapore Dollar  3,002,438  2,947,546  2/15/06  (54,892) 
Swedish Krona  26,734,492  26,749,135  3/15/06  14,643 
Swiss Franc  14,226,060  14,363,486  3/15/06  137,426 
Total        $982,067 

Putnam Asset Allocation: Growth Portfolio       
FUTURES CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)       
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Canadian Government Bond 10 yr (Long)  20  $1,958,729  Mar-06  $1,635 
Dow Jones Euro Stoxx 50 Index (Short)  135  5,712,776  Mar-06  (70,453) 
Euro 90 day (Long)  10  2,380,625  Mar-06  (20,063) 
Euro 90 day (Short)  267  63,562,688  Mar-06  22,117 
Euro 90 day (Long)  150  35,683,125  Jun-06  (36,366) 
Euro 90 day (Long)  10  2,379,000  Sep-06  (14,788) 
Euro 90 day (Short)  10  2,379,000  Sep-06  14,713 
Euro 90 day (Short)  142  33,813,750  Mar-07  1,572 
Euro-Bobl 5 yr (Long)  84  11,185,945  Mar-06  (22,047) 
Euro-Bund 10 yr (Long)  168  24,141,273  Mar-06  132,251 
FTSE 100 Index (Long)  127  12,242,624  Mar-06  192,134
FTSE 100 Index (Short)  45  4,337,938  Mar-06  (74,287) 
Japanese Government Bond 10 yr (Long)  18  20,949,919  Mar-06  114,328 
Russell 2000 Index Mini (Long)  18  1,220,940  Mar-06  (16,776) 
Russell 2000 Index Mini (Short)  1,542  104,593,860  Mar-06  2,150,305 
S&P 500 Index (Long)  8  2,509,600  Mar-06  (37,952) 
S&P 500 Index Mini (Long)  3,410  213,934,875  Mar-06  (1,923,494) 
S&P ASX 200 Index (Short)  168  14,558,502  Mar-06  (442,347) 
S&P MidCap 400 Index Mini (Long)  3  222,960  Mar-06  (2,316) 
Tokyo Price Index (Short)  33  4,595,839  Mar-06  (209,853) 
U.K. Gilt 10 yr (Long)  28  5,500,694  Mar-06  54,705 
U.S. Treasury Bond 20 yr (Long)  116  13,245,750  Mar-06  113,902 
U.S. Treasury Bond 20 yr (Short)  44  5,024,250  Mar-06  (47,744) 
U.S. Treasury Note 2 yr (Short)  34  6,976,375  Mar-06  8,929 
U.S. Treasury Note 5 yr (Long)  31  3,296,656  Mar-06  (3,726) 
U.S. Treasury Note 5 yr (Short)  94  9,996,313  Mar-06  (14,739) 
U.S. Treasury Note 10 yr (Long)  82  8,971,313  Mar-06  23,034 
U.S. Treasury Note 10 yr (Short)  366  40,042,688  Mar-06  (342,562) 
Total        $(449,888) 

Putnam Asset Allocation: Growth Portfolio       
WRITTEN OPTIONS OUTSTANDING at 12/31/05 (premiums received $281,406)       
(Unaudited)       
  Contract  Expiration date/   
  amount  strike price  Value 
 
Comtech Telecommunications Corp. (Put)  $14,280  Jan 06 / $31.27  $19,289 
Shanda Interactive Entertainment, Ltd. (Put)  14,669  Jan 06 / $14.39  8,158 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to  3,430,000  Jul 07 / $4.55  179,668 
pay a fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017       
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to  3,430,000  Jul 07 / $4.55  67,459 
receive a fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017       
 
Total      $274,574 

Putnam Asset Allocation: Growth Portfolio     
TBA SALE COMMITMENTS OUTSTANDING at 12/31/05 (proceeds receivable $5,295,549) (Unaudited) 
  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, January 1, 2036  $2,955,000  1/12/06  $2,925,912 
FNMA, 5s, January 1, 2036  750,000  1/12/06  726,445 
FNMA, 4 1/2s, January 1, 2021  1,700,000  1/18/06  1,653,250 
Total      $5,305,607 

Putnam Asset Allocation: Growth Portfolio - Fund 250

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)

      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date  (depreciation) 
Agreement with Bank of America, N.A. dated August 30, 2005 to       
receive semi-annually the notional amount multiplied by 4.53% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.  $5,500,000  9/1/15  $ (108,391) 
 
Agreement with Bank of America, N.A. dated October 19, 2005 to pay       
semi-annually the notional amount multiplied by 4.943% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  4,800,000  10/21/15  (7,969) 
 
Agreement with Bank of America, N.A. dated March 31, 2005 to pay       
semi-annually the notional amount multiplied by 4.6375% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  2,500,000  4/6/10  18,581 
 
Agreement with Bank of America, N.A. dated March 25, 2004 to pay       
semi-annually the notional amount multiplied by 3.075% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  1,000,000  3/30/09  45,048 
 
Agreement with Bank of America, N.A. dated June 15, 2005 to pay       
semi-annually the notional amount multiplied by 4.555% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  740,000  6/17/15  21,020 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.466% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  260,000  6/23/15  9,143 
 
Agreement with Bank of America, N.A. dated June 22, 2005 to pay       
semi-annually the notional amount multiplied by 4.39% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  130,000  6/24/15  5,319 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.45% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  110,000  6/23/15  4,000 
 
Agreement with Credit Suisse First Boston International dated October       
5, 2004 to receive semi-annually the notional amount multiplied by       
4.624% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  13,580,000  10/7/14  (270,854) 
 
Agreement with Credit Suisse First Boston International dated July 7,       
2004 to pay semi-annually the notional amount multiplied by 4.945%       
and receive quarterly the notional amount multiplied by the three       
month USD-LIBOR.  687,400  7/9/14  (10,954) 
 
Agreement with Credit Suisse First Boston International dated July 7,       
2004 to receive semi-annually the notional amount multiplied by       
2.931% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  588,600  7/9/06  (2,893) 
 
Agreement with Deutsche Bank AG dated July 31, 2002 to pay       
quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA and receive semi-annually the notional amount multiplied       
by 5.7756%.  283,084  8/2/22  28,250 
 
Agreement with Deutsche Bank AG dated July 31, 2002 to receive       
semi-annually the notional amount multiplied by the three month USD-       
LIBOR-BBA and pay quarterly the notional amount multiplied by       
5.86%.  317,679  8/2/32  (41,490) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated June 10,       
2002 to pay quarterly the notional amount multiplied by the three       
month LIBOR-BBA and receive semi-annually the notional amount       
multiplied by 5.405%.  2,448,129  8/15/10  (89,976) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated July 30,       
2002 to pay quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and receive semi-annually the notional       
amount multiplied by 5.845%.  570,000  8/1/22  61,510 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated July 30,       
2002 to receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 5.919%.  639,659  8/1/32  (89,239) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated August 8,       
2002 to pay quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and receive semi-annually the notional       
amount multiplied by 5.601%.  283,084  8/12/22  22,452 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated August 8,       
2002 to receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 5.689%.  317,679  8/12/32  (33,286) 

Agreement with JPMorgan Chase Bank, N.A. dated August 23, 2005 to       
pay semi-annually the notional amount multiplied by 4.4725% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR-BBA.  17,000,000  8/25/10  88,029 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 31, 2005 to       
receive semi-annually the notional amount multiplied by 4.4505% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.  13,000,000  9/2/15  (338,936) 
 
Agreement with JPMorgan Chase Bank, N.A. dated October 19, 2005       
to pay semi-annually the notional amount multiplied by 4.916% and       
receive quarterly the notional amount multiplied by the three month       
LIBOR.  4,400,000  10/21/15  877 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 27, 2005 to       
receive semi-annually the notional amount multiplied by 4.296% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  2,210,000  6/29/15  (105,722) 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 14, 2005 to       
pay semi-annually the notional amount multiplied by 4.538% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  640,000  6/16/15  18,992 
 
Agreement with JPMorgan Chase Bank, N.A. dated July 29, 2005 to       
pay semi-annually the notional amount multiplied by 4.6757% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  466,000  8/2/15  (3,456) 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 22, 2005 to       
receive semi-annually the notional amount multiplied by 4.387% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  160,000  6/24/15  6,787 
 
Agreement with Lehman Brothers Special Financing, Inc. dated March       
7, 2005 to pay semi-annually the notional amount multiplied by       
3.9425% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  8,000,000  3/9/07  6,911 
 
Agreement with Lehman Brothers Special Financing, Inc. dated March       
7, 2005 to pay semi-annually the notional amount multiplied by       
4.7025% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  7,000,000  3/9/15  32,546 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
October 6, 2005 to pay semi-annually the notional amount multiplied       
by 4.687% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  5,100,000  10/11/10  34,718 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 9, 2003 to receive semi-annually the notional amount       
multiplied by 4.641% and pay quarterly the notional amount multiplied       
by the three month USD-LIBOR-BBA.  2,517,000  12/15/13  (43,995) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated May       
21, 2003 to pay semi-annually the notional amount multiplied by       
3.1001% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR.  2,227,000  1/15/10  129,914 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 1.999% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  925,000  1/26/06  862 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.008% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  903,000  1/23/06  765 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.009% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  903,000  1/23/06  761 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 2.007% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  485,000  1/26/06  431 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 4.375% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  306,000  1/26/14  7,431 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.408% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  298,000  1/23/14  6,561 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.419% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  298,000  1/23/14  6,526 
 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
31, 2002 to pay semi-annually the notional amount multiplied by       
5.152% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  283,084  8/2/22  28,250 

Agreement with Lehman Brothers Special Financing, Inc. dated July       
31, 2002 to pay semi-annually the notional amount multiplied by       
5.152% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  275,120  8/2/12  (7,908) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 11, 2003 to pay semi-annually the notional amount       
multiplied by 4.710% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  260,000  12/15/13  3,382 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 4.379% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  157,000  1/26/14  3,769 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 12, 2003 to pay semi-annually the notional amount       
multiplied by 4.579% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  104,000  12/16/13  2,248 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 15, 2005 to pay semi-annually the notional amount       
multiplied by 5.0265% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  10,016,000  12/19/15  (67,252) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 6, 2005 to pay semi-annually the notional amount multiplied       
by 4.9425% and receive quarterly the notional amount multiplied by       
the three month USD-LIBOR-BBA.  2,611,000  12/8/10  (7,859) 
 
Agreement with Merrill Lynch Capital Services, Inc. dated February 28,       
2001 to pay semi-annually the notional amount multiplied by 5.815%       
and receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA.  7,200,000  3/2/11  (417,445) 
 
Agreement with Merrill Lynch Capital Services, Inc. dated February 28,       
2001 to pay semi-annually the notional amount multiplied by 5.485%       
and receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA.  2,500,000  3/2/06  (40,394) 
 
Agreement with Merrill Lynch Capital Services, Inc. dated July 30,       
2002 to pay quarterly the notional amount multiplied by the three       
month LIBOR-BBA and receive semi-annually the notional amount       
multiplied by 5.845%.  570,000  8/1/22  61,510 
 
Agreement with Merrill Lynch Capital Services, Inc. dated July 30,       
2002 to receive quarterly the notional amount multiplied by the three       
month LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 5.204%.  553,964  8/1/12  (17,668) 
 
Agreement with Merrill Lynch Capital Services, Inc. dated August 8,       
2002 to pay quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and receive semi-annually the notional       
amount multiplied by 5.601%.  283,084  8/12/22  22,452 
 
Agreement with Merrill Lynch Capital Services, Inc. dated August 8,       
2002 to receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 4.94%.  275,120  8/13/12  (4,398) 
Total      $(1,031,040) 

Putnam Asset Allocation: Growth Portfolio - Fund 250   
 
 
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)     
      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date  (depreciation) 
Agreement with Citibank, N.A. dated July 7, 2005 to receive at maturity       
the notional amount multiplied by the nominal spread appreciation of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index adjusted by a modified duration factor and an accrual       
of 50 basis points plus the beginning of the period nominal spread of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index and pay at maturity the notional amount multiplied by       
the nominal spread depreciation of the Lehman Brothers AAA 8.5+       
Commercial Mortgage Backed Securities Index adjusted by a modified       
duration factor.  $26,593,000  1/1/06  $58,337 
 
Agreement with Citigroup Global Markets Limited dated July 21, 2005       
to receive/(pay) semi-annually the notional amount multiplied by the       
total rate of return of the Quanta Computer and pay semi-annually the       
notional amount multiplied by the six month USD-LIBOR-BBA less 375       
basis points.  236,655  1/23/06  (5,826) 
 
Agreement with Citigroup Global Markets Limited dated July 21, 2005       
to receive/(pay) semi-annually the notional amount multiplied by the       
total rate of return of the RIL IN and pay semi-annually the notional       
amount multiplied by the six month USD-LIBOR-BBA less 350 basis       
points.  438,933  1/5/06  154,037 
 
Agreement with Deutsche Bank AG dated February 1, 2005 to receive       
at maturity the notional amount multiplied by the return of the Lehman       
Brothers U.S. Corporate High Yield Index and pay at maturity the       
notional amount multiplied by the six month USD-LIBOR-BBA adjusted       
by a specified spread.  6,499,818  2/1/06  13,725 
 
Agreement with Deutsche Bank AG dated September 8, 2005 to       
receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 25 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  913,000  3/1/06  1,694 
 
Agreement with Deutsche Bank AG dated February 16, 2005 to       
receive/(pay) semi-annually the notional amount multiplied by the       
positive (negative) change in the S&P 500 Index six month forward       
variance.  3,124,498  2/16/06  (1,421,467) 
 
Agreement with Deutsche Bank AG dated August 3, 2005 to pay at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 15 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and receive at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  2,093,000  1/1/06  2,763 
 
Agreement with Deutsche Bank AG dated July 12, 2005 to pay at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 40 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and receive at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  24,500,000  1/1/06  (49,588) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated May 16,       
2005 to receive/(pay) at maturity the notional amount multiplied by the       
positive (negative) change in the S&P 500 Index six month forward       
variance.  4,785,561  11/17/06  3,056,171 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated       
September 8, 2005 to receive at maturity the notional amount       
multiplied by the nominal spread appreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor and an accrual of 30 basis points plus the       
beginning of the period nominal spread of the Lehman Brothers AAA       
8.5+ Commercial Mortgage Backed Securities Index and pay at       
maturity the notional amount multiplied by the nominal spread       
depreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor.  3,925,000  4/1/06  5,323 

Agreement with JPMorgan Chase Bank, N.A. dated September 19,       
2005 to pay quarterly the notional amount multiplied by the return of       
the Russell 2000 Total Return Index and receive quarterly the notional       
amount multiplied by the three month USD-LIBOR adjusted by a       
specified spread.  75,417,123  2/21/06  1,294,669 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 16, 2005 to       
receive/(pay) quarterly the notional amount multiplied by the return of       
the S&P US 500 TR Index and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  21,663,942  2/21/06  (241,384) 
 
Agreement with JPMorgan Chase Bank, N.A. dated October 28, 2005       
to receive/(pay) quarterly the notional amount multiplied by Standard       
and Poor's 500 Commercial Banks Industry Index and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR minus 35 basis points.  26,403,226  5/3/06  (874,106) 
 
Agreement with JPMorgan Chase Bank, N.A. dated October 28, 2005       
to receive/(pay) quarterly the notional amount multiplied by Standard       
and Poor's 500 Energy Index and pay quarterly the notional amount       
multiplied by the three month USD-LIBOR plus 30 basis points.  26,403,536  5/3/06  785,488 
 
Agreement with JPMorgan Chase Bank, N.A dated March 31, 2005 to       
receive/(pay) quarterly the notional amount multiplied by Russell 2000       
Total Return Index and receive quarterly the notional amount multiplied       
by the three month USD-LIBOR .  53,535,962  4/5/06  (178,377) 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 16, 2005 to       
receive/(pay) quarterly the notional amount multiplied by the return of       
the Russell 1000 Total Return Growth Index and pay quarterly the       
notional amount multiplied by the three month USD-LIBOR adjusted by       
a specified spread.  21,878,968  2/21/06  154,012 
 
Agreement with Lehman Brothers Finance, S.A. dated August 31,       
2005 to receive/(pay) semi-annually the notional amount multiplied by       
the return of the Lehman Brothers US ABS Floating Rate Index HEL       
Aggregate Component and pay semi-annually the notional amount       
multiplied by the six month USD-LIBOR-BBA adjusted by a specified       
spread.  5,500,000  3/1/06  (6,632) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
September 29, 2005 to receive/(pay) monthly the notional amount       
multiplied by the return of the Lehman Brothers U.S. High Yield Index       
and receive monthly the notional amount multiplied by the one year       
USD-LIBOR minus 25 basis points.  3,999,728  10/1/06  (14,308) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
August 5, 2005 to pay monthly the notional amount multiplied by US       
one month LIBOR minus 5 basis points and receive/(pay) monthly the       
price appreciation (depreciation) of the Lehman Brothers US ABS       
Floating Rate Index HEL Aggregate Component.  15,000,000  1/1/06  (1,563) 
 
Agreement with Morgan Stanley & Co. International Limited dated       
August 8, 2005 to receive at maturity the price appreciation on the       
Wan Hai Lines and pay at maturity the price depreciation on the Wan       
Hai Lines and an accrual of the six month USD-LIBOR less 500 basis       
points.  311,099  2/11/06  15,968 
 
Agreement with Morgan Stanley & Co. International Limited dated       
September 16, 2005 to receive quarterly the price appreciation on the       
MSCI India Net Divs Reinvested USD and pay quarterly the price       
depreciation on the MSCI India Net Divs Reinvested USD and an       
accrual of the three month USD-LIBOR less 337.5 basis points.  1,519,025  5/4/06  24,803 
Total      $2,773,739 

Putnam Asset Allocation: Growth Portfolio - Fund  250      
 
 
CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)       
      Unrealized 
    Notional  appreciation/ 
    amount  (depreciation) 
Agreement with JPMorgan Chase Bank, N.A. on September 1, 2005, maturing on       
September 20, 2010, to pay quarterly 460 basis points times the notional amount. Upon a       
credit default event of General Motors Acceptance Corp., the fund receives a payment of       
the proportional notional amount times the difference between the par value and the then       
market value of General Motors Acceptance Corp.    $150,000  $(659) 
 
Agreement with JPMorgan Chase Bank, N.A. on April 25, 2005, maturing on June 20,       
2010, to receive a quarterly payment of 3.70% times the notional amount. Upon a credit       
default event of Felcor Lodging L.P., 8 1/2, 2011, the fund makes a payment of the       
proportional notional amount times the difference between the par value and the then-       
market value of Felcor Lodging L.P., 8 1/2, 2011.    120,000  6,162 
Total      $5,503 

Putnam Asset Allocation: Balanced Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 12/31/05 (aggregate face value $160,379,831) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $28,636,465  $28,975,734  1/18/06  $ (339,269) 
British Pound  31,005,738  31,406,329  3/15/06  (400,591) 
Canadian Dollar  13,800,735  13,848,694  1/18/06  (47,959) 
Euro  23,173,601  23,358,024  3/15/06  (184,423) 
Hong Kong Dollar  1,624,572  1,624,133  2/15/06  439 
Japanese Yen  23,862,746  23,707,998  2/15/06  154,748 
New Zealand Dollar  505,154  512,484  1/18/06  (7,330) 
Swedish Krona  9,032,429  9,032,558  3/15/06  (129) 
Swiss Franc  27,760,872  27,913,877  3/15/06  (153,005) 
Total        $(977,519) 

Putnam Asset Allocation: Balanced Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 12/31/05 (aggregate face value $308,224,967) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/   
  Value  face value  date  (depreciation)   
Australian Dollar  $26,402,455  $26,684,587  1/18/06  $ 282,132 
British Pound  56,232,847  56,808,650  3/15/06  575,803 
Canadian Dollar  15,955,975  15,897,736  1/18/06  (58,239) 
Danish Krone  887,924  884,810  3/15/06  (3,114) 
Euro  74,308,617  74,561,082  3/15/06  252,465 
Japanese Yen  58,006,448  58,152,063  2/15/06  145,615 
Norwegian Krone  30,394,797  30,484,710  3/15/06  89,913 
Singapore Dollar  3,344,770  3,307,088  2/15/06  (37,682) 
Swedish Krona  27,491,702  27,506,864  3/15/06  15,162 
Swiss Franc  13,801,222  13,937,377  3/15/06  136,155 
Total        $1,398,210 

Putnam Asset Allocation: Balanced Portfolio       
FUTURES CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)       
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Canadian Government Bond 10 yr (Long)  24  $2,350,475  Mar-06  $1,962 
Dow Jones Euro Stoxx 50 Index (Short)  154  6,516,796  Mar-06  (80,368) 
Euro 90 day (Long)  3  714,188  Mar-06  (4,848) 
Euro 90 day (Long)  429  102,053,738  Jun-06  (19,823) 
Euro 90 day (Short)  429  102,155,625  Mar-07  4,700 
Euro-Bobl 5 yr (Long)  102  13,582,934  Mar-06  (26,770) 
Euro-Bund 10 yr (Long)  206  29,601,799  Mar-06  162,165 
FTSE 100 Index (Long)  102  9,832,658  Mar-06  154,312 
FTSE 100 Index (Short)  51  4,916,329  Mar-06  (84,191) 
Japanese Government Bond 10 yr (Long)  22  25,605,457  Mar-06  139,735 
Russell 2000 Index Mini (Long)  27  1,831,410  Mar-06  (25,164) 
Russell 2000 Index Mini (Short)  1,647  111,716,010  Mar-06  2,302,155 
S&P 500 Index (Long)  11  3,450,700  Mar-06  (59,516) 
S&P 500 Index Mini (Long)  3,406  213,683,925  Mar-06  (1,921,401) 
S&P 500 Index Mini (Short)  315  19,762,313  Mar-06  176,146 
S&P ASX 200 Index (Short)  127  11,005,534  Mar-06  (334,393) 
S&P MidCap 400 Index Mini (Long)  4  297,280  Mar-06  (3,088) 
Tokyo Price Index (Short)  38  5,292,179  Mar-06  (241,650) 
U.K. Gilt 10 yr (Long)  34  6,679,415  Mar-06  66,428 
U.S. Treasury Bond 20 yr (Long)  240  27,405,000  Mar-06  226,758 
U.S. Treasury Note 2 yr (Short)  115  23,596,563  Mar-06  30,201 
U.S. Treasury Note 5 yr (Long)  471  50,087,906  Mar-06  (56,605) 
U.S. Treasury Note 10 yr (Short)  611  66,847,219  Mar-06  (541,787) 
Total        $(135,042) 

Putnam Asset Allocation: Balanced Portfolio       
WRITTEN OPTIONS OUTSTANDING at 12/31/05 (premiums received $1,551,939) (Unaudited)       
  Contract  Expiration date/   
  amount  strike price  Value 
Comtech Telecommunications Corp. (Put)  $15,596  Jan 06 / $31.27  $21,067 
S&P 500 Index Depositary Receipts (SPDR Trust Series I) (Call)  50,760  Jan 06 / $132.58  5 
Shanda Interactive Entertainment, Ltd. (Put)  16,030  Jan 06 / $14.39  8,914 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to       
pay a fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017  19,820,000  Jul 07 / $4.55  1,038,198 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to       
receive a fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017  19,820,000  Jul 07 / $4.55  389,808 
Total      $1,457,992 

Putnam Asset Allocation: Balanced Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 12/31/05 (proceeds receivable $24,061,555) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, January 1, 2036  $13,200,000  1/12/06  $13,070,062 
FNMA, 5s, January 1, 2036  4,250,000  1/12/06  4,116,524 
FNMA, 4 1/2s, January 1, 2021  7,100,000  1/18/06  6,904,750 
Total      $24,091,336 

Putnam Asset Allocation: Balanced Portfolio - Fund 259    
 
 
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)     
      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date  (depreciation) 
Agreement with Bank of America, N.A. dated May 18, 2005 to pay       
semi-annually the notional amount multiplied by 3.95% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  $53,000,000  5/21/07  $654,447 
 
Agreement with Bank of America, N.A. dated January 12, 2005 to       
receive semi-annually the notional amount multiplied by 4.106% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  27,200,000  1/14/10  (472,130) 
 
Agreement with Bank of America, N.A. dated January 26, 2004 to       
receive semi-annually the notional amount multiplied by 5.2125% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  20,743,000  1/28/24  709,528 
 
Agreement with Bank of America, N.A. dated March 31, 2005 to pay       
semi-annually the notional amount multiplied by 4.6375% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  18,600,000  4/6/10  138,241 
 
Agreement with Bank of America, N.A. dated December 20, 2004 to       
pay semi-annually the notional amount multiplied by 3.965% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  17,346,000  12/22/09  559,046 
 
Agreement with Bank of America, N.A. dated October 19, 2005 to pay       
semi-annually the notional amount multiplied by 4.943% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  8,600,000  10/21/15  (14,277) 
 
Agreement with Bank of America, N.A. dated March 25, 2004 to pay       
semi-annually the notional amount multiplied by 3.075% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  7,100,000  3/30/09  319,844 
 
Agreement with Bank of America, N.A. dated June 15, 2005 to pay       
semi-annually the notional amount multiplied by 4.555% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  4,410,000  6/17/15  125,268 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.466% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  1,590,000  6/23/15  55,910 
 
Agreement with Bank of America, N.A. dated August 30, 2005 to       
receive semi-annually the notional amount multiplied by 4.53% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.  1,500,000  9/1/15  (29,561) 
 
Agreement with Bank of America, N.A. dated June 22, 2005 to pay       
semi-annually the notional amount multiplied by 4.39% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  800,000  6/24/15  32,733 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.45% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  660,000  6/23/15  24,003 
 
Agreement with Credit Suisse First Boston International dated March       
5, 2004 to receive semi-annually the notional amount multiplied by       
3.195% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  9,662,000  3/9/09  (397,006) 
 
Agreement with Credit Suisse First Boston International dated July 7,       
2004 to receive semi-annually the notional amount multiplied by       
2.931% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  5,321,200  7/9/06  (26,154) 
 
Agreement with Deutsche Bank AG dated July 31, 2002 to pay       
quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA and receive semi-annually the notional amount multiplied       
by 5.7756%.  1,251,434  8/2/22  124,887 
 
Agreement with Deutsche Bank AG dated July 31, 2002 to receive       
semi-annually the notional amount multiplied by the three month USD-       
LIBOR-BBA and pay quarterly the notional amount multiplied by       
5.86%.  1,404,369  8/2/32  (183,416) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated June 10,       
2002 to pay quarterly the notional amount multiplied by the three       
month LIBOR-BBA and receive semi-annually the notional amount       
multiplied by 5.405%.  9,013,565  8/15/10  (331,273) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated July 30,       
2002 to pay quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and receive semi-annually the notional       
amount multiplied by 5.845%.  2,515,000  8/1/22  271,400 

Agreement with Goldman Sachs Capital Markets, L.P. dated July 30,       
2002 to receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 5.919%.  2,822,353  8/1/32  (393,750) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated August 8,       
2002 to pay quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and receive semi-annually the notional       
amount multiplied by 5.601%.  1,251,434  8/12/22  99,251 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated August 8,       
2002 to receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 5.689%.  1,404,369  8/12/32  (147,149) 
 
Agreement with JPMorgan Chase Bank, N.A. dated March 3, 2005 to       
receive semi-annually the notional amount multiplied by 4.798% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  20,700,000  3/7/15  55,546 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 27, 2005 to       
receive semi-annually the notional amount multiplied by 4.296% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  13,300,000  6/29/15  (636,246) 
 
Agreement with JPMorgan Chase Bank, N.A. dated October 19, 2005       
to pay semi-annually the notional amount multiplied by 4.916% and       
receive quarterly the notional amount multiplied by the three month       
LIBOR.  7,800,000  10/21/15  1,554 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 14, 2005 to       
pay semi-annually the notional amount multiplied by 4.538% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  3,840,000  6/16/15  113,953 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 31, 2005 to       
receive semi-annually the notional amount multiplied by 4.4505% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.  4,000,000  9/2/15  (104,288) 
 
Agreement with JPMorgan Chase Bank, N.A. dated July 29, 2005 to       
pay semi-annually the notional amount multiplied by 4.6757% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  2,690,000  8/2/15  (19,947) 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 22, 2005 to       
receive semi-annually the notional amount multiplied by 4.387% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  960,000  6/24/15  40,720 
 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
13, 2005 to pay semi-annually the notional amount multiplied by 4.38%       
and receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA.  12,000,000  7/15/10  97,133 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 1.999% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  6,919,000  1/26/06  6,445 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.008% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  6,752,000  1/23/06  5,717 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.009% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  6,752,000  1/23/06  5,688 
 
Agreement with Lehman Brothers Special Financing, Inc. dated June       
14, 2005 to pay semi-annually the notional amount multiplied by       
4.0525% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  6,500,000  6/16/07  (74,149) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 2.007% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  3,627,000  1/26/06  3,217 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 4.375% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,288,000  1/26/14  55,557 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.408% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,232,000  1/23/14  49,142 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.419% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  2,232,000  1/23/14  48,878 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 11, 2003 to pay semi-annually the notional amount       
multiplied by 4.710% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  2,247,000  12/15/13  29,228 

Agreement with Lehman Brothers Special Financing, Inc. dated June       
14, 2005 to pay semi-annually the notional amount multiplied by       
4.5475% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  1,800,000  6/16/15  (52,112) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
31, 2002 to pay semi-annually the notional amount multiplied by       
5.152% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  1,251,434  8/2/22  124,887 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 4.379% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  1,172,000  1/26/14  28,133 
 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
31, 2002 to pay semi-annually the notional amount multiplied by       
5.152% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  1,216,226  8/2/12  (34,959) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 12, 2003 to pay semi-annually the notional amount       
multiplied by 4.579% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  1,161,000  12/16/13  25,098 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 9, 2003 to receive semi-annually the notional amount       
multiplied by 4.641% and pay quarterly the notional amount multiplied       
by the three month USD-LIBOR-BBA.  490,000  12/15/13  (8,565) 
 
Agreement with Merrill Lynch Capital Services, Inc. dated July 30,       
2002 to pay quarterly the notional amount multiplied by the three       
month LIBOR-BBA and receive semi-annually the notional amount       
multiplied by 5.845%.  2,515,000  8/1/22  271,400 
 
Agreement with Merrill Lynch Capital Services, Inc. dated July 30,       
2002 to receive quarterly the notional amount multiplied by the three       
month LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 5.204%.  2,444,243  8/1/12  (77,951) 
 
Agreement with Merrill Lynch Capital Services, Inc. dated August 8,       
2002 to pay quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and receive semi-annually the notional       
amount multiplied by 5.601%.  1,251,434  8/12/22  99,251 
 
Agreement with Merrill Lynch Capital Services, Inc. dated August 8,       
2002 to receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 4.94%.  1,216,226  8/13/12  (19,445) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 15, 2005 to pay semi-annually the notional amount       
multiplied by 5.0265% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  30,500,000  12/19/15  (204,095) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 6, 2005 to pay semi-annually the notional amount multiplied       
by 4.9425% and receive quarterly the notional amount multiplied by       
the three month USD-LIBOR-BBA.  4,273,000  12/8/10  (13,103) 
Total      $936,529 

Putnam Asset Allocation: Balanced Portfolio - Fund 259    
 
 
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)     
      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date  (depreciation) 
 
Agreement with Citibank, N.A. dated July 7, 2005 to receive at maturity       
the notional amount multiplied by the nominal spread appreciation of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index adjusted by a modified duration factor and an accrual       
of 50 basis points plus the beginning of the period nominal spread of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index and pay at maturity the notional amount multiplied by       
the nominal spread depreciation of the Lehman Brothers AAA 8.5+       
Commercial Mortgage Backed Securities Index adjusted by a modified       
duration factor.  $6,000,000  1/1/06  $13,162 
 
Agreement with Deutsche Bank AG dated February 16, 2005 to       
receive/(pay) semi-annually the notional amount multiplied by the       
positive (negative) change in the S&P 500 Index six month forward       
variance.  4,409,606  2/16/06  (2,006,117) 
 
Agreement with Deutsche Bank AG dated August 3, 2005 to pay at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 15 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and receive at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  6,000,000  1/1/06  7,920 
 
Agreement with Deutsche Bank AG dated September 8, 2005 to       
receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 25 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  2,968,000  3/1/06  5,509 
 
Agreement with Deutsche Bank AG dated February 1, 2005 to receive       
at maturity the notional amount multiplied by the return of the Lehman       
Brothers U.S. Corporate High Yield Index and pay at maturity the       
notional amount multiplied by the six month USD-LIBOR-BBA adjusted       
by a specified spread.  3,999,770  2/1/06  8,445 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated May 16,       
2005 to receive/(pay) at maturity the notional amount multiplied by the       
positive (negative) change in the S&P 500 Index six month forward       
variance.  6,753,865  11/17/06  4,313,176 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated       
September 8, 2005 to receive at maturity the notional amount       
multiplied by the nominal spread appreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor and an accrual of 30 basis points plus the       
beginning of the period nominal spread of the Lehman Brothers AAA       
8.5+ Commercial Mortgage Backed Securities Index and pay at       
maturity the notional amount multiplied by the nominal spread       
depreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor.  12,759,500  4/1/06  17,302 
 
Agreement with Goldman Sachs dated December 23, 2005 to       
receive/(pay) a premium based on the difference between the market       
price of Ford Credit Auto Owner Trust Series 2005-B Class D and par       
on day of execution and receive monthly the notional amount       
multiplied by 678 basis points and pay monthly the one month USD-       
LIBOR. At maturity/termination the fund receives the coupon and price       
appreciation of Ford Credit Auto Owner Trust 2005-B Class D and       
pays the one month USD LIBOR and the price depreciation of Ford       
Credit Auto Owner Trust 2005-B Class D.  768,000  9/15/11  4,531 
 
Agreement with JPMorgan Chase Bank, N.A. dated September 19,       
2005 to pay quarterly the notional amount multiplied by the return of       
the Russell 2000 Total Return Index and receive quarterly the notional       
amount multiplied by the three month USD-LIBOR adjusted by a       
specified spread.  20,505,576  2/21/06  352,155 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 16, 2005 to       
receive/(pay) quarterly the notional amount multiplied by the return of       
the S&P US 500 TR Index and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  27,561,142  2/21/06  (307,093) 
 
Agreement with JPMorgan Chase Bank, N.A. dated October 28, 2005       
to receive/(pay) quarterly the notional amount multiplied by Standard       
and Poor's 500 Commercial Banks Industry Index and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR minus 35 basis points.  33,414,167  5/3/06  (1,106,210) 

Agreement with JPMorgan Chase Bank, N.A. dated October 28, 2005       
to receive/(pay) quarterly the notional amount multiplied by Standard       
and Poor's 500 Energy Index and pay quarterly the notional amount       
multiplied by the three month USD-LIBOR plus 30 basis points.  33,414,393  5/3/06  994,057 
 
Agreement with JPMorgan Chase Bank, N.A dated March 31, 2005 to       
receive/(pay) quarterly the notional amount multiplied by Russell 2000       
Total Return Index and receive quarterly the notional amount multiplied       
by the three month USD-LIBOR .  128,578,630  4/5/06  (428,412) 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 16, 2005 to       
receive/(pay) quarterly the notional amount multiplied by the return of       
the Russell 1000 Total Return Growth Index and pay quarterly the       
notional amount multiplied by the three month USD-LIBOR adjusted by       
a specified spread.  27,834,453  2/21/06  195,934 
 
Agreement with Lehman Brothers Finance, S.A. dated August 31,       
2005 to receive/(pay) semi-annually the notional amount multiplied by       
the return of the Lehman Brothers US ABS Floating Rate Index HEL       
Aggregate Component and pay semi-annually the notional amount       
multiplied by the six month USD-LIBOR-BBA adjusted by a specified       
spread.  31,400,000  3/1/06  (37,805) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
September 29, 2005 to receive/(pay) monthly the notional amount       
multiplied by the return of the Lehman Brothers U.S. High Yield Index       
and receive monthly the notional amount multiplied by the one year       
USD-LIBOR minus 25 basis points.  4,999,856  10/1/06  (17,885) 
Total      $2,008,669 

Putnam Asset Allocation: Balanced Portfolio - Fund 259    
 
 
CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)     
    Unrealized 
  Notional  appreciation/ 
  amount  (depreciation) 
Agreement with Bank of America, N.A. on September 13, 2005, maturing on June     
20, 2010, to receive/(pay) a premium based on the difference between the original     
spread on issue and the market spread on day of execution and pay quarterly 90     
basis points per annum times the notional amount. Upon a credit default event of a     
reference entity within the DJ CDX IG HVOL Series 4 Index, the fund receives a     
payment of the proportional notional amount times the difference between the par     
value and the then-market value of the reference entity within the DJ CDX IG HVOL     
Series 4 Index.  $1,080,000  $6,792 
 
Agreement with Bank of America, N.A. on July 26, 2005, maturing on September 20,     
2012, to receive quarterly 64 basis points times the notional amount. Upon a credit     
default event of Waste Management, 7.375%, 8/1/10, the fund makes a payment of     
the proportional notional amount times the difference between the par value and the     
then-market value of Waste Management, 7.375%, 8/1/10.  240,000  579 
 
Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing on     
June 20, 2012, to receive quarterly 62 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 4 Index, 7-10% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index, 7-10% tranche.  1,416,000  7,915 
 
Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing on     
June 20, 2012, to receive/(pay) a premium based on the difference between the     
original spread on issue and the market spread on day of execution and pay     
quarterly 55 basis points per annum times the notional amount. Upon a credit     
default event of a reference entity within the DJ IG CDX Series 4 Index, the fund     
receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
DJ IG CDX Series 4 Index.  1,416,000  (538) 
 
Agreement with Deutsche Bank AG on July 22, 2005, maturing on September 20,     
2010, to receive quarterly 41 basis points times the notional amount. Upon a credit     
default event of France Telecomm, 7.25%, 1/28/13, the fund makes a payment of     
the proportional notional amount times the difference between the par value and the     
then-market value of France Telecomm, 7.25%, 1/28/13.  410,000  983 
 
Agreement with Deutsche Bank AG on September 9, 2004, maturing on September     
20, 2014, to receive a quarterly payment of 0.58% times the notional amount. Upon     
a credit default event of CVS Corp., 5.625%, 3/15/06, the fund makes a payment of     
the proportional notional amount times the difference between the par value and the     
then-market value of CVS Corp., 5.625%, 3/15/06.  95,000  (159) 
 
Agreement with Goldman Sachs Capital Markets, L.P. on November 17, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 85 basis points per annum times the notional amount.     
Upon a credit default event of a reference entity within the CDX IG HVOL Series 5     
Index, the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity     
within the CDX IG HVOL Series 5 Index.  522,000  (2,141) 
 
Agreement with Goldman Sachs Capital Markets, L.P. on November 18, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 45 basis points per annum times the notional amount.     
Upon a credit default event of a reference entity within the CDX IG Series 5 Index,     
the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
CDX IG Series 5 Index.  6,025,000  (13,748) 
 
Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005,     
maturing on December 20, 2012, to receive quarterly 31.25 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity within     
the CDX IG Series 5 Index, 10-15% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the CDX IG Series 5 Index,10-15%     
tranche.  775,000  968 
 
Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 85 basis points per annum times the notional amount.     
Upon a credit default event of a reference entity within the CDX IG HVOL Series 5     
Index, the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity     
within the CDX IG HVOL Series 5 Index.  522,000  (993) 
 
Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005,     
maturing on December 20, 2012, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 55 basis points per annum times the notional amount.     
Upon a credit default event of a reference entity within the CDX IG Series 5 Index,     
the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
CDX IG Series 5 Index.  387,500  (856) 

Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005,     
maturing on December 20, 2010, to pay quarterly 113 basis points per annum times     
the notional amount. Upon a credit default event of a reference entity within the     
CDX IG Series 5 Index, 3-7% tranche, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the CDX IG Series 5 Index, 3-7%     
tranche.  261,000  240 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 4, 2005, maturing     
on September 20, 2010, to receive quarterly 49 basis points times the notional     
amount. Upon a credit default event of Goodrich Corp. 7 5/8s, 12/15/12, the fund     
makes a payment of the proportional notional amount times the difference between     
the par value and the then-market value of Goodrich Corp. 7 5/8s, 12/15/12.  195,000  32 
 
Agreement with Goldman Sachs International on September 2, 2004, terminating on     
the date on which the notional amount is reduced to zero or the date on which the     
assets securing the reference obligation are liquidated, the fund receives a payment     
of the outstanding notional amount times 2.55625% and the fund pays in the event     
of a credit default in one of the underlying securities in the basket of BB CMBS     
securities.  1,804,000  (4,443) 
 
Agreement with HSBC on December 6, 2005, maturing on December 20, 2010, to     
receive/(pay) a premium based on the difference between the original spread on     
issue and the market spread on day of execution and pay quarterly 45 basis points     
per annum times the notional amount. Upon a credit default event of a reference     
entity within the DJ IG CDX Series 5 Index, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 5 Index.  8,180,000  (11,088) 
 
Agreement with JPMorgan Chase Bank, N.A. on September 1, 2005, maturing on     
September 20, 2010, to pay quarterly 460 basis points times the notional amount.     
Upon a credit default event of General Motors Acceptance Corp., the fund receives     
a payment of the proportional notional amount times the difference between the par     
value and the then market value of General Motors Acceptance Corp.  185,000  (217) 
 
Agreement with JPMorgan Chase Bank, N.A. on April 25, 2005, maturing on June     
20, 2010, to receive a quarterly payment of 3.70% times the notional amount. Upon     
a credit default event of Felcor Lodging L.P., 8 1/2, 2011, the fund makes a payment     
of the proportional notional amount times the difference between the par value and     
the then-market value of Felcor Lodging L.P., 8 1/2, 2011.  165,000  9,347 
 
Agreement with JPMorgan Securities Inc. on December 12, 2005, maturing on June     
20, 2012, to receive quarterly 30.5 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX 4     
Index, 10-15% tranche, the fund makes a payment of the proportional notional     
amount times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX 4 Index, 10-15% tranche.  1,368,000  1,749 
 
Agreement with JPMorgan Securities Inc. on December 12, 2005, maturing on June     
20, 2012, to receive/(pay) a premium based on the difference between the original     
spread on issue and the market spread on day of execution and pays quarterly 55     
basis points per annum times the notional amount. Upon a credit default event of a     
reference entity within the DJ IG CDX 4 Index, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX 4 Index.  684,000  (676) 
 
Agreement with Lehman Brothers Special Financing, Inc. on November 29, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 45 basis points per annum times the notional amount.     
Upon a credit default event of a reference entity within the CDX IG Series 5 Index,     
the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
CDX IG Series 5 Index.  3,155,000  (4,968) 
 
Agreement with Lehman Brothers Special Financing, Inc. on December 1, 2005,     
maturing on June 20, 2010, to pay quarterly 124.5 basis points per annum times the     
notional amount. Upon a credit default event of any reference entity within the DJ     
IG CDX Series 4 Index, 3-7% tranche,the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index, 3-7%     
tranche.  270,000  (2,125) 
 
Agreement with Lehman Brothers Special Financing, Inc. on October 5, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and receive quarterly 45 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the DJ CDX IG     
Series 5 Index, the fund makes a payment of the proportional notional amount times     
the difference between the par value and the then-market value of the reference     
entity within the DJ CDX IG Series 5 Index.  2,640,000  (128) 
 
Agreement with Lehman Brothers Special Financing, Inc. on December 8, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and to pay quarterly 45 basis points per annum times the notional     
amount. Upon a credit default event of any reference entity within the DJ IG CDX     
Series 4 Index, the fund receives a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 4 Index.  1,480,000  (1,603) 

Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005,     
maturing on June 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution     
and pay quarterly 65 basis points per annum times the notional amount. Upon a     
credit default event of a reference entity within the DJ IG CDX 4 Index, the fund     
receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
DJ IG CDX 4 Index.  733,000  (532) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005,     
maturing on December 20, 2015, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 70 basis points per annum times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX 4 Index, the     
fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
DJ IG CDX 4 Index.  733,000  (2,128) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21, 2005,     
maturing on December 20, 2015, to receive quarterly 57.5 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity within     
the DJ IG CDX 5 Index, 10-15% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX 5 Index, 10-15%     
tranche.  733,000  (2,408) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19, 2005,     
maturing on June 20, 2015, to receive quarterly 59 basis points per annum times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG     
CDX 4 Index,10-15% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX 4 Index,10-15% tranche.  733,000  (3,350) 
 
Agreement with Lehman Brothers Special Financing, Inc. on December 19, 2005,     
maturing on June 20, 2010, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution     
and to pay quarterly 90 basis points per annum times the notional amount. Upon a     
credit default event of any reference entity within the DJ IG CDX HVOL Series 4     
Index,the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity     
within the DJ IG CDX HVOL Series 4 Index.  313,000  526 
 
Agreement with Lehman Brothers Special Financing, Inc. on December 19, 2005,     
maturing on June 20, 2012, to receive quarterly 309 basis points per annum times     
the notional amount. Upon a credit default event of any reference entity within the     
DJ IG CDX Series 4 Index, 3-7% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index, 3-7%     
tranche.  313,000  126 
 
Agreement with Morgan Stanley Capital Services, Inc. on November 30, 2005,     
maturing on December 20, 2012, to receive quarterly 30 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity within     
the DJ IG CDX Series 5 Index, 10-15% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 5 Index, 10-     
15% tranche.  1,550,000  628 
 
Agreement with Morgan Stanley Capital Services, Inc. on December 8, 2005,     
maturing on December 20, 2012, to receive quarterly 29 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity within     
the DJ IG CDX Series 5 Index, 10-15% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 5 Index, 10-     
15% tranche.  1,541,000  274 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution     
and pay quarterly 55 basis points per annum times the notional amount. Upon a     
credit default event of a reference entity within the DJ IG CDX Series 4 Index, the     
fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
DJ IG CDX Series 4 Index.  1,465,000  1,026 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive quarterly 48 basis points per annum times the     
notional amount. Upon a credit default event of a reference entity within the DJ IG     
CDX Series 4 Index, 7-10% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index, 7-10% tranche.  1,465,000  1,119 
 
Agreement with Morgan Stanley Capital Services, Inc. on October 14, 2005,     
maturing on December 20, 2010, to receive quarterly 127 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity within     
the DJ HY CDX Series 5, Index 25-35% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ HY CDX Series 5 Index, 25-     
35% tranche.  840,000  6,438 

Agreement with Morgan Stanley Capital Services, Inc. on November 30, 2005,     
maturing on December 20, 2012, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 55 basis points per annum times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX Series 5     
Index, the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity     
within the DJ IG CDX Series 5 Index.  775,000  (1,708) 
 
Agreement with Morgan Stanley Capital Services, Inc. on December 8, 2005,     
maturing on December 20, 2012, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 55 basis points per annum times the notional amount.     
Upon a credit default event of a reference entity within the DJ IG CDX Series 5     
Index, the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference entity     
within the DJ IG CDX Series 5 Index.  770,500  (1,707) 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005,     
maturing on June 20, 2015, to receive quarterly 70.5 basis points per annum times     
the notional amount. Upon a credit default event of a reference entity within the DJ     
IG CDX Series 4 Index, 10-15% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index, 10-     
15% tranche.  721,000  7,875 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005,     
maturing on June 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution     
and pay quarterly 65 basis points per annum times the notional amount. Upon a     
credit default event of a reference entity within the DJ IG CDX Series 4 Index, the     
fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
DJ IG CDX Series 4 Index.  721,000  (1,584) 
 
Agreement with Morgan Stanley Capital Services, Inc. on November 16, 2005,     
maturing on December 20, 2012, to receive quarterly 305 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity within     
the DJ IG CDX Series 5 Index, 3-7% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 5 Index, 3-7%     
tranche.  522,000  21,782 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 13, 2005,     
maturing on June 20, 2012, to receive quarterly 275 basis points per annum times     
the notional amount. Upon a credit default event of a reference entity within the DJ     
IG CDX Series 4 Index, 3-7% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX Series 4 Index, 3-7% tranche.  540,000  (2,111) 
 
Agreement with Morgan Stanley Capital Services, Inc. on October 14, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pays quarterly 395 basis points per annum times the notional amount.     
Upon a credit default event of a reference entity within the CDX HY Series 5 Index,     
the fund receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within the     
CDX HY Series 5 Index.  415,800  (10,743) 
 
Agreement with Morgan Stanley Capital Services, Inc. on December 19, 2005,     
maturing on June 20, 2010, to pays quarterly 110.5 basis points per annum times     
the notional amount. Upon a credit default event of a reference entity within the DJ     
IG CDX Series 4 Index, 3-7% tranche, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index, 3-7%     
tranche.  313,000  106 
Total    $(1,449) 

Putnam Asset Allocation: Conservative Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 12/31/05 (aggregate face value $45,849,313) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $8,538,061  $8,672,636  1/18/06  $ (134,575) 
British Pound  6,790,580  6,878,476  3/15/06  (87,896) 
Canadian Dollar  3,391,847  3,404,231  1/18/06  (12,384) 
Danish Krone  745,653  743,038  3/15/06  2,615 
Euro  8,493,540  8,539,567  3/15/06  (46,027) 
Hong Kong Dollar  384,936  384,832  2/15/06  104 
Japanese Yen  6,724,630  6,693,803  2/15/06  30,827 
New Zealand Dollar  705,040  715,271  1/18/06  (10,231) 
Norwegian Krone  172,055  172,132  3/15/06  (77) 
Singapore Dollar  393,955  386,753  2/15/06  7,202 
Swedish Krona  2,437,040  2,437,279  3/15/06  (239) 
Swiss Franc  6,782,192  6,821,295  3/15/06  (39,103) 
Total        $(289,784) 

Putnam Asset Allocation: Conservative Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 12/31/05 (aggregate face value $82,146,504) (Unaudited)

        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $7,833,240  $7,929,120  1/18/06  $ 95,880 
British Pound  16,578,708  16,801,222  3/15/06  222,514 
Canadian Dollar  4,360,678  4,340,870  1/18/06  (19,808) 
Euro  21,317,375  21,375,675  3/15/06  58,300 
Japanese Yen  15,320,085  15,335,463  2/15/06  15,378 
Norwegian Krone  6,882,464  6,904,947  3/15/06  22,483 
Swedish Krona  5,699,841  5,700,590  3/15/06  749 
Swiss Franc  3,720,977  3,758,617  3/15/06  37,640 
Total        $433,136 

Putnam Asset Allocation: Conservative Portfolio       
FUTURES CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)       
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Canadian Government Bond 10 yr (Long)  25  $2,448,412  Mar-06  $2,045 
Dow Jones Euro Stoxx 50 Index (Short)  99  4,189,369  Mar-06  (51,665) 
Euro 90 day (Long)  2  476,125  Mar-06  (3,233) 
Euro 90 day (Long)  471  112,045,013  Jun-06  (21,734) 
Euro 90 day (Short)  471  112,156,875  Mar-07  5,119 
Euro-Bobl 5 yr (Long)  106  14,115,598  Mar-06  (27,997) 
Euro-Bund 10 yr (Long)  211  30,320,290  Mar-06  165,771
FTSE 100 Index (Short)  33  3,181,154  Mar-06  (54,477) 
Japanese Government Bond 10 yr (Long)  23  26,769,342  Mar-06  145,155 
Russell 2000 Index Mini (Long)  4  271,320  Mar-06  (3,728) 
Russell 2000 Index Mini (Short)  18  1,220,940  Mar-06  25,194 
S&P 500 Index (Long)  4  1,254,800  Mar-06  (18,258) 
S&P 500 Index Mini (Long)  411  25,785,113  Mar-06  (231,762) 
S&P 500 Index Mini (Short)  147  9,222,413  Mar-06  82,201 
S&P ASX 200 Index (Short)  11  953,235  Mar-06  (28,963) 
S&P MidCap 400 Index Mini (Long)  1  74,320  Mar-06  (772) 
Tokyo Price Index (Short)  24  3,342,429  Mar-06  (152,621) 
U.K. Gilt 10 yr (Long)  35  6,875,868  Mar-06  68,381 
U.S. Treasury Bond 20 yr (Long)  261  29,802,938  Mar-06  247,142 
U.S. Treasury Note 2 yr (Short)  97  19,903,188  Mar-06  25,474 
U.S. Treasury Note 5 yr (Long)  987  104,961,281  Mar-06  (63,200) 
U.S. Treasury Note 10 yr (Short)  782  85,555,688  Mar-06  (366,117) 
Total        $(258,045) 

Putnam Asset Allocation: Conservative Portfolio     
WRITTEN OPTIONS OUTSTANDING at 12/31/05 (premiums received $1,228,318) (Unaudited)     
  Contract  Expiration date/   
  amount  strike price  Value 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to       
pay a fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017  $15,880,000  Jul 07 / $4.55  $831,815 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation to       
receive a fixed rate of 4.55% versus the three month LIBOR maturing on July 5, 2017  15,880,000  Jul 07 / $4.55  312,318 
Total      $1,144,133 

Putnam Asset Allocation: Conservative Portfolio

TBA SALE COMMITMENTS OUTSTANDING at 12/31/05 (proceeds receivable $18,632,891) (Unaudited)

  Principal  Settlement   
Agency  amount  date  Value 
FNMA, 5 1/2s, January 1, 2036  $13,700,000  1/12/06  $13,565,140 
FNMA, 5s, January 1, 2036  4,550,000  1/12/06  4,407,102 
FNMA, 4 1/2s, January 1, 2021  700,000  1/18/06  680,750 
Total      $18,652,992 

Putnam Asset Allocation: Conservative Portfolio - Fund 264   
 
 
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)     
      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date  (depreciation) 
Agreement with Bank of America, N.A. dated May 18, 2005 to pay       
semi-annually the notional amount multiplied by 3.95% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  $51,000,000  5/21/07  $629,751 
 
Agreement with Bank of America, N.A. dated January 26, 2004 to       
receive semi-annually the notional amount multiplied by 5.2125% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  18,177,000  1/28/24  621,755 
 
Agreement with Bank of America, N.A. dated March 31, 2005 to pay       
semi-annually the notional amount multiplied by 4.6375% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  15,300,000  4/6/10  113,714 
 
Agreement with Bank of America, N.A. dated December 20, 2004 to       
pay semi-annually the notional amount multiplied by 3.965% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  13,689,000  12/22/09  441,184 
 
Agreement with Bank of America, N.A. dated January 12, 2005 to       
receive semi-annually the notional amount multiplied by 4.106% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  12,300,000  1/14/10  (213,500) 
 
Agreement with Bank of America, N.A. dated March 25, 2004 to pay       
semi-annually the notional amount multiplied by 3.075% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  7,000,000  3/30/09  315,339 
 
Agreement with Bank of America, N.A. dated October 19, 2005 to pay       
semi-annually the notional amount multiplied by 4.943% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  6,300,000  10/21/15  (10,459) 
 
Agreement with Bank of America, N.A. dated August 30, 2005 to       
receive semi-annually the notional amount multiplied by 4.53% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.  5,000,000  9/1/15  (98,537) 
 
Agreement with Bank of America, N.A. dated June 15, 2005 to pay       
semi-annually the notional amount multiplied by 4.555% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  4,260,000  6/17/15  121,008 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.466% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  1,540,000  6/23/15  54,151 
 
Agreement with Bank of America, N.A. dated June 22, 2005 to pay       
semi-annually the notional amount multiplied by 4.39% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  770,000  6/24/15  31,506 
 
Agreement with Bank of America, N.A. dated June 21, 2005 to pay       
semi-annually the notional amount multiplied by 4.45% and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR.  640,000  6/23/15  23,275 
 
Agreement with Credit Suisse First Boston International dated       
November 15, 2004 to pay semi-annually the notional amount       
multiplied by 3.947% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR.  19,400,000  11/17/09  624,164 
 
Agreement with Credit Suisse First Boston International dated July 7,       
2004 to receive semi-annually the notional amount multiplied by       
2.931% and pay quarterly the notional amount multiplied by the three       
month USD-LIBOR.  4,766,100  7/9/06  (23,425) 
 
Agreement with Deutsche Bank AG dated July 31, 2002 to pay       
quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA and receive semi-annually the notional amount multiplied       
by 5.7756%.  824,399  8/2/22  82,271 
 
Agreement with Deutsche Bank AG dated July 31, 2002 to receive       
semi-annually the notional amount multiplied by the three month USD-       
LIBOR-BBA and pay quarterly the notional amount multiplied by       
5.86%.  925,147  8/2/32  (120,828) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated June 10,       
2002 to pay quarterly the notional amount multiplied by the three       
month LIBOR-BBA and receive semi-annually the notional amount       
multiplied by 5.405%.  5,675,208  8/15/10  (208,580) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated July 30,       
2002 to pay quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and receive semi-annually the notional       
amount multiplied by 5.845%.  1,650,000  8/1/22  178,056 

Agreement with Goldman Sachs Capital Markets, L.P. dated July 30,       
2002 to receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 5.919%.  1,851,643  8/1/32  (258,325) 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated August 8,       
2002 to pay quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and receive semi-annually the notional       
amount multiplied by 5.601%.  824,399  8/12/22  65,382 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated August 8,       
2002 to receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 5.689%.  925,147  8/12/32  (96,937) 
 
Agreement with JPMorgan Chase Bank, N.A. dated March 3, 2005 to       
receive semi-annually the notional amount multiplied by 4.798% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  22,000,000  3/7/15  59,034 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 27, 2005 to       
receive semi-annually the notional amount multiplied by 4.296% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  12,900,000  6/29/15  (617,111) 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 31, 2005 to       
receive semi-annually the notional amount multiplied by 4.4505% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR-BBA.  12,600,000  9/2/15  (328,506) 
 
Agreement with JPMorgan Chase Bank, N.A. dated October 19, 2005       
to pay semi-annually the notional amount multiplied by 4.916% and       
receive quarterly the notional amount multiplied by the three month       
LIBOR.  5,700,000  10/21/15  1,136 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 14, 2005 to       
pay semi-annually the notional amount multiplied by 4.538% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  3,710,000  6/16/15  110,095 
 
Agreement with JPMorgan Chase Bank, N.A. dated July 29, 2005 to       
pay semi-annually the notional amount multiplied by 4.6757% and       
receive quarterly the notional amount multiplied by the three month       
USD-LIBOR.  2,156,000  8/2/15  (15,987) 
 
Agreement with JPMorgan Chase Bank, N.A. dated June 22, 2005 to       
receive semi-annually the notional amount multiplied by 4.387% and       
pay quarterly the notional amount multiplied by the three month USD-       
LIBOR.  920,000  6/24/15  39,024 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 9, 2003 to receive semi-annually the notional amount       
multiplied by 4.641% and pay quarterly the notional amount multiplied       
by the three month USD-LIBOR-BBA.  15,537,000  12/15/13  (271,578) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 1.999% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  15,043,000  1/26/06  14,013 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.008% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  14,679,000  1/23/06  12,428 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 2.009% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  14,679,000  1/23/06  12,365 
 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
13, 2005 to pay semi-annually the notional amount multiplied by 4.38%       
and receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA.  12,000,000  7/15/10  97,133 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 22, 2004 to pay semi-annually the notional amount multiplied       
by 2.007% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  7,885,000  1/26/06  6,995 
 
Agreement with Lehman Brothers Special Financing, Inc. dated June       
14, 2005 to pay semi-annually the notional amount multiplied by       
4.0525% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  6,300,000  6/16/07  (71,868) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.408% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  4,853,000  1/23/14  106,847 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
January 21, 2004 to pay semi-annually the notional amount multiplied       
by 4.419% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  4,853,000  1/23/14  106,276 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 11, 2003 to pay semi-annually the notional amount       
multiplied by 4.710% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  2,096,000  12/15/13  27,264 

Agreement with Lehman Brothers Special Financing, Inc. dated June       
14, 2005 to pay semi-annually the notional amount multiplied by       
4.5475% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  1,700,000  6/16/15  (49,217) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
31, 2002 to pay semi-annually the notional amount multiplied by       
5.152% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  824,399  8/2/22  82,271 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 12, 2003 to pay semi-annually the notional amount       
multiplied by 4.579% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  808,000  12/16/13  17,467 
 
Agreement with Lehman Brothers Special Financing, Inc. dated July       
31, 2002 to pay semi-annually the notional amount multiplied by       
5.152% and receive quarterly the notional amount multiplied by the       
three month USD-LIBOR-BBA.  801,206  8/2/12  (23,030) 
 
Agreement with Merrill Lynch Capital Services, Inc. dated July 30,       
2002 to pay quarterly the notional amount multiplied by the three       
month LIBOR-BBA and receive semi-annually the notional amount       
multiplied by 5.845%.  1,650,000  8/1/22  178,056 
 
Agreement with Merrill Lynch Capital Services, Inc. dated July 30,       
2002 to receive quarterly the notional amount multiplied by the three       
month LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 5.204%.  1,603,579  8/1/12  (51,141) 
 
Agreement with Merrill Lynch Capital Services, Inc. dated August 8,       
2002 to pay quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and receive semi-annually the notional       
amount multiplied by 5.601%.  824,399  8/12/22  65,382 
 
Agreement with Merrill Lynch Capital Services, Inc. dated August 8,       
2002 to receive quarterly the notional amount multiplied by the three       
month USD-LIBOR-BBA and pay semi-annually the notional amount       
multiplied by 4.94%.  801,206  8/13/12  (12,809) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 15, 2005 to pay semi-annually the notional amount       
multiplied by 5.0265% and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  19,192,000  12/19/15  (131,105) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
December 6, 2005 to pay semi-annually the notional amount multiplied       
by 4.9425% and receive quarterly the notional amount multiplied by       
the three month USD-LIBOR-BBA.  1,871,000  12/8/10  (5,737) 
Total      $1,628,662 

Putnam Asset Allocation: Conservative Portfolio - Fund 264   
 
 
 
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)     
 
      Unrealized 
  Notional  Termination  appreciation/ 
  amount  date  (depreciation) 
 
Agreement with Citibank, N.A. dated July 7, 2005 to receive at maturity       
the notional amount multiplied by the nominal spread appreciation of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index adjusted by a modified duration factor and an accrual       
of 50 basis points plus the beginning of the period nominal spread of       
the Lehman Brothers AAA 8.5+ Commercial Mortgage Backed       
Securities Index and pay at maturity the notional amount multiplied by       
the nominal spread depreciation of the Lehman Brothers AAA 8.5+       
Commercial Mortgage Backed Securities Index adjusted by a modified       
duration factor.  $5,575,000  1/1/06  $12,230 
 
Agreement with Deutsche Bank AG dated September 8, 2005 to       
receive at maturity the notional amount multiplied by the nominal       
spread appreciation of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index adjusted by a modified duration       
factor and an accrual of 25 basis points plus the beginning of the       
period nominal spread of the Lehman Brothers AAA 8.5+ Commercial       
Mortgage Backed Securities Index and pay at maturity the notional       
amount multiplied by the nominal spread depreciation of the Lehman       
Brothers AAA 8.5+ Commercial Mortgage Backed Securities Index       
adjusted by a modified duration factor.  2,979,000  3/1/06  5,529 
 
Agreement with Deutsche Bank AG dated February 16, 2005 to       
receive/(pay) semi-annually the notional amount multiplied by the       
positive (negative) change in the S&P 500 Index six month forward       
variance.  2,064,841  2/16/06  (939,384) 
 
Agreement with Deutsche Bank AG dated August 3, 2005 to pay at       
maturity the notional amount multiplied by the nominal spread       
appreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor and an       
accrual of 15 basis points plus the beginning of the period nominal       
spread of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index and receive at maturity the notional amount       
multiplied by the nominal spread depreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor.  5,575,000  1/1/06  7,359 
 
Agreement with Deutsche Bank AG dated February 1, 2005 to receive       
at maturity the notional amount multiplied by the return of the Lehman       
Brothers U.S. Corporate High Yield Index and pay at maturity the       
notional amount multiplied by the six month USD-LIBOR-BBA adjusted       
by a specified spread.  4,499,933  2/1/06  9,502 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated May 16,       
2005 to receive/(pay) at maturity the notional amount multiplied by the       
positive (negative) change in the S&P 500 Index six month forward       
variance.  3,162,563  11/17/06  2,019,687 
 
Agreement with Goldman Sachs Capital Markets, L.P. dated       
September 8, 2005 to receive at maturity the notional amount       
multiplied by the nominal spread appreciation of the Lehman Brothers       
AAA 8.5+ Commercial Mortgage Backed Securities Index adjusted by       
a modified duration factor and an accrual of 30 basis points plus the       
beginning of the period nominal spread of the Lehman Brothers AAA       
8.5+ Commercial Mortgage Backed Securities Index and pay at       
maturity the notional amount multiplied by the nominal spread       
depreciation of the Lehman Brothers AAA 8.5+ Commercial Mortgage       
Backed Securities Index adjusted by a modified duration factor.  12,808,500  4/1/06  17,368 
 
Agreement with Goldman Sachs dated December 23, 2005 to       
receive/(pay) a premium based on the difference between the market       
price of Ford Credit Auto Owner Trust Series 2005-B Class D and par       
on day of execution and receive monthly the notional amount       
multiplied by 678 basis points and pay monthly the one month USD-       
LIBOR. At maturity/termination the fund receives the coupon and price       
appreciation of Ford Credit Auto Owner Trust 2005-B Class D and       
pays the one month USD LIBOR and the price depreciation of Ford       
Credit Auto Owner Trust 2005-B Class D.  846,000  9/15/11  4,991 
 
Agreement with JPMorgan Chase Bank, N.A. dated September 19,       
2005 to pay quarterly the notional amount multiplied by the return of       
the Russell 2000 Total Return Index and receive quarterly the notional       
amount multiplied by the three month USD-LIBOR adjusted by a       
specified spread.  22,589,000  2/21/06  387,936 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 16, 2005       
to receive/(pay) quarterly the notional amount multiplied by the return       
of the S&P US 500 TR Index and receive quarterly the notional amount       
multiplied by the three month USD-LIBOR-BBA.  13,282,635  2/21/06  (147,998) 
 
Agreement with JPMorgan Chase Bank, N.A. dated October 28, 2005       
to receive/(pay) quarterly the notional amount multiplied by Standard       
and Poor's 500 Commercial Banks Industry Index and receive       
quarterly the notional amount multiplied by the three month USD-       
LIBOR minus 35 basis points.  17,412,099  5/3/06  (576,446) 

Agreement with JPMorgan Chase Bank, N.A. dated October 28, 2005       
to receive/(pay) quarterly the notional amount multiplied by Standard       
and Poor's 500 Energy Index and pay quarterly the notional amount       
multiplied by the three month USD-LIBOR plus 30 basis points.  17,412,163  5/3/06  518,000 
 
Agreement with JPMorgan Chase Bank, N.A dated March 31, 2005 to       
receive/(pay) quarterly the notional amount multiplied by Russell 2000       
Total Return Index and receive quarterly the notional amount multiplied       
by the three month USD-LIBOR .  14,335,024  4/5/06  (47,763) 
 
Agreement with JPMorgan Chase Bank, N.A. dated August 16, 2005       
to receive/(pay) quarterly the notional amount multiplied by the return       
of the Russell 1000 Total Return Growth Index and pay quarterly the       
notional amount multiplied by the three month USD-LIBOR adjusted by       
a specified spread.  13,414,390  2/21/06  94,428 
 
Agreement with Lehman Brothers Finance, S.A. dated August 31,       
2005 to receive/(pay) semi-annually the notional amount multiplied by       
the return of the Lehman Brothers US ABS Floating Rate Index HEL       
Aggregate Component and pay semi-annually the notional amount       
multiplied by the six month USD-LIBOR-BBA adjusted by a specified       
spread.  31,500,000  3/1/06  (37,930) 
 
Agreement with Lehman Brothers Special Financing, Inc. dated       
September 29, 2005 to receive/(pay) monthly the notional amount       
multiplied by the return of the Lehman Brothers U.S. High Yield Index       
and receive monthly the notional amount multiplied by the one year       
USD-LIBOR minus 25 basis points.  2,000,256  10/1/06  (7,155) 
Total      $1,320,354 

Putnam Asset Allocation: Conservative Portfolio - Fund 264

CREDIT DEFAULT CONTRACTS OUTSTANDING at 12/31/05 (Unaudited)     
    Unrealized 
  Notional  appreciation/ 
  amount  (depreciation) 
 
Agreement with Bank of America, N.A. on September 13, 2005, maturing on     
June 20, 2010, to receive/(pay) a premium based on the difference between the     
original spread on issue and the market spread on day of execution and pay     
quarterly 90 basis points per annum times the notional amount. Upon a credit     
default event of a reference entity within the DJ CDX IG HVOL Series 4 Index,     
the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference     
entity within the DJ CDX IG HVOL Series 4 Index.  $1,084,000  $6,817 
 
Agreement with Bank of America, N.A. on July 26, 2005, maturing on September     
20, 2012, to receive quarterly 64 basis points times the notional amount. Upon a     
credit default event of Waste Management, 7.375%, 8/1/10, the fund makes a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of Waste Management, 7.375%, 8/1/10.  235,000  567 
 
Agreement with Goldman Sachs Capital Markets, L.P. on November 17, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 85 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the CDX IG     
HVOL Series 5 Index, the fund receives a payment of the proportional notional     
amount times the difference between the par value and the then-market value of     
the reference entity within the CDX IG HVOL Series 5 Index.  525,000  (2,153) 
 
Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing     
on June 20, 2012, to receive quarterly 62 basis points per annum times the     
notional amount. Upon a credit default event of a reference entity within the DJ     
IG CDX Series 4 Index, 7-10% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index, 7-     
10% tranche.  1,425,000  7,965 
 
Agreement with Citigroup Financial Products, Inc. on August 19, 2005, maturing     
on June 20, 2012, to receive/(pay) a premium based on the difference between     
the original spread on issue and the market spread on day of execution and pay     
quarterly 55 basis points per annum times the notional amount. Upon a credit     
default event of a reference entity within the DJ IG CDX Series 4 Index, the fund     
receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within     
the DJ IG CDX Series 4 Index.  1,425,000  (537) 
 
Agreement with Deutsche Bank AG on July 22, 2005, maturing on September     
20, 2010, to receive quarterly 41 basis points times the notional amount. Upon a     
credit default event of France Telecomm, 7.25%, 1/28/13, the fund makes a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of France Telecomm, 7.25%, 1/28/13.  400,000  959 
 
Agreement with Deutsche Bank AG on September 9, 2004, maturing on     
September 20, 2014, to receive a quarterly payment of 0.58% times the notional     
amount. Upon a credit default event of CVS Corp., 5.625%, 3/15/06, the fund     
makes a payment of the proportional notional amount times the difference     
between the par value and the then-market value of CVS Corp., 5.625%,     
3/15/06.  125,000  (208) 
 
Agreement with Goldman Sachs Capital Markets, L.P. on November 18, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 45 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the CDX IG     
Series 5 Index, the fund receives a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the CDX IG Series 5 Index.  6,030,000  (13,795) 
 
Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005,     
maturing on December 20, 2012, to receive quarterly 31.25 basis points per     
annum times the notional amount. Upon a credit default event of a reference     
entity within the CDX IG Series 5 Index, 10-15% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the CDX IG     
Series 5 Index,10-15% tranche.  776,000  969 
 
Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 85 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the CDX IG     
HVOL Series 5 Index, the fund receives a payment of the proportional notional     
amount times the difference between the par value and the then-market value of     
the reference entity within the CDX IG HVOL Series 5 Index.  525,000  (999) 

Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005,     
maturing on December 20, 2012, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 55 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the CDX IG     
Series 5 Index, the fund receives a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the CDX IG Series 5 Index.  388,000  (857) 
 
Agreement with Goldman Sachs Capital Markets, L.P. on December 2, 2005,     
maturing on December 20, 2010, to pay quarterly 113 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity     
within the CDX IG Series 5 Index, 3-7% tranche, the fund receives a payment of     
the proportional notional amount times the difference between the par value and     
the then-market value of the reference entity within the CDX IG Series 5 Index, 3-     
7% tranche.  263,000  243 
 
Agreement with Goldman Sachs Capital Markets, L.P. on August 4, 2005,     
maturing on September 20, 2010, to receive quarterly 49 basis points times the     
notional amount. Upon a credit default event of Goodrich Corp. 7 5/8s, 12/15/12,     
the fund makes a payment of the proportional notional amount times the     
difference between the par value and the then-market value of Goodrich Corp. 7     
5/8s, 12/15/12.  195,000  32 
 
Agreement with Goldman Sachs International on September 2, 2004, terminating     
on the date on which the notional amount is reduced to zero or the date on which     
the assets securing the reference obligation are liquidated, the fund receives a     
payment of the outstanding notional amount times 2.55625% and the fund pays     
in the event of a credit default in one of the underlying securities in the basket of     
BB CMBS securities.  1,678,000  (4,133) 
 
Agreement with HSBC on December 6, 2005, maturing on December 20, 2010,     
to receive/(pay) a premium based on the difference between the original spread     
on issue and the market spread on day of execution and pay quarterly 45 basis     
points per annum times the notional amount. Upon a credit default event of a     
reference entity within the DJ IG CDX Series 5 Index, the fund receives a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX     
Series 5 Index.  2,320,000  (3,144) 
 
Agreement with JPMorgan Chase Bank, N.A. on September 1, 2005, maturing     
on September 20, 2010, to pay quarterly 460 basis points times the notional     
amount. Upon a credit default event of General Motors Acceptance Corp., the     
fund receives a payment of the proportional notional amount times the difference     
between the par value and the then market value of General Motors Acceptance     
Corp.  95,000  (111) 
 
Agreement with JPMorgan Chase Bank, N.A. on April 25, 2005, maturing on     
June 20, 2010, to receive a quarterly payment of 3.70% times the notional     
amount. Upon a credit default event of Felcor Lodging L.P., 8 1/2, 2011, the fund     
makes a payment of the proportional notional amount times the difference     
between the par value and the then-market value of Felcor Lodging L.P., 8 1/2,     
2011.  80,000  4,532 
 
Agreement with JPMorgan Securities Inc. on December 12, 2005, maturing on     
June 20, 2012, to receive quarterly 30.5 basis points per annum times the     
notional amount. Upon a credit default event of a reference entity within the DJ     
IG CDX 4 Index, 10-15% tranche, the fund makes a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX 4 Index, 10-15% tranche.  1,509,000  1,929 
 
Agreement with JPMorgan Securities Inc. on December 12, 2005, maturing on     
June 20, 2012, to receive/(pay) a premium based on the difference between the     
original spread on issue and the market spread on day of execution and pays     
quarterly 55 basis points per annum times the notional amount. Upon a credit     
default event of a reference entity within the DJ IG CDX 4 Index, the fund     
receives a payment of the proportional notional amount times the difference     
between the par value and the then-market value of the reference entity within     
the DJ IG CDX 4 Index.  754,500  (746) 
 
Agreement with Lehman Brothers Special Financing, Inc. on November 29,     
2005, maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 45 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the CDX IG     
Series 5 Index, the fund receives a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the CDX IG Series 5 Index.  3,125,000  (4,920) 
 
Agreement with Lehman Brothers Special Financing, Inc. on December 1, 2005,     
maturing on June 20, 2010, to pay quarterly 124.5 basis points per annum times     
the notional amount. Upon a credit default event of any reference entity within     
the DJ IG CDX Series 4 Index, 3-7% tranche, the fund receives a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index, 3-     
7% tranche.  271,000  (2,133) 
 
Agreement with Lehman Brothers Special Financing, Inc. on October 5, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and receive quarterly 45 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the DJ CDX IG     
Series 5 Index, the fund makes a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the DJ CDX IG Series 5 Index.  2,655,000  (129) 

Agreement with Lehman Brothers Special Financing, Inc. on December 8, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and to pay quarterly 45 basis points per annum times the notional     
amount. Upon a credit default event of any reference entity within the DJ IG     
CDX Series 4 Index,the fund receives a payment of the proportional notional     
amount times the difference between the par value and the then-market value of     
the reference entity within the DJ IG CDX Series 4 Index.  1,480,000  (1,603) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19,     
2005, maturing on June 20, 2015, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 65 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX 4     
Index, the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX 4 Index.  735,000  (533) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21,     
2005, maturing on December 20, 2015, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 70 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX 4     
Index, the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX 4 Index.  736,000  (2,137) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 21,     
2005, maturing on December 20, 2015, to receive quarterly 57.5 basis points per     
annum times the notional amount. Upon a credit default event of a reference     
entity within the DJ IG CDX 5 Index, 10-15% tranche, the fund makes a payment     
of the proportional notional amount times the difference between the par value     
and the then-market value of the reference entity within the DJ IG CDX 5 Index,     
10-15% tranche.  736,000  (2,418) 
 
Agreement with Lehman Brothers Special Financing, Inc. on September 19,     
2005, maturing on June 20, 2015, to receive quarterly 59 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity     
within the DJ IG CDX 4 Index, 10-15% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX 4 Index, 10-15%     
tranche.  735,000  (3,358) 
 
Agreement with Lehman Brothers Special Financing, Inc. on December 19,     
2005, maturing on June 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and to pay quarterly 90 basis points per annum times the notional     
amount. Upon a credit default event of any reference entity within the DJ IG     
CDX HVOL Series 4 Index, the fund receives a payment of the proportional     
notional amount times the difference between the par value and the then-market     
value of the reference entity within the DJ IG CDX HVOL Series 4 Index.  345,000  588 
 
Agreement with Lehman Brothers Special Financing, Inc. on December 19,     
2005, maturing on June 20, 2012, to receive quarterly 309 basis points per     
annum times the notional amount. Upon a credit default event of any reference     
entity within the DJ IG CDX Series 4 Index, 3-7% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX     
Series 4 Index, 3-7% tranche.  345,000  139 
 
Agreement with Morgan Stanley Capital Services, Inc. on November 30, 2005,     
maturing on December 20, 2012, to receive quarterly 30 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity     
within the DJ IG CDX Series 5 Index, 10-15% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX     
Series 5 Index, 10-15% tranche.  1,552,000  629 
 
Agreement with Morgan Stanley Capital Services, Inc. on December 8, 2005,     
maturing on December 20, 2012, to receive quarterly 29 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity     
within the DJ IG CDX Series 5 Index, 10-15% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX     
Series 5 Index, 10-15% tranche.  1,550,000  274 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution     
and pay quarterly 55 basis points per annum times the notional amount. Upon a     
credit default event of a reference entity within the DJ IG CDX Series 4 Index,     
the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX Series 4 Index.  1,470,000  1,029 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 19, 2005,     
maturing on June 20, 2012, to receive quarterly 48 basis points per annum times     
the notional amount. Upon a credit default event of a reference entity within the     
DJ IG CDX Series 4 Index, 7-10% tranche, the fund makes a payment of the     
proportional notional amount times the difference between the par value and the     
then-market value of the reference entity within the DJ IG CDX Series 4 Index, 7-     
10% tranche.  1,470,000  1,123 

Agreement with Morgan Stanley Capital Services, Inc. on October 14, 2005,     
maturing on December 20, 2010, to receive quarterly 127 basis points per     
annum times the notional amount. Upon a credit default event of a reference     
entity within the DJ HY CDX Series 5 Index, 25-35% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ HY     
CDX Series 5 Index, 25-35% tranche.  844,000  6,468 
 
Agreement with Morgan Stanley Capital Services, Inc. on November 30, 2005,     
maturing on December 20, 2012, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 55 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 5 Index, the fund receives a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 5 Index.  776,000  (1,924) 
 
Agreement with Morgan Stanley Capital Services, Inc. on December 8, 2005,     
maturing on December 20, 2012, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pay quarterly 55 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the DJ IG CDX     
Series 5 Index, the fund receives a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the DJ IG CDX Series 5 Index.  775,000  (1,717) 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005,     
maturing on June 20, 2015, to receive quarterly 70.5 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity     
within the DJ IG CDX Series 4 Index, 10-15% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX     
Series 4 Index, 10-15% tranche.  724,000  7,908 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 7, 2005,     
maturing on June 20, 2015, to receive/(pay) a premium based on the difference     
between the original spread on issue and the market spread on day of execution     
and pay quarterly 65 basis points per annum times the notional amount. Upon a     
credit default event of a reference entity within the DJ IG CDX Series 4 Index,     
the fund receives a payment of the proportional notional amount times the     
difference between the par value and the then-market value of the reference     
entity within the DJ IG CDX Series 4 Index.  724,000  (1,591) 
 
Agreement with Morgan Stanley Capital Services, Inc. on November 16, 2005,     
maturing on December 20, 2012, to receive quarterly 305 basis points per     
annum times the notional amount. Upon a credit default event of a reference     
entity within the DJ IG CDX Series 5 Index, 3-7% tranche, the fund makes a     
payment of the proportional notional amount times the difference between the     
par value and the then-market value of the reference entity within the DJ IG CDX     
Series 5 Index, 3-7% tranche.  525,000  21,907 
 
Agreement with Morgan Stanley Capital Services, Inc. on September 13, 2005,     
maturing on June 20, 2012, to receive quarterly 275 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity     
within the DJ IG CDX Series 4 Index, 3-7% tranche, the fund makes a payment     
of the proportional notional amount times the difference between the par value     
and the then-market value of the reference entity within the DJ IG CDX Series 4     
Index, 3-7% tranche.  542,000  (2,119) 
 
Agreement with Morgan Stanley Capital Services, Inc. on October 14, 2005,     
maturing on December 20, 2010, to receive/(pay) a premium based on the     
difference between the original spread on issue and the market spread on day of     
execution and pays quarterly 395 basis points per annum times the notional     
amount. Upon a credit default event of a reference entity within the CDX HY     
Series 5 Index, the fund receives a payment of the proportional notional amount     
times the difference between the par value and the then-market value of the     
reference entity within the CDX HY Series 5 Index.  417,780  (8,476) 
 
Agreement with Morgan Stanley Capital Services, Inc. on December 19, 2005,     
maturing on June 20, 2010, to pays quarterly 110.5 basis points per annum     
times the notional amount. Upon a credit default event of a reference entity     
within the DJ IG CDX Series 4 Index, 3-7% tranche, the fund receives a payment     
of the proportional notional amount times the difference between the par value     
and the then-market value of the reference entity within the DJ IG CDX Series 4     
Index, 3-7% tranche.  345,000  117 
Total    $4,454 

NOTES

(a) Percentages indicated are based on net assets as follows:

Growth portfolio  $1,446,869,547 
Balanced portfolio  1,758,992,608 
Conservative portfolio  905,114,253 

(RAT) The Moody's or Standard & Poor's ratings indicated are believed to be the most recent ratings available at December 31, 2005 for the securities listed. Ratings are generally ascribed to securities at the time of issuance. While the agencies may from time to time revise such ratings, they undertake no obligation to do so, and the ratings do not necessarily represent what the agencies would ascribe to these securities at December 31, 2005. Securities rated by Putnam are indicated by "/P". Security ratings are defined in the Statement of Additional Information.

(b) The aggregate identified cost on a tax basis is as follows:

  Cost for federal  Unrealized  Unrealized  Net unrealized 
  income tax purposes  appreciation  depreciation  appreciation 
 
 
Growth portfolio  $ 1,340,681,068  $ 188,320,738  $(54,209,142)  $ 134,111,596 
Balanced portfolio  1,753,954,700  174,102,736  (65,726,239)  108,376,497 
Conservative portfolio  918,461,804  55,641,605  (15,625,913)  40,015,692 

(DEF) Security is in default of principal and interest.

(NON) Non-income-producing security.

(SG) Securities on loan, in part or in entirety, at December 31, 2005 (Growth portfolio).

(SB) Securities on loan, in part or in entirety, at December 31, 2005 (Balanced portfolio).

(SC) Securities on loan, in part or in entirety, at December 31, 2005 (Conservative portfolio).

(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. AMRESCO Creditor Trust was acquired on various dates from 5/7/99 to 2/25/00 with a cost of $28,984 and $24,189 for Growth and Conservative Portfolios, respectively. Decrane Aircraft Holdings Co. was acquired on 7/23/04 with a cost of $74,520 for Conservative Portfolio. VFB, LLC was acquired on various dates from 6/22/99 to 1/21/00 with a cost of $230,697 for Conservative Portfolio. The total market value of restricted securities held by the fund did not exceed 0.01% of each fund's net assets.

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

(SEG) These securities were pledged and segregated with the custodian to cover margin requirements for futures contracts of one or more of the funds at December 31, 2005.

(R) Real Estate Investment Trust.

(d) The fund may lend securities, through its agents, to qualified borrowers in order to earn additional income. The loans are collateralized by cash and/or securities in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund's agents; the fund will bear the risk of loss with respect to the investment of the cash collateral. Income from securities lending is included in investment income on the statement of operations. At December 31, 2005, the value of securities loaned amounted to $25,165,639, $51,587,331 and $16,061,604 for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively. Certain of these securities were sold prior to period-end. The fund received cash collateral of $26,223,141, $53,422,238 and $16,548,493 for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively, which is pooled with collateral of other Putnam funds into 31 issues of high-grade, short-term investments.

(e) Pursuant to an exemptive order from the Securities and Exchange Commission, 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. 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 $953,887, $1,831,998 and $1,933,884 (Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) for the period ended December 31, 2005. During the period ended December 31, 2005, cost of purchases and cost of sales of investments in Putnam Prime Money Market Fund were as follows:

  Cost of    Cost of 
  purchases    sales 
Growth Portfolio  $ 189,979,371  $  227,233,014 
Balanced Portfolio  190,212,197    237,685,207 
Conservative Portfolio  132,737,243    141,048,168 

(F) Security is valued at fair value following procedures approved by the Trustees.

At December 31, 2005, liquid assets totaling $254,474,007, $448,639,800 and $269,857,368 (Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) have been designated as collateral for open forward commitments, swap contracts, forward contracts, written options and futures contracts.

144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

ADR or GDR after the name of a foreign holding stands for American Depository Receipts or Global Depository Receipts, respectively, representing ownership of foreign securities on deposit with a custodian bank.

TBA after the name of a security represents to be announced securities.

The rates shown on Floating Rate Bonds (FRB) and Floating Rate Notes (FRN) are the current interest rates at December 31, 2005.

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 December 31, 2005.

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of issue at December 31, 2005: (as a percentage of Portfolio Value)

Growth Portfolio   
Australia  1.1% 
Brazil  1.1 
China  0.6 
France  1.6 
Germany  1.4 
Hong Kong  0.5 
Italy  0.6 
Japan  5.4 
Mexico  0.5 
Netherlands  1.5 
Russia  0.6 
South Africa  0.9 
South Korea  2.0 
Spain  0.5 
Sweden  0.9 
Switzerland  1.5 
Taiwan  1.2 
United Kingdom  4.7 
United States  68.8 
Other  4.6 
 
Total  100.0% 
 
Balanced Portfolio   
Australia  0.8% 
Cayman Islands  0.5 
France  1.1 
Germany  1.1 
Japan  3.8 
Netherlands  1.0 
Sweden  0.6 
Switzerland  1.0 
United Kingdom  3.7 
United States  82.7 
Other  3.7 
 
Total  100.0% 
 
Conservative Portfolio   
Cayman Islands  0.8% 
France  0.6 
Germany  0.6 
Japan  1.9 
Netherlands  0.5 
Switzerland  0.5 
United Kingdom  2.2 
United States  89.9 
Other  3.0 
 
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 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.

Other investments, including certain restricted securities, are valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees.

Repurchase agreements Each fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the market value of which at the time of purchase is required to be an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest.

Stripped mortgage-backed securities Each fund may invest in stripped mortgage-backed securities which represent a participation in mortgage loans and 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 Each 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). 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 funds' portfolios.

Futures and options contracts Each 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. Each 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 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 funds' portfolios.

Total return swap contracts Each 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. 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 funds' portfolios.

Interest rate swap contracts Each 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. 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 funds' portfolios.

Credit default contracts Each 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. 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 funds' portfolios.

TBA purchase commitments Each fund may enter into “TBA” (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss.

Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.

TBA sale commitments Each fund may enter into TBA sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.

Unsettled TBA sale commitments are valued at fair value of the underlying securities, generally according to the procedures described under “Security valuation” above. The contract is marked-to-market daily and the change in market value is recorded by the fund as an unrealized gain or loss. If the TBA sale commitment is closed through the acquisition of an offsetting purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into. TBA sale commitments outstanding at period end, if any, are listed after the funds' portfolios.

Dollar rolls To enhance returns, the fund may enter into dollar rolls (principally using TBAs) in which the fund sells securities for delivery in the current month and simultaneously contracts to purchase similar securities on a specified future date. During the period between the sale and subsequent purchase, the fund will not be entitled to receive income and principal payments on the securities sold. The fund will, however, retain the difference between the initial sales price and the forward price for the future purchase. The fund will also be able to earn interest on the cash proceeds that are received from the initial sale. The fund may be exposed to market or credit risk if the price of the security changes unfavorably or the counterparty fails to perform under the terms of the agreement.

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.

NAME OF REGISTRANT

By (Signature and Title):

/s/ Michael T. Healy
Michael T. Healy
Principal Accounting Officer
Date: February 28, 2006

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: February 28, 2006

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: February 28, 2006