N-Q 1 a_assetalloc.htm PUTNAM ASSET ALLOCATION FUNDS

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, 2007

Date of reporting period: June 30, 2007

Item 1. Schedule of Investments:

Putnam Asset Allocation Funds             
The funds' portfolios  Growth    Balanced    Conservative   
June 30, 2007 (Unaudited)             
 
 
COMMON STOCKS(a)  Growth 82.6%    Balanced 65.4%    Conservative 40.5%   
  Shares  Value  Shares  Value  Shares  Value 
Banking    7.2%    5.5%    3.5% 
Alabama National BanCorporation  13,100  $810,104  10,800  $667,872  3,800  $234,992 
Allied Irish Banks PLC (Ireland)  84,920  2,315,107  64,395  1,755,550  17,278  471,036 
Australia & New Zealand Banking Group, Ltd. (Australia)  110,176  2,700,397  84,288  2,065,886  22,982  563,285 
Bank Hapoalim BM (Israel)  282,411  1,373,800  --  --  --  -- 
Bank of America Corp. (SEG)  154,827  7,569,492  127,093  6,213,577  44,714  2,186,067 
Bank of China, Ltd. (China) (NON)  3,883,000  1,927,527  --  --  --  -- 
BankUnited Financial Corp. Class A  26,100  523,827  19,500  391,365  --  -- 
Banner Corp.  14,800  504,088  11,000  374,660  --  -- 
Barclays PLC (United Kingdom)  642,227  8,960,880  461,368  6,437,387  125,256  1,747,675 
BNP Paribas SA (France)  90,449  10,773,525  68,535  8,163,313  18,824  2,242,157 
Center Financial Corp.  24,800  419,616  18,600  314,712  --  -- 
China Construction Bank Corp. (China)  2,206,000  1,518,551  --  --  --  -- 
China Merchants Bank Co., Ltd. (China)  158,500  482,680  --  --  --  -- 
China Merchants Bank Co., Ltd. 144A (China)  23,000  70,042  --  --  --  -- 
Citizens Republic Bancorp, Inc. (SC)  34,600  633,180  28,400  519,720  10,000  183,000 
City Bank  21,700  683,767  15,800  497,858  --  -- 
City Holding Co.  13,800  528,954  10,300  394,799  --  -- 
Comerica, Inc.  36,700  2,182,549  30,100  1,790,047  10,600  630,382 
Commerzbank AG (Germany)  35,625  1,699,487  16,134  769,671  4,410  210,379 
Corus Bankshares, Inc. (SG) (SB) (SC)  217,800  3,759,228  176,300  3,042,938  54,900  947,574 
DBS Group Holdings, Ltd. (Singapore)  246,000  3,661,742  186,000  2,768,634  51,000  759,142 
Downey Financial Corp. (SG) (SB) (SC)  59,700  3,939,006  48,400  3,193,432  14,700  969,906 
First Regional Bancorp (NON)  13,300  338,352  9,900  251,856  --  -- 
FirstFed Financial Corp. (NON) (SG) (SB)  17,300  981,429  13,200  748,836  --  -- 
Fukuoka Financial Group, Inc. (Japan) (NON)  264,000  1,741,144  200,000  1,319,049  52,000  342,953 
Hancock Holding Co.  18,000  675,900  14,700  551,985  5,200  195,260 
HBOS PLC (United Kingdom)  327,870  6,469,040  247,457  4,882,451  66,457  1,311,230 
Intervest Bancshares Corp.  17,800  501,248  13,200  371,712  --  -- 
ITLA Capital Corp.  10,100  526,412  7,500  390,900  --  -- 
Kazkommertsbank GDR (Kazakhstan) (NON)  67,332  1,474,640  --  --  --  -- 
Kazkommertsbank GDR 144A (Kazakhstan) (NON)  37,280  816,470  --  --  --  -- 
KBC Groupe SA (Belgium)  91,713  12,340,996  69,493  9,351,050  19,087  2,568,366 
KeyCorp (SEG)  64,080  2,199,866  52,600  1,805,758  18,500  635,105 
Kookmin Bank (South Korea)  41,585  3,646,010  --  --  --  -- 
Krung Thai Bank PCL NVDR (Non Voting Depository             
Receipt) (Thailand)  3,595,800  1,218,640  --  --  --  -- 
Mitsubishi UFJ Financial Group, Inc. (Japan)  369  4,067,447  247  2,722,654  66  727,511 
Mizuho Financial Group, Inc. (Japan)  483  3,349,260  369  2,558,752  100  693,429 
Nara Bancorp, Inc.  28,300  450,819  21,000  334,530  --  -- 
Nordea AB (Sweden)  817,026  12,755,511  614,500  9,593,650  165,550  2,584,587 
Pacific Capital Bancorp.  49,200  1,327,416  38,800  1,046,824  8,500  229,330 
PFF Bancorp, Inc.  15,000  418,950  11,300  315,609  --  -- 
PNC Financial Services Group  43,700  3,128,046  35,900  2,569,722  12,600  901,908 
Preferred Bank  15,100  604,000  11,200  448,000  --  -- 
Royal Bank of Scotland Group PLC (United Kingdom)  399,663  5,057,694  303,069  3,835,307  81,982  1,037,474 
Societe Generale (France)  72,857  13,512,352  54,632  10,132,270  14,807  2,746,166 
Southwest Bancorp, Inc.  25,000  601,000  18,600  447,144  --  -- 
St. George Bank, Ltd. (Australia)  19,316  578,684  --  --  --  -- 
Standard Bank Investment Corp., Ltd. (South Africa)  199,863  2,780,040  --  --  --  -- 
Sterling Financial Corp.  36,200  1,047,628  29,700  859,518  10,400  300,976 
Sumitomo Mitsui Financial Group, Inc. (Japan)  175  1,633,134  132  1,231,849  36  335,959 
Susquehanna Bancshares, Inc.  28,800  644,256  23,600  527,932  8,300  185,671 
Taylor Capital Group, Inc.  18,500  509,305  13,600  374,408  --  -- 
Toronto-Dominion Bank (Canada)  10,400  713,171  --  --  --  -- 
Turkiye Garanti Bankasi AS (Turkey)  228,204  1,269,893  --  --  --  -- 
U.S. Bancorp  192,487  6,342,447  158,054  5,207,879  55,600  1,832,020 
Unibanco-Uniao de Bancos Brasileiros SA ADR (Brazil)  16,300  1,839,781  --  --  --  -- 
Union Bank of the Philippines 144A (Philippines)  217,400  291,458  --  --  --  -- 
Vineyard National Bancorp (SG) (SB)  25,410  583,668  18,900  434,133  --  -- 
VTB Bank OJSC GDR 144A (Russia) (NON) (SG)  112,400  1,234,152  --  --  --  -- 
Wachovia Corp.  146,013  7,483,166  119,815  6,140,519  42,096  2,157,420 
Washington Mutual, Inc. (SG) (SB) (SC)  217,600  9,278,464  178,600  7,615,504  62,800  2,677,792 
Wells Fargo & Co.  322,460  11,340,918  264,652  9,307,811  93,000  3,270,810 
Westpac Banking Corp. (Australia)  290,930  6,324,786  220,613  4,796,102  59,678  1,297,393 
    189,135,142    129,535,135    37,176,955 
 
Basic Materials    5.6%    4.0%    2.4% 
Arcelor Mittal (Netherlands)  208,070  13,049,870  157,659  9,888,160  43,303  2,715,906 
Balfour Beatty PLC (United Kingdom)  94,676  832,505  76,653  674,025  20,828  183,145 
BASF AG (Germany)  17,859  2,345,204  13,533  1,777,123  3,717  488,108 
BHP Billiton, Ltd. (Australia)  361,500  10,787,532  273,916  8,173,936  75,235  2,245,090 
BlueScope Steel, Ltd. (Australia)  90,031  786,891  72,892  637,092  19,806  173,109 
Builders FirstSource, Inc. (NON)  32,600  523,556  26,800  430,408  9,400  150,964 
Cameco Corp. (Canada)  7,500  381,176  --  --  --  -- 
Carpenter Technology Corp.  29,700  3,870,207  23,400  3,049,254  4,900  638,519 
Cemex SA de CV ADR (Mexico)  44,448  1,640,131  --  --  --  -- 
Ceradyne, Inc. (NON) (SG)  9,200  680,432  7,600  562,096  2,700  199,692 
CF Industries Holdings, Inc.  81,600  4,887,024  64,774  3,879,315  17,100  1,024,119 
Chaparral Steel Co.  40,300  2,896,361  33,100  2,378,897  11,600  833,692 
China Oriental Group Co., Ltd. (Hong Kong)  52,000  21,489  --  --  --  -- 
China Steel Corp. (Taiwan)  845,110  1,028,462  --  --  --  -- 
Clariant AG (Switzerland) (NON)  115,024  1,863,504  89,369  1,447,868  24,115  390,687 
Cleveland-Cliffs, Inc. (SG)  55,900  4,341,753  43,646  3,389,985  8,900  691,263 
Companhia Vale do Rio Doce (CVRD) (Preference A) ADR             
(Brazil)  61,800  2,329,860  --  --  --  -- 
Companhia Vale do Rio Doce (CVRD) ADR (Brazil) (SG)  85,372  3,803,323  --  --  --  -- 
CRH PLC (Ireland)  17,454  861,067  --  --  --  -- 
Dongkuk Steel Mill Co., Ltd. (South Korea)  32,880  1,069,045  --  --  --  -- 
Dow Chemical Co. (The) (SEG)  55,500  2,454,210  45,600  2,016,432  16,000  707,520 
Eagle Materials, Inc. (SG) (SB)  31,700  1,554,885  23,218  1,138,843  --  -- 
Fertilizantes Heringer SA 144A (Brazil) (NON)  88,270  1,050,942  --  --  --  -- 
Fletcher Building, Ltd. (New Zealand)  300,838  2,855,400  227,952  2,163,604  62,611  594,272 
FMC Corp.  44,300  3,959,977  36,400  3,253,796  12,800  1,144,192 
Formosa Chemicals & Fibre Corp. (Taiwan)  841,000  1,939,444  --  --  --  -- 
Gold Fields, Ltd. (South Africa)  27,364  428,206  --  --  --  -- 
Gold Fields, Ltd. ADR (South Africa)  63,697  1,000,043  --  --  --  -- 
Granite Construction, Inc.  31,000  1,989,580  25,400  1,630,172  8,900  571,202 
Grief, Inc. Class A  20,998  1,251,691  16,600  989,526  2,800  166,908 
H.B. Fuller Co.  32,000  956,480  23,700  708,393  --  -- 
Hecla Mining Co. (NON)  81,400  695,156  59,290  506,337  --  -- 
Hyundai Steel Co. (South Korea)  27,460  1,511,159  --  --  --  -- 
Impala Platinum Holdings, Ltd. (South Africa)  72,990  2,229,727  --  --  --  -- 
Israel Chemicals, Ltd. (Israel)  190,843  1,515,785  --  --  --  -- 
Italcementi SpA (Italy)  25,813  797,367  20,899  645,573  5,679  175,425 
JFE Holdings, Inc. (Japan)  22,600  1,406,124  17,200  1,070,147  4,900  304,868 
JM AB (Sweden)  10,600  320,425  --  --  --  -- 
Kier Group PLC (United Kingdom)  8,198  335,531  --  --  --  -- 
Koninklijke DSM NV (Netherlands)  28,391  1,398,051  22,421  1,104,072  6,366  313,479 
Koppers Holdings, Inc.  45,100  1,518,968  33,600  1,131,648  --  -- 
LG Engineering & Construction, Ltd. (South Korea)  17,220  2,058,264  --  --  --  -- 
Matsushita Electric Works, Ltd. (Japan)  61,000  780,171  46,000  588,326  13,000  166,266 
Monsanto Co.  32,400  2,188,296  26,600  1,796,564  9,400  634,876 
Neenah Paper, Inc.  19,100  788,066  15,600  643,656  5,500  226,930 
Nucor Corp.  90,100  5,284,365  74,000  4,340,100  26,000  1,524,900 
Orascom Construction Industries (OCI) (Egypt)  19,181  1,258,648  --  --  --  -- 
Packaging Corp. of America  26,100  660,591  21,400  541,634  7,500  189,825 
PAN American Silver Corp. (Canada) (NON)  24,100  634,553  17,444  459,301  --  -- 
Perini Corp. (NON)  50,100  3,082,653  41,100  2,528,883  14,400  886,032 
PPG Industries, Inc.  55,840  4,249,982  45,750  3,482,033  16,100  1,225,371 
Quanex Corp. (SB)  30,850  1,502,395  25,250  1,229,675  8,900  433,430 
Rautaruukki OYJ (Finland)  54,650  3,482,339  42,250  2,692,201  11,350  723,230 
Rayonier, Inc.  53,325  2,407,091  43,750  1,974,875  15,400  695,156 
RBC Bearings, Inc. (NON)  27,600  1,138,500  22,700  936,375  8,000  330,000 
Rinker Group, Ltd. (Australia) (SG)  151,088  2,404,859  114,572  1,823,636  30,742  489,319 
Rio Tinto PLC (United Kingdom)  9,208  703,217  --  --  --  -- 
Salzgitter AG (Germany)  4,590  887,511  --  --  --  -- 
Shin-Etsu Chemical Co. (Japan)  23,200  1,655,811  17,600  1,256,132  4,900  349,719 
Sika AG (Switzerland)  189  384,647  --  --  --  -- 
Silgan Holdings, Inc.  26,600  1,470,448  19,498  1,077,849  --  -- 
Skanska AB Class B (Sweden)  117,000  2,499,581  89,000  1,901,390  23,800  508,462 
Smurfit Kappa PLC (Ireland) (NON)  11,026  276,983  --  --  --  -- 
Smurfit Kappa PLC 144A (Ireland) (NON)  3,209  80,613  --  --  --  -- 
Southern Copper Corp. (SG) (SB) (SC)  86,286  8,133,318  70,800  6,673,608  24,900  2,347,074 
Steel Dynamics, Inc.  13,400  561,594  9,702  406,611  --  -- 
ThyssenKrupp AG (Germany)  18,000  1,072,034  13,600  809,981  3,700  220,363 
Universal Forest Products, Inc.  7,100  300,046  5,300  223,978  --  -- 
Voest-Alpine AG (Austria)  95,597  8,021,586  72,492  6,082,835  19,382  1,626,352 
    147,136,705    94,116,345    26,289,465 
 
Biotechnology    --%    --%    --% 
Basilea Pharmaceutical AG 144A (Switzerland) (NON)  797  175,180  --  --  --  -- 
 
Capital Goods    6.4%    5.1%    3.0% 
ABB, Ltd. (Switzerland)  27,681  622,850  22,412  504,292  7,040  158,407 
Actividades de Construccion y Servicios SA (Spain)  75,497  4,805,173  57,250  3,643,802  15,361  977,685 
Acuity Brands, Inc.  18,200  1,097,096  14,900  898,172  5,200  313,456 
AGCO Corp. (NON)  30,100  1,306,641  22,300  968,043  --  -- 
Alliance Global Group, Inc. 144A (Philippines)  3,085,000  392,280  --  --  --  -- 
Alstom (France) (NON)  4,813  803,750  --  --  --  -- 

American Science & Engineering, Inc. (NON) (SG) (SB)  17,500  994,875  12,740  724,269  --  -- 
Andritz AG (Austria)  53,958  3,550,336  36,743  2,417,621  10,092  664,035 
Applied Industrial Technologies, Inc. (SG) (SB)  103,090  3,041,155  80,175  2,365,163  15,400  454,300 
Argon ST, Inc. (NON)  28,000  649,880  20,188  468,563  --  -- 
Autoliv, Inc. (Sweden)  38,500  2,189,495  31,600  1,797,092  11,100  631,257 
BAE Systems PLC (United Kingdom)  178,243  1,439,719  135,783  1,096,757  39,970  322,849 
Bharat Heavy Electricals, Ltd. (India)  64,008  2,421,685  --  --  --  -- 
Boeing Co. (The) (SEG)  135,350  13,015,256  111,200  10,692,992  39,100  3,759,856 
Bouygues SA (France)  31,974  2,683,102  24,246  2,034,606  6,725  564,329 
CAE, Inc. (Canada)  42,300  565,327  --  --  --  -- 
Canon, Inc. (Japan)  88,450  5,190,320  67,000  3,931,616  18,100  1,062,123 
Cascade Corp.  15,900  1,247,196  11,800  925,592  --  -- 
China High Speed Transmission Equipment Group Co.,             
Ltd. (China) (NON) (FWC)  82,000  74,263  --  --  --  -- 
Clean Harbors, Inc. (NON)  18,200  899,444  13,328  658,670  --  -- 
Columbus McKinnon Corp. (NON)  32,100  1,033,620  23,324  751,033  --  -- 
Cookson Group PLC (United Kingdom)  104,037  1,470,997  82,158  1,161,646  23,327  329,824 
Cummins, Inc.  113,660  11,503,529  93,280  9,440,869  32,800  3,319,688 
Curtiss-Wright Corp.  17,700  824,997  12,740  593,811  --  -- 
Daelim Industrial Co. (South Korea)  8,300  1,235,102  --  --  --  -- 
Daewoo Shipbuilding & Marine Engineering Co., Ltd.             
144A (South Korea)  31,880  1,803,716  --  --  --  -- 
Daito Trust Construction Co., Ltd. (Japan)  34,700  1,647,833  9,500  451,136  2,600  123,469 
Eaton Corp.  11,600  1,078,800  9,600  892,800  3,400  316,200 
Emerson Electric Co.  110,880  5,189,184  91,000  4,258,800  32,000  1,497,600 
EnPro Industries, Inc. (NON)  38,790  1,659,824  31,900  1,365,001  11,200  479,248 
European Aeronautic Defense and Space Co. (Netherlands)  24,004  780,861  19,435  632,229  5,281  171,793 
Flow International Corp. (NON)  93,800  1,181,880  80,500  1,014,300  28,200  355,320 
Freightcar America, Inc.  70,200  3,358,368  56,200  2,688,608  15,000  717,600 
Gardner Denver, Inc. (NON)  27,200  1,157,360  19,600  833,980  --  -- 
General Cable Corp. (NON) (SB)  40,800  3,090,600  29,964  2,269,773  --  -- 
Heico Corp. (SG)  18,500  778,480  13,700  576,496  --  -- 
Herman Miller, Inc.  62,400  1,971,840  51,200  1,617,920  18,000  568,800 
Hyundai Mipo Dockyard (South Korea)  10,200  2,835,974  --  --  --  -- 
II-VI, Inc. (NON)  41,100  1,116,687  31,924  867,375  6,500  176,605 
Illinois Tool Works, Inc. (SG) (SB) (SC)  64,500  3,495,255  52,900  2,866,651  18,600  1,007,934 
Imation Corp.  16,800  619,248  12,500  460,750  --  -- 
IMI PLC (United Kingdom)  95,341  1,127,804  77,191  913,105  20,975  248,117 
Intevac, Inc. (NON)  80,200  1,705,052  61,938  1,316,802  12,100  257,246 
Legrand SA (France)  9,982  359,733  --  --  --  -- 
Leighton Holdings, Ltd. (Australia)  98,903  3,453,962  69,637  2,431,914  18,956  661,995 
Lockheed Martin Corp.  89,600  8,434,048  73,600  6,927,968  25,900  2,437,966 
Makita Corp. (Japan)  8,200  366,406  --  --  --  -- 
MAN AG (Germany)  3,976  570,633  3,013  432,424  828  118,834 
Manitowoc Co., Inc. (The)  17,100  1,374,498  14,000  1,125,320  4,900  393,862 
Matthews International Corp.  20,000  872,200  14,300  623,623  --  -- 
Moog, Inc. (NON)  50,400  2,223,144  37,008  1,632,423  --  -- 
MTU Aero Engines Holding AG (Germany)  4,584  297,871  --  --  --  -- 
Nexans SA (France)  2,004  333,428  --  --  --  -- 
Nordson Corp.  16,900  847,704  13,900  697,224  4,900  245,784 
Orbital Sciences Corp. (NON)  80,500  1,691,305  62,802  1,319,470  13,500  283,635 
Parker-Hannifin Corp.  23,900  2,340,049  19,600  1,919,036  6,900  675,579 
Pliant Corp. (NON)(F)  --  --  --  --  3  1 
Raytheon Co.  22,300  1,201,747  18,300  986,187  6,400  344,896 
Rieter Holding AG (Switzerland)  9,014  4,714,705  6,827  3,570,811  1,862  973,905 
Rofin-Sinar Technologies, Inc. (NON)  11,900  821,100  8,526  588,294  --  -- 
Sandvik AB (Sweden)  22,600  455,995  --  --  --  -- 
Schneider Electric SA (France)  5,528  775,751  --  --  --  -- 
Siemens AG (Germany)  10,228  1,471,281  --  --  --  -- 
Steelcase, Inc.  83,100  1,537,350  68,200  1,261,700  24,000  444,000 
Sumitomo Heavy Industries, Ltd. (Japan)  58,000  657,131  --  --  --  -- 
Teledyne Technologies, Inc. (NON)  22,700  1,043,065  16,562  761,024  --  -- 
Terex Corp. (NON)  94,480  7,681,224  77,534  6,303,514  27,300  2,219,490 
Thomas & Betts Corp. (NON)  70,400  4,083,200  57,800  3,352,400  20,300  1,177,400 
Tomkins PLC (United Kingdom)  156,045  810,332  126,339  656,071  34,329  178,268 
United Industrial Corp. (SG) (SB)  33,700  2,021,326  24,754  1,484,745  --  -- 
United Technologies Corp.  44,300  3,142,199  36,400  2,581,852  12,800  907,904 
USEC, Inc. (NON)  130,100  2,859,598  102,400  2,250,752  21,900  481,362 
Vinci SA (France)  64,470  4,810,873  45,532  3,397,684  12,314  918,894 
Volvo AB Class A (Sweden)  156,100  3,189,567  118,300  2,417,206  31,300  639,548 
Wabtec Corp.  64,900  2,370,797  51,300  1,873,989  12,900  471,237 
Wartsila OYJ Class B (Finland)  32,200  2,121,614  25,100  1,653,805  6,900  454,632 
WESCO International, Inc. (NON)  16,700  1,009,515  12,054  728,664  --  -- 
Zelan Berhad (Malaysia)  539,500  1,877,422  --  --  --  -- 
Zumtobel AG (Austria) (NON)  9,443  351,346  --  --  --  -- 
    169,828,973    119,078,435    32,506,933 
 
Communication Services    4.3%    3.0%    2.0% 
Adelphia Recovery Trust Ser. ACC-1 (NON)  194,250  17,483  262,238  23,601  121,406  10,927 
America Movil SA de CV ADR Ser. L (Mexico)  48,074  2,977,223  --  --  --  -- 
AT&T, Inc. (SEG)  311,819  12,940,489  255,941  10,621,552  90,024  3,735,996 
Belgacom SA (Belgium)  17,083  758,054  13,831  613,747  3,759  166,805 
Brasil Telecom SA (Preference) (Brazil)  262,570  1,919,284  --  --  --  -- 
C-COR.net Corp. (NON)  50,700  712,842  36,358  511,193  --  -- 
Carphone Warehouse Group PLC (The) (United Kingdom)             
(SG)  93,404  613,510  --  --  --  -- 
Cbeyond, Inc. (NON) (SG) (SB)  56,900  2,191,219  46,400  1,786,864  16,400  631,564 
Centennial Communications Corp. (NON)  69,100  655,759  49,686  471,520  --  -- 
China Mobile, Ltd. (Hong Kong)  137,000  1,475,905  --  --  --  -- 
China Netcom Group Corp., Ltd. (Hong Kong)  456,000  1,263,579  --  --  --  -- 
Chunghwa Telecom Co., Ltd. (Taiwan)  694,000  1,323,069  --  --  --  -- 
Comcast Corp. Class A (NON) (SG) (SB)  90,450  2,543,454  74,300  2,089,316  26,100  733,932 
Comstar United Telesystems GDR (Russia)  202,351  1,862,699  --  --  --  -- 
CT Communications, Inc.  58,900  1,797,039  48,400  1,476,684  17,000  518,670 
Deutsche Telekom AG (Germany)  32,202  595,738  26,099  482,832  7,089  131,147 
Deutsche Telekom AG ADR (Germany) (SB)  56,066  1,032,175  45,432  836,403  12,364  227,621 
DirecTV Group, Inc. (The) (NON)  138,900  3,209,979  113,900  2,632,229  40,100  926,711 
Earthlink, Inc. (NON) (SB)  59,861  447,162  49,133  367,024  17,273  129,029 
Echostar Communications Corp. Class A (NON)  43,000  1,864,910  35,400  1,535,298  12,400  537,788 
Embarq Corp.  21,619  1,369,996  17,746  1,124,564  6,275  397,647 
France Telecom SA (France)  46,396  1,275,186  37,391  1,027,685  11,234  308,765 
Globe Telecom, Inc. (Philippines)  49,170  1,440,126  --  --  --  -- 
Golden Telecom, Inc. (Russia) (SG) (SB)  22,900  1,259,729  18,800  1,034,188  6,600  363,066 
InterDigital Communications Corp. (NON) (SB)  132,700  4,268,959  106,870  3,438,008  31,900  1,026,223 
KDDI Corp. (Japan)  1,592  11,794,623  1,206  8,934,872  331  2,452,274 
Koninklijke (Royal) KPN NV (Netherlands)  208,739  3,467,517  140,159  2,328,284  37,330  620,116 
Liberty Global, Inc. Class A (NON)  75,500  3,098,520  62,000  2,544,480  21,800  894,672 
Mobile Telesystems ADR (Russia)  50,350  3,049,700  --  --  --  -- 
Nice Systems, Ltd. ADR (Israel) (NON)  24,500  851,130  17,542  609,409  --  -- 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  737  3,277,929  561  2,495,140  150  667,150 
NTT DoCoMo, Inc. (Japan)  638  1,008,994  517  817,633  141  222,991 
Premiere Global Services, Inc. (NON)  75,500  983,010  54,978  715,814  --  -- 
PT Telekomunikasi (Indonesia)  2,107,000  2,279,372  --  --  --  -- 
Rogers Communications Class B (Canada)  11,900  508,704  --  --  --  -- 
SAVVIS, Inc. (NON)  21,700  1,074,367  15,778  781,169  --  -- 
Sprint Nextel Corp.  409,080  8,472,047  335,820  6,954,832  118,100  2,445,851 
Syniverse Holdings, Inc. (NON)  52,800  679,008  38,024  488,989  --  -- 
Telecom Corp. of New Zealand, Ltd. (New Zealand)  721,100  2,524,107  546,300  1,912,245  150,170  525,649 
Telecom Egypt (Egypt)  531,225  1,644,545  --  --  --  -- 
Telefonica SA (Spain)  103,492  2,305,590  66,885  1,490,061  18,116  403,587 
Telekom Austria AG (Austria)  15,127  376,523  12,248  304,863  3,519  87,591 
Turkcell Iletisim Hizmet AS (Turkey)  233,524  1,567,957  --  --  --  -- 
USA Mobility, Inc. (NON)  31,400  840,264  25,700  687,732  9,000  240,840 
Verizon Communications, Inc.  276,076  11,366,049  226,553  9,327,187  79,700  3,281,249 
Windstream Corp.  81,600  1,204,416  66,900  987,444  23,500  346,860 
    112,189,940    71,452,862    22,034,721 
 
Communications Equipment    1.3%    1.2%    0.8% 
Arris Group, Inc. (NON)  7,500  131,925  6,100  107,299  2,200  38,698 
Cisco Systems, Inc. (NON) (SEG)  616,990  17,183,172  506,476  14,105,357  178,000  4,957,300 
Coinstar, Inc. (NON)  59,500  1,873,060  48,800  1,536,224  17,200  541,456 
CommScope, Inc. (NON)  24,800  1,447,080  18,600  1,085,310  --  -- 
F5 Networks, Inc. (NON)  8,300  668,980  5,880  473,928  --  -- 
Nokia OYJ (Finland)  357,760  10,057,133  245,114  6,890,497  66,512  1,869,745 
Qualcomm, Inc.  63,870  2,771,319  52,400  2,273,636  18,400  798,376 
Telefonaktiebolaget LM Ericsson AB Class B (Sweden)  281,692  1,124,369  237,027  946,089  71,539  285,547 
    35,257,038    27,418,340    8,491,122 
 
Computers    2.7%    2.3%    1.4% 
Acme Packet, Inc. (NON) (SG) (SB)  75,900  872,091  54,684  628,319  --  -- 
Actuate Corp. (NON)  72,300  490,917  53,200  361,228  --  -- 
Anixter International, Inc. (NON)  12,000  902,520  8,624  648,611  --  -- 
ANSYS, Inc. (NON) (SG) (SB)  75,200  1,992,800  55,036  1,458,454  --  -- 
Apple Computer, Inc. (NON)  8,100  988,524  6,700  817,668  2,400  292,896 
Atheros Communications (NON) (SG)  20,300  626,052  14,602  450,326  --  -- 
Bematech Industria e Comercio de Equipamentos (Brazil)             
(NON)  29,200  272,671  --  --  --  -- 
Bematech Industria e Comercio de Equipamentos             
Electronicos SA 144A (Brazil) (NON)  48,500  452,895  --  --  --  -- 
Blackbaud, Inc.  42,300  933,984  30,968  683,773  --  -- 
Brocade Communications Systems, Inc. (NON)  378,500  2,959,870  305,600  2,389,792  93,000  727,260 
Compuware Corp. (NON)  134,300  1,592,798  110,300  1,308,158  38,800  460,168 
Emulex Corp. (NON)  32,100  701,064  23,800  519,792  --  -- 
EPIQ Systems, Inc. (NON)  44,100  712,656  32,500  525,200  --  -- 
Fujitsu, Ltd. (Japan)  105,000  773,700  85,000  626,329  23,000  169,477 
Hewlett-Packard Co.  353,400  15,768,708  290,000  12,939,800  102,000  4,551,240 
Hitachi, Ltd. (Japan)  733,000  5,186,309  555,000  3,926,878  153,000  1,082,545 
IBM Corp. (SG) (SB) (SC)  146,940  15,465,435  120,600  12,693,150  42,400  4,462,600 

Lexmark International, Inc. Class A (NON)  36,700  1,809,677  30,100  1,484,231  10,600  522,686 
Mitsubishi Electric Corp. (Japan)  150,000  1,389,971  110,000  1,019,312  32,000  296,527 
Polycom, Inc. (NON)  101,700  3,417,120  79,504  2,671,334  17,700  594,720 
RealNetworks, Inc. (NON)  393,900  3,218,163  323,300  2,641,361  113,600  928,112 
Silicon Storage Technology, Inc. (NON)  237,900  887,367  185,200  690,796  31,600  117,868 
Smart Modular Technologies WWH, Inc. (NON)  48,000  660,480  35,400  487,104  --  -- 
Smith Micro Software, Inc. (NON) (SG) (SB) (SC)  44,600  671,676  36,600  551,196  12,900  194,274 
SPSS, Inc. (NON)  55,400  2,445,356  43,408  1,916,029  10,200  450,228 
Vasco Data Security International, Inc. (NON) (SG) (SB)  49,500  1,126,620  35,770  814,125  --  -- 
Verint Systems, Inc. (NON)  18,400  575,920  13,132  411,032  --  -- 
Wincor Nixdorf AG (Germany)  3,949  366,633  --  --  --  -- 
Wistron Corp. (Taiwan)  1,304,446  2,436,503  --  --  --  -- 
Xyratex, Ltd. (Bermuda) (NON)  34,800  773,604  24,794  551,171  --  -- 
    70,472,084    53,215,169    14,850,601 
 
Conglomerates    1.2%    1.0%    0.7% 
3M Co.  67,420  5,851,382  55,410  4,809,034  19,500  1,692,405 
AMETEK, Inc.  13,250  525,760  9,408  373,309  --  -- 
Ansell, Ltd. (Australia)  120,978  1,248,119  97,947  1,010,511  30,762  317,369 
General Electric Co. (SEG)  119,680  4,581,350  98,178  3,758,254  34,500  1,320,660 
Honeywell International, Inc.  28,100  1,581,468  23,000  1,294,440  8,100  455,868 
Itochu Corp. (Japan)  403,000  4,671,973  306,000  3,547,453  82,000  950,625 
Swire Pacific, Ltd. (Hong Kong)  743,500  8,294,316  563,500  6,286,277  154,500  1,723,567 
Vivendi SA (France)  101,398  4,365,028  76,891  3,310,040  20,800  895,408 
    31,119,396    24,389,318    7,355,902 
 
Consumer Cyclicals    9.5%    7.7%    4.3% 
Aaron Rents, Inc. (SB)  78,400  2,289,280  64,300  1,877,560  22,600  659,920 
ABM Industries, Inc.  28,600  738,166  20,800  536,848  --  -- 
Adidas-Salomon AG (Germany)  11,448  723,303  9,269  585,630  2,800  176,908 
Advance America Cash Advance Centers, Inc.  68,700  1,218,738  50,434  894,699  --  -- 
Aegis Group PLC (United Kingdom)  391,382  1,069,195  316,874  865,651  100,148  273,589 
Aeropostale, Inc. (NON)  45,900  1,913,112  34,754  1,448,547  4,500  187,560 
Aisin Seiki Co., Ltd. (Japan)  50,600  1,859,760  39,400  1,448,113  10,500  385,918 
American Eagle Outfitters, Inc. (SEG)  194,790  4,998,311  159,910  4,103,291  56,200  1,442,092 
American Woodmark Corp. (SG)  51,100  1,768,060  41,900  1,449,740  14,700  508,620 
Ameristar Casinos, Inc.  21,300  739,962  17,500  607,950  6,100  211,914 
Arbitron, Inc.  17,100  881,163  12,250  631,243  --  -- 
Aristocrat Leisure, Ltd. (Australia)  28,422  345,418  --  --  --  -- 
Astral Media, Inc. (Canada)  7,000  278,353  --  --  --  -- 
Berkeley Group Holdings PLC (United Kingdom) (NON)  141,850  5,047,896  107,565  3,827,825  28,955  1,030,397 
Blue Nile, Inc. (NON) (SG) (SB)  26,900  1,624,760  19,698  1,189,759  --  -- 
British Sky Broadcasting PLC (United Kingdom)  197,941  2,535,789  118,966  1,524,054  32,222  412,791 
Brown Shoe Co., Inc.  24,000  583,680  17,248  419,471  --  -- 
Buckle, Inc. (The)  71,221  2,806,107  55,031  2,168,221  9,221  363,307 
Canadian Tire Corp., Ltd. Class A (Canada)  5,200  411,351  --  --  --  -- 
Casey's General Stores, Inc.  12,800  348,928  10,500  286,230  3,700  100,862 
Cash America International, Inc.  16,400  650,260  11,900  471,835  --  -- 
Charlotte Russe Holding, Inc. (NON)  140,400  3,772,548  113,508  3,049,960  34,900  937,763 
Citadel Broadcasting Corp.  78,355  505,390  64,316  414,838  22,549  145,441 
Compagnie Generale des Establissements Michelin             
Class B (France)  3,680  514,474  --  --  --  -- 
Compass Group PLC (United Kingdom)  54,451  376,391  --  --  --  -- 
Consolidated Graphics, Inc. (NON)  36,500  2,528,720  28,800  1,995,264  6,100  422,608 
Continental AG (Germany)  2,863  403,628  2,170  305,928  596  84,024 
CTC Media, Inc. (Russia) (NON)  46,300  1,256,582  37,900  1,028,606  13,300  360,962 
Daily Mail and General Trust Class A (United Kingdom)  88,909  1,360,229  67,605  1,034,296  19,194  293,651 
Davis Service Group PLC (United Kingdom)  90,155  1,122,088  72,992  908,473  20,704  257,686 
De La Rue PLC (United Kingdom)  22,821  355,051  --  --  --  -- 
Deckers Outdoor Corp. (NON)  50,300  5,075,270  38,838  3,918,754  6,300  635,670 
Desarrolladora Homex SA de CV (Mexico) (NON)  45,500  457,528  --  --  --  -- 
Desarrolladora Homex SA de CV ADR (Mexico) (NON)  27,500  1,666,225  --  --  --  -- 
Dillards, Inc. Class A  106,800  3,837,324  84,400  3,032,492  25,300  909,029 
Dolby Laboratories, Inc. Class A (NON)  36,600  1,296,006  30,100  1,065,841  10,600  375,346 
Dollar Tree Stores, Inc. (NON)  82,600  3,597,230  67,800  2,952,690  23,800  1,036,490 
Dongfeng Motor Group Co., Ltd. (China)  3,204,000  1,705,449  --  --  --  -- 
Douglas Holding AG (Germany)  3,820  248,943  --  --  --  -- 
Dress Barn, Inc. (NON) (SG) (SB)  37,400  767,448  27,716  568,732  1,400  28,728 
DSW, Inc. Class A (NON) (SG) (SB)  44,700  1,556,454  32,650  1,136,873  --  -- 
EMAP PLC (United Kingdom)  50,696  829,995  41,045  671,989  12,195  199,657 
Experian Group, Ltd. (Ireland)  125,176  1,576,933  66,814  841,704  18,126  228,346 
EZCORP, Inc. Class A (NON)  115,400  1,527,896  90,816  1,202,404  21,900  289,956 
Family Dollar Stores, Inc. (SG) (SB)  61,200  2,100,384  50,200  1,722,864  17,600  604,032 
Fiat SpA (Italy)  208,553  6,204,753  158,146  4,705,072  42,236  1,256,582 
First Choice Holidays PLC (United Kingdom)  203,986  1,296,963  154,949  985,181  43,950  279,438 
General Motors Corp. (SG) (SB)  68,500  2,589,300  56,200  2,124,360  19,800  748,440 
Genlyte Group, Inc. (The) (NON)  27,700  2,175,558  21,738  1,707,303  4,800  376,992 
Genting Berhad (Malaysia)  798,100  1,909,145  --  --  --  -- 
Gildan Activewear, Inc. (Canada) (NON)  14,700  503,190  --  --  --  -- 
Greek Organization of Football Prognostics (OPAP) SA             
(Greece)  2  71  --  --  --  -- 
Gymboree Corp. (The) (NON)  40,000  1,576,400  31,462  1,239,917  7,000  275,870 
Hankook Tire Co., Ltd. (South Korea)  119,270  2,138,281  --  --  --  -- 
Hasbro, Inc.  51,700  1,623,897  42,400  1,331,784  14,900  468,009 
Hennes & Mauritz AB Class B (Sweden)  6,600  390,314  --  --  --  -- 
Home Retail Group (United Kingdom)  79,369  729,794  64,260  590,867  18,126  166,668 
Industria de Diseno Textil (Inditex) SA (Spain)  54,048  3,178,934  40,986  2,410,668  10,998  646,868 
infoUSA, Inc.  65,200  666,344  47,900  489,538  --  -- 
inVentiv Health, Inc. (NON)  27,100  992,131  19,894  728,319  --  -- 
Jackson Hewitt Tax Service, Inc.  102,800  2,889,708  84,400  2,372,484  29,700  834,867 
Jakks Pacific, Inc. (NON)  38,800  1,091,832  28,352  797,825  --  -- 
JC Penney Co., Inc. (Holding Co.)  40,900  2,960,342  33,600  2,431,968  11,800  854,084 
Jos. A. Bank Clothiers, Inc. (NON) (SG) (SB)  26,500  1,098,955  19,400  804,518  --  -- 
Journal Communications, Inc. Class A  77,500  1,008,275  56,400  733,764  --  -- 
K-Swiss, Inc. Class A  18,900  535,437  13,818  391,464  --  -- 
Kimball International, Inc. Class B  61,400  860,214  50,400  706,104  17,700  247,977 
Kohl's Corp. (NON)  39,500  2,805,685  32,500  2,308,475  11,400  809,742 
Kuoni Reisen Holding AG (Switzerland)  1,644  986,609  1,246  747,759  343  205,844 
Lamson & Sessions Co. (The) (NON) (SG)  53,100  1,410,867  38,478  1,022,360  --  -- 
Landauer, Inc.  16,600  817,550  12,300  605,775  --  -- 
Lewis Group, Ltd. (South Africa)  188,251  1,641,174  --  --  --  -- 
Lodgenet Entertainment Corp. (NON) (SG)  67,300  2,157,638  53,266  1,707,708  13,000  416,780 
Macrovision Corp. (NON) (SG) (SB)  37,600  1,130,256  27,342  821,901  --  -- 
Maidenform Brands, Inc. (NON)  55,100  1,094,286  40,082  796,029  --  -- 
Manpower, Inc. (SG) (SB)  14,700  1,355,928  12,100  1,116,104  4,300  396,632 
Marks & Spencer Group PLC (United Kingdom)  256,258  3,214,987  194,322  2,437,944  52,387  657,242 
Marvel Entertainment, Inc. (NON) (SG) (SB)  28,100  715,988  20,384  519,384  --  -- 
Matsushita Electric Industrial Co., Ltd. (Japan)  167,000  3,310,817  127,000  2,517,807  34,000  674,058 
Mattel, Inc.  154,000  3,894,660  126,400  3,196,656  44,400  1,122,876 
McGraw-Hill Cos., Inc. (The)  150,700  10,259,656  123,700  8,421,496  43,500  2,961,480 
Mediaset SpA (Italy)  59,635  616,372  48,283  499,040  13,120  135,605 
Men's Wearhouse, Inc. (The)  24,850  1,269,090  18,650  952,456  --  -- 
Monarch Casino & Resort, Inc. (NON)  29,200  784,020  21,266  570,992  --  -- 
Morningstar, Inc. (NON)  18,000  846,450  13,132  617,532  --  -- 
NBTY, Inc. (NON)  47,000  2,030,400  38,500  1,663,200  13,500  583,200 
Next PLC (United Kingdom)  67,594  2,715,394  51,258  2,059,142  13,754  552,527 
NIKE, Inc. Class B  26,500  1,544,685  21,700  1,264,893  7,600  443,004 
Nordstrom, Inc.  200,100  10,229,112  164,180  8,392,882  57,700  2,949,624 
Omnicom Group, Inc.  34,200  1,809,864  28,000  1,481,760  9,800  518,616 
Pantry, Inc. (The) (NON)  18,700  862,070  13,622  627,974  --  -- 
Payless ShoeSource, Inc. (NON)  24,200  763,510  17,800  561,590  --  -- 
Perry Ellis International, Inc. (NON)  70,300  2,261,551  55,750  1,793,478  12,400  398,908 
Phillips-Van Heusen Corp.  75,900  4,597,263  57,636  3,491,013  6,500  393,705 
Piaggio & C. SpA (Italy)  101,657  504,622  --  --  --  -- 
Piaggio & C. SpA 144A (Italy)  8,632  42,849  --  --  --  -- 
PRA International (NON)  34,000  860,200  24,598  622,329  --  -- 
Praktiker Bau- und Heimwerkermaerkte AG (Germany)  7,118  288,627  --  --  --  -- 
RC2 Corp. (NON)  13,800  552,138  10,300  412,103  --  -- 
Regis Corp.  18,600  711,450  13,400  512,550  --  -- 
S.A. D'Ieteren NV (Belgium)  2,147  959,239  1,739  776,952  473  211,327 
Sherwin-Williams Co. (The)  67,700  4,500,019  55,600  3,695,732  19,500  1,296,165 
SIG PLC (United Kingdom)  22,995  608,680  --  --  --  -- 
Sixt AG (Germany)  5,000  306,375  --  --  --  -- 
Skechers U.S.A., Inc. Class A (NON)  59,640  1,741,488  49,000  1,430,800  17,200  502,240 
Snap-On, Inc.  27,400  1,383,974  22,500  1,136,475  7,900  399,029 
Sodexho Alliance SA (France)  10,892  778,825  --  --  --  -- 
Sony Corp. (Japan)  65,200  3,350,058  44,600  2,291,604  12,100  621,713 
Sotheby's Holdings, Inc. Class A  16,400  754,728  11,956  550,215  --  -- 
Standard Parking Corp. (NON)  19,800  695,574  14,406  506,083  --  -- 
Stanley Furniture Co., Inc. (SG) (SB)  34,400  706,576  25,300  519,662  --  -- 
Stella International Holdings, Ltd. 144A (China) (NON)  103,500  204,930  --  --  --  -- 
Steven Madden, Ltd.  104,900  3,436,524  83,228  2,726,549  20,300  665,028 
Suzuki Motor Corp. (Japan)  23,600  670,266  --  --  --  -- 
Target Corp. (SG) (SC)  114,300  7,269,480  93,800  5,965,680  33,000  2,098,800 
TeleTech Holdings, Inc. (NON)  25,200  818,496  18,130  588,862  --  -- 
Tempur-Pedic International, Inc. (SG) (SB)  57,500  1,489,250  41,944  1,086,350  --  -- 
TJX Cos., Inc. (The)  39,300  1,080,750  32,300  888,250  11,300  310,750 
Toray Industries, Inc. (Japan)  52,000  384,438  --  --  --  -- 
Toro Co. (The)  35,700  2,102,373  26,310  1,549,396  --  -- 
Town Sports International Holdings, Inc. (NON)  37,100  716,772  26,656  514,994  --  -- 
Toyota Motor Corp. (Japan)  10,100  636,879  8,200  517,070  2,200  138,726 
True Religion Apparel, Inc. (NON) (SG) (SB)  25,200  512,316  18,326  372,568  --  -- 
Truworths International, Ltd. (South Africa)  207,298  1,068,454  --  --  --  -- 
Tupperware Brands Corp.  35,400  1,017,396  25,676  737,928  --  -- 
United Business Media PLC (United Kingdom)  35,893  565,723  29,060  458,025  8,349  131,592 
URS Corp. (NON)  10,100  490,355  7,500  364,125  --  -- 
Valeo SA (France)  62,635  3,356,062  47,459  2,542,913  13,035  698,432 
Volkswagon AG (Germany)  9,553  1,524,767  7,239  1,155,427  1,988  317,307 
Volkswagen AG (Preference) (Germany)  5,618  585,083  4,256  443,239  1,169  121,745 

Volt Information Sciences, Inc. (NON) (SB)  58,800  1,084,272  48,250  889,730  16,950  312,558 
Wal-Mart de Mexico SA de CV Ser. V (Mexico)  687,920  2,611,548  --  --  --  -- 
Wal-Mart Stores, Inc.  201,650  9,701,382  165,532  7,963,745  58,200  2,800,002 
Walt Disney Co. (The)  128,727  4,394,740  105,689  3,608,222  37,100  1,266,594 
Warnaco Group, Inc. (The) (NON)  36,600  1,439,844  27,200  1,070,048  --  -- 
Watson Wyatt Worldwide, Inc. Class A  23,500  1,186,280  17,400  878,352  --  -- 
Wiley (John) & Sons, Inc. Class A  30,800  1,487,332  25,300  1,221,737  8,900  429,781 
William Hill PLC (United Kingdom)  426,332  5,221,248  323,288  3,959,278  87,153  1,067,355 
Wolverine World Wide, Inc.  48,200  1,335,622  35,086  972,233  --  -- 
Yamaha Motor Co., Ltd. (Japan)  123,000  3,560,049  93,200  2,697,533  25,100  726,482 
    251,513,551    180,561,620    46,054,531 
 
Consumer Finance    0.5%    0.4%    0.2% 
Asta Funding, Inc. (SG) (SB) (SC)  67,000  2,574,810  51,408  1,975,609  7,600  292,068 
Capital Trust, Inc. Class A (R)  45,805  1,563,783  36,700  1,252,938  9,800  334,572 
Credit Saison Co., Ltd. (Japan)  64,700  1,668,576  49,000  1,263,682  13,500  348,157 
Diamond Lease Co., Ltd. (Japan)  17,500  785,509  13,700  614,941  3,500  157,102 
First Marblehead Corp. (The) (SG) (SB) (SC)  41,300  1,595,832  34,000  1,313,760  11,900  459,816 
Housing Development Finance Corp. (India)  22,531  1,125,645  --  --  --  -- 
Ocwen Financial Corp. (NON) (SG) (SB)  103,692  1,382,214  85,174  1,135,369  29,915  398,767 
World Acceptance Corp. (NON)  38,599  1,649,335  28,786  1,230,026  --  -- 
    12,345,704    8,786,325    1,990,482 
 
Consumer Staples    7.4%    6.2%    3.9% 
Alberto-Culver Co.  130,600  3,097,832  99,842  2,368,252  15,000  355,800 
Alliance One International, Inc. (NON)  57,453  577,403  47,152  473,878  16,580  166,629 
Altria Group, Inc. (SEG)  159,630  11,196,448  131,034  9,190,725  46,100  3,233,454 
Autogrill SpA (Italy)  119,264  2,527,610  90,439  1,916,710  24,276  514,491 
Avon Products, Inc.  48,800  1,793,400  40,000  1,470,000  14,100  518,175 
BAT Industries PLC (United Kingdom)  85,115  2,893,962  64,519  2,193,685  17,482  594,399 
BJ's Wholesale Club, Inc. (NON)  22,200  799,866  16,400  590,892  --  -- 
Brinker International, Inc.  56,000  1,639,120  45,950  1,344,957  16,150  472,711 
Campbell Soup Co.  20,100  780,081  16,400  636,484  5,800  225,098 
CBRL Group, Inc.  50,200  2,132,496  41,200  1,750,176  14,500  615,960 
CEC Entertainment, Inc. (NON)  62,800  2,210,560  50,100  1,763,520  12,600  443,520 
Chattem, Inc. (NON) (SG) (SB)  18,000  1,140,840  13,132  832,306  --  -- 
CKE Restaurants, Inc.  32,300  648,261  23,324  468,113  --  -- 
Coca-Cola Co. (The)  28,500  1,490,835  23,400  1,224,054  8,200  428,942 
Coca-Cola Hellenic Bottling Co., SA (Greece)  8,030  369,180  --  --  --  -- 
Colgate-Palmolive Co.  31,600  2,049,260  26,000  1,686,100  9,100  590,135 
Colruyt SA (Belgium)  3,510  733,025  2,842  593,520  773  161,432 
Darden Restaurants, Inc.  42,570  1,872,654  34,910  1,535,691  12,300  541,077 
Domino's Pizza, Inc.  61,700  1,127,259  45,256  826,827  --  -- 
Estee Lauder Cos., Inc. (The) Class A  62,300  2,835,273  51,200  2,330,112  18,000  819,180 
Flowers Foods, Inc.  32,100  1,070,856  25,000  834,000  4,100  136,776 
General Mills, Inc. (SB)  65,300  3,814,826  53,600  3,131,312  18,800  1,098,296 
Heidrick & Struggles International, Inc. (NON)  77,700  3,981,348  60,952  3,123,180  13,100  671,244 
Heineken NV (Netherlands)  200,813  11,792,686  152,161  8,935,611  41,794  2,454,341 
Hite Brewery Co., Ltd. (South Korea)  11,430  1,483,370  --  --  --  -- 
Ihop Corp. (SB)  10,700  582,401  7,840  426,731  --  -- 
Imperial Sugar Co. (SG) (SB) (SC)  81,200  2,500,148  66,600  2,050,614  23,400  720,486 
InBev NV (Belgium)  141,263  11,226,483  100,383  7,977,659  27,571  2,191,128 
Inchcape PLC (United Kingdom)  512,682  5,105,505  388,769  3,871,527  105,170  1,047,327 
Ingles Markets, Inc. Class A  6,100  210,145  4,700  161,915  --  -- 
ITT Educational Services, Inc. (NON)  5,300  622,114  4,300  504,734  1,500  176,070 
Jack in the Box, Inc. (NON)  55,979  3,971,150  44,600  3,163,924  11,200  794,528 
Japan Tobacco, Inc. (Japan)  1,505  7,426,693  1,104  5,447,887  301  1,485,339 
Jardine Cycle & Carriage, Ltd. (Singapore)  120,000  1,231,200  91,000  933,913  25,000  256,500 
Jeronimo Martins, SGPS, SA (Portugal)  84,815  500,304  --  --  --  -- 
Koninklijke Ahold NV (Netherlands) (NON)  44,792  562,118  36,265  455,108  10,420  130,766 
Korn/Ferry International (NON)  56,500  1,483,690  46,300  1,215,838  16,300  428,038 
Kroger Co.  130,300  3,665,339  107,000  3,009,910  37,600  1,057,688 
Labor Ready, Inc. (NON)  119,200  2,754,712  94,298  2,179,227  24,500  566,195 
Longs Drug Stores Corp.  75,800  3,981,016  58,134  3,053,198  8,500  446,420 
Mannatech, Inc. (SG) (SB) (SC)  80,100  1,272,789  65,700  1,043,973  23,100  367,059 
Marfig Frigorificos e Comercio de Aliementos SA             
(Brazil) (NON)  80,900  768,550  --  --  --  -- 
Marfig Frigorificos e Comercio de Aliementos SA 144A             
(Brazil) (NON)  53,380  507,049  --  --  --  -- 
Marubeni Corp. (Japan)  199,000  1,638,460  151,000  1,243,254  47,000  386,973 
McDonald's Corp.  30,800  1,563,408  25,300  1,284,228  8,900  451,764 
Meiji Dairies Corp. (Japan)  523,000  3,331,707  396,000  2,522,669  106,000  675,260 
MGP Ingredients, Inc. (SG) (SB) (SC)  54,900  927,810  45,100  762,190  15,800  267,020 
Molson Coors Brewing Co. Class B  24,300  2,246,778  19,900  1,839,954  7,000  647,220 
Nash Finch Co. (SG) (SB)  80,730  3,996,135  62,978  3,117,411  12,200  603,900 
Nestle SA (Switzerland)  1,665  631,638  --  --  --  -- 
New Oriental Education & Technology Group ADR (China)             
(NON)  7,100  381,412  --  --  --  -- 
Nutri/System, Inc. (NON) (SG) (SB)  9,300  649,512  6,664  465,414  --  -- 
Olam International, Ltd. (Singapore)  132,000  265,898  --  --  --  -- 
Olam International, Ltd. 144A (Singapore)  49,000  98,705  --  --  --  -- 
Oriflame Cosmetics SA SDR (Luxembourg)  49,700  2,332,950  37,650  1,767,315  10,350  485,836 
Papa John's International, Inc. (NON)  49,400  1,420,744  39,060  1,123,366  9,600  276,096 
PepsiCo, Inc.  43,300  2,808,005  35,500  2,302,175  12,500  810,625 
Pernod-Ricard SA (France)  1,629  359,912  --  --  --  -- 
Prestige Brands Holdings, Inc. (NON)  99,300  1,288,914  73,000  947,540  --  -- 
Procter & Gamble Co. (The)  27,780  1,699,858  22,790  1,394,520  8,000  489,520 
Ralcorp Holdings, Inc. (NON)  18,500  988,825  15,100  807,095  5,300  283,285 
Reckitt Benckiser PLC (United Kingdom)  35,505  1,944,113  --  --  --  -- 
Reynolds American, Inc. (SG) (SB)  137,200  8,945,440  112,500  7,335,000  39,600  2,581,920 
Robert Half International, Inc.  52,000  1,898,000  42,600  1,554,900  15,000  547,500 
Ruby Tuesday, Inc. (SG) (SB) (SC)  50,700  1,334,931  41,600  1,095,328  14,600  384,418 
Safeway, Inc. (SG)  270,500  9,205,115  222,000  7,554,660  78,000  2,654,340 
Samsung Corp. (South Korea)  31,360  1,538,890  --  --  --  -- 
Seaboard Corp.  545  1,278,025  435  1,020,075  40  93,800 
Sinclair Broadcast Group, Inc. Class A  136,400  1,939,608  106,200  1,510,164  18,200  258,804 
Sonic Corp. (NON) (SB)  43,500  962,220  35,800  791,896  12,600  278,712 
Spartan Stores, Inc.  31,000  1,020,210  22,900  753,639  --  -- 
Time Warner Cable, Inc. Class A (NON)  675  26,440  912  35,723  422  16,530 
Time Warner, Inc.  360,720  7,589,549  296,123  6,230,428  104,100  2,190,264 
Toyo Suisan Kaisha, Ltd. (Japan)  176,000  3,171,860  134,000  2,414,939  35,000  630,768 
Uni-Charm Corp. (Japan)  5,400  306,383  --  --  --  -- 
Unilever NV (Netherlands)  46,970  1,460,007  21,112  656,242  5,737  178,328 
Universal Corp.  21,100  1,285,412  17,300  1,053,916  6,100  371,612 
UST, Inc. (SG) (SB) (SC)  49,510  2,659,182  40,600  2,180,626  14,300  768,053 
VFB, LLC (RES)(NON)(F)  --  --  --  --  254,213  5,259 
Woolworths, Ltd. (Australia)  335,347  7,659,777  242,669  5,542,887  65,643  1,499,374 
Yum! Brands, Inc.  66,120  2,163,446  54,320  1,777,350  19,200  628,224 
    195,449,136    145,801,167    42,174,609 
 
Electronics    1.9%    1.1%    0.7% 
ALPS Electric Co., Ltd. (Japan)  133,700  1,333,030  98,000  977,090  27,100  270,195 
Ansoft Corp. (NON)  67,700  1,996,473  53,604  1,580,782  13,800  406,962 
AU Optronics Corp. (Taiwan)  1,652,000  2,826,950  --  --  --  -- 
Diodes, Inc. (NON)  16,000  668,320  11,711  489,168  --  -- 
FEI Co. (NON)  66,200  2,148,852  54,300  1,762,578  19,100  619,986 
Hon Hai Precision Industry Co., Ltd. (Taiwan)  296,520  2,561,326  --  --  --  -- 
Hoya Corp. (Japan)  6,500  215,748  --  --  --  -- 
Infineon Technologies AG (Germany) (NON)  25,856  429,784  19,592  325,663  5,382  89,461 
Intel Corp. (SEG)  207,130  4,921,409  170,026  4,039,818  59,800  1,420,848 
Itron, Inc. (NON) (SG) (SB)  14,600  1,137,924  10,780  840,193  --  -- 
Komag, Inc. (NON) (SG) (SB) (SC)  27,900  889,731  22,900  730,281  8,100  258,309 
Littelfuse, Inc. (NON) (SG) (SB)  36,100  1,219,097  29,600  999,592  10,400  351,208 
Media Tek, Inc. (Taiwan)  48,000  747,589  --  --  --  -- 
Mitsumi Electric Co., Ltd. (Japan)  17,000  607,624  --  --  --  -- 
Motorola, Inc. (SG) (SB) (SC)  186,340  3,298,218  153,016  2,708,383  53,800  952,260 
National Semiconductor Corp.  67,100  1,896,917  55,100  1,557,677  19,400  548,438 
NEC Corp. (Japan) (SG) (SB)  47,000  243,297  38,000  196,708  11,000  56,942 
Nippon Electric Glass Co., Ltd. (Japan)  16,000  282,243  --  --  --  -- 
Omron Corp. (Japan)  56,200  1,477,455  35,800  941,154  10,500  276,037 
Park Electrochemical Corp.  13,300  374,794  9,900  278,982  --  -- 
Perlos OYJ (Finland) (NON)  31,100  171,034  --  --  --  -- 
RF Micro Devices, Inc. (NON) (SG) (SB)  414,600  2,587,104  317,398  1,980,564  50,400  314,496 
Rotork PLC (United Kingdom)  20,119  367,053  --  --  --  -- 
Samsung Electronics Co., Ltd. (South Korea)  10,926  6,681,591  --  --  --  -- 
Samsung Electronics Co., Ltd. (Preference) (South             
Korea)  1,455  680,980  --  --  --  -- 
Samsung Electronics Co., Ltd. GDR (South Korea)  806  248,417  --  --  --  -- 
Shinko Electric Industries (Japan)  31,700  681,064  --  --  --  -- 
Texas Instruments, Inc.  21,100  793,993  17,300  650,999  6,100  229,543 
Toshiba Corp. (Japan)  532,000  4,642,059  371,000  3,237,226  99,000  863,842 
TTM Technologies, Inc. (NON)  88,200  1,146,600  65,162  847,106  --  -- 
Varian, Inc. (NON)  38,500  2,110,955  31,600  1,732,628  11,100  608,613 
    49,387,631    25,876,592    7,267,140 
 
Energy    7.1%    5.1%    3.3% 
Alon USA Energy, Inc.  31,800  1,399,518  23,492  1,033,883  --  -- 
Basic Energy Services, Inc. (NON) (SG) (SB)  39,400  1,007,458  32,400  828,468  11,400  291,498 
BP PLC (United Kingdom)  392,841  4,730,802  297,893  3,587,388  80,310  967,136 
Chevron Corp. (SEG)  178,202  15,011,736  146,284  12,322,964  51,400  4,329,936 
China Petroleum & Chemical Corp. (China)  1,834,000  2,052,343  --  --  --  -- 
China Petroleum & Chemical Corp. ADR (China)  12,800  1,428,992  --  --  --  -- 
China Shenhua Energy Co., Ltd. (China)  523,000  1,826,932  --  --  --  -- 
ConocoPhillips (SEG)  96,429  7,569,677  79,231  6,219,634  27,799  2,182,222 
Core Laboratories NV (Netherlands) (NON)  13,400  1,362,646  9,506  966,665  --  -- 
Dawson Geophysical Co. (NON)  12,800  786,688  10,600  651,476  3,700  227,402 
ENI SpA (Italy)  229,865  8,332,857  173,012  6,271,874  46,563  1,687,960 
ENSCO International, Inc.  23,900  1,458,139  19,600  1,195,796  6,900  420,969 

Exxon Mobil Corp. (SEG)  338,430  28,387,508  277,757  23,298,257  97,700  8,195,076 
Frontier Oil Corp.  84,100  3,681,057  61,214  2,679,337  --  -- 
Gazprom (Russia)  787,492  8,142,959  --  --  --  -- 
Global Industries, Ltd. (NON)  130,200  3,491,964  106,900  2,867,058  37,600  1,008,432 
Grey Wolf, Inc. (NON)  208,800  1,720,512  171,400  1,412,336  60,200  496,048 
GulfMark Offshore, Inc. (NON) (SG) (SB)  52,037  2,665,335  42,800  2,192,216  14,900  763,178 
Helmerich & Payne, Inc.  29,100  1,030,722  21,600  765,072  --  -- 
Hercules Offshore, Inc. (NON) (SG) (SB) (SC)  21,000  679,980  17,200  556,936  6,000  194,280 
Holly Corp.  44,000  3,264,360  34,538  2,562,374  7,600  563,844 
Input/Output, Inc. (NON) (SG) (SB)  130,500  2,037,105  94,668  1,477,767  --  -- 
JA Solar Holdings Co., Ltd. ADR (China) (NON) (SG) (SB)  26,000  876,980  18,522  624,747  --  -- 
Lufkin Industries, Inc.  13,400  864,970  11,100  716,505  3,900  251,745 
Lukoil (Russia)  32,258  2,449,689  --  --  --  -- 
Lukoil ADR (Russia)  30,764  2,330,373  --  --  --  -- 
Marathon Oil Corp.  247,020  14,811,319  202,720  12,155,091  71,200  4,269,152 
Matrix Service Co. (NON)  55,300  1,374,205  40,180  998,473  --  -- 
MOL Magyar Olaj- es Gazipari Rt. (Hungary)  11,334  1,715,763  --  --  --  -- 
NATCO Group, Inc. (NON)  30,265  1,393,401  24,837  1,143,495  8,697  400,410 
Norsk Hydro ASA (Norway)  113,565  4,366,547  86,095  3,310,332  23,075  887,228 
Occidental Petroleum Corp.  52,400  3,032,912  43,000  2,488,840  15,100  873,988 
Oil States International, Inc. (NON)  13,000  537,420  9,310  384,875  --  -- 
PetroChina Co., Ltd. (China)  178,000  264,320  --  --  --  -- 
PetroChina Co., Ltd. ADR (China)  6,000  892,080  --  --  --  -- 
Petroleo Brasileiro SA ADR (Brazil) (SG)  16,443  1,994,043  --  --  --  -- 
Petroleo Brasileiro SA ADR (Preference) (Brazil)  27,430  2,926,232  --  --  --  -- 
PTT PCL (Thailand)  209,200  1,636,069  --  --  --  -- 
Questar Corp. (SG) (SB)  76,800  4,058,880  63,000  3,329,550  22,200  1,173,270 
Renewable Energy Corp. AS (Norway) (NON)  26,727  1,030,316  --  --  --  -- 
Repsol YPF SA (Spain)  41,769  1,622,422  31,761  1,233,684  9,018  350,284 
Royal Dutch Shell PLC Class B (Netherlands)  239,722  10,006,138  180,802  7,546,782  49,006  2,045,539 
Saipem SpA (Italy)  29,850  1,019,250  --  --  --  -- 
Sasol, Ltd. (South Africa)  38,103  1,431,139  --  --  --  -- 
Statoil ASA (Norway)  217,165  6,723,367  155,400  4,811,140  40,900  1,266,252 
Swift Energy Co. (NON)  16,900  722,644  12,200  521,672  --  -- 
Technicas Reunidas SA (Spain)  4,100  276,128  --  --  --  -- 
Technicas Reunidas SA 144A (Spain)  8,594  578,792  --  --  --  -- 
Thai Oil PCL (Thailand)  704,200  1,438,074  --  --  --  -- 
Tidewater, Inc. (SG) (SB)  96,300  6,825,744  79,100  5,606,608  27,800  1,970,464 
Total SA (France)  26,777  2,174,290  --  --  --  -- 
Trico Marine Services, Inc. (NON) (SG) (SB)  86,200  3,523,856  70,800  2,894,304  24,900  1,017,912 
Unit Corp. (NON)  14,300  899,613  10,700  673,137  --  -- 
Western Refining, Inc.  36,301  2,098,198  26,597  1,537,307  --  -- 
    187,964,464    120,866,043    35,834,225 
 
Financial    3.1%    2.6%    1.9% 
Acta Holding ASA (Norway)  155,870  811,578  --  --  --  -- 
Advanta Corp. Class B  58,950  1,835,703  43,137  1,343,286  --  -- 
Ameriprise Financial, Inc.  77,100  4,901,247  63,300  4,023,981  22,200  1,411,254 
AMP, Ltd. (Australia)  40,570  347,175  --  --  --  -- 
CapitalSource, Inc. (R) (SG) (SB) (SC)  113,715  2,796,252  93,310  2,294,493  32,785  806,183 
Chubb Corp. (The)  80,200  4,342,028  65,800  3,562,412  23,100  1,250,634 
Citigroup, Inc. (SEG)  282,953  14,512,659  232,237  11,911,436  81,700  4,190,393 
Contifinancial Corp. Liquidating Trust Units (F)  1,914,537  191  --  --  510,233  51 
Countrywide Financial Corp.  68,400  2,486,340  56,220  2,043,597  19,700  716,095 
Deutsche Boerse AG (Germany)  5,428  613,028  4,396  496,476  1,262  142,528 
Discover Financial Services (NON)  61,350  1,748,475  50,550  1,440,675  17,750  505,875 
Grupo Financiero Banorte SA de CV (Mexico)  92,000  421,496  --  --  --  -- 
Hitachi Capital Corp. (Japan)  350,800  5,336,246  264,600  4,025,002  71,800  1,092,196 
Interactive Data Corp.  58,600  1,569,308  45,800  1,226,524  8,800  235,664 
IntercontinentalExchange, Inc. (NON) (SG) (SB)  23,200  3,430,120  19,000  2,809,150  6,700  990,595 
JPMorgan Chase & Co.  153,902  7,456,552  126,381  6,123,159  44,400  2,151,180 
Korea Investment Holdings Co., Ltd. (South Korea)  22,530  1,535,220  --  --  --  -- 
Lehman Brothers Holdings, Inc. (SG) (SB)  100,300  7,474,356  82,400  6,140,448  29,000  2,161,080 
Loews Corp.  44,700  2,278,806  36,700  1,870,966  12,900  657,642 
Man Group PLC (United Kingdom)  233,206  2,827,530  176,706  2,142,490  48,535  588,467 
MGIC Investment Corp. (SG) (SB) (SC)  46,000  2,615,560  37,700  2,143,622  13,300  756,238 
Nationwide Financial Services, Inc. Class A  21,800  1,378,196  17,900  1,131,638  6,300  398,286 
ORIX Corp. (Japan)  21,430  5,664,382  14,760  3,901,366  3,980  1,051,994 
PMI Group, Inc. (The)  29,900  1,335,633  24,500  1,094,415  8,600  384,162 
Shinhan Financial Group Co., Ltd. (South Korea)  46,350  2,828,739  --  --  --  -- 
Shinhan Financial Group Co., Ltd. ADR (South Korea)  3,700  453,213  --  --  --  -- 
Tower, Ltd. (New Zealand) (NON)  39,431  71,575  32,044  58,166  9,101  16,520 
Travelers Cos., Inc. (The)  33,100  1,770,850  27,200  1,455,200  9,600  513,600 
    82,842,458    61,238,502    20,020,637 
 
Health Care    7.8%    6.6%    4.2% 
Aetna, Inc. (SEG)  141,400  6,985,160  116,000  5,730,400  40,800  2,015,520 
Albany Molecular Research, Inc. (NON)  31,341  465,414  22,822  338,907  --  -- 
Alfresa Holdings Corp. (Japan)  9,500  662,558  7,700  537,021  2,100  146,460 
Alliance Imaging, Inc. (NON)  94,000  882,660  65,704  616,961  --  -- 
Alpharma, Inc. Class A  90,400  2,351,304  74,200  1,929,942  26,100  678,861 
Amedisys, Inc. (NON)  18,200  661,206  13,200  479,556  --  -- 
American Oriental Bioengineering, Inc. (China) (NON)             
(SG) (SB) (SC)  211,000  1,877,900  162,084  1,442,548  26,200  233,180 
AMERIGROUP Corp. (NON)  24,200  575,960  19,800  471,240  7,000  166,600 
Amgen, Inc. (NON) (SEG)  71,100  3,931,119  58,400  3,228,936  20,500  1,133,445 
AMN Healthcare Services, Inc. (NON)  41,600  915,200  30,184  664,048  --  -- 
Applera Corp.- Applied Biosystems Group  125,800  3,841,932  103,300  3,154,782  36,300  1,108,602 
Apria Healthcare Group, Inc. (NON)  54,100  1,556,457  39,528  1,137,221  --  -- 
Astellas Pharma, Inc. (Japan)  15,200  661,158  --  --  --  -- 
AstraZeneca PLC (United Kingdom)  156,738  8,401,185  107,099  5,740,526  29,079  1,558,640 
Basilea Pharmaceutica AG (Switzerland) (NON)  457  100,449  --  --  --  -- 
Bayer AG (Germany)  7,193  543,251  --  --  --  -- 
Becton, Dickinson and Co.  63,400  4,723,300  52,100  3,881,450  18,300  1,363,350 
Bio-Rad Laboratories, Inc. Class A (NON)  12,400  937,068  10,200  770,814  3,600  272,052 
Bristol-Myers Squibb Co.  86,960  2,744,458  71,325  2,251,017  25,100  792,156 
China Medical Technologies, Inc. ADR (China) (NON)             
(SG) (SB)  67,200  2,138,304  48,690  1,549,316  --  -- 
Corvel Corp. (NON)  51,700  1,351,438  42,400  1,108,336  14,900  389,486 
Coventry Health Care, Inc. (NON)  84,180  4,852,977  68,995  3,977,562  24,300  1,400,895 
Dade Behring Holdings, Inc.  21,790  1,157,485  15,876  843,333  --  -- 
Daiichi Sankyo Co., Ltd. (Japan)  28,300  752,091  --  --  --  -- 
Digene Corp. (NON)  17,800  1,068,890  12,936  776,807  --  -- 
Eli Lilly Co.  59,200  3,308,096  48,600  2,715,768  17,100  955,548 
Enzon Pharmaceuticals, Inc. (NON) (SG) (SB)  104,700  821,895  83,528  655,695  23,000  180,550 
Forest Laboratories, Inc. (NON)  90,400  4,126,760  74,200  3,387,230  26,100  1,191,465 
GlaxoSmithKline PLC (United Kingdom)  238,362  6,242,031  146,699  3,841,635  39,684  1,039,213 
Haemonetics Corp. (NON)  23,700  1,246,857  18,558  976,336  4,042  212,650 
Healthspring, Inc. (NON)  119,288  2,273,629  94,248  1,796,367  21,713  413,850 
Hologic, Inc. (NON)  10,700  591,817  7,742  428,210  --  -- 
Humana, Inc. (NON)  102,620  6,250,584  84,200  5,128,622  29,650  1,805,982 
Illumina, Inc. (NON) (SG) (SB)  17,100  694,089  12,446  505,183  --  -- 
Immucor, Inc. (NON)  20,900  584,573  15,092  422,123  --  -- 
Incyte Pharmaceuticals, Inc. (NON)  231,900  1,391,400  190,300  1,141,800  66,900  401,400 
Johnson & Johnson (SEG)  181,712  11,197,093  149,104  9,187,788  52,400  3,228,888 
K-V Pharmceuticals Co. Class A (NON)  25,200  686,448  18,600  506,664  --  -- 
Kaken Pharmaceutical Co., Ltd. (Japan)  36,000  261,971  28,000  203,755  8,000  58,216 
Kinetic Concepts, Inc. (NON)  13,500  701,595  10,100  524,897  --  -- 
LCA-Vision, Inc. (SB)  19,500  921,570  14,824  700,582  2,200  103,972 
LifeCell Corp. (NON)  30,300  925,362  22,050  673,407  --  -- 
Luminex Corp. (NON)  26,100  321,291  18,914  232,831  --  -- 
Magellan Health Services, Inc. (NON)  34,800  1,617,156  25,714  1,194,930  --  -- 
MannKind Corp. (NON) (SG) (SB)  37,200  458,676  26,754  329,877  --  -- 
Martek Biosciences Corp. (NON) (SG) (SB)  92,000  2,389,240  67,182  1,744,717  --  -- 
McKesson Corp.  172,800  10,305,792  141,800  8,456,952  49,900  2,976,036 
Medcath Corp. (NON)  30,700  976,260  25,200  801,360  8,900  283,020 
Medicines Co. (NON)  25,300  445,786  20,800  366,496  7,300  128,626 
Mentor Corp. (SG)  65,300  2,656,404  50,320  2,047,018  7,900  321,372 
Merck & Co., Inc.  268,260  13,359,348  220,213  10,966,607  77,450  3,857,010 
Merck KGaA (Germany)  3,131  431,512  --  --  --  -- 
Millennium Pharmaceuticals, Inc. (NON) (SG) (SB)  161,400  1,705,998  132,500  1,400,525  46,600  492,562 
Molina Healthcare, Inc. (NON)  38,400  1,171,968  31,000  946,120  10,900  332,668 
Nobel Biocare Holding AG (Switzerland)  3,805  1,244,747  --  --  --  -- 
Novartis AG (Switzerland)  14,884  837,636  --  --  --  -- 
Ono Pharmaceutical Co., Ltd. (Japan)  6,500  344,540  --  --  --  -- 
OraSure Technologies, Inc. (NON)  61,300  501,434  44,492  363,945  --  -- 
Pain Therapeutics, Inc. (NON) (SB)  60,900  530,439  44,296  385,818  --  -- 
Par Pharmaceutical Cos., Inc. (NON)  24,400  688,812  17,444  492,444  --  -- 
Parexel International Corp. (NON)  3,000  126,180  2,500  105,150  900  37,854 
Pfizer, Inc.  278,849  7,130,169  228,897  5,852,896  80,500  2,058,385 
Regeneron Pharmaceuticals, Inc. (NON)  26,500  474,880  19,404  347,720  --  -- 
Roche Holding AG (Switzerland)  38,748  6,868,933  27,077  4,799,992  7,355  1,303,835 
Salix Pharmaceuticals, Ltd. (NON)  78,786  969,068  57,574  708,160  --  -- 
Sanofi-Aventis (France)  5,493  443,635  --  --  --  -- 
Savient Pharmaceuticals, Inc. (NON)  231,000  2,869,020  184,800  2,295,216  50,100  622,242 
Schering AG (Germany)  11,857  1,666,391  9,214  1,294,942  2,566  360,627 
Schering-Plough Corp.  346,300  10,541,372  284,300  8,654,092  99,900  3,040,956 
Sciele Pharma, Inc. (NON) (SG) (SB)  116,700  2,749,452  90,558  2,133,546  17,100  402,876 
Symbion Health, Ltd. (Australia)  229,199  792,294  185,566  641,464  50,422  174,299 
Taisho Pharmaceutical Co., Ltd. (Japan)  102,000  2,023,370  80,000  1,586,957  22,000  436,413 
Techne Corp. (NON)  14,000  800,940  10,388  594,297  --  -- 
Telik, Inc. (NON) (SG) (SB) (SC)  153,727  519,597  122,500  414,050  42,900  145,002 
Terumo Corp. (Japan)  17,400  672,257  --  --  --  -- 
Teva Pharmaceutical Industries, Ltd. ADR (Israel)  20,297  837,251  --  --  --  -- 
UCB SA (Belgium)  5,925  350,266  --  --  --  -- 
United Therapeutics Corp. (NON) (SG)  11,400  726,864  8,232  524,872  --  -- 
UnitedHealth Group, Inc.  81,038  4,144,283  66,512  3,401,424  23,360  1,194,630 
Vital Signs, Inc.  9,400  522,170  7,000  388,850  --  -- 
Waters Corp. (NON)  51,500  3,057,040  42,200  2,504,992  14,900  884,464 

WellCare Health Plans, Inc. (NON)  102,600  9,286,326  82,554  7,471,963  24,800  2,244,648 
West Pharmaceutical Services, Inc.  34,300  1,617,245  26,768  1,262,111  5,400  254,610 
Wyeth  136,900  7,849,846  112,400  6,445,016  39,500  2,264,930 
Zoll Medical Corp. (NON)  53,200  1,186,892  41,910  935,012  9,700  216,407 
    204,577,474    155,519,147    44,884,453 
 
Insurance    3.5%    2.9%    1.8% 
Aegon NV (Netherlands)  109,515  2,161,338  59,944  1,183,027  17,208  339,609 
Allianz SE (Germany)  14,186  3,313,940  8,466  1,977,712  2,326  543,368 
Allstate Corp. (The)  115,900  7,129,009  95,100  5,849,601  33,400  2,054,434 
American Financial Group, Inc.  91,225  3,115,334  74,910  2,558,177  26,350  899,853 
American Physicians Capital, Inc. (NON)  12,600  510,300  9,300  376,650  --  -- 
Amerisafe, Inc. (NON)  31,752  623,292  23,100  453,453  --  -- 
Argonaut Group, Inc.  24,000  749,040  17,800  555,538  --  -- 
Aspen Insurance Holdings, Ltd. (Bermuda)  28,600  802,802  21,100  592,277  --  -- 
Commerce Group, Inc. (SG)  77,020  2,674,134  61,400  2,131,808  15,678  544,340 
Corporacion Mapfre SA (Spain)  718,873  3,553,903  545,124  2,694,937  147,531  729,351 
EMC Insurance Group, Inc.  12,400  307,768  9,200  228,344  --  -- 
ING Groep NV (Netherlands)  114,701  5,054,240  86,979  3,832,685  23,449  1,033,268 
Muenchener Rueckversicherungs-Gesellschaft AG (Germany)  5,009  921,274  4,100  754,087  1,300  239,101 
Navigators Group, Inc. (NON)  17,840  961,576  13,250  714,175  --  -- 
Odyssey Re Holdings Corp.  88,000  3,774,320  72,200  3,096,658  25,400  1,089,406 
Ohio Casualty Corp.  54,400  2,356,064  44,600  1,931,626  15,700  679,967 
Philadelphia Consolidated Holding Corp. (NON)  69,500  2,905,100  57,700  2,411,860  16,300  681,340 
Ping An Insurance (Group) Co., of China, Ltd. (China)  226,500  1,601,282  --  --  --  -- 
Prudential PLC (United Kingdom)  40,893  581,811  --  --  --  -- 
QBE Insurance Group, Ltd. (Australia)  134,762  3,556,355  92,409  2,438,664  24,911  657,399 
Safeco Corp. (SG) (SB)  115,900  7,215,934  95,200  5,927,152  33,400  2,079,484 
Safety Insurance Group, Inc.  36,800  1,523,520  28,600  1,184,040  5,600  231,840 
Sai-Soc Assicuratrice Industriale SpA (SAI) (Italy)  178,750  8,615,189  135,450  6,528,265  37,200  1,792,923 
SCOR (France)  109,466  2,972,731  82,944  2,252,482  22,782  618,683 
SeaBright Insurance Holdings, Inc. (NON)  48,500  847,780  36,000  629,280  --  -- 
Selective Insurance Group  39,700  1,067,136  29,340  788,659  --  -- 
Triad Guaranty, Inc. (NON) (SG) (SC)  51,900  2,072,367  42,900  1,712,997  15,100  602,943 
W.R. Berkley Corp.  226,245  7,362,012  185,752  6,044,370  65,275  2,124,049 
Zenith National Insurance Corp.  75,847  3,571,635  60,458  2,846,967  15,757  741,997 
Zurich Financial Services AG (Switzerland)  30,557  9,437,606  18,705  5,777,086  5,081  1,569,280 
    91,338,792    67,472,577    19,252,635 
 
Investment Banking/Brokerage    2.1%    1.7%    1.1% 
3i Group PLC (United Kingdom)  503,361  11,736,179  381,408  8,892,768  104,760  2,442,545 
Affiliated Managers Group (NON) (SG) (SB)  10,700  1,377,732  8,016  1,032,140  --  -- 
Ashmore Group PLC (United Kingdom)  12,080  64,974  --  --  --  -- 
Ashmore Group PLC 144A (United Kingdom)  68,175  366,689  --  --  --  -- 
Calamos Asset Management, Inc. Class A  42,900  1,096,095  35,300  901,915  12,400  316,820 
Challenger Financial Services Group, Ltd. (Australia)  161,562  796,022  130,805  644,481  39,012  192,214 
Daiwa Securities Group, Inc. (Japan)  41,000  434,110  --  --  --  -- 
Deutsche Bank AG (Germany)  11,886  1,724,307  9,236  1,339,870  2,466  357,744 
Evercore Partners, Inc. Class A  18,700  556,699  13,426  399,692  --  -- 
Goldman Sachs Group, Inc. (The)  58,900  12,766,575  48,300  10,469,025  17,000  3,684,750 
Harris & Harris Group, Inc. (NON) (SG) (SB) (SC)  66,600  745,920  54,600  611,520  19,200  215,040 
Investment Technology Group, Inc. (NON)  34,000  1,473,220  24,402  1,057,339  --  -- 
Knight Capital Group, Inc. Class A (NON)  82,800  1,374,480  67,900  1,127,140  23,900  396,740 
Macquarie Bank, Ltd. (Australia)  28,395  2,037,634  10,271  737,050  2,791  200,283 
Mecom Group PLC (United Kingdom) (NON)  155,985  294,998  --  --  --  -- 
Merrill Lynch & Co., Inc. (SG) (SB)  41,800  3,493,644  34,300  2,866,794  12,100  1,011,318 
Morgan Stanley (NON)  122,700  8,528,877  101,100  7,027,461  35,500  2,467,605 
Schroders PLC (United Kingdom)  29,056  742,979  23,525  601,548  6,393  163,473 
SembCorp Industries, Ltd. (Singapore)  188,000  699,743  --  --  --  -- 
Shin Kong Financial Holding Co., Ltd. (Taiwan)  1,319,000  1,534,847  --  --  --  -- 
SWS Group, Inc.  119,300  2,579,266  94,600  2,045,252  21,700  469,154 
    54,424,990    39,753,995    11,917,686 
 
Other    0.1%    0.4%    --% 
iShares Russell 2000 Growth Index Fund  --  --  7,100  609,535  --  -- 
iShares Russell 2000 Value Index Fund  27,177  2,238,026  5,346  440,243  --  -- 
S&P 500 Index Depository Receipts (SPDR Trust Series             
1) (SB)  --  --  51,689  7,775,576  --  -- 
    2,238,026    8,825,354    -- 
 
Photography/Imaging    --%    --%    --% 
Ikon Office Solutions, Inc.  50,800  792,988  37,100  579,131  --  -- 
 
Real Estate    2.0%    1.4%    0.7% 
Amrep Corp. (SG) (SB) (SC)  24,268  1,153,943  20,358  968,023  7,139  339,459 
Anthracite Capital, Inc. (R)  147,900  1,730,430  117,100  1,370,070  26,400  308,880 
Baoye Group Co., Ltd. (China)  1,034,000  1,859,789  --  --  --  -- 
Boston Properties, Inc. (R)  7,400  755,762  6,100  622,993  2,100  214,473 
CB Richard Ellis Group, Inc. Class A (NON)  61,800  2,255,700  50,700  1,850,550  17,800  649,700 
CBL & Associates Properties (R)  14,600  526,330  11,000  396,550  --  -- 
Cousins Properties, Inc. (R) (SG) (SB)  104,000  3,017,040  83,300  2,416,533  24,200  702,042 
Deerfield Triarc Capital Corp. (R)  43,072  630,143  35,392  517,785  12,451  182,158 
Emaar Properties (United Arab Emirates)  782,618  2,525,124  --  --  --  -- 
Entertainment Properties Trust (R)  70,097  3,769,817  56,590  3,043,410  16,800  903,504 
Filinvest Land, Inc. (Philippines) (NON)  5,889,400  274,006  --  --  --  -- 
Globe Trade Centre SA (Poland) (NON)  99,396  1,735,322  --  --  --  -- 
Gramercy Capital Corp. (R)  24,100  663,714  17,700  487,458  --  -- 
Guangzhou R&F Properties Co., Ltd. (China)  567,600  1,739,339  --  --  --  -- 
Jones Lang LaSalle, Inc. (SB)  68,700  7,797,450  55,936  6,348,736  18,600  2,111,100 
KKR Financial Holdings, LLC (R)  11,900  296,429  9,800  244,118  3,400  84,694 
Lexington Corporate Properties Trust (R) (SG) (SB)  49,320  1,025,856  36,400  757,120  --  -- 
LPS Brasil Consultoria de Imoveis SA (Brazil) (NON)  68,309  887,705  --  --  --  -- 
LPS Brasil Consultoria de Imoveis SA 144A (Brazil)             
(NON)  51,938  674,957  --  --  --  -- 
LTC Properties, Inc. (R)  44,500  1,012,375  33,100  753,025  --  -- 
Luminent Mortgage Capital, Inc. (R) (SG) (SB) (SC)  153,500  1,548,815  126,000  1,271,340  44,300  446,987 
Medical Properties Trust, Inc. (R) (SG) (SB) (SC)  88,800  1,174,824  72,900  964,467  25,600  338,688 
Megaworld Corp. (Philippines) (NON)  10,857,900  934,403  --  --  --  -- 
Metrovacesa SA (Spain)  9,673  1,072,238  7,330  812,520  2,013  223,138 
Mitsui Fudosan Co., Ltd. (Japan)  14,000  392,824  --  --  --  -- 
National Health Investors, Inc. (R)  25,100  796,172  18,700  593,164  --  -- 
Newcastle Investment Corp. (R) (SB)  85,100  2,133,457  67,200  1,684,704  15,800  396,106 
NorthStar Realty Finance Corp. (R)  55,400  693,054  41,200  515,412  --  -- 
Omega Healthcare Investors, Inc. (R)  42,000  664,860  31,200  493,896  --  -- 
PS Business Parks, Inc. (R)  10,468  663,357  7,778  492,892  --  -- 
RAIT Investment Trust (R)  12,600  327,852  9,300  241,986  --  -- 
Redwood Trust, Inc. (R) (SG) (SB) (SC)  44,000  2,128,720  36,100  1,746,518  12,700  614,426 
Saul Centers, Inc. (R)  12,800  580,480  9,400  426,290  --  -- 
Shimo Property Holdings, Ltd. (China)  747,000  1,665,452  --  --  --  -- 
SL Green Realty Corp. (R) (SG) (SB) (SC)  15,800  1,957,462  12,900  1,598,181  4,500  557,505 
Universal Health Realty Income Trust (R)  17,600  586,080  12,900  429,570  --  -- 
Urstadt Biddle Properties, Inc. Class A (R)  39,500  671,895  29,500  501,795  --  -- 
Winthrop Realty Trust (R) (SG) (SB)  131,800  910,738  98,000  677,180  --  -- 
    53,233,914    32,226,286    8,072,860 
 
Semiconductor    0.9%    0.5%    0.3% 
Advanced Energy Industries, Inc. (NON)  69,400  1,572,604  50,758  1,150,176  --  -- 
Credence Systems Corp. (NON)  326,000  1,173,600  267,500  963,000  94,000  338,400 
Greatek Electronics, Inc. (Taiwan)  702,000  1,321,798  --  --  --  -- 
LTX Corp. (NON) (SB)  348,700  1,938,772  272,656  1,515,967  62,300  346,388 
Novatek Microelectronics Corp., Ltd. (Taiwan)  280,000  1,463,429  --  --  --  -- 
Novellus Systems, Inc. (NON)  49,900  1,415,663  40,900  1,160,333  14,400  408,528 
Photronics, Inc. (NON)  118,600  1,764,768  97,300  1,447,824  34,200  508,896 
Spansion, Inc. Class A (NON) (SG) (SB) (SC)  503,400  5,587,740  413,100  4,585,410  145,200  1,611,720 
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)  1,182,182  2,549,514  --  --  --  -- 
Taiwan Semiconductor Manufacturing Co., Ltd. ADR             
(Taiwan)  74,485  829,018  --  --  --  -- 
Tokyo Electron, Ltd. (Japan)  7,100  523,017  --  --  --  -- 
Vanguard International Semiconductor Corp. (Taiwan)  1,999,000  2,001,266  --  --  --  -- 
Varian Semiconductor Equipment (NON)  19,050  763,143  13,720  549,623  --  -- 
Veeco Instruments, Inc. (NON)  79,100  1,640,534  64,900  1,346,026  22,800  472,872 
    24,544,866    12,718,359    3,686,804 
 
Software    2.2%    2.0%    1.3% 
Aspen Technology, Inc. (NON)  63,300  886,200  45,374  635,236  --  -- 
Blackboard, Inc. (NON)  16,100  678,132  11,662  491,203  --  -- 
BMC Software, Inc. (NON)  271,800  8,235,540  223,100  6,759,930  78,400  2,375,520 
Epicor Software Corp. (NON)  53,100  789,597  38,514  572,703  --  -- 
Informatica Corp. (NON)  53,400  788,718  38,612  570,299  --  -- 
Interwoven, Inc. (NON)  41,800  586,872  34,300  481,572  12,100  169,884 
Intuit, Inc. (NON)  104,600  3,146,368  85,900  2,583,872  30,200  908,416 
JDA Software Group, Inc. (NON)  49,600  973,648  35,868  704,089  --  -- 
Manhattan Associates, Inc. (NON)  79,400  2,216,054  61,904  1,727,741  11,200  312,592 
Mantech International Corp. Class A (NON)  19,800  610,434  16,200  499,446  5,700  175,731 
Microsoft Corp.  487,300  14,360,731  400,031  11,788,914  140,600  4,143,482 
MicroStrategy, Inc. (NON)  16,700  1,577,983  12,982  1,226,669  2,800  264,572 
NTT Data Corp. (Japan)  739  3,508,124  527  2,501,734  141  669,344 
Omnicell, Inc. (NON)  20,700  430,146  17,000  353,260  6,000  124,680 
Oracle Corp. (NON)  600,260  11,831,125  492,593  9,709,008  173,200  3,413,772 
Packeteer, Inc. (NON)  121,400  948,134  99,600  777,876  35,000  273,350 
Parametric Technology Corp. (NON)  36,900  797,409  27,300  589,953  --  -- 
Sybase, Inc. (NON)  137,500  3,284,875  106,812  2,551,739  18,500  441,965 
SYNNEX Corp. (NON)  27,500  566,775  20,400  420,444  --  -- 
The9, Ltd. ADR (China) (NON) (SG) (SB)  15,400  712,404  11,172  516,817  --  -- 
Trend Micro, Inc. (Japan)  11,500  371,401  --  --  --  -- 
Websense, Inc. (NON)  56,920  1,209,550  46,700  992,375  16,400  348,500 
    58,510,220    46,454,880    13,621,808 

             
Technology      0.3%    0.2%    0.2% 
Electronic Data Systems Corp.    229,200  6,355,716  188,100  5,216,013  66,100  1,832,953 
ON Semiconductor Corp. (NON)    65,800  705,376  46,942  503,218  --  -- 
      7,061,092    5,719,231    1,832,953 
 
Technology Services      1.4%    1.2%    0.6% 
Acxiom Corp. (SEG)    93,600  2,475,720  80,300  2,123,935  28,100  743,245 
Authorize.Net Holdings, Inc. (NON)    110,429  1,975,575  81,681  1,461,273  --  -- 
Automatic Data Processing, Inc.    36,800  1,783,696  30,200  1,463,794  10,600  513,782 
Blue Coat Systems, Inc. (NON) (SG) (SB)    62,700  3,104,904  48,300  2,391,816  6,200  307,024 
Cap Gemini SA (France)    8,071  589,385  --  --  --  -- 
Convergys Corp. (NON)    38,000  921,120  31,200  756,288  11,000  266,640 
CSG Systems International, Inc. (NON)    102,000  2,704,020  81,800  2,168,518  22,900  607,079 
Factset Research Systems, Inc.    26,900  1,838,615  19,698  1,346,358  --  -- 
IHS, Inc. Class A (NON)    18,800  864,800  15,400  708,400  5,400  248,400 
Infospace, Inc.    24,700  573,287  20,200  468,842  7,100  164,791 
Neopost SA (France)    2,427  355,633  --  --  --  -- 
Oce NV (Netherlands) (SG)    47,487  925,235  38,447  749,100  10,447  203,549 
Perot Systems Corp. Class A (NON)    73,800  1,257,552  54,400  926,976  --  -- 
SAIC, Inc. (NON) (SB) (SC)    58,600  1,058,902  48,100  869,167  16,900  305,383 
SonicWall, Inc. (NON)    253,900  2,181,001  201,900  1,734,321  49,300  423,487 
Sykes Enterprises, Inc. (NON)    178,000  3,380,220  141,200  2,681,388  34,000  645,660 
TheStreet.com, Inc.    94,900  1,032,512  77,900  847,552  27,400  298,112 
Travelzoo, Inc. (NON) (SG) (SB) (SC)    61,600  1,637,944  50,600  1,345,454  17,800  473,302 
Trizetto Group (NON)    93,900  1,817,904  73,382  1,420,676  16,900  327,184 
United Internet AG (Germany)    21,280  444,221  --  --  --  -- 
United Online, Inc. (SG) (SB) (SC)    301,100  4,965,139  242,100  3,992,229  68,300  1,126,267 
      35,887,385    27,456,087    6,653,905 
 
Transportation      1.7%    1.4%    0.9% 
Alaska Air Group, Inc. (NON)    5,960  166,046  4,900  136,514  1,700  47,362 
British Airways PLC (United Kingdom) (NON)    1,337,634  11,193,607  1,013,556  8,481,653  278,389  2,329,619 
Central Japan Railway Co. (Japan)    540  5,698,189  412  4,347,507  111  1,171,294 
Continental Airlines, Inc. Class B (NON) (SB)    140,300  4,751,961  115,200  3,901,824  40,500  1,371,735 
Delta Air Lines, Inc. (NON)    4,820  94,954  5,279  103,996  2,525  49,743 
Deutsche Lufthansa AG (Germany)    14,874  417,125  11,271  316,083  3,096  86,824 
ExpressJet Holdings, Inc. (NON)    217,150  1,298,557  178,241  1,065,881  62,677  374,808 
Horizon Lines, Inc. Class A    35,200  1,153,152  26,622  872,137  2,800  91,728 
HUB Group, Inc. Class A (NON) (SG) (SB)    41,800  1,469,688  30,478  1,071,606  --  -- 
Kuehne & Nagel International AG (Switzerland)    2,507  230,798  --  --  --  -- 
National Express Group PLC (United Kingdom)    57,427  1,223,202  42,865  913,029  12,159  258,988 
Neptune Orient Lines, Ltd. (Singapore)    494,000  1,708,991  392,000  1,356,122  111,000  384,004 
Northwest Airlines Corp. (NON)    3,724  82,673  3,844  85,337  1,802  40,004 
Orient Overseas International, Ltd. (Hong Kong)    56,000  546,765  --  --  --  -- 
Overseas Shipholding Group    66,100  5,380,540  53,300  4,338,620  15,200  1,237,280 
Republic Airways Holdings, Inc. (NON)    82,500  1,678,875  67,700  1,377,695  23,800  484,330 
Singapore Airlines, Ltd. (Singapore)    95,000  1,166,349  77,000  945,356  23,000  282,379 
SkyWest, Inc.    105,800  2,521,214  86,800  2,068,444  30,500  726,815 
Tam SA ADR (Brazil)    51,895  1,717,725  --  --  --  -- 
US Airways Group, Inc. (NON)    52,700  1,595,229  43,300  1,310,691  15,200  460,104 
      44,095,640    32,692,495    9,397,017 
 
Utilities & Power      2.4%    1.9%    1.3% 
Alliant Energy Corp.    49,500  1,923,075  40,600  1,577,310  14,300  555,555 
Centrica PLC (United Kingdom)    43,651  339,020  --  --  --  -- 
CEZ AS (Czech Republic)    26,801  1,384,005  --  --  --  -- 
E.On AG (Germany)    13,091  2,199,415  9,920  1,666,657  2,725  457,827 
Edison International    144,870  8,130,104  118,815  6,667,898  41,800  2,345,816 
El Paso Electric Co. (NON)    53,400  1,311,504  43,800  1,075,728  15,400  378,224 
Electric Power Development Co. (Japan)    89,700  3,566,782  68,100  2,707,891  18,400  731,648 
Energen Corp. (SEG)    118,380  6,503,797  95,500  5,246,770  28,006  1,538,650 
Energias de Portugal (EDP) SA (Portugal)    241,105  1,331,951  194,306  1,073,416  55,167  304,762 
First Philippine Holdings Corp. (Philippines)    581,210  1,129,135  --  --  --  -- 
FirstEnergy Corp.    32,200  2,084,306  26,400  1,708,872  9,300  601,989 
Kelda Group PLC (United Kingdom)    59,906  1,130,709  45,392  856,761  12,467  235,311 
Mirant Corp. (NON)    7,500  319,875  6,100  260,165  2,200  93,830 
National Grid PLC (United Kingdom)    65,991  973,863  53,429  788,479  14,518  214,250 
NICOR, Inc.    23,600  1,012,912  19,300  828,356  6,800  291,856 
Northwest Natural Gas Co.    18,900  872,991  15,400  711,326  5,400  249,426 
OGE Energy Corp.    19,400  711,010  15,900  582,735  5,600  205,240 
Osaka Gas Co., Ltd. (Japan)    810,000  3,010,186  614,000  2,281,795  165,000  613,186 
PG&E Corp.    197,500  8,946,750  162,100  7,343,130  57,000  2,582,100 
Portland General Electric Co.    11,000  301,840  9,000  246,960  3,200  87,808 
RWE AG (Germany)    16,350  1,744,792  10,276  1,096,605  2,752  293,680 
Scottish and Southern Energy PLC (United Kingdom)    21,518  623,803  --  --  --  -- 
South Jersey Industries, Inc.    23,100  817,278  17,000  601,460  --  -- 
Southwest Gas Corp.    36,300  1,227,303  29,800  1,007,538  10,500  355,005 
Tenaga Nasional Berhad (Malaysia)    664,600  2,197,071  --  --  --  -- 
Tokyo Electric Power Co. (Japan)    124,600  4,004,583  94,400  3,033,970  25,900  832,413 
Vector, Ltd. (New Zealand)    251,632  526,278  203,728  426,089  60,761  127,079 
Veolia Environnement (France)    50,457  3,953,153  35,061  2,746,923  9,408  737,088 
Westar Energy, Inc. (SG) (SB)    30,100  730,828  22,300  541,444  --  -- 
      63,008,319    45,078,278    13,832,743 
 
Total common stocks
(cost $1,781,877,879, $1,223,937,748 and $342,083,570)      $2,174,531,108    $1,536,831,673    $435,200,187 
 
CORPORATE BONDS AND NOTES(a)    Growth 3.4%  Balanced 6.8%  Conservative 9.6% 
    Principal      Principal     Principal  
    amount  Value   amount  Value   amount  Value 
Basic Materials      0.3%    0.4%    0.5% 
Abitibi-Consolidated, Inc. debs. 8.85s, 2030 (Canada)    $45,000  $37,800  $55,000  $46,200  $30,000  $25,200 
Abitibi-Consolidated, Inc. notes 7 3/4s, 2011 (Canada)    80,000  73,200  90,000  82,350  50,000  45,750 
Abitibi-Consolidated, Inc. notes 6s, 2013 (Canada)    90,000  74,475  115,000  95,163  60,000  49,650 
AK Steel Corp. company guaranty 7 3/4s, 2012    300,000  300,000  365,000  365,000  190,000  190,000 
Aleris International, Inc. 144A sr. notes 9s, 2014    185,000  186,619  190,000  191,663  85,000  85,744 
Aleris International, Inc. 144A sr. sub. notes 10s,               
2016    200,000  198,500  205,000  203,463  100,000  99,250 
Algoma Acquisition Corp. 144A unsec. notes 9 7/8s,               
2015 (Canada)    110,000  109,450  105,000  104,475  50,000  49,750 
ARCO Chemical Co. debs. 10 1/4s, 2010    185,000  199,800  130,000  140,400  85,000  91,800 
Builders FirstSource, Inc. company guaranty FRN 9.61s,               
2012    160,000  162,000  180,000  182,250  85,000  86,063 
Chaparral Steel Co. company guaranty 10s, 2013    515,000  561,994  525,000  572,906  260,000  283,725 
Clondalkin Industries BV 144A sr. notes 8s, 2014               
(Netherlands)  EUR  60,000  82,822  65,000  89,724  35,000  48,313 
Compass Minerals International, Inc. sr. notes               
stepped-coupon zero % (12 3/4s, 12/15/07), 2012 (STP)    $160,000  164,000  $165,000  169,125  $50,000  51,250 
Dow Chemical Co. (The) Pass Through Trust 144A company               
guaranty 4.027s, 2009    --  --  270,000  260,041  320,000  308,197 
Equistar Chemicals, LP/Equistar Funding Corp. company               
guaranty 10 1/8s, 2008    53,000  55,120  52,000  54,080  --  -- 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. bonds               
8 3/8s, 2017    600,000  639,000  580,000  617,700  270,000  287,550 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. FRN               
8.564s, 2015    115,000  120,463  110,000  115,225  50,000  52,375 
Freeport-McMoRan Copper & Gold, Inc. sr. unsec. notes               
8 1/4s, 2015    300,000  315,750  295,000  310,488  135,000  142,088 
Georgia-Pacific Corp. debs. 9 1/2s, 2011    225,000  238,500  495,000  524,700  385,000  408,100 
Georgia-Pacific Corp. notes 8 1/8s, 2011    --  --  140,000  142,975  140,000  142,975 
Georgia-Pacific Corp. sr. notes 8s, 2024    175,000  169,750  195,000  189,150  90,000  87,300 
Gerdau Ameristeel Corp. sr. notes 10 3/8s, 2011               
(Canada)    280,000  295,400  270,000  284,850  130,000  137,150 
Graphic Packaging International Corp sr. notes 8 1/2s,               
2011    270,000  276,075  255,000  260,738  125,000  127,813 
Hercules, Inc. company guaranty 6 3/4s, 2029    60,000  58,200  60,000  58,200  30,000  29,100 
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,               
ULC company guaranty 9 3/4s, 2014    350,000  362,250  325,000  336,375  150,000  155,250 
Huntsman, LLC company guaranty 11 5/8s, 2010    1,000  1,075  1,000  1,075  --  -- 
Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012    125,000  124,063  60,000  59,550  65,000  64,513 
Lafarge SA notes 6 1/2s, 2016 (France)    --  --  75,000  76,747  85,000  86,980 
Lubrizol Corp. (The) sr. notes 5 1/2s, 2014    --  --  100,000  95,813  95,000  91,022 
Lyondell Chemical Co. company guaranty 8 1/4s, 2016    95,000  99,275  105,000  109,725  50,000  52,250 
Lyondell Chemical Co. company guaranty 8s, 2014    150,000  154,125  165,000  169,538  80,000  82,200 
MacDermid, Inc. 144A sr. sub. notes 9 1/2s, 2017    310,000  311,550  295,000  296,475  135,000  135,675 
MDP Acquisitions PLC sr. notes 9 5/8s, 2012 (Ireland)    30,000  31,425  30,000  31,425  14,000  14,665 
Metals USA, Inc. sec. notes 11 1/8s, 2015    185,000  201,650  220,000  239,800  110,000  119,900 
Momentive Performance Materials, Inc. 144A sr. notes               
9 3/4s, 2014    460,000  464,600  470,000  474,700  230,000  232,300 
Mosaic Co. (The) 144A sr. notes 7 5/8s, 2016    110,000  112,475  105,000  107,363  50,000  51,125 
Mosaic Co. (The) 144A sr. notes 7 3/8s, 2014    110,000  111,100  110,000  111,100  50,000  50,500 
Nalco Co. sr. sub. notes 8 7/8s, 2013    440,000  456,500  435,000  451,313  200,000  207,500 
Newmont Mining Corp. notes 5 7/8s, 2035    --  --  145,000  128,340  135,000  119,489 
NewPage Corp. company guaranty 10s, 2012    85,000  91,800  105,000  113,400  50,000  54,000 
NewPage Holding Corp. sr. notes FRN 12.36s, 2013 (PIK)    35,606  35,250  35,917  35,558  17,803  17,625 
Norske Skog Canada, Ltd. company guaranty Ser. D,               
8 5/8s, 2011 (Canada)    75,000  72,563  87,000  84,173  45,000  43,538 
Novelis, Inc. company guaranty 7 1/4s, 2015    415,000  425,894  428,000  439,235  170,000  174,463 
Potash Corp. of Saskatchewan notes 5 7/8s, 2036               
(Canada)    --  --  215,000  202,242  220,000  206,945 
PQ Corp. company guaranty 7 1/2s, 2013    120,000  127,200  150,000  159,000  75,000  79,500 
Rockwood Specialties Group, Inc. company guaranty               
7 5/8s, 2014  EUR  210,000  295,561  220,000  309,635  135,000  190,003 
Smurfit-Stone Container Enterprises, Inc. sr. unsec.               
8s, 2017    $180,000  174,600  $175,000  169,750  $85,000  82,450 
Steel Dynamics, Inc. 144A sr. notes 6 3/4s, 2015    400,000  392,000  385,000  377,300  180,000  176,400 
Stone Container Corp. sr. notes 8 3/8s, 2012    35,000  35,044  50,000  50,063  --  -- 

 
Stone Container Finance company guaranty 7 3/8s, 2014               
(Canada)    45,000  43,200  45,000  43,200  20,000  19,200 
Tube City IMS Corp. 144A sr. sub. notes 9 3/4s, 2015    190,000  194,750  190,000  194,750  90,000  92,250 
Ucar Finance, Inc. company guaranty 10 1/4s, 2012    23,000  24,093  23,000  24,093  11,000  11,523 
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sec.               
sr. notes 9 1/8s, 2014    80,000  82,600  80,000  82,600  35,000  36,138 
Westvaco Corp. unsec. notes 7 1/2s, 2027    --  --  55,000  56,389  50,000  51,263 
Wheeling-Pittsburgh Steel Corp. sr. notes Ser. A, 5s,               
2011 (PIK)    --  --  --  --  618  482 
Wheeling-Pittsburgh Steel Corp. sr. notes Ser. B, 6s,               
2010 (PIK)    --  --  --  --  435  339 
Xstrata Finance Canada, Ltd. 144A company guaranty               
5.8s, 2016 (Canada)    --  --  180,000  174,866  195,000  189,438 
      8,743,561    10,266,459    5,718,069 
 
Capital Goods      0.3%    0.4%    0.4% 
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016    355,000  345,238  330,000  320,925  150,000  145,875 
Allied Waste North America, Inc. company guaranty               
6 7/8s, 2017    385,000  372,488  380,000  367,650  175,000  169,313 
Allied Waste North America, Inc. sec. notes Ser. B,               
5 3/4s, 2011    10,000  9,513  120,000  114,150  55,000  52,319 
American Railcar Industries, Inc. sr. unsec. 7 1/2s,               
2014    50,000  49,750  50,000  49,750  25,000  24,875 
Baldor Electric Co. company guaranty 8 5/8s, 2017    505,000  534,038  495,000  523,463  225,000  237,938 
Berry Plastics Holding Corp. company guaranty 10 1/4s,               
2016    215,000  215,000  255,000  255,000  135,000  135,000 
Berry Plastics Holding Corp. sec. notes 8 7/8s, 2014    350,000  354,375  320,000  324,000  155,000  156,938 
Blount, Inc. sr. sub. notes 8 7/8s, 2012    120,000  121,200  165,000  166,650  75,000  75,750 
Bombardier, Inc. 144A sr. notes 8s, 2014 (Canada)    255,000  263,925  245,000  253,575  75,000  77,625 
Case New Holland, Inc. company guaranty 9 1/4s, 2011    175,000  183,435  225,000  235,845  110,000  115,302 
Crown Americas, LLC/Crown Americas Capital Corp. sr.               
notes 7 5/8s, 2013    185,000  186,850  235,000  237,350  115,000  116,150 
General Cable Corp. 144A sr. notes 7 1/8s, 2017    190,000  188,100  175,000  173,250  80,000  79,200 
General Cable Corp. 144A sr. notes FRN 7.725s, 2015    45,000  45,000  45,000  45,000  20,000  20,000 
Greenbrier Cos., Inc. company guaranty 8 3/8s, 2015    190,000  191,425  220,000  221,650  115,000  115,863 
Hawker Beechcraft Acquisition Co., LLC 144A sr. notes               
8 7/8s, 2015 (PIK)    195,000  200,850  170,000  175,100  85,000  87,550 
Hawker Beechcraft Acquisition Co., LLC 144A sr. notes               
8 1/2s, 2015    225,000  232,313  220,000  227,150  100,000  103,250 
Hawker Beechcraft Acquisition Co., LLC 144A sr. sub.               
notes 9 3/4s, 2017    135,000  141,075  135,000  141,075  55,000  57,475 
Hexcel Corp. sr. sub. notes 6 3/4s, 2015    190,000  184,300  195,000  189,150  95,000  92,150 
K&F Acquisitions, Inc. company guaranty 7 3/4s, 2014    240,000  254,400  265,000  280,900  135,000  143,100 
L-3 Communications Corp. company guaranty 7 5/8s, 2012    290,000  296,888  388,000  397,215  181,000  185,299 
L-3 Communications Corp. company guaranty Ser. B,               
6 3/8s, 2015    170,000  160,650  355,000  335,475  230,000  217,350 
L-3 Communications Corp. company guaranty 6 1/8s, 2013    225,000  212,625  135,000  127,575  80,000  75,600 
L-3 Communications Corp. sr. sub. notes 5 7/8s, 2015    --  --  95,000  88,113  110,000  102,025 
Legrand SA debs. 8 1/2s, 2025 (France)    540,000  630,450  725,000  846,438  450,000  525,375 
Manitowoc Co., Inc. (The) company guaranty 10 1/2s,               
2012    185,000  194,713  227,000  238,918  116,000  122,090 
Manitowoc Co., Inc. (The) sr. notes 7 1/8s, 2013    145,000  145,363  140,000  140,350  65,000  65,163 
Milacron Escrow Corp. sec. notes 11 1/2s, 2011    240,000  232,200  265,000  256,388  130,000  125,775 
Mueller Water Products, Inc. 144A sr. sub. notes               
7 3/8s, 2017    120,000  118,993  115,000  114,035  55,000  54,539 
Owens-Brockway Glass Container, Inc. company guaranty               
6 3/4s, 2014  EUR  220,000  298,173  170,000  230,406  100,000  135,533 
Owens-Brockway Glass Container, Inc. sr. sec. notes               
8 3/4s, 2012    $315,000  329,175  $415,000  433,675  $210,000  219,450 
RBS Global, Inc. / Rexnord Corp. company guaranty               
9 1/2s, 2014    360,000  369,000  400,000  410,000  195,000  199,875 
Solo Cup Co. sr. sub. notes 8 1/2s, 2014    65,000  56,875  80,000  70,000  35,000  30,625 
TD Funding Corp. company guaranty 7 3/4s, 2014    45,000  45,450  50,000  50,500  25,000  25,250 
TD Funding Corp. 144A sr. sub. notes 7 3/4s, 2014    245,000  247,450  235,000  237,350  110,000  111,100 
Tekni-Plex, Inc. secd. notes 10 7/8s, 2012    195,000  216,450  215,000  238,650  105,000  116,550 
Titan International, Inc. company guaranty 8s, 2012    260,000  267,150  255,000  262,013  125,000  128,438 
WCA Waste Corp. company guaranty 9 1/4s, 2014    125,000  130,000  120,000  124,800  55,000  57,200 
      8,024,880    8,903,534    4,502,910 
 
Communication Services      0.3%    0.6%    1.0% 
Ameritech Capital Funding company guaranty 6 1/4s, 2009    --  --  450,000  454,275  295,000  297,803 
AT&T Corp. sr. notes 8s, 2031    --  --  145,000  172,344  140,000  166,401 
AT&T Wireless Services, Inc. sr. notes 8 3/4s, 2031    --  --  495,000  617,077  515,000  642,009 
BCM Ireland Finance, Ltd. 144A FRN 9.061s, 2016               
(Cayman Islands)  EUR  90,000  124,915  105,000  145,734  50,000  69,397 
Bellsouth Capital Funding unsec. notes 7 7/8s, 2030    $ -  --  $ 990,000  1,117,736  $ 845,000  954,027 
Centennial Cellular Operating Co., LLC company               
guaranty 10 1/8s, 2013    100,000  107,250  155,000  166,238  --  -- 
Centennial Communications Corp. sr. notes 10s, 2013    260,000  278,850  255,000  273,488  115,000  123,338 
Cincinnati Bell, Inc. company guaranty 7 1/4s, 2013    300,000  307,500  425,000  435,625  180,000  184,500 
Citizens Communications Co. notes 9 1/4s, 2011    340,000  367,200  480,000  518,400  225,000  243,000 
Cricket Communications, Inc. company guaranty 9 3/8s,               
2014    135,000  139,388  150,000  154,875  75,000  77,438 
Digicel Group, Ltd. 144A sr. notes 8 7/8s, 2015               
(Bermuda)    205,000  200,900  205,000  200,900  100,000  98,000 
Digicel, Ltd. 144A sr. notes 9 1/4s, 2012 (Jamaica)    220,000  231,825  180,000  189,675  100,000  105,375 
Dobson Communications Corp. sr. notes 8 7/8s, 2013    270,000  282,150  345,000  360,525  170,000  177,650 
France Telecom notes 8 1/2s, 2031 (France)    --  --  20,000  25,130  --  -- 
Inmarsat Finance PLC company guaranty 7 5/8s, 2012               
(United Kingdom)    109,000  112,679  152,000  157,130  71,000  73,396 
Inmarsat Finance PLC company guaranty stepped-coupon               
zero % (10 3/8s, 11/15/08), 2012 (United Kingdom) (STP)    299,000  285,171  241,000  229,854  111,000  105,866 
Intelsat Bermuda, Ltd. company guaranty FRN 8.876s,               
2015 (Bermuda)    155,000  158,294  140,000  142,975  60,000  61,275 
Intelsat Bermuda, Ltd. sr. unsec. 11 1/4s, 2016               
(Bermuda)    510,000  573,750  530,000  596,250  250,000  281,250 
Intelsat Intermediate Holding Co., Ltd. company               
guaranty stepped-coupon zero % (9 1/4s, 2/1/10), 2015               
(Bermuda) (STP)    95,000  78,138  75,000  61,688  30,000  24,675 
iPCS, Inc. 144A sec. FRN 7.48s, 2013    105,000  105,131  100,000  100,125  45,000  45,056 
Level 3 Financing, Inc. company guaranty 12 1/4s, 2013    130,000  149,175  125,000  143,438  60,000  68,850 
Level 3 Financing, Inc. company guaranty 9 1/4s, 2014    305,000  308,050  295,000  297,950  140,000  141,400 
Level 3 Financing, Inc. 144A sr. notes 8 3/4s, 2017    150,000  148,313  150,000  148,313  70,000  69,213 
MetroPCS Wireless, Inc. 144A sr. notes 9 1/4s, 2014    185,000  191,013  200,000  206,500  100,000  103,250 
MetroPCS Wireless, Inc. 144A sr. notes 9 1/4s, 2014    70,000  72,275  65,000  67,113  30,000  30,975 
Nextel Communications, Inc. sr. notes Ser. E, 6 7/8s,               
2013    --  --  135,000  133,991  140,000  138,954 
Nextel Communications, Inc. sr. notes Ser. F, 5.95s,               
2014    --  --  930,000  885,781  790,000  752,438 
Nordic Telephone Co. Holdings ApS 144A sr. notes               
8 7/8s, 2016 (Denmark)    210,000  222,600  205,000  217,300  75,000  79,500 
PAETEC Holding Corp. 144A sr. notes 9 1/2s, 2015    115,000  115,000  105,000  105,000  50,000  50,000 
PanAmSat Corp. company guaranty 9s, 2014    115,000  119,888  105,000  109,463  50,000  52,125 
Qwest Communications International, Inc. company               
guaranty 7 1/2s, 2014    355,000  359,438  225,000  227,813  105,000  106,313 
Qwest Corp. debs. 7 1/4s, 2025    85,000  84,788  115,000  114,713  55,000  54,863 
Qwest Corp. notes 8 7/8s, 2012    715,000  770,413  740,000  797,350  345,000  371,738 
Rogers Wireless, Inc. sec. notes 6 3/8s, 2014 (Canada)    --  --  235,000  237,509  200,000  202,135 
Rural Cellular Corp. sr. notes 9 7/8s, 2010    105,000  109,725  60,000  62,700  25,000  26,125 
Rural Cellular Corp. 144A sr. sub. notes FRN 8.36s,               
2013    150,000  149,250  140,000  139,300  65,000  64,675 
Southwestern Bell Telephone debs. 7s, 2027    --  --  --  --  110,000  111,252 
Sprint Capital Corp. company guaranty 6.9s, 2019    --  --  175,000  173,239  115,000  113,843 
Sprint Capital Corp. company guaranty 6 7/8s, 2028    --  --  435,000  414,060  475,000  452,135 
Syniverse Technologies, Inc. sr. sub. notes Ser. B,               
7 3/4s, 2013    65,000  62,075  85,000  81,175  40,000  38,200 
Telecom Italia Capital SA company guaranty 7.2s, 2036               
(Luxembourg)    --  --  110,000  113,673  105,000  108,506 
Telecom Italia Capital SA company guaranty 5 1/4s,               
2013 (Luxembourg)    --  --  140,000  133,402  110,000  104,816 
Telecom Italia Capital SA company guaranty 4s, 2010               
(Luxembourg)    --  --  5,000  4,812  50,000  48,123 
Telecom Italia Capital SA company guaranty 5 1/4s,               
2015 (Luxembourg)    --  --  215,000  199,921  240,000  223,168 
Telefonica Emisones SAU company guaranty 7.045s, 2036               
(Spain)    --  --  200,000  207,682  225,000  233,642 
Telefonica Emisones SAU company guaranty 6.421s, 2016               
(Spain)    --  --  75,000  76,150  75,000  76,150 
Telefonica Emisones SAU company guaranty 6.221s, 2017               
(Spain)    --  --  310,000  309,224  180,000  179,549 
Telefonica Europe BV company guaranty 8 1/4s, 2030               
(Netherlands)    --  --  125,000  145,284  120,000  139,472 
Telus Corp. notes 8s, 2011 (Canada)    --  --  260,000  278,031  280,000  299,418 
Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014    160,000  169,600  175,000  185,500  85,000  90,100 
Verizon Communications, Inc. sr. unsec. bond 6 1/4s,               
2037    --  --  1,080,000  1,041,365  575,000  554,431 
Verizon Communications, Inc. sr. unsec. bond 5 1/2s,               
2017    --  --  365,000  351,779  315,000  303,590 
Verizon New England, Inc. sr. notes 6 1/2s, 2011    --  --  245,000  251,461  365,000  374,625 
Verizon New Jersey, Inc. debs. 8s, 2022    --  --  160,000  177,272  165,000  182,812 
Verizon Pennsylvania, Inc. debs. 8.35s, 2030    --  --  210,000  241,532  225,000  258,784 
Verizon Virginia, Inc. debs. Ser. A, 4 5/8s, 2013    --  --  --  --  95,000  89,031 
West Corp. company guaranty 11s, 2016    75,000  78,375  70,000  73,150  35,000  36,575 
West Corp. company guaranty 9 1/2s, 2014    145,000  148,625  140,000  143,500  65,000  66,625 
Windstream Corp. company guaranty 8 5/8s, 2016    355,000  375,413  340,000  359,550  155,000  163,913 
Windstream Corp. company guaranty 8 1/8s, 2013    160,000  167,200  160,000  167,200  80,000  83,600 
      7,154,357    15,143,240    10,375,370 

Conglomerates    --%    --%    --% 
Siemens Financieringsmaatschappij 144A notes 5 3/4s,             
2016 (Netherlands)  --  --  155,000  152,851  160,000  157,782 
 
Consumer Cyclicals    0.6%    0.8%    1.0% 
American Axle & Manufacturing, Inc. company guaranty             
7 7/8s, 2017  200,000  196,500  200,000  196,500  95,000  93,338 
American Media, Inc. company guaranty 8 7/8s, 2011  45,000  42,750  55,000  52,250  30,000  28,500 
American Media, Inc. company guaranty Ser. B, 10 1/4s,             
2009  155,000  148,025  195,000  186,225  100,000  95,500 
ArvinMeritor, Inc. sr. unsec. notes 8 1/8s, 2015  110,000  106,563  120,000  116,250  60,000  58,125 
Associated Materials, Inc. company guaranty 9 3/4s,             
2012  180,000  188,100  215,000  224,675  110,000  114,950 
Autonation, Inc. company guaranty 7s, 2014  30,000  29,625  35,000  34,563  20,000  19,750 
Autonation, Inc. company guaranty FRN 7.356s, 2013  50,000  49,875  55,000  54,863  30,000  29,925 
Beazer Homes USA, Inc. company guaranty 6 7/8s, 2015  175,000  150,500  195,000  167,700  90,000  77,400 
Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,             
2014  160,000  162,000  200,000  202,500  100,000  101,250 
Boyd Gaming Corp. sr. sub. notes 7 3/4s, 2012  370,000  379,250  350,000  358,750  160,000  164,000 
Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016  160,000  155,200  195,000  189,150  105,000  101,850 
CanWest Media, Inc. company guaranty 8s, 2012 (Canada)  306,391  304,093  301,071  298,813  139,145  138,101 
Cenveo Corp., sr. sub. notes 7 7/8s, 2013  70,000  68,600  82,000  80,360  43,000  42,140 
Corrections Corporation of America sr. notes 7 1/2s,             
2011  125,000  126,719  160,000  162,200  85,000  86,169 
D.R. Horton, Inc. sr. notes 7 7/8s, 2011  --  --  115,000  119,248  130,000  134,803 
D.R. Horton, Inc. sr. notes 5 7/8s, 2013  --  --  140,000  133,195  365,000  347,258 
DaimlerChrysler NA Holding Corp. company guaranty 8s,             
2010  --  --  590,000  627,516  440,000  467,978 
DaimlerChrysler NA Holding Corp. company guaranty             
7.2s, 2009  --  --  --  --  35,000  36,123 
DaimlerChrysler NA Holding Corp. company guaranty             
6 1/2s, 2013  --  --  35,000  36,017  50,000  51,453 
DaimlerChrysler NA Holding Corp. notes Ser. MTN,             
5 3/4s, 2011  --  --  245,000  245,337  445,000  445,612 
Dana Corp. notes 5.85s, 2015  225,000  216,000  245,000  235,200  120,000  115,200 
Dex Media, Inc. notes 8s, 2013  60,000  60,900  65,000  65,975  30,000  30,450 
Ford Motor Co. notes 7.45s, 2031  315,000  251,606  365,000  291,544  180,000  143,775 
Ford Motor Credit Corp. bonds 7 3/8s, 2011  70,000  68,387  90,000  87,926  45,000  43,963 
Ford Motor Credit Corp. notes 7 7/8s, 2010  640,000  639,877  650,000  649,875  280,000  279,946 
Ford Motor Credit Corp. notes 7.8s, 2012  110,000  107,308  --  --  100,000  97,553 
Ford Motor Credit Corp. notes 7 3/8s, 2009  85,000  84,376  105,000  104,229  50,000  49,633 
Ford Motor Credit Corp. notes 6 3/8s, 2008  --  --  215,000  212,847  235,000  232,647 
Ford Motor Credit Corp. sr. notes 9 7/8s, 2011  1,330,000  1,397,374  1,090,000  1,147,834  445,000  464,800 
Ford Motor Credit Corp. sr. unsec. 9 3/4s, 2010  145,000  151,407  179,000  186,909  --  -- 
General Motors Corp. debs. 9.4s, 2021  60,000  58,650  55,000  53,763  25,000  24,438 
General Motors Corp. notes 7.2s, 2011  990,000  951,638  975,000  937,219  450,000  432,563 
Goodyear Tire & Rubber Co. (The) notes 7.857s, 2011  --  --  4,000  4,080  --  -- 
Goodyear Tire & Rubber Co. (The) sr. notes 9s, 2015  58,000  62,495  56,000  60,340  --  -- 
Hanesbrands, Inc. company guaranty FRN Ser. B, 8.784s,             
2014  230,000  233,450  220,000  223,300  100,000  101,500 
Hilton Hotels Corp. notes 7 5/8s, 2012  175,000  180,906  160,000  165,400  75,000  77,531 
Host Marriott, LP sr. notes Ser. M, 7s, 2012 (R)  320,000  320,400  450,000  450,563  210,000  210,263 
iPayment, Inc. company guaranty 9 3/4s, 2014  65,000  65,000  75,000  75,000  35,000  35,000 
JC Penney Co., Inc. debs. 7.65s, 2016  --  --  25,000  27,076  25,000  27,076 
JC Penney Co., Inc. notes 6 7/8s, 2015  --  --  195,000  201,487  210,000  216,986 
JC Penney Co., Inc. sr. notes 6 3/8s, 2036  --  --  325,000  309,500  300,000  285,692 
Jostens IH Corp. company guaranty 7 5/8s, 2012  190,000  189,050  265,000  263,675  125,000  124,375 
K. Hovnanian Enterprises, Inc. company guaranty             
8 7/8s, 2012  70,000  64,400  80,000  73,600  40,000  36,800 
Lamar Media Corp. company guaranty 7 1/4s, 2013  185,000  184,538  260,000  259,350  120,000  119,700 
Lamar Media Corp. company guaranty Ser. B, 6 5/8s, 2015  70,000  66,325  80,000  75,800  40,000  37,900 
Levi Strauss & Co. sr. notes 9 3/4s, 2015  290,000  310,300  275,000  294,250  125,000  133,750 
Levi Strauss & Co. sr. notes 8 7/8s, 2016  115,000  117,875  145,000  148,625  75,000  76,875 
Marriott International, Inc. notes 6 3/8s, 2017  --  --  430,000  431,576  445,000  446,630 
Meritage Homes Corp. company guaranty 6 1/4s, 2015  275,000  246,125  285,000  255,075  130,000  116,350 
Meritage Homes Corp. sr. notes 7s, 2014  30,000  27,900  15,000  13,950  5,000  4,650 
MGM Mirage, Inc. company guaranty 8 1/2s, 2010  85,000  88,931  95,000  99,394  50,000  52,313 
MGM Mirage, Inc. sr. notes 6 3/4s, 2012  315,000  300,825  436,000  416,380  216,000  206,280 
Michaels Stores, Inc. 144A sr. sub. notes 11 3/8s, 2016  255,000  266,475  250,000  261,250  115,000  120,175 
Mohegan Tribal Gaming Authority sr. sub. notes 6 3/8s,             
2009  90,000  89,100  130,000  128,700  59,000  58,410 
Movie Gallery, Inc. sr. unsecd. notes 11s, 2012  50,000  33,000  75,000  49,500  35,000  23,100 
Neiman-Marcus Group, Inc. company guaranty 9s, 2015  465,000  497,550  505,000  540,350  250,000  267,500 
NTK Holdings, Inc. sr. disc. notes zero %, 2014  210,000  152,250  230,000  166,750  110,000  79,750 
Office Depot, Inc. notes 6 1/4s, 2013  --  --  119,000  119,063  128,000  128,068 
Omnicom Group, Inc. sr. notes 5.9s, 2016  --  --  140,000  138,290  150,000  148,168 
Park Place Entertainment Corp. sr. notes 7s, 2013  265,000  277,588  260,000  272,350  120,000  125,700 
Pinnacle Entertainment, Inc. 144A sr. sub. notes             
7 1/2s, 2015  240,000  231,600  225,000  217,125  105,000  101,325 
Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,             
2012  250,000  257,500  240,000  247,200  110,000  113,300 
PRIMEDIA, Inc. sr. notes 8s, 2013  425,000  447,313  220,000  231,550  205,000  215,763 
R.H. Donnelley Corp. sr. disc. notes Ser. A-1, 6 7/8s,             
2013  55,000  52,113  65,000  61,588  35,000  33,163 
R.H. Donnelley Corp. sr. disc. notes Ser. A-2, 6 7/8s,             
2013  95,000  90,013  115,000  108,963  60,000  56,850 
R.H. Donnelley Corp. sr. notes Ser. A-3, 8 7/8s, 2016  145,000  150,800  180,000  187,200  90,000  93,600 
Reader's Digest Association, Inc. (The) 144A sr. sub.             
notes 9s, 2017  205,000  191,675  200,000  187,000  90,000  84,150 
Scientific Games Corp. company guaranty 6 1/4s, 2012  165,000  158,606  235,000  225,894  110,000  105,738 
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014  190,000  194,750  270,000  276,750  125,000  128,125 
Standard Pacific Corp. sr. notes 6 1/2s, 2008  170,000  166,600  185,000  181,300  95,000  93,100 
Station Casinos, Inc. sr. notes 6s, 2012  305,000  286,700  405,000  380,700  190,000  178,600 
Tenneco Automotive, Inc. company guaranty 8 5/8s, 2014  240,000  247,200  160,000  164,800  70,000  72,100 
Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,             
2013  30,000  32,250  30,000  32,250  15,000  16,125 
Texas Industries, Inc. sr. unsecd. notes 7 1/4s, 2013  320,000  320,800  295,000  295,738  140,000  140,350 
THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.             
notes 8 1/2s, 2014  525,000  500,063  435,000  414,338  190,000  180,975 
Travelport, LLC company guaranty 9 7/8s, 2014  205,000  217,300  205,000  217,300  95,000  100,700 
Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,             
2015  365,000  362,263  475,000  471,438  220,000  218,350 
UCI Holdco, Inc. 144A sr. notes FRN 12.355s, 2013 (PIK)  249,330  253,070  249,330  253,070  117,157  118,914 
United Auto Group, Inc. company guaranty 7 3/4s, 2016  195,000  194,025  200,000  199,000  100,000  99,500 
United Components, Inc. sr. sub. notes 9 3/8s, 2013  80,000  82,600  70,000  72,275  35,000  36,138 
Vertis, Inc. company guaranty Ser. B, 10 7/8s, 2009  550,000  539,000  565,000  553,700  265,000  259,700 
Vertis, Inc. 144A sub. notes 13 1/2s, 2009  60,000  48,000  35,000  28,000  15,000  12,000 
Wimar Opco, LLC 144A sr. sub. notes 9 5/8s, 2014  570,000  548,625  585,000  563,063  290,000  279,125 
Wyndham Worldwide Corp. sr. unsec. 6s, 2016  --  --  210,000  202,539  215,000  207,361 
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st             
mtge. 6 5/8s, 2014  270,000  260,213  380,000  366,225  175,000  168,656 
Yankee Acquisition Corp. company guaranty Ser. B,             
8 1/2s, 2015  185,000  179,450  170,000  164,900  80,000  77,600 
    15,882,335    19,288,013    11,001,043 
 
Consumer Staples    0.5%    1.0%    1.3% 
Adelphia Communications Corp. escrow bonds zero %, 2010  200,000  62,000  270,000  83,700  125,000  38,750 
Affinion Group, Inc. company guaranty 11 1/2s, 2015  175,000  189,000  175,000  189,000  85,000  91,800 
Affinion Group, Inc. company guaranty 10 1/8s, 2013  315,000  336,263  300,000  320,250  135,000  144,113 
Affinity Group, Inc. sr. sub. notes 9s, 2012  175,000  186,375  250,000  266,250  115,000  122,475 
AMC Entertainment, Inc. company guaranty 11s, 2016  205,000  226,525  275,000  303,875  119,000  131,495 
AMC Entertainment, Inc. sr. sub. notes 8s, 2014  115,000  112,700  165,000  161,700  64,000  62,720 
ARAMARK Corp. 144A sr. notes 8 1/2s, 2015  275,000  279,813  270,000  274,725  125,000  127,188 
Avis Budget Car Rental, LLC company guaranty 7 3/4s,             
2016  120,000  122,400  145,000  147,900  75,000  76,500 
Avis Budget Car Rental, LLC company guaranty 7 5/8s,             
2014  95,000  95,950  105,000  106,050  55,000  55,550 
Buffets, Inc. company guaranty 12 1/2s, 2014  260,000  248,950  275,000  263,313  135,000  129,263 
Campbell Soup Co. debs. 8 7/8s, 2021  --  --  300,000  371,181  255,000  315,504 
CCH, LLC/Capital Corp. sr. notes 10 1/4s, 2010  275,000  287,375  265,000  276,925  210,000  219,450 
CCH I Holdings, LLC company guaranty 12 1/8s, 2015  25,000  25,250  15,000  15,150  5,000  5,050 
CCH I, LLC/Capital Corp. sec. notes 11s, 2015  780,000  814,125  830,000  866,313  254,000  265,113 
CCH II, LLC/Capital Corp. sr. notes Ser. B, 10 1/4s,             
2010  490,000  511,438  450,000  469,688  255,000  266,156 
Chiquita Brands International, Inc. sr. notes 8 7/8s,             
2015  25,000  23,594  30,000  28,313  15,000  14,156 
Chiquita Brands International, Inc. sr. notes 7 1/2s,             
2014  150,000  135,563  170,000  153,638  85,000  76,819 
Church & Dwight Co., Inc. company guaranty 6s, 2012  130,000  124,638  180,000  172,575  85,000  81,494 
Cinemark, Inc. sr. disc. notes stepped-coupon zero %             
(9 3/4s, 3/15/09), 2014 (STP)  405,000  368,550  515,000  468,650  240,000  218,400 
Cox Communications, Inc. notes 7 1/8s, 2012  --  --  310,000  327,507  390,000  412,025 
Cox Communications, Inc. 144A bonds 6.45s, 2036  --  --  185,000  177,930  195,000  187,548 
Cox Communications, Inc. 144A notes 5 7/8s, 2016  --  --  180,000  176,306  185,000  181,204 
Cox Enterprises, Inc. 144A notes 7 7/8s, 2010  --  --  225,000  237,259  110,000  115,993 
CSC Holdings, Inc. debs. Ser. B, 8 1/8s, 2009  405,000  413,100  570,000  581,400  265,000  270,300 
CSC Holdings, Inc. sr. notes 6 3/4s, 2012  130,000  123,500  50,000  47,500  20,000  19,000 
CSC Holdings, Inc. sr. notes Ser. B, 7 5/8s, 2011  125,000  124,063  50,000  49,625  20,000  19,850 
CVS Caremark Corp. sr. unsec. FRN 6.302s, 2037  --  --  760,000  748,090  715,000  703,795 
CVS Caremark Corp. 144A pass-through certificates             
6.117s, 2013  --  --  343,048  346,205  306,292  309,111 
Dean Foods Co. company guaranty 7s, 2016  105,000  100,275  125,000  119,375  60,000  57,300 
Dean Foods Co. sr. notes 8.15s, 2007  175,000  175,000  270,000  270,000  141,000  141,000 
Del Monte Corp. company guaranty 6 3/4s, 2015  230,000  219,075  320,000  304,800  150,000  142,875 
Del Monte Corp. sr. sub. notes 8 5/8s, 2012  35,000  36,138  45,000  46,463  20,000  20,650 
Delhaize Group 144A notes 6 1/2s, 2017 (Belgium)  --  --  200,000  200,949  170,000  170,807 
Diageo PLC company guaranty 8s, 2022  --  --  165,000  193,015  135,000  157,921 
DirecTV Holdings, LLC company guaranty 6 3/8s, 2015  290,000  272,600  395,000  371,300  90,000  84,600 
DirecTV Holdings, LLC sr. notes 8 3/8s, 2013  --  --  --  --  85,000  88,931 

Dole Food Co. company guaranty 7 1/4s, 2010  85,000  82,025  83,000  80,095  --  -- 
Dole Food Co. sr. notes 8 5/8s, 2009  98,000  97,755  197,000  196,508  88,000  87,780 
Echostar DBS Corp. company guaranty 7s, 2013  150,000  147,750  165,000  162,525  85,000  83,725 
Echostar DBS Corp. company guaranty 6 5/8s, 2014  55,000  52,525  10,000  9,550  --  -- 
Echostar DBS Corp. sr. notes 6 3/8s, 2011  650,000  637,000  655,000  641,900  295,000  289,100 
Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014  210,000  211,575  275,000  277,063  130,000  130,975 
Estee Lauder Cos., Inc. (The) sr. unsec. 6s, 2037  --  --  360,000  344,118  310,000  296,323 
Estee Lauder Cos., Inc. (The) sr. unsec. 5.55s, 2017  --  --  95,000  92,602  80,000  77,981 
Hertz Corp. company guaranty 8 7/8s, 2014  335,000  349,238  360,000  375,300  180,000  187,650 
Idearc, Inc. company guaranty 8s, 2016  550,000  555,500  590,000  595,900  285,000  287,850 
Insight Midwest, LP/Insight Capital, Inc. sr. notes             
9 3/4s, 2009  --  --  --  --  52,000  52,390 
Interpublic Group of Companies, Inc. notes 6 1/4s, 2014  155,000  142,213  190,000  174,325  100,000  91,750 
Ion Media Networks, Inc. 144A sr. sec. notes FRN             
11.606s, 2013  70,000  72,450  90,000  93,150  45,000  46,575 
Ion Media Networks, Inc. 144A sr. sec. notes FRN             
8.606s, 2012  90,000  91,125  110,000  111,375  60,000  60,750 
Jarden Corp. company guaranty 7 1/2s, 2017  200,000  197,500  200,000  197,500  90,000  88,875 
Kroger Co. company guaranty 6 3/4s, 2012  --  --  --  --  150,000  154,909 
Liberty Media Corp. debs. 8 1/4s, 2030  195,000  189,114  245,000  237,605  120,000  116,378 
LIN Television Corp. company guaranty Ser. B, 6 1/2s,             
2013  70,000  68,425  75,000  73,313  35,000  34,213 
News America Holdings, Inc. company guaranty 7 3/4s,             
2024  --  --  350,000  384,102  300,000  329,230 
News America Holdings, Inc. debs. 7 3/4s, 2045  --  --  620,000  680,004  505,000  553,874 
News America, Inc. company guaranty 6.4s, 2035  --  --  90,000  85,708  95,000  90,470 
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr.             
disc. notes stepped-coupon zero % (12 1/2s, 8/2/11),             
2016 (STP)  130,000  91,650  125,000  88,125  60,000  42,300 
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr.             
notes 10s, 2014  195,000  206,213  190,000  200,925  90,000  95,175 
NTL Cable PLC sr. notes 9 1/8s, 2016 (United Kingdom)  --  --  100,000  104,750  --  -- 
Nutro Products, Inc. 144A sr. notes FRN 9.37s, 2013  80,000  84,448  100,000  105,560  50,000  52,780 
OSI Restaurant Partners, Inc. 144A sr. notes 10s, 2015  115,000  109,825  110,000  105,050  50,000  47,750 
Pilgrim's Pride Corp. sr. unsec. 7 5/8s, 2015  241,000  241,000  236,000  236,000  108,000  108,000 
Pinnacle Foods Finance, LLC 144A sr. notes 9 1/4s, 2015  125,000  120,625  115,000  110,975  55,000  53,075 
Pinnacle Foods Finance, LLC 144A sr. sub. notes             
10 5/8s, 2017  130,000  125,125  125,000  120,313  60,000  57,750 
Playtex Products, Inc. company guaranty 9 3/8s, 2011  150,000  154,125  215,000  220,913  100,000  102,750 
Playtex Products, Inc. company guaranty 8s, 2011  70,000  72,100  80,000  82,400  40,000  41,200 
Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012  150,000  153,750  210,000  215,250  100,000  102,500 
Rainbow National Services, LLC 144A sr. notes 8 3/4s,             
2012  305,000  317,200  310,000  322,400  150,000  156,000 
Rental Services Corp. 144A bonds 9 1/2s, 2014  240,000  244,800  230,000  234,600  105,000  107,100 
Reynolds American, Inc. company guaranty 7 1/4s, 2013  260,000  269,879  285,000  295,829  140,000  145,319 
Rite Aid Corp. company guaranty 9 3/8s, 2015  255,000  244,800  235,000  225,600  110,000  105,600 
Rite Aid Corp. sec. notes 7 1/2s, 2017  245,000  236,425  225,000  217,125  105,000  101,325 
Sinclair Broadcast Group, Inc. company guaranty 8s,             
2012  39,950  41,149  39,010  40,180  --  -- 
Sirius Satellite Radio, Inc. sr. unsecd. notes 9 5/8s,             
2013  140,000  137,200  180,000  176,400  90,000  88,200 
Spectrum Brands, Inc. company guaranty 11 1/4s, 2013             
(PIK)  140,000  130,200  145,000  134,850  65,000  60,450 
Spectrum Brands, Inc. company guaranty 7 3/8s, 2015  260,000  208,975  300,000  241,125  150,000  120,563 
Supervalu, Inc. sr. notes 7 1/2s, 2014  215,000  220,375  210,000  215,250  95,000  97,375 
Swift & Co. company guaranty 10 1/8s, 2009  85,000  88,156  95,000  98,527  45,000  46,671 
TCI Communications, Inc. company guaranty 7 7/8s, 2026  --  --  1,140,000  1,270,755  830,000  925,199 
TCI Communications, Inc. debs. 9.8s, 2012  --  --  65,000  75,026  50,000  57,713 
TCI Communications, Inc. debs. 7 7/8s, 2013  --  --  530,000  580,759  660,000  723,209 
Time Warner Cable, Inc. 144A sr. unsec. 6.55s, 2037  --  --  505,000  486,907  390,000  376,027 
Time Warner Cable, Inc. 144A sr. unsec. 5.85s, 2017  --  --  270,000  262,214  215,000  208,800 
Time Warner Entertainment Co., LP debs. 8 3/8s, 2023  --  --  --  --  25,000  28,698 
Time Warner, Inc. company guaranty 6 1/2s, 2036  --  --  105,000  99,694  115,000  109,189 
Time Warner, Inc. company guaranty 5 7/8s, 2016  --  --  80,000  77,808  100,000  97,260 
Time Warner, Inc. debs. 9.15s, 2023  --  --  25,000  30,226  105,000  126,949 
Time Warner, Inc. debs. 9 1/8s, 2013  --  --  705,000  809,831  555,000  637,526 
United Rentals NA, Inc. sr. sub. notes 7s, 2014  500,000  487,500  490,000  477,750  190,000  185,250 
Universal City Florida Holding Co. sr. notes 8 3/8s,             
2010  185,000  189,163  260,000  265,850  120,000  122,700 
Univision Communications, Inc. 144A sr. notes 9 3/4s,             
2015 (PIK)  165,000  162,938  150,000  148,125  75,000  74,063 
Viacom, Inc. sr. notes 5 3/4s, 2011  --  --  130,000  129,812  140,000  139,797 
Young Broadcasting, Inc. company guaranty 10s, 2011  180,000  179,100  170,000  169,150  79,000  78,605 
    13,025,176    22,625,617    14,208,572 
 
Energy    0.2%    0.5%    0.8% 
Anadarko Petroleum Corp. sr. notes 6.45s, 2036  --  --  245,000  235,009  210,000  201,436 
Anadarko Petroleum Corp. sr. notes 5.95s, 2016  --  --  170,000  166,052  185,000  180,704 
Arch Western Finance, LLC sr. notes 6 3/4s, 2013  455,000  436,800  515,000  494,400  255,000  244,800 
Bluewater Finance, Ltd. company guaranty 10 1/4s, 2012             
(Cayman Islands)  95,000  99,038  135,000  140,738  65,000  67,763 
Chaparral Energy, Inc. 144A sr. notes 8 7/8s, 2017  235,000  232,063  225,000  222,188  105,000  103,688 
Chesapeake Energy Corp. company guaranty 7 3/4s, 2015  383,000  389,703  --  --  --  -- 
Chesapeake Energy Corp. sr. notes 7 1/2s, 2013  --  --  515,000  524,013  250,000  254,375 
Chesapeake Energy Corp. sr. notes 7s, 2014  --  --  200,000  198,500  --  -- 
Chesapeake Energy Corp. sr. unsecd. notes 7 5/8s, 2013  --  --  225,000  230,625  230,000  235,750 
Complete Production Services, Inc. 144A sr. notes 8s,             
2016  290,000  292,900  300,000  303,000  150,000  151,500 
Compton Petroleum Corp. company guaranty 7 5/8s, 2013             
(Canada)  305,000  301,188  345,000  340,688  170,000  167,875 
Comstock Resources, Inc. sr. notes 6 7/8s, 2012  125,000  119,375  175,000  167,125  80,000  76,400 
Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015  230,000  229,425  220,000  219,450  105,000  104,738 
Encore Acquisition Co. sr. sub. notes 6s, 2015  290,000  255,925  402,000  354,765  184,000  162,380 
Enterprise Products Operating, LP company guaranty FRB             
7.034s, 2068  --  --  270,000  260,279  125,000  120,499 
Enterprise Products Operating, LP company guaranty FRB             
8 3/8s, 2066  --  --  460,000  490,936  485,000  517,618 
Forest Oil Corp. sr. notes 8s, 2011  230,000  236,900  340,000  350,200  220,000  226,600 
Hanover Compressor Co. sr. notes 9s, 2014  205,000  216,788  290,000  306,675  135,000  142,763 
Harvest Operations Corp. sr. notes 7 7/8s, 2011             
(Canada)  165,000  161,906  205,000  201,156  110,000  107,938 
Hess Corp. bonds 7 7/8s, 2029  --  --  240,000  270,522  270,000  304,337 
Hilcorp Energy I, LP/Hilcorp Finance Co. 144A sr.             
notes 9s, 2016  70,000  72,450  80,000  82,800  40,000  41,400 
Inergy, LP/Inergy Finance Corp. sr. notes 6 7/8s, 2014  285,000  270,038  380,000  360,050  190,000  180,025 
Kerr-McGee Corp. sec. notes 6.95s, 2024  180,000  186,750  230,000  238,625  110,000  114,125 
Massey Energy Co. sr. notes 6 5/8s, 2010  230,000  226,550  230,000  226,550  105,000  103,425 
Motiva Enterprises, LLC 144A sr. notes 5.2s, 2012  --  --  115,000  112,638  120,000  117,535 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2016  --  --  145,000  139,200  155,000  148,800 
Newfield Exploration Co. sr. sub. notes 6 5/8s, 2014  245,000  236,425  230,000  221,950  105,000  101,325 
Nexen, Inc. bonds 6.4s, 2037 (Canada)  --  --  445,000  425,441  380,000  363,298 
Offshore Logistics, Inc. company guaranty 6 1/8s, 2013  180,000  169,650  245,000  230,913  115,000  108,388 
OPTI Canada, Inc. 144A company guaranty 8 1/4s, 2014             
(Canada)  220,000  223,300  215,000  218,225  100,000  101,500 
Oslo Seismic Services, Inc. 1st mtge. 8.28s, 2011  46,317  47,073  67,370  68,470  48,422  49,213 
Peabody Energy Corp. company guaranty 7 3/8s, 2016  95,000  96,900  105,000  107,100  50,000  51,000 
Peabody Energy Corp. sr. notes 5 7/8s, 2016  290,000  269,700  680,000  632,400  420,000  390,600 
PetroHawk Energy Corp. company guaranty 9 1/8s, 2013  400,000  423,000  455,000  481,163  230,000  243,225 
Plains Exploration & Production Co. company guaranty             
7s, 2017  245,000  232,138  230,000  217,925  105,000  99,488 
Pogo Producing Co. sr. sub. notes 7 7/8s, 2013  85,000  86,700  95,000  96,900  50,000  51,000 
Pogo Producing Co. sr. sub. notes 6 7/8s, 2017  145,000  143,913  190,000  188,575  90,000  89,325 
Premcor Refining Group, Inc. sr. notes 7 1/2s, 2015  --  --  290,000  298,997  260,000  268,066 
Pride International, Inc. sr. notes 7 3/8s, 2014  195,000  195,488  275,000  275,688  130,000  130,325 
Quicksilver Resources, Inc. company guaranty 7 1/8s,             
2016  105,000  101,325  130,000  125,450  70,000  67,550 
Sabine Pass LNG, LP 144A sec. notes 7 1/2s, 2016  465,000  462,675  455,000  452,725  250,000  248,750 
Stallion Oilfield Services/Stallion Oilfield Finance             
Corp. 144A sr. unsec. notes 9 3/4s, 2015  240,000  247,200  240,000  247,200  115,000  118,450 
Sunoco, Inc. notes 4 7/8s, 2014  --  --  130,000  121,046  110,000  102,424 
Targa Resources, Inc. 144A company guaranty 8 1/2s,             
2013  155,000  157,325  165,000  167,475  85,000  86,275 
Tesoro Corp. 144A sr. notes 6 1/2s, 2017  --  --  360,000  347,400  305,000  294,325 
Valero Energy Corp. sr. notes 6 5/8s, 2037  --  --  125,000  124,424  105,000  104,516 
Valero Energy Corp. sr. notes 6 1/8s, 2017  --  --  335,000  333,920  325,000  323,953 
Valero Energy Corp. sr. unsecd. notes 7 1/2s, 2032  --  --  160,000  174,731  160,000  174,731 
Weatherford International, Inc. 144A company guaranty             
6.8s, 2037  --  --  110,000  111,983  90,000  91,622 
Weatherford International, Inc. 144A company guaranty             
6.35s, 2017  --  --  130,000  131,716  100,000  101,320 
Weatherford International, Ltd. company guaranty             
6 1/2s, 2036  --  --  205,000  198,243  205,000  198,243 
Weatherford International, Ltd. sr. notes 5 1/2s, 2016  --  --  95,000  90,790  105,000  100,347 
Whiting Petroleum Corp. company guaranty 7s, 2014  120,000  112,800  150,000  141,000  75,000  70,500 
    6,933,411    12,868,034    8,206,233 
 
Financial    0.2%    1.2%    2.4% 
AGFC Capital Trust I company guaranty 6s, 2067  --  --  180,000  171,370  185,000  176,130 
American International Group, Inc. jr. sub. bond             
6 1/4s, 2037  --  --  705,000  661,562  600,000  563,031 
Ameriprise Financial, Inc. jr. sub. FRB 7.518s, 2066  --  --  405,000  421,818  450,000  468,687 
Amvescap PLC company guaranty 5 5/8s, 2012 (United             
Kingdom)  --  --  180,000  177,357  155,000  152,724 
Axa SA 144A sub. notes FRB 6.379s, 2036 (France)  --  --  245,000  224,137  255,000  233,285 
Bank of America NA sub. notes 5.3s, 2017  --  --  675,000  644,547  585,000  558,608 
Barclays Bank PLC FRB 6.278s, 2049 (United Kingdom)  --  --  250,000  227,355  240,000  218,261 
Block Financial Corp. notes 5 1/8s, 2014  --  --  155,000  142,779  155,000  142,779 
Bosphorus Financial Services, Ltd. 144A sec. FRN             
7.16s, 2012 (Cayman Islands)  200,000  202,020  529,000  534,342  602,000  608,079 

Brandywine Operating Partnership, LP sr. unsec. 5.7s,             
2017 (R)  --  --  290,000  280,829  250,000  242,094 
Camden Property Trust notes 5.7s, 2017 (R)  --  --  270,000  261,275  235,000  227,406 
Capital One Capital III company guaranty 7.686s, 2036  --  --  375,000  386,209  375,000  386,209 
Chubb Corp. (The) sr. notes 6s, 2037  --  --  5,000  4,766  85,000  81,018 
CIT Group, Inc. jr. sub. FRN 6.1s, 2067  --  --  1,120,000  1,021,346  965,000  879,999 
CIT Group, Inc. sr. notes 5s, 2015  --  --  105,000  97,379  125,000  115,928 
CIT Group, Inc. sr. notes 5s, 2014  --  --  805,000  755,027  820,000  769,096 
Citigroup, Inc. sub. notes 5s, 2014  --  --  271,000  257,792  463,000  440,434 
CNA Financial Corp. unsec. notes 6 1/2s, 2016  --  --  165,000  166,347  175,000  176,429 
CNA Financial Corp. unsec. notes 6s, 2011  --  --  165,000  165,540  170,000  170,557 
Colonial Properties Trust notes 6 1/4s, 2014 (R)  --  --  170,000  172,317  185,000  187,522 
Countrywide Capital III company guaranty Ser. B,             
8.05s, 2027  --  --  230,000  247,169  180,000  193,437 
Countrywide Financial Corp. FRN Ser. MTN, 5.78s, 2012  --  --  700,000  699,983  700,000  699,983 
Credit Suisse Guernsey, Ltd. jr. sub. FRN 5.86s, 2049             
(Guernsey)  --  --  490,000  472,096  420,000  404,654 
Deutsche Bank Capital Funding Trust VII 144A FRB             
5.628s, 2049  --  --  235,000  223,741  260,000  247,543 
Developers Diversified Realty Corp. unsec. notes             
5 3/8s, 2012 (R)  --  --  85,000  83,295  85,000  83,295 
Dresdner Funding Trust I 144A bonds 8.151s, 2031  --  --  485,000  558,605  415,000  477,982 
E*Trade Financial Corp. sr. unsec. notes 8s, 2011  180,000  184,500  255,000  261,375  120,000  123,000 
Equity One, Inc. notes 5 3/8s, 2015 (R)  --  --  190,000  180,025  195,000  184,762 
ERP Operating, LP notes 5 3/4s, 2017 (R)  --  --  295,000  289,206  250,000  245,090 
Finova Group, Inc. notes 7 1/2s, 2009  191,998  41,759  271,197  58,985  127,198  27,666 
Fleet Capital Trust V bank guaranty FRN 6.36s, 2028  --  --  225,000  225,785  220,000  220,768 
Fund American Cos., Inc. notes 5 7/8s, 2013  --  --  300,000  291,520  275,000  267,227 
GATX Financial Corp. notes 5.8s, 2016  --  --  120,000  114,839  130,000  124,409 
General Motors Acceptance Corp. bonds 8s, 2031  --  --  235,000  240,307  320,000  327,226 
General Motors Acceptance Corp. FRN 6.306s, 2007  --  --  400,000  400,010  405,000  405,010 
General Motors Acceptance Corp. notes 7 3/4s, 2010  140,000  141,727  180,000  182,220  95,000  96,172 
General Motors Acceptance Corp. notes 7s, 2012  70,000  68,978  305,000  300,546  355,000  349,816 
General Motors Acceptance Corp. notes 6 7/8s, 2012  370,000  361,610  470,000  459,342  240,000  234,558 
General Motors Acceptance Corp. notes 6 7/8s, 2011  475,000  467,236  605,000  595,111  295,000  290,178 
General Motors Acceptance Corp. notes 6 3/4s, 2014  520,000  497,981  590,000  565,017  305,000  292,085 
General Motors Acceptance Corp. notes 5 1/8s, 2008  25,000  24,688  --  --  --  -- 
General Motors Acceptance Corp. notes FRN 7.56s, 2014  1,070,000  1,080,796  580,000  585,852  160,000  161,614 
General Motors Acceptance Corp. sr. unsub. notes             
5.85s, 2009  195,000  192,180  240,000  236,529  130,000  128,120 
GMAC, LLC unsub. notes 6 5/8s, 2012  205,000  198,910  145,000  140,692  70,000  67,920 
GMAC, LLC unsub. notes FRN 6.61s, 2009  --  --  925,000  924,961  615,000  614,974 
Health Care REIT, Inc. sr. notes 6s, 2013 (R)  --  --  85,000  84,505  90,000  89,476 
Highwood Properties, Inc. 144A bonds 5.85s, 2017 (R)  --  --  340,000  328,860  290,000  280,498 
Hospitality Properties Trust notes 6 3/4s, 2013 (R)  --  --  175,000  180,489  175,000  180,489 
HRPT Properties Trust bonds 5 3/4s, 2014 (R)  --  --  115,000  113,289  105,000  103,438 
HRPT Properties Trust notes 6 1/4s, 2016 (R)  --  --  105,000  105,630  95,000  95,570 
HSBC Finance Capital Trust IX FRN 5.911s, 2035  --  --  700,000  677,746  800,000  774,566 
HUB International Holdings, Inc. 144A sr. notes 9s,             
2014  50,000  49,000  50,000  49,000  25,000  24,500 
HUB International Holdings, Inc. 144A sr. sub. notes             
10 1/4s, 2015  70,000  67,375  70,000  67,375  30,000  28,875 
ILFC E-Capital Trust II 144A FRB 6 1/4s, 2065  --  --  615,000  599,834  670,000  653,478 
iStar Financial, Inc. sr. unsecd. notes 5 7/8s, 2016             
(R)  --  --  345,000  332,138  380,000  365,833 
JPMorgan Chase Capital XVIII bonds Ser. R, 6.95s, 2036  --  --  595,000  601,422  520,000  525,613 
JPMorgan Chase Capital XX jr. sub. bond Ser. T, 6.55s,             
2036  --  --  355,000  341,222  360,000  346,028 
Kimco Realty Corp. sr. sub. notes 5.7s, 2017 (R)  --  --  205,000  199,273  175,000  170,111 
Lehman Brothers Holdings, Inc. sub. notes 5 3/4s, 2017  --  --  140,000  136,010  160,000  155,440 
Leucadia National Corp. 144A sr. notes 7 1/8s, 2017  195,000  189,150  185,000  179,450  85,000  82,450 
Liberty Mutual Insurance 144A notes 7.697s, 2097  --  --  490,000  476,727  510,000  496,185 
Lincoln National Corp. FRB 7s, 2066  --  --  285,000  292,433  315,000  323,215 
Loews Corp. notes 5 1/4s, 2016  --  --  95,000  91,025  100,000  95,816 
MetLife, Inc. jr. sub. FRN 6.4s, 2036  --  --  415,000  384,436  430,000  398,331 
Nationwide Financial Services, Inc. notes 5 5/8s, 2015  --  --  125,000  121,836  425,000  414,242 
Nationwide Health Properties, Inc. notes 6 1/2s, 2011             
(R)  --  --  145,000  147,348  150,000  152,429 
Nationwide Mutual Insurance Co. 144A notes 8 1/4s, 2031  --  --  210,000  247,979  --  -- 
Nuveen Investments, Inc. sr. notes 5 1/2s, 2015  --  --  110,000  89,548  110,000  89,548 
OneAmerica Financial Partners, Inc. 144A bonds 7s, 2033  --  --  295,000  298,513  330,000  333,930 
Petroplus Finance, Ltd. company guaranty 6 3/4s, 2014             
(Bermuda)  270,000  259,875  260,000  250,250  75,000  72,188 
PNC Bank NA notes 4 7/8s, 2017  --  --  220,000  202,905  225,000  207,516 
ProLogis Trust sr. notes 5 3/4s, 2016 (R)  --  --  200,000  197,270  215,000  212,065 
Prudential Holdings, LLC 144A bonds 8.695s, 2023  --  --  540,000  652,266  435,000  525,437 
QBE Capital Funding II, LP 144A company guaranty FRN             
6.797s, 2049 (Jersey)  --  --  260,000  253,880  220,000  214,821 
RBS Capital Trust IV company guaranty FRN 6.16s, 2049  --  --  485,000  492,518  505,000  512,828 
Realogy Corp. 144A sr. notes 10 1/2s, 2014 (R)  665,000  633,413  640,000  609,600  295,000  280,988 
Regency Centers, LP sr. unsec. 5 7/8s, 2017 (R)  --  --  230,000  226,182  195,000  191,763 
Rouse Co., LP/TRC Co-Issuer, Inc. 144A sr. notes             
6 3/4s, 2013 (R)  --  --  165,000  164,853  175,000  174,845 
Rouse Co. (The) notes 7.2s, 2012 (R)  --  --  150,000  153,685  170,000  174,176 
Safeco Capital Trust I company guaranty 8.072s, 2037  --  --  285,000  296,810  315,000  328,053 
Simon Property Group, LP unsub. bonds 5 3/4s, 2015 (R)  --  --  165,000  163,260  165,000  163,260 
SLM Corp. notes Ser. MTNA, 4 1/2s, 2010  --  --  460,000  425,322  390,000  360,599 
Sovereign Bancorp, Inc. sr. notes 4.8s, 2010  --  --  155,000  151,229  155,000  151,229 
Swiss Re Capital I, LP 144A company guaranty FRN             
6.854s, 2049 (United Kingdom)  --  --  185,000  188,017  195,000  198,180 
Travelers Cos., Inc. (The) sr. unsec. notes 6 1/4s,             
2037  --  --  255,000  248,201  220,000  214,135 
UBS AG/Jersey Branch FRN 8.36s, 2008 (Jersey)  --  --  685,000  695,275  530,000  537,950 
Unitrin, Inc. sr. notes 6s, 2017  --  --  255,000  247,187  220,000  213,259 
USI Holdings Corp. 144A sr. notes FRN 9.23s, 2014  45,000  44,775  45,000  44,775  20,000  19,900 
Washington Mutual Bank/Henderson NV sub. notes Ser.             
BKNT, 5.95s, 2013  --  --  250,000  249,586  250,000  249,586 
Westfield Group sr. notes 5.7s, 2016 (Australia)  --  --  205,000  201,448  230,000  226,014 
Westpac Capital Trust III 144A sub. notes FRN 5.819s,             
2049 (Australia)  --  --  295,000  291,923  230,000  227,601 
Willis Group North America, Inc. company guaranty             
6.2s, 2017  --  --  245,000  240,857  210,000  206,449 
ZFS Finance USA Trust I 144A bonds FRB 6 1/2s, 2037  --  --  740,000  722,365  630,000  614,986 
    4,705,973    28,627,057    25,523,654 
 
Health Care    0.2%    0.3%    0.3% 
Accellent, Inc. company guaranty 10 1/2s, 2013  80,000  79,400  80,000  79,400  40,000  39,700 
Bayer Corp. 144A FRB 6.2s, 2008  --  --  220,000  220,585  160,000  160,426 
Community Health Systems, Inc. sr. sub. notes 6 1/2s,             
2012  65,000  67,842  85,000  88,716  40,000  41,749 
Community Health Systems, Inc. 144A sr. notes 8 7/8s,             
2015  630,000  638,663  585,000  593,044  270,000  273,713 
DaVita, Inc. company guaranty 6 5/8s, 2013  190,000  185,488  235,000  229,419  125,000  122,031 
Elan Finance PLC/Elan Finance Corp. company guaranty             
7 3/4s, 2011 (Ireland)  135,000  135,338  190,000  190,475  90,000  90,225 
HCA, Inc. notes 6 1/4s, 2013  50,000  45,125  48,000  43,320  --  -- 
HCA, Inc. sr. notes 7 7/8s, 2011  416,000  422,240  590,000  598,850  275,000  279,125 
HCA, Inc. 144A sec. notes 9 1/4s, 2016  350,000  372,750  370,000  394,050  185,000  197,025 
HCA, Inc. 144A sec. notes 9 1/8s, 2014  65,000  68,331  --  --  --  -- 
HCA, Inc. 144A sec. sr. notes 9 5/8s, 2016 (PIK)  300,000  322,500  325,000  349,375  155,000  166,625 
Healthsouth Corp. company guaranty 10 3/4s, 2016  150,000  162,750  145,000  157,325  65,000  70,525 
Hospira, Inc. sr. notes 6.05s, 2017  --  --  190,000  187,099  165,000  162,480 
Hospira, Inc. sr. notes 5.55s, 2012  --  --  265,000  262,692  230,000  227,997 
Omnicare, Inc. sr. sub. notes 6 7/8s, 2015  35,000  33,250  45,000  42,750  25,000  23,750 
Omnicare, Inc. sr. sub. notes 6 1/8s, 2013  230,000  214,188  325,000  302,656  150,000  139,688 
Psychiatric Solutions, Inc. company guaranty 7 3/4s,             
2015  165,000  163,144  210,000  207,638  100,000  98,875 
Select Medical Corp. company guaranty 7 5/8s, 2015  285,000  255,075  280,000  250,600  130,000  116,350 
Service Corporation International sr. notes 6 3/4s,             
2016  255,000  241,613  360,000  341,100  170,000  161,075 
Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013  205,000  197,313  270,000  259,875  125,000  120,313 
Sun Healthcare Group, Inc. 144A sr. sub. notes 9 1/8s,             
2015  200,000  208,000  195,000  202,800  90,000  93,600 
Surgical Care Affiliates, Inc. 144A sr. notes 8 7/8s,             
2015 (PIK)  80,000  79,600  75,000  74,625  35,000  34,825 
Surgical Care Affiliates, Inc. 144A sr. sub. notes             
10s, 2017  80,000  79,600  75,000  74,625  35,000  34,825 
Tenet Healthcare Corp. notes 7 3/8s, 2013  300,000  271,125  360,000  325,350  165,000  149,119 
Tenet Healthcare Corp. sr. notes 9 1/4s, 2015  165,000  156,750  235,000  223,250  110,000  104,500 
Triad Hospitals, Inc. sr. sub. notes 7s, 2013  85,000  89,352  83,000  87,250  --  -- 
US Oncology Holdings, Inc. 144A sr. unsec. notes FRN             
9.828s, 2012 (PIK)  115,000  112,988  115,000  112,988  50,000  49,125 
US Oncology, Inc. company guaranty 9s, 2012  175,000  180,250  215,000  221,450  105,000  108,150 
Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,             
2014  250,000  247,500  255,000  252,450  120,000  118,800 
Ventas Realty, LP/Capital Corp. company guaranty 9s,             
2012 (R)  165,000  180,263  235,000  256,738  110,000  120,175 
Ventas Realty, LP/Capital Corp. sr. notes 6 3/4s, 2017             
(R)  --  --  145,000  143,188  140,000  138,250 
Wyeth notes 5.95s, 2037  --  --  385,000  367,938  410,000  391,830 
    5,210,438    7,141,621    3,834,871 
 
Other    0.4%    0.4%    0.1% 
Dow Jones CDX NA HY pass-through certificates Ser.             
5-T1, 8 3/4s, 2010  3,360,000  3,561,600  2,400,000  2,544,000  960,000  1,017,600 
Lehman Brothers HY TRAINS (Targeted Return Index             
Securities) 144A FRN 7.548s, 2016  7,225,000  7,100,224  7,055,000  6,933,160  --  -- 
    10,661,824    9,477,160    1,017,600 

Technology    0.2%    0.3%    0.3% 
Activant Solutions, Inc. company guaranty 9 1/2s, 2016  70,000  68,775  70,000  68,775  35,000  34,388 
Advanced Micro Devices, Inc. sr. notes 7 3/4s, 2012  208,000  196,040  280,000  263,900  130,000  122,525 
Amkor Technologies, Inc. sr. notes 7 3/4s, 2013  415,000  399,438  373,000  359,013  166,000  159,775 
Amkor Technologies, Inc. sr. unsec. notes 9 1/4s, 2016  --  --  10,000  10,300  10,000  10,300 
Arrow Electronics, Inc. debs. 7 1/2s, 2027  --  --  160,000  166,184  175,000  181,763 
Avnet, Inc. notes 6s, 2015  --  --  160,000  154,198  160,000  154,198 
Celestica, Inc. sr. sub. notes 7 7/8s, 2011 (Canada)  60,000  58,200  85,000  82,450  40,000  38,800 
Celestica, Inc. sr. sub. notes 7 5/8s, 2013 (Canada)  175,000  163,625  145,000  135,575  65,000  60,775 
Compucom Systems, Inc. 144A sr. notes 12s, 2014  165,000  177,375  180,000  193,500  90,000  96,750 
Electronic Data Systems Corp. sec. sr. notes Ser. B,             
6 1/2s, 2013  280,000  276,739  355,000  350,865  175,000  172,962 
Freescale Semiconductor, Inc. 144A sr. notes 9 1/8s,             
2014 (PIK)  225,000  211,500  240,000  225,600  120,000  112,800 
Freescale Semiconductor, Inc. 144A sr. notes 8 7/8s,             
2014  460,000  439,300  485,000  463,175  240,000  229,200 
Freescale Semiconductor, Inc. 144A sr. sub. notes             
10 1/8s, 2016  230,000  216,200  240,000  225,600  120,000  112,800 
Iron Mountain, Inc. company guaranty 8 3/4s, 2018  60,000  61,800  70,000  72,100  35,000  36,050 
Iron Mountain, Inc. company guaranty 8 5/8s, 2013  15,000  15,188  --  --  120,000  121,500 
Iron Mountain, Inc. company guaranty 6 5/8s, 2016  245,000  224,788  90,000  82,575  40,000  36,700 
Iron Mountain, Inc. sr. sub. notes 8 1/4s, 2011  215,000  215,000  360,000  360,000  40,000  40,000 
Lucent Technologies, Inc. debs. 6.45s, 2029  450,000  391,500  440,000  382,800  205,000  178,350 
Nortel Networks, Ltd. 144A company guaranty 10 3/4s,             
2016 (Canada)  50,000  55,250  60,000  66,300  30,000  33,150 
Nortel Networks, Ltd. 144A company guaranty FRN             
9.606s, 2011 (Canada)  160,000  170,200  185,000  196,794  95,000  101,056 
NXP BV/NXP Funding, LLC sec. FRN 8.106s, 2013             
(Netherlands)  170,000  170,213  185,000  185,231  95,000  95,119 
NXP BV/NXP Funding, LLC sec. notes 7 7/8s, 2014             
(Netherlands)  275,000  270,875  300,000  295,500  150,000  147,750 
Open Solutions, Inc. 144A sr. sub. notes 9 3/4s, 2015  65,000  65,650  70,000  70,700  35,000  35,350 
Seagate Technology Hdd Holdings company guaranty 6.8s,             
2016 (Cayman Islands)  95,000  91,067  105,000  100,653  50,000  47,930 
Solectron Global Finance Corp. company guaranty 8s,             
2016  90,000  96,300  110,000  117,700  55,000  58,850 
SunGard Data Systems, Inc. company guaranty 10 1/4s,             
2015  140,000  148,050  160,000  169,200  86,000  90,945 
SunGard Data Systems, Inc. company guaranty 9 1/8s,             
2013  340,000  348,075  416,000  425,880  206,000  210,893 
Unisys Corp. sr. notes 8s, 2012  110,000  106,975  135,000  131,288  70,000  68,075 
Xerox Corp. sr. notes 6 7/8s, 2011  205,000  212,699  240,000  249,014  120,000  124,507 
Xerox Corp. sr. notes 6.4s, 2016  --  --  335,000  337,066  285,000  286,757 
Xerox Corp. unsec. sr. notes 6 3/4s, 2017  65,000  66,676  70,000  71,804  35,000  35,902 
    4,917,498    6,013,740    3,235,920 
 
Transportation    --%    0.1%    0.2% 
American Airlines, Inc. pass-through certificates Ser.             
01-1, 6.817s, 2011  --  --  110,000  109,725  70,000  69,825 
American Airlines, Inc. pass-through certificates Ser.             
01-2, 7.858s, 2011  --  --  115,000  121,613  120,000  126,900 
Continental Airlines, Inc. pass-through certificates             
Ser. 97-4A, 6.9s, 2018  --  --  61,412  63,024  51,177  52,520 
Continental Airlines, Inc. pass-through certificates             
Ser. 98-1A, 6.648s, 2017  --  --  352,593  358,763  248,671  253,022 
Continental Airlines, Inc. pass-through certificates             
Ser. 98-3, 6.32s, 2008  --  --  5,000  5,000  75,000  75,000 
Continental Airlines, Inc. pass-through certificates             
Ser. A, 5.983s, 2022  --  --  230,000  223,100  185,000  179,450 
Delta Air Lines, Inc. 8.3s, 2029  210,000  14,700  230,000  16,100  110,000  7,700 
Northwest Airlines Corp. pass-through certificates             
Ser. 00-1, 7.15s, 2019  --  --  543,880  578,553  469,955  499,915 
Northwest Airlines, Inc. 10s, 2009  155,000  19,956  160,000  20,600  75,000  9,656 
Ryder System, Inc. notes Ser. MTN, 5.95s, 2011  --  --  95,000  95,245  105,000  105,270 
Union Pacific Corp. 144A pass-through certificates             
5.214s, 2014  --  --  115,000  111,118  100,000  96,624 
United AirLines, Inc. pass-through certificates             
6.636s, 2022  --  --  255,000  255,000  215,000  215,000 
    34,656    1,957,841    1,690,882 
 
Utilities & Power    0.2%    0.8%    1.3% 
AEP Texas North Co. sr. notes Ser. B, 5 1/2s, 2013  --  --  165,000  161,812  190,000  186,329 
AES Corp. (The) 144A sec. notes 8 3/4s, 2013  380,000  401,850  530,000  560,475  245,000  259,088 
Appalachian Power Co. sr. notes 5.8s, 2035  --  --  145,000  133,631  120,000  110,592 
Arizona Public Services Co. notes 6 1/2s, 2012  --  --  240,000  245,764  265,000  271,364 
Atmos Energy Corp. sr. unsub. 6.35s, 2017  --  --  320,000  322,682  275,000  277,305 
Beaver Valley II Funding debs. 9s, 2017  --  --  314,000  349,944  348,000  387,836 
Boardwalk Pipelines, LP company guaranty 5 7/8s, 2016  --  --  370,000  362,941  350,000  343,322 
CenterPoint Energy Houston Electric, LLC general ref.             
mtge. Ser. M2, 5 3/4s, 2014  --  --  10,000  9,874  90,000  88,869 
CenterPoint Energy Resources Corp. notes 7 3/4s, 2011  --  --  240,000  255,993  185,000  197,328 
Cleveland Electric Illuminating Co. (The) sr. unsec.             
bond 5.95s, 2036  --  --  655,000  603,725  440,000  405,555 
Cleveland Electric Illuminating Co. (The) 144A sr.             
notes Ser. D, 7.88s, 2017  --  --  115,000  130,164  110,000  124,505 
CMS Energy Corp. sr. notes 7 1/2s, 2009  185,000  190,173  230,000  236,431  120,000  123,355 
CMS Energy Corp. unsub. notes 6.55s, 2017  --  --  20,000  19,600  15,000  14,700 
Colorado Interstate Gas Co. debs. 6.85s, 2037  30,000  30,063  50,000  50,105  25,000  25,052 
Colorado Interstate Gas Co. sr. notes 5.95s, 2015  10,000  9,738  15,000  14,606  10,000  9,738 
Commonwealth Edison Co. 1st mtge. 5.9s, 2036  --  --  385,000  355,884  330,000  305,044 
Consolidated Natural Gas Co. sr. notes 5s, 2014  --  --  180,000  170,022  315,000  297,538 
Dayton Power & Light Co. (The) 1st mtge. 5 1/8s, 2013  --  --  170,000  164,869  160,000  155,171 
Dominion Resources, Inc. jr. sub. notes FRN 6.3s, 2066  --  --  525,000  528,030  405,000  407,337 
Dynegy Holdings, Inc. sr. unsec. notes 8 3/8s, 2016  255,000  249,263  250,000  244,375  115,000  112,413 
Dynegy-Roseton Danskamme company guaranty Ser. B,             
7.67s, 2016  145,000  149,894  195,000  201,581  90,000  93,038 
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016  65,000  64,675  75,000  74,625  40,000  39,800 
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013  75,000  74,250  90,000  89,100  45,000  44,550 
Edison Mission Energy 144A sr. notes 7.2s, 2019  215,000  202,100  205,000  192,700  95,000  89,300 
Edison Mission Energy 144A sr. notes 7s, 2017  150,000  141,375  140,000  131,950  65,000  61,263 
El Paso Corp. sr. notes Ser. MTN, 7 3/4s, 2032  225,000  226,645  215,000  216,572  95,000  95,694 
El Paso Natural Gas Co. 144A sr. unsec. bond 5.95s,             
2017  --  --  40,000  38,744  35,000  33,901 
Enbridge Energy Partners, LP sr. unsec. notes 5 7/8s,             
2016  --  --  205,000  200,210  215,000  209,977 
Entergy Gulf States, Inc. 1st mtge. 5 1/4s, 2015  --  --  215,000  200,254  225,000  209,568 
Ferrellgas, LP/Finance sr. notes 6 3/4s, 2014  215,000  203,713  300,000  284,250  140,000  132,650 
Indianapolis Power & Light 144A 1st mtge. 6.3s, 2013  --  --  115,000  117,205  110,000  112,109 
Indiantown Cogeneration, LP 1st mtge. Ser. A-10,             
9.77s, 2020  --  --  215,000  242,701  225,000  253,989 
Ipalco Enterprises, Inc. sec. notes 8 3/8s, 2008  --  --  90,000  92,025  95,000  97,138 
ITC Holdings Corp. 144A notes 5 7/8s, 2016  --  --  260,000  253,473  285,000  277,846 
Kansas Gas & Electric bonds 5.647s, 2021  --  --  85,000  81,637  80,000  76,834 
Kinder Morgan, Inc. notes 6s, 2017  --  --  175,000  171,445  150,000  146,953 
Kinder Morgan, Inc. sr. notes 6 1/2s, 2012  --  --  150,000  149,143  155,000  154,114 
MidAmerican Energy Holdings Co. bonds 6 1/8s, 2036  --  --  540,000  521,696  565,000  545,848 
Mirant Americas Generation, Inc. sr. notes 8.3s, 2011  215,000  221,988  215,000  221,988  100,000  103,250 
Mirant North America, LLC company guaranty 7 3/8s, 2013  375,000  383,438  410,000  419,225  205,000  209,613 
National Fuel Gas Co. notes 5 1/4s, 2013  --  --  145,000  141,030  100,000  97,262 
Nevada Power Co. general ref. mtge. Ser. L, 5 7/8s,             
2015  --  --  110,000  107,454  145,000  141,644 
Northwestern Corp. sec. notes 5 7/8s, 2014  --  --  265,000  257,164  285,000  276,573 
NRG Energy, Inc. company guaranty 7 3/8s, 2017  100,000  100,250  110,000  110,275  55,000  55,138 
NRG Energy, Inc. sr. notes 7 3/8s, 2016  820,000  822,050  775,000  776,938  360,000  360,900 
Oncor Electric Delivery Co. debs. 7s, 2022  --  --  145,000  151,435  130,000  135,769 
Oncor Electric Delivery Co. sec. notes 7 1/4s, 2033  --  --  195,000  211,225  220,000  238,305 
Pacific Gas & Electric Co. sr. unsub. 5.8s, 2037  --  --  260,000  242,583  225,000  209,927 
PacifiCorp Sinking Fund 1st mtge. 5.45s, 2013  --  --  165,000  162,562  40,000  39,409 
Potomac Edison Co. 144A 1st mtge. 5.8s, 2016  --  --  260,000  256,590  285,000  281,262 
Power Receivable Finance, LLC 144A sr. notes 6.29s,             
2012  --  --  203,837  205,969  176,198  178,041 
PPL Energy Supply, LLC bonds Ser. A, 5.7s, 2015  --  --  135,000  130,370  145,000  140,027 
Progress Energy, Inc. sr. unsecd. notes 5 5/8s, 2016  --  --  205,000  200,791  220,000  215,483 
PSEG Energy Holdings, Inc. sr. notes 8 1/2s, 2011  175,000  185,354  225,000  238,312  110,000  116,508 
Public Service Co. of Colorado sr. notes Ser. A,             
6 7/8s, 2009  --  --  215,000  220,305  205,000  210,058 
Public Service Co. of New Mexico sr. notes 4.4s, 2008  --  --  125,000  123,283  100,000  98,627 
Puget Sound Energy, Inc. jr. sub. FRN Ser. A, 6.974s,             
2067  --  --  415,000  410,283  355,000  350,965 
Sierra Pacific Power Co. general ref. mtge. Ser. P,             
6 3/4s, 2037  --  --  755,000  761,040  600,000  604,800 
Sierra Pacific Resources sr. notes 8 5/8s, 2014  90,000  96,598  125,000  134,164  60,000  64,399 
Southern California Edison Co. notes 6.65s, 2029  --  --  255,000  267,535  275,000  288,518 
Southern California Edison Co. 06-E 1st mtge. 5.55s,             
2037  --  --  270,000  249,329  280,000  258,564 
Southern Natural Gas. Co. 144A notes 5.9s, 2017  --  --  155,000  150,685  130,000  126,381 
Spectra Energy Capital, LLC sr. notes 8s, 2019  --  --  250,000  277,815  215,000  238,921 
Teco Energy, Inc. notes 7.2s, 2011  265,000  274,627  610,000  632,161  430,000  445,622 
Teco Energy, Inc. sr. notes 6 3/4s, 2015  10,000  10,200  10,000  10,200  5,000  5,100 
Tennessee Gas Pipeline Co. unsec. notes 7 1/2s, 2017  25,000  26,901  30,000  32,281  15,000  16,141 
TEPPCO Partners, LP company guaranty FRB 7s, 2067  --  --  205,000  196,034  175,000  167,346 
TransAlta Corp. notes 5 3/4s, 2013 (Canada)  --  --  140,000  136,580  150,000  146,336 
TransCanada Pipelines, Ltd. jr. sub. FRN 6.35s, 2067             
(Canada)  --  --  180,000  173,044  155,000  149,010 
TXU Corp. sr. notes Ser. P, 5.55s, 2014  400,000  339,571  435,000  369,283  220,000  186,764 
TXU Energy Co. 144A sr. unsec. FRN 5.86s, 2008  --  --  1,040,000  1,039,966  830,000  829,973 
Westar Energy, Inc. 1st mtge. 5.15s, 2017  --  --  15,000  13,949  45,000  41,847 
Westar Energy, Inc. 1st mtge. 5.1s, 2020  --  --  175,000  157,456  165,000  148,458 

Williams Cos., Inc. (The) notes 7 5/8s, 2019  440,000  464,200  420,000  443,100  195,000  205,725 
Williams Cos., Inc. (The) 144A notes 6 3/8s, 2010  50,000  50,125  60,000  60,150  30,000  30,075 
Williams Partners, LP/ Williams Partners Finance Corp.             
company guaranty 7 1/4s, 2017  80,000  80,400  85,000  85,425  40,000  40,200 
    4,999,441    17,958,217    14,229,954 
 
Total corporate bonds and notes
 (cost $90,876,248, $162,445,698 and $105,120,089)    $90,293,550    $160,423,384    $103,702,860 
 
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS(a)  Growth 3.0%  Balanced 12.4%  Conservative 22.5% 
  Principal      Principal      Principal   
  amount  Value   amount  Value  amount  Value 
U.S. Government Guaranteed Mortgage Obligations    0.2%    0.8%    1.4% 
Government National Mortgage Association Pass-Through             
Certificates             
6 1/2s, TBA, September 1, 2037  $1,300,000  $1,314,523  $5,900,000  $5,965,914  $5,000,000  $5,055,860 
6 1/2s, TBA, August 1, 2037  800,000  811,312  3,500,000  3,549,492  3,000,000  3,042,422 
6 1/2s, TBA, July 1, 2037  1,800,000  1,829,953  8,200,000  8,336,453  7,000,000  7,116,484 
    3,955,788    17,851,859    15,214,766 
 
U.S. Government Agency Mortgage Obligations    2.8%    11.6%    21.1% 
Federal Home Loan Mortgage Corporation Pass-Through             
Certificates             
6s, with due dates from July 1, 2013 to October 1, 2021  487,176  489,467  51,273  51,484  60,914  61,164 
5 1/2s, with due dates from June 1, 2035 to             
November 1, 2036  77,057  74,405  368,527  356,939  368,527  356,939 
5 1/2s, with due dates from August 1, 2012 to             
April 1, 2020  627,350  619,457  351,740  348,356  482,670  478,155 
Federal National Mortgage Association Pass-Through             
Certificates             
7s, with due dates from October 1, 2029 to             
January 1, 2036  1,262,137  1,302,913  2,450,490  2,530,589  3,417,913  3,521,119 
7s, with due dates from December 1, 2015 to             
March 1, 2018  17,252  17,616  --  --  498,270  512,016 
6 1/2s, with due dates from October 1, 2033 to             
November 1, 2034  30,580  30,988  434,848  440,900  862,714  874,239 
6 1/2s, TBA, July 1, 2037  7,300,000  7,367,867  23,300,000  23,516,618  20,800,000  20,993,376 
6s, with due dates from August 1, 2032 to June 1, 2037  27,157  27,016  965,850  956,714  938,518  930,096 
6s, with due dates from November 1, 2007 to             
September 1, 2021  2,784,675  2,798,246  5,128,864  5,147,190  2,794,046  2,803,366 
6s, TBA, July 1, 2037  16,260,000  16,080,886  60,460,000  59,793,997  51,730,000  51,160,163 
5 1/2s, with due dates from June 1, 2035 to             
June 1, 2037  579,711  560,350  34,503,503  33,302,401  4,820,822  4,654,659 
5 1/2s, with due dates from September 1, 2013 to             
February 1, 2021  360,915  356,474  1,334,760  1,319,095  1,368,919  1,352,952 
5 1/2s, TBA, July 1, 2037  11,400,000  10,989,422  47,000,000  45,307,267  14,600,000  14,074,172 
5s, with due dates from May 1, 2034 to June 1, 2037  2,323,611  2,179,885  11,435,638  10,739,699  7,535,439  7,072,716 
5s, with due dates from December 1, 2020 to May 1, 2021  8,211  7,948  240,331  232,304  24,523  23,704 
4 1/2s, with due dates from November 1, 2020 to             
November 1, 2035  2,308,053  2,156,267  1,990,435  1,852,540  1,066,365  978,781 
4 1/2s, with due dates from April 1, 2020 to             
October 1, 2020  510,131  484,849  4,522,107  4,296,532  3,160,496  3,002,842 
4 1/2s, TBA, July 1, 2022  30,600,000  29,031,750  87,400,000  82,920,750  120,200,000  114,039,750 
    74,575,806    273,113,375    226,890,209 
Total U.S. government and agency mortgage obligations
(cost $78,771,874, $292,634,867 and $242,583,553)     $78,531,594    $290,965,234    $242,104,975 
 
U.S. TREASURY OBLIGATIONS(a)  Growth 0.1%  Balanced 0.1%    Conservative --% 
  Principal      Principal       Principal   
  amount  Value  amount  Value   amount  Value 
U.S. Treasury Notes             
4 1/4s, August 15, 2014  $200,000  $191,281  $3,400,000  $3,251,781  $--  $-- 
4 1/4s, November 15, 2013  20,000  19,255  100,000  96,273  --  -- 
3 1/2s, November 15, 2009  1,700,000  1,647,273  --  --  --  -- 
 
Total U.S. treasury obligations
 (cost $1,902,630, $3,517,544 and $--)    $1,857,809    $3,348,054    $-- 
 
COLLATERALIZED MORTGAGE OBLIGATIONS(a)  Growth 2.3%  Balanced 7.6%    Conservative 15.2% 
  Principal      Principal       Principal   
  amount  Value  amount  Value   amount  Value 
Amresco Commercial Mortgage Funding I 144A             
Ser. 97-C1, Class G, 7s, 2029  $--  $--  $15,283  $15,283  $16,754  $16,754 
Ser. 97-C1, Class H, 7s, 2029  38,000  37,912  173,000  172,601  168,000  167,613 
Asset Securitization Corp.             
Ser. 96-MD6, Class A7, 7.866s, 2029  --  --  569,000  603,749  634,000  672,718 
Ser. 96-D3, Class A1C, 7.4s, 2026  47,712  48,627  292,020  297,621  208,668  212,670 
FRB Ser. 97-D5, Class A5, 7.124s, 2043  150,000  158,799  234,000  247,727  247,000  261,490 
Banc of America Commercial Mortgage, Inc.             
Ser. 01-1, Class G, 7.324s, 2036  --  --  200,000  207,436  200,000  207,436 
Ser. 06-4, Class A4, 5.634s, 2046  480,000  472,486  920,000  905,599  1,140,000  1,122,155 
Ser. 04-3, Class A5, 5.481s, 2039  230,000  226,550  920,000  906,200  930,000  916,050 
Ser. 06-5, Class A4, 5.414s, 2047  718,000  696,643  1,343,000  1,303,053  1,576,000  1,529,122 
Ser. 07-1, Class XW, Interest Only (IO), 0.465s, 2049  1,833,911  42,219  9,971,082  229,546  5,102,971  117,476 
Ser. 06-1, Class XC, IO, 0.054s, 2045  1,769,009  12,512  11,651,023  82,408  12,793,280  90,488 
Banc of America Commercial Mortgage, Inc. 144A             
Ser. 01-PB1, Class K, 6.15s, 2035  --  --  133,000  133,991  133,000  133,991 
Ser. 02-PB2, Class XC, IO, 0.246s, 2035  2,779,704  51,142  4,137,801  76,129  2,459,720  45,255 
Ser. 04-4, Class XC, IO, 0.151s, 2042  4,346,150  68,182  12,336,248  193,531  9,723,934  152,549 
Ser. 05-1, Class XW, IO, 0.138s, 2042  20,889,935  74,063  --  --  26,217,275  92,950 
Ser. 04-5, Class XC, IO, 0.121s, 2041  5,905,058  76,655  14,333,499  186,066  14,829,402  192,503 
Ser. 05-4, Class XC, IO, 0.071s, 2045  6,302,465  45,525  17,937,557  129,569  18,006,051  130,064 
Ser. 06-5, Class XC, IO, 0.053s, 2016  1,260,777  19,535  25,960,224  402,241  22,244,775  344,672 
Banc of America Large Loan             
FRB Ser. 04-BBA4, Class H, 6.27s, 2018  25,000  25,083  70,000  70,232  73,000  73,242 
FRB Ser. 04-BBA4, Class G, 6.02s, 2018  --  --  94,000  94,058  98,000  98,060 
Banc of America Large Loan 144A             
FRB Ser. 05-MIB1, Class K, 7.32s, 2022  190,000  189,689  186,000  185,695  187,000  186,694 
FRB Ser. 06-LAQ, Class M, 6.97s, 2021  --  --  245,000  244,999  265,000  264,999 
FRB Ser. 06-LAQ, Class L, 6.87s, 2021  --  --  324,000  324,155  346,000  346,165 
FRB Ser. 05-MIB1, Class J, 6.37s, 2022  100,000  100,243  409,000  409,995  343,000  343,835 
FRB Ser. 06-LAQ, Class K, 6.32s, 2021  122,000  122,000  --  --  --  -- 
FRB Ser. 06-LAQ, Class A3, 5.51s, 2021  443,000  442,673  --  --  --  -- 
Ser. 06-LAQ, Class X1, IO, 0.697s, 2021  6,661,000  8,178  13,384,000  16,432  19,290,000  23,683 
Ser. 03-BBA2, Class X1A, IO, 0.175s, 2015 (F)  333,413  1  953,906  1  872,308  1 
Banc of America Mortgage Securities             
Ser. 04-D, Class 2A, IO, 0.366s, 2034  827,753  2,749  2,820,537  9,367  2,715,176  9,017 
Ser. 05-E, Class 2, IO, 0.306s, 2035  2,263,595  12,606  7,564,649  42,126  7,283,699  40,562 
Banc of America Structured Security Trust 144A Ser.             
02-X1, Class A3, 5.436s, 2033  --  --  339,726  337,979  348,527  346,735 
Bayview Commercial Asset Trust 144A             
FRB Ser. 05-1A, Class A1, 5.62s, 2035  40,612  40,648  311,357  311,637  230,134  230,341 
Ser. 05-1A, IO, 1.6s, 2035  481,473  34,869  1,340,065  97,050  1,280,331  92,724 
Ser. 04-3, IO, 1.6s, 2035  404,489  27,840  1,030,625  70,936  1,014,219  69,807 
Ser. 07-2A, IO, 1.3s, 2037  1,991,000  285,310  5,485,000  786,001  4,688,000  671,790 
Ser. 07-1, Class S, IO, 1.211s, 2037  1,234,450  160,355  7,695,763  999,680  3,562,780  462,805 
Ser. 06-2A, IO, 0.879s, 2036  152,631  13,655  731,915  65,482  696,212  62,287 
Ser. 05-3A, IO, 0.775s, 2035  1,422,144  114,273  4,581,810  368,161  4,138,599  332,548 
Bear Stearns Alternate Trust Ser. 04-9, Class 1A1,             
5.103s, 2034  39,193  39,061  103,563  103,214  94,478  94,160 
Bear Stearns Commercial Mortgage Securities, Inc.             
FRB Ser. 00-WF2, Class F, 8.453s, 2032  --  --  189,000  205,711  124,000  134,964 
Ser. 04-PR3I, Class X1, IO, 0.118s, 2041  484,596  9,690  3,246,531  64,921  5,275,071  105,486 
Ser. 05-PWR9, Class X1, IO, 0.08s, 2042  --  --  8,889,777  87,098  13,390,245  131,192 
Bear Stearns Commercial Mortgage Securities, Inc. 144A             
Ser. 06-BBA7, Class X1A, IO, 1.815s, 2019  --  --  7,849,800  52,890  5,736,600  38,652 
Ser. 06-PW14, Class XW, IO, 0.884s, 2038  3,200,633  156,906  8,783,781  430,611  8,048,474  394,564 
Ser. 06-PW14, Class X1, IO, 0.052s, 2038  3,442,077  61,312  9,445,258  168,244  8,656,075  154,186 
Ser. 07-PW15, Class X1, IO, 0.046s, 2044  6,202,036  76,338  29,427,447  362,208  20,007,986  246,268 
Ser. 05-PW10, Class X1, IO, 0.032s, 2040  11,516,723  51,739  --  --  --  -- 
Ser. 07-PW16, Class X, IO, 0.022s, 2040  10,198,000  11,809  87,539,000  101,370  56,313,000  65,210 
Bear Stearns Small Balance Commercial Trust 144A Ser.             
06-1A, Class AIO, IO, 1s, 2034  --  --  2,681,000  44,299  2,794,000  46,166 
Chase Commercial Mortgage Securities Corp. Ser. 00-3,             
Class A2, 7.319s, 2032  10,000  10,414  118,000  122,888  116,000  120,805 
Chase Commercial Mortgage Securities Corp. 144A             
Ser. 98-1, Class F, 6.56s, 2030  --  --  962,000  986,137  896,000  918,481 
Ser. 98-1, Class G, 6.56s, 2030  --  --  249,000  248,378  231,000  230,423 
Ser. 98-1, Class H, 6.34s, 2030  91,000  78,718  371,000  320,927  362,000  313,141 
Citigroup Commercial Mortgage Trust 144A             
Ser. 05-C3, Class XC, IO, 0.09s, 2043  13,522,421  139,978  25,140,635  260,245  24,185,593  250,359 
Ser. 06-C5, Class XC, IO, 0.054s, 2049  6,643,089  94,456  37,344,799  530,996  40,408,384  574,557 
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A             
Ser. 07-CD4, Class XW, IO, 0.561s, 2049  3,351,000  91,367  10,047,000  273,938  7,975,000  217,443 
Ser. 06-CD2, Class X, IO, 0.129s, 2046  2,491,433  14,209  16,455,813  93,848  18,057,662  102,983 
Ser. 07-CD4, Class XC, IO, 0.044s, 2049  11,208,000  105,951  33,599,000  317,616  26,669,000  252,105 
CNL Funding Ser. 99-1, Class A2, 7.645s, 2014  122,000  129,311  455,000  482,267  286,000  303,139 
Commercial Mortgage Acceptance Corp. Ser. 97-ML1, IO,             
0.848s, 2017  1,413,092  19,927  5,335,282  75,236  3,465,521  48,869 
Commercial Mortgage Acceptance Corp. 144A             
Ser. 98-C1, Class F, 6.23s, 2031  --  --  415,000  421,040  404,000  409,880 
Ser. 98-C2, Class F, 5.44s, 2030  1,370,000  1,351,793  2,607,000  2,572,353  2,247,000  2,217,137 
Commercial Mortgage Pass-Through Certificates Ser.             
06-C7, Class A4, 5.962s, 2046  80,000  79,894  --  --  --  -- 
Commercial Mortgage Pass-Through Certificates 144A             
FRB Ser. 01-J2A, Class A2F, 5.82s, 2034  118,000  118,000  326,000  326,000  314,000  314,000 
Ser. 06-CN2A, Class H, 5.756s, 2019  66,000  64,920  197,000  193,776  218,000  214,432 
Ser. 06-CN2A, Class J, 5.756s, 2019  53,000  51,967  158,000  154,920  174,000  170,608 
Ser. 03-LB1A, Class X1, IO, 0.356s, 2038  940,080  37,126  1,998,610  78,929  2,160,304  85,315 

Ser. 05-LP5, Class XC, IO, 0.071s, 2043  5,811,277  53,121  12,944,482  118,326  12,592,824  115,111 
Ser. 05-C6, Class XC, IO, 0.059s, 2044  8,787,379  60,756  25,760,220  178,106  12,938,216  89,455 
Ser. 06-C8, Class XS, IO, 0.049s, 2046  10,613,417  130,184  28,710,897  352,168  26,157,240  320,845 
Countrywide Alternative Loan Trust             
Ser. 07-23CB, Class A, 5s, 2037  2,095,000  70,052  11,066,000  370,019  9,278,000  310,233 
Ser. 05-24, Class IIAX, IO, 2.391s, 2035  868,136  22,358  2,411,696  62,111  2,306,538  59,403 
Ser. 06-OA10, Class XBI, IO, 2.167s, 2046  337,263  12,226  1,540,400  55,840  1,502,830  54,478 
Ser. 05-24, Class 1AX, IO, 1.218s, 2035  2,039,540  36,742  2,964,912  53,413  2,841,014  51,181 
IFB Ser. 06-6CB, Class 1A3, IO, zero %, 2036  1,509,851  2,595  4,212,829  7,241  4,345,933  7,470 
Credit Suisse Mortgage Capital Certificates Ser.             
06-C5, Class AX, IO, 0.076s, 2039  6,750,485  117,080  18,263,668  316,765  16,642,473  288,647 
Credit Suisse Mortgage Capital Certificates 144A             
FRB Ser. 06-TFLA, Class K, 6.52s, 2021  50,000  50,000  --  --  484,000  484,000 
Ser. 07-C2, Class AX, IO, 0.28s, 2049  17,369,339  198,115  47,755,433  544,698  37,721,392  430,250 
Ser. 07-C1, Class AX, IO, 0.058s, 2040  7,628,027  81,940  36,654,908  393,747  24,879,041  267,251 
Ser. 06-C3, Class AX, IO, 0.035s, 2038  15,481,801  16,937  68,541,179  74,984  74,149,891  81,120 
CRESI Finance Limited Partnership 144A FRB Ser. 06-A,             
Class C, 5.92s, 2017  --  --  155,000  154,999  161,000  160,999 
Criimi Mae Commercial Mortgage Trust 144A Ser. 98-C1,             
Class B, 7s, 2033  1,602,000  1,604,723  --  --  --  -- 
Crown Castle Towers, LLC 144A Ser. 05-1A, Class D,             
5.612s, 2035  228,000  224,945  620,000  611,692  597,000  589,000 
CS First Boston Mortgage Securities Corp.             
Ser. 97-C2, Class F, 7.46s, 2035  52,000  55,954  303,000  326,041  294,000  316,357 
Ser. 04-C2, Class A2, 5.416s, 2036  260,000  254,309  1,050,000  1,027,016  1,050,000  1,027,016 
CS First Boston Mortgage Securities Corp. 144A             
Ser. 98-C2, Class F, 6 3/4s, 2030  353,000  366,293  --  --  --  -- 
FRB Ser. 04-TF2A, Class J, 6.27s, 2016  153,000  152,975  310,000  309,949  349,000  348,942 
FRB Ser. 05-TFLA, Class J, 6.27s, 2020  --  --  67,000  67,000  65,500  65,500 
FRB Ser. 05-TF2A, Class J, 6.22s, 2020  133,000  133,010  449,000  449,035  451,000  451,035 
FRB Ser. 04-TF2A, Class H, 6.02s, 2019  100,000  99,999  132,000  131,999  128,000  127,999 
Ser. 01-CK1, Class AY, IO, 0.894s, 2035  5,014,000  102,630  13,888,000  284,270  13,364,000  273,544 
Ser. 03-C3, Class AX, IO, 0.42s, 2038  8,389,559  327,448  16,260,685  634,661  18,808,394  734,099 
Ser. 02-CP3, Class AX, IO, 0.415s, 2035  1,216,233  46,535  8,291,478  317,243  5,988,674  229,135 
Ser. 04-C4, Class AX, IO, 0.21s, 2039  685,032  15,922  4,589,522  106,670  3,626,984  84,298 
Ser. 05-C2, Class AX, IO, 0.135s, 2037  5,770,795  87,237  13,293,333  200,955  16,758,373  253,336 
Deutsche Mortgage & Asset Receiving Corp.             
Ser. 98-C1, Class C, 6.861s, 2031  50,000  50,188  --  --  --  -- 
Ser. 98-C1, Class X, IO, 0.831s, 2031  2,237,452  21,238  8,670,773  82,305  6,492,801  61,631 
DLJ Commercial Mortgage Corp.             
Ser. 00-CF1, Class A1B, 7.62s, 2033  38,650  40,453  467,769  489,589  458,849  480,254 
Ser. 99-CG2, Class B3, 6.1s, 2032  --  --  378,000  376,945  332,000  331,073 
Ser. 99-CG2, Class B4, 6.1s, 2032  --  --  571,000  565,690  551,000  545,876 
Ser. 98-CF2, Class B3, 6.04s, 2031  --  --  100,000  100,597  100,000  100,597 
Fannie Mae             
Ser. 03-W6, Class PT1, 10.06s, 2042  36,597  38,980  145,800  155,295  85,182  90,729 
IFB Ser. 06-70, Class SM, 9.605s, 2036  --  --  119,795  122,727  112,359  115,110 
Ser. 02-T1, Class A4, 9 1/2s, 2031  4,386  4,610  --  --  --  -- 
Ser. 02-T4, Class A4, 9 1/2s, 2041  35,357  37,042  286,404  300,058  36,746  38,498 
Ser. 02-T6, Class A3, 9 1/2s, 2041  35,897  37,541  91,474  95,665  90,215  94,347 
Ser. 02-T12, Class A4, 9 1/2s, 2042  17,691  18,542  45,229  47,407  44,500  46,643 
Ser. 04-T3, Class PT1, 9.179s, 2044  34,953  37,402  232,215  248,487  110,483  118,225 
IFB Ser. 06-62, Class PS, 7.98s, 2036  200,909  209,086  383,067  398,657  311,633  324,315 
IFB Ser. 05-37, Class SU, 7.92s, 2035  143,712  149,381  574,846  597,523  574,846  597,523 
IFB Ser. 06-49, Class SE, 7.72s, 2036  325,628  334,421  919,643  944,474  796,711  818,223 
IFB Ser. 06-48, Class TQ, 7.68s, 2036  --  --  639,742  652,817  675,757  689,568 
IFB Ser. 06-70, Class SJ, 7.68s, 2036  205,400  213,630  --  --  89,694  93,288 
IFB Ser. 06-76, Class QB, 7.68s, 2036  341,737  354,339  538,962  558,837  484,429  502,294 
IFB Ser. 06-60, Class AK, 7.52s, 2036  147,225  148,202  588,001  591,903  452,446  455,449 
Ser. 99-T2, Class A1, 7 1/2s, 2039  105,900  110,461  28,748  29,986  22,725  23,704 
Ser. 00-T6, Class A1, 7 1/2s, 2030  --  --  --  --  1,111  1,150 
Ser. 01-T1, Class A1, 7 1/2s, 2040  13,759  14,209  72,905  75,292  45,862  47,364 
Ser. 01-T3, Class A1, 7 1/2s, 2040  13,721  14,166  34,760  35,887  36,132  37,304 
Ser. 01-T4, Class A1, 7 1/2s, 2028  20,040  20,924  132,269  138,100  108,220  112,991 
Ser. 01-T5, Class A3, 7 1/2s, 2030  13,005  13,443  282,149  291,662  57,108  59,034 
Ser. 01-T10, Class A2, 7 1/2s, 2041  9,662  9,987  103,415  106,896  79,713  82,396 
Ser. 01-T12, Class A2, 7 1/2s, 2041  51,872  53,569  144,362  149,089  138,518  143,053 
Ser. 02-14, Class A2, 7 1/2s, 2042  138,081  143,075  540,014  559,547  642,571  665,813 
Ser. 02-26, Class A2, 7 1/2s, 2048  85,315  88,566  490,511  509,205  429,418  445,783 
Ser. 02-T1, Class A3, 7 1/2s, 2031  33,333  34,531  690,363  715,156  104,388  108,137 
Ser. 02-T4, Class A3, 7 1/2s, 2041  51,958  53,726  387,159  400,333  469,963  485,955 
Ser. 02-T12, Class A3, 7 1/2s, 2042  19,671  20,346  112,757  116,623  66,038  68,303 
Ser. 02-T19, Class A3, 7 1/2s, 2042  25,366  26,329  --  --  --  -- 
Ser. 03-W1, Class 2A, 7 1/2s, 2042  122,166  126,566  1,257,296  1,302,587  941,891  975,820 
Ser. 03-W10, Class 1A1, 7 1/2s, 2032  29,520  30,579  192,140  199,032  188,472  195,232 
Ser. 04-T2, Class 1A4, 7 1/2s, 2043  70,216  73,193  192,085  200,230  184,015  191,817 
Ser. 04-T3, Class 1A4, 7 1/2s, 2044  3,316  3,457  14,738  15,363  9,580  9,986 
IFB Ser. 06-63, Class SP, 7.38s, 2036  370,665  377,685  585,687  596,779  526,309  536,276 
IFB Ser. 06-60, Class TK, 7.32s, 2036  99,927  99,759  258,810  258,375  243,821  243,411 
IFB Ser. 06-104, Class GS, 7.046s, 2036  --  --  247,801  248,237  249,650  250,089 
Ser. 01-T10, Class A1, 7s, 2041  --  --  4,215  4,313  6,070  6,211 
Ser. 01-W3, Class A, 7s, 2041  75,161  77,179  91,173  93,621  91,663  94,124 
Ser. 02-14, Class A1, 7s, 2042  186,899  191,552  380,629  390,105  358,033  366,946 
Ser. 02-26, Class A1, 7s, 2048  47,609  48,855  270,327  277,401  271,488  278,592 
Ser. 02-T4, Class A2, 7s, 2041  21,624  22,134  98,420  100,742  74,093  75,841 
Ser. 02-T16, Class A2, 7s, 2042  45,358  46,532  257,373  264,039  258,414  265,106 
Ser. 02-T18, Class A3, 7s, 2042  18,609  19,094  --  --  --  -- 
Ser. 03-W3, Class 1A2, 7s, 2042  77,170  79,180  124,912  128,164  125,784  129,059 
Ser. 03-W8, Class 2A, 7s, 2042  38,989  40,070  --  --  --  -- 
Ser. 04-T2, Class 1A3, 7s, 2043  52,546  54,108  --  --  --  -- 
Ser. 04-T3, Class 1A3, 7s, 2044  84,987  87,503  311,737  320,964  --  -- 
Ser. 04-W1, Class 2A2, 7s, 2033  455,009  468,277  1,181,192  1,215,636  1,136,050  1,169,178 
Ser. 04-W12, Class 1A3, 7s, 2044  182,449  187,950  --  --  --  -- 
Ser. 05-W4, Class 1A3, 7s, 2035  157,589  162,606  636,003  656,255  544,966  562,319 
IFB Ser. 06-104, Class ES, 6.85s, 2036  133,954  135,459  587,549  594,152  669,769  677,296 
Ser. 371, Class 2, IO, 6 1/2s, 2036  2,323,996  598,068  5,213,702  1,341,719  4,969,835  1,278,961 
IFB Ser. 07-1, Class NK, IO, 6.49s, 2037  304,300  307,759  1,988,788  2,011,392  1,529,040  1,546,418 
Ser. 07-76, Class SA, IO, 6s, 2037  520,000  24,173  1,247,000  57,968  1,247,000  57,968 
IFB Ser. 06-104, Class CS, 5.76s, 2036  146,830  137,316  610,054  570,524  754,989  706,067 
IFB Ser. 05-74, Class SK, 5 1/2s, 2035  185,463  178,294  631,857  607,434  608,574  585,050 
IFB Ser. 05-74, Class CS, 5.39s, 2035  160,574  154,324  387,785  372,693  390,194  375,008 
IFB Ser. 06-30, Class HK, 5.32s, 2036  189,577  174,840  --  --  --  -- 
IFB Ser. 06-115, Class ES, 5.28s, 2036  --  --  783,958  761,287  602,897  585,462 
IFB Ser. 05-74, Class CP, 5.243s, 2035  160,574  154,729  340,416  328,026  342,022  329,573 
IFB Ser. 07-30, Class FS, 5.187s, 2037  716,073  650,700  1,921,676  1,746,238  1,477,455  1,342,572 
IFB Ser. 05-57, Class CD, 5.175s, 2035  165,506  160,016  297,912  288,030  289,637  280,029 
IFB Ser. 06-8, Class PK, 5.12s, 2036  200,970  183,740  596,516  545,373  655,894  599,659 
IFB Ser. 06-8, Class HP, 5.06s, 2036  179,259  169,342  508,778  480,632  562,380  531,268 
IFB Ser. 06-8, Class WK, 5.06s, 2036  185,297  173,568  812,526  761,096  894,056  837,466 
IFB Ser. 06-27, Class SP, 5.06s, 2036  200,000  192,165  452,000  434,293  498,000  478,491 
IFB Ser. 05-99, Class SA, 5.06s, 2035  84,367  80,619  405,805  387,778  407,493  389,390 
IFB Ser. 05-106, Class US, 5.06s, 2035  260,466  249,990  830,697  797,288  833,983  800,443 
IFB Ser. 05-115, Class NQ, 4.988s, 2036  --  --  202,732  185,999  204,256  187,398 
IFB Ser. 05-114, Class SP, 4.95s, 2036  --  --  242,838  223,661  244,579  225,265 
IFB Ser. 05-45, Class DA, 4.913s, 2035  190,548  179,564  570,848  537,943  666,122  627,724 
IFB Ser. 05-74, Class DM, 4.877s, 2035  229,943  216,364  785,706  739,307  756,455  711,783 
IFB Ser. 05-45, Class DC, 4.803s, 2035  158,790  148,981  555,763  521,432  396,974  372,451 
IFB Ser. 06-46, Class SK, 4.693s, 2036  246,450  229,703  --  --  --  -- 
IFB Ser. 06-60, Class CS, 4.583s, 2036  119,225  104,558  260,632  228,569  234,754  205,874 
IFB Ser. 05-57, Class DC, 4.485s, 2034  165,289  159,307  519,481  500,679  503,739  485,507 
IFB Ser. 05-45, Class PC, 4.29s, 2034  80,158  76,737  241,946  231,618  242,681  232,322 
IFB Ser. 05-95, Class CP, 4.089s, 2035  --  --  77,578  73,321  77,578  73,321 
IFB Ser. 05-95, Class OP, 3.923s, 2035  --  --  227,000  196,626  228,000  197,492 
IFB Ser. 05-106, Class JC, 3.628s, 2035  --  --  171,376  145,668  163,039  138,582 
IFB Ser. 05-72, Class SB, 3.575s, 2035  --  --  884,136  802,520  677,680  615,122 
IFB Ser. 05-83, Class QP, 3.562s, 2034  --  --  136,196  120,279  136,196  120,279 
IFB Ser. 02-36, Class QH, IO, 2.73s, 2029  496  1  1,858  3  1,385  2 
IFB Ser. 07-W6, Class 6A2, IO, 2.48s, 2037  104,808  6,698  1,006,152  64,299  808,515  51,669 
IFB Ser. 06-90, Class SE, IO, 2.48s, 2036  200,215  18,421  727,819  66,962  1,059,505  97,479 
IFB Ser. 03-66, Class SA, IO, 2.33s, 2033  205,345  15,089  667,649  49,059  670,085  49,238 
Ser. 03-W12, Class 2, IO, 2.233s, 2043  1,164,020  69,146  2,319,371  137,778  1,907,784  113,328 
IFB Ser. 07-W6, Class 5A2, IO, 1.97s, 2037  134,929  7,990  1,294,320  76,647  1,040,453  61,614 
IFB Ser. 07-W2, Class 3A2, IO, 1.96s, 2037  296,861  16,120  1,523,108  82,705  1,283,486  69,693 
IFB Ser. 07-W4, Class 4A2, IO, 1.96s, 2037  939,458  51,952  4,857,638  268,627  4,267,402  235,987 
Ser. 03-W10, Class 1, IO, 1.936s, 2043  1,035,728  52,490  4,950,944  250,911  7,205,104  365,151 
Ser. 03-W10, Class 3, IO, 1.932s, 2043  363,377  18,695  1,491,946  76,757  1,164,007  59,885 
IFB Ser. 05-113, Class AI, IO, 1.91s, 2036  --  --  235,447  16,386  342,601  23,843 
IFB Ser. 05-113, Class DI, IO, 1.91s, 2036  1,309,587  76,023  4,466,838  259,306  4,092,228  237,560 
IFB Ser. 05-52, Class DC, IO, 1.88s, 2035  303,670  26,983  674,757  59,956  702,201  62,395 
IFB Ser. 04-24, Class CS, IO, 1.83s, 2034  270,430  17,189  933,400  59,328  901,434  57,297 
IFB Ser. 04-89, Class EI, IO, 1.83s, 2034  730,938  48,359  --  --  --  -- 
IFB Ser. 06-60, Class SI, IO, 1.83s, 2036  576,576  38,572  1,512,887  101,209  1,272,064  85,098 
IFB Ser. 03-122, Class SA, IO, 1.78s, 2028  335,875  14,794  1,193,503  52,568  1,148,481  50,585 
IFB Ser. 03-122, Class SJ, IO, 1.78s, 2028  358,117  16,079  1,272,503  57,135  1,222,050  54,869 
IFB Ser. 06-60, Class DI, IO, 1 3/4s, 2035  192,409  10,107  698,462  36,689  1,016,798  53,411 
IFB Ser. 04-60, Class SW, IO, 1.73s, 2034  493,570  32,904  1,718,257  114,549  1,647,328  109,820 
IFB Ser. 05-65, Class KI, IO, 1.68s, 2035  865,463  44,407  1,277,460  65,547  1,595,748  81,878 
Ser. 03-W8, Class 12, IO, 1.637s, 2042  1,574,384  74,918  5,586,488  265,837  4,301,403  204,685 
IFB Ser. 07-30, Class WI, IO, 1.44s, 2037  2,734,086  128,902  9,342,011  440,442  7,451,872  351,329 
IFB Ser. 07-39, Class PI, IO, 1.44s, 2037  369,000  18,863  961,000  49,126  807,000  41,253 
IFB Ser. 05-17, Class ES, IO, 1.43s, 2035  209,547  10,900  744,585  38,730  715,063  37,194 
IFB Ser. 05-17, Class SY, IO, 1.43s, 2035  156,612  8,174  344,396  17,975  330,741  17,262 
IFB Ser. 05-73, Class SI, IO, 1.43s, 2035  75,154  3,444  381,029  17,461  366,750  16,807 
IFB Ser. 06-12, Class SD, IO, 1.43s, 2035  --  --  2,582,950  146,195  2,601,012  147,217 
IFB Ser. 06-56, Class SM, IO, 1.43s, 2036  1,238,043  59,546  3,617,782  174,003  2,803,041  134,817 
IFB Ser. 06-128, Class SH, IO, 1.43s, 2037  129,432  6,200  928,420  44,471  956,545  45,818 
IFB Ser. 07-28, Class SE, IO, 1.43s, 2037  411,726  24,993  1,200,950  72,902  941,788  57,170 
IFB Ser. 07-W2, Class 2A2, IO, 1.43s, 2037  390,749  18,237  2,003,333  93,501  1,687,956  78,781 
IFB Ser. 07-W4, Class 3A2, IO, 1.43s, 2037  909,881  39,489  4,705,189  204,205  4,133,661  179,401 

IFB Ser. 06-123, Class CI, IO, 1.42s, 2037  941,478  55,584  2,729,336  161,139  2,149,233  126,890 
IFB Ser. 06-123, Class UI, IO, 1.42s, 2037  394,211  20,766  1,036,561  54,602  870,824  45,872 
IFB Ser. 07-30, Class IE, IO, 1.42s, 2037  538,649  34,835  2,648,356  171,270  2,222,902  143,756 
IFB Ser. 07-W5, Class 2A2, IO, 1.42s, 2037  --  --  552,733  20,451  462,776  17,123 
IFB Ser. 05-82, Class SY, IO, 1.41s, 2035  471,450  20,913  1,606,777  71,275  1,546,785  68,614 
IFB Ser. 05-45, Class SR, IO, 1.4s, 2035  614,615  27,091  2,139,648  94,312  2,051,326  90,419 
IFB Ser. 05-17, Class SA, IO, 1.38s, 2035  860,470  45,029  968,030  50,658  929,649  48,649 
IFB Ser. 05-17, Class SE, IO, 1.38s, 2035  292,693  15,130  1,040,031  53,763  998,795  51,631 
IFB Ser. 05-23, Class SG, IO, 1.38s, 2035  313,506  16,588  1,114,613  58,976  1,070,589  56,647 
IFB Ser. 05-29, Class SY, IO, 1.38s, 2035  914,746  51,997  --  --  --  -- 
IFB Ser. 05-54, Class SA, IO, 1.38s, 2035  444,202  19,017  1,535,126  65,723  1,482,048  63,450 
IFB Ser. 05-57, Class DI, IO, 1.38s, 2035  667,981  31,705  2,326,923  110,445  2,231,498  105,915 
IFB Ser. 05-84, Class SG, IO, 1.38s, 2035  461,391  25,456  1,475,256  81,393  1,479,735  81,640 
IFB Ser. 05-95, Class CI, IO, 1.38s, 2035  265,146  14,351  857,307  46,403  861,324  46,620 
IFB Ser. 05-104, Class NI, IO, 1.38s, 2035  450,123  23,541  1,008,275  52,733  1,017,277  53,204 
IFB Ser. 06-16, Class SM, IO, 1.38s, 2036  378,220  20,049  --  --  --  -- 
IFB Ser. 06-23, Class SC, IO, 1.38s, 2036  530,704  28,691  1,391,583  75,232  1,168,668  63,181 
IFB Ser. 07-15, Class BI, IO, 1.38s, 2037  657,164  33,796  1,728,877  88,911  1,451,875  74,666 
IFB Ser. 05-83, Class QI, IO, 1.37s, 2035  --  --  227,239  14,024  229,014  14,134 
IFB Ser. 05-83, Class SL, IO, 1.35s, 2035  778,161  37,204  2,530,550  120,987  2,540,049  121,441 
IFB Ser. 06-114, Class IS, IO, 1.33s, 2036  228,392  11,420  1,168,606  58,430  984,941  49,247 
Ser. 06-116, Class ES, IO, 1.33s, 2036  365,443  17,180  871,230  40,957  1,046,206  49,183 
IFB Ser. 07-63, Class SB, IO, 1.33s, 2037  2,412,000  109,209  6,754,000  305,804  5,789,000  262,111 
IFB Ser. 06-115, Class GI, IO, 1.32s, 2036  --  --  1,057,065  57,627  872,637  47,573 
IFB Ser. 06-115, Class IE, IO, 1.32s, 2036  341,898  17,120  881,231  44,126  739,656  37,037 
IFB Ser. 06-117, Class SA, IO, 1.32s, 2036  518,142  24,670  1,363,283  64,910  1,144,971  54,515 
IFB Ser. 06-121, Class SD, IO, 1.32s, 2036  441,557  21,741  2,670,059  131,467  2,038,321  100,361 
IFB Ser. 06-109, Class SG, IO, 1.31s, 2036  640,330  31,357  1,859,384  91,053  1,423,474  69,707 
IFB Ser. 06-104, Class IM, IO, 1.3s, 2036  112,000  5,686  375,000  19,037  476,000  24,165 
IFB Ser. 06-104, Class SY, IO, 1.3s, 2036  261,961  11,315  878,924  37,964  1,115,592  48,186 
IFB Ser. 06-109, Class SH, IO, 1.3s, 2036  447,207  26,904  1,312,454  78,956  1,030,519  61,995 
IFB Ser. 06-8, Class JH, IO, 1.28s, 2036  792,471  45,896  4,071,517  235,800  3,427,374  198,495 
IFB Ser. 06-8, Class PS, IO, 1.28s, 2036  253,096  14,081  --  --  --  -- 
IFB Ser. 06-44, Class IS, IO, 1.28s, 2036  420,824  19,258  1,142,989  52,307  1,302,006  59,584 
IFB Ser. 06-45, Class SM, IO, 1.28s, 2036  214,404  8,962  1,121,377  46,875  1,212,383  50,679 
IFB Ser. 06-45, Class XS, IO, 1.28s, 2034  449,874  21,240  --  --  --  -- 
IFB Ser. 06-104, Class CI, IO, 1.28s, 2036  124,681  6,637  411,826  21,923  569,566  30,320 
Ser. 06-104, Class SG, IO, 1.28s, 2036  764,481  30,281  1,933,489  76,586  2,369,134  93,842 
IFB Ser. 06-128, Class SC, IO, 1.28s, 2037  968,710  45,917  4,347,821  206,087  3,407,547  161,518 
IFB Ser. 07-W6, Class 4A2, IO, 1.28s, 2037  705,863  30,992  4,989,965  219,091  4,010,542  176,088 
IFB Ser. 05-95, Class OI, IO, 1.27s, 2035  --  --  126,989  7,791  127,883  7,846 
IFB Ser. 06-92, Class JI, IO, 1.26s, 2036  286,276  14,061  721,792  35,453  937,672  46,057 
IFB Ser. 06-96, Class ES, IO, 1.26s, 2036  287,261  13,712  1,736,581  82,893  1,324,747  63,235 
IFB Ser. 06-99, Class AS, IO, 1.26s, 2036  405,745  19,151  1,038,205  49,003  1,300,005  61,360 
IFB Ser. 06-85, Class TS, IO, 1.24s, 2036  342,323  14,488  1,297,600  54,916  1,524,321  64,511 
IFB Ser. 06-61, Class SE, IO, 1.23s, 2036  464,945  18,567  1,463,687  58,451  1,633,970  65,251 
Ser. 06-94, Class NI, IO, 1.18s, 2036  380,094  15,509  949,014  38,722  1,163,071  47,456 
IFB Ser. 03-124, Class ST, IO, 1.18s, 2034  137,518  5,157  --  --  --  -- 
Ser. 03-W17, Class 12, IO, 1.151s, 2033  --  --  1,820,372  70,162  1,747,654  67,360 
IFB Ser. 07-30, Class JS, IO, 1.12s, 2037  1,407,594  62,101  3,700,154  163,245  3,106,614  137,059 
IFB Ser. 07-30, Class LI, IO, 1.12s, 2037  1,468,246  72,771  4,294,275  212,838  3,327,501  164,922 
IFB Ser. 07-W2, Class 1A2, IO, 1.11s, 2037  1,044,280  43,254  5,357,524  221,909  4,515,940  187,050 
IFB Ser. 07-W4, Class 2A2, IO, 1.1s, 2037  1,050,397  38,550  5,430,543  199,301  4,770,179  175,066 
Ser. 07-54, Class IA, IO, 1.09s, 2037  250,403  12,140  1,229,160  59,594  1,030,428  49,959 
IFB Ser. 07-54, Class IB, IO, 1.09s, 2037  250,403  12,140  1,229,160  59,594  1,030,428  49,959 
IFB Ser. 07-54, Class IC, IO, 1.09s, 2037  250,403  12,140  1,229,160  59,594  1,030,428  49,959 
IFB Ser. 07-54, Class ID, IO, 1.09s, 2037  250,403  12,140  1,229,160  59,594  1,030,428  49,959 
IFB Ser. 07-54, Class IE, IO, 1.09s, 2037  250,403  12,140  1,229,160  59,594  1,030,428  49,959 
IFB Ser. 07-54, Class IF, IO, 1.09s, 2037  371,629  18,018  1,829,332  88,693  1,532,227  74,288 
IFB Ser. 07-54, Class UI, IO, 1.09s, 2037  161,957  8,049  1,615,593  80,295  1,321,487  65,678 
IFB Ser. 06-115, Class JI, IO, 1.06s, 2036  1,264,492  56,728  3,661,362  164,258  2,878,133  129,120 
IFB Ser. 06-123, Class BI, IO, 1.06s, 2037  2,282,371  103,994  6,637,897  302,449  5,220,924  237,886 
IFB Ser. 07-15, Class CI, IO, 1.06s, 2037  1,723,081  81,388  5,004,680  236,390  3,939,854  186,094 
IFB Ser. 06-123, Class LI, IO, 1s, 2037  846,379  36,551  2,453,549  105,957  1,930,506  83,369 
Ser. 03-T2, Class 2, IO, 0.822s, 2042  756,495  17,124  7,281,265  164,823  5,177,263  117,195 
IFB Ser. 07-39, Class AI, IO, 0.8s, 2037  425,298  15,331  2,160,866  77,892  1,819,057  65,571 
IFB Ser. 07-32, Class SD, IO, 0.79s, 2037  294,010  11,023  1,456,327  54,598  1,223,080  45,854 
IFB Ser. 07-33, Class SD, IO, 0.79s, 2037  1,641,508  52,692  4,901,186  157,328  3,740,072  120,056 
IFB Ser. 05-74, Class SE, IO, 0.78s, 2035  2,104,890  60,252  2,857,848  81,805  2,612,443  74,781 
IFB Ser. 05-82, Class SI, IO, 0.78s, 2035  892,333  25,559  3,039,829  87,068  2,927,005  83,836 
IFB Ser. 07-1, Class CI, IO, 0.78s, 2037  289,503  10,164  1,425,465  50,047  1,194,438  41,936 
IFB Ser. 07-30, Class UI, IO, 0.78s, 2037  246,710  9,340  1,211,033  45,849  1,015,231  38,436 
IFB Ser. 07-32, Class SC, IO, 0.78s, 2037  386,132  14,349  1,928,703  71,672  1,619,013  60,164 
IFB Ser. 07-W4, Class 1A2, IO, 0.77s, 2037  3,172,138  96,750  16,616,819  506,813  13,923,493  424,667 
IFB Ser. 05-74, Class NI, IO, 0.76s, 2035  477,034  17,707  --  --  --  -- 
IFB Ser. 07-W5, Class 1A2, IO, 0.76s, 2037  565,157  14,129  2,753,020  68,826  2,306,477  57,662 
Ser. 03-W6, Class 51, IO, 0.68s, 2042  518,642  8,516  2,319,928  38,093  1,837,344  30,169 
IFB Ser. 05-58, Class IK, IO, 0.68s, 2035  266,814  10,817  923,305  37,433  891,214  36,132 
Ser. 06-W3, Class 1AS, IO, 0.662s, 2046  1,633,377  42,876  4,788,000  125,685  4,795,475  125,881 
Ser. 01-T12, Class IO, 0.565s, 2041  2,755,349  34,706  1,382,044  17,408  919,663  11,584 
Ser. 03-W2, Class 1, IO, 0.47s, 2042  365,631  4,188  12,837,700  147,028  10,278,285  117,715 
Ser. 01-50, Class B1, IO, 0.459s, 2041  3,369,892  30,261  2,382,832  21,398  1,595,307  14,326 
Ser. 02-T4, IO, 0.453s, 2041  7,403,871  72,143  7,781,980  75,828  4,920,885  47,949 
Ser. 02-T1, Class IO, IO, 0.424s, 2031  1,255,733  10,095  1,559,297  12,535  990,114  7,959 
Ser. 03-W6, Class 3, IO, 0.366s, 2042  696,923  7,036  3,117,006  31,467  2,468,782  24,923 
Ser. 02-W8, Class 1, IO, 0.357s, 2042  1,422,802  12,377  --  --  --  -- 
Ser. 03-W6, Class 23, IO, 0.352s, 2042  743,668  7,279  3,325,454  32,549  2,633,706  25,779 
Ser. 01-79, Class BI, IO, 0.335s, 2045  1,237,042  9,734  8,430,917  66,343  5,994,896  47,174 
Ser. 03-W8, Class 11, IO, 0.03s, 2042  15,491  1  54,764  1  42,229  1 
Ser. 363, Class 1, Principal Only (PO), zero %, 2035  708,927  495,131  --  --  --  -- 
Ser. 372, Class 1, PO, zero %, 2036  2,125,475  1,536,769  11,627,805  8,407,189  9,589,286  6,933,290 
Ser. 03-34, Class P1, PO, zero %, 2043  39,655  26,960  --  --  --  -- 
Ser. 04-38, Class AO, PO, zero %, 2034  343,666  242,588  955,633  674,566  887,051  626,155 
Ser. 04-61, Class CO, PO, zero %, 2031  233,000  179,825  705,000  544,105  632,000  487,765 
FRB Ser. 05-36, Class QA, zero %, 2035  --  --  109,078  101,055  105,284  97,540 
FRB Ser. 05-57, Class UL, zero %, 2035  159,209  161,804  549,841  558,803  531,077  539,733 
FRB Ser. 05-65, Class CU, zero %, 2034  --  --  153,723  197,488  147,878  189,979 
FRB Ser. 05-65, Class ER, zero %, 2035  168,995  165,746  573,783  562,751  552,408  541,787 
FRB Ser. 05-79, Class FE, zero %, 2035  47,471  51,591  --  --  --  -- 
FRB Ser. 05-81, Class DF, zero %, 2033  --  --  65,672  71,789  63,620  69,545 
FRB Ser. 06-1, Class HF, zero %, 2032  --  --  67,266  65,559  102,387  99,788 
IFB Ser. 06-75, Class FY, zero %, 2036  --  --  281,365  295,287  220,749  231,672 
Ser. 06-104, Class EK, zero %, 2036  78,172  78,818  103,187  104,040  141,492  142,661 
Ser. 06-115, Class SN, zero %, 2036  94,365  101,263  520,895  558,972  444,459  476,949 
Ser. 07-15, Class IM, IO, zero %, 2009  436,063  2,373  1,264,007  6,877  1,068,067  5,811 
Ser. 07-16, Class TS, IO, zero %, 2009  1,741,627  7,277  5,100,136  21,310  4,346,870  18,163 
Ser. 07-31, Class TS, IO, zero %, 2009  1,122,208  5,111  3,253,239  14,817  2,747,374  12,513 
Federal Home Loan Mortgage Corp. Structured             
Pass-Through Securities             
Ser. T-42, Class A6, 9 1/2s, 2042  18,508  19,305  47,141  49,173  46,442  48,444 
Ser. T-42, Class A5, 7 1/2s, 2042  117,233  120,738  275,060  283,285  461,234  475,025 
Ser. T-51, Class 2A, 7 1/2s, 2042  121,594  125,869  268,008  277,429  311,297  322,240 
Ser. T-58, Class 4A, 7 1/2s, 2043  564,210  586,433  183,375  190,598  100,924  104,899 
Ser. T-41, Class 2A, 7s, 2032  14,475  14,823  41,109  42,096  41,399  42,393 
Ser. T-58, Class 3A, 7s, 2043  21,912  22,514  19,839  20,385  --  -- 
Ser. T-60, Class 1A2, 7s, 2044  142,727  146,948  872,919  898,730  878,069  904,032 
Ser. T-56, Class A, IO, 0.54s, 2043  670,860  11,204  2,356,493  39,354  1,879,506  31,388 
Ser. T-56, Class 3, IO, 0.378s, 2043  629,639  1,442  2,091,058  4,791  1,708,294  3,914 
Ser. T-56, Class 1, IO, 0.283s, 2043  797,879  1,079  2,650,235  3,584  2,164,837  2,928 
Ser. T-56, Class 2, IO, 0.028s, 2043  729,891  562  2,423,736  1,865  1,980,007  1,524 
FFCA Secured Lending Corp. Ser. 99-1A, Class C1,             
7.59s, 2025  100,000  75,070  --  --  --  -- 
FFCA Secured Lending Corp. 144A             
Ser. 00-1, Class A2, 7.77s, 2027  125,869  131,869  428,339  448,759  226,371  237,163 
Ser. 00-1, Class X, IO, 1.362s, 2020  448,082  23,603  1,732,383  91,255  1,107,167  58,321 
First Union National Bank-Bank of America Commercial             
Mortgage 144A Ser. 01-C1, Class 3, IO, 1.951s, 2033  --  --  6,678,950  330,858  5,948,829  294,690 
First Union-Lehman Brothers Commercial Mortgage Trust             
II             
Ser. 97-C2, Class F, 7 1/2s, 2029  --  --  580,000  612,714  538,000  568,345 
Ser. 97-C2, Class G, 7 1/2s, 2029  71,000  76,024  185,000  198,090  288,000  308,379 
First Union-Lehman Brothers-Bank of America 144A Ser.             
98-C2, Class G, 7s, 2035  --  --  717,000  746,031  703,000  731,464 
Freddie Mac             
IFB Ser. 3153, Class SQ, 7.62s, 2036  463,123  466,866  --  --  --  -- 
IFB Ser. 3182, Class PS, 7.32s, 2032  88,221  90,832  515,211  530,462  513,447  528,645 
IFB Ser. 3202, Class PS, 7.32s, 2036  --  --  308,424  310,676  521,533  525,342 
IFB Ser. 3331, Class SE, 7.08s, 2037  --  --  445,000  429,069  386,000  372,181 
IFB Ser. 3153, Class SX, 6.65s, 2036  289,175  289,864  249,622  250,217  --  -- 
IFB Ser. 3202, Class HM, 6.65s, 2036  --  --  192,988  192,043  289,029  287,614 
Ser. 3326, Class WF, 6s, 2037  286,000  277,185  571,000  553,401  596,000  577,630 
Ser. 3326, Class YF, 6s, 2037  --  --  1,446,000  1,594,943  1,305,000  1,439,420 
IFB Ser. 3081, Class DC, 5.22s, 2035  174,532  162,882  333,355  311,104  333,355  311,104 
IFB Ser. 3316, Class KS, 5.187s, 2037  --  --  1,007,868  906,953  775,054  697,450 
IFB Ser. 3114, Class GK, 5.12s, 2036  --  --  202,351  187,244  221,876  205,312 
IFB Ser. 2976, Class KL, 4.877s, 2035  181,669  168,602  580,113  538,385  556,417  516,393 
IFB Ser. 2979, Class AS, 4.767s, 2034  --  --  145,635  134,572  146,462  135,336 
IFB Ser. 2990, Class DP, 4.767s, 2034  85,058  79,570  503,544  471,054  485,682  454,344 
IFB Ser. 3153, Class UT, 4.51s, 2036  177,544  158,699  145,585  130,133  --  -- 
IFB Ser. 3065, Class DC, 3.9s, 2035  179,681  157,020  511,871  447,316  513,624  448,848 
IFB Ser. 3031, Class BS, 3.425s, 2035  211,017  185,455  --  --  --  -- 
IFB Ser. 2990, Class LB, 3.348s, 2034  179,313  156,295  608,444  530,341  582,331  507,579 
IFB Ser. 2990, Class WP, 3.302s, 2035  80,800  74,868  381,375  353,377  368,447  341,399 
IFB Ser. 2927, Class SI, IO, 3.18s, 2035  233,487  24,309  830,487  86,464  797,631  83,044 
IFB Ser. 3012, Class ST, 2.808s, 2035  84,937  74,091  --  --  --  -- 
IFB Ser. 2828, Class GI, IO, 2.18s, 2034  264,034  21,041  865,594  68,978  864,610  68,900 
IFB Ser. 2869, Class SH, IO, 1.98s, 2034  135,053  7,214  465,672  24,874  447,209  23,888 
IFB Ser. 2869, Class JS, IO, 1.93s, 2034  616,729  32,135  2,021,846  105,350  2,019,548  105,230 
IFB Ser. 2594, Class SE, IO, 1.73s, 2030  282,930  11,810  --  --  --  -- 

IFB Ser. 2815, Class PT, IO, 1.73s, 2032  263,953  15,163  937,910  53,878  900,724  51,741 
IFB Ser. 2828, Class TI, IO, 1.73s, 2030  155,197  8,405  472,613  25,596  474,018  25,672 
IFB Ser. 3297, Class BI, IO, 1.44s, 2037  1,417,672  79,196  3,725,466  208,116  3,128,760  174,782 
IFB Ser. 2922, Class SE, IO, 1.43s, 2035  347,775  15,433  1,210,569  53,719  1,160,625  51,503 
IFB Ser. 3028, Class ES, IO, 1.43s, 2035  761,621  41,795  2,432,105  133,464  2,441,746  133,993 
IFB Ser. 3281, Class BI, IO, 1.43s, 2037  301,358  15,987  732,980  38,884  615,353  32,644 
IFB Ser. 3284, Class IV, IO, 1.43s, 2037  98,829  6,451  921,086  60,120  772,843  50,444 
IFB Ser. 3287, Class SD, IO, 1.43s, 2037  610,270  32,917  1,777,533  95,878  1,391,997  75,083 
IFB Ser. 3045, Class DI, IO, 1.41s, 2035  390,474  17,583  2,871,974  129,322  4,287,235  193,049 
IFB Ser. 2927, Class ES, IO, 1.38s, 2035  186,522  7,662  661,244  27,161  635,299  26,095 
IFB Ser. 2950, Class SM, IO, 1.38s, 2016  266,203  12,349  1,492,173  69,219  1,368,493  63,481 
IFB Ser. 3054, Class CS, IO, 1.38s, 2035  179,796  7,218  538,587  21,622  542,601  21,783 
IFB Ser. 3066, Class SI, IO, 1.38s, 2035  654,180  35,088  1,666,646  89,392  1,672,884  89,727 
IFB Ser. 3107, Class DC, IO, 1.38s, 2035  395,238  22,387  2,345,756  132,867  2,586,017  146,476 
IFB Ser. 3118, Class SD, IO, 1.38s, 2036  566,841  24,571  1,973,432  85,542  1,891,886  82,008 
IFB Ser. 3129, Class SP, IO, 1.38s, 2035  150,867  6,366  1,009,435  42,597  1,090,812  46,031 
IFB Ser. 3136, Class NS, IO, 1.38s, 2036  1,192,536  57,055  1,610,386  77,046  1,797,124  85,980 
Ser. 3236, Class ES, IO, 1.38s, 2036  453,657  21,776  1,171,109  56,213  1,324,458  63,574 
IFB Ser. 3031, Class BI, IO, 1.37s, 2035  163,270  9,856  458,791  27,696  460,423  27,795 
IFB Ser. 3244, Class SB, IO, 1.34s, 2036  396,563  20,050  1,042,176  52,692  875,505  44,265 
IFB Ser. 3244, Class SG, IO, 1.34s, 2036  464,440  23,529  1,220,292  61,822  1,024,499  51,903 
IFB Ser. 2962, Class BS, IO, 1.33s, 2035  799,770  36,241  2,802,426  126,989  2,669,651  120,972 
IFB Ser. 3114, Class TS, IO, 1.33s, 2030  968,127  37,905  3,134,935  122,743  3,159,308  123,697 
IFB Ser. 3147, Class SH, IO, 1.33s, 2036  1,370,634  69,130  3,571,700  180,144  3,007,156  151,671 
IFB Ser. 3236, Class IS, IO, 1.33s, 2036  746,641  36,600  1,963,249  96,237  1,647,727  80,771 
IFB Ser. 3326, Class GS, IO, 1.33s, 2037  484,000  21,914  3,122,000  141,356  2,566,000  116,182 
IFB Ser. 2990, Class LI, IO, 1.31s, 2034  249,392  13,546  881,720  47,890  843,909  45,837 
IFB Ser. 3128, Class JI, IO, 1.31s, 2036  630,828  33,796  1,727,121  92,528  1,957,229  104,856 
IFB Ser. 3065, Class DI, IO, 1.3s, 2035  85,593  5,088  362,057  21,521  363,769  21,623 
IFB Ser. 3229, Class BI, IO, 1.3s, 2036  94,386  4,078  315,230  13,619  400,452  17,301 
IFB Ser. 3240, Class S, IO, 1.3s, 2036  1,458,548  80,168  4,250,902  233,648  3,348,905  184,070 
IFB Ser. 3114, Class GI, IO, 1.28s, 2036  170,324  10,076  482,019  28,516  530,562  31,388 
IFB Ser. 3145, Class GI, IO, 1.28s, 2036  511,356  28,199  1,400,058  77,207  1,586,967  87,514 
IFB Ser. 3221, Class SI, IO, 1.26s, 2036  607,272  28,493  1,596,312  74,899  1,339,929  62,869 
IFB Ser. 3153, Class UI, IO, 1 1/4s, 2036  2,450,917  138,722  544,850  30,839  3,219,156  182,204 
IFB Ser. 3202, Class PI, IO, 1.22s, 2036  1,661,713  76,580  4,368,293  201,313  3,667,819  169,032 
IFB Ser. 3201, Class SG, IO, 1.18s, 2036  771,330  34,876  2,029,124  91,747  1,703,938  77,043 
IFB Ser. 3203, Class SE, IO, 1.18s, 2036  688,073  30,934  1,807,229  81,249  1,517,999  68,246 
IFB Ser. 3152, Class SY, IO, 1.16s, 2036  469,175  23,806  1,309,034  66,421  1,437,072  72,918 
IFB Ser. 3199, Class S, IO, 1.13s, 2036  333,709  15,925  882,144  42,097  1,290,217  61,570 
IFB Ser. 3284, Class BI, IO, 1.13s, 2037  451,445  19,429  1,186,740  51,074  996,861  42,902 
IFB Ser. 3284, Class LI, IO, 1.12s, 2037  1,867,796  92,058  5,720,004  281,920  4,448,892  219,271 
IFB Ser. 3281, Class AI, IO, 1.11s, 2037  1,736,734  85,539  5,044,335  248,447  3,971,072  195,586 
IFB Ser. 3012, Class UI, IO, 1.1s, 2035  108,114  4,501  --  --  --  -- 
IFB Ser. 3311, Class IA, IO, 1.09s, 2037  352,381  17,984  1,722,088  87,890  1,442,373  73,614 
IFB Ser. 3311, Class IB, IO, 1.09s, 2037  352,381  17,984  1,722,088  87,890  1,442,373  73,614 
IFB Ser. 3311, Class IC, IO, 1.09s, 2037  352,381  17,984  1,722,088  87,890  1,442,373  73,614 
IFB Ser. 3311, Class ID, IO, 1.09s, 2037  352,381  17,984  1,722,088  87,890  1,442,373  73,614 
IFB Ser. 3311, Class IE, IO, 1.09s, 2037  352,381  17,984  2,551,279  130,209  2,117,273  108,059 
IFB Ser. 3240, Class GS, IO, 1.06s, 2036  894,926  41,465  2,580,053  119,543  2,037,385  94,399 
IFB Ser. 3288, Class SJ, IO, 0.81s, 2037  372,069  12,549  1,900,071  64,086  1,602,610  54,053 
IFB Ser. 3284, Class CI, IO, 0.8s, 2037  1,319,983  51,815  3,851,258  151,179  3,019,903  118,544 
IFB Ser. 3016, Class SQ, IO, 0.79s, 2035  313,193  8,028  948,043  24,302  1,048,080  26,866 
IFB Ser. 3291, Class SA, IO, 0.79s, 2037  414,124  12,879  2,506,789  77,961  1,913,403  59,507 
IFB Ser. 3012, Class WI, IO, 0.78s, 2035  167,224  6,263  --  --  --  -- 
IFB Ser. 3284, Class WI, IO, 0.78s, 2037  2,197,161  84,601  6,405,780  246,652  5,023,758  193,438 
IFB Ser. 3012, Class IG, IO, 0.76s, 2035  395,024  13,673  --  --  --  -- 
IFB Ser. 3235, Class SA, IO, 0.63s, 2036  353,692  9,655  926,787  25,300  778,312  21,247 
Ser. 236, PO, zero %, 2036  103,090  74,752  --  --  --  -- 
Ser. 239, PO, zero %, 2036  851,460  610,433  2,365,570  1,695,937  2,361,031  1,692,683 
Ser. 242, PO, zero %, 2036  5,524,942  4,021,408  9,698,446  7,059,154  10,547,127  7,676,879 
Ser. 246, PO, zero %, 2037  972,861  702,486  9,728,607  7,024,863  7,820,941  5,647,370 
Ser. 1208, Class F, PO, zero %, 2022  8,675  7,133  --  --  --  -- 
FRB Ser. 3003, Class XF, zero %, 2035  133,318  138,077  474,612  491,552  457,947  474,293 
FRB Ser. 3036, Class AS, zero %, 2035  --  --  83,149  86,849  --  -- 
FRB Ser. 3117, Class AF, zero %, 2036  --  --  101,165  110,201  --  -- 
FRB Ser. 3147, Class SF, zero %, 2036  --  --  783,196  761,667  584,651  568,580 
FRB Ser. 3149, Class XF, zero %, 2036  --  --  243,069  233,827  192,504  185,184 
FRB Ser. 3174, Class SF, zero %, 2036  --  --  281,637  298,556  221,848  235,176 
FRB Ser. 3231, Class X, zero %, 2036  --  --  147,453  163,977  159,964  177,890 
FRB Ser. 3231, Class XB, zero %, 2036  --  --  434,797  445,653  353,272  362,093 
FRB Ser. 3239, Class BF, zero %, 2036  248,240  288,596  640,050  744,105  519,635  604,114 
FRB Ser. 3263, Class TA, zero %, 2037  --  --  155,717  185,190  126,150  150,028 
Ser. 3326, Class XF, zero %, 2037  --  --  575,000  598,431  490,000  509,968 
Ser. 3300, PO, zero %, 2037  --  --  893,082  657,013  765,498  563,154 
GE Capital Commercial Mortgage Corp. 144A             
Ser. 05-C2, Class XC, IO, 0.077s, 2043  11,815,302  89,585  20,942,144  158,785  20,137,830  152,687 
Ser. 05-C3, Class XC, IO, 0.059s, 2045  25,124,128  128,560  48,805,732  249,739  49,182,733  251,668 
Ser. 07-C1, Class XC, IO, 0.047s, 2019  25,659,615  199,270  71,731,536  557,060  56,540,540  439,088 
GMAC Commercial Mortgage Securities, Inc.             
Ser. 99-C3, Class F, 8.058s, 2036  56,000  58,529  75,000  78,387  112,000  117,058 
Ser. 97-C1, Class X, IO, 1.417s, 2029  832,951  28,791  --  --  --  -- 
Ser. 05-C1, Class X1, IO, 0.167s, 2043  4,723,479  59,965  19,868,239  252,227  21,579,270  273,949 
GMAC Commercial Mortgage Securities, Inc. 144A             
Ser. 99-C3, Class G, 6.974s, 2036  --  --  350,039  355,950  306,364  311,537 
Ser. 06-C1, Class XC, IO, 0.056s, 2045  19,851,034  140,347  --  --  36,060,871  254,950 
Government National Mortgage Association             
IFB Ser. 07-26, Class WS, 10.56s, 2037  255,606  284,904  1,485,712  1,656,003  1,141,243  1,272,051 
IFB Ser. 06-34, Class SA, 7.62s, 2036  --  --  115,254  113,405  107,936  106,205 
IFB Ser. 05-7, Class JM, 5.016s, 2034  176,894  168,849  609,719  581,990  588,643  561,872 
IFB Ser. 05-84, Class SB, 3.7s, 2035  88,466  78,737  --  --  --  -- 
IFB Ser. 05-68, Class DP, 3.614s, 2035  123,782  111,567  --  --  --  -- 
IFB Ser. 05-66, Class SP, 3.1s, 2035  --  --  317,509  273,036  319,308  274,583 
IFB Ser. 05-84, Class SL, 3.1s, 2035  209,607  180,078  --  --  --  -- 
IFB Ser. 06-62, Class SI, IO, 2.06s, 2036  592,256  37,429  1,558,327  98,482  1,307,898  82,655 
IFB Ser. 07-1, Class SL, IO, 2.04s, 2037  314,035  22,286  843,190  59,838  661,684  46,957 
IFB Ser. 07-1, Class SM, IO, 2.03s, 2037  314,035  22,175  843,190  59,540  661,684  46,724 
IFB Ser. 07-26, Class SG, IO, 1.53s, 2037  742,404  41,032  1,951,803  107,874  1,638,477  90,557 
IFB Ser. 07-9, Class BI, IO, 1 1/2s, 2037  1,010,420  52,642  4,415,266  230,034  3,789,076  197,409 
IFB Ser. 06-69, Class SA, IO, 1.48s, 2036  474,330  24,004  2,867,162  145,096  2,188,364  110,744 
IFB Ser. 07-22, Class S, IO, 1.48s, 2037  398,531  23,834  1,038,567  62,111  874,582  52,304 
IFB Ser. 07-25, Class SA, IO, 1.48s, 2037  332,310  16,782  1,643,641  83,004  1,378,987  69,639 
IFB Ser. 07-25, Class SB, IO, 1.48s, 2037  551,196  27,835  3,210,671  162,139  2,693,302  136,012 
IFB Ser. 07-26, Class LS, IO, 1.48s, 2037  1,542,069  86,330  4,054,293  226,972  3,404,528  190,596 
IFB Ser. 07-26, Class SA, IO, 1.48s, 2037  941,919  45,957  4,618,757  225,353  3,872,331  188,934 
IFB Ser. 07-26, Class SD, IO, 1.48s, 2037  468,366  24,898  2,296,088  122,058  1,924,179  102,288 
IFB Ser. 06-38, Class SG, IO, 1.33s, 2033  945,556  36,596  4,628,889  179,152  3,884,877  150,357 
IFB Ser. 07-9, Class DI, IO, 1.19s, 2037  511,710  21,740  2,237,996  95,081  1,920,383  81,587 
IFB Ser. 06-28, Class GI, IO, 1.18s, 2035  316,398  12,121  1,915,547  73,386  1,461,915  56,007 
IFB Ser. 07-9, Class AI, IO, 1.18s, 2037  544,132  25,101  2,077,945  95,855  1,656,557  76,416 
IFB Ser. 05-65, Class SI, IO, 1.03s, 2035  174,122  6,462  1,121,399  41,617  1,127,131  41,830 
IFB Ser. 05-68, Class KI, IO, 0.98s, 2035  1,495,486  65,965  --  --  --  -- 
IFB Ser. 07-1, Class S, IO, 0.88s, 2037  1,007,854  30,515  2,652,845  80,321  2,226,190  67,403 
IFB Ser. 07-3, Class SA, IO, 0.88s, 2037  960,918  28,856  2,528,434  75,929  2,122,146  63,728 
IFB Ser. 07-7, Class EI, IO, 0.88s, 2037  887,870  27,556  2,195,251  68,133  1,767,119  54,845 
IFB Ser. 07-8, Class SA, IO, 0.88s, 2037  2,043,181  69,738  5,947,663  203,006  4,530,188  154,624 
IFB Ser. 07-9, Class CI, IO, 0.88s, 2037  666,161  21,365  2,910,896  93,360  2,497,857  80,112 
IFB Ser. 07-19, Class SJ, IO, 0.88s, 2037  404,402  12,161  1,995,761  60,018  1,674,961  50,371 
IFB Ser. 07-21, Class S, IO, 0.88s, 2037  490,594  16,129  2,426,428  79,773  2,042,014  67,134 
IFB Ser. 07-27, Class SD, IO, 0.88s, 2037  457,063  14,087  1,194,101  36,803  1,002,174  30,887 
Ser. 98-2, Class EA, PO, zero %, 2028  18,485  14,686  3,527  2,802  --  -- 
Ser. 99-31, Class MP, PO, zero %, 2029  15,056  12,460  71,131  58,867  35,566  29,434 
Greenpoint Mortgage Funding Trust Ser. 05-AR1,             
Class X1, IO, 1.36s, 2045  565,844  12,908  1,571,928  35,860  1,503,474  34,298 
Greenwich Capital Commercial Funding Corp.             
Ser. 07-GG9, Class A4, 5.444s, 2039  844,000  812,350  3,195,000  3,075,188  1,063,000  1,023,138 
Ser. 05-GG5, Class XC, IO, 0.061s, 2037  12,863,449  54,770  40,973,535  174,458  41,085,884  174,936 
Greenwich Capital Commercial Funding Corp. 144A             
Ser. 07-GG9, Class X, IO, 0.324s, 2039  3,162,475  79,853  17,187,148  433,976  8,796,541  222,113 
Ser. 05-GG3, Class XC, IO, 0.134s, 2042  10,485,788  170,394  24,547,240  398,893  21,077,902  342,516 
GS Mortgage Securities Corp. II             
Ser. 06-GG8, Class A4, 5.56s, 2039  794,000  775,516  1,462,000  1,427,965  1,658,000  1,619,402 
Ser. 04-GG2, Class A6, 5.396s, 2038  298,000  291,125  865,000  845,044  953,000  931,014 
GS Mortgage Securities Corp. II 144A             
FRB Ser. 03-FL6A, Class L, 8.57s, 2015  87,000  87,000  124,000  124,000  114,000  114,000 
FRB Ser. 07-EOP, Class J, 6.17s, 2009  130,000  130,041  383,000  383,120  240,000  240,075 
Ser. 98-C1, Class F, 6s, 2030  --  --  280,000  279,334  282,000  281,329 
Ser. 03-C1, Class X1, IO, 0.41s, 2040  7,695,459  128,642  6,328,341  105,788  9,120,089  152,457 
Ser. 04-C1, Class X1, IO, 0.18s, 2028  5,521,286  35,155  7,522,189  47,895  7,522,189  47,895 
Ser. 05-GG4, Class XC, IO, 0.161s, 2039  8,526,353  148,212  23,149,761  402,408  22,292,363  387,504 
Ser. 06-GG6, Class XC, IO, 0.045s, 2038  3,479,616  11,825  34,818,094  118,327  25,156,925  85,494 
GSR Mortgage Loan Trust Ser. 05-AR2, Class 2A1,             
4.842s, 2035  192,864  190,369  459,168  453,227  482,504  476,260 
HVB Mortgage Capital Corp. Ser. 03-FL1A, Class K,             
8.17s, 2022  118,000  117,862  --  --  --  -- 
JPMorgan Chase Commercial Mortgage Securities Corp.             
Ser. 97-C5, Class F, 7.561s, 2029  64,000  67,790  204,000  216,081  204,000  216,081 
Ser. 06-CB14, Class AM, 5.559s, 2044  315,000  306,706  1,213,000  1,181,062  1,126,000  1,096,352 
Ser. 06-CB16, Class A4, 5.552s, 2045  735,000  719,036  1,361,000  1,331,439  1,650,000  1,614,162 
Ser. 06-CB14, Class A4, 5.481s, 2044  220,000  214,500  844,000  822,900  946,000  922,350 
Ser. 05-LDP2, Class AM, 4.78s, 2042  100,000  92,995  420,000  390,578  400,000  371,979 
Ser. 06-CB17, Class X, IO, 0.702s, 2043  2,426,643  94,032  13,256,197  513,678  14,224,458  551,198 
Ser. 06-LDP9, Class X, IO, 0.642s, 2047  3,226,536  106,379  5,626,959  185,521  5,274,338  173,895 
Ser. 07-LDPX, Class X, IO, 0.528s, 2049  4,831,385  114,745  20,381,185  484,053  16,154,599  383,672 
Ser. 06-LDP7, Class X, IO, 0.02s, 2045  13,400,897  10,469  49,817,460  38,920  49,817,460  38,920 
JPMorgan Chase Commercial Mortgage Securities Corp.             
144A             
Ser. 00-C9, Class G, 6 1/4s, 2032  38,000  38,314  240,000  241,985  260,000  262,150 
Ser. 03-ML1A, Class X1, IO, 0.813s, 2039  791,746  27,185  --  --  --  -- 

Ser. 06-FL2A, Class X1, IO, 0.783s, 2018  2,708,453  8,676  13,899,520  44,522  14,831,452  47,507 
Ser. 05-LDP2, Class X1, IO, 0.102s, 2042  16,899,824  283,864  41,357,077  694,670  34,546,569  580,275 
Ser. 05-LDP1, Class X1, IO, 0.1s, 2046  3,224,163  29,849  7,939,883  73,506  7,597,494  70,336 
Ser. 05-CB12, Class X1, IO, 0.094s, 2037  4,214,475  43,462  12,063,363  124,403  11,596,387  119,588 
Ser. 05-LDP3, Class X1, IO, 0.062s, 2042  16,326,544  125,638  17,347,571  133,495  29,136,328  224,213 
Ser. 06-LDP6, Class X1, IO, 0.05s, 2043  --  --  22,841,372  123,129  16,466,943  88,767 
Ser. 06-CB14, Class X1, IO, 0.046s, 2044  12,347,141  55,466  27,621,323  124,080  30,033,939  134,918 
Ser. 05-LDP5, Class X1, IO, 0.043s, 2044  22,885,485  103,700  69,203,386  313,578  76,183,191  345,205 
Key Commercial Mortgage             
Ser. 07-SL1, Class A2, 5.76s, 2040  1,091,000  1,059,889  --  --  --  -- 
Ser. 07-SL1, Class A1, 5.497s, 2040  863,076  847,601  --  --  --  -- 
LB Commercial Conduit Mortgage Trust 144A             
Ser. 99-C1, Class F, 6.41s, 2031  --  --  149,428  149,718  136,004  136,268 
Ser. 99-C1, Class G, 6.41s, 2031  --  --  159,961  161,979  145,590  147,427 
Ser. 98-C4, Class G, 5.6s, 2035  --  --  132,000  129,811  127,000  124,893 
Ser. 98-C4, Class H, 5.6s, 2035  --  --  223,000  204,978  215,000  197,624 
LB-UBS Commercial Mortgage Trust             
Ser. 04-C7, Class A6, 4.786s, 2029  121,000  114,105  362,000  341,371  400,000  377,205 
Ser. 07-C2, Class XW, IO, 0.73s, 2040  1,181,847  47,156  4,600,405  183,556  3,621,531  144,499 
LB-UBS Commercial Mortgage Trust 144A             
Ser. 06-C7, Class XW, IO, 0.914s, 2038  1,783,432  84,713  9,531,620  452,752  10,247,990  486,780 
Ser. 05-C2, Class XCL, IO, 0.153s, 2040  14,895,685  165,008  29,757,602  329,641  39,465,077  437,176 
Ser. 05-C3, Class XCL, IO, 0.132s, 2040  3,222,173  68,139  14,437,158  305,300  11,902,331  251,697 
Ser. 05-C5, Class XCL, IO, 0.109s, 2020  5,009,634  70,148  13,959,095  195,463  15,042,795  210,638 
Ser. 05-C7, Class XCL, IO, 0.095s, 2040  12,480,454  114,287  32,412,012  296,806  32,498,998  297,602 
Ser. 06-C1, Class XCL, IO, 0.081s, 2041  10,568,031  115,139  --  --  30,771,386  335,254 
Ser. 07-C2, Class XCL, IO, 0.075s, 2040  10,151,687  140,093  39,532,885  545,554  31,118,974  429,442 
Ser. 06-C7, Class XCL, IO, 0.072s, 2038  1,295,861  21,382  6,926,910  114,294  7,448,452  122,899 
Lehman Brothers Floating Rate Commercial Mortgage             
Trust 144A             
FRB Ser. 04-LLFA, Class H, 6.27s, 2017  175,000  175,191  184,000  184,201  214,000  214,234 
FRB Ser. 05-LLFA, 6.12s, 2018  23,000  22,943  93,000  92,768  89,000  88,778 
Lehman Mortgage Trust             
IFB Ser. 06-7, Class 1A9, 9s, 2036  --  --  176,995  186,956  176,995  186,956 
IFB Ser. 07-5, Class 4A3, 8.16s, 2036  187,100  186,653  811,743  809,801  692,856  691,199 
FRB Ser. 07-5, Class 4A2, 5.64s, 2037  607,102  602,256  1,534,809  1,522,558  1,303,856  1,293,449 
IFB Ser. 06-5, Class 2A2, IO, 1.83s, 2036  659,665  30,267  1,824,398  83,707  2,052,777  94,186 
IFB Ser. 07-2, Class 2A13, IO, 1.37s, 2037  --  --  1,932,093  93,127  1,657,198  79,877 
IFB Ser. 07-1, Class 2A3, IO, 1.31s, 2037  1,415,356  67,886  3,441,865  165,084  2,048,844  98,270 
Ser. 06-9, Class 2A3, IO, 1.3s, 2036  --  --  2,642,701  123,423  2,456,771  114,740 
IFB Ser. 06-9, Class 2A2, IO, 1.3s, 2037  1,398,912  66,044  1,872,644  88,409  1,718,609  81,137 
IFB Ser. 06-8, Class 2A2, IO, 1.26s, 2036  --  --  555,906  19,974  1,297,115  46,607 
IFB Ser. 06-7, Class 2A4, IO, 1.23s, 2036  --  --  3,082,546  108,739  3,313,600  116,890 
IFB Ser. 06-7, Class 2A5, IO, 1.23s, 2036  --  --  2,761,762  121,275  2,968,728  130,364 
IFB Ser. 06-6, Class 1A2, IO, 1.18s, 2036  --  --  1,106,011  39,304  1,223,315  43,472 
IFB Ser. 06-6, Class 1A3, IO, 1.18s, 2036  --  --  1,522,207  61,492  1,678,989  67,825 
IFB Ser. 06-5, Class 1A3, IO, 0.08s, 2036  178,902  743  496,755  2,062  552,336  2,292 
IFB Ser. 06-7, Class 1A3, IO, 0.03s, 2036  --  --  1,282,025  6,026  1,376,250  6,468 
IFB Ser. 06-9, Class 1A6, IO, zero %, 2037  --  --  1,600,287  4,353  1,467,245  3,991 
MASTR Adjustable Rate Mortgages Trust             
Ser. 04-7, Class 2A1, 6.548s, 2034  41,661  42,038  102,590  103,518  102,850  103,781 
Ser. 04-13, Class 3A6, 3.786s, 2034  266,000  256,448  771,000  743,313  838,000  807,907 
Ser. 06-OA1, Class X, IO, 2.086s, 2046  1,418,320  44,766  1,211,977  38,253  3,275,406  103,380 
Ser. 04-03, Class 4AX, IO, 1.417s, 2034  159,315  2,326  542,840  7,925  493,232  7,201 
Ser. 05-2, Class 7AX, IO, 0.168s, 2035  409,490  1,152  1,395,012  3,923  1,343,345  3,778 
Merrill Lynch Capital Funding Corp. Ser. 06-4,             
Class XC, IO, 0.063s, 2049  16,183,474  235,166  47,363,002  688,244  40,507,121  588,619 
Merrill Lynch Floating Trust 144A             
Ser. 06-1, Class X1TM, IO, 6.166s, 2022  5,468,000  64,670  4,841,000  57,255  5,713,000  67,568 
FRB Ser. 06-1, Class TM, 5.82s, 2022  555,000  555,722  492,000  492,640  580,000  580,754 
Ser. 06-1, Class X1A, IO, 1.44s, 2022  18,366,552  228,315  16,389,532  203,738  19,398,499  241,143 
Merrill Lynch Mortgage Investors, Inc.             
Ser. 98-C3, Class E, 7.114s, 2030  --  --  137,000  143,516  127,000  133,041 
FRB Ser. 05-A9, Class 3A1, 5.28s, 2035  466,895  462,227  1,355,984  1,342,424  1,474,363  1,459,620 
Ser. 96-C2, Class JS, IO, 2.278s, 2028  324,621  30,647  191,454  18,075  73,048  6,896 
Merrill Lynch Mortgage Trust Ser. 05-MCP1, Class XC,             
IO, 0.093s, 2043  4,532,115  61,785  15,340,147  209,129  14,755,263  201,156 
Merrill Lynch Mortgage Trust 144A             
Ser. 05-LC1, Class X, IO, 0.237s, 2044  2,505,267  21,921  7,553,564  66,094  8,312,796  72,737 
Ser. 04-KEY2, Class XC, IO, 0.207s, 2039  2,903,252  62,034  7,922,514  169,282  9,376,548  200,350 
Merrill Lynch/Countrywide Commercial Mortgage Trust             
144A             
Ser. 06-1, Class X, IO, 0.135s, 2039  4,571,000  23,391  20,236,000  103,551  21,892,000  112,025 
Ser. 07-7, Class X, IO, 0.02s, 2050  11,860,000  48,181  77,750,000  315,859  61,453,000  249,653 
Mezz Cap Commercial Mortgage Trust 144A             
Ser. 04-C2, Class X, IO, 6.412s, 2040  207,611  62,154  528,464  158,209  517,537  154,938 
Ser. 05-C3, Class X, IO, 5.556s, 2044  413,364  120,392  653,994  190,476  654,993  190,767 
Ser. 06-C4, Class X, IO, 5.475s, 2016  1,015,000  335,898  2,542,000  841,235  2,615,000  865,393 
Morgan Stanley Capital I             
Ser. 98-CF1, Class D, 7.35s, 2032  67,000  68,996  --  --  --  -- 
Ser. 07-HQ11, Class A4, 5.447s, 2044  1,452,000  1,402,711  5,543,000  5,354,841  1,850,000  1,787,201 
Ser. 05-HQ6, Class A4A, 4.989s, 2042  278,000  263,313  827,000  783,310  915,000  866,661 
Ser. 04-HQ4, Class A7, 4.97s, 2040  144,000  136,980  427,000  406,184  473,000  449,941 
Morgan Stanley Capital I 144A             
Ser. 98-HF1, Class F, 7.18s, 2030  14,000  14,067  124,000  124,591  115,000  115,548 
Ser. 04-RR, Class F5, 6s, 2039  --  --  395,000  344,685  340,000  296,691 
Ser. 04-RR, Class F6, 6s, 2039  --  --  395,000  327,617  350,000  290,294 
Ser. 05-HQ6, Class X1, IO, 0.081s, 2042  8,229,564  86,064  18,154,988  189,864  18,034,560  188,604 
Ser. 05-HQ5, Class X1, IO, 0.131s, 2042  3,259,445  25,719  8,936,722  70,516  7,034,656  55,508 
Ser. 05-RR6, Class X, IO, 1.705s, 2043  988,974  50,724  2,869,013  147,152  4,616,530  236,782 
Morgan Stanley Mortgage Loan Trust Ser. 05-5AR,             
Class 2A1, 5.361s, 2035  386,085  384,553  680,874  678,171  1,143,956  1,139,415 
Mortgage Capital Funding, Inc.             
FRB Ser. 98-MC2, Class E, 7.239s, 2030  53,000  53,794  215,000  218,222  206,000  209,087 
Ser. 97-MC2, Class X, IO, 1.298s, 2012  325,797  880  90,262  244  --  -- 
Permanent Financing PLC FRB Ser. 8, Class 2C, 5.76s,             
2042 (United Kingdom)  165,000  165,114  --  --  --  -- 
PNC Mortgage Acceptance Corp. 144A             
Ser. 99-CM1, Class B3, 7.1s, 2032  --  --  813,000  830,569  757,000  773,359 
Ser. 00-C1, Class J, 6 5/8s, 2010  --  --  118,000  109,655  189,000  175,634 
Ser. 00-C2, Class J, 6.22s, 2033  --  --  276,000  276,403  291,000  291,425 
Pure Mortgages 144A             
FRB Ser. 04-1A, Class F, 8.86s, 2034 (Ireland)  116,000  116,000  558,000  558,000  544,000  544,000 
Ser. 04-1A, Class E, 6.61s, 2034 (Ireland)  100,000  99,825  220,000  219,615  429,000  428,249 
Residential Asset Securitization Trust IFB Ser.             
06-A7CB, Class 1A6, IO, 0.23s, 2036  101,025  699  283,649  1,961  294,334  2,035 
Residential Funding Mortgage Securities I Ser. 04-S5,             
Class 2A1, 4 1/2s, 2019  342,787  325,762  1,211,919  1,151,729  1,346,114  1,279,258 
Salomon Brothers Mortgage Securities VII 144A Ser.             
02-KEY2, Class X1, IO, 0.894s, 2036  2,750,807  130,057  10,209,367  482,693  8,943,362  422,837 
SBA CMBS Trust 144A Ser. 05-1A, Class D, 6.219s, 2035  --  --  200,000  199,373  200,000  199,373 
STRIPS 144A             
Ser. 03-1A, Class L, 5s, 2018 (Cayman Islands)  --  --  172,000  152,865  165,000  146,644 
Ser. 03-1A, Class M, 5s, 2018 (Cayman Islands)  --  --  116,000  99,148  112,000  95,729 
Ser. 04-1A, Class K, 5s, 2018 (Cayman Islands)  100,000  93,723  --  --  --  -- 
Ser. 04-1A, Class L, 5s, 2018 (Cayman Islands)  --  --  76,000  67,429  74,000  65,655 
Structured Adjustable Rate Mortgage Loan Trust             
Ser. 04-8, Class 1A3, 5.761s, 2034  19,619  19,825  9,699  9,801  17,856  18,043 
FRB Ser. 05-18, Class 6A1, 5.251s, 2035  212,257  210,245  522,166  517,216  552,005  546,772 
Ser. 05-9, Class AX, IO, 1.095s, 2035  1,947,702  27,998  5,297,899  76,157  5,065,917  72,823 
Ser. 04-19, Class 2A1X, IO, 0.798s, 2035  569,514  4,983  --  --  --  -- 
Wachovia Bank Commercial Mortgage Trust             
Ser. 04-C15, Class A4, 4.803s, 2041  215,000  202,349  637,000  599,518  705,000  663,516 
Ser. 06-C28, Class XC, IO, 0.564s, 2048  3,142,666  83,658  10,949,900  291,486  11,032,786  293,693 
Ser. 06-C29, IO, 0.528s, 2048  17,927,646  515,241  47,128,925  1,354,485  42,938,176  1,234,043 
Wachovia Bank Commercial Mortgage Trust 144A             
FRB Ser. 05-WL5A, Class L, 8.62s, 2018  --  --  164,000  163,969  156,000  155,970 
Ser. 07-C31, IO, 0.431s, 2047  9,212,308  187,839  35,873,304  731,457  28,237,878  575,770 
Ser. 03-C3, Class IOI, IO, 0.415s, 2035  516,041  15,261  3,877,256  114,659  3,880,962  114,769 
Ser. 05-C18, Class XC, IO, 0.108s, 2042  12,771,261  129,245  21,792,449  220,540  25,163,488  254,655 
Ser. 06-C23, Class XC, IO, 0.06s, 2045  4,886,136  29,561  32,205,522  194,843  35,351,867  213,879 
Ser. 06-C26, Class XC, IO, 0.045s, 2045  17,870,971  66,480  14,234,947  52,954  8,815,814  32,795 
WAMU Commercial Mortgage Securities Trust 144A             
Ser. 07-SL2, Class A1, 5.308s, 2049  1,886,193  1,849,059  --  --  --  -- 
Ser. 07-SL2, Class X, IO, 0.852s, 2049  1,378,376  63,158  5,865,068  268,739  4,646,042  212,883 
Washington Mutual 144A Ser. 06-SL1, Class X, IO,             
0.938s, 2043  450,522  23,177  2,409,747  123,970  2,590,752  133,282 
Washington Mutual Asset Securities Corp. 144A             
Ser. 05-C1A, Class G, 5.72s, 2036  --  --  46,000  40,424  44,000  38,667 
Ser. 05-C1A, Class F, 5.3s, 2036  107,000  96,150  --  --  --  -- 
Wells Fargo Mortgage Backed Securities Trust             
Ser. 06-AR10, Class 3A1, 5.262s, 2036  286,287  282,776  662,039  653,919  664,902  656,747 
Ser. 05-AR16, Class 2A1, 4.945s, 2035  --  --  --  --  97,680  96,803 
Ser. 05-AR2, Class 2A1, 4.545s, 2035  128,102  125,636  322,368  316,160  337,853  331,347 
Ser. 04-R, Class 2A1, 4.36s, 2034  131,453  128,824  330,752  324,137  347,108  340,166 
Ser. 05-AR9, Class 1A2, 4.354s, 2035  402,244  394,626  --  --  146,664  143,887 
Ser. 05-AR12, Class 2A5, 4.319s, 2035  1,425,000  1,382,436  4,555,000  4,418,946  4,382,000  4,251,113 
Ser. 05-AR10, Class 2A18, IO, 0.61s, 2035  --  --  9,846,000  93,885  9,480,000  90,395 
 
Total collateralized mortgage obligations
 (cost $64,679,696, $188,331,276 and $171,513,526)    $61,548,255    $179,216,725    $163,263,192 
 
ASSET-BACKED SECURITIES(a)  Growth 0.7%  Balanced 2.0%    Conservative 4.3% 
  Principal      Principal       Principal   
  amount  Value  amount  Value   amount  Vlaue 
Advanta Business Card Master Trust FRB Ser. 04-C1,             
Class C, 6.37s, 2013  159,000  $161,072  --  $--  212,000  $214,762 
Aegis Asset Backed Securities Trust 144A             
Ser. 04-5N, Class Note, 5s, 2034  9,485  9,041  14,690  14,001  14,270  13,601 
Ser. 04-6N, Class Note, 4 3/4s, 2035  9,321  8,872  13,173  12,539  13,049  12,421 

AFC Home Equity Loan Trust Ser. 99-2, Class 1A, 5.73s,             
2029  368,564  369,641  685,894  687,899  487,933  489,359 
American Express Credit Account Master Trust 144A Ser.             
04-C, Class C, 5.82s, 2012  89,067  89,263  543,613  544,809  436,119  437,079 
Ameriquest Mortgage Securities, Inc.             
FRB Ser. 06-R1, Class M10, 7.82s, 2036  --  --  142,000  112,180  261,000  206,190 
FRB Ser. 04-R10, Class A5, 5.71s, 2034  1,410  1,410  --  --  --  -- 
FRB Ser. 04-R11, Class A2, 5.69s, 2034  11,016  11,038  --  --  --  -- 
AMP CMBS 144A FRB Ser. 06-1A, Class A, 6.11s, 2047             
(Cayman Islands)  --  --  --  --  440,000  440,000 
Arcap REIT, Inc. 144A             
Ser. 03-1A, Class E, 7.11s, 2038  --  --  286,000  287,528  223,000  224,191 
Ser. 04-1A, Class E, 6.42s, 2039  --  --  240,272  235,073  227,202  222,285 
Asset Backed Funding Certificates 144A FRB Ser.             
06-OPT3, Class B, 7.82s, 2036  --  --  89,000  61,130  58,000  39,838 
Asset Backed Funding Corp. NIM Trust 144A FRB Ser.             
05-OPT1, Class B1, 7.82s, 2035  50,000  35,859  --  --  117,000  83,910 
Asset Backed Securities Corp. Home Equity Loan Trust             
FRB Ser. 04-HE7, Class A2, 5.7s, 2034  13,902  13,904  --  --  --  -- 
FRB Ser. 04-HE6, Class A2, 5.68s, 2034  95,734  96,207  339,031  340,707  325,250  326,858 
FRB Ser. 05-HE1, Class A3, 5.61s, 2035  645  645  4,775  4,775  4,729  4,729 
Bank One Issuance Trust FRB Ser. 03-C4, Class C4,             
6.35s, 2011  110,000  110,877  280,000  282,231  250,000  251,992 
Bay View Auto Trust             
Ser. 05-LJ2, Class D, 5.27s, 2014  62,000  61,206  139,000  137,219  134,000  132,283 
Ser. 05-LJ2, Class C, 4.92s, 2014  100,000  98,701  46,000  45,402  45,000  44,415 
Bayview Commercial Asset Trust 144A Ser. 06-4A,             
Class IO, IO, 1.14s, 2036  378,214  52,307  1,099,369  152,043  1,301,214  179,958 
Bayview Financial Acquisition Trust             
FRB Ser. 03-G, Class A1, 5.92s, 2039  550,000  550,000  1,012,000  1,012,000  944,000  944,000 
Ser. 04-B, Class A1, 5.82s, 2039  --  --  861,452  861,448  1,131,240  1,131,235 
FRB Ser. 04-D, Class A, 5.71s, 2044  104,312  104,329  340,962  341,015  332,866  332,918 
Ser. 05-B, Class A, IO, 4.466s, 2039  1,182,034  12,048  1,135,032  11,569  2,957,545  30,146 
Bayview Financial Asset Trust 144A             
FRB Ser. 03-SSRA, Class M, 6.67s, 2038  54,401  54,673  161,939  162,748  126,515  127,147 
FRB Ser. 03-SSRA, Class A, 6.02s, 2038  54,401  54,510  161,939  162,263  126,515  126,768 
FRB Ser. 04-SSRA, Class A1, 5.92s, 2039  129,220  129,349  187,815  188,003  181,994  182,176 
Bear Stearns Asset Backed Securities Trust IFB Ser.             
07-AC5, Class A6, IO, 1.23s, 2037  836,000  25,341  5,247,000  159,050  4,296,000  130,223 
Bear Stearns Asset Backed Securities, Inc.             
FRB Ser. 06-EC1, Class M9, 7.32s, 2035  --  --  146,000  87,600  161,000  96,600 
FRB Ser. 06-PC1, Class M9, 7.07s, 2035  --  --  --  --  100,000  65,000 
FRB Ser. 03-3, Class A2, 5.91s, 2043  125,204  125,360  434,763  435,306  343,078  343,507 
FRB Ser. 03-1, Class A1, 5.82s, 2042  128,208  128,408  365,779  366,350  260,232  260,639 
FRB Ser. 05-3, Class A1, 5.77s, 2035  147,376  147,606  --  --  --  -- 
FRB Ser. 03-ABF1, Class A, 5.69s, 2034  28,062  28,079  --  --  --  -- 
FRB Ser. 06-2, Class A1, 5.45s, 2036  312,826  312,630  --  --  --  -- 
Bear Stearns Asset Backed Securities, Inc. 144A FRB             
Ser. 06-HE2, Class M10, 7.57s, 2036  --  --  108,000  70,200  --  -- 
Bombardier Capital Mortgage Securitization Corp.             
Ser. 99-B, Class A2, 6.975s, 2012  --  --  52,562  37,582  67,778  48,461 
Ser. 01-A, Class A, 6.805s, 2030  140,595  140,641  215,439  215,510  205,996  206,064 
Broadhollow Funding, LLC 144A FRB Ser. 04-A,             
Class Sub, 6.57s, 2009  --  --  500,000  477,500  500,000  477,500 
Capital One Multi-Asset Execution Trust FRB Ser.             
02-C1, Class C1, 8.07s, 2010  --  --  65,000  65,322  53,000  53,263 
CARMAX Auto Owner Trust Ser. 04-2, Class D, 3.67s, 2011  8,299  8,207  32,722  32,358  30,351  30,014 
CARSSX Finance, Ltd. 144A             
FRB Ser. 04-AA, Class B4, 10.82s, 2011 (Cayman Islands)  --  --  116,116  116,442  148,658  149,076 
FRB Ser. 04-AA, Class B3, 8.67s, 2011 (Cayman Islands)  --  --  15,183  15,205  15,183  15,205 
Chase Credit Card Master Trust FRB Ser. 03-3, Class C,             
6.4s, 2010  170,000  171,549  470,000  474,281  420,000  423,826 
Chase Funding Loan Acquisition Trust FRB Ser. 04-AQ1,             
Class A2, 5.72s, 2034  98,823  99,132  --  --  --  -- 
Chase Funding Net Interest Margin 144A Ser. 04-OPT1,             
Class Note, 4.458s, 2034  13,691  13,509  26,191  25,843  32,824  32,388 
Citibank Credit Card Issuance Trust FRB Ser. 01-C1,             
Class C1, 6.436s, 2010  110,000  110,520  240,000  241,134  210,000  210,993 
Citigroup Mortgage Loan Trust, Inc.             
FRB Ser. 05-HE4, Class M11, 7.82s, 2035  41,000  26,150  --  --  --  -- 
FRB Ser. 05-HE4, Class M12, 7.37s, 2035  49,000  28,802  --  --  --  -- 
Ser. 03-HE3, Class A, 5.7s, 2033  788,665  791,031  --  --  --  -- 
Citigroup Mortgage Loan Trust, Inc. 144A FRB Ser.             
03-HE4, Class A, 5.73s, 2033  301,550  302,455  --  --  --  -- 
Conseco Finance Securitizations Corp.             
Ser. 02-2, Class A, IO, 8 1/2s, 2033  128,258  23,833  483,641  89,872  304,613  56,604 
Ser. 00-4, Class A6, 8.31s, 2032  162,000  143,370  2,707,000  2,395,695  2,657,000  2,351,445 
Ser. 00-5, Class A6, 7.96s, 2032  554,000  499,312  2,190,000  1,973,816  2,006,000  1,807,980 
Ser. 02-1, Class M1F, 7.954s, 2033  --  --  510,000  525,267  676,000  696,237 
Ser. 02-2, Class M1, 7.424s, 2033  83,000  84,264  216,000  219,291  154,000  156,346 
FRB Ser. 02-1, Class M1A, 7.37s, 2033  725,000  713,037  1,996,000  1,963,065  1,264,000  1,243,143 
Ser. 01-4, Class A4, 7.36s, 2033  464,072  473,500  1,162,469  1,186,085  1,137,755  1,160,869 
Ser. 00-6, Class A5, 7.27s, 2031  197,492  194,022  513,652  504,628  365,533  359,111 
Ser. 01-1, Class A5, 6.99s, 2032  660,413  627,480  3,355,587  3,188,252  2,927,417  2,781,434 
Ser. 01-3, Class A4, 6.91s, 2033  --  --  382,684  372,624  376,842  366,935 
Ser. 02-1, Class A, 6.681s, 2033  218,375  219,379  681,700  684,833  555,759  558,313 
Ser. 01-4, Class A, IO, 2 1/2s, 2033  684,733  2,920  1,534,326  6,544  1,018,832  4,345 
Countryplace Manufactured Housing Contract Ser. 05-1,             
Class A1, 4.23s, 2035  52,947  52,727  --  --  --  -- 
Countrywide Asset Backed Certificates             
FRB Ser. 04-5, Class 4A3, 5.64s, 2034  42,924  43,059  151,196  151,672  145,558  146,016 
FRB Ser. 04-13, Class AV2, 5.58s, 2034  5,712  5,713  20,131  20,134  19,300  19,302 
Countrywide Asset Backed NIM Certificates 144A             
Ser. 04-6N, Class N1, 6 1/4s, 2035  4,263  4,220  12,478  12,353  11,571  11,455 
Ser. 04-BC1N, Class Note, 5 1/2s, 2035  --  --  260  130  247  124 
Ser. 04-14, Class N, 5s, 2036  2,253  2,152  8,877  8,478  8,787  8,392 
Countrywide Home Loans             
Ser. 06-0A5, Class X, IO, 2.022s, 2046  781,818  28,097  2,314,404  83,174  2,550,860  91,672 
Ser. 05-9, Class 1X, IO, 1.669s, 2035  602,572  10,357  2,136,223  36,716  2,043,152  35,117 
Ser. 05-2, Class 2X, IO, 1.16s, 2035  927,248  18,980  2,578,763  52,784  2,463,081  50,416 
Countrywide Home Loans 144A             
IFB Ser. 05-R2, Class 2A3, 8s, 2035  131,778  137,567  --  --  246,570  257,403 
IFB Ser. 05-R1, Class 1AS, IO, 0.8s, 2035  294,571  8,343  2,106,151  59,652  2,100,340  59,488 
IFB Ser. 05-R2, Class 1AS, IO, 0.421s, 2035  276,778  8,060  1,791,805  52,177  1,651,209  48,083 
Credit-Based Asset Servicing and Securitization FRB             
Ser. 02-CB2, Class A2, 5.87s, 2032  44,005  44,071  --  --  --  -- 
Crest, Ltd. 144A Ser. 03-2A, Class D2, 6.723s, 2038             
(Cayman Islands)  --  --  339,000  318,236  313,000  293,829 
CS First Boston Mortgage Securities Corp. 144A Ser.             
04-FR1N, Class A, 5s, 2034  58,306  55,391  81,443  77,371  88,847  84,405 
DB Master Finance, LLC 144A Ser. 06-1, Class M1,             
8.285s, 2031  --  --  204,000  205,990  214,000  216,088 
Fieldstone Mortgage Investment Corp. FRB Ser. 05-1,             
Class M3, 5.86s, 2035  --  --  143,000  143,045  138,000  138,043 
Finance America NIM Trust 144A Ser. 04-1, Class A,             
5 1/4s, 2034  --  --  16,152  17  14,683  15 
First Franklin Mortgage Loan Asset Backed Certificates             
FRB Ser. 04-FF10, Class A2, 5.72s, 2032  41,170  41,214  --  --  --  -- 
Ford Credit Auto Owner Trust Ser. 04-A, Class C,             
4.19s, 2009  140,000  137,704  240,000  236,064  130,000  127,868 
Fremont NIM Trust 144A             
Ser. 04-3, Class B, 7 1/2s, 2034  --  --  42,218  376  40,939  364 
Ser. 04-3, Class A, 4 1/2s, 2034  446  6  1,473  21  1,141  17 
GE Capital Credit Card Master Note Trust FRB Ser.             
04-2, Class C, 5.8s, 2010  100,000  100,109  403,620  404,060  374,560  374,968 
GE Corporate Aircraft Financing, LLC 144A             
FRB Ser. 05-1A, Class C, 6.62s, 2019  --  --  269,000  268,997  271,000  270,997 
Ser. 04-1A, Class B, 6.17s, 2018  24,283  24,268  26,468  26,453  25,740  25,725 
Gears Auto Owner Trust 144A Ser. 05-AA, Class E1,             
8.22s, 2012  --  --  443,000  438,421  442,000  437,431 
GEBL 144A             
Ser. 04-2, Class D, 8.07s, 2032  --  --  137,682  135,746  169,333  166,949 
Ser. 04-2, Class C, 6.17s, 2032  --  --  102,866  102,609  169,333  168,909 
Granite Mortgages PLC             
FRB Ser. 03-2, Class 1C, 6.908s, 2043 (United Kingdom)  275,000  278,877  --  --  --  -- 
FRB Ser. 03-3, Class 1C, 6.808s, 2044 (United Kingdom)  60,000  61,086  230,000  234,163  --  -- 
FRB Ser. 02-2, Class 1C, 6.608s, 2043 (United Kingdom)  76,705  77,165  196,023  197,199  187,500  188,625 
Green Tree Financial Corp.             
Ser. 96-5, Class M1, 8.05s, 2027  --  --  238,206  220,638  322,794  298,987 
Ser. 99-5, Class A5, 7.86s, 2030  464,459  443,558  3,011,680  2,876,154  2,460,561  2,349,836 
Ser. 97-2, Class A7, 7.62s, 2028  208,535  213,955  --  --  --  -- 
Ser. 97-6, Class A9, 7.55s, 2029  74,927  76,603  --  --  139,924  143,054 
Ser. 97-4, Class A7, 7.36s, 2029  14,248  14,552  55,695  56,884  120,026  122,587 
Ser. 95-8, Class M1, 7.3s, 2026  52,281  54,403  --  --  --  -- 
Ser. 96-10, Class M1, 7.24s, 2028  --  --  449,000  449,000  625,000  625,000 
Ser. 97-6, Class M1, 7.21s, 2029  293,000  271,142  688,000  636,675  946,000  875,428 
Ser. 96-2, Class A4, 7.2s, 2027  284,097  288,911  --  --  --  -- 
Ser. 97-6, Class A8, 7.07s, 2029  50,749  50,999  --  --  57,128  57,409 
Ser. 99-4, Class A5, 6.97s, 2031  31,255  31,311  --  --  --  -- 
Ser. 98-4, Class A7, 6.87s, 2030  60,089  59,338  152,534  150,628  108,366  107,012 
Ser. 97-7, Class A8, 6.86s, 2029  9,849  9,922  38,501  38,786  82,972  83,586 
Ser. 99-3, Class A7, 6.74s, 2031  108,000  106,468  147,000  144,915  151,000  148,858 
Ser. 99-3, Class A6, 6 1/2s, 2031  --  --  235,000  232,613  228,000  225,684 
Ser. 99-2, Class A7, 6.44s, 2030  --  --  584,369  564,676  814,426  786,979 
Ser. 99-1, Class A6, 6.37s, 2025  87,000  87,435  --  --  --  -- 
Greenpoint Manufactured Housing             
Ser. 00-3, Class IA, 8.45s, 2031  148,145  140,911  703,091  668,760  670,588  637,844 
Ser. 99-5, Class M1A, 8.3s, 2026  --  --  198,000  199,386  157,000  158,099 
Ser. 99-5, Class A4, 7.59s, 2028  209,171  211,525  457,915  463,069  313,756  317,288 

GS Auto Loan Trust 144A Ser. 04-1, Class D, 5s, 2011  --  --  257,594  257,342  252,014  251,731 
GSAMP Trust FRB Ser. 05-HE3, Class A1B, 5.58s, 2035  35,101  35,106  --  --  --  -- 
GSAMP Trust 144A Ser. 05-NC1, Class N, 5s, 2035  207  199  546  524  524  503 
GSMPS Mortgage Loan Trust             
Ser. 05-RP3, Class 1A4, 8 1/2s, 2035  40,434  42,550  --  --  79,744  83,918 
Ser. 05-RP3, Class 1A3, 8s, 2035  129,702  135,209  --  --  254,508  265,315 
Ser. 05-RP3, Class 1A2, 7 1/2s, 2035  106,444  109,579  --  --  208,631  214,775 
GSMPS Mortgage Loan Trust 144A             
Ser. 05-RP2, Class 1A3, 8s, 2035  82,857  86,364  226,175  235,751  216,658  225,831 
Ser. 05-RP1, Class 1A2, 7 1/2s, 2035  107,757  110,986  --  --  --  -- 
Ser. 05-RP2, Class 1A2, 7 1/2s, 2035  94,776  97,618  261,149  268,981  249,302  256,779 
IFB Ser. 04-4, Class 1AS, IO, 0.775s, 2034  3,133,321  88,914  1,936,867  54,962  9,421,837  267,363 
Guggenheim Structured Real Estate Funding, Ltd. 144A             
FRB Ser. 05-2A, Class D, 6.87s, 2030 (Cayman Islands)  --  --  250,000  249,350  250,000  249,350 
FRB Ser. 05-1A, Class D, 6.85s, 2030 (Cayman Islands)  --  --  144,732  140,520  138,818  134,778 
HASCO NIM Trust 144A Ser. 05-OP1A, Class A, 6 1/4s,             
2035 (Cayman Islands)  --  --  114,902  99,965  126,176  109,773 
High Income Trust Securities 144A FRB Ser. 03-1A,             
Class A, 5.856s, 2036 (Cayman Islands)  --  --  513,091  492,567  466,923  448,246 
Home Equity Asset Trust             
FRB Ser. 04-7, Class A3, 5.71s, 2035  30,906  30,910  --  --  --  -- 
FRB Ser. 04-8, Class A4, 5.68s, 2035  2,437  2,437  --  --  --  -- 
Home Equity Asset Trust 144A Ser. 04-4N, Class A, 5s,             
2034 (Cayman Islands)  4,833  4,592  --  --  9,231  8,769 
Hyundai Auto Receivables Trust Ser. 04-A, Class D,             
4.1s, 2011  81,199  80,581  77,744  77,152  72,561  72,009 
Impac CMB Trust FRB Ser. 04-8, Class 1A, 5.68s, 2034  14,656  14,647  --  --  --  -- 
Lehman ABS Manufactured Housing Contract Ser. 01-B,             
Class M1, 6.63s, 2028  185,000  173,930  171,000  160,768  176,000  165,468 
Lehman Mortgage Trust             
IFB Ser. 06-7, Class 4A2, IO, 2.43s, 2036  --  --  1,002,711  54,048  1,079,347  58,179 
Ser. 07-1, Class 3A2, IO, 1.93s, 2037  --  --  1,288,155  76,843  1,171,320  69,873 
LNR CDO, Ltd. 144A FRB Ser. 03-1A, Class EFL, 8.32s,             
2036 (Cayman Islands)  105,000  110,582  595,000  626,633  460,000  484,455 
Marriott Vacation Club Owner Trust 144A             
Ser. 05-2, Class D, 6.205s, 2027  --  --  30,145  29,399  32,377  31,577 
FRB Ser. 02-1A, Class A1, 6.02s, 2024  25,374  25,531  107,526  108,192  105,767  106,423 
Ser. 04-2A, Class D, 5.389s, 2026  --  --  21,364  20,413  20,954  20,020 
Ser. 04-1A, Class C, 5.265s, 2026  --  --  54,191  53,125  50,320  49,330 
Master Asset Backed Securities Trust             
FRB Ser. 04-HE1, Class A1, 5.72s, 2034  5,993  6,015  --  --  --  -- 
FRB Ser. 04-OPT2, Class A2, 5.67s, 2034  29,217  29,318  --  --  --  -- 
MASTR Asset Backed Securities NIM Trust 144A Ser.             
04-HE1A, Class Note, 5.191s, 2034 (Cayman Islands)  526  237  1,852  833  1,799  810 
MASTR Reperforming Loan Trust 144A             
Ser. 05-2, Class 1A3, 7 1/2s, 2035  144,415  149,079  --  --  548,067  565,768 
Ser. 05-1, Class 1A4, 7 1/2s, 2034  113,401  117,090  315,902  326,180  301,438  311,245 
MBNA Credit Card Master Note Trust FRB Ser. 03-C5,             
Class C5, 6 1/2s, 2010  170,000  171,591  470,000  474,400  420,000  423,932 
Merit Securities Corp. 144A FRB Ser. 11PA, Class 3A1,             
5.94s, 2027  320,749  304,712  460,733  437,696  379,167  360,209 
Merrill Lynch Mortgage Investors, Inc.             
FRB Ser. 02-HE1, Class A2, 6.32s, 2032  7,887  7,891  --  --  --  -- 
FRB Ser. 04-HE2, Class A1A, 5.72s, 2035  9,595  9,605  --  --  --  -- 
FRB Ser. 04-WMC5, Class A2A, 5.69s, 2035  951  948  --  --  --  -- 
Ser. 04-WMC3, Class B3, 5s, 2035  31,000  30,380  92,000  90,160  85,000  83,300 
Merrill Lynch Mortgage Investors, Inc. 144A             
Ser. 04-FM1N, Class N1, 5s, 2035 (Cayman Islands)  2,712  2,671  4,254  4,191  3,927  3,868 
Ser. 04-HE2N, Class N1, 5s, 2035 (Cayman Islands)  4,113  4,051  6,745  6,644  5,867  5,779 
Ser. 05-WM1N, Class N1, 5s, 2035  990  982  2,750  2,728  2,627  2,606 
Ser. 04-WM1N, Class N1, 4 1/2s, 2034 (In default) (NON)  1,604  160  3,041  304  3,759  376 
Ser. 04-WM3N, Class N1, 4 1/2s, 2035 (In default) (NON)  --  --  9,640  9,351  8,614  8,356 
Mid-State Trust Ser. 11, Class B, 8.221s, 2038  52,661  51,309  202,863  197,654  156,785  152,759 
Morgan Stanley ABS Capital I FRB Ser. 04-HE8,             
Class A4, 5.7s, 2034  27,916  27,924  --  --  --  -- 
Morgan Stanley Auto Loan Trust 144A Ser. 04-HB2,             
Class E, 5s, 2012  --  --  28,091  27,680  26,254  25,869 
Navigator CDO, Ltd. 144A FRB Ser. 03-1A, Class A1,             
5.85s, 2015 (Cayman Islands)  101,438  101,488  176,257  176,345  166,905  166,988 
Navistar Financial Corp. Owner Trust             
Ser. 05-A, Class C, 4.84s, 2014  48,179  47,106  113,220  110,698  109,005  106,577 
Ser. 04-B, Class C, 3.93s, 2012  11,093  10,783  42,859  41,662  47,397  46,074 
New Century Home Equity Loan Trust Ser. 03-5,             
Class AI7, 5.15s, 2033  93,477  89,853  317,630  305,316  278,523  267,724 
Nomura Asset Acceptance Corp. Ser. 04-R3, Class PT,             
7.911s, 2035  80,602  81,077  106,661  107,290  104,236  104,851 
Nomura Asset Acceptance Corp. 144A Ser. 04-R2,             
Class PT, 9.087s, 2034  --  --  100,951  103,354  92,834  95,044 
Novastar Home Equity Loan             
FRB Ser. 04-4, Class A1B, 5.72s, 2035  3,212  3,213  --  --  --  -- 
FRB Ser. 04-3, Class A3D, 5.68s, 2034  2,985  2,986  --  --  --  -- 
Oakwood Mortgage Investors, Inc.             
Ser. 00-A, Class A3, 7.945s, 2022  78,619  70,214  305,852  273,154  299,258  267,265 
Ser. 95-B, Class B1, 7.55s, 2021  --  --  185,000  115,625  267,000  166,875 
Ser. 01-E, Class A4, 6.81s, 2031  656,150  570,699  865,127  752,460  936,852  814,844 
Ser. 99-A, Class A3, 6.09s, 2029  236,092  217,497  --  --  --  -- 
Ser. 01-E, Class A, IO, 6s, 2009  172,321  18,649  588,436  63,683  394,575  42,703 
Ser. 01-D, Class A3, 5.9s, 2022  23,975  19,180  75,255  60,204  53,944  43,155 
Ser. 02-C, Class A1, 5.41s, 2032  310,100  279,474  916,078  825,606  847,727  764,006 
Ser. 01-D, Class A2, 5.26s, 2019  55,450  39,589  --  --  338,959  242,006 
Ser. 02-A, Class A2, 5.01s, 2020  223,631  198,769  --  --  111,815  99,385 
Oakwood Mortgage Investors, Inc. 144A             
Ser. 01-B, Class A4, 7.21s, 2030  --  --  94,654  83,150  125,277  110,051 
Ser. 01-B, Class A3, 6.535s, 2023  --  --  78,855  72,592  56,837  52,323 
Ocean Star PLC 144A             
FRB Ser. 04, Class D, 7.66s, 2018 (Ireland)  23,000  23,230  133,000  134,330  123,000  124,230 
FRB Ser. 05-A, Class D, 6.86s, 2012 (Ireland)  27,000  27,000  149,000  149,000  150,000  150,000 
Option One Mortgage Loan Trust FRB Ser. 05-4,             
Class M11, 7.82s, 2035  --  --  46,000  32,674  51,000  36,225 
Origen Manufactured Housing             
Ser. 04-B, Class A3, 4 3/4s, 2021  56,000  53,723  --  --  --  -- 
Ser. 04-B, Class A2, 3.79s, 2017  101,698  100,192  64,974  64,012  60,030  59,141 
Park Place Securities, Inc.             
FRB Ser. 04-MCW1, Class A2, 5.7s, 2034  44,612  44,696  --  --  --  -- 
FRB Ser. 04-WCW1, Class A2, 5.7s, 2034  24,132  24,134  85,465  85,473  82,000  82,008 
FRB Ser. 04-WHQ2, Class A3A, 5.67s, 2035  7,650  7,651  61,779  61,790  59,925  59,935 
Park Place Securities, Inc. 144A FRB Ser. 04-MHQ1,             
Class M10, 7.82s, 2034  --  --  88,000  70,400  97,000  77,600 
People's Choice Net Interest Margin Note 144A Ser.             
04-2, Class B, 5s, 2034  --  --  5,055  4,767  5,055  4,767 
Permanent Financing PLC             
FRB Ser. 3, Class 3C, 6.51s, 2042 (United Kingdom)  110,000  110,756  280,000  281,924  270,000  271,855 
FRB Ser. 4, Class 3C, 6.16s, 2042 (United Kingdom)  177,000  178,278  500,000  503,610  503,000  506,632 
FRB Ser. 5, Class 2C, 6.01s, 2042 (United Kingdom)  169,000  168,894  445,000  444,722  405,000  404,747 
Pillar Funding PLC 144A             
FRB Ser. 04-1A, Class C1, 6.355s, 2011 (United Kingdom)  134,000  133,994  474,000  473,978  422,000  421,981 
FRB Ser. 04-2A, Class C, 6.24s, 2011 (United Kingdom)  --  --  180,000  178,621  166,230  164,956 
Popular ABS Mortgage Pass-Through Trust FRB Ser. 04-4,             
Class AV1, 5.66s, 2034  5,060  5,073  --  --  --  -- 
Providian Gateway Master Trust 144A             
FRB Ser. 04-EA, Class D, 6 1/4s, 2011  217,000  217,577  125,000  125,332  116,000  116,308 
Ser. 04-DA, Class D, 4.4s, 2011  --  --  201,000  200,168  186,000  185,230 
Renaissance Home Equity Loan Trust FRB Ser. 04-3,             
Class AV1, 5.74s, 2034  202,193  202,435  --  --  --  -- 
Residential Asset Mortgage Products, Inc.             
Ser. 02-SL1, Class AI3, 7s, 2032  107,228  106,801  349,584  348,192  219,926  219,050 
FRB Ser. 06-RZ2, Class A2, 5.49s, 2036  289,000  288,639  --  --  --  -- 
Residential Asset Securities Corp.             
FRB Ser. 04-KS10, Class A, 5.64s, 2029  3,575  3,575  --  --  --  -- 
FRB Ser. 06-EMX3, Class A2, 5 1/2s, 2036  1,216,000  1,216,973  --  --  --  -- 
Residential Asset Securities Corp. 144A             
FRB Ser. 05-KS10, Class B, 7.82s, 2035  43,000  25,800  229,000  137,400  251,000  150,570 
Ser. 04-NT12, Class Note, 4.7s, 2035  --  --  1,224  1,195  1,293  1,263 
Ser. 04-NT, Class Note, 4 1/2s, 2034  23,045  18,436  33,492  26,793  36,103  28,883 
Residential Asset Securitization Trust IFB Ser. 07-A3,             
Class 2A2, IO, 1.37s, 2037  1,046,518  49,439  4,586,910  216,691  3,934,317  185,862 
Saco I Trust FRB Ser. 05-10, Class 1A1, 5.58s, 2033  134,497  133,907  320,847  319,443  353,256  351,710 
SAIL Net Interest Margin Notes 144A             
Ser. 03-3, Class A, 7 3/4s, 2033 (Cayman Islands)  2,566  8  3,381  10  7,825  24 
Ser. 03-BC2A, Class A, 7 3/4s, 2033 (Cayman Islands)  18,358  734  4,166  167  --  -- 
Ser. 04-4A, Class B, 7 1/2s, 2034 (Cayman Islands)  --  --  49,135  5  --  -- 
Ser. 03-5, Class A, 7.35s, 2033 (Cayman Islands)  11,075  326  1,824  53  1,046  31 
Ser. 03-6A, Class A, 7s, 2033 (Cayman Islands)  --  --  3,582  72  2,792  56 
Ser. 03-8A, Class A, 7s, 2033 (Cayman Islands)  --  --  13,439  58  10,582  46 
Ser. 03-9A, Class A, 7s, 2033 (Cayman Islands)  --  --  17,378  28  11,202  18 
Saxon Asset Securities Trust FRB Ser. 04-3, Class A,             
5.66s, 2034  41,083  41,115  --  --  --  -- 
Sequoia Mortgage Funding Co. 144A Ser. 04-A,             
Class AX1, IO, 0.8s, 2008  843,226  3,374  --  --  --  -- 
Sharps SP I, LLC Net Interest Margin Trust 144A Ser.             
04-HE1N, Class Note, 4.94s, 2034 (Cayman Islands) (In             
default) (NON)  30,811  1  31,792  1  31,792  1 
Soundview Home Equity Loan Trust 144A FRB Ser.             
05-CTX1, Class B1, 7.82s, 2035  58,000  42,630  --  --  134,000  98,490 
Structured Adjustable Rate Mortgage Loan Trust 144A             
Ser. 04-NP2, Class A, 5.67s, 2034  60,593  60,587  234,373  234,349  242,371  242,347 
Structured Asset Investment Loan Trust 144A FRB Ser.             
05-HE3, Class M11, 6.156s, 2035  --  --  --  --  225,000  112,500 
Structured Asset Receivables Trust 144A FRB Ser. 05-1,             

5.86s, 2015  --  --  1,153,842  1,152,399  1,111,580  1,110,190 
Structured Asset Securities Corp.             
Ser. 07-4, Class 1A3, IO, 5s, 2037  4,566,000  115,657  13,996,000  354,519  14,310,000  362,472 
Ser. 07-4, Class 1A4, IO, 5s, 2037  4,566,000  121,090  13,996,000  371,174  14,310,000  379,501 
Structured Asset Securities Corp. 144A Ser. 06-RF4,             
Class 1A, IO, 0.356s, 2036  --  --  2,454,475  44,753  2,097,340  38,241 
Terwin Mortgage Trust 144A FRB Ser. 06-9HGA, Class A1,             
5.4s, 2037  186,126  185,923  --  --  --  -- 
Thornburg Mortgage Securities Trust FRB Ser. 06-4,             
Class A2B, 5.44s, 2011  325,475  325,475  --  --  --  -- 
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s,             
2038 (Cayman Islands)  --  --  349,000  331,306  299,000  283,841 
TIAA Real Estate CDO, Ltd. 144A             
FRB Ser. 02-1A, Class III, 7.6s, 2037 (Cayman Islands)  100,000  101,430  384,000  389,491  278,000  281,975 
Ser. 02-1A, Class IIFX, 6.77s, 2037 (Cayman Islands)  200,000  203,280  --  --  --  -- 
WFS Financial Owner Trust             
Ser. 05-1, Class D, 4.09s, 2012  35,810  35,403  --  --  29,490  29,155 
Ser. 04-3, Class D, 4.07s, 2012  14,608  14,510  58,967  58,566  53,654  53,290 
Ser. 04-4, Class D, 3.58s, 2012  32,662  32,232  26,130  25,786  25,239  24,907 
Ser. 04-1, Class D, 3.17s, 2011  3,406  3,400  8,881  8,867  8,614  8,600 
Whinstone Capital Management, Ltd. 144A FRB Ser. 1A,             
Class B3, 6.255s, 2044 (United Kingdom)  --  --  291,103  291,088  291,881  291,866 
 
Total asset-backed securities
 (cost $19,233,346, $47,670,749 and $47,581,994)    $18,908,341    $46,353,161    $46,272,851 

PURCHASED OPTIONS OUTSTANDING(a)    Growth 0.2%    Balanced 0.6%    Conservative 1.0%   
  Expiration date/  Contract    Contract    Contract   
  strike price  amount  Value  amount  Value  amount  Value 
Option on an interest rate swap with Deutschbank for               
the right to pay a fixed rate swap of 5.385% versus               
the three month USD-LIBOR-BBA maturing April 16, 2009.  Apr 09 / 5.385  $5,940,000  $264,639  $32,873,000  $1,464,558  $20,822,000  $927,662 
 
Option on an interest rate swap with Deutschbank for               
the right to receive a fixed rate swap of 5.385%               
versus the three month USD-LIBOR-BBA maturing               
April 16, 2009.  Apr 09 / 5.385  5,940,000  100,445  32,873,000  555,882  20,822,000  352,100 
 
Option on an interest rate swap with Goldman Sachs               
International for the right to receive a fixed rate               
swap of 5.325% versus the three month USD-LIBOR-BBA               
maturing April 8, 2009.  Apr 09 / 5.325  6,132,000  97,238  29,348,000  465,386  23,230,000  368,370 
 
Option on an interest rate swap with Goldman Sachs               
International for the right to pay a fixed rate swap               
of 5.325% versus the three month USD-LIBOR-BBA               
maturing April 8, 2009.  Apr 09 / 5.325  6,132,000  291,913  29,348,000  1,397,106  23,230,000  1,105,860 
 
Option on an interest rate swap with Goldman Sachs               
International for the right to pay a fixed rate               
of 5.1975% versus the three month USD-LIBOR-BBA               
maturing on May 14, 2018.  May 08 / 5.198  2,794,000  125,966  9,744,000  439,304  7,233,000  326,097 
 
Option on an interest rate swap with Goldman Sachs               
International for the right to receive a fixed rate               
of 5.1975% versus the three month USD-LIBOR-BBA               
maturing on May 14, 2018.  May 08 / 5.198  2,794,000  21,255  9,744,000  74,126  7,233,000  55,024 
 
Option on an interest rate swap with Goldman Sachs,               
International for the right to pay a fixed rate swap               
of 5.16% versus the three month USD-LIBOR-BBA maturing               
April 28, 2018.  Apr 08 / 5.16  1,586,000  74,096  --  --  --  -- 
 
Option on an interest rate swap with Goldman Sachs,               
International for the right to receive a fixed rate               
swap of 5.16% versus the three month USD-LIBOR-BBA               
maturing April 28, 2018.  Apr 08 / 5.16  1,586,000  10,601  --  --  --  -- 
 
Option on an interest rate swap with Goldman Sachs,               
International for the right to pay a fixed rate swap               
of 4.965% versus the three month USD-LIBOR-BBA               
maturing April 29, 2008.  Apr 08 / 4.965  19,000,000  530,003  53,000,000  1,478,430  48,000,000  1,338,955 
 
Option on an interest rate swap with Goldman Sachs,               
International for the right to receive a fixed rate               
swap of 4.965% versus the three month USD-LIBOR-BBA               
maturing April 29, 2008.  Apr 08 / 4.965  19,000,000  76,593  53,000,000  213,654  48,000,000  193,498 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to receive a fixed rate               
of 5.45% versus the three month USD-LIBOR-BBA maturing               
on May 23, 2008.  May 08 / 5.45  14,575,000  184,036  --  --  --  -- 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to pay a fixed rate of 5.45%               
versus the three month USD-LIBOR-BBA maturing on               
May 23, 2008.  May 08 / 5.45  14,575,000  470,348  --  --  --  -- 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to pay a fixed rate of 5.39%               
versus the three month USD-LIBOR-BBA maturing on               
January 29, 2018.  Jan 08 / 5.39  10,076,000  309,630  19,812,000  608,813  16,390,000  503,657 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to receive a fixed rate               
of 5.39% versus the three month USD-LIBOR-BBA maturing               
on January 29, 2018.  Jan 08 / 5.39  10,076,000  80,619  19,812,000  158,518  16,390,000  131,138 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to pay a fixed rate of 5.34%               
versus the three month USD-LIBOR-BBA maturing on               
February 15, 2018.  Feb 08 / 5.34  1,597,000  54,620  --  --  --  -- 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to receive a fixed rate               
of 5.34% versus the three month USD-LIBOR-BBA maturing               
on February 15, 2018.  Feb 08 / 5.34  1,597,000  11,990  --  --  --  -- 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to pay a fixed rate of 5.315%               
versus the three month USD-LIBOR-BBA maturing on               
April 8, 2009.  Apr 09 / 5.315  6,132,000  295,487  29,348,000  1,414,213  23,230,000  1,119,400 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to receive a fixed rate               
of 5.315% versus the three month USD-LIBOR-BBA maturing               
on April 8, 2009.  Apr 09 / 5.315  6,132,000  94,240  29,348,000  451,035  23,230,000  357,010 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to receive a fixed rate               
of 5.235% versus the three month USD-LIBOR-BBA maturing               
on May 8, 2018.  May 08 / 5.235  5,616,000  42,698  16,824,000  127,913  13,370,000  101,652 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to pay a fixed rate of 5.235%               
versus the three month USD-LIBOR-BBA maturing on               
May 8, 2018.  May 08 / 5.235  5,616,000  239,756  16,824,000  718,243  13,370,000  570,787 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to receive a fixed rate               
of 5.22% versus the three month USD-LIBOR-BBA maturing               
on May 14, 2018.  May 08 / 5.22  2,794,000  20,879  9,744,000  72,816  7,233,000  54,051 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to pay a fixed rate of 5.22%               
versus the three month USD-LIBOR-BBA maturing on               
May 14, 2018.  May 08 / 5.22  2,794,000  122,095  9,744,000  425,803  7,233,000  316,075 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to pay a fixed rate of 5.215%               
versus the three month USD-LIBOR-BBA maturing on               
May 14, 2018.  May 08 / 5.215  8,228,000  361,845  24,406,000  1,073,310  19,430,000  854,479 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to receive a fixed rate               
of 5.215% versus the three month USD-LIBOR-BBA maturing               
on May 14, 2018.  May 08 / 5.215  8,228,000  60,803  24,406,000  180,355  19,430,000  143,584 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to receive a fixed rate               
of 5.175% versus the three month USD-LIBOR-BBA maturing               
on April 29, 2008.  Apr 08 / 5.175  9,000,000  58,234  27,000,000  174,701  24,000,000  155,290 
 
Option on an interest rate swap with JPMorgan Chase               
Bank, N.A. for the right to pay a fixed rate of 5.175%               
versus the three month USD-LIBOR-BBA maturing on               
April 29, 2008.  Apr 08 / 5.175  9,000,000  410,324  27,000,000  1,230,973  24,000,000  1,094,198 
 
Option on an interest rate swap with Lehman Brothers               
International (Europe) for the right to pay a fixed               

rate swap of 5.3475% versus the three month               
USD-LIBOR-BBA maturing February 4, 2018.  Jan 08 / 5.348  5,076,000  164,072  14,572,000  471,011  12,403,000  400,902 
 
Option on an interest rate swap with Lehman Brothers               
Special Financing, Inc. for the right to receive               
a fixed rate of 5.3475% versus the three month               
USD-LIBOR-BBA maturing on February 4, 2018.  Jan 08 / 5.348  5,076,000  38,253  14,572,000  109,815  12,403,000  93,469 
 
Option on an interest rate swap with Lehman Brothers               
Special Financing, Inc. for the right to receive               
a fixed rate of 5.21% versus the three month               
USD-LIBOR-BBA maturing on May 14, 2018.  May 08 / 5.21  1,646,000  12,302  4,881,000  36,481  3,886,000  29,044 
 
Option on an interest rate swap with Lehman Brothers               
Special Financing, Inc. for the right to pay a fixed               
rate of 5.21% versus the three month USD-LIBOR-BBA               
maturing on May 14, 2018.  May 08 / 5.21  1,646,000  70,992  4,881,000  210,518  3,886,000  167,603 
 
Option on an interest rate swap with Lehman Brothers               
International (Europe) for the right to receive               
a fixed rate of 5.20% versus the three month               
USD-LIBOR-BBA maturing on May 14, 2018.  May 08 / 5.20  4,114,000  30,028  12,203,000  89,070  9,715,000  70,910 
 
Option on an interest rate swap with Lehman Brothers               
Special Financing, Inc. for the right to pay a fixed               
rate of 5.20% versus the three month USD-LIBOR-BBA               
maturing on May 14, 2018.  May 08 / 5.20  4,114,000  179,691  12,203,000  533,003  9,715,000  424,332 
 
Total purchased options outstanding
 (cost $4,181,318, $12,147,152 and $9,618,894)      $4,905,691    $14,175,037    $11,255,147 

WARRANTS(a)(NON)      Growth 0.2%  Balanced --%    Conservative --%   
  Expiration date  Strike Price  Warrants  Value  Warrants  Value  Warrants  Value 
Abu Dhabi Commercial Bank 144A  6/20/10  $ 0.01  163,700  $314,222  --  $--  --  $-- 
Dayton Superior Corp. 144A (F)  6/15/09  0.01  630  10,806  --  --  330  5,660 
iShares MSCI EMI 144A  10/11/07  0.01  34,400  4,556,005  --  --  --  -- 
Ubiquitel, Inc. 144A  4/15/10  22.74  --  --  --  --  590  6 
 
Total warrants (cost $4,536,572, $-- and $34,031)        $4,881,033    $--    $5,666 
 
SENIOR LOANS(a)(c)      Growth --%  Balanced --%    Conservative --%   
      Principal      Principal        Principal   
      amount  Value   amount  Value   amount  Value 
Sandridge Energy bank term loan FRN 8.975s, 2014      $100,000  $102,000  $95,000  $96,900  $45,000  $45,900 
Sandridge Energy bank term loan FRN 8 5/8s, 2015      410,000  418,200  400,000  408,000  190,000  193,800 
 
Total senior loans
 (cost $510,000, $495,000 and $235,000)        $520,200    $504,900    $239,700 
 
CONVERTIBLE BONDS AND NOTES
(a) (cost $439,751, $434,322 and $200,874)      Growth --%  Balanced --%    Conservative --%   
      Principal      Principal      Principal   
      amount  Value   amount  Value   amount  Value 
DRS Technologies, Inc. 144A cv. unsec. notes 2s, 2026      $405,000  $443,475  $400,000  $438,000  $185,000  $202,575 
 
 
MUNICIPAL BONDS AND NOTES(a)      Growth --%  Balanced --%    Conservative 0.1% 
      Principal      Principal      Principal   
  Rating(RAT)    amount  Value   amount  Value   amount  Value 
MI Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A,                 
7.309s, 6/1/34  Baa3    $--  $--  $220,000  $224,572  $230,000  $234,779 
WV Tobacco Settlement Fin. Auth. Rev. Bonds, Ser. A,                 
7.467s, 6/1/47  Baa3    --  --  660,000  670,850  520,000  528,549 
Total municipal bonds and notes 
 (cost $--, $879,976 and $749,975)        $--    $895,422    $763,328 
 
SHORT-TERM INVESTMENTS(a)      Growth 18.2%  Balanced 21.4%  Conservative 28.1% 
      Principal      Principal      Principal   
      amount/shares  Value  amount/shares  Value   amount/shares  Value 
Atlantic Asset Securitization Corp. for an effective                 
yield of 5.36%, July 12, 2007      $3,700,000  $3,693,952  $--  $--  $--  $-- 
CHARTA, LLC for an effective yield of 5.32%,                 
August 2, 2007      9,500,000  9,455,498  --  --  --  -- 
Stratford Receivables Co., LLC for an effective yield                 
of 5.34%, July 23, 2007      11,000,000  10,964,306  --  --  --  -- 
Interest in $778,000,000 joint tri-party repurchase                 
agreement dated June 29, 2007 with Bank of America                 
Securities, LLC due July 2, 2007 with respect to                 
various U.S. Government obligations -- maturity value                 
of $50,772,541, $39,767,656 and $37,016,434 (for                 
Growth Portfolio, Balanced Portfolio and Conservative                 
Portfolio, respectively) for an effective yield                 
of 5.33% (collateralized by Fannie Mae securities with                 
a yield of 5.00% and a due date of July 1, 2035 valued                 
at $793,560,000)      50,750,000  50,750,000  39,750,000  39,750,000  37,000,000  37,000,000 
Short-term investments held as collateral for loaned                 
securities with yields ranging from 4.50% to 5.53% and                 
due dates ranging from July 2, 2007 to August 20, 2007                 
(d)      198,359,219  198,034,058  132,202,205  131,982,345  17,356,412  17,327,509 
Putnam Prime Money Market Fund (e)      207,024,748  207,024,748  331,703,559  331,703,559  247,766,914  247,766,914 
Total short-term investments
 (cost $479,922,562, $503,435,904 and $302,094,423)        $479,922,562    $503,435,904  $302,094,423 
 
Total investments
 (cost $2,526,931,876, $2,435,930,236 and $1,221,815,929) (b)        $2,916,343,618  $2,736,587,494  $1,305,104,904 

Putnam Asset Allocation: Growth Portfolio

FORWARD CURRENCY CONTRACTS TO BUY at 6/30/07 (aggregate face value $516,375,271) (Unaudited)     
               Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $132,001,821  $130,831,766  7/18/07  $1,170,055 
Brazilian Real  9,749,754  9,318,759    7/18/07  430,995 
British Pound  81,212,175  80,383,906  9/19/07  828,269 
Canadian Dollar  14,901,893  14,397,666  7/18/07  504,227 
Chilean Peso  5,715,803  5,796,811  7/18/07  (81,008) 
Danish Krone  866,760  855,469  9/19/07  11,291 
Euro  114,706,377  114,294,375  9/19/07  412,002 
Hong Kong Dollar  2,759,872  2,762,999  8/15/07  (3,127) 
Hungarian Forint  6,204,339  5,976,082  9/19/07  228,257 
Indian Rupee  2,251,283  2,252,802  8/16/07  (1,519) 
Japanese Yen  1,897,659  1,928,735  8/15/07  (31,076) 
New Zealand Dollar  1,966,208  1,867,140  7/18/07  99,068 
Norwegian Krone  86,426,226  85,150,805  9/19/07  1,275,421 
Polish Zloty  2,018,094  1,990,757  9/19/07  27,337 
Singapore Dollar  609,667  617,200  8/15/07  (7,533) 
South African Rand  1,004,130  1,002,164  7/18/07  1,966 
Swedish Krona  20,571,557  20,354,395  9/19/07  217,162 
Swiss Franc  37,031,798  36,593,440  9/19/07  438,358 
Total        $5,520,145 

Putnam Asset Allocation: Growth Portfolio

FORWARD CURRENCY CONTRACTS TO SELL at 6/30/07 (aggregate face value $782,888,379) (Unaudited)     
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $52,103,828  $50,970,272  7/18/07  $(1,133,556) 
Brazilian Real  980,749  967,074  8/15/07  (13,675) 
British Pound  76,799,707  75,723,801        9/19/07  (1,075,906) 
Canadian Dollar  71,254,778  70,203,286  7/18/07  (1,051,492) 
Czech Koruna  4,171,019  4,154,377  9/19/07  (16,642) 
Euro  204,259,057  203,355,359  9/19/07  (903,698) 
Japanese Yen  151,578,232  156,442,054  8/15/07  4,863,822 
Mexican Peso  2,885,492  2,863,391  7/18/07  (22,101) 
New Zealand Dollar  5,462,943  5,084,222  7/18/07  (378,721) 
Norwegian Krone  36,688,913  36,070,072  9/19/07  (618,841) 
Singapore Dollar  5,249,775  5,288,658  8/15/07  38,883 
South Korean Won  977,624  975,374  8/16/07  (2,250) 
Swedish Krona  66,638,733  65,559,148  9/19/07  (1,079,585) 
Swiss Franc  91,902,522  91,328,844  9/19/07  (573,678) 
Taiwan Dollar  14,075,771  13,902,447  8/15/07  (173,324) 
Total        $(2,140,764) 

Putnam Asset Allocation: Growth Portfolio

FUTURES CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)         
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Canadian Government Bond 10 yr (Long)  1,013  $105,657,092      Sep-07  $(764,629) 
Dow Jones Euro Stoxx 50 Index (Short)  712  43,504,291  Sep-07  (835,906) 
Euro-Bobl 5 yr (Long)  24  3,445,071  Sep-07  (10,066) 
Euro-Bund 10 yr (Long)  258  38,668,541  Sep-07  (255,503) 
Euro-Bund 10 yr (Short)  113  16,936,222  Sep-07  108,282 
Euro-CAC 40 Index (Long)  418  34,342,418  Jul-07  834,400 
Euro-Dollar 90 day (Long)  98  23,223,550  Mar-08  (86,017) 
Euro-Dollar 90 day (Short)  127  30,057,725  Sep-07  (9,945) 
Euro-Dollar 90 day (Short)  211  50,014,913  Sep-08  284,138 
Euro-Dollar 90 day (Long)  90  21,295,126  Sep-09  (131,719) 
FTSE 100 Index (Short)  831  110,731,717  Sep-07  (1,137,938) 
Hang Seng Index (Long)  133  18,607,853  Jul-07  (37,490) 
Japanese Government Bond 10 yr (Long)  11  11,792,350  Sep-07  (28,626) 
Japanese Government Bond 10 yr (Short)  10  10,720,318  Sep-07  (50,385) 
OMXS 30 Index (Short)  211  3,872,812  Jul-07  81,452 
Russell 2000 Index Mini (Long)  805  67,789,050  Sep-07  (1,236,433) 
Russell 2000 Index Mini (Short)  2,322  195,535,620  Sep-07  3,804,752 
S&P 500 Index (Long)  123  46,598,550  Sep-07  (379,645) 
S&P 500 Index E-Mini (Long)  4,963  376,071,325  Sep-07  (6,987,448) 
S&P 500 Index E-Mini (Short)  446  33,795,650  Sep-07  349,218 
S&P ASX 200 Index (Long)  339  45,095,570  Sep-07  (554,495) 
S&P ASX 200 Index (Short)  29  3,857,733  Sep-07  47,214 
S&P Mid Cap 400 Index E-Mini (Long)  40  3,616,800  Sep-07  (45,890) 
S&P Mid Cap 400 Index E-Mini (Short)  337  30,471,540  Sep-07  867,186 
S&P/MIB Index (Long)  119  34,112,891  Sep-07  464,898 
SGX MSCI Singapore Index (Short)  32  1,821,519  Jul-07  27,068 
Tokyo Price Index (Long)  113  16,288,371  Sep-07  29,410 
Tokyo Price Index (Short)  78  11,243,300  Sep-07  (20,870) 
U.K. Gilt 10 yr (Long)  241  50,182,834  Sep-07  (992,427) 
U.S. Treasury Bond 20 yr (Long)  154  16,593,500  Sep-07  (104,133) 
U.S. Treasury Note 2 yr (Short)  98  19,970,563  Sep-07  (18,857) 
U.S. Treasury Note 5 yr (Long)  325  33,825,390  Sep-07  177,482 
U.S. Treasury Note 5 yr (Short)  8  832,625  Sep-07  5,297 
U.S. Treasury Note 10 yr (Long)  433  45,769,453  Sep-07  126,482 
U.S. Treasury Note 10 yr (Short)  1,562  165,108,281  Sep-07  1,461,439 
Total        $(5,019,704) 

Putnam Asset Allocation: Growth Portfolio 
       
WRITTEN OPTIONS OUTSTANDING at 6/30/07 (premiums received $2,975,546) (Unaudited)         
  Contract        Expiration date/   
  amount    strike price  Value 
Option on an interest rate swap with Citibank, N.A. for the obligation to pay a       
fixed rate of 5.7% versus the three month USD-LIBOR-BBA maturing on May 14, 2018.  $1,078,000  May 08 / 5.70  $21,129 
 
Option on an interest rate swap with Citibank, N.A. for the obligation to receive       
a fixed rate of 5.7% versus the three month USD-LIBOR-BBA maturing on       
May 14, 2018.  1,078,000  May 08 / 5.70  22,961 
 
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 USD-LIBOR-BBA maturing on       
July 5, 2017.  3,430,000  Jul 07 / 4.55  -- 
 
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 USD-LIBOR-BBA maturing on       
July 5, 2017.  3,430,000  Jul 07 / 4.55  291,578 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on       
May 14, 2022.  4,114,000  May 12 / 5.51  119,681 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on       
May 14, 2022.  4,114,000  May 12 / 5.51  227,980 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.515% versus the three month USD-LIBOR-BBA       
maturing on May 14, 2022.  2,057,000  May 12 / 5.515  59,001 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.515% versus the three month       
USD-LIBOR-BBA maturing on May 14, 2022.  2,057,000  May 12 / 5.515  110,611 
 
Option on an interest rate swap with Lehman Brothers International for the       
obligation to pay a fixed rate of 5.225% versus the three month USD-LIBOR-BBA       
maturing March 5, 2018.  2,032,000  Mar 08 / 5.225  12,462 
 
Option on an interest rate swap with Lehman Brothers International for the       
obligation to receive a fixed rate of 5.225% versus the three month USD-LIBOR-BBA       
maturing March 5, 2018.  2,032,000  Mar 08 / 5.225  81,436 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.52% versus the three month USD-LIBOR-BBA       
maturing on May 14, 2022.  823,000  May 12 / 5.52  23,701 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.52% versus the three month       
USD-LIBOR-BBA maturing on May 14, 2022.  823,000  May 12 / 5.52  44,114 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.835% versus the three month USD-LIBOR-BBA       
maturing June 18, 2018.  374,000  Jun 08 / 5.835  9,869 
 
Option on an interest rate swap with Lehman Brothers International (Europe) for       
the obligation to receive a fixed rate of 5.835 versus the three month       
USD-LIBOR-BBA maturing June 18, 2018.  374,000  Jun 08 / 5.835  6,501 
 
Option on an interest rate swap with Lehman Brothers International (Europe) for       
the obligation to pay a fixed rate of 5.84% versus the three month USD-LIBOR-BBA       
maturing June 18, 2018.  1,246,000  Jun 08 / 5.84  33,132 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.84% versus the three month       
USD-LIBOR-BBA maturing June 18, 2018.  1,246,000  Jun 08 / 5.84  21,465 
 
Option on an interest rate swap with Lehman Brothers International (Europe) for       
the obligation to pay a fixed rate of 5.905% versus the three month USD-LIBOR-BBA       
maturing December 17, 2017.  52,118,000  Dec 07 / 5.905  1,311,654 
 
Option on an interest rate swap with Lehman Brothers International (Europe) for       
the obligation to receive a fixed rate of 5.905% versus the three month       
USD-LIBOR-BBA maturing December 17, 2017.  52,118,000  Dec 07 / 5.905  432,944 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.95% versus the three month USD-LIBOR-BBA       
maturing June 16, 2018.  2,512,000  Jun 08 / 5.95  78,460 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.95% versus the three month       
USD-LIBOR-BBA maturing June 16, 2018.  2,512,000  Jun 08 / 5.95  34,967 
Total      $2,943,646 

Putnam Asset Allocation: Growth Portfolio 
TBA SALE COMMITMENTS OUTSTANDING at 6/30/07 (proceeds receivable $15,884,695) (Unaudited)         
   
    Principal  Settlement   
Agency    amount  date  Value 
FNMA,  6 1/2s, July 1, 2037  $4,900,000    7/12/07  $4,945,555 
FNMA,  6s, July 1, 2037  8,060,000  7/12/07  7,971,217 
FNMA,  5s, July 1, 2037  2,300,000  7/12/07  2,153,734 
GNMA, 6 1/2s, July 1, 2037  800,000  7/19/07  813,312 
Total        $15,883,818 

Putnam Asset Allocation: Growth Portfolio

INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)     
    Payments  Payments  Unrealized 
Swap counterparty /  Termination  made by  received by  appreciation/ 
Notional amount    date  fund per annum  fund per annum  (depreciation) 
Bank of America, N.A.         
$5,500,000  9/1/15  3 month USD-LIBOR-BBA  4.53%  $(326,428) 
786,000  10/2/16  5.15631%  3 month USD-LIBOR-BBA  28,174 
80,000  5/31/16  5.58909%  3 month USD-LIBOR-BBA  249 
4,800,000  10/21/15  4.943%  3 month USD-LIBOR-BBA  218,337 
130,000  6/24/15  4.39%  3 month USD-LIBOR-BBA  10,102 
110,000  6/23/15  4.45%  3 month USD-LIBOR-BBA  8,125 
260,000  6/23/15  4.466%  3 month USD-LIBOR-BBA  18,938 
740,000  6/17/15  4.555%  3 month USD-LIBOR-BBA  49,561 
2,500,000  4/6/10  4.6375%  3 month USD-LIBOR-BBA  52,701 
1,000,000  3/30/09  3.075%  3 month USD-LIBOR-BBA  30,074 
Bear Stearns Bank plc         
5,500,000  4/24/12  5.027%  3 month USD-LIBOR-BBA  109,776 
Citibank, N.A.         
4,920,000  7/27/09  5.504%  3 month USD-LIBOR-BBA  (84,330) 
230,000  4/7/14  5.377%  3 month USD-LIBOR-BBA  2,412 
Credit Suisse First Boston International         
13,580,000  10/7/14  3 month USD-LIBOR-BBA  4.624%  (797,718) 
687,400  7/9/14  4.945%  3 month USD-LIBOR-BBA  17,054 
Credit Suisse International         
18,500,000  12/4/08  4.9485%  3 month USD-LIBOR-BBA  111,268 
1,111,000  9/28/16  5.10886%  3 month USD-LIBOR-BBA  28,636 
269,000  3/21/16  3 month USD-LIBOR-BBA  5.20497%  (4,420) 
Deutsche Bank AG         
283,084  8/2/22  3 month USD-LIBOR-BBA  5.7756%  4,543 
317,679  8/2/32  5.86%  3 month USD-LIBOR-BBA  (6,483) 
Goldman Sachs Capital Markets, L.P.         
283,084  8/12/22  3 month USD-LIBOR-BBA  5.601%  (580) 
317,679  8/12/32  5.689%  3 month USD-LIBOR-BBA  839 
570,000  8/1/22  3 month USD-LIBOR-BBA  5.845%  13,292 
639,659  8/1/32  5.919%  3 month USD-LIBOR-BBA  (18,190) 
2,448,129  8/15/10  3 month USD-LIBOR-BBA  5.405%  (32,563) 
Goldman Sachs International         
285,000  5/3/16  5.565%  3 month USD-LIBOR-BBA  1,340 
690,000  4/7/14  5.33842%  3 month USD-LIBOR-BBA  8,842 
1,700,000  1/8/12  3 month USD-LIBOR-BBA  4.98%  (13,234) 
1,846,000  12/20/16  3 month USD-LIBOR-BBA  5.074%  (78,161) 
1,835,000  11/21/26  3 month USD-LIBOR-BBA  5.2075%  (127,805) 
8,287,000  11/21/08  5.0925%  3 month USD-LIBOR-BBA  36,596 
1,865,000  11/20/26  3 month USD-LIBOR-BBA  5.261%  (118,146) 
8,290,000  11/20/08  5.16%  3 month USD-LIBOR-BBA  28,527 
21,860,000  6/12/17  3 month USD-LIBOR-BBA  5.7175%  86,754 
795,000  10/19/16  5.32413%  3 month USD-LIBOR-BBA  18,818 
414,000  9/29/16  3 month USD-LIBOR-BBA  5.1275%  (10,091) 
1,243,000  9/29/08  5.085%  3 month USD-LIBOR-BBA  (11,246) 
JPMorgan Chase Bank, N.A.         
200,000  4/17/17  3 month USD-LIBOR-BBA  5.266%  (6,019) 
600,000  4/17/09  5.12%  3 month USD-LIBOR-BBA  2,931 
7,234,000  4/11/17  5.1975%  3 month USD-LIBOR-BBA  255,270 
4,400,000  10/21/15  4.916%  3 month USD-LIBOR-BBA  208,199 
13,000,000  9/2/15  3 month USD-LIBOR-BBA  4.4505%  (759,002) 
17,000,000  8/25/10  4.4725%  3 month USD-LIBOR-BBA  270,376 
1,200,000  8/4/16  3 month USD-LIBOR-BBA  5.5195%  5,961 
2,700,000  8/4/08  3 month USD-LIBOR-BBA  5.40%  35,431 
466,000  8/2/15  3 month USD-LIBOR-BBA  4.6570%  (23,935) 
2,210,000  6/29/15  3 month USD-LIBOR-BBA  4.296%  (184,967) 

160,000    6/24/15  4.387%  3 month USD-LIBOR-BBA  12,464 
640,000  6/16/15  4.538%  3 month USD-LIBOR-BBA  43,539 
486,000  9/28/16  3 month USD-LIBOR-BBA  5.1223%  (12,040) 
5,150,000  3/8/17  3 month USD-LIBOR-BBA  5.28%  (76,887) 
685,000  2/23/17  5.211%  3 month USD-LIBOR-BBA  14,131 
644,000  1/31/17  3 month USD-LIBOR-BBA  5.415%  (2,608) 
810,000  1/26/17  5.287%  3 month USD-LIBOR-BBA  11,619 
2,841,000  12/19/16  5.0595%  3 month USD-LIBOR-BBA  123,276 
1,859,000  11/20/26  3 month USD-LIBOR-BBA  5.266%  (116,677) 
8,269,000  11/20/08  5.165%  3 month USD-LIBOR-BBA  27,913 
2,763,000  11/14/11  5.0235%  3 month USD-LIBOR-BBA  48,679 
3,870,000  11/6/16  3 month USD-LIBOR-BBA  5.12%  (150,758) 
2,690,000  10/10/13  5.09%  3 month USD-LIBOR-BBA  66,802 
1,930,000  10/10/13  5.054%  3 month USD-LIBOR-BBA  52,138 
7,300,000  6/27/17  3 month USD-LIBOR-BBA  5.712%  24,595 
1,457,000  9/28/08  5.096%  3 month USD-LIBOR-BBA  (13,306) 
739,000  9/18/16  5.291%  3 month USD-LIBOR-BBA  9,149 
7,000,000  1/17/16  4.946%  3 month USD-LIBOR-BBA  241,839 
4,353,000  8/15/11  5.412%  3 month USD-LIBOR-BBA  (51,572) 
3,600,000  4/23/17  5.186%  3 month USD-LIBOR-BBA  130,565 
Lehman Brothers International (Europe)         
14,433,000  3/15/09  4.9298%  3 month USD-LIBOR-BBA  (74,031) 
965,000  10/23/16  5.325%  3 month USD-LIBOR-BBA  22,808 
2,400,000  10/23/08  5.255%  3 month USD-LIBOR-BBA  4,962 
965,000  10/23/16  3 month USD-LIBOR-BBA  5.3275%  (22,630) 
2,400,000  10/23/08  3 month USD-LIBOR-BBA  5.26%  (4,796) 
13,949,000  8/3/16  5.5675%  3 month USD-LIBOR-BBA  (116,796) 
16,076,000  8/3/11  5.445%  3 month USD-LIBOR-BBA  (209,571) 
Lehman Brothers Special Financing, Inc.         
2,300,000  11/15/26  3 month USD-LIBOR-BBA  5.246%  (148,705) 
10,390,000  11/15/08  5.1125%  3 month USD-LIBOR-BBA  43,692 
7,900,000  3/16/09  4.9275%  3 month USD-LIBOR-BBA  (42,703) 
3,000,000  3/16/17  5.034%  3 month USD-LIBOR-BBA  101,202 
2,371,000  3/15/17  5.043%  3 month USD-LIBOR-BBA  79,018 
1,900,000  11/29/26  3 month USD-LIBOR-BBA  5.135%  (147,738) 
7,670,000  11/29/16  3 month USD-LIBOR-BBA  5.02%  (353,578) 
21,370,000  11/29/08  3 month USD-LIBOR-BBA  5.045%  (103,145) 
1,530,000  9/29/13  5.0555%  3 month USD-LIBOR-BBA  19,903 
7,140,000  9/8/16  5.3275%  3 month USD-LIBOR-BBA  66,816 
141,000  8/3/36  3 month USD-LIBOR-BBA  5.67%  (969) 
7,039,000  8/3/08  3 month USD-LIBOR-BBA  5.425%  93,867 
8,900,000  5/29/12  5.28%  3 month USD-LIBOR-BBA  79,744 
Merrill Lynch Capital Services, Inc.         
275,120  8/13/12  4.94%  3 month USD-LIBOR-BBA  3,534 
283,084  8/12/22  3 month USD-LIBOR-BBA  5.601%  (580) 
570,000  8/1/22  3 month USD-LIBOR-BBA  5.845%  13,292 
553,964  8/1/12  5.204%  3 month USD-LIBOR-BBA  206 
7,200,000  3/2/11  5.815%  3 month USD-LIBOR-BBA  (196,531) 
Morgan Stanley Capital Services, Inc.         
1,452,000  2/20/17  5.19%  3 month USD-LIBOR-BBA  31,843 
Total        $(1,418,217) 

Putnam Asset Allocation: Growth Portfolio     
 
 
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)     
    Fixed payments  Total return  Unrealized 
Swap counterparty /  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Bank of America, N.A.         
$5,430,000  5/2/08  5 bp plus change  Banc of America  $2,507 
    in spread  Securities- CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
      multiplied by     
    the modified     
    duration factor     
 
1,320,000  5/2/08  10 bp plus  Banc of America  1,515 
    change in spread  Securities- CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
Citibank, N.A.         
65,335,416  4/3/08  (Russell 2000  3 month USD-  (2,149,386) 
    Total Return  LIBOR-BBA   
    Index)     
 
1,230,000  5/2/08  12.5 bp plus  Banc of America  1,958 
    change in spread  Securities- CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
48,411,570  1/16/08  3 month USD-  (Russell 2000  (1,180,292) 
    LIBOR-BBA  Total Return   
      Index)   
 
4,389,000  10/1/07  (7.5 bp plus  The spread  -- 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
464,000  8/1/07  (7.5 bp plus  The spread  -- 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
870,195  6/3/08  3 month USD-  iShares MSCI  34,504 
    LIBOR-BBA minus 3%  Emerging Markets   
      Index   
 
238,046,753  6/10/08  (1 month USD-  A basket  (6,152,486) 
    LIBOR-BBA plus  of shares defined   
    25 bp)  in the term sheet   
 
237,518,186  6/10/08  1 month USD-  A basket  3,249,773 
    LIBOR-BBA minus  of shares defined   
    30 bp  in the term sheet   
 
2,310,000  10/31/07  8 bp plus change  Banc of America  3,346 
    in spread  Securities- CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
1,810,000  11/2/07  15 bp plus  Banc of America  1,854 
    change in spread  Securities- CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
Goldman Sachs International         

2,920,000  1/2/08  (10 bp plus  The spread  3,977 
      beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
1,070,000  5/2/08  10 bp plus  Banc of America  -- 
    change in spread  Securities- CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
JPMorgan Chase Bank, N.A.         
1,363,000  10/1/07  175 bp plus  The spread  818 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index     
 
94,135,342  9/21/07  3 month USD-  Russell 2000  686,724 
    LIBOR-BBA minus  Total Return   
    90 bp  Index   
 
18,991,912  7/12/07  (1 month USD-  Standard & Poors  (651,189) 
    LIBOR-BBA plus  500 Health Care   
    25 bp)  Equipment &   
      Services Index   
 
27,460,179  7/12/07  (1 month USD-  Standard & Poors  68,707 
    LIBOR-BBA plus  500 Technology   
    25 bp)  Hardware &   
      Equipment Index   
 
4,870,393  7/12/07  1 month USD-  Standard and  (191,387) 
    LIBOR-BBA minus  Poor's 500   
    30 bp  Semiconductors   
      and   
      Semiconductors   
      Equipment   
      Industry Group   
      Index   
 
26,039,280  7/12/07  (1 month USD-  Standard & Poors  (886,716) 
    LIBOR-BBA plus  500 Retailing   
    25 bp)  Index   
 
2,665,264  7/12/07  (1 month USD-  Standard & Poors  (273,834) 
    LIBOR-BBA plus  500 Real Estate   
    25 bp)  Index   
 
24,047,787  7/12/07  (1 month USD-  Standard & Poors  (825,675) 
    LIBOR-BBA plus  500   
    25 bp)  Pharmaceuticals,   
      Biotechnology &   
      Life Sciences   
      Index   
 
55,858,874  7/12/07  (1 month USD-  Standard & Poors  (886,779) 
    LIBOR-BBA plus  500 Media Index   
    25 bp)     
 
29,835,753  7/12/07  (1 month USD-  Standard & Poors  (1,370,776) 
    LIBOR-BBA plus  500 Diversified   
    25 bp)  Financials Index   
 
18,223,217  7/12/07  (1 month USD-  Standard & Poors  (425,254) 
    LIBOR-BBA plus  500   
    25 bp)  Transportation   
      Index   
 
15,812,897  7/12/07  (1 month USD-  Standard & Poors  (234,228) 
    LIBOR-BBA plus  500 Materials   
    25 bp)  Index   
 
37,620,095  7/12/07  (1 month USD-  Standard & Poors  (1,186,427) 
    LIBOR-BBA plus  500 Insurance   
    25 bp)  Index   
 
6,473,665  7/12/07  (1 month USD-  Standard & Poors  (250,808) 
    LIBOR-BBA plus  500 Utilities   
    25 bp)  Index   
 
19,740,553  7/12/07  1 month USD-  Standard & Poors  345,509 
    LIBOR-BBA minus  500   
    30 bp  Telecommunicatio   
      n Services Index   
 
19,375,798  7/12/07  (1 month USD-  Standard & Poors  (928,096) 
    LIBOR-BBA plus  500 Consumer   
    25 bp)  Durables &   

      Apparel Index   
 
30,127,050  7/12/07  1 month USD-  Standard & Poors  528,522 
    LIBOR-BBA minus  500 Software &   
    30 bp  Services Index   
 
18,237,805    7/12/07  1 month USD-  Standard & Poors  807,467 
    LIBOR-BBA minus  500 Household &   
    30 bp  Personal   
      Products Index   
 
7,016,328  7/12/07  1 month USD-  Standard & Poors  35,502 
    LIBOR-BBA minus  500 Energy Index   
    30 bp     
 
16,434,687  7/12/07  1 month USD-  Standard & Poors  177,420 
    LIBOR-BBA minus  500 Food   
    30 bp  Beverage &   
      Tobacco Index   
 
34,855,923  7/12/07  1 month USD-  Standard & Poors  1,325,129 
    LIBOR-BBA minus  500 Food &   
    30 bp  Staples   
      Retailing GICS   
      Industry Group   
      Index   
 
48,116,585  7/12/07  1 month USD-  Standard & Poors  1,614,977 
    LIBOR-BBA minus  500 Consumer   
    30 bp  Services Index   
 
17,707,362  7/12/07  1 month USD-  Standard & Poors  (69,963) 
    LIBOR-BBA minus  500 Capital   
    30 bp  Goods Index   
 
16,716,412  7/12/07  1 month USD-  Standard & Poors  242,292 
    LIBOR-BBA minus  500 Commercial   
    30 bp  Services &   
      Supplies Index   
 
42,480,342  7/12/07  1 month USD-  Standard & Poors  1,645,345 
    LIBOR-BBA minus  500 Banks Index   
    30 bp     
 
26,099,965  7/12/07  1 month USD-  Standard & Poors  (2,264,881) 
    LIBOR-BBA minus  500 Automobiles   
    30 bp  & Components   
      Index   
 
Lehman Brothers International (Europe)         
1,366,000  1/1/08  (5 bp plus  The spread  -- 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
2,920,000  1/1/08  (Beginning  The spread  4,059 
    of period nominal  return of Lehman   
    spread of Lehman  Brothers AAA   
    Brothers AAA  8.5+ CMBS Index   
    8.5+ Commercial  adjusted by   
    Mortgage Backed  modified   
    Securities Index)  duration factor   
 
2,920,000  1/1/08  (10 bp plus  The spread  3,977 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
Lehman Brothers Special Financing, Inc.         
8,799,939  5/1/08  (1 month USD-  Lehman Brothers  (177,735) 
    LIBOR-BBA minus  U.S. High Yield   
    0.50%)  Index   
 
4,000,004  4/1/08  ($300,000)  Lehman Brothers  (45,949) 
      U.S. High Yield   
      Index   
 
3,026,000  10/1/07  30 bp plus  The spread  397 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index     
 
3,230,196  3/1/08  (1 month USD-  Lehman Brothers  (49,428) 
    LIBOR-BBA minus  U.S. High Yield   
    20 bp)  Index   
 
130,240,126  2/1/08  (1 month USD-  Lehman Brothers  (1,610,899) 
    LIBOR-BBA plus  US Aggregate RBI   

    15 bp)  Series 1 Index   
 
3,330,000    12/2/07  15 bp plus  The spread  (8,269) 
    beginning  return of Lehman   
    of period nominal  Brothers Aaa   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index     
 
Merrill Lynch International         
1,465,661  2/5/08  (12 month USD-  MSCI Daily Total  178,885 
    LIBOR-BBA minus  Return Net   
    300 BP)  Emerging Markets   
      India USD Index   
 
42,341,139  11/27/07  (3 month USD-  Russell 2000  132,040 
    LIBOR-BBA minus  Total Return   
    0.70%)  Index   
 
24,316,476  10/26/07  3 month USD-  Russell 2000  (42,167) 
    LIBOR-BBA minus  Total Return   
    0.85%  Index   
 
18,448,412  8/24/07  3 month USD-  Russell 2000  57,532 
    LIBOR-BBA minus  Total Return   
    0.70%  Index   
 
Morgan Stanley Capital Services Inc.         
350,000  10/31/07  10 bp plus  Banc of America  525 
    change in spread  Securities- CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
830,000  12/2/07  7.5 bp plus  The spread  (1,660) 
    beginning  return of Lehman   
    of period nominal  Brothers Aaa   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index     
 
 
Total        $(10,709,023) 

Putnam Asset Allocation: Growth Portfolio

CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)         
  Upfront      Fixed payments  Unrealized 
Swap counterparty /  premium  Notional  Termination  received (paid) by  appreciation/ 
Referenced debt*  received (paid)**  amount    date  fund per annum  (depreciation) 
Bank of America, N.A.           
DJ ABX NA CMBX BBB Index  $--  $905,000  10/12/52  (134 bp)  $7,309 
 
DJ CDX NA HY Series 8           
Index  478,325  80,560,000  6/20/12  (275 bp)  2,242,567 
 
Bear Stearns Credit Products, Inc.           
DJ ABX NA CMBX BBB Index  --  1,086,860  10/12/52  (134 bp)  8,404 
 
Credit Suisse First Boston International           
Ford Motor Co., 7.45%,           
7/16/31  --  160,000  9/20/07  (487.5 bp)  (1,787) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  195,000  9/20/08  725 bp  11,758 
 
Ford Motor Co., 7.45%,           
7/16/31  --  35,000  9/20/07  (485 bp)  (389) 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  140,000  3/20/12  (91 bp)  2,950 
 
Credit Suisse International           
Dynegy Holdings, Inc.,           
6 7/8%, 4/1/11  --  115,000  6/20/17  297 bp  (5,439) 
 
Deutsche Bank AG           
DJ CDX NA HY Series 8           
Index  (18,881)  30,210,000  6/12/12  (275 bp)  642,709 
 
Goldman Sachs International           
General Motors Corp.,           
7 1/8%, 7/15/13  --  160,000  9/20/08  620 bp  8,084 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  160,000  9/20/07  (427.5 bp)  (1,170) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  35,000  9/20/08  620 bp  1,768 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  35,000  9/20/07  (425 bp)  (254) 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  35,000  9/20/11  (108 bp)  172 
 
JPMorgan Chase Bank, N.A.           
DJ CDX NA CMBX AAA Index  --  1,363,000  3/15/49  (7 bp)  (595) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  25,000  9/20/07  (345 bp)  (187) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  25,000  9/20/08  550 bp  841 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  25,000  9/20/07  (350 bp)  (202) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  25,000  9/20/08  500 bp  941 
 
Lehman Brothers International (Europe)           
DJ CDX NA IG Series 8           
Index  (3,570)  9,070,000  6/20/12  (35 bp)  21,854 
 
Lehman Brothers Special Financing, Inc.           
DJ ABX NA CMBX BBB Index  --  270,400  10/12/52  (134 bp)  1,507 
 
DJ CDX NA CMBX AAA Index  --  3,026,000  3/15/49  (7 bp)  1,564 
 
DJ CDX NA EM Series 7           
Index  (870,048)  80,560,000  6/20/12  125 bp  (432,451) 
 
DJ CDX NA HY Series 7           
Index  (197,535)  5,000,000  12/20/11  325 bp  (143,419) 
 
Merrill Lynch Capital Services, Inc.           
Ford Motor Co., 7.45%,           
7/16/31  --  80,000  9/20/07  (345 bp)  (578) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  80,000  9/20/08  570 bp  3,649 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  110,000  9/20/07  (335 bp)  (767) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  110,000  9/20/08  500 bp  4,103 
 
Merrill Lynch International           
Dynegy Holdings, Inc.,           
6 7/8%, 4/1/11  --  115,000  6/20/17  295 bp  (5,595) 
 
Morgan Stanley Capital Services, Inc.           
DJ ABX NA CMBX BBB Index  --  378,051  10/12/52  (134 bp)  2,827 
 
Dynegy Holdings, Inc.,           
6 7/8%, 4/1/11  --  115,000  6/20/12  225 bp  (2,837) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  30,000  9/20/07  (345 bp)  (224) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  30,000  9/20/08  560 bp  1,274 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  30,000  9/20/07  (335 bp)  (163) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  30,000  9/20/08  500 bp  1,094 
 
Total          $2,369,318 

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

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

Putnam Asset Allocation: Balanced Portfolio     
FORWARD CURRENCY CONTRACTS TO BUY at 6/30/07 (aggregate face value $462,473,607) (Unaudited)     
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value    date  (depreciation) 
Australian Dollar  $121,997,834  $120,871,739  7/18/07  $1,126,095 
Brazilian Real  9,097,810  8,692,491  7/18/07  405,319 
British Pound  72,153,872  71,407,506  9/19/07  746,366 
Canadian Dollar  11,452,876  11,034,727  7/18/07  418,149 
Chilean Peso  5,247,581  5,321,900  7/18/07  (74,319) 
Euro  103,255,139  102,879,409  9/19/07  375,730 
Hong Kong Dollar  1,612,526  1,614,346  8/15/07  (1,820) 
Hungarian Forint  5,733,008  5,521,654  9/19/07  211,354 
Indian Rupee  2,293,316  2,294,864  8/16/07  (1,548) 
New Zealand Dollar  1,844,131  1,745,596  7/18/07  98,535 
Norwegian Krone  76,490,310  75,361,408  9/19/07  1,128,902 
Polish Zloty  1,822,337  1,797,651  9/19/07  24,686 
Singapore Dollar  713,257  722,070  8/15/07  (8,813) 
South African Rand  906,199  904,424  7/18/07  1,775 
Swedish Krona  17,983,249  17,791,792  9/19/07  191,457 
Swiss Franc  34,908,159  34,512,030  9/19/07  396,129 
Total        $5,037,997 

Putnam Asset Allocation: Balanced Portfolio     
FORWARD CURRENCY CONTRACTS TO SELL at 6/30/07 (aggregate face value $698,716,052) (Unaudited)   
        Unrealized 
    Aggregate    Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $50,590,273  $49,518,796  7/18/07  $(1,071,477) 
Brazilian Real  885,683  873,333  8/15/07  (12,350) 
British Pound  66,737,554  65,818,015  9/19/07  (919,539) 
Canadian Dollar  63,399,492  62,529,190  7/18/07  (870,302) 
Czech Koruna  3,889,087  3,873,623  9/19/07  (15,464) 
Danish Krone  1,019,524  1,006,244  9/19/07  (13,280) 
Euro  176,000,020  175,200,091  9/19/07  (799,929) 
Japanese Yen  141,198,838  145,705,871  8/15/07  4,507,033 
Mexican Peso  2,667,505  2,646,971  7/18/07  (20,534) 
New Zealand Dollar  5,498,053  5,116,898  7/18/07  (381,155) 
Norwegian Krone  27,618,015  27,145,605  9/19/07  (472,410) 
Singapore Dollar  5,441,931  5,485,460  8/15/07  43,529 
South Korean Won  888,013  885,969  8/16/07  (2,044) 
Swedish Krona  58,657,803  57,700,973  9/19/07  (956,830) 
Swiss Franc  82,575,360  82,161,371  9/19/07  (413,989) 
Taiwan Dollar  13,210,117  13,047,642  8/15/07  (162,475) 
Total        $(1,561,216) 

Putnam Asset Allocation:  Balanced Portfolio       
FUTURES CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)       
        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Canadian Government Bond 10 yr (Long)  933  $97,312,998    Sep-07  $(722,107) 
Dow Jones Euro Stoxx 50 Index (Short)  650  39,715,996  Sep-07  (763,116) 
Euro-Bobl 5 yr (Long)  29  4,162,794  Sep-07  (12,236) 
Euro-Bund 10 yr (Long)  262  39,268,054  Sep-07  (259,464) 
Euro-Bund 10 yr (Short)  135  20,233,539  Sep-07  129,363 
Euro-CAC 40 Index (Long)  292  23,990,397  Jul-07  582,882 
Euro-Dollar 90 day (Long)  424  100,477,400  Mar-08  (372,153) 
Euro-Dollar 90 day (Long)  281  66,488,113  Sep-09  (411,326) 
Euro-Dollar 90 day (Short)  831  196,978,163  Sep-08  1,103,564 
FTSE 100 Index (Short)  653  87,013,010  Sep-07  (864,134) 
Hang Seng Index (Long)  115  16,089,497  Jul-07  (32,416) 
Japanese Government Bond 10 yr (Long)  14  15,008,446  Sep-07  (36,432) 
Japanese Government Bond 10 yr (Short)  14  15,008,446  Sep-07  (70,540) 
OMXS 30 Index (Short)  206  3,781,039  Jul-07  79,522 
Russell 2000 Index Mini (Long)  535  45,052,350  Sep-07  (995,560) 
Russell 2000 Index Mini (Short)  1,414  119,072,940  Sep-07  2,180,948 
S&P 500 Index (Long)  28  10,607,800  Sep-07  (53,568) 
S&P 500 Index E-Mini (Long)  3,705  280,746,375  Sep-07  (5,179,396) 
S&P 500 Index E-Mini (Short)  389  29,476,475  Sep-07  304,587 
S&P ASX 200 Index (Long)  295  39,242,457  Sep-07  (482,526) 
S&P ASX 200 Index (Short)  28  3,724,708  Sep-07  45,585 
S&P Mid Cap 400 Index E-Mini (Long)  9  813,780  Sep-07  (6,888) 
S&P Mid Cap 400 Index E-Mini (Short)  293  26,493,060  Sep-07  754,014 
S&P/MIB Index (Long)  83  23,793,025  Sep-07  324,257 
SGX MSCI Singapore Index (Short)  31  1,764,597  Jul-07  26,221 
Tokyo Price Index (Long)  81  11,675,735  Sep-07  21,082 
Tokyo Price Index (Short)  76  10,955,011  Sep-07  (20,335) 
U.K. Gilt 10 yr (Long)  224  46,642,966  Sep-07  (922,422) 
U.S. Treasury Bond 20 yr (Long)  285  30,708,750  Sep-07  (216,567) 
U.S. Treasury Note 2 yr (Short)  732  149,167,875  Sep-07  (145,501) 
U.S. Treasury Note 5 yr (Long)  647  67,338,547  Sep-07  347,580 
U.S. Treasury Note 10 yr (Long)  1,186  125,363,907  Sep-07  282,271 
U.S. Treasury Note 10 yr (Short)  1,366  144,390,469  Sep-07  1,278,057 
Total        $(4,106,754) 

Putnam Asset Allocation: Balanced Portfolio       
WRITTEN OPTIONS OUTSTANDING at 6/30/07 (premiums received $5,576,405) (Unaudited)       
  Contract  Expiration date/   
  amount    strike price  Value 
S&P 500 Index Depository Receipts (SPDR Trust Series I) (Call)  $51,689  Jul 07 / $162.11  $103 
 
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 USD-LIBOR-BBA maturing on       
July 5, 2017.  19,820,000  Jul 07 / 4.55  2 
 
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 USD-LIBOR-BBA maturing on       
July 5, 2017.  19,820,000  Jul 07 / 4.55  1,684,861 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on       
May 14, 2022.  12,203,000  May 12 / 5.51  354,999 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on       
May 14, 2022.  12,203,000  May 12 / 5.51  676,237 
 
Option on an interest rate swap with Lehman Brothers International for the       
obligation to pay a fixed rate of 5.225% versus the three month USD-LIBOR-BBA       
maturing March 5, 2018.  7,124,000  Mar 08 / 5.225  43,691 
 
Option on an interest rate swap with Lehman Brothers International for the       
obligation to receive a fixed rate of 5.225% versus the three month USD-LIBOR-BBA       
maturing March 5, 2018.  7,124,000  Mar 08 / 5.225  285,509 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.95% versus the three month USD-LIBOR-BBA       
maturing June 16, 2018.  44,022,000  Jun 08 / 5.95  1,374,983 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.95% versus the three month       
USD-LIBOR-BBA maturing June 16, 2018.  44,022,000  Jun 08 / 5.95  612,786 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.515% versus the three month USD-LIBOR-BBA       
maturing on May 14, 2022.  6,101,500  May 12 / 5.515  175,009 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.515% versus the three month       
USD-LIBOR-BBA maturing on May 14, 2022.  6,101,500  May 12 / 5.515  328,096 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.52% versus the three month USD-LIBOR-BBA       
maturing on May 14, 2022.  2,440,500  May 12 / 5.52  70,282 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.52% versus the three month       
USD-LIBOR-BBA maturing on May 14, 2022.  2,440,500  May 12 / 5.52  130,813 
Total      $5,737,371 

Putnam Asset Allocation: Balanced Portfolio       
TBA SALE COMMITMENTS OUTSTANDING at 6/30/07 (proceeds receivable $57,246,180) (Unaudited)     
    Principal  Settlement   
Agency    amount  date  Value 
FNMA,  6 1/2s, July 1, 2037  $18,200,000    7/12/07  $18,369,204 
FNMA,  6s, July 1, 2037  24,860,000  7/12/07  24,586,152 
FNMA,  5s, July 1, 2037  11,400,000  7/12/07  10,675,031 
GNMA, 6 1/2s, July 1, 2037  3,500,000  7/19/07  3,558,242 
Total        $57,188,629 

Putnam Asset Allocation: Balanced Portfolio     
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)     
    Payments  Payments  Unrealized 
Swap counterparty /    Termination  made by  received by  appreciation/ 
Notional amount  date  fund per annum  fund per annum  (depreciation) 
Bank of America, N.A.         
$1,500,000  9/1/15  3 month USD-LIBOR-BBA  4.53%  $(88,910) 
1,470,000  10/2/16  5.15631%  3 month USD-LIBOR-BBA  52,692 
8,600,000  10/21/15  4.943%  3 month USD-LIBOR-BBA  391,188 
800,000  6/24/15  4.39%  3 month USD-LIBOR-BBA  62,168 
660,000  6/23/15  4.45%  3 month USD-LIBOR-BBA  48,749 
1,590,000  6/23/15  4.466%  3 month USD-LIBOR-BBA  115,818 
4,410,000  6/17/15  4.555%  3 month USD-LIBOR-BBA  295,356 
18,600,000  4/6/10  4.6375%  3 month USD-LIBOR-BBA  392,097 
27,200,000  1/14/10  3 month USD-LIBOR-BBA  4.106%  (614,099) 
17,346,000  12/22/09  3.965%  3 month USD-LIBOR-BBA  563,861 
7,100,000  3/30/09  3.075%  3 month USD-LIBOR-BBA  213,524 
20,743,000  1/28/24  3 month USD-LIBOR-BBA  5.2125%  (990,772) 
Bear Stearns Bank PLC         
16,400,000  4/24/12  5.027%  3 month USD-LIBOR-BBA  327,331 
Citibank, N.A.         
13,500,000  7/27/09  5.504%  3 month USD-LIBOR-BBA  (231,394) 
900,000  4/7/14  5.377%  3 month USD-LIBOR-BBA  9,439 
Credit Suisse First Boston International         
9,662,000  3/9/09  3 month USD-LIBOR-BBA  3.195%  (262,210) 
Credit Suisse International         
2,060,000  9/28/16  5.10886%  3 month USD-LIBOR-BBA  53,095 
802,000  3/21/16  3 month USD-LIBOR-BBA  5.20497%  (13,179) 
Deutsche Bank AG         
1,251,434  8/2/22  3 month USD-LIBOR-BBA  5.7756%  20,082 
1,404,369  8/2/32  5.86%  3 month USD-LIBOR-BBA  (28,658) 
Goldman Sachs Capital Markets, L.P.         
1,251,434  8/12/22  3 month USD-LIBOR-BBA  5.601%  (2,566) 
1,404,369  8/12/32  5.689%  3 month USD-LIBOR-BBA  3,708 
2,515,000  8/1/22  3 month USD-LIBOR-BBA  5.845%  58,646 
2,822,353  8/1/32  5.919%  3 month USD-LIBOR-BBA  (80,258) 
9,013,565  8/15/10  3 month USD-LIBOR-BBA  5.405%  (119,890) 
Goldman Sachs International         
1,095,000  5/3/16  5.565%  3 month USD-LIBOR-BBA  5,147 
2,770,000  4/7/14  5.33842%  3 month USD-LIBOR-BBA  35,497 
6,080,000  1/8/12  3 month USD-LIBOR-BBA  4.98%  (47,329) 
4,999,000  12/20/16  3 month USD-LIBOR-BBA  5.074%  (211,660) 
7,431,000  11/21/26  3 month USD-LIBOR-BBA  5.2075%  (517,557) 
33,572,000  11/21/08  5.0925%  3 month USD-LIBOR-BBA  148,258 
7,686,000  11/20/26  3 month USD-LIBOR-BBA  5.261%  (486,900) 
34,166,000  11/20/08  5.16%  3 month USD-LIBOR-BBA  117,569 
8,111,000  6/12/17  3 month USD-LIBOR-BBA  5.7175%  32,189 
1,464,000  10/19/16  5.32413%  3 month USD-LIBOR-BBA  34,654 
2,762,000  9/29/16  3 month USD-LIBOR-BBA  5.1275%  (67,320) 
8,657,000  9/29/08  5.085%  3 month USD-LIBOR-BBA  (78,324) 
JPMorgan Chase Bank, N.A.         
1,000,000  4/17/17  3 month USD-LIBOR-BBA  5.266%  (30,096) 
3,100,000  4/17/09  5.12%  3 month USD-LIBOR-BBA  15,146 
7,800,000  10/21/15  4.916%  3 month USD-LIBOR-BBA  369,080 
4,000,000  9/2/15  3 month USD-LIBOR-BBA  4.4505%  (233,539) 
12,700,000  8/4/16  3 month USD-LIBOR-BBA  5.5195%  63,083 
24,400,000  8/4/08  3 month USD-LIBOR-BBA  5.40%  320,189 
2,690,000  8/2/15  3 month USD-LIBOR-BBA  4.6570%  (138,165) 
13,300,000  6/29/15  3 month USD-LIBOR-BBA  4.296%  (1,113,149) 
960,000  6/24/15  4.387%  3 month USD-LIBOR-BBA  74,783 
3,840,000  6/16/15  4.538%  3 month USD-LIBOR-BBA  261,230 

 
3,238,000  9/28/16  3 month USD-LIBOR-BBA  5.1223%  (80,216) 
18,126,000  3/8/17  3 month USD-LIBOR-BBA  5.28%  (270,610) 
3,084,000  2/23/17  5.211%  3 month USD-LIBOR-BBA  63,618 
42,206,000  1/31/17  3 month USD-LIBOR-BBA  5.415%  (170,916) 
4,472,000  12/19/16  5.0595%  3 month USD-LIBOR-BBA  194,047 
37,730,000  12/7/08  3 month USD-LIBOR-BBA  4.8485%  (277,630) 
16,210,000  12/7/26  5.036%  3 month USD-LIBOR-BBA  1,447,121 
7,664,000  11/20/26  3 month USD-LIBOR-BBA  5.266%  (481,019) 
34,078,000  11/20/08  5.165%  3 month USD-LIBOR-BBA  115,032 
12,180,000  10/10/13  5.09%  3 month USD-LIBOR-BBA  302,473 
8,750,000  10/10/13  5.054%  3 month USD-LIBOR-BBA  236,378 
18,300,000  6/27/17  3 month USD-LIBOR-BBA  5.712%  61,655 
20,700,000  3/7/15  3 month USD-LIBOR-BBA  4.798%  (772,210) 
10,143,000  9/28/08  5.096%  3 month USD-LIBOR-BBA  (92,630) 
1,368,000  9/18/16  5.291%  3 month USD-LIBOR-BBA  16,937 
35,000,000  1/17/16  4.946%  3 month USD-LIBOR-BBA  1,209,194 
8,800,000  4/23/17  5.186%  3 month USD-LIBOR-BBA  319,158 
Lehman Brothers International (Europe)         
37,352,000  3/15/09  4.9298%  3 month USD-LIBOR-BBA  (191,589) 
4,452,000  10/23/16  5.325%  3 month USD-LIBOR-BBA  105,225 
11,076,000  10/23/08  5.255%  3 month USD-LIBOR-BBA  22,901 
4,452,000  10/23/16  3 month USD-LIBOR-BBA  5.3275%  (104,403) 
11,076,000  10/23/08  3 month USD-LIBOR-BBA  5.26%  (22,132) 
51,091,000  8/3/16  5.5675%  3 month USD-LIBOR-BBA  (427,788) 
40,316,000  8/3/11  5.445%  3 month USD-LIBOR-BBA  (525,570) 
25,180,000  12/28/16  5.084%  3 month USD-LIBOR-BBA  1,049,780 
Lehman Brothers Special Financing, Inc.         
55,000,000  3/16/09  4.9275%  3 month USD-LIBOR-BBA  (297,300) 
20,700,000  3/16/17  5.034%  3 month USD-LIBOR-BBA  698,292 
4,560,000  11/29/26  3 month USD-LIBOR-BBA  5.135%  (354,570) 
10,730,000  11/29/16  3 month USD-LIBOR-BBA  5.02%  (494,641) 
36,430,000  11/29/08  3 month USD-LIBOR-BBA  5.045%  (175,834) 
15,850,000  9/29/13  5.0555%  3 month USD-LIBOR-BBA  206,176 
18,750,000  9/8/16  5.3275%  3 month USD-LIBOR-BBA  175,462 
622,000  8/3/36  3 month USD-LIBOR-BBA  5.67%  (4,274) 
46,963,000  8/3/08  3 month USD-LIBOR-BBA  5.425%  626,258 
43,500,000  5/29/12  5.28%  3 month USD-LIBOR-BBA  389,760 
Merrill Lynch Capital Services, Inc.         
1,216,226  8/13/12  4.94%  3 month USD-LIBOR-BBA  15,620 
1,251,434  8/12/22  3 month USD-LIBOR-BBA  5.601%  (2,566) 
2,515,000  8/1/22  3 month USD-LIBOR-BBA  5.845%  58,646 
2,444,243  8/1/12  5.204%  3 month USD-LIBOR-BBA  910 
Morgan Stanley Capital Services, Inc.         
5,473,000  2/20/17  5.19%  3 month USD-LIBOR-BBA  120,027 
Total        $1,417,376 

Putnam Asset Allocation: Balanced Portfolio     
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)   
 
   
    Fixed payments  Total return  Unrealized 
Swap counterparty /  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Bank of America, N.A.         
$14,480,000  5/2/08  5 bp plus change  Banc of America  $6,687 
    in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
8,650,000  5/2/08  10 bp plus  Banc of America  9,925 
    change in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
    of America     
      Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
Citibank, N.A.         
156,917,669  4/3/08  (Russell 2000  3 month USD-  (5,162,232) 
    Total Return  LIBOR-BBA   
    Index)     
 
8,120,000  5/2/08  12.5 bp plus  Banc of America  12,922 
    change in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
53,023,827  1/16/08  3 month USD-  (Russell 2000  (1,292,742) 
    LIBOR-BBA  Total Return   
      Index)   
 
13,000,000  10/1/07  (7.5 bp plus  The spread  -- 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
1,987,000  8/1/07  (7.5 bp plus  The spread  -- 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
189,915,670  6/10/08  (1 month USD-  A basket  (4,908,504) 
    LIBOR-BBA plus  of shares defined   
    25 bp)  in the term sheet   
 
189,493,975  6/10/08  1 month USD-  A basket  2,592,696 
    LIBOR-BBA minus  of shares defined   
    30 bp  in the term sheet   
 
11,680,000  10/31/07  8 bp plus change  Banc of America  16,921 
    in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
4,830,000  11/2/07  15 bp plus  Banc of America  4,949 
    change in spread  Securities- CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
    the modified     
    duration factor     
 
Goldman Sachs International         
768,000  9/15/11  678 bp (1 month  Ford Credit Auto  5 
    USD-LIBOR-BBA)  Owner Trust   
      Series 2005-B   
      Class D   

  12,550,000  1/2/08  (10 bp plus  The spread  17,093 
      beginning  return of Lehman   
      of period nominal  Brothers AAA   
      spread of Lehman  8.5+ CMBS Index   
        Brothers AAA  adjusted by   
      8.5+ Commercial  modified   
      Mortgage Backed  duration factor   
      Securities Index)     
 
  12,950,000  5/2/08  10 bp plus  Banc of America  1,023 
      change in spread  Securities CMBS   
      of Banc  AAA 10 year Index   
      of America     
      Securities AAA     
      10 yr Index     
      multiplied by     
      the modified     
      duration factor     
 
JPMorgan Chase Bank, N.A.           
  3,886,000  10/1/07  175 bp plus  The spread  2,332 
      beginning  return of Lehman   
      of period nominal  Brothers AAA   
      spread of Lehman  8.5+ CMBS Index   
      Brothers AAA  adjusted by   
      8.5+ Commercial  modified   
      Mortgage Backed  duration factor   
      Securities Index     
 
  25,594,796  9/21/07  3 month USD-  Russell 2000  186,716 
      LIBOR-BBA minus  Total Return   
      90 bp  Index   
 
  17,192,354  7/12/07  (1 month USD-  Standard & Poors  (589,486) 
      LIBOR-BBA plus  500 Health Care   
      25 bp)  Equipment &   
        Services Index   
 
  24,858,717  7/12/07  (1 month USD-  Standard & Poors  62,197 
      LIBOR-BBA plus  500 Technology   
      25 bp)  Hardware &   
        Equipment Index   
 
  4,409,167  7/12/07  1 month USD-  Standard and  (173,263) 
      LIBOR-BBA minus  Poor's 500   
      30 bp  Semiconductors   
        and   
        Semiconductors   
        Equipment   
        Industry Group   
        Index   
 
  23,572,474  7/12/07  (1 month USD-  Standard & Poors  (802,714) 
      LIBOR-BBA plus  500 Retailing   
      25 bp)  Index   
 
  2,412,765  7/12/07  (1 month USD-  Standard & Poors  (247,891) 
      LIBOR-BBA plus  500 Real Estate   
      25 bp)  Index   
 
  21,769,197  7/12/07  (1 month USD-  Standard & Poors  (747,440) 
      LIBOR-BBA plus  500   
      25 bp)  Pharmaceuticals,   
        Biotechnology &   
        Life Sciences   
        Index   
 
  50,566,566  7/12/07  (1 month USD-  Standard & Poors  (802,762) 
      LIBOR-BBA plus  500 Media Index   
      25 bp)     
 
  27,008,304  7/12/07  (1 month USD-  Standard & Poors  (1,240,872) 
      LIBOR-BBA plus  500 Diversified   
      25 bp)  Financials Index   
 
  16,496,671  7/12/07  (1 month USD-  Standard & Poors  (384,964) 
      LIBOR-BBA plus  500   
      25 bp)  Transportation   
        Index   
 
  14,314,655  7/12/07  (1 month USD-  Standard & Poors  (212,036) 
      LIBOR-BBA plus  500 Materials   
      25 bp)  Index   
 
  34,055,528  7/12/07  (1 month USD-  Standard & Poors  (1,074,010) 
      LIBOR-BBA plus  500 Insurance   
      25 bp)  Index   
 
  5,860,303  7/12/07  (1 month USD-  Standard & Poors  (227,045) 
      LIBOR-BBA plus  500 Utilities   
      25 bp)  Index   
 
  17,870,192  7/12/07  1 month USD-  Standard & Poors  312,773 
      LIBOR-BBA minus  500   
      30 bp  Telecommunicatio   
        n Services Index   
 
  17,540,178  7/12/07  (1 month USD-  Standard & Poors  (840,170) 
      LIBOR-BBA plus  500 Consumer   

    25 bp)  Durables &   
      Apparel Index   
 
27,272,599  7/12/07  1 month USD-  Standard & Poors  478,446 
    LIBOR-BBA minus  500 Software &   
    30 bp  Services Index   
 
16,509,958  7/12/07  1 month USD-  Standard & Poors  730,967 
    LIBOR-BBA minus  500 Household &   
    30 bp  Personal   
      Products Index   
 
6,351,796  7/12/07  1 month USD-  Standard & Poors  32,139 
    LIBOR-BBA minus  500 Energy Index   
    30 bp     
 
14,877,710  7/12/07  1 month USD-  Standard & Poors  160,612 
      LIBOR-BBA minus  500 Food   
    30 bp  Beverage &   
      Tobacco Index   
 
31,553,540  7/12/07  1 month USD-  Standard & Poors  1,199,582 
    LIBOR-BBA minus  500 Food &   
    30 bp  Staples   
      Retailing GICS   
      Industry Group   
      Index   
 
43,557,991  7/12/07  1 month USD-  Standard & Poors  1,461,973 
    LIBOR-BBA minus  500 Consumer   
    30 bp  Services Index   
 
16,029,980  7/12/07  1 month USD-  Standard & Poors  (63,335) 
    LIBOR-BBA minus  500 Capital   
    30 bp  Goods Index   
 
15,132,585  7/12/07  1 month USD-  Standard & Poors  219,336 
    LIBOR-BBA minus  500 Commercial   
    30 bp  Services &   
      Supplies Index   
 
38,455,753  7/12/07  1 month USD-  Standard & Poors  1,489,465 
    LIBOR-BBA minus  500 Banks Index   
    30 bp     
 
23,627,105  7/12/07  1 month USD-  Standard & Poors  (2,050,293) 
    LIBOR-BBA minus  500 Automobiles   
    30 bp  & Components   
      Index   
 
Lehman Brothers International (Europe)         
12,109,000  1/1/08  (5 bp plus  The spread  -- 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
12,550,000  1/1/08  (Beginning  The spread  17,444 
    of period nominal  return of Lehman   
    spread of Lehman  Brothers AAA   
    Brothers AAA  8.5+ CMBS Index   
    8.5+ Commercial  adjusted by   
    Mortgage Backed  modified   
    Securities Index)  duration factor   
 
12,550,000  1/1/08  (10 bp plus  The spread  17,093 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
Lehman Brothers Special Financing, Inc.         
3,599,432  5/1/08  (1 month USD-  Lehman Brothers  (72,700) 
    LIBOR-BBA minus  U.S. High Yield   
    0.50%)  Index   
 
8,625,000  10/1/07  30 bp plus  The spread  1,130 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index     
 
3,969,769  3/1/08  (1 month USD-  Lehman Brothers  (60,745) 
    LIBOR-BBA minus  U.S. High Yield   
    20 bp)  Index   
 
105,898,446  2/1/08  (1 month USD-  Lehman Brothers  (1,309,823) 
    LIBOR-BBA plus  US Aggregate RBI   
    15 bp)  Series 1 Index   
 
12,160,000  12/2/07  15 bp plus  The spread  (30,193) 

    beginning  return of Lehman   
    of period nominal  Brothers Aaa   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index     
 
Merrill Lynch International         
10,584,400  11/27/07  (3 month USD-  Russell 2000  33,006 
    LIBOR-BBA minus  Total Return   
    0.70%)  Index   
 
18,428,590  10/26/07  3 month USD-  Russell 2000  (31,957) 
    LIBOR-BBA minus  Total Return   
    0.85%  Index   
 
Morgan Stanley Capital Services Inc.         
6,170,000  10/31/07  10 bp plus  Banc of America  9,255 
    change in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
    of America     
    Securities AAA     
    10 yr Index     
    multiplied by     
      the modified     
    duration factor     
 
3,040,000  12/2/07  7.5 bp plus  The spread  (6,080) 
    beginning  return of Lehman   
    of period nominal  Brothers Aaa   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index     
 
Total        $(13,254,570) 

                     
Putnam Asset Allocation: Balanced Portfolio         
 
 
CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)                  
  Upfront      Fixed payments  Unrealized 
Swap counterparty /  premium  Notional  Termination    received (paid) by  appreciation/ 
Referenced debt*  received (paid)**  amount  date  fund per annum  (depreciation) 
Bank of America, N.A.           
DJ ABX NA CMBX BBB Index  $--  $2,685,000  10/12/52  (134 bp)  $21,685 
 
DJ CDX NA HY Series 8           
Index  437,172    73,629,000    6/20/12  (275 bp)  2,049,627 
 
DJ CDX NA IG Series 8           
Index  (4,190)  7,225,000  6/20/17  (60 bp)  55,320 
 
DJ CDX NA IG Series 8           
Index  (42,988)  11,805,000  6/20/17  (60 bp)  54,246 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  160,000  9/20/11  (111 bp)  491 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  65,000  6/20/11  (101 bp)  280 
 
Bear Stearns Credit Products, Inc.           
DJ ABX NA CMBX BBB Index  --  3,221,698  10/12/52  (134 bp)  24,913 
 
Citibank, N.A.           
CMS Energy Corp.,           
6.875%, 12/15/15  --  550,000  6/20/12  57 bp  (7,509) 
 
DJ CDX NA IG Series 6           
Index  4,090  3,976,000  6/20/13  (50 bp)  10,441 
 
DJ CDX NA IG Series 6           
Index 7-10% tranche  --  3,976,000  6/20/13  45.75 bp  (17,774) 
 
Credit Suisse First Boston International           
Ford Motor Co., 7.45%,           
7/16/31  --  180,000  9/20/07  (487.5 bp)  (2,010) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  220,000  9/20/08  725 bp  13,266 
 
Ford Motor Co., 7.45%,           
7/16/31  --  40,000  9/20/07  (485 bp)  (444) 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  135,000  3/20/12  (91 bp)  2,845 
 
Credit Suisse International           
Dynegy Holdings, Inc.,           
6 7/8%, 4/1/11  --  105,000  6/20/17  297 bp  (4,966) 
 
Sprint Capital Corp,           
8 3/8%, 3/15/12  --  930,000  6/20/12  (59 bp)  (61) 
 
Deutsche Bank AG           
DJ CDX NA IG Series 7  --  850,000  12/20/13  (50 bp)  2,080 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  850,000  12/20/13  55 bp  (2,739) 
 
DJ CDX NA IG Series 8           
Index 7-10% tranche  --  1,107,000  6/20/12  22 bp  (2,306) 
 
DJ CDX NA HY Series 8           
Index  (17,257)  27,611,000  6/20/12  (275 bp)  587,416 
 
France Telecom, 7.25%,           
1/28/13  --  410,000  6/20/16  70 bp  8,976 
 
Goldman Sachs International           
Any one of the           
underlying securities           
in the basket of BB           
CMBS securities  --  1,804,000  (a)  2.461%  92,190 
 
DJ CDX NA HY Series 8           
Index  (30,116)  1,889,605  6/20/10  275 bp  (11,068) 
 
DJ CDX NA IG Series 7           
Index  --  1,420,000  12/20/13  (50 bp)  3,475 
 
DJ CDX NA IG Series 7           
Index  4,563  6,775,000  12/20/13  (50 bp)  21,143 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  1,420,000  12/20/13  56 bp  (3,790) 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  6,775,000  12/20/13  48 bp  (49,819) 
 
DJ CDX NA IG Series 8           
Index  (6)  7,220,000  6/20/17  (60 bp)  59,463 
 
DJ CDX NA IG Series 8           
Index  (44,427)  10,555,000  6/20/17  (60 bp)  42,511 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  180,000  9/20/08  620 bp  9,095 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  180,000  9/20/07  (427.5 bp)  (1,316) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  40,000  9/20/08  620 bp  2,021 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  40,000  9/20/07  (425 bp)  (290) 

               
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  45,000  9/20/11  (108 bp)  221 
 
JPMorgan Chase Bank, N.A.           
DJ CDX NA CMBX AAA Index  --  3,886,000  3/15/49  (7 bp)  (1,696) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  30,000  9/20/07  (345 bp)  (224) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  30,000  9/20/08  550 bp  1,009 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  30,000  9/20/07  (350 bp)  (243) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  30,000  9/20/08  500 bp  1,130 
 
Lehman Brothers Special Financing, Inc.           
CMS Energy Corp.,           
6.875%, 12/15/15  --  140,000  6/20/12  62 bp  (1,609) 
 
Countrywide Home Loan,           
4%, 3/22/11  --  700,000  6/20/12  (46 bp)  6,074 
 
DJ ABX NA CMBX BBB Index  --  775,000  10/12/52  (134 bp)  4,320 
 
DJ CDX NA CMBX AAA Index  --  8,625,000  3/15/49  (7 bp)  4,456 
 
DJ CDX NA EM Series 7           
Index  (795,193)  73,629,000  6/20/12  125 bp  (395,245) 
 
DJ CDX NA IG Series 7           
Index  831  1,400,000  12/20/13  (50 bp)  4,257 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  1,400,000  12/20/13  54.37 bp  (4,989) 
 
DJ CDX NA HY Series 8           
Index 15-25% tranche  10,836  722,400  6/20/10  (275 bp)  3,554 
 
DJ CDX NA HY Series 8           
Index 15-25% tranche  --  903,000  6/20/10  80 bp  (2,492) 
 
Hilton Hotels, 7 5/8%,           
12/1/12  --  320,000  6/20/13  94 bp  (7,274) 
 
Merrill Lynch Capital Services, Inc.           
Ford Motor Co., 7.45%,           
7/16/31  --  90,000  9/20/07  (345 bp)  (651) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  90,000  9/20/08  570 bp  4,105 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  125,000  9/20/07  (335 bp)  (872) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  125,000  9/20/08  500 bp  4,662 
 
Merrill Lynch International           
Dynegy Holdings, Inc.,           
6 7/8%, 4/1/11  --  105,000  6/20/17  295 bp  (5,108) 
 
Morgan Stanley Capital Services, Inc.           
DJ ABX NA CMBX BBB Index  --  1,121,000  10/12/52  (134 bp)  8,382 
 
DJ CDX NA HY Series 8           
Index  (11,032)  735,475  6/20/10  275 bp  (3,618) 
 
DJ CDX NA HY Series 8           
Index  54,312  3,620,800  6/20/10  (275 bp)  17,813 
 
DJ CDX NA HY Series 8           
Index  (8,327)  523,740  6/20/10  275 bp  (2,608) 
 
DJ CDX NA HY Series 8           
Index 0-15% tranche  (23,196)  226,300  6/20/10  0 bp  5,658 
 
DJ CDX NA HY Series 8           
Index 0-15% tranche  (4,571)  45,150  6/20/10  0 bp  1,185 
 
DJ CDX NA HY Series 8           
Index 0-25% tranche  --  4,526,000  6/20/10  79 bp  (13,824) 
 
DJ CDX NA IG Series 7           
Index  879  1,480,000  12/20/13  (50 bp)  4,501 
 
DJ CDX NA IG Series 7           
Index, 7-10% tranche  --  1,480,000  12/20/13  53 bp  (6,805) 
 
DJ CDX NA IG Series 8           
Index  --  7,165,000  6/20/17  (60 bp)  59,016 
 
Dynegy Holdings, Inc.,           
6 7/8%, 4/1/11  --  105,000  6/20/12  225 bp  (2,591) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  30,000  9/20/07  (345 bp)  (224) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  30,000  9/20/08  560 bp  1,274 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  30,000  9/20/07  (335 bp)  (163) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  30,000  9/20/08  500 bp  1,094 
 
Total          $2,639,867 
 
* Payments related to the reference debt are made upon a credit default event.       

** Upfront premium is based on the difference between the original spread on issue and the market spread on day of 
execution. 
 
(a) Terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing 
the reference entity are liquidated. 

Putnam Asset Allocation: Conservative Portfolio     
FORWARD CURRENCY CONTRACTS TO BUY at 6/30/07 (aggregate face value $107,314,782) (Unaudited)     
        Unrealized 
    Aggregate  Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $27,391,260  $27,105,447    7/18/07  $285,813 
Brazilian Real  2,085,331  1,992,085  7/18/07  93,246 
British Pound  16,059,895  15,894,592  9/19/07  165,303 
Canadian Dollar  2,767,348  2,659,886  7/18/07  107,462 
Chilean Peso  1,193,330  1,210,221  7/18/07  (16,891) 
Danish Krone  856,167  845,015  9/19/07  11,152 
Euro  23,717,180  23,636,092  9/19/07  81,088 
Hong Kong Dollar  382,082  382,513  8/15/07  (431) 
Hungarian Forint  1,306,792  1,258,563  9/19/07  48,229 
Indian Rupee  554,433  554,807  8/16/07  (374) 
New Zealand Dollar  423,695  401,088  7/18/07  22,607 
Norwegian Krone  17,913,968  17,648,360  9/19/07  265,608 
Polish Zolty  411,076  405,510  9/19/07  5,566 
Singapore Dollar  605,140  612,522  8/15/07  (7,382) 
South African Rand  205,581  205,178  7/18/07  403 
Swedish Krona  4,082,806  4,039,292  9/19/07  43,514 
Swiss Franc  8,551,621  8,463,611  9/19/07  88,010 
Total        $1,192,923 

Putnam Asset Allocation: Conservative Portfolio     
FORWARD CURRENCY CONTRACTS TO SELL at 6/30/07 (aggregate face value $173,585,799) (Unaudited)     
        Unrealized 
    Aggregate    Delivery  appreciation/ 
  Value  face value  date  (depreciation) 
Australian Dollar  $11,473,763  $11,215,077  7/18/07  $(258,686) 
Brazilian Real  200,144  197,354  8/15/07  (2,790) 
British Pound  22,339,487  22,030,690  9/19/07  (308,797) 
Canadian Dollar  14,238,584  14,048,263  7/18/07  (190,321) 
Czech Koruna  891,162  887,623  9/19/07  (3,539) 
Euro  46,765,402  46,573,504  9/19/07  (191,898) 
Japanese Yen  35,192,327  36,353,390  8/15/07  1,161,063 
Mexican Peso  608,434  603,741  7/18/07  (4,693) 
Norwegian Krone  5,460,119  5,366,576  9/19/07  (93,543) 
Singapore Dollar  407,013  406,863  8/15/07  (150) 
South Korean Won  201,583  201,119  8/16/07  (464) 
Swedish Krona  13,528,378  13,309,257  9/19/07  (219,121) 
Swiss Franc  19,509,082  19,388,970  9/19/07  (120,112) 
Taiwan Dollar  3,040,795  3,003,372  8/15/07  (37,423) 
Total        $(270,474) 

Putnam Asset Allocation:  Conservative Portfolio                   
FUTURES CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)                    
        Unrealized 
  Number of      Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
Canadian Government Bond 10 yr (Long)  430  $44,849,506  Sep-07  $(342,499) 
Dow Jones Euro Stoxx 50 Index (Short)  347  21,202,232  Sep-07  (407,387) 
Euro-Bobl 5 yr (Long)  26  3,732,160  Sep-07  (10,970) 
Euro-Bund 10 yr (Long)  183  27,427,686  Sep-07  (181,229) 
Euro-Bund 10 yr (Short)  137  20,533,295  Sep-07  131,280 
Euro-CAC 40 Index (Long)  106  8,708,843  Jul-07  211,594 
Euro-Dollar 90 day (Long)  465    110,193,375  Mar-08  (408,140) 
Euro-Dollar 90 day (Long)  240  56,787,000  Sep-09  (351,328) 
Euro-Dollar 90 day (Short)  846  200,533,725  Sep-08  1,104,011 
FTSE 100 Index (Short)  269  35,844,563  Sep-07  (355,975) 
Hang Seng Index (Long)  49  6,855,525  Jul-07  (13,812) 
Japanese Government Bond 10 yr (Long)  13  13,936,414  Sep-07  (33,830) 
Japanese Government Bond 10 yr (Short)  12  12,864,382  Sep-07  (60,463) 
OMXS 30 Index (Short)  142  2,606,348  Jul-07  54,815 
Russell 2000 Index Mini (Long)  225  18,947,250  Sep-07  (419,970) 
Russell 2000 Index Mini (Short)  383  32,252,430  Sep-07  596,464 
S&P 500 Index (Long)  12  4,546,200  Sep-07  (36,281) 
S&P 500 Index E-Mini (Long)  280  21,217,000  Sep-07  (458,118) 
S&P 500 Index E-Mini (Short)  642  48,647,550  Sep-07  707,313 
S&P ASX 200 Index (Long)  123  16,362,109  Sep-07  (201,189) 
S&P ASX 200 Index (Short)  20  2,660,506  Sep-07  32,561 
S&P Mid Cap 400 Index E-Mini (Long)  4  361,680  Sep-07  (4,393) 
S&P Mid Cap 400 Index E-Mini (Short)  123  11,121,660  Sep-07  316,889 
S&P/MIB Index (Long)  30  8,599,888  Sep-07  117,201 
SGX MSCI Singapore Index (Short)  22  1,252,294  Jul-07  18,609 
Tokyo Price Index (Long)  31  4,468,491  Sep-07  8,068 
Tokyo Price Index (Short)  53  7,639,678  Sep-07  (14,181) 
U.K. Gilt 10 yr (Long)  118  24,570,849  Sep-07  (485,918) 
U.S. Treasury Bond 20 yr (Long)  221  23,812,750  Sep-07  (154,072) 
U.S. Treasury Note 2 yr (Short)  363  73,972,594  Sep-07  (64,620) 
U.S. Treasury Note 5 yr (Long)  477  49,645,266  Sep-07  238,580 
U.S. Treasury Note 10 yr (Long)  923  97,563,984  Sep-07  264,405 
U.S. Treasury Note 10 yr (Short)  565  59,722,266  Sep-07  528,625 
Total        $326,040 

Putnam Asset Allocation: Conservative Portfolio       
WRITTEN OPTIONS OUTSTANDING at 6/30/07 (premiums received $5,298,010) (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 USD-LIBOR-BBA maturing on       
July 5, 2017.  $15,880,000  Jul 07 / 4.55  $2 
 
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 USD-LIBOR-BBA maturing on       
July 5, 2017.  15,880,000  Jul 07 / 4.55  1,349,929 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to pay a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on       
May 14, 2022.  9,715,000  May 12 / 5.51  282,620 
 
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the obligation       
to receive a fixed rate of 5.51% versus the three month USD-LIBOR-BBA maturing on       
May 14, 2022.  9,715,000  May 12 / 5.51  538,363 
 
Option on an interest rate swap with Lehman Brothers International for the       
obligation to pay a fixed rate of 5.225% versus the three month USD-LIBOR-BBA       
maturing March 5, 2018.  7,746,000  Mar 08 / 5.225  47,506 
 
Option on an interest rate swap with Lehman Brothers International for the       
obligation to receive a fixed rate of 5.225% versus the three month USD-LIBOR-BBA       
maturing March 5, 2018.  7,746,000  Mar 08 / 5.225  310,436 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.95% versus the three month USD-LIBOR-BBA       
maturing June 16, 2018.  51,424,000  Jun 08 / 5.95  1,606,176 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.95% versus the three month       
USD-LIBOR-BBA maturing June 16, 2018.  51,424,000  Jun 08 / 5.95  715,822 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.515% versus the three month USD-LIBOR-BBA       
maturing on May 14, 2022.  4,857,500  May 12 / 5.515  139,328 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.515% versus the three month       
USD-LIBOR-BBA maturing on May 14, 2022.  4,857,500  May 12 / 5.515  261,202 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to pay a fixed rate of 5.52% versus the three month USD-LIBOR-BBA       
maturing on May 14, 2022.  1,943,000  May 12 / 5.52  55,955 
 
Option on an interest rate swap with Lehman Brothers Special Financing, Inc. for       
the obligation to receive a fixed rate of 5.52% versus the three month       
USD-LIBOR-BBA maturing on May 14, 2022.  1,943,000  May 12 / 5.52  104,147 
Total      $5,411,486 

Putnam Asset Allocation: Conservative Portfolio     
TBA SALE COMMITMENTS OUTSTANDING at 6/30/07 (proceeds receivable $40,916,269) (Unaudited)   
  Principal        Settlement   
Agency  amount  date  Value 
FNMA, 6 1/2s, July 1, 2037  $15,900,000  7/12/07  $16,047,821 
FNMA, 6s, July 1, 2037  22,130,000  7/12/07  21,886,224 
GNMA, 6 1/2s, July 1, 2037  3,000,000  7/19/07  3,049,922 
Total      $40,983,967 

Putnam Asset Allocation: Conservative Portfolio     
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)     
    Payments  Payments  Unrealized 
Swap counterparty /  Termination  made by  received by  appreciation/ 
Notional amount  date  fund per annum  fund per annum  (depreciation) 
Bank of America, N.A.         
$5,000,000    9/1/15  3 month USD-LIBOR-BBA  4.53%  $(296,368) 
1,725,000  10/2/16  5.15631%  3 month USD-LIBOR-BBA  61,832 
6,300,000  10/21/15  4.943%  3 month USD-LIBOR-BBA  286,568 
770,000  6/24/15  4.39%  3 month USD-LIBOR-BBA  59,837 
640,000  6/23/15  4.45%  3 month USD-LIBOR-BBA  47,271 
1,540,000  6/23/15  4.466%  3 month USD-LIBOR-BBA  112,176 
4,260,000  6/17/15  4.555%  3 month USD-LIBOR-BBA  285,310 
15,300,000  4/6/10  4.6375%  3 month USD-LIBOR-BBA  322,531 
12,300,000  1/14/10  3 month USD-LIBOR-BBA  4.106%  (277,699) 
13,689,000  12/22/09  3.965%  3 month USD-LIBOR-BBA  444,984 
7,000,000  3/30/09  3.075%  3 month USD-LIBOR-BBA  210,517 
18,177,000  1/28/24  3 month USD-LIBOR-BBA  5.2125%  (868,209) 
Bear Stearns Bank PLC         
14,000,000  4/24/12  5.027%  3 month USD-LIBOR-BBA  279,429 
Citibank, N.A.         
18,650,000  7/27/09  5.504%  3 month USD-LIBOR-BBA  (319,666) 
910,000  4/7/14  5.377%  3 month USD-LIBOR-BBA  9,544 
Credit Suisse First Boston International         
19,400,000  11/17/09  3.947%  3 month USD-LIBOR-BBA  648,850 
Credit Suisse International         
2,464,000  9/28/16  5.10886%  3 month USD-LIBOR-BBA  63,508 
887,000  3/21/16  3 month USD-LIBOR-BBA  5.20497%  (14,576) 
Deutsche Bank AG         
824,399  8/2/22  3 month USD-LIBOR-BBA  5.7756%  13,229 
925,147  8/2/32  5.86%  3 month USD-LIBOR-BBA  (18,880) 
Goldman Sachs Capital Markets, L.P.         
824,399  8/12/22  3 month USD-LIBOR-BBA  5.601%  (1,690) 
925,147  8/12/32  5.689%  3 month USD-LIBOR-BBA  2,443 
1,650,000  8/1/22  3 month USD-LIBOR-BBA  5.845%  38,475 
1,851,643  8/1/32  5.919%  3 month USD-LIBOR-BBA  (52,655) 
5,675,208  8/15/10  3 month USD-LIBOR-BBA  5.405%  (75,487) 
Goldman Sachs International         
1,017,000  5/3/16  5.565%  3 month USD-LIBOR-BBA  4,780 
2,770,000  4/7/14  5.33842%  3 month USD-LIBOR-BBA  35,497 
6,330,000  1/8/12  3 month USD-LIBOR-BBA  4.98%  (49,276) 
5,193,000  12/20/16  3 month USD-LIBOR-BBA  5.074%  (219,874) 
5,821,000  11/21/26  3 month USD-LIBOR-BBA  5.2075%  (405,423) 
26,326,000  11/21/08  5.0925%  3 month USD-LIBOR-BBA  116,258 
6,109,000  11/20/26  3 month USD-LIBOR-BBA  5.261%  (386,999) 
27,184,000  11/20/08  5.16%  3 month USD-LIBOR-BBA  93,543 
11,385,000  6/12/17  3 month USD-LIBOR-BBA  5.7175%  45,182 
1,660,000  10/19/16  5.32413%  3 month USD-LIBOR-BBA  39,293 
6,031,000  9/29/16  3 month USD-LIBOR-BBA  5.1275%  (146,999) 
19,018,000  9/29/08  5.085%  3 month USD-LIBOR-BBA  (172,065) 
JPMorgan Chase Bank, N.A.         
5,700,000  10/21/15  4.916%  3 month USD-LIBOR-BBA  269,712 
12,600,000  9/2/15  3 month USD-LIBOR-BBA  4.4505%  (735,648) 
14,800,000  8/4/16  3 month USD-LIBOR-BBA  5.5195%  73,514 
25,700,000  8/4/08  3 month USD-LIBOR-BBA  5.40%  337,248 
2,156,000  8/2/15  3 month USD-LIBOR-BBA  4.6570%  (110,737) 
12,900,000  6/29/15  3 month USD-LIBOR-BBA  4.296%  (1,079,671) 
920,000  6/24/15  4.387%  3 month USD-LIBOR-BBA  71,666 
3,710,000  6/16/15  4.538%  3 month USD-LIBOR-BBA  252,386 
7,069,000  9/28/16  3 month USD-LIBOR-BBA  5.1223%  (175,120) 
17,583,000  3/8/17  3 month USD-LIBOR-BBA  5.28%  (262,504) 
2,932,000  1/31/17  3 month USD-LIBOR-BBA  5.415%  (11,873) 

3,882,000    12/19/16  5.0595%  3 month USD-LIBOR-BBA  168,447 
6,092,000  11/20/26  3 month USD-LIBOR-BBA  5.266%  (382,354) 
27,115,000  11/20/08  5.165%  3 month USD-LIBOR-BBA  91,528 
13,990,000  10/10/13  5.09%  3 month USD-LIBOR-BBA  347,422 
10,050,000  10/10/13  5.054%  3 month USD-LIBOR-BBA  271,497 
20,800,000  6/27/17  3 month USD-LIBOR-BBA  5.712%  70,078 
22,000,000  3/7/15  3 month USD-LIBOR-BBA  4.798%  (820,707) 
22,282,000  9/28/08  5.096%  3 month USD-LIBOR-BBA  (203,490) 
1,659,000  9/18/16  5.291%  3 month USD-LIBOR-BBA  20,541 
31,000,000  1/17/16  4.946%  3 month USD-LIBOR-BBA  1,071,000 
5,163,000  8/15/11  5.412%  3 month USD-LIBOR-BBA  (61,169) 
14,500,000  4/23/17  5.186%  3 month USD-LIBOR-BBA  525,886 
Lehman Brothers International (Europe)         
29,401,000  3/15/09  4.9298%  3 month USD-LIBOR-BBA  (150,806) 
5,046,000  10/23/16  5.325%  3 month USD-LIBOR-BBA  119,265 
12,553,000  10/23/08  5.255%  3 month USD-LIBOR-BBA  25,955 
5,046,000  10/23/16  3 month USD-LIBOR-BBA  5.3275%  (118,332) 
12,553,000  10/23/08  3 month USD-LIBOR-BBA  5.26%  (25,084) 
26,397,000  8/3/16  5.5675%  3 month USD-LIBOR-BBA  (221,023) 
24,138,000  8/3/11  5.445%  3 month USD-LIBOR-BBA  (314,669) 
26,210,000  12/28/16  5.084%  3 month USD-LIBOR-BBA  1,092,722 
Lehman Brothers Special Financing, Inc.         
7,701,000  4/12/12  3 month USD-LIBOR-BBA  5.087%  (133,204) 
38,000,000  3/16/09  4.9275%  3 month USD-LIBOR-BBA  (205,408) 
14,300,000  3/16/17  5.034%  3 month USD-LIBOR-BBA  482,395 
3,010,000  11/29/26  3 month USD-LIBOR-BBA  5.135%  (234,047) 
3,990,000  11/29/16  3 month USD-LIBOR-BBA  5.02%  (183,934) 
17,700,000  11/29/08  3 month USD-LIBOR-BBA  5.045%  (85,431) 
20,650,000  9/29/13  5.0555%  3 month USD-LIBOR-BBA  268,614 
41,960,000  9/8/16  5.3275%  3 month USD-LIBOR-BBA  392,661 
410,000  8/3/36  3 month USD-LIBOR-BBA  5.67%  (2,817) 
6,002,000  8/3/08  5.425%  3 month USD-LIBOR-BBA  (80,037) 
30,200,000  5/29/12  5.28%  3 month USD-LIBOR-BBA  270,592 
Merrill Lynch Capital Services, Inc.         
801,206  8/13/12  4.94%  3 month USD-LIBOR-BBA  10,290 
824,399  8/12/22  3 month USD-LIBOR-BBA  5.601%  (1,690) 
1,650,000  8/1/22  3 month USD-LIBOR-BBA  5.845%  38,475 
1,603,579  8/1/12  5.204%  3 month USD-LIBOR-BBA  597 
Morgan Stanley Capital Services, Inc.         
1,850,000  2/20/17  5.19%  3 month USD-LIBOR-BBA  40,572 
Total        $628,499 

Putnam Asset Allocation: Conservative Portfolio     
 
 
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)     
    Fixed payments  Total return  Unrealized 
Swap counterparty /  Termination  received (paid) by  received by  appreciation/ 
Notional amount  date  fund per annum  or paid by fund  (depreciation) 
Bank of America, N.A.         
$15,280,000  5/2/08  5 bp plus change  Banc of America  $7,056 
    in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
of America
      Securities AAA     
10 yr Index
multiplied by
the modified
    duration factor     
 
6,050,000  5/2/08  10 bp plus  Banc of America  6,942 
    change in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
of America
    Securities AAA     
10 yr Index
multiplied by
the modified
    duration factor     
 
Citibank, N.A.         
17,494,498  4/3/08  (Russell 2000  3 month USD-  (576,529) 
    Total Return  LIBOR-BBA   
    Index)     
 
5,670,000  5/2/08  12.5 bp plus  Banc of America  9,023 
    change in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
of America
    Securities AAA     
10 yr Index
multiplied by
the modified
    duration factor     
 
11,500,000  10/1/07  (7.5 bp plus  The spread  -- 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
1,620,000  8/1/07  (7.5 bp plus  The spread  -- 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
66,528,483  6/10/08  (1 month USD-  A basket  (1,719,476) 
    LIBOR-BBA plus  of shares defined   
    25 bp)  in the term sheet   
 
66,380,761  6/10/08  1 month USD-  A basket  908,236 
    LIBOR-BBA minus  of shares defined   
    30 bp  in the term sheet   
 
7,610,000  10/31/07  8 bp plus change  Banc of America  11,025 
    in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
of America
    Securities AAA     
10 yr Index
multiplied by
the modified
    duration factor     
 
5,090,000  11/2/07  15 bp plus  Banc of America  5,215 
    change in spread  Securities CMBS   
    of Banc  AAA 10 year Index   
of America
    Securities AAA     
10 yr Index
multiplied by
the modified
    duration factor     
 
Goldman Sachs International         
10,240,000  1/2/08  (10 bp plus  The spread  13,947 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
8,250,000  5/1/08  10 bp plus  Banc of America  652 

      change in spread  Securities CMBS   
      of Banc  AAA 10 year Index   
of America
      Securities AAA     
10 yr Index
multiplied by
the modified
      duration factor     
 
  846,000    9/15/11  678 bp (1 month  Ford Credit Auto  2 
      USD-LIBOR-BBA)  Owner Trust   
        Series 2005-B   
        Class D   
 
 
JPMorgan Chase Bank, N.A.           
  3,339,000  10/1/07  175 bp plus  The spread  2,003 
      beginning  return of Lehman   
      of period nominal  Brothers AAA   
      spread of Lehman  8.5+ CMBS Index   
      Brothers AAA  adjusted by   
      8.5+ Commercial  modified   
      Mortgage Backed  duration factor   
      Securities Index     
 
  28,195,299  9/21/07  3 month USD-  Russell 2000  205,686 
      LIBOR-BBA minus  Total Return   
      90 bp  Index   
 
  7,723,866  7/12/07  (1 month USD-  Standard & Poors  (264,833) 
      LIBOR-BBA plus  500 Health Care   
      25 bp)  Equipment &   
        Services Index   
 
  11,167,863  7/12/07  (1 month USD-  Standard & Poors  27,942 
      LIBOR-BBA plus  500 Technology   
      25 bp)  Hardware &   
        Equipment Index   
 
  1,980,947  7/12/07  1 month USD-  Standard and  (77,843) 
      LIBOR-BBA minus  Poor's 500   
      30 bp  Semiconductors   
        and   
        Semiconductors   
        Equipment   
        Industry Group   
        Index   
 
  10,590,346  7/12/07  (1 month USD-  Standard & Poors  (360,633) 
      LIBOR-BBA plus  500 Retailing   
      25 bp)  Index   
 
  1,083,959  7/12/07  (1 month USD-  Standard & Poors  (111,367) 
      LIBOR-BBA plus  500 Real Estate   
      25 bp)  Index   
 
  9,779,910  7/12/07  (1 month USD-  Standard & Poors  (335,790) 
      LIBOR-BBA plus  500   
      25 bp)  Pharmaceuticals,   
        Biotechnology &   
        Life Sciences   
        Index   
 
  22,717,505  7/12/07  (1 month USD-  Standard & Poors  (360,649) 
      LIBOR-BBA plus  500 Media Index   
      25 bp)     
 
  12,134,201  7/12/07  (1 month USD-  Standard & Poors  (557,495) 
      LIBOR-BBA plus  500 Diversified   
      25 bp)  Financials Index   
 
  7,411,444  7/12/07  (1 month USD-  Standard & Poors  (172,953) 
      LIBOR-BBA plus  500   
      25 bp)  Transportation   
        Index   
 
  6,431,141  7/12/07  (1 month USD-  Standard & Poors  (95,261) 
      LIBOR-BBA plus  500 Materials   
      25 bp)  Index   
 
  15,300,140  7/12/07  (1 month USD-  Standard & Poors  (482,521) 
      LIBOR-BBA plus  500 Insurance   
      25 bp)  Index   
 
  2,632,823  7/12/07  (1 month USD-  Standard & Poors  (102,002) 
      LIBOR-BBA plus  500 Utilities   
      25 bp)  Index   
 
  8,028,352  7/12/07  1 month USD-  Standard & Poors  140,516 
      LIBOR-BBA minus  500   
      30 bp  Telecommunicatio   
        n Services Index   
 
  7,880,098  7/12/07  (1 month USD-  Standard & Poors  (377,454) 
      LIBOR-BBA plus  500 Consumer   
      25 bp)  Durables &   
        Apparel Index   
 
  12,252,675  7/12/07  1 month USD-  Standard & Poors  214,950 
      LIBOR-BBA minus  500 Software &   
      30 bp  Services Index   
 
  7,417,179  7/12/07  1 month USD-  Standard & Poors  328,391 

    LIBOR-BBA minus  500 Household &   
    30 bp  Personal   
      Products Index   
 
2,853,452  7/12/07  1 month USD-  Standard & Poors  14,438 
    LIBOR-BBA minus  500 Energy Index   
    30 bp     
 
6,683,826    7/12/07  1 month USD-  Standard & Poors  72,154 
    LIBOR-BBA minus  500 Food   
    30 bp  Beverage &   
      Tobacco Index   
 
14,175,816  7/12/07  1 month USD-  Standard & Poors  538,927 
    LIBOR-BBA minus  500 Food &   
    30 bp  Staples   
      Retailing GICS   
      Industry Group   
      Index   
 
19,568,954  7/12/07  1 month USD-  Standard & Poors  656,810 
    LIBOR-BBA minus  500 Consumer   
    30 bp  Services Index   
 
7,201,524  7/12/07  1 month USD-  Standard & Poors  (28,454) 
    LIBOR-BBA minus  500 Capital   
    30 bp  Goods Index   
 
6,798,578  7/12/07  1 month USD-  Standard & Poors  98,541 
    LIBOR-BBA minus  500 Commercial   
    30 bp  Services &   
      Supplies Index   
 
17,276,500  7/12/07  1 month USD-  Standard & Poors  669,152 
    LIBOR-BBA minus  500 Banks Index   
    30 bp     
 
10,614,797  7/12/07  1 month USD-  Standard & Poors  (921,122) 
    LIBOR-BBA minus  500 Automobiles   
    30 bp  & Components   
      Index   
 
Lehman Brothers International (Europe)         
9,326,000  1/1/08  (5 bp plus  The spread  -- 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
10,240,000  1/1/08  (Beginning  The spread  14,234 
    of period nominal  return of Lehman   
    spread of Lehman  Brothers AAA   
    Brothers AAA  8.5+ CMBS Index   
    8.5+ Commercial  adjusted by   
    Mortgage Backed  modified   
    Securities Index)  duration factor   
 
10,240,000  1/1/08  (10 bp plus  The spread  13,947 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index)     
 
Lehman Brothers Special Financing, Inc.         
1,449,337  5/1/08  (1 month USD-  Lehman Brothers  (29,273) 
    LIBOR-BBA minus  U.S. High Yield   
    0.50%)  Index   
 
3,500,000  4/1/08  ($300,000)  Lehman Brothers  (40,206) 
      U.S. High Yield   
      Index   
 
7,410,000  10/1/07  30 bp plus  The spread  971 
    beginning  return of Lehman   
    of period nominal  Brothers AAA   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   
    Securities Index     
 
2,099,990  3/1/08  (1 month USD-  Lehman Brothers  (32,134) 
    LIBOR-BBA minus  U.S. High Yield   
    20 bp)  Index   
 
97,831,749  2/1/08  (1 month USD-  Lehman Brothers  (1,210,050) 
    LIBOR-BBA plus  US Aggregate RBI   
    15 bp)  Series 1 Index   
 
11,590,000  12/2/07  15 bp plus  The spread  (28,778) 
    beginning  return of Lehman   
    of period nominal  Brothers Aaa   
    spread of Lehman  8.5+ CMBS Index   
    Brothers AAA  adjusted by   
    8.5+ Commercial  modified   
    Mortgage Backed  duration factor   

      Securities Index     
 
Morgan Stanley Capital Services Inc.           
  3,960,000  10/31/07  10 bp plus  Banc of America  5,940 
        change in spread  Securities CMBS   
      of Banc  AAA 10 year Index   
of America
      Securities AAA     
10 yr Index
multiplied by
      the modified      
      duration factor     
 
  2,900,000  12/2/07  7.5 bp plus  The spread  (5,800) 
      beginning  return of Lehman   
      of period nominal  Brothers Aaa   
      spread of Lehman  8.5+ CMBS Index   
      Brothers AAA  adjusted by   
      8.5+ Commercial  modified   
      Mortgage Backed  duration factor   
      Securities Index     
 
 
Total          $(3,923,923) 

Putnam Asset Allocation: Conservative Portfolio         
 
 
CREDIT DEFAULT CONTRACTS OUTSTANDING at 6/30/07 (Unaudited)         
  Upfront      Fixed payments  Unrealized 
Swap counterparty /  premium  Notional  Termination  received (paid) by  appreciation/ 
Referenced debt*  received (paid)**  amount  date  fund per annum  (depreciation) 
Bank of America, N.A.           
DJ ABX NA CMBX BBB Index  $--  $2,499,000  10/12/52  (134 bp)  $20,183 
 
DJ CDX NA HY Series 8           
Index  198,105  33,365,000  6/20/12  (275 bp)  928,789 
 
DJ CDX NA IG Series 8           
Index  (4,338)  7,480,000  6/20/17  (60 bp)  57,273 
 
DJ CDX NA IG Series 8           
Index  (47,285)  12,985,000  6/20/17  (60 bp)  59,669 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  170,000  9/20/11  (111 bp)  522 
    f       
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  65,000  6/20/11  (101 bp)  280 
 
Bear Stearns Credit Products, Inc.           
DJ ABX NA CMBX BBB Index  --  2,998,898  10/12/52  (134 bp)  23,190 
 
Citibank, N.A.           
CMS Energy Corp.,           
6.875%, 12/15/15  --  470,000  6/20/12  57 bp  (6,416) 
 
DJ CDX NA IG Series 6           
Index  3,492  3,395,000  6/20/13  (50 bp)  8,915 
 
DJ CDX NA IG Series 6           
Index 7-10% tranche  --  3,395,000  6/20/13  45.75 bp  (15,176) 
 
Credit Suisse First Boston International           
Ford Motor Co., 7.45%,           
7/16/31  --  90,000  9/20/07  (487.5 bp)  (1,005) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  110,000  9/20/08  725 bp  6,633 
 
Ford Motor Co., 7.45%,           
7/16/31  --  20,000  9/20/07  (485 bp)  (223) 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  60,000  3/20/12  (91 bp)  1,264 
 
Credit Suisse International           
Dynegy Holdings, Inc.,           
6 7/8%, 4/1/11  --  50,000  6/20/17  297 bp  (2,365) 
 
Sprint Capital Corp,           
8 3/8%, 3/15/12  --  790,000  6/20/12  (59 bp)  (52) 
 
Deutsche Bank AG           
DJ CDX NA IG Series 7  --  937,000  12/20/13  (50 bp)  2,293 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  937,000  12/20/13  55 bp  (3,019) 
 
DJ CDX NA HY Series 8           
Index  (7,820)  12,512,000  6/20/12  (275 bp)  266,189 
 
DJ CDX NA IG Series 8           
Index 7-10% tranche  --  953,000  6/20/12  22 bp  (1,985) 
 
France Telecom, 7.25%,           
1/28/13  --  390,000  6/20/16  70 bp  8,538 
 
Goldman Sachs International           
Any one of the           
underlying securities           
in the basket of BB           
CMBS securities  --  1,678,000  (a)  2.461%  85,750 
 
DJ CDX NA HY Series 8           
Index  (25,671)  1,610,715  6/20/10  275 bp  (9,434) 
 
DJ CDX NA IG Series 7           
Index  --  1,564,000  12/20/13  (50 bp)  3,827 
 
DJ CDX NA IG Series 7           
Index  3,110  4,617,000  12/20/13  (50 bp)  14,408 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  1,564,000  12/20/13  56 bp  (4,174) 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  4,617,000  12/20/13  48 bp  (33,951) 
 
DJ CDX NA IG Series 8           
Index  (6)  7,475,000  6/20/17  (60 bp)  61,564 
 
DJ CDX NA IG Series 8           
Index  (50,424)  11,980,000  6/20/17  (60 bp)  48,251 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  90,000  9/20/08  620 bp  4,548 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  90,000  9/20/07  (427.5 bp)  (658) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  20,000  9/20/08  620 bp  1,011 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  20,000  9/20/07  (425 bp)  (145) 
 
L-3 Communications           
Corp. 7 5/8%, 6/15/12  --  20,000  9/20/11  (108 bp)  98 
 
JPMorgan Chase Bank, N.A.           
DJ CDX NA CMBX AAA Index  --  3,339,000  3/15/49  (7 bp)  (1,458) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  15,000  9/20/07  (345 bp)  (112) 

Ford Motor Co., 7.45%,           
7/16/31  --  15,000  9/20/08  550 bp  504 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  15,000  9/20/07  (350 bp)  (121) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  15,000  9/20/08  500 bp  565 
 
Lehman Brothers Special Financing, Inc.           
CMS Energy Corp.,           
6.875%, 12/15/15  --  120,000  6/20/12  62 bp  (1,379) 
 
Countrywide Home Loan,           
4%, 3/22/11  --  700,000  6/20/12  (46 bp)  6,074 
 
DJ ABX NA CMBX BBB Index  --  740,000  10/12/52  (134 bp)  4,125 
 
DJ CDX NA CMBX AAA Index  --  7,410,000  3/15/49  (7 bp)  3,829 
 
DJ CDX NA EM Series 7           
Index  (360,342)  33,365,000  6/20/12  125 bp  (179,105) 
 
DJ CDX NA IG Series 7           
Index  910  1,534,000  12/20/13  (50 bp)  4,664 
 
DJ CDX NA IG Series 7           
Index 7-10% tranche  --  1,534,000  12/20/13  54.37 bp  (5,467) 
 
DJ CDX NA HY Series 8           
Index  9,240  616,000  6/20/10  (275 bp)  3,030 
 
DJ CDX NA HY Series 8           
Index 15-25% tranche  --  770,000  6/20/10  80 bp  (2,125) 
 
Hilton Hotels, 7 5/8%,           
12/1/12  --  335,000  6/20/13  94 bp  (7,616) 
 
Merrill Lynch Capital Services, Inc.           
Ford Motor Co., 7.45%,           
7/16/31  --  45,000  9/20/07  (345 bp)  (325) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  45,000  9/20/08  570 bp  2,052 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  65,000  9/20/07  (335 bp)  (454) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  65,000  9/20/08  500 bp  2,424 
 
Merrill Lynch International           
Dynegy Holdings, Inc.,           
6 7/8%, 4/1/11  --  50,000  6/20/17  295 bp  (2,209) 
 
Morgan Stanley Capital Services, Inc.           
DJ ABX NA CMBX BBB Index  --  1,043,200  10/12/52  (134 bp)  7,800 
 
DJ CDX NA HY Series 8           
Index  (9,404)  626,925  6/20/10  275 bp  (3,084) 
 
DJ CDX NA HY Series 8           
Index  46,296  3,086,400  6/20/10  (275 bp)  15,185 
 
DJ CDX NA HY Series 8           
Index  (7,101)  446,600  6/20/10  275 bp  (2,822) 
 
DJ CDX NA HY Series 8           
Index 0-15% tranche  (19,772)  192,900  6/20/10  0 bp  4,823 
      f     
DJ CDX NA HY Series 8           
Index 0-15% tranche  (3,898)  38,500  6/20/10  0 bp  1,011 
 
DJ CDX NA HY Series 8           
Index 0-25% tranche  --  3,858,000  6/20/10  79 bp  (11,784) 
 
DJ CDX NA IG Series 7           
Index  967  1,628,000  12/20/13  (50 bp)  4,951 
 
DJ CDX NA IG Series 7           
Index, 7-10% tranche  --  1,628,000  12/20/13  53 bp  (7,485) 
 
DJ CDX NA IG Series 8           
Index  --  7,450,000  6/20/17  (60 bp)  61,363 
 
Dynegy Holdings, Inc.,           
6 7/8%, 4/1/11  --  50,000  6/20/12  225 bp  (1,234) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  15,000  9/20/07  (345 bp)  (112) 
 
Ford Motor Co., 7.45%,           
7/16/31  --  15,000  9/20/08  560 bp  637 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  15,000  9/20/07  (335 bp)  (81) 
 
General Motors Corp.,           
7 1/8%, 7/15/13  --  15,000  9/20/08  500 bp  547 
 
Total          $1,421,203 
 
* Payments related to the reference debt are made upon a credit default event.         
 
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of     
execution.           
 
(a) Terminating on the date on which the notional amount is reduced to zero or the date on which the assets securing     
the reference entity are liquidated.           

NOTES

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

Growth Portfolio $2,632,047,589   
Balanced Portfolio 2,349,538,905  
Conservative Portfolio 1,075,260,802  

 

(RAT) The Moody's or Standard & Poor's ratings indicated are believed to be the most recent ratings available at  June 30, 2007 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 June 30, 2007. 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  $2,531,001,397  $446,427,165  $(61,084,944)  $385,342,221 
Balanced Portfolio  2,439,229,130  359,217,499  (61,859,135)  297,358,364 
Conservative Portfolio  1,222,716,536  109,207,526  (26,819,158)  82,388,368 

(NON) Non-income-producing security.

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

(RES) Restricted, excluding 144A securities, as to public resale. 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 was less than 0.1% of the fund's net assets.

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

(SEG) These securities, in part or entirety, were pledged and segregated with the custodian to cover margin requirements for futures contracts for one or more of the funds at June 30, 2007.

(FWC) Forward commitments.

(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rate shown for senior loans are the current interest rates at June 30, 2007. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.

(d) Each 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. nThe 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. At June 30, 2007, the value of securities loaned amounted to $201,095,330, $133,000,074 and $17,639,256 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively). The funds received cash collateral of $198,034,058, $131,982,345 and $17,327,509 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively), which is pooled with collateral of other Putnam funds into 58 issues of high-grade, short-term investments. The funds also received high-quality, highly-rated securities of $9,456,813, $5,485,481 and $942,289 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) in non-cash collateral.

(e) Each fund invests in Putnam Prime Money Market Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the funds' manager, an indirect wholly-owned subsidiary of Putnam, LLC. Investments in Putnam Prime Money Market Fund are valued at its closing net asset value each business day. Management fees paid by each 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 each fund in Putnam Prime Money Market Fund. Income distributions earned by the funds totaled $6,009,533, $10,263,214 and $5,825,036 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) for the period ended June 30, 2007. During the period ended June 30, 2007, cost of purchases and proceeds of sales of investments in Putnam Prime Money Market Fund aggregated as follows:

  Cost of  Proceeds of 
  purchases  sales 
Growth Portfolio  $1,096,480,131  $ 1,017,733,785 
Balanced Portfolio  854,671,939  801,863,530 
Conservative Portfolio  505,900,221  461,550,377 

(F) Security is valued at fair value following procedures approved by the Trustees. On June 30, 2007 fair value pricing was also used for certain foreign securities in the portfolio.

(R) Real Estate Investment Trust.

(SG) Securities on loan, in part or in entirety, at June 30, 2007 (Growth Portfolio).

(SB) Securities on loan, in part or in entirety, at June 30, 2007 (Balanced Portfolio).

(SC) Securities on loan, in part or in entirety, at June 30, 2007 (Conservative Portfolio).

At June 30, 2007, liquid assets totaling $499,172,034, $738,893,963 and $489,470,187 (for Growth Portfolio, Balanced Portfolio and Conservative Portfolio, respectively) have been designated as collateral for open forward commitments, swap contracts, forward contracts, options and futures contracts.

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

ADR, GDR or SDR after the name of a foreign holding stands for American Depository Receipts, Global Depository Receipts or Swedish 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 June 30, 2007.

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

Inverse Floating Rate Bonds (IFB) are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The interest rates shown are the current interest rates at June 30, 2007.

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of issue at June 30, 2007: (as a percentage of Portfolio Value)

Growth Portfolio   
Australia  1.6% 
Austria  0.5 
Belgium  1.0 
Brazil  0.8 
China  0.9 
Finland  0.6 
France  2.1 
Germany  1.1 
Italy  1.1 
Japan  4.8 
Netherlands  1.9 
Norway  0.5 
Russia  0.8 
South Korea  1.2 
Spain  0.6 
Sweden  0.8 
Switzerland  1.0 
Taiwan  0.8 
United Kingdom  4.3 
United States  69.7 
Other  3.9 
Total  100.0% 
 
Balanced Portfolio   
Australia  1.2% 
Belgium  0.7 
France  1.4 
Germany  0.6 
Italy  0.8 
Japan  3.5 
Netherlands  1.5 
Spain  0.5 
Sweden  0.6 
Switzerland  0.6 
United Kingdom  3.2 
United States  82.4 
Other  3.0 
Total  100.0% 
 
Conservative Portfolio   
Australia  0.7% 
France  0.8 
Japan  1.9 
Netherlands  0.8 
United Kingdom  2.0 
United States  89.6 
Other  4.2 
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 funds will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent.

At June 30, 2007, fair value pricing was used for certain foreign securities in the portfolios.

Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. Certain investments, including certain restricted securities, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security at a given point in time and does not reflect an actual market price, which may be different by a material amount.

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

Forward currency contracts 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), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities. Forward currency contracts outstanding at period end, if any, are listed after the 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. The fund may also write options on swaps or securities it owns or in which it may invest to increase its current returns.

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

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. Options traded over-the-counter are valued using prices supplied by dealers. Futures and written option contracts outstanding at period end, if any, are listed after the 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. Certain total return swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Total return swap contracts outstanding at period end, if any, are listed after the 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. Certain interest rate swap contracts may include extended effective dates. Income related to these swap contracts is accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities. Interest rate swap contracts outstanding at period end, if any, are listed after the 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. Payments are made upon a credit default event of the disclosed primary referenced obligation or all other equally ranked obligations of the reference entity. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund’s books. An upfront payment made by the fund, as the protection buyer, is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked-to-market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as unrealized gain or loss. Payments received or made as a result of a credit event or termination of the contract are recognized, net of a proportional amount of the upfront payment, as realized gains or losses. In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index, the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased comparable publicly traded securities or that the counterparty may default on its obligation to perform. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. Credit default contracts outstanding at period end, if any, are listed after the 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 each 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, each 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 funds' most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com

Item 2. Controls and Procedures:

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

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

Item 3. Exhibits:

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

SIGNATURES

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

Putnam Asset Allocation Funds

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: August 29, 2007

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

By (Signature and Title):

/s/ Charles E. Porter
Charles E. Porter
Principal Executive Officer
Date: August 29, 2007

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: August 29, 2007